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: April 1, 2020 - September 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
9.30.2020
Rydex Funds Semi-Annual Report
Sector Funds |
Banking Fund | | |
Basic Materials Fund | | |
Biotechnology Fund | | |
Consumer Products Fund | | |
Electronics Fund | | |
Energy Fund | | |
Energy Services Fund | | |
Financial Services Fund | | |
Health Care Fund | | |
Internet Fund | | |
Leisure Fund | | |
Precious Metals Fund | | |
Real Estate Fund | | |
Retailing Fund | | |
Technology Fund | | |
Telecommunications Fund | | |
Transportation Fund | | |
Utilities Fund | | |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from a fund electronically by calling 800.820.0888, going to GuggenheimInvestments.com/myaccount, or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper will apply to all Guggenheim Funds in which you are invested and may apply to all funds held with your financial intermediary.
GuggenheimInvestments.com | RSECF-SEMI-0920x0321 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 10 |
BASIC MATERIALS FUND | 17 |
BIOTECHNOLOGY FUND | 25 |
CONSUMER PRODUCTS FUND | 32 |
ELECTRONICS FUND | 40 |
ENERGY FUND | 48 |
ENERGY SERVICES FUND | 56 |
FINANCIAL SERVICES FUND | 64 |
HEALTH CARE FUND | 73 |
INTERNET FUND | 80 |
LEISURE FUND | 87 |
PRECIOUS METALS FUND | 96 |
REAL ESTATE FUND | 104 |
RETAILING FUND | 112 |
TECHNOLOGY FUND | 120 |
TELECOMMUNICATIONS FUND | 128 |
TRANSPORTATION FUND | 136 |
UTILITIES FUND | 144 |
NOTES TO FINANCIAL STATEMENTS | 152 |
OTHER INFORMATION | 163 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 170 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 175 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 178 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
The six-month period ended September 30, 2020, concluded on a cautious note. Even though markets performed well for most of the period, COVID-19 became the deadliest pandemic in a century, causing a steeper plunge in output and employment in two months than during the first two years of the Great Depression. The U.S. Federal Reserve acted quickly to restore market functioning and cushion the economy, cutting rates to zero, engaging in massive asset purchases, and launching an array of lending facilities. Congress also acted much faster than in previous downturns, with the budget deficit headed to the highest level since World War II.
The recovery since the spring has been faster than expected, with consumer confidence holding up due to the temporary nature of layoffs and positive personal income growth thanks to massive fiscal support. However, the outlook for the next several months is more challenging. Fiscal support is fading, so incomes will likely fall in the fourth quarter. Also, colder weather and the reopening of schools make the likelihood of another large COVID wave very high, risking renewed lockdowns and a setback in the recovery. We do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process will likely take until mid-2021, or possibly longer. As discussed in this shareholder report, these events have had an impact on performance.
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2020.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to the safety and prosperity of our clients, our employees, and our shareholders. Thank you for the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2020
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.
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
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 within the same sector or industry. Certain of the sector funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2020 |
Six months ago, the global COVID-19 pandemic threatened the worst economic downturn since the Great Depression. Faced with the prospect of an economic collapse, policymakers in the U.S. introduced fiscal and monetary policy initiatives that have, for the most part, shored up the U.S. economy, although more stimulus appears to be necessary. These policy initiatives, particularly on the monetary side, have increased market liquidity and lowered borrowing rates, reassuring equity investors that the U.S. Federal Reserve (the “Fed”) would do everything in its power to maintain market stability. For the six months ended September 30, 2020, the Standard & Poor’s 500® (“S&P 500”) Index* returned 31.31%, briefly surpassing the pre-pandemic peak before giving up gains in September. This increase was in spite of personal and economic hardships imposed by the onset of COVID-19, highlighting the crucial role of policy support.
While the outlook on fiscal policy is contingent on the 2020 presidential election outcome, the monetary policy outlook is far less dependent on it. Our views hold that the Fed will remain accommodative over the next several years. This is in large part owing to recent revisions to the Fed’s policy framework that resulted in a dovish shift in the policy reaction function.
Fed policymakers revised their Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. Labor market goals now focus on correcting shortfalls in achieving maximum employment, rather than managing deviations from it, which previously included tightening policy when the Fed thought the labor market was too tight. Instead, the Fed will now tolerate the unemployment rate falling below a level they consider to be maximum employment as long as it does not produce unwanted inflation. On inflation policy, the Fed will aim for core inflation to average 2% over an unspecified time period. This allows for inflation readings that are moderately above 2% over shorter horizons to make up for periods when inflation falls below its target.
The practical effect of the revised strategy would likely have meant no rate hikes from 2015–2018, as inflation was never above 2% for a sustained period and a low unemployment rate is now an insufficient justification for raising rates. But the revised statement, and Fed Chair Jerome Powell’s speech at Jackson Hole, which coincided with the release of the new framework, gave no explanation of how the Fed would actually achieve higher inflation, something it could not attain previously with years of short-term rates at zero and trillions of dollars in quantitative easing. A lack of concrete guidance on the overshoot (with no numerical target and no specified time frame) further weakens the policy and the associated response in inflation expectations, which remain lower than the Fed would favor.
We expect the Fed will have a difficult time in reaching its inflation target in the coming years, let alone exceeding it, in part because core inflation lags real gross domestic product growth by about 18 months, meaning that inflation should trend downward over the next several quarters. In addition, elevated unemployment and a high debt burden will weigh on the speed of the recovery. As the last expansion demonstrated, even a strong economy with low unemployment does not necessarily produce inflation in excess of 2%, as many components of inflation are not responsive to interest rates or economic conditions.
Below-target inflation may anchor U.S. Treasury yields at low levels. In the near term, concerns over another COVID-19 wave complicated by the flu season, a slowing pace of improvement in the labor market, a lack of additional fiscal stimulus, and election uncertainty, all suggest low U.S. Treasury yields. In addition, comparatively higher yields in the U.S. should continue to attract capital from abroad, further supporting the market.
For the six-month period ended September 30, 2020, the MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.39%. The return of the MSCI Emerging Markets Index* was 29.36%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 3.53% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 15.24%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2020 |
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® 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®. 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®. The Consumer Staples Index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages, and tobacco and producers of non-durable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500®. 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®. 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®. 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®. 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®. 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®. The Materials Index encompasses a wide range of commodity-related manufacturing industries. Included in this sector are companies that manufacture chemicals, construction materials, glass, paper, forest products, and related packaging products, and metals, minerals, and mining companies, including producers of steel.
S&P 500® Telecommunications Services Index is a sub-index of the S&P 500®. 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®. The Utilities Index encompasses those companies considered electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2020 and ending September 30, 2020.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Banking Fund | | | | | |
Investor Class | 1.47% | 10.79% | $ 1,000.00 | $ 1,107.90 | $ 7.77 |
A-Class | 1.74% | 10.15% | 1,000.00 | 1,101.50 | 9.17 |
C-Class | 2.49% | 9.74% | 1,000.00 | 1,097.40 | 13.09 |
H-Class | 1.73% | 10.17% | 1,000.00 | 1,101.70 | 9.11 |
Basic Materials Fund | | | | | |
Investor Class | 1.49% | 43.01% | 1,000.00 | 1,430.10 | 9.08 |
A-Class | 1.74% | 42.83% | 1,000.00 | 1,428.30 | 10.59 |
C-Class | 2.49% | 42.26% | 1,000.00 | 1,422.60 | 15.12 |
H-Class | 1.73% | 42.83% | 1,000.00 | 1,428.30 | 10.53 |
Biotechnology Fund | | | | | |
Investor Class | 1.49% | 28.88% | 1,000.00 | 1,288.80 | 8.55 |
A-Class | 1.74% | 28.73% | 1,000.00 | 1,287.30 | 9.98 |
C-Class | 2.49% | 28.24% | 1,000.00 | 1,282.40 | 14.25 |
H-Class | 1.76% | 28.72% | 1,000.00 | 1,287.20 | 10.09 |
Consumer Products Fund | | | | | |
Investor Class | 1.49% | 20.71% | 1,000.00 | 1,207.10 | 8.24 |
A-Class | 1.74% | 20.57% | 1,000.00 | 1,205.70 | 9.62 |
C-Class | 2.49% | 20.11% | 1,000.00 | 1,201.10 | 13.74 |
H-Class | 1.73% | 20.57% | 1,000.00 | 1,205.70 | 9.57 |
Electronics Fund | | | | | |
Investor Class | 1.50% | 49.23% | 1,000.00 | 1,492.30 | 9.37 |
A-Class | 1.74% | 49.05% | 1,000.00 | 1,490.50 | 10.86 |
C-Class | 2.49% | 48.48% | 1,000.00 | 1,484.80 | 15.51 |
H-Class | 1.74% | 49.04% | 1,000.00 | 1,490.40 | 10.86 |
Energy Fund | | | | | |
Investor Class | 1.48% | 11.55% | 1,000.00 | 1,115.50 | 7.85 |
A-Class | 1.74% | 11.41% | 1,000.00 | 1,114.10 | 9.22 |
C-Class | 2.49% | 11.00% | 1,000.00 | 1,110.00 | 13.17 |
H-Class | 1.74% | 11.41% | 1,000.00 | 1,114.10 | 9.22 |
Energy Services Fund | | | | | |
Investor Class | 1.48% | 24.11% | 1,000.00 | 1,241.10 | 8.31 |
A-Class | 1.73% | 23.97% | 1,000.00 | 1,239.70 | 9.71 |
C-Class | 2.49% | 23.50% | 1,000.00 | 1,235.00 | 13.95 |
H-Class | 1.75% | 23.96% | 1,000.00 | 1,239.60 | 9.83 |
Financial Services Fund | | | | | |
Investor Class | 1.47% | 18.43% | 1,000.00 | 1,184.30 | 8.05 |
A-Class | 1.74% | 18.30% | 1,000.00 | 1,183.00 | 9.52 |
C-Class | 2.49% | 17.83% | 1,000.00 | 1,178.30 | 13.60 |
H-Class | 1.75% | 18.29% | 1,000.00 | 1,182.90 | 9.58 |
Health Care Fund | | | | | |
Investor Class | 1.49% | 25.70% | 1,000.00 | 1,257.00 | 8.43 |
A-Class | 1.74% | 25.54% | 1,000.00 | 1,255.40 | 9.84 |
C-Class | 2.49% | 25.08% | 1,000.00 | 1,250.80 | 14.05 |
H-Class | 1.79% | 25.58% | 1,000.00 | 1,255.80 | 10.12 |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Internet Fund | | | | | |
Investor Class | 1.47% | 54.41% | $ 1,000.00 | $ 1,544.10 | $ 9.38 |
A-Class | 1.73% | 54.23% | 1,000.00 | 1,542.30 | 11.03 |
C-Class | 2.48% | 53.64% | 1,000.00 | 1,536.40 | 15.77 |
H-Class | 1.78% | 54.22% | 1,000.00 | 1,542.20 | 11.34 |
Leisure Fund | | | | | |
Investor Class | 1.50% | 43.58% | 1,000.00 | 1,435.80 | 9.16 |
A-Class | 1.73% | 43.40% | 1,000.00 | 1,434.00 | 10.56 |
C-Class | 2.48% | 42.86% | 1,000.00 | 1,428.60 | 15.10 |
H-Class | 1.73% | 43.40% | 1,000.00 | 1,434.00 | 10.56 |
Precious Metals Fund | | | | | |
Investor Class | 1.38% | 83.36% | 1,000.00 | 1,833.60 | 9.80 |
A-Class | 1.64% | 83.13% | 1,000.00 | 1,831.30 | 11.64 |
C-Class | 2.39% | 82.47% | 1,000.00 | 1,824.70 | 16.92 |
H-Class | 1.63% | 83.17% | 1,000.00 | 1,831.70 | 11.57 |
Real Estate Fund | | | | | |
A-Class | 1.74% | 16.12% | 1,000.00 | 1,161.20 | 9.43 |
C-Class | 2.50% | 15.71% | 1,000.00 | 1,157.10 | 13.52 |
H-Class | 1.73% | 16.13% | 1,000.00 | 1,161.30 | 9.37 |
Retailing Fund | | | | | |
Investor Class | 1.47% | 58.91% | 1,000.00 | 1,589.10 | 9.54 |
A-Class | 1.72% | 58.74% | 1,000.00 | 1,587.40 | 11.16 |
C-Class | 2.48% | 58.09% | 1,000.00 | 1,580.90 | 16.05 |
H-Class | 1.71% | 58.71% | 1,000.00 | 1,587.10 | 11.09 |
Technology Fund | | | | | |
Investor Class | 1.47% | 47.13% | 1,000.00 | 1,471.30 | 9.11 |
A-Class | 1.73% | 46.94% | 1,000.00 | 1,469.40 | 10.71 |
C-Class | 2.48% | 46.39% | 1,000.00 | 1,463.90 | 15.32 |
H-Class | 1.77% | 46.95% | 1,000.00 | 1,469.50 | 10.96 |
Telecommunications Fund | | | | | |
Investor Class | 1.48% | 9.75% | 1,000.00 | 1,097.50 | 7.78 |
A-Class | 1.74% | 9.62% | 1,000.00 | 1,096.20 | 9.14 |
C-Class | 2.49% | 9.23% | 1,000.00 | 1,092.30 | 13.06 |
H-Class | 1.74% | 9.62% | 1,000.00 | 1,096.20 | 9.14 |
Transportation Fund | | | | | |
Investor Class | 1.47% | 58.12% | 1,000.00 | 1,581.20 | 9.51 |
A-Class | 1.73% | 57.89% | 1,000.00 | 1,578.90 | 11.18 |
C-Class | 2.48% | 57.31% | 1,000.00 | 1,573.10 | 16.00 |
H-Class | 1.73% | 57.92% | 1,000.00 | 1,579.20 | 11.19 |
Utilities Fund | | | | | |
Investor Class | 1.49% | 5.26% | 1,000.00 | 1,052.60 | 7.67 |
A-Class | 1.74% | 5.14% | 1,000.00 | 1,051.40 | 8.95 |
C-Class | 2.49% | 4.75% | 1,000.00 | 1,047.50 | 12.78 |
H-Class | 1.75% | 5.15% | 1,000.00 | 1,051.50 | 9.00 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Banking Fund | | | | | |
Investor Class | 1.47% | 5.00% | $ 1,000.00 | $ 1,017.70 | $ 7.44 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Basic Materials Fund | | | | | |
Investor Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Biotechnology Fund | | | | | |
Investor Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.76% | 5.00% | 1,000.00 | 1,016.24 | 8.90 |
Consumer Products Fund | | | | | |
Investor Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Electronics Fund | | | | | |
Investor Class | 1.50% | 5.00% | 1,000.00 | 1,017.55 | 7.59 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Energy Fund | | | | | |
Investor Class | 1.48% | 5.00% | 1,000.00 | 1,017.65 | 7.49 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Energy Services Fund | | | | | |
Investor Class | 1.48% | 5.00% | 1,000.00 | 1,017.65 | 7.49 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.75% | 5.00% | 1,000.00 | 1,016.29 | 8.85 |
Financial Services Fund | | | | | |
Investor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.75% | 5.00% | 1,000.00 | 1,016.29 | 8.85 |
Health Care Fund | | | | | |
Investor Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Internet Fund | | | | | |
Investor Class | 1.47% | 5.00% | $ 1,000.00 | $ 1,017.70 | $ 7.44 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
Leisure Fund | | | | | |
Investor Class | 1.50% | 5.00% | 1,000.00 | 1,017.55 | 7.59 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Precious Metals Fund | | | | | |
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
Real Estate Fund | | | | | |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.50% | 5.00% | 1,000.00 | 1,012.53 | 12.61 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Retailing Fund | | | | | |
Investor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 |
A-Class | 1.72% | 5.00% | 1,000.00 | 1,016.44 | 8.69 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 |
Technology Fund | | | | | |
Investor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
Telecommunications Fund | | | | | |
Investor Class | 1.48% | 5.00% | 1,000.00 | 1,017.65 | 7.49 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Transportation Fund | | | | | |
Investor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Utilities Fund | | | | | |
Investor Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.75% | 5.00% | 1,000.00 | 1,016.29 | 8.85 |
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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2020 to September 30, 2020. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 4.1% |
Bank of America Corp. | 4.0% |
Citigroup, Inc. | 3.9% |
Wells Fargo & Co. | 3.9% |
U.S. Bancorp | 3.6% |
Truist Financial Corp. | 3.6% |
PNC Financial Services Group, Inc. | 3.5% |
Capital One Financial Corp. | 2.8% |
State Street Corp. | 2.3% |
First Republic Bank | 2.2% |
Top Ten Total | 33.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 10.79% | (26.63%) | 0.00% | 3.10% |
A-Class Shares | 10.15% | (27.13%) | (0.33%) | 2.80% |
A-Class Shares with sales charge‡ | 4.92% | (30.59%) | (1.29%) | 2.30% |
C-Class Shares | 9.74% | (27.67%) | (1.08%) | 2.04% |
C-Class Shares with CDSC§ | 8.74% | (28.39%) | (1.08%) | 2.04% |
H-Class Shares** | 10.17% | (27.13%) | (0.32%) | 2.70% |
S&P 500 Financials Index | 17.19% | (11.87%) | 7.82% | 9.69% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
BANKING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Banks - 89.8% |
JPMorgan Chase & Co. | | | 3,265 | | | $ | 314,321 | |
Bank of America Corp. | | | 12,696 | | | | 305,847 | |
Citigroup, Inc. | | | 7,066 | | | | 304,615 | |
Wells Fargo & Co. | | | 12,817 | | | | 301,328 | |
U.S. Bancorp | | | 7,800 | | | | 279,630 | |
Truist Financial Corp. | | | 7,316 | | | | 278,374 | |
PNC Financial Services Group, Inc. | | | 2,424 | | | | 266,422 | |
State Street Corp. | | | 2,953 | | | | 175,201 | |
First Republic Bank | | | 1,553 | | | | 169,370 | |
Northern Trust Corp. | | | 1,957 | | | | 152,587 | |
Fifth Third Bancorp | | | 7,060 | | | | 150,519 | |
SVB Financial Group* | | | 565 | | | | 135,950 | |
KeyCorp | | | 10,829 | | | | 129,190 | |
M&T Bank Corp. | | | 1,387 | | | | 127,729 | |
Regions Financial Corp. | | | 11,043 | | | | 127,326 | |
Citizens Financial Group, Inc. | | | 4,867 | | | | 123,038 | |
Huntington Bancshares, Inc. | | | 12,633 | | | | 115,845 | |
Commerce Bancshares, Inc. | | | 1,720 | | | | 96,819 | |
First Horizon National Corp. | | | 9,321 | | | | 87,897 | |
Comerica, Inc. | | | 2,288 | | | | 87,516 | |
HDFC Bank Ltd. ADR* | | | 1,751 | | | | 87,480 | |
Prosperity Bancshares, Inc. | | | 1,642 | | | | 85,105 | |
Zions Bancorp North America | | | 2,828 | | | | 82,634 | |
HSBC Holdings plc ADR | | | 4,204 | | | | 82,314 | |
ICICI Bank Ltd. ADR* | | | 8,336 | | | | 81,943 | |
East West Bancorp, Inc. | | | 2,493 | | | | 81,621 | |
Toronto-Dominion Bank | | | 1,720 | | | | 79,533 | |
Signature Bank | | | 952 | | | | 79,006 | |
Royal Bank of Canada | | | 1,091 | | | | 76,523 | |
Bank of Nova Scotia | | | 1,841 | | | | 76,420 | |
Cullen/Frost Bankers, Inc. | | | 1,187 | | | | 75,909 | |
First Financial Bankshares, Inc. | | | 2,718 | | | | 75,859 | |
Popular, Inc. | | | 2,071 | | | | 75,115 | |
Canadian Imperial Bank of Commerce | | | 964 | | | | 72,030 | |
Bank of Montreal | | | 1,213 | | | | 70,851 | |
TCF Financial Corp. | | | 3,024 | | | | 70,641 | |
South State Corp. | | | 1,444 | | | | 69,529 | |
UBS Group AG | | | 6,101 | | | | 68,026 | |
Credit Suisse Group AG ADR | | | 6,799 | | | | 67,786 | |
Western Alliance Bancorporation | | | 2,116 | | | | 66,908 | |
Synovus Financial Corp. | | | 3,152 | | | | 66,728 | |
Glacier Bancorp, Inc. | | | 2,081 | | | | 66,696 | |
Community Bank System, Inc. | | | 1,196 | | | | 65,134 | |
Bank OZK | | | 2,964 | | | | 63,192 | |
Valley National Bancorp | | | 9,222 | | | | 63,171 | |
United Bankshares, Inc. | | | 2,910 | | | | 62,478 | |
Pinnacle Financial Partners, Inc. | | | 1,734 | | | | 61,713 | |
Home BancShares, Inc. | | | 3,983 | | | | 60,382 | |
UMB Financial Corp. | | | 1,212 | | | | 59,400 | |
Webster Financial Corp. | | | 2,220 | | | | 58,630 | |
CVB Financial Corp. | | | 3,484 | | | | 57,939 | |
Umpqua Holdings Corp. | | | 5,435 | | | | 57,720 | |
Wintrust Financial Corp. | | | 1,433 | | | | 57,392 | |
Old National Bancorp | | | 4,323 | | | | 54,297 | |
PacWest Bancorp | | | 3,160 | | | | 53,973 | |
Independent Bank Group, Inc. | | | 1,199 | | | | 52,972 | |
Associated Banc-Corp. | | | 4,129 | | | | 52,108 | |
First Hawaiian, Inc. | | | 3,549 | | | | 51,354 | |
CIT Group, Inc. | | | 2,862 | | | | 50,686 | |
Simmons First National Corp. — Class A | | | 3,189 | | | | 50,561 | |
Independent Bank Corp. | | | 962 | | | | 50,389 | |
Cathay General Bancorp | | | 2,296 | | | | 49,777 | |
Columbia Banking System, Inc. | | | 2,087 | | | | 49,775 | |
Texas Capital Bancshares, Inc.* | | | 1,560 | | | | 48,563 | |
Ameris Bancorp | | | 2,120 | | | | 48,294 | |
Hancock Whitney Corp. | | | 2,561 | | | | 48,172 | |
Fulton Financial Corp. | | | 5,011 | | | | 46,753 | |
United Community Banks, Inc. | | | 2,756 | | | | 46,659 | |
First Financial Bancorp | | | 3,422 | | | | 41,081 | |
First Midwest Bancorp, Inc. | | | 3,805 | | | | 41,018 | |
Cadence BanCorp | | | 4,683 | | | | 40,227 | |
Total Banks | | | | | | | 6,931,991 | |
| | | | | | | | | |
Savings & Loans - 4.0% |
People’s United Financial, Inc. | | | 7,756 | | | | 79,965 | |
New York Community Bancorp, Inc. | | | 8,785 | | | | 72,652 | |
Sterling Bancorp | | | 5,037 | | | | 52,989 | |
Pacific Premier Bancorp, Inc. | | | 2,538 | | | | 51,115 | |
Investors Bancorp, Inc. | | | 6,882 | | | | 49,963 | |
Total Savings & Loans | | | | | | | 306,684 | |
| | | | | | | | | |
Diversified Financial Services - 2.8% |
Capital One Financial Corp. | | | 3,024 | | | | 217,305 | |
| | | | | | | | | |
Insurance - 2.7% |
Equitable Holdings, Inc. | | | 5,975 | | | | 108,984 | |
Voya Financial, Inc. | | | 2,010 | | | | 96,339 | |
Total Insurance | | | | | | | 205,323 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $7,136,208) | | | | | | | 7,661,303 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
BANKING FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 0.4% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 19,408 | | | $ | 19,408 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 8,079 | | | | 8,079 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 7,351 | | | | 7,351 | |
Total Repurchase Agreements | | | | |
(Cost $34,838) | | | | | | | 34,838 | |
| | | | | | | | | |
Total Investments - 99.7% | | | | |
(Cost $7,171,046) | | $ | 7,696,141 | |
Other Assets & Liabilities, net - 0.3% | | | 20,239 | |
Total Net Assets - 100.0% | | $ | 7,716,380 | |
* | 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. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 7,661,303 | | | $ | — | | | $ | — | | | $ | 7,661,303 | |
Repurchase Agreements | | | — | | | | 34,838 | | | | — | | | | 34,838 | |
Total Assets | | $ | 7,661,303 | | | $ | 34,838 | | | $ | — | | | $ | 7,696,141 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $7,136,208) | | $ | 7,661,303 | |
Repurchase agreements, at value (cost $34,838) | | | 34,838 | |
Receivables: |
Fund shares sold | | | 103,080 | |
Dividends | | | 20,436 | |
Investment Adviser | | | 14,908 | |
Foreign tax reclaims | | | 544 | |
Total assets | | | 7,835,109 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 92,056 | |
Management fees | | | 5,577 | |
Transfer agent and administrative fees | | | 1,765 | |
Distribution and service fees | | | 1,107 | |
Portfolio accounting fees | | | 656 | |
Trustees’ fees* | | | 260 | |
Miscellaneous | | | 17,308 | |
Total liabilities | | | 118,729 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 7,716,380 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 21,182,782 | |
Total distributable earnings (loss) | | | (13,466,402 | ) |
Net assets | | $ | 7,716,380 | |
| | | | | |
Investor Class: |
Net assets | | $ | 4,462,766 | |
Capital shares outstanding | | | 77,726 | |
Net asset value per share | | $ | 57.42 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,536,741 | |
Capital shares outstanding | | | 49,020 | |
Net asset value per share | | $ | 51.75 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 54.33 | |
| | | | | |
C-Class: |
Net assets | | $ | 615,764 | |
Capital shares outstanding | | | 13,497 | |
Net asset value per share | | $ | 45.62 | |
| | | | | |
H-Class: |
Net assets | | $ | 101,109 | |
Capital shares outstanding | | | 2,007 | |
Net asset value per share | | $ | 50.38 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,606) | | $ | 159,413 | |
Interest | | | 12 | |
Income from securities lending, net | | | 44 | |
Total investment income | | | 159,469 | |
| | | | | |
Expenses: |
Management fees | | | 37,397 | |
Distribution and service fees: |
A-Class | | | 3,579 | |
C-Class | | | 3,761 | |
H-Class | | | 158 | |
Transfer agent and administrative fees | | | 13,327 | |
Registration fees | | | 4,843 | |
Portfolio accounting fees | | | 4,401 | |
Professional fees | | | 3,983 | |
Custodian fees | | | 762 | |
Trustees’ fees* | | | 220 | |
Miscellaneous | | | 167 | |
Total expenses | | | 72,598 | |
Net investment income | | | 86,871 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (11,089,543 | ) |
Net realized loss | | | (11,089,543 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 11,362,874 | |
Net change in unrealized appreciation (depreciation) | | | 11,362,874 | |
Net realized and unrealized gain | | | 273,331 | |
Net increase in net assets resulting from operations | | $ | 360,202 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 86,871 | | | $ | 273,567 | |
Net realized gain (loss) on investments | | | (11,089,543 | ) | | | 15,650 | |
Net change in unrealized appreciation (depreciation) on investments | | | 11,362,874 | | | | (12,335,006 | ) |
Net increase (decrease) in net assets resulting from operations | | | 360,202 | | | | (12,045,789 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (108,737 | ) |
A-Class | | | — | | | | (31,237 | ) |
C-Class | | | — | | | | (9,418 | ) |
H-Class | | | — | | | | (30,264 | ) |
Total distributions to shareholders | | | — | | | | (179,656 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 38,685,049 | | | | 97,783,948 | |
A-Class | | | 82,977 | | | | 840,548 | |
C-Class | | | 636,540 | | | | 1,729,649 | |
H-Class | | | 1,139,499 | | | | 8,514,542 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 108,041 | |
A-Class | | | — | | | | 30,103 | |
C-Class | | | — | | | | 9,418 | |
H-Class | | | — | | | | 30,213 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (51,719,959 | ) | | | (75,479,771 | ) |
A-Class | | | (623,696 | ) | | | (1,702,700 | ) |
C-Class | | | (853,347 | ) | | | (1,910,665 | ) |
H-Class | | | (1,213,051 | ) | | | (10,167,108 | ) |
Net increase (decrease) from capital share transactions | | | (13,865,988 | ) | | | 19,786,218 | |
Net increase (decrease) in net assets | | | (13,505,786 | ) | | | 7,560,773 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 21,222,166 | | | | 13,661,393 | |
End of period | | $ | 7,716,380 | | | $ | 21,222,166 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 661,020 | | | | 1,226,311 | |
A-Class | | | 1,534 | | | | 11,635 | |
C-Class | | | 13,459 | | | | 27,344 | |
H-Class | | | 21,165 | | | | 120,683 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 1,272 | |
A-Class | | | — | | | | 391 | |
C-Class | | | — | | | | 138 | |
H-Class | | | — | | | | 403 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (921,075 | ) | | | (970,220 | ) |
A-Class | | | (11,880 | ) | | | (24,173 | ) |
C-Class | | | (18,342 | ) | | | (30,321 | ) |
H-Class | | | (22,704 | ) | | | (140,736 | ) |
Net increase (decrease) in shares | | | (276,823 | ) | | | 222,727 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 51.83 | | | $ | 74.58 | | | $ | 86.27 | | | $ | 76.86 | | | $ | 56.13 | | | $ | 62.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .59 | | | | 1.14 | | | | .81 | | | | .60 | | | | .53 | | | | .68 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.00 | | | | (23.38 | ) | | | (10.92 | ) | | | 9.12 | | | | 20.51 | | | | (6.97 | ) |
Total from investment operations | | | 5.59 | | | | (22.24 | ) | | | (10.11 | ) | | | 9.72 | | | | 21.04 | | | | (6.29 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Total distributions | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Net asset value, end of period | | $ | 57.42 | | | $ | 51.83 | | | $ | 74.58 | | | $ | 86.27 | | | $ | 76.86 | | | $ | 56.13 | |
|
Total Return | | | 10.79 | % | | | (30.08 | %) | | | (11.63 | %) | | | 12.63 | % | | | 37.53 | % | | | (10.10 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,463 | | | $ | 17,507 | | | $ | 5,997 | | | $ | 26,209 | | | $ | 41,473 | | | $ | 7,206 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.00 | % | | | 1.47 | % | | | 0.97 | % | | | 0.73 | % | | | 0.74 | % | | | 1.07 | % |
Total expenses | | | 1.47 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 300 | % | | | 360 | % | | | 633 | % | | | 772 | % | | | 907 | % | | | 514 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.98 | | | $ | 67.81 | | | $ | 78.80 | | | $ | 70.41 | | | $ | 51.55 | | | $ | 57.76 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .55 | | | | .87 | | | | .57 | | | | .37 | | | | .33 | | | | .40 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.22 | | | | (21.19 | ) | | | (9.98 | ) | | | 8.33 | | | | 18.84 | | | | (6.32 | ) |
Total from investment operations | | | 4.77 | | | | (20.32 | ) | | | (9.41 | ) | | | 8.70 | | | | 19.17 | | | | (5.92 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Total distributions | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Net asset value, end of period | | $ | 51.75 | | | $ | 46.98 | | | $ | 67.81 | | | $ | 78.80 | | | $ | 70.41 | | | $ | 51.55 | |
|
Total Returnc | | | 10.15 | % | | | (30.25 | %) | | | (11.85 | %) | | | 12.37 | % | | | 37.21 | % | | | (10.31 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,537 | | | $ | 2,789 | | | $ | 4,849 | | | $ | 4,076 | | | $ | 5,934 | | | $ | 876 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.09 | % | | | 1.23 | % | | | 0.76 | % | | | 0.50 | % | | | 0.51 | % | | | 0.69 | % |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.63 | % | | | 1.59 | % |
Portfolio turnover rate | | | 300 | % | | | 360 | % | | | 633 | % | | | 772 | % | | | 907 | % | | | 514 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.57 | | | $ | 60.51 | | | $ | 71.05 | | | $ | 63.98 | | | $ | 47.22 | | | $ | 53.34 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .31 | | | | .31 | | | | (.05 | ) | | | (.17 | ) | | | (.05 | ) | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.74 | | | | (18.74 | ) | | | (8.91 | ) | | | 7.55 | | | | 17.12 | | | | (5.86 | ) |
Total from investment operations | | | 4.05 | | | | (18.43 | ) | | | (8.96 | ) | | | 7.38 | | | | 17.07 | | | | (5.83 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Total distributions | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Net asset value, end of period | | $ | 45.62 | | | $ | 41.57 | | | $ | 60.51 | | | $ | 71.05 | | | $ | 63.98 | | | $ | 47.22 | |
|
Total Returnc | | | 9.74 | % | | | (30.78 | %) | | | (12.51 | %) | | | 11.54 | % | | | 36.18 | % | | | (10.99 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 616 | | | $ | 764 | | | $ | 1,284 | | | $ | 4,079 | | | $ | 5,634 | | | $ | 3,188 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.32 | % | | | 0.49 | % | | | (0.07 | %) | | | (0.25 | %) | | | (0.09 | %) | | | 0.05 | % |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 300 | % | | | 360 | % | | | 633 | % | | | 772 | % | | | 907 | % | | | 514 | % |
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.73 | | | $ | 66.00 | | | $ | 76.78 | | | $ | 68.61 | | | $ | 50.22 | | | $ | 56.30 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .54 | | | | .74 | | | | .45 | | | | .39 | | | | .29 | | | | .33 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.11 | | | | (20.50 | ) | | | (9.65 | ) | | | 8.09 | | | | 18.41 | | | | (6.12 | ) |
Total from investment operations | | | 4.65 | | | | (19.76 | ) | | | (9.20 | ) | | | 8.48 | | | | 18.70 | | | | (5.79 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Total distributions | | | — | | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) |
Net asset value, end of period | | $ | 50.38 | | | $ | 45.73 | | | $ | 66.00 | | | $ | 76.78 | | | $ | 68.61 | | | $ | 50.22 | |
|
Total Return | | | 10.17 | % | | | (30.24 | %) | | | (11.89 | %) | | | 12.38 | % | | | 37.26 | % | | | (10.34 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 101 | | | $ | 162 | | | $ | 1,531 | | | $ | 14,220 | | | $ | 8,467 | | | $ | 1,360 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.08 | % | | | 1.02 | % | | | 0.60 | % | | | 0.52 | % | | | 0.45 | % | | | 0.57 | % |
Total expenses | | | 1.73 | % | | | 1.74 | % | | | 1.70 | % | | | 1.62 | % | | | 1.63 | % | | | 1.68 | % |
Portfolio turnover rate | | | 300 | % | | | 360 | % | | | 633 | % | | | 772 | % | | | 907 | % | | | 514 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
Air Products & Chemicals, Inc. | 3.6% |
Sherwin-Williams Co. | 3.5% |
Ecolab, Inc. | 3.3% |
Newmont Corp. | 3.1% |
DuPont de Nemours, Inc. | 2.7% |
Dow, Inc. | 2.5% |
PPG Industries, Inc. | 2.3% |
Ball Corp. | 2.3% |
Corteva, Inc. | 2.0% |
Freeport-McMoRan, Inc. | 2.0% |
Top Ten Total | 27.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 43.01% | 7.95% | 11.01% | 3.88% |
A-Class Shares | 42.83% | 7.69% | 10.73% | 3.62% |
A-Class Shares with sales charge‡ | 36.05% | 2.56% | 9.66% | 3.12% |
C-Class Shares | 42.26% | 6.88% | 9.91% | 2.85% |
C-Class Shares with CDSC§ | 41.26% | 5.88% | 9.91% | 2.85% |
H-Class Shares** | 42.83% | 7.70% | 10.75% | 3.50% |
S&P 500 Materials Index | 42.78% | 12.19% | 12.18% | 9.42% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.6% |
| | | | | | | | | |
Chemicals - 44.2% |
Air Products & Chemicals, Inc. | | | 3,968 | | | $ | 1,181,908 | |
Sherwin-Williams Co. | | | 1,659 | | | | 1,155,892 | |
Ecolab, Inc. | | | 5,444 | | | | 1,087,929 | |
DuPont de Nemours, Inc. | | | 16,029 | | | | 889,289 | |
Dow, Inc. | | | 17,449 | | | | 820,975 | |
PPG Industries, Inc. | | | 6,256 | | | | 763,732 | |
LyondellBasell Industries N.V. — Class A | | | 9,294 | | | | 655,134 | |
Linde plc | | | 2,421 | | | | 576,513 | |
International Flavors & Fragrances, Inc.1 | | | 4,296 | | | | 526,045 | |
FMC Corp. | | | 4,924 | | | | 521,501 | |
Celanese Corp. — Class A | | | 4,701 | | | | 505,122 | |
RPM International, Inc. | | | 5,800 | | | | 480,472 | |
Eastman Chemical Co. | | | 5,738 | | | | 448,253 | |
Albemarle Corp. | | | 4,703 | | | | 419,884 | |
Westlake Chemical Corp. | | | 6,241 | | | | 394,556 | |
Mosaic Co. | | | 19,935 | | | | 364,212 | |
CF Industries Holdings, Inc. | | | 11,298 | | | | 346,962 | |
Nutrien Ltd. | | | 8,407 | | | | 329,807 | |
Axalta Coating Systems Ltd.* | | | 14,337 | | | | 317,851 | |
Huntsman Corp. | | | 13,702 | | | | 304,321 | |
Ashland Global Holdings, Inc. | | | 4,262 | | | | 302,261 | |
Balchem Corp. | | | 2,692 | | | | 262,820 | |
Valvoline, Inc. | | | 13,715 | | | | 261,134 | |
Quaker Chemical Corp. | | | 1,430 | | | | 256,985 | |
Chemours Co. | | | 12,247 | | | | 256,085 | |
Element Solutions, Inc.* | | | 21,599 | | | | 227,006 | |
Sensient Technologies Corp. | | | 3,890 | | | | 224,609 | |
W R Grace & Co. | | | 5,334 | | | | 214,907 | |
Olin Corp. | | | 16,106 | | | | 199,392 | |
Ingevity Corp.* | | | 3,950 | | | | 195,288 | |
Innospec, Inc. | | | 2,820 | | | | 178,562 | |
Total Chemicals | | | | | | | 14,669,407 | |
| | | | | | | | | |
Mining - 18.7% |
Newmont Corp. | | | 16,243 | | | | 1,030,618 | |
Freeport-McMoRan, Inc. | | | 42,488 | | | | 664,512 | |
Barrick Gold Corp. | | | 17,345 | | | | 487,568 | |
Royal Gold, Inc. | | | 3,352 | | | | 402,810 | |
Franco-Nevada Corp. | | | 2,523 | | | | 352,160 | |
BHP Group Ltd. ADR | | | 6,745 | | | | 348,784 | |
Agnico Eagle Mines Ltd. | | | 4,352 | | | | 346,463 | |
Wheaton Precious Metals Corp. | | | 6,998 | | | | 343,392 | |
Rio Tinto plc ADR | | | 5,685 | | | | 343,317 | |
AngloGold Ashanti Ltd. ADR | | | 12,419 | | | | 327,613 | |
Kirkland Lake Gold Ltd. | | | 6,560 | | | | 319,669 | |
Teck Resources Ltd. — Class B | | | 22,845 | | | | 318,002 | |
Pan American Silver Corp. | | | 9,867 | | | | 317,224 | |
SSR Mining, Inc.*,1 | | | 14,430 | | | | 269,408 | |
Alcoa Corp.* | | | 17,522 | | | | 203,781 | |
Kaiser Aluminum Corp. | | | 2,367 | | | | 126,848 | |
Total Mining | | | | | | | 6,202,169 | |
| | | | | | | | | |
Packaging & Containers - 12.9% |
Ball Corp. | | | 9,163 | | | | 761,629 | |
Crown Holdings, Inc.* | | | 6,176 | | | | 474,687 | |
Packaging Corporation of America | | | 4,207 | | | | 458,773 | |
Westrock Co. | | | 11,961 | | | | 415,525 | |
Amcor plc | | | 33,954 | | | | 375,192 | |
Berry Global Group, Inc.* | | | 7,489 | | | | 361,869 | |
Sealed Air Corp. | | | 9,184 | | | | 356,431 | |
Sonoco Products Co. | | | 6,419 | | | | 327,818 | |
Silgan Holdings, Inc. | | | 8,062 | | | | 296,440 | |
Graphic Packaging Holding Co. | | | 20,566 | | | | 289,775 | |
O-I Glass, Inc. | | | 17,065 | | | | 180,718 | |
Total Packaging & Containers | | | | | | | 4,298,857 | |
| | | | | | | | | |
Iron & Steel - 7.8% |
Nucor Corp. | | | 11,347 | | | | 509,026 | |
Vale S.A. ADR | | | 38,040 | | | | 402,463 | |
Reliance Steel & Aluminum Co. | | | 3,549 | | | | 362,140 | |
Steel Dynamics, Inc. | | | 11,872 | | | | 339,895 | |
ArcelorMittal S.A.* | | | 23,983 | | | | 317,775 | |
Commercial Metals Co. | | | 10,817 | | | | 216,124 | |
United States Steel Corp.1 | | | 22,793 | | | | 167,301 | |
Allegheny Technologies, Inc.* | | | 16,644 | | | | 145,136 | |
Carpenter Technology Corp. | | | 7,343 | | | | 133,349 | |
Total Iron & Steel | | | | | | | 2,593,209 | |
| | | | | | | | | |
Building Materials - 5.8% |
Vulcan Materials Co. | | | 4,600 | | | | 623,484 | |
Martin Marietta Materials, Inc. | | | 2,414 | | | | 568,159 | |
Eagle Materials, Inc. | | | 3,170 | | | | 273,634 | |
Louisiana-Pacific Corp. | | | 8,729 | | | | 257,593 | |
Summit Materials, Inc. — Class A* | | | 12,311 | | | | 203,624 | |
Total Building Materials | | | | | | | 1,926,494 | |
| | | | | | | | | |
Forest Products & Paper - 2.2% |
International Paper Co. | | | 13,873 | | | | 562,411 | |
Domtar Corp. | | | 6,276 | | | | 164,871 | |
Total Forest Products & Paper | | | | | | | 727,282 | |
| | | | | | | | | |
Biotechnology - 2.0% |
Corteva, Inc. | | | 23,175 | | | | 667,672 | |
| | | | | | | | | |
Household Products & Housewares - 1.4% |
Avery Dennison Corp. | | | 3,727 | | | | 476,459 | |
| | | | | | | | | |
Housewares - 1.3% |
Scotts Miracle-Gro Co. — Class A | | | 2,780 | | | | 425,090 | |
| | | | | | | | | |
Miscellaneous Manufacturing - 1.2% |
AptarGroup, Inc. | | | 3,484 | | | | 394,389 | |
| | | | | | | | | |
Distribution & Wholesale - 0.7% |
Avient Corp. | | | 8,370 | | | | 221,470 | |
| | | | | | | | | |
Coal - 0.4% |
Warrior Met Coal, Inc. | | | 7,045 | | | | 120,329 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $25,191,523) | | | | | | | 32,722,827 | |
| | | | | | | | | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
EXCHANGE-TRADED FUNDS† - 1.1% |
VanEck Vectors Junior Gold Miners ETF | | | 6,241 | | | $ | 345,502 | |
Total Exchange-Traded Funds | | | | |
(Cost $277,597) | | | | | | | 345,502 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 170,879 | | | | 170,879 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 71,124 | | | | 71,124 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 64,723 | | | | 64,723 | |
Total Repurchase Agreements | | | | |
(Cost $306,726) | | | | | | | 306,726 | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 637,988 | | | | 637,988 | |
Total Securities Lending Collateral | | | | |
(Cost $637,988) | | | | | | | 637,988 | |
| | | | | | | | | |
Total Investments - 102.5% | | | | |
(Cost $26,413,834) | | $ | 34,013,043 | |
Other Assets & Liabilities, net - (2.5)% | | | (829,951 | ) |
Total Net Assets - 100.0% | | $ | 33,183,092 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 32,722,827 | | | $ | — | | | $ | — | | | $ | 32,722,827 | |
Exchange-Traded Funds | | | 345,502 | | | | — | | | | — | | | | 345,502 | |
Repurchase Agreements | | | — | | | | 306,726 | | | | — | | | | 306,726 | |
Securities Lending Collateral | | | 637,988 | | | | — | | | | — | | | | 637,988 | |
Total Assets | | $ | 33,706,317 | | | $ | 306,726 | | | $ | — | | | $ | 34,013,043 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $623,841 of securities loaned (cost $26,107,108) | | $ | 33,706,317 | |
Repurchase agreements, at value (cost $306,726) | | | 306,726 | |
Cash | | | 946 | |
Receivables: |
Dividends | | | 52,011 | |
Fund shares sold | | | 7,070 | |
Foreign tax reclaims | | | 194 | |
Securities lending income | | | 112 | |
Total assets | | | 34,073,376 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 637,988 | |
Deferred foreign capital gain taxes | | | 130,382 | |
Fund shares redeemed | | | 56,151 | |
Management fees | | | 22,568 | |
Transfer agent and administrative fees | | | 7,141 | |
Distribution and service fees | | | 2,869 | |
Portfolio accounting fees | | | 2,656 | |
Trustees’ fees* | | | 443 | |
Miscellaneous | | | 30,086 | |
Total liabilities | | | 890,284 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 33,183,092 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 30,250,034 | |
Total distributable earnings (loss) | | | 2,933,058 | |
Net assets | | $ | 33,183,092 | |
| | | | | |
Investor Class: |
Net assets | | $ | 23,523,820 | |
Capital shares outstanding | | | 388,055 | |
Net asset value per share | | $ | 60.62 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,767,340 | |
Capital shares outstanding | | | 66,929 | |
Net asset value per share | | $ | 56.29 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 59.10 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,063,693 | |
Capital shares outstanding | | | 42,454 | |
Net asset value per share | | $ | 48.61 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,828,239 | |
Capital shares outstanding | | | 70,257 | |
Net asset value per share | | $ | 54.49 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,633) | | $ | 290,131 | |
Interest | | | 64 | |
Income from securities lending, net | | | 1,378 | |
Total investment income | | | 291,573 | |
| | | | | |
Expenses: |
Management fees | | | 108,624 | |
Distribution and service fees: |
A-Class | | | 4,547 | |
C-Class | | | 9,724 | |
H-Class | | | 1,340 | |
Transfer agent and administrative fees | | | 36,205 | |
Registration fees | | | 14,068 | |
Portfolio accounting fees | | | 12,783 | |
Professional fees | | | 8,932 | |
Custodian fees | | | 1,829 | |
Trustees’ fees* | | | 607 | |
Miscellaneous | | | 6,765 | |
Total expenses | | | 205,424 | |
Net investment income | | | 86,149 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (76,882 | ) |
Net realized loss | | | (76,882 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 8,254,856 | |
Net change in unrealized appreciation (depreciation) | | | 8,254,856 | |
Net realized and unrealized gain | | | 8,177,974 | |
Net increase in net assets resulting from operations | | $ | 8,264,123 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 86,149 | | | $ | 207,953 | |
Net realized gain (loss) on investments | | | (76,882 | ) | | | 1,496,946 | |
Net change in unrealized appreciation (depreciation) on investments | | | 8,254,856 | | | | (7,784,086 | ) |
Net increase (decrease) in net assets resulting from operations | | | 8,264,123 | | | | (6,079,187 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (1,041,004 | ) |
A-Class | | | — | | | | (222,796 | ) |
C-Class | | | — | | | | (126,761 | ) |
H-Class | | | — | | | | (70,981 | ) |
Total distributions to shareholders | | | — | | | | (1,461,542 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 21,740,902 | | | | 29,131,033 | |
A-Class | | | 281,919 | | | | 1,863,446 | |
C-Class | | | 460,732 | | | | 1,431,379 | |
H-Class | | | 2,877,063 | | | | 5,043,330 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 1,023,950 | |
A-Class | | | — | | | | 212,298 | |
C-Class | | | — | | | | 125,218 | |
H-Class | | | — | | | | 70,857 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (17,497,492 | ) | | | (37,986,062 | ) |
A-Class | | | (715,674 | ) | | | (4,863,920 | ) |
C-Class | | | (574,637 | ) | | | (2,316,529 | ) |
H-Class | | | (283,644 | ) | | | (5,432,603 | ) |
Net increase (decrease) from capital share transactions | | | 6,289,169 | | | | (11,697,603 | ) |
Net increase (decrease) in net assets | | | 14,553,292 | | | | (19,238,332 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 18,629,800 | | | | 37,868,132 | |
End of period | | $ | 33,183,092 | | | $ | 18,629,800 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 389,259 | | | | 497,060 | |
A-Class | | | 5,469 | | | | 33,828 | |
C-Class | | | 10,959 | | | | 30,294 | |
H-Class | | | 54,592 | | | | 97,382 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 17,636 | |
A-Class | | | — | | | | 3,930 | |
C-Class | | | — | | | | 2,668 | |
H-Class | | | — | | | | 1,355 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (315,237 | ) | | | (660,790 | ) |
A-Class | | | (13,786 | ) | | | (87,985 | ) |
C-Class | | | (13,177 | ) | | | (49,672 | ) |
H-Class | | | (5,952 | ) | | | (104,189 | ) |
Net increase (decrease) in shares | | | 112,127 | | | | (218,483 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 42.39 | | | $ | 58.04 | | | $ | 60.37 | | | $ | 55.71 | | | $ | 45.18 | | | $ | 50.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .43 | | | | .35 | | | | .11 | | | | .18 | | | | .26 | |
Net gain (loss) on investments (realized and unrealized) | | | 18.01 | | | | (13.42 | ) | | | (1.85 | ) | | | 4.80 | | | | 10.92 | | | | (4.39 | ) |
Total from investment operations | | | 18.23 | | | | (12.99 | ) | | | (1.50 | ) | | | 4.91 | | | | 11.10 | | | | (4.13 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net realized gains | | | — | | | | (1.76 | ) | | | (.59 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net asset value, end of period | | $ | 60.62 | | | $ | 42.39 | | | $ | 58.04 | | | $ | 60.37 | | | $ | 55.71 | | | $ | 45.18 | |
|
Total Return | | | 43.01 | % | | | (23.61 | %) | | | (2.36 | %) | | | 8.81 | % | | | 24.65 | % | | | (8.07 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 23,524 | | | $ | 13,313 | | | $ | 26,704 | | | $ | 51,589 | | | $ | 56,854 | | | $ | 30,653 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.81 | % | | | 0.74 | % | | | 0.59 | % | | | 0.18 | % | | | 0.35 | % | | | 0.55 | % |
Total expensesc | | | 1.49 | % | | | 1.48 | % | | | 1.47 | % | | | 1.38 | % | | | 1.37 | % | | | 1.35 | % |
Portfolio turnover rate | | | 70 | % | | | 67 | % | | | 247 | % | | | 257 | % | | | 361 | % | | | 471 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.41 | | | $ | 54.27 | | | $ | 56.66 | | | $ | 52.42 | | | $ | 42.65 | | | $ | 47.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .12 | | | | .26 | | | | .25 | | | | (.01 | ) | | | .03 | | | | .10 | |
Net gain (loss) on investments (realized and unrealized) | | | 16.76 | | | | (12.46 | ) | | | (1.81 | ) | | | 4.50 | | | | 10.31 | | | | (4.12 | ) |
Total from investment operations | | | 16.88 | | | | (12.20 | ) | | | (1.56 | ) | | | 4.49 | | | | 10.34 | | | | (4.02 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net realized gains | | | — | | | | (1.76 | ) | | | (.59 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net asset value, end of period | | $ | 56.29 | | | $ | 39.41 | | | $ | 54.27 | | | $ | 56.66 | | | $ | 52.42 | | | $ | 42.65 | |
|
Total Returnd | | | 42.83 | % | | | (23.80 | %) | | | (2.60 | %) | | | 8.56 | % | | | 24.33 | % | | | (8.29 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,767 | | | $ | 2,966 | | | $ | 6,810 | | | $ | 9,070 | | | $ | 16,355 | | | $ | 4,152 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.49 | % | | | 0.48 | % | | | 0.45 | % | | | (0.02 | %) | | | 0.06 | % | | | 0.24 | % |
Total expensesc | | | 1.74 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 70 | % | | | 67 | % | | | 247 | % | | | 257 | % | | | 361 | % | | | 471 | % |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.17 | | | $ | 47.73 | | | $ | 50.32 | | | $ | 46.93 | | | $ | 38.52 | | | $ | 43.36 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.06 | ) | | | (.11 | ) | | | (.21 | ) | | | (.38 | ) | | | (.29 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.50 | | | | (10.79 | ) | | | (1.55 | ) | | | 4.02 | | | | 9.27 | | | | (3.80 | ) |
Total from investment operations | | | 14.44 | | | | (10.90 | ) | | | (1.76 | ) | | | 3.64 | | | | 8.98 | | | | (3.97 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net realized gains | | | — | | | | (1.76 | ) | | | (.59 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net asset value, end of period | | $ | 48.61 | | | $ | 34.17 | | | $ | 47.73 | | | $ | 50.32 | | | $ | 46.93 | | | $ | 38.52 | |
|
Total Returnd | | | 42.26 | % | | | (24.35 | %) | | | (3.35 | %) | | | 7.75 | % | | | 23.41 | % | | | (8.98 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,064 | | | $ | 1,526 | | | $ | 2,930 | | | $ | 5,494 | | | $ | 5,824 | | | $ | 2,430 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.26 | %) | | | (0.23 | %) | | | (0.42 | %) | | | (0.75 | %) | | | (0.66 | %) | | | (0.43 | %) |
Total expensesc | | | 2.49 | % | | | 2.47 | % | | | 2.47 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 70 | % | | | 67 | % | | | 247 | % | | | 257 | % | | | 361 | % | | | 471 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.15 | | | $ | 52.62 | | | $ | 54.95 | | | $ | 50.84 | | | $ | 41.37 | | | $ | 46.19 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .14 | | | | .27 | | | | .12 | | | | (.05 | ) | | | .01 | | | | .09 | |
Net gain (loss) on investments (realized and unrealized) | | | 16.20 | | | | (12.08 | ) | | | (1.62 | ) | | | 4.41 | | | | 10.03 | | | | (4.04 | ) |
Total from investment operations | | | 16.34 | | | | (11.81 | ) | | | (1.50 | ) | | | 4.36 | | | | 10.04 | | | | (3.95 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net realized gains | | | — | | | | (1.76 | ) | | | (.59 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) |
Net asset value, end of period | | $ | 54.49 | | | $ | 38.15 | | | $ | 52.62 | | | $ | 54.95 | | | $ | 50.84 | | | $ | 41.37 | |
|
Total Return | | | 42.83 | % | | | (23.81 | %) | | | (2.59 | %) | | | 8.57 | % | | | 24.36 | % | | | (8.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,828 | | | $ | 825 | | | $ | 1,424 | | | $ | 9,220 | | | $ | 8,077 | | | $ | 2,612 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.58 | % | | | 0.51 | % | | | 0.21 | % | | | (0.09 | %) | | | 0.03 | % | | | 0.24 | % |
Total expensesc | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.62 | % | | | 1.62 | % | | | 1.64 | % |
Portfolio turnover rate | | | 70 | % | | | 67 | % | | | 247 | % | | | 257 | % | | | 361 | % | | | 471 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Total return does not reflect the impact of any applicable sales charges. |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 1, 1998 |
Ten Largest Holdings (% of Total Net Assets) |
Amgen, Inc. | 7.0% |
AbbVie, Inc. | 7.0% |
Gilead Sciences, Inc. | 5.0% |
Vertex Pharmaceuticals, Inc. | 4.8% |
Regeneron Pharmaceuticals, Inc. | 4.4% |
Illumina, Inc. | 4.0% |
Biogen, Inc. | 3.9% |
Seattle Genetics, Inc. | 3.5% |
Moderna, Inc. | 3.1% |
Alexion Pharmaceuticals, Inc. | 2.9% |
Top Ten Total | 45.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 28.88% | 31.68% | 7.55% | 16.70% |
A-Class Shares | 28.73% | 31.36% | 7.28% | 16.41% |
A-Class Shares with sales charge‡ | 22.61% | 25.12% | 6.24% | 15.85% |
C-Class Shares | 28.24% | 30.37% | 6.48% | 15.54% |
C-Class Shares with CDSC§ | 27.24% | 29.37% | 6.48% | 15.54% |
H-Class Shares** | 28.72% | 31.36% | 7.28% | 16.27% |
S&P 500 Health Care Index | 20.25% | 20.11% | 11.88% | 15.40% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
BIOTECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Biotechnology - 75.7% |
Amgen, Inc. | | | 50,484 | | | $ | 12,831,013 | |
Gilead Sciences, Inc. | | | 145,017 | | | | 9,163,624 | |
Vertex Pharmaceuticals, Inc.* | | | 31,980 | | | | 8,702,398 | |
Regeneron Pharmaceuticals, Inc.* | | | 14,326 | | | | 8,019,408 | |
Illumina, Inc.* | | | 23,943 | | | | 7,400,302 | |
Biogen, Inc.* | | | 24,970 | | | | 7,083,490 | |
Seattle Genetics, Inc.* | | | 32,819 | | | | 6,422,350 | |
Moderna, Inc.*,1 | | | 79,814 | | | | 5,646,841 | |
Alexion Pharmaceuticals, Inc.* | | | 46,050 | | | | 5,269,502 | |
Exact Sciences Corp.* | | | 46,904 | | | | 4,781,863 | |
Corteva, Inc. | | | 164,401 | | | | 4,736,393 | |
Immunomedics, Inc.* | | | 54,114 | | | | 4,601,313 | |
Incyte Corp.* | | | 50,994 | | | | 4,576,202 | |
Alnylam Pharmaceuticals, Inc.* | | | 30,948 | | | | 4,506,029 | |
BioMarin Pharmaceutical, Inc.* | | | 49,129 | | | | 3,737,734 | |
Guardant Health, Inc.* | | | 33,016 | | | | 3,690,528 | |
Mirati Therapeutics, Inc.* | | | 17,263 | | | | 2,866,521 | |
Acceleron Pharma, Inc.* | | | 24,562 | | | | 2,763,962 | |
Exelixis, Inc.* | | | 110,704 | | | | 2,706,713 | |
ACADIA Pharmaceuticals, Inc.* | | | 63,663 | | | | 2,626,099 | |
Ionis Pharmaceuticals, Inc.* | | | 54,519 | | | | 2,586,927 | |
Ultragenyx Pharmaceutical, Inc.* | | | 28,179 | | | | 2,316,032 | |
Iovance Biotherapeutics, Inc.* | | | 67,234 | | | | 2,213,343 | |
Arrowhead Pharmaceuticals, Inc.* | | | 50,057 | | | | 2,155,454 | |
United Therapeutics Corp.* | | | 21,148 | | | | 2,135,948 | |
FibroGen, Inc.* | | | 47,812 | | | | 1,966,029 | |
Bluebird Bio, Inc.* | | | 35,365 | | | | 1,907,942 | |
PTC Therapeutics, Inc.* | | | 38,968 | | | | 1,821,754 | |
BeiGene Ltd. ADR* | | | 5,800 | | | | 1,661,352 | |
Nektar Therapeutics* | | | 97,423 | | | | 1,616,248 | |
Inovio Pharmaceuticals, Inc.*,1 | | | 116,860 | | | | 1,355,576 | |
Ligand Pharmaceuticals, Inc. — Class B*,1 | | | 13,671 | | | | 1,303,120 | |
Sage Therapeutics, Inc.* | | | 20,116 | | | | 1,229,490 | |
Intercept Pharmaceuticals, Inc.* | | | 28,763 | | | | 1,192,514 | |
Myriad Genetics, Inc.* | | | 81,833 | | | | 1,067,102 | |
Total Biotechnology | | | | | | | 138,661,116 | |
| | | | | | | | | |
Pharmaceuticals - 19.7% |
AbbVie, Inc. | | | 146,002 | | | | 12,788,315 | |
Horizon Therapeutics plc* | | | 55,205 | | | | 4,288,324 | |
Sarepta Therapeutics, Inc.* | | | 24,269 | | | | 3,408,096 | |
Neurocrine Biosciences, Inc.* | | | 31,356 | | | | 3,015,193 | |
Mylan N.V.* | | | 185,027 | | | | 2,743,951 | |
PRA Health Sciences, Inc.* | | | 25,975 | | | | 2,634,904 | |
Jazz Pharmaceuticals plc* | | | 15,387 | | | | 2,194,032 | |
Global Blood Therapeutics, Inc.* | | | 34,855 | | | | 1,921,905 | |
Agios Pharmaceuticals, Inc.* | | | 43,800 | | | | 1,533,000 | |
Alkermes plc* | | | 88,567 | | | | 1,467,555 | |
Total Pharmaceuticals | | | | | | | 35,995,275 | |
| | | | | | | | | |
Healthcare-Products - 2.9% |
Bio-Techne Corp. | | | 13,008 | | | | 3,222,472 | |
Novocure Ltd.* | | | 18,563 | | | | 2,066,247 | |
Total Healthcare-Products | | | | | | | 5,288,719 | |
| | | | | | | | | |
Healthcare-Services - 1.3% |
Syneos Health, Inc.* | | | 45,520 | | | | 2,419,843 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $80,357,956) | | | | | | | 182,364,953 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Biotechnology - 0.0% |
Clinical Data, Inc.* | | | 24,000 | | | | — | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 762,778 | | | | 762,778 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 317,490 | | | | 317,490 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 288,915 | | | | 288,915 | |
Total Repurchase Agreements | | | | |
(Cost $1,369,183) | | | | | | | 1,369,183 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 3.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 5,605,263 | | | | 5,605,263 | |
Total Securities Lending Collateral | | | | |
(Cost $5,605,263) | | | | | | | 5,605,263 | |
| | | | | | | | | |
Total Investments - 103.4% | | | | |
(Cost $87,332,402) | | $ | 189,339,399 | |
Other Assets & Liabilities, net - (3.4)% | | | (6,165,567 | ) |
Total Net Assets - 100.0% | | $ | 183,173,832 | |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
BIOTECHNOLOGY FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 182,364,953 | | | $ | — | | | $ | — | | | $ | 182,364,953 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Repurchase Agreements | | | — | | | | 1,369,183 | | | | — | | | | 1,369,183 | |
Securities Lending Collateral | | | 5,605,263 | | | | — | | | | — | | | | 5,605,263 | |
Total Assets | | $ | 187,970,216 | | | $ | 1,369,183 | | | $ | — | | | $ | 189,339,399 | |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $5,505,078 of securities loaned (cost $85,963,219) | | $ | 187,970,216 | |
Repurchase agreements, at value (cost $1,369,183) | | | 1,369,183 | |
Receivables: |
Securities sold | | | 6,748,222 | |
Securities lending income | | | 15,176 | |
Fund shares sold | | | 6,110 | |
Total assets | | | 196,108,907 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 6,868,862 | |
Return of securities lending collateral | | | 5,605,263 | |
Management fees | | | 131,582 | |
Transfer agent and administrative fees | | | 41,638 | |
Portfolio accounting fees | | | 15,485 | |
Distribution and service fees | | | 13,842 | |
Trustees’ fees* | | | 3,764 | |
Miscellaneous | | | 254,639 | |
Total liabilities | | | 12,935,075 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 183,173,832 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 53,310,573 | |
Total distributable earnings (loss) | | | 129,863,259 | |
Net assets | | $ | 183,173,832 | |
| | | | | |
Investor Class: |
Net assets | | $ | 144,283,128 | |
Capital shares outstanding | | | 1,560,920 | |
Net asset value per share | | $ | 92.43 | |
| | | | | |
A-Class: |
Net assets | | $ | 19,785,742 | |
Capital shares outstanding | | | 236,762 | |
Net asset value per share | | $ | 83.57 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 87.74 | |
| | | | | |
C-Class: |
Net assets | | $ | 9,619,885 | |
Capital shares outstanding | | | 134,316 | |
Net asset value per share | | $ | 71.62 | |
| | | | | |
H-Class: |
Net assets | | $ | 9,485,077 | |
Capital shares outstanding | | | 117,518 | |
Net asset value per share | | $ | 80.71 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 938,272 | |
Interest | | | 317 | |
Income from securities lending, net | | | 19,667 | |
Total investment income | | | 958,256 | |
| | | | | |
Expenses: |
Management fees | | | 976,067 | |
Distribution and service fees: |
A-Class | | | 24,036 | |
C-Class | | | 50,202 | |
H-Class | | | 22,736 | |
Transfer agent and administrative fees | | | 325,715 | |
Registration fees | | | 126,409 | |
Portfolio accounting fees | | | 114,189 | |
Professional fees | | | 82,574 | |
Custodian fees | | | 16,442 | |
Trustees’ fees* | | | 5,524 | |
Miscellaneous | | | 65,717 | |
Total expenses | | | 1,809,611 | |
Net investment loss | | | (851,355 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 26,687,906 | |
Net realized gain | | | 26,687,906 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 32,194,660 | |
Net change in unrealized appreciation (depreciation) | | | 32,194,660 | |
Net realized and unrealized gain | | | 58,882,566 | |
Net increase in net assets resulting from operations | | $ | 58,031,211 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (851,355 | ) | | $ | (1,260,325 | ) |
Net realized gain on investments | | | 26,687,906 | | | | 30,914,727 | |
Net change in unrealized appreciation (depreciation) on investments | | | 32,194,660 | | | | (50,590,210 | ) |
Net increase (decrease) in net assets resulting from operations | | | 58,031,211 | | | | (20,935,808 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (7,452,087 | ) |
A-Class | | | — | | | | (840,011 | ) |
C-Class | | | — | | | | (571,551 | ) |
H-Class | | | — | | | | (695,143 | ) |
Total distributions to shareholders | | | — | | | | (9,558,792 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 119,337,703 | | | | 103,363,667 | |
A-Class | | | 6,416,562 | | | | 2,369,625 | |
C-Class | | | 1,321,216 | | | | 2,263,964 | |
H-Class | | | 23,365,816 | | | | 35,583,269 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 7,185,311 | |
A-Class | | | — | | | | 820,588 | |
C-Class | | | — | | | | 559,459 | |
H-Class | | | — | | | | 694,706 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (141,880,247 | ) | | | (142,739,172 | ) |
A-Class | | | (5,568,667 | ) | | | (9,063,961 | ) |
C-Class | | | (2,796,940 | ) | | | (6,580,327 | ) |
H-Class | | | (28,869,504 | ) | | | (38,250,877 | ) |
Net decrease from capital share transactions | | | (28,674,061 | ) | | | (43,793,748 | ) |
Net increase (decrease) in net assets | | | 29,357,150 | | | | (74,288,348 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 153,816,682 | | | | 228,105,030 | |
End of period | | $ | 183,173,832 | | | $ | 153,816,682 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,444,728 | | | | 1,275,833 | |
A-Class | | | 83,669 | | | | 33,243 | |
C-Class | | | 19,226 | | | | 37,703 | |
H-Class | | | 353,428 | | | | 504,782 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 85,509 | |
A-Class | | | — | | | | 10,780 | |
C-Class | | | — | | | | 8,524 | |
H-Class | | | — | | | | 9,449 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,587,577 | ) | | | (1,793,859 | ) |
A-Class | | | (71,257 | ) | | | (126,300 | ) |
C-Class | | | (40,539 | ) | | | (106,316 | ) |
H-Class | | | (369,327 | ) | | | (562,751 | ) |
Net decrease in shares | | | (167,649 | ) | | | (623,403 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.72 | | | $ | 83.02 | | | $ | 87.17 | | | $ | 79.72 | | | $ | 68.30 | | | $ | 93.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.29 | ) | | | (.44 | ) | | | (.68 | ) | | | (.62 | ) | | | (.57 | ) | | | (.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 21.00 | | | | (7.26 | ) | | | 6.42 | | | | 12.77 | | | | 11.99 | | | | (23.30 | ) |
Total from investment operations | | | 20.71 | | | | (7.70 | ) | | | 5.74 | | | | 12.15 | | | | 11.42 | | | | (24.05 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Total distributions | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Net asset value, end of period | | $ | 92.43 | | | $ | 71.72 | | | $ | 83.02 | | | $ | 87.17 | | | $ | 79.72 | | | $ | 68.30 | |
|
Total Return | | | 28.88 | % | | | (9.91 | %) | | | 7.94 | % | | | 15.34 | % | | | 16.71 | % | | | (25.98 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 144,283 | | | $ | 122,194 | | | $ | 177,344 | | | $ | 210,564 | | | $ | 238,614 | | | $ | 260,476 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.66 | %) | | | (0.56 | %) | | | (0.79 | %) | | | (0.70 | %) | | | (0.76 | %) | | | (0.84 | %) |
Total expenses | | | 1.49 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % | | | 1.37 | % | | | 1.32 | % |
Portfolio turnover rate | | | 66 | % | | | 64 | % | | | 100 | % | | | 105 | % | | | 207 | % | | | 83 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 64.92 | | | $ | 75.66 | | | $ | 80.55 | | | $ | 74.16 | | | $ | 63.69 | | | $ | 87.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.37 | ) | | | (.57 | ) | | | (.82 | ) | | | (.76 | ) | | | (.70 | ) | | | (.91 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 19.02 | | | | (6.57 | ) | | | 5.82 | | | | 11.85 | | | | 11.17 | | | | (21.75 | ) |
Total from investment operations | | | 18.65 | | | | (7.14 | ) | | | 5.00 | | | | 11.09 | | | | 10.47 | | | | (22.66 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Total distributions | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Net asset value, end of period | | $ | 83.57 | | | $ | 64.92 | | | $ | 75.66 | | | $ | 80.55 | | | $ | 74.16 | | | $ | 63.69 | |
|
Total Returnc | | | 28.73 | % | | | (10.14 | %) | | | 7.68 | % | | | 15.04 | % | | | 16.42 | % | | | (26.17 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 19,786 | | | $ | 14,565 | | | $ | 23,199 | | | $ | 27,370 | | | $ | 36,849 | | | $ | 48,672 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.91 | %) | | | (0.80 | %) | | | (1.04 | %) | | | (0.93 | %) | | | (1.01 | %) | | | (1.09 | %) |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.71 | % | | | 1.62 | % | | | 1.61 | % | | | 1.57 | % |
Portfolio turnover rate | | | 66 | % | | | 64 | % | | | 100 | % | | | 105 | % | | | 207 | % | | | 83 | % |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.85 | | | $ | 66.05 | | | $ | 72.14 | | | $ | 67.34 | | | $ | 58.27 | | | $ | 80.88 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.57 | ) | | | (.97 | ) | | | (1.27 | ) | | | (1.25 | ) | | | (1.11 | ) | | | (1.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.34 | | | | (5.63 | ) | | | 5.07 | | | | 10.75 | | | | 10.18 | | | | (19.93 | ) |
Total from investment operations | | | 15.77 | | | | (6.60 | ) | | | 3.80 | | | | 9.50 | | | | 9.07 | | | | (21.33 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Total distributions | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Net asset value, end of period | | $ | 71.62 | | | $ | 55.85 | | | $ | 66.05 | | | $ | 72.14 | | | $ | 67.34 | | | $ | 58.27 | |
|
Total Returnc | | | 28.24 | % | | | (10.80 | %) | | | 6.87 | % | | | 14.18 | % | | | 15.55 | % | | | (26.72 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,620 | | | $ | 8,692 | | | $ | 14,248 | | | $ | 20,104 | | | $ | 20,997 | | | $ | 26,185 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.65 | %) | | | (1.56 | %) | | | (1.79 | %) | | | (1.70 | %) | | | (1.76 | %) | | | (1.84 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.46 | % | | | 2.37 | % | | | 2.36 | % | | | 2.33 | % |
Portfolio turnover rate | | | 66 | % | | | 64 | % | | | 100 | % | | | 105 | % | | | 207 | % | | | 83 | % |
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.70 | | | $ | 73.18 | | | $ | 78.26 | | | $ | 72.16 | | | $ | 62.00 | | | $ | 85.38 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.32 | ) | | | (.59 | ) | | | (.82 | ) | | | (.69 | ) | | | (.70 | ) | | | (.96 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.33 | | | | (6.29 | ) | | | 5.63 | | | | 11.49 | | | | 10.86 | | | | (21.14 | ) |
Total from investment operations | | | 18.01 | | | | (6.88 | ) | | | 4.81 | | | | 10.80 | | | | 10.16 | | | | (22.10 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Total distributions | | | — | | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) | | | — | | | | (1.28 | ) |
Net asset value, end of period | | $ | 80.71 | | | $ | 62.70 | | | $ | 73.18 | | | $ | 78.26 | | | $ | 72.16 | | | $ | 62.00 | |
|
Total Return | | | 28.72 | % | | | (10.12 | %) | | | 7.66 | % | | | 15.04 | % | | | 16.39 | % | | | (26.22 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,485 | | | $ | 8,365 | | | $ | 13,315 | | | $ | 19,905 | | | $ | 19,308 | | | $ | 27,346 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.84 | %) | | | (0.85 | %) | | | (1.06 | %) | | | (0.87 | %) | | | (1.04 | %) | | | (1.17 | %) |
Total expenses | | | 1.76 | % | | | 1.73 | % | | | 1.71 | % | | | 1.62 | % | | | 1.61 | % | | | 1.65 | % |
Portfolio turnover rate | | | 66 | % | | | 64 | % | | | 100 | % | | | 105 | % | | | 207 | % | | | 83 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 7.1% |
Coca-Cola Co. | 5.4% |
PepsiCo, Inc. | 5.4% |
Philip Morris International, Inc. | 4.0% |
Mondelez International, Inc. — Class A | 3.5% |
Estee Lauder Companies, Inc. — Class A | 3.4% |
Altria Group, Inc. | 3.1% |
Colgate-Palmolive Co. | 3.1% |
Kimberly-Clark Corp. | 2.7% |
Monster Beverage Corp. | 2.5% |
Top Ten Total | 40.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 20.71% | 3.74% | 6.46% | 10.25% |
A-Class Shares | 20.57% | 3.49% | 6.19% | 9.98% |
A-Class Shares with sales charge‡ | 14.84% | (1.42%) | 5.16% | 9.44% |
C-Class Shares | 20.11% | 2.70% | 5.40% | 9.15% |
C-Class Shares with CDSC§ | 19.11% | 1.71% | 5.40% | 9.15% |
H-Class Shares** | 20.57% | 3.48% | 6.19% | 9.84% |
S&P 500 Consumer Staples Index | 19.34% | 7.79% | 9.40% | 11.77% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Food - 37.2% |
Mondelez International, Inc. — Class A | | | 74,272 | | | $ | 4,266,926 | |
General Mills, Inc. | | | 48,593 | | | | 2,997,216 | |
Kraft Heinz Co. | | | 94,375 | | | | 2,826,531 | |
Hershey Co. | | | 18,134 | | | | 2,599,328 | |
Sysco Corp. | | | 40,223 | | | | 2,502,675 | |
Kroger Co. | | | 71,692 | | | | 2,431,076 | |
McCormick & Company, Inc. | | | 12,468 | | | | 2,420,039 | |
Hormel Foods Corp. | | | 48,731 | | | | 2,382,459 | |
Kellogg Co. | | | 34,425 | | | | 2,223,511 | |
Tyson Foods, Inc. — Class A | | | 35,704 | | | | 2,123,674 | |
Conagra Brands, Inc. | | | 55,317 | | | | 1,975,370 | |
Campbell Soup Co. | | | 37,875 | | | | 1,832,014 | |
JM Smucker Co. | | | 15,101 | | | | 1,744,468 | |
Beyond Meat, Inc.*,1 | | | 9,290 | | | | 1,542,697 | |
Lamb Weston Holdings, Inc. | | | 20,963 | | | | 1,389,218 | |
Post Holdings, Inc.* | | | 13,171 | | | | 1,132,706 | |
Flowers Foods, Inc. | | | 44,383 | | | | 1,079,838 | |
Lancaster Colony Corp. | | | 5,833 | | | | 1,042,940 | |
Ingredion, Inc. | | | 13,308 | | | | 1,007,149 | |
US Foods Holding Corp.* | | | 43,197 | | | | 959,837 | |
Performance Food Group Co.* | | | 27,277 | | | | 944,330 | |
Grocery Outlet Holding Corp.* | | | 22,234 | | | | 874,241 | |
Pilgrim’s Pride Corp.* | | | 56,932 | | | | 851,987 | |
Hain Celestial Group, Inc.* | | | 24,812 | | | | 851,052 | |
Sprouts Farmers Market, Inc.* | | | 34,224 | | | | 716,308 | |
Simply Good Foods Co.* | | | 30,969 | | | | 682,867 | |
Hostess Brands, Inc.* | | | 47,278 | | | | 582,938 | |
Total Food | | | | | | | 45,983,395 | |
| | | | | | | | | |
Beverages - 26.5% |
Coca-Cola Co. | | | 136,443 | | | | 6,736,191 | |
PepsiCo, Inc. | | | 47,932 | | | | 6,643,375 | |
Monster Beverage Corp.* | | | 38,010 | | | | 3,048,402 | |
Keurig Dr Pepper, Inc. | | | 104,330 | | | | 2,879,508 | |
Constellation Brands, Inc. — Class A | | | 14,845 | | | | 2,813,276 | |
Brown-Forman Corp. — Class B | | | 36,247 | | | | 2,730,124 | |
Boston Beer Company, Inc. — Class A* | | | 1,715 | | | | 1,514,963 | |
Molson Coors Beverage Co. — Class B | | | 36,929 | | | | 1,239,337 | |
Coca-Cola European Partners plc | | | 29,583 | | | | 1,148,116 | |
Anheuser-Busch InBev S.A. ADR1 | | | 20,239 | | | | 1,090,477 | |
Diageo plc ADR | | | 7,540 | | | | 1,037,957 | |
Fomento Economico Mexicano SAB de CV ADR | | | 18,384 | | | | 1,032,997 | |
National Beverage Corp.*,1 | | | 12,024 | | | | 817,752 | |
Total Beverages | | | | | | | 32,732,475 | |
| | | | | | | | | |
Cosmetics & Personal Care - 14.5% |
Procter & Gamble Co. | | | 62,866 | | | | 8,737,745 | |
Estee Lauder Companies, Inc. — Class A | | | 19,168 | | | | 4,183,416 | |
Colgate-Palmolive Co. | | | 49,435 | | | | 3,813,910 | |
Unilever N.V. — Class Y | | | 19,241 | | | | 1,162,157 | |
Total Cosmetics & Personal Care | | | | | | | 17,897,228 | |
| | | | | | | | | |
Agriculture - 11.5% |
Philip Morris International, Inc. | | | 65,834 | | | | 4,936,892 | |
Altria Group, Inc. | | | 100,677 | | | | 3,890,159 | |
Archer-Daniels-Midland Co. | | | 50,303 | | | | 2,338,586 | |
British American Tobacco plc ADR | | | 31,944 | | | | 1,154,776 | |
Bunge Ltd. | | | 25,134 | | | | 1,148,624 | |
Sanderson Farms, Inc. | | | 6,327 | | | | 746,396 | |
Total Agriculture | | | | | | | 14,215,433 | |
| | | | | | | | | |
Household Products & Housewares - 6.5% |
Kimberly-Clark Corp. | | | 22,611 | | | | 3,338,740 | |
Clorox Co. | | | 11,550 | | | | 2,427,463 | |
Church & Dwight Company, Inc. | | | 24,191 | | | | 2,266,939 | |
Total Household Products & Housewares | | | | | | | 8,033,142 | |
| | | | | | | | | |
Retail - 1.8% |
Casey’s General Stores, Inc. | | | 6,712 | | | | 1,192,387 | |
Freshpet, Inc.* | | | 9,236 | | | | 1,031,199 | |
Total Retail | | | | | | | 2,223,586 | |
| | | | | | | | | |
Pharmaceuticals - 0.9% |
Herbalife Nutrition Ltd.* | | | 25,578 | | | | 1,193,214 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.6% |
Energizer Holdings, Inc. | | | 19,316 | | | | 756,028 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $68,625,308) | | | | | | | 123,034,501 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.3% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 199,897 | | | | 199,897 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 83,203 | | | | 83,203 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 75,714 | | | | 75,714 | |
Total Repurchase Agreements | | | | |
(Cost $358,814) | | | | | | | 358,814 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 1.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 1,824,667 | | | $ | 1,824,667 | |
Total Securities Lending Collateral | | | | |
(Cost $1,824,667) | | | | | | | 1,824,667 | |
| | | | | | | | | |
Total Investments - 101.3% | | | | |
(Cost $70,808,789) | | $ | 125,217,982 | |
Other Assets & Liabilities, net - (1.3)% | | | (1,639,514 | ) |
Total Net Assets - 100.0% | | $ | 123,578,468 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 123,034,501 | | | $ | — | | | $ | — | | | $ | 123,034,501 | |
Repurchase Agreements | | | — | | | | 358,814 | | | | — | | | | 358,814 | |
Securities Lending Collateral | | | 1,824,667 | | | | — | | | | — | | | | 1,824,667 | |
Total Assets | | $ | 124,859,168 | | | $ | 358,814 | | | $ | — | | | $ | 125,217,982 | |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $1,785,772 of securities loaned (cost $70,449,975) | | $ | 124,859,168 | |
Repurchase agreements, at value (cost $358,814) | | | 358,814 | |
Receivables: |
Dividends | | | 297,186 | |
Fund shares sold | | | 243,181 | |
Securities lending income | | | 665 | |
Total assets | | | 125,759,014 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,824,667 | |
Management fees | | | 87,387 | |
Fund shares redeemed | | | 68,263 | |
Transfer agent and administrative fees | | | 27,653 | |
Distribution and service fees | | | 11,819 | |
Portfolio accounting fees | | | 10,284 | |
Trustees’ fees* | | | 2,193 | |
Miscellaneous | | | 148,280 | |
Total liabilities | | | 2,180,546 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 123,578,468 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 66,467,845 | |
Total distributable earnings (loss) | | | 57,110,623 | |
Net assets | | $ | 123,578,468 | |
| | | | | |
Investor Class: |
Net assets | | $ | 98,470,028 | |
Capital shares outstanding | | | 1,542,649 | |
Net asset value per share | | $ | 63.83 | |
| | | | | |
A-Class: |
Net assets | | $ | 9,323,509 | |
Capital shares outstanding | | | 161,504 | |
Net asset value per share | | $ | 57.73 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 60.61 | |
| | | | | |
C-Class: |
Net assets | | $ | 10,463,562 | |
Capital shares outstanding | | | 217,358 | |
Net asset value per share | | $ | 48.14 | |
| | | | | |
H-Class: |
Net assets | | $ | 5,321,369 | |
Capital shares outstanding | | | 96,095 | |
Net asset value per share | | $ | 55.38 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,559) | | $ | 1,556,179 | |
Interest | | | 119 | |
Income from securities lending, net | | | 4,481 | |
Total investment income | | | 1,560,779 | |
| | | | | |
Expenses: |
Management fees | | | 525,669 | |
Distribution and service fees: |
A-Class | | | 11,801 | |
C-Class | | | 52,392 | |
H-Class | | | 6,362 | |
Transfer agent and administrative fees | | | 176,234 | |
Registration fees | | | 68,079 | |
Portfolio accounting fees | | | 61,861 | |
Professional fees | | | 44,553 | |
Custodian fees | | | 9,002 | |
Trustees’ fees* | | | 2,981 | |
Miscellaneous | | | 31,878 | |
Total expenses | | | 990,812 | |
Net investment income | | | 569,967 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,537,176 | |
Net realized gain | | | 3,537,176 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 18,232,696 | |
Net change in unrealized appreciation (depreciation) | | | 18,232,696 | |
Net realized and unrealized gain | | | 21,769,872 | |
Net increase in net assets resulting from operations | | $ | 22,339,839 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 569,967 | | | $ | 1,617,838 | |
Net realized gain on investments | | | 3,537,176 | | | | 13,380,802 | |
Net change in unrealized appreciation (depreciation) on investments | | | 18,232,696 | | | | (24,843,578 | ) |
Net increase (decrease) in net assets resulting from operations | | | 22,339,839 | | | | (9,844,938 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (2,921,088 | ) |
A-Class | | | — | | | | (339,079 | ) |
C-Class | | | — | | | | (437,102 | ) |
H-Class | | | — | | | | (268,490 | ) |
Total distributions to shareholders | | | — | | | | (3,965,759 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 27,100,147 | | | | 103,025,889 | |
A-Class | | | 424,308 | | | | 3,280,213 | |
C-Class | | | 489,595 | | | | 652,064 | |
H-Class | | | 1,210,236 | | | | 17,063,752 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 2,872,298 | |
A-Class | | | — | | | | 332,113 | |
C-Class | | | — | | | | 427,574 | |
H-Class | | | — | | | | 268,419 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (26,341,330 | ) | | | (158,047,872 | ) |
A-Class | | | (1,396,432 | ) | | | (7,590,061 | ) |
C-Class | | | (1,734,191 | ) | | | (4,860,834 | ) |
H-Class | | | (1,064,305 | ) | | | (22,448,593 | ) |
Net decrease from capital share transactions | | | (1,311,972 | ) | | | (65,025,038 | ) |
Net increase (decrease) in net assets | | | 21,027,867 | | | | (78,835,735 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 102,550,601 | | | | 181,386,336 | |
End of period | | $ | 123,578,468 | | | $ | 102,550,601 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 470,197 | | | | 1,679,253 | |
A-Class | | | 7,744 | | | | 58,717 | |
C-Class | | | 10,535 | | | | 13,969 | |
H-Class | | | 23,332 | | | | 320,741 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 46,060 | |
A-Class | | | — | | | | 5,877 | |
C-Class | | | — | | | | 9,019 | |
H-Class | | | — | | | | 4,951 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (438,403 | ) | | | (2,609,348 | ) |
A-Class | | | (25,033 | ) | | | (137,756 | ) |
C-Class | | | (38,087 | ) | | | (103,813 | ) |
H-Class | | | (20,518 | ) | | | (426,735 | ) |
Net decrease in shares | | | (10,233 | ) | | | (1,139,065 | ) |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.88 | | | $ | 59.56 | | | $ | 61.08 | | | $ | 66.06 | | | $ | 62.84 | | | $ | 58.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .31 | | | | .72 | | | | .92 | | | | .56 | | | | .51 | | | | .61 | |
Net gain (loss) on investments (realized and unrealized) | | | 10.64 | | | | (5.71 | ) | | | 1.40 | | | | (.37 | ) | | | 3.58 | | | | 4.92 | |
Total from investment operations | | | 10.95 | | | | (4.99 | ) | | | 2.32 | | | | .19 | | | | 4.09 | | | | 5.53 | |
Less distributions from: |
Net investment income | | | — | | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) |
Net realized gains | | | — | | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) |
Total distributions | | | — | | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) |
Net asset value, end of period | | $ | 63.83 | | | $ | 52.88 | | | $ | 59.56 | | | $ | 61.08 | | | $ | 66.06 | | | $ | 62.84 | |
|
Total Return | | | 20.71 | % | | | (8.81 | %) | | | 4.09 | % | | | (0.04 | %) | | | 6.62 | % | | | 9.65 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 98,470 | | | $ | 79,890 | | | $ | 142,633 | | | $ | 152,717 | | | $ | 207,683 | | | $ | 276,578 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.03 | % | | | 1.17 | % | | | 1.56 | % | | | 0.86 | % | | | 0.79 | % | | | 1.03 | % |
Total expenses | | | 1.49 | % | | | 1.47 | % | | | 1.46 | % | | | 1.38 | % | | | 1.36 | % | | | 1.34 | % |
Portfolio turnover rate | | | 24 | % | | | 59 | % | | | 84 | % | | | 80 | % | | | 75 | % | | | 104 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.88 | | | $ | 54.21 | | | $ | 56.08 | | | $ | 61.21 | | | $ | 58.43 | | | $ | 54.66 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .21 | | | | .51 | | | | .69 | | | | .36 | | | | .33 | | | | .45 | |
Net gain (loss) on investments (realized and unrealized) | | | 9.64 | | | | (5.15 | ) | | | 1.28 | | | | (.32 | ) | | | 3.32 | | | | 4.56 | |
Total from investment operations | | | 9.85 | | | | (4.64 | ) | | | 1.97 | | | | .04 | | | | 3.65 | | | | 5.01 | |
Less distributions from: |
Net investment income | | | — | | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) |
Net realized gains | | | — | | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) |
Total distributions | | | — | | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) |
Net asset value, end of period | | $ | 57.73 | | | $ | 47.88 | | | $ | 54.21 | | | $ | 56.08 | | | $ | 61.21 | | | $ | 58.43 | |
|
Total Returnc | | | 20.57 | % | | | (9.04 | %) | | | 3.82 | % | | | (0.28 | %) | | | 6.35 | % | | | 9.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,324 | | | $ | 8,561 | | | $ | 13,659 | | | $ | 25,698 | | | $ | 40,272 | | | $ | 53,560 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.78 | % | | | 0.92 | % | | | 1.28 | % | | | 0.60 | % | | | 0.56 | % | | | 0.82 | % |
Total expenses | | | 1.74 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 24 | % | | | 59 | % | | | 84 | % | | | 80 | % | | | 75 | % | | | 104 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 40.08 | | | $ | 45.98 | | | $ | 48.50 | | | $ | 54.00 | | | $ | 52.04 | | | $ | 49.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .01 | | | | .08 | | | | .28 | | | | (.07 | ) | | | (.10 | ) | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.05 | | | | (4.29 | ) | | | 1.04 | | | | (.26 | ) | | | 2.93 | | | | 4.07 | |
Total from investment operations | | | 8.06 | | | | (4.21 | ) | | | 1.32 | | | | (.33 | ) | | | 2.83 | | | | 4.10 | |
Less distributions from: |
Net investment income | | | — | | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) |
Net realized gains | | | — | | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) |
Total distributions | | | — | | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) |
Net asset value, end of period | | $ | 48.14 | | | $ | 40.08 | | | $ | 45.98 | | | $ | 48.50 | | | $ | 54.00 | | | $ | 52.04 | |
|
Total Returnc | | | 20.11 | % | | | (9.73 | %) | | | 3.06 | % | | | (1.02 | %) | | | 5.55 | % | | | 8.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,464 | | | $ | 9,816 | | | $ | 14,976 | | | $ | 23,531 | | | $ | 28,380 | | | $ | 23,799 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.03 | % | | | 0.16 | % | | | 0.60 | % | | | (0.13 | %) | | | (0.20 | %) | | | 0.05 | % |
Total expenses | | | 2.49 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % | | | 2.36 | % | | | 2.35 | % |
Portfolio turnover rate | | | 24 | % | | | 59 | % | | | 84 | % | | | 80 | % | | | 75 | % | | | 104 | % |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.93 | | | $ | 52.07 | | | $ | 54.02 | | | $ | 59.15 | | | $ | 56.50 | | | $ | 52.94 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .21 | | | | .46 | | | | .69 | | | | .38 | | | | .31 | | | | .39 | |
Net gain (loss) on investments (realized and unrealized) | | | 9.24 | | | | (4.91 | ) | | | 1.20 | | | | (.34 | ) | | | 3.21 | | | | 4.41 | |
Total from investment operations | | | 9.45 | | | | (4.45 | ) | | | 1.89 | | | | .04 | | | | 3.52 | | | | 4.80 | |
Less distributions from: |
Net investment income | | | — | | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) |
Net realized gains | | | — | | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) |
Total distributions | | | — | | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) |
Net asset value, end of period | | $ | 55.38 | | | $ | 45.93 | | | $ | 52.07 | | | $ | 54.02 | | | $ | 59.15 | | | $ | 56.50 | |
|
Total Return | | | 20.57 | % | | | (9.05 | %) | | | 3.84 | % | | | (0.32 | %) | | | 6.35 | % | | | 9.29 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,321 | | | $ | 4,284 | | | $ | 10,118 | | | $ | 10,788 | | | $ | 35,387 | | | $ | 65,702 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.81 | % | | | 0.86 | % | | | 1.32 | % | | | 0.65 | % | | | 0.54 | % | | | 0.72 | % |
Total expenses | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % | | | 1.61 | % | | | 1.66 | % |
Portfolio turnover rate | | | 24 | % | | | 59 | % | | | 84 | % | | | 80 | % | | | 75 | % | | | 104 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
ELECTRONICS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
NVIDIA Corp. | 8.7% |
Intel Corp. | 6.9% |
Broadcom, Inc. | 5.6% |
QUALCOMM, Inc. | 5.3% |
Texas Instruments, Inc. | 5.3% |
Advanced Micro Devices, Inc. | 4.7% |
Applied Materials, Inc. | 3.5% |
Lam Research Corp. | 3.3% |
Micron Technology, Inc. | 3.2% |
Analog Devices, Inc. | 3.0% |
Top Ten Total | 49.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 49.23% | 44.88% | 25.93% | 16.72% |
A-Class Shares | 49.05% | 44.53% | 25.63% | 16.43% |
A-Class Shares with sales charge‡ | 41.97% | 37.67% | 24.42% | 15.86% |
C-Class Shares | 48.48% | 43.45% | 24.69% | 15.54% |
C-Class Shares with CDSC§ | 47.48% | 42.45% | 24.69% | 15.54% |
H-Class Shares** | 49.04% | 44.53% | 25.60% | 16.27% |
S&P 500 Information Technology Index | 46.13% | 47.23% | 27.18% | 20.50% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
ELECTRONICS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.1% |
| | | | | | | | | |
Semiconductors - 92.2% |
NVIDIA Corp. | | | 5,877 | | | $ | 3,180,750 | |
Intel Corp. | | | 48,478 | | | | 2,510,191 | |
Broadcom, Inc. | | | 5,550 | | | | 2,021,976 | |
QUALCOMM, Inc. | | | 16,493 | | | | 1,940,896 | |
Texas Instruments, Inc. | | | 13,426 | | | | 1,917,099 | |
Advanced Micro Devices, Inc.* | | | 20,655 | | | | 1,693,503 | |
Applied Materials, Inc. | | | 21,243 | | | | 1,262,896 | |
Lam Research Corp. | | | 3,641 | | | | 1,207,902 | |
Micron Technology, Inc.* | | | 24,418 | | | | 1,146,669 | |
Analog Devices, Inc. | | | 9,431 | | | | 1,100,975 | |
KLA Corp. | | | 4,896 | | | | 948,551 | |
Marvell Technology Group Ltd. | | | 21,754 | | | | 863,634 | |
Xilinx, Inc. | | | 8,217 | | | | 856,540 | |
Skyworks Solutions, Inc. | | | 5,832 | | | | 848,556 | |
Microchip Technology, Inc. | | | 8,231 | | | | 845,818 | |
NXP Semiconductor N.V. | | | 6,457 | | | | 805,898 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 9,667 | | | | 783,704 | |
Maxim Integrated Products, Inc. | | | 10,536 | | | | 712,339 | |
ASML Holding N.V. — Class G1 | | | 1,746 | | | | 644,745 | |
Qorvo, Inc.* | | | 4,907 | | | | 633,052 | |
Monolithic Power Systems, Inc. | | | 2,215 | | | | 619,336 | |
Teradyne, Inc. | | | 7,643 | | | | 607,313 | |
Entegris, Inc. | | | 7,414 | | | | 551,157 | |
ON Semiconductor Corp.* | | | 22,905 | | | | 496,809 | |
Cree, Inc.* | | | 7,017 | | | | 447,264 | |
STMicroelectronics N.V. — Class Y | | | 14,122 | | | | 433,404 | |
Inphi Corp.* | | | 3,662 | | | | 411,059 | |
MKS Instruments, Inc. | | | 3,738 | | | | 408,302 | |
Cirrus Logic, Inc.* | | | 5,153 | | | | 347,570 | |
Silicon Laboratories, Inc.* | | | 3,533 | | | | 345,704 | |
Cabot Microelectronics Corp. | | | 2,358 | | | | 336,746 | |
Lattice Semiconductor Corp.* | | | 11,593 | | | | 335,733 | |
Semtech Corp.* | | | 5,932 | | | | 314,159 | |
Brooks Automation, Inc. | | | 6,750 | | | | 312,255 | |
Power Integrations, Inc. | | | 5,592 | | | | 309,797 | |
Diodes, Inc.* | | | 5,383 | | | | 303,870 | |
Synaptics, Inc.* | | | 3,404 | | | | 273,750 | |
MACOM Technology Solutions Holdings, Inc.* | | | 7,560 | | | | 257,116 | |
FormFactor, Inc.* | | | 9,351 | | | | 233,120 | |
Ambarella, Inc.* | | | 4,329 | | | | 225,887 | |
Total Semiconductors | | | | | | | 33,496,045 | |
Energy-Alternate Sources - 4.8% |
SolarEdge Technologies, Inc.* | | | 2,698 | | | | 643,068 | |
Enphase Energy, Inc.* | | | 7,549 | | | | 623,472 | |
First Solar, Inc.* | | | 7,191 | | | | 476,044 | |
Total Energy-Alternate Sources | | | | | | | 1,742,584 | |
| | | | | | | | | |
Electrical Components & Equipment - 1.4% |
Universal Display Corp. | | | 2,806 | | | | 507,157 | |
| | | | | | | | | |
Electronics - 0.7% |
Advanced Energy Industries, Inc.* | | | 4,215 | | | | 265,292 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $21,211,881) | | | | | | | 36,011,078 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.1% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 226,294 | | | | 226,294 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 94,190 | | | | 94,190 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 85,712 | | | | 85,712 | |
Total Repurchase Agreements | | | | |
(Cost $406,196) | | | | | | | 406,196 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 499,384 | | | | 499,384 | |
Total Securities Lending Collateral | | | | |
(Cost $499,384) | | | | | | | 499,384 | |
| | | | | | | | | |
Total Investments - 101.6% | | | | |
(Cost $22,117,461) | | $ | 36,916,658 | |
Other Assets & Liabilities, net - (1.6)% | | | (573,607 | ) |
Total Net Assets - 100.0% | | $ | 36,343,051 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
ELECTRONICS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 36,011,078 | | | $ | — | | | $ | — | | | $ | 36,011,078 | |
Repurchase Agreements | | | — | | | | 406,196 | | | | — | | | | 406,196 | |
Securities Lending Collateral | | | 499,384 | | | | — | | | | — | | | | 499,384 | |
Total Assets | | $ | 36,510,462 | | | $ | 406,196 | | | $ | — | | | $ | 36,916,658 | |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $483,374 of securities loaned (cost $21,711,265) | | $ | 36,510,462 | |
Repurchase agreements, at value (cost $406,196) | | | 406,196 | |
Receivables: |
Fund shares sold | | | 142,296 | |
Dividends | | | 11,561 | |
Securities lending income | | | 15 | |
Total assets | | | 37,070,530 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 79 | |
Payable for: |
Return of securities lending collateral | | | 499,384 | |
Fund shares redeemed | | | 136,255 | |
Management fees | | | 23,001 | |
Transfer agent and administrative fees | | | 7,278 | |
Distribution and service fees | | | 3,244 | |
Portfolio accounting fees | | | 2,707 | |
Trustees’ fees* | | | 812 | |
Miscellaneous | | | 54,719 | |
Total liabilities | | | 727,479 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 36,343,051 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 16,947,209 | |
Total distributable earnings (loss) | | | 19,395,842 | |
Net assets | | $ | 36,343,051 | |
| | | | | |
Investor Class: |
Net assets | | $ | 25,241,081 | |
Capital shares outstanding | | | 122,884 | |
Net asset value per share | | $ | 205.41 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,237,186 | |
Capital shares outstanding | | | 17,094 | |
Net asset value per share | | $ | 189.38 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 198.82 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,337,440 | |
Capital shares outstanding | | | 14,072 | |
Net asset value per share | | $ | 166.11 | |
| | | | | |
H-Class: |
Net assets | | $ | 5,527,344 | |
Capital shares outstanding | | | 30,070 | |
Net asset value per share | | $ | 183.82 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,027) | | $ | 280,618 | |
Interest | | | 51 | |
Income from securities lending, net | | | 265 | |
Total investment income | | | 280,934 | |
| | | | | |
Expenses: |
Management fees | | | 182,971 | |
Distribution and service fees: |
A-Class | | | 3,885 | |
C-Class | | | 10,898 | |
H-Class | | | 3,367 | |
Transfer agent and administrative fees | | | 62,058 | |
Registration fees | | | 23,696 | |
Portfolio accounting fees | | | 21,532 | |
Professional fees | | | 16,340 | |
Custodian fees | | | 3,246 | |
Trustees’ fees* | | | 1,082 | |
Line of credit fees | | | 465 | |
Miscellaneous | | | 10,318 | |
Total expenses | | | 339,858 | |
Net investment loss | | | (58,924 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 8,875,030 | |
Net realized gain | | | 8,875,030 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 9,059,917 | |
Net change in unrealized appreciation (depreciation) | | | 9,059,917 | |
Net realized and unrealized gain | | | 17,934,947 | |
Net increase in net assets resulting from operations | | $ | 17,876,023 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (58,924 | ) | | $ | (42,169 | ) |
Net realized gain on investments | | | 8,875,030 | | | | 1,148,578 | |
Net change in unrealized appreciation (depreciation) on investments | | | 9,059,917 | | | | (42,610 | ) |
Net increase in net assets resulting from operations | | | 17,876,023 | | | | 1,063,799 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (5,526 | ) |
A-Class | | | — | | | | (535 | ) |
C-Class | | | — | | | | (238 | ) |
H-Class | | | — | | | | (767 | ) |
Total distributions to shareholders | | | — | | | | (7,066 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 32,158,283 | | | | 165,434,553 | |
A-Class | | | 983,255 | | | | 9,059,406 | |
C-Class | | | 2,495,469 | | | | 3,919,399 | |
H-Class | | | 3,347,984 | | | | 45,691,721 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 5,505 | |
A-Class | | | — | | | | 231 | |
C-Class | | | — | | | | 236 | |
H-Class | | | — | | | | 766 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (60,280,724 | ) | | | (145,938,377 | ) |
A-Class | | | (1,039,248 | ) | | | (11,409,121 | ) |
C-Class | | | (2,695,143 | ) | | | (3,756,574 | ) |
H-Class | | | (1,099,275 | ) | | | (47,020,457 | ) |
Net increase (decrease) from capital share transactions | | | (26,129,399 | ) | | | 15,987,288 | |
Net increase (decrease) in net assets | | | (8,253,376 | ) | | | 17,044,021 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 44,596,427 | | | | 27,552,406 | |
End of period | | $ | 36,343,051 | | | $ | 44,596,427 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 182,114 | | | | 1,149,672 | |
A-Class | | | 6,627 | | | | 68,041 | |
C-Class | | | 18,119 | | | | 34,152 | |
H-Class | | | 19,565 | | | | 378,999 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 35 | |
A-Class | | | — | | | | 2 | |
C-Class | | | — | | | | 2 | |
H-Class | | | — | | | | 5 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (339,894 | ) | | | (1,016,632 | ) |
A-Class | | | (6,215 | ) | | | (84,795 | ) |
C-Class | | | (19,255 | ) | | | (31,651 | ) |
H-Class | | | (6,858 | ) | | | (394,124 | ) |
Net increase (decrease) in shares | | | (145,797 | ) | | | 103,706 | |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 137.65 | | | $ | 126.31 | | | $ | 136.98 | | | $ | 110.00 | | | $ | 81.23 | | | $ | 83.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.17 | ) | | | — | d | | | .27 | | | | (.11 | ) | | | .15 | | | | .02 | |
Net gain (loss) on investments (realized and unrealized) | | | 67.93 | | | | 11.35 | | | | (.29 | ) | | | 27.15 | | | | 28.62 | | | | (2.20 | ) |
Total from investment operations | | | 67.76 | | | | 11.35 | | | | (.02 | ) | | | 27.04 | | | | 28.77 | | | | (2.18 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) | | | — | | | | (.13 | ) |
Net realized gains | | | — | | | | — | | | | (10.65 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) | | | — | | | | (.13 | ) |
Net asset value, end of period | | $ | 205.41 | | | $ | 137.65 | | | $ | 126.31 | | | $ | 136.98 | | | $ | 110.00 | | | $ | 81.23 | |
|
Total Return | | | 49.23 | % | | | 8.99 | % | | | 1.35 | % | | | 24.59 | % | | | 35.41 | % | | | (2.61 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 25,241 | | | $ | 38,634 | | | $ | 18,642 | | | $ | 54,505 | | | $ | 51,722 | | | $ | 8,217 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.19 | %) | | | — | e | | | 0.21 | % | | | (0.08 | %) | | | 0.16 | % | | | 0.02 | % |
Total expenses | | | 1.50 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 66 | % | | | 265 | % | | | 521 | % | | | 457 | % | | | 643 | % | | | 769 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 127.06 | | | $ | 116.88 | | | $ | 127.98 | | | $ | 103.03 | | | $ | 76.25 | | | $ | 78.62 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.35 | ) | | | (.31 | ) | | | (.03 | ) | | | (.33 | ) | | | (.18 | ) | | | (.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 62.67 | | | | 10.50 | | | | (.42 | ) | | | 25.34 | | | | 26.96 | | | | (2.04 | ) |
Total from investment operations | | | 62.32 | | | | 10.19 | | | | (.45 | ) | | | 25.01 | | | | 26.78 | | | | (2.24 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) | | | — | | | | (.13 | ) |
Net realized gains | | | — | | | | — | | | | (10.65 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) | | | — | | | | (.13 | ) |
Net asset value, end of period | | $ | 189.38 | | | $ | 127.06 | | | $ | 116.88 | | | $ | 127.98 | | | $ | 103.03 | | | $ | 76.25 | |
|
Total Returnc | | | 49.05 | % | | | 8.72 | % | | | 1.10 | % | | | 24.29 | % | | | 35.11 | % | | | (2.84 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,237 | | | $ | 2,120 | | | $ | 3,908 | | | $ | 3,122 | | | $ | 4,408 | | | $ | 1,762 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.42 | %) | | | (0.23 | %) | | | (0.02 | %) | | | (0.29 | %) | | | (0.19 | %) | | | (0.26 | %) |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
Portfolio turnover rate | | | 66 | % | | | 265 | % | | | 521 | % | �� | | 457 | % | | | 643 | % | | | 769 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 111.87 | | | $ | 103.69 | | | $ | 115.77 | | | $ | 93.90 | | | $ | 70.02 | | | $ | 72.76 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.86 | ) | | | (1.14 | ) | | | (.91 | ) | | | (1.14 | ) | | | (.69 | ) | | | (.63 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 55.10 | | | | 9.33 | | | | (.52 | ) | | | 23.07 | | | | 24.57 | | | | (1.98 | ) |
Total from investment operations | | | 54.24 | | | | 8.19 | | | | (1.43 | ) | | | 21.93 | | | | 23.88 | | | | (2.61 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) | | | — | | | | (.13 | ) |
Net realized gains | | | — | | | | — | | | | (10.65 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) | | | — | | | | (.13 | ) |
Net asset value, end of period | | $ | 166.11 | | | $ | 111.87 | | | $ | 103.69 | | | $ | 115.77 | | | $ | 93.90 | | | $ | 70.02 | |
|
Total Returnc | | | 48.48 | % | | | 7.91 | % | | | 0.34 | % | | | 23.36 | % | | | 34.09 | % | | | (3.58 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,337 | | | $ | 1,701 | | | $ | 1,317 | | | $ | 2,855 | | | $ | 2,556 | | | $ | 719 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.19 | %) | | | (0.96 | %) | | | (0.83 | %) | | | (1.07 | %) | | | (0.85 | %) | | | (0.91 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % |
Portfolio turnover rate | | | 66 | % | | | 265 | % | | | 521 | % | | | 457 | % | | | 643 | % | | | 769 | % |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 123.34 | | | $ | 113.47 | | | $ | 124.62 | | | $ | 100.33 | | | $ | 74.32 | | | $ | 76.66 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.38 | ) | | | (.30 | ) | | | (.54 | ) | | | (.41 | ) | | | (.08 | ) | | | (.30 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 60.86 | | | | 10.18 | | | | .04 | f | | | 24.76 | | | | 26.09 | | | | (1.91 | ) |
Total from investment operations | | | 60.48 | | | | 9.88 | | | | (.50 | ) | | | 24.35 | | | | 26.01 | | | | (2.21 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) | | | — | | | | (.13 | ) |
Net realized gains | | | — | | | | — | | | | (10.65 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) | | | — | | | | (.13 | ) |
Net asset value, end of period | | $ | 183.82 | | | $ | 123.34 | | | $ | 113.47 | | | $ | 124.62 | | | $ | 100.33 | | | $ | 74.32 | |
|
Total Return | | | 49.04 | % | | | 8.72 | % | | | 1.08 | % | | | 24.29 | % | | | 34.98 | % | | | (2.88 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,527 | | | $ | 2,141 | | | $ | 3,686 | | | $ | 31,109 | | | $ | 23,134 | | | $ | 11,257 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.47 | %) | | | (0.22 | %) | | | (0.45 | %) | | | (0.36 | %) | | | (0.09 | %) | | | (0.40 | %) |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.68 | % | | | 1.63 | % | | | 1.63 | % | | | 1.74 | % |
Portfolio turnover rate | | | 66 | % | | | 265 | % | | | 521 | % | | | 457 | % | | | 643 | % | | | 769 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Less than $0.01 per share. |
e | Less than 0.01% or (0.01%). |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
g | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 8.1% |
Chevron Corp. | 7.8% |
ConocoPhillips | 3.9% |
Kinder Morgan, Inc. | 3.6% |
Williams Companies, Inc. | 3.1% |
Phillips 66 | 3.1% |
EOG Resources, Inc. | 3.0% |
Schlumberger Ltd. | 2.9% |
Marathon Petroleum Corp. | 2.9% |
Valero Energy Corp. | 2.8% |
Top Ten Total | 41.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 11.55% | (47.04%) | (14.54%) | (8.75%) |
A-Class Shares | 11.41% | (47.17%) | (14.75%) | (8.97%) |
A-Class Shares with sales charge‡ | 6.12% | (49.68%) | (15.58%) | (9.42%) |
C-Class Shares | 11.00% | (47.57%) | (15.39%) | (9.66%) |
C-Class Shares with CDSC§ | 10.00% | (48.09%) | (15.39%) | (9.66%) |
H-Class Shares** | 11.41% | (47.17%) | (14.79%) | (9.10%) |
S&P 500 Energy Index | 4.77% | (45.24%) | (9.70%) | (3.16%) |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
ENERGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| | | | | | | | | |
Oil & Gas - 66.4% |
Exxon Mobil Corp. | | | 19,248 | | | $ | 660,784 | |
Chevron Corp. | | | 8,843 | | | | 636,696 | |
ConocoPhillips | | | 9,778 | | | | 321,110 | |
Phillips 66 | | | 4,900 | | | | 254,016 | |
EOG Resources, Inc. | | | 6,814 | | | | 244,895 | |
Marathon Petroleum Corp. | | | 8,219 | | | | 241,145 | |
Valero Energy Corp. | | | 5,252 | | | | 227,517 | |
Pioneer Natural Resources Co. | | | 2,377 | | | | 204,398 | |
Hess Corp. | | | 4,791 | | | | 196,096 | |
Concho Resources, Inc. | | | 3,661 | | | | 161,523 | |
Occidental Petroleum Corp. | | | 15,971 | | | | 159,870 | |
Cabot Oil & Gas Corp. — Class A | | | 8,228 | | | | 142,838 | |
BP plc ADR | | | 7,841 | | | | 136,904 | |
Petroleo Brasileiro S.A. ADR | | | 17,162 | | | | 122,193 | |
Royal Dutch Shell plc — Class A ADR | | | 4,806 | | | | 120,967 | |
Diamondback Energy, Inc. | | | 3,886 | | | | 117,046 | |
Suncor Energy, Inc. | | | 9,244 | | | | 113,054 | |
Noble Energy, Inc. | | | 13,099 | | | | 111,996 | |
Continental Resources, Inc.1 | | | 8,902 | | | | 109,317 | |
Parsley Energy, Inc. — Class A | | | 11,530 | | | | 107,921 | |
Devon Energy Corp. | | | 11,183 | | | | 105,791 | |
Canadian Natural Resources Ltd. | | | 6,571 | | | | 105,202 | |
Equities Corp. | | | 7,666 | | | | 99,121 | |
Equinor ASA ADR | | | 7,028 | | | | 98,814 | |
HollyFrontier Corp. | | | 4,941 | | | | 97,387 | |
Apache Corp. | | | 10,067 | | | | 95,335 | |
Cimarex Energy Co. | | | 3,592 | | | | 87,393 | |
Helmerich & Payne, Inc. | | | 4,643 | | | | 68,020 | |
PDC Energy, Inc.* | | | 5,421 | | | | 67,193 | |
Murphy Oil Corp.1 | | | 6,974 | | | | 62,208 | |
CVR Energy, Inc. | | | 4,867 | | | | 60,253 | |
Delek US Holdings, Inc. | | | 4,542 | | | | 50,553 | |
PBF Energy, Inc. — Class A | | | 7,512 | | | | 42,743 | |
Chesapeake Energy Corp.*,1 | | | 2,550 | | | | 10,379 | |
Total Oil & Gas | | | | | | | 5,440,678 | |
| | | | | | | | | |
Pipelines - 17.5% |
Kinder Morgan, Inc. | | | 23,750 | | | | 292,837 | |
Williams Companies, Inc. | | | 13,120 | | | | 257,808 | |
ONEOK, Inc. | | | 7,242 | | | | 188,147 | |
Cheniere Energy, Inc.* | | | 4,045 | | | | 187,162 | |
Enbridge, Inc. | | | 4,254 | | | | 124,217 | |
Targa Resources Corp. | | | 8,099 | | | | 113,629 | |
TC Energy Corp. | | | 2,704 | | | | 113,622 | |
Equitrans Midstream Corp. | | | 12,560 | | | | 106,258 | |
Plains GP Holdings, LP — Class A* | | | 9,210 | | | | 56,089 | |
Total Pipelines | | | | | | | 1,439,769 | |
| | | | | | | | | |
Oil & Gas Services - 11.8% |
Schlumberger Ltd. | | | 15,562 | | | | 242,145 | |
Baker Hughes Co. | | | 14,929 | | | | 198,406 | |
Halliburton Co. | | | 14,129 | | | | 170,255 | |
TechnipFMC plc | | | 16,410 | | | | 103,547 | |
National Oilwell Varco, Inc. | | | 10,452 | | | | 94,695 | |
Core Laboratories N.V. | | | 5,910 | | | | 90,187 | |
ChampionX Corp.* | | | 8,389 | | | | 67,028 | |
Total Oil & Gas Services | | | | | | | 966,263 | |
| | | | | | | | | |
Transportation - 1.7% |
Scorpio Tankers, Inc. | | | 8,380 | | | | 92,767 | |
Golar LNG Ltd.* | | | 8,392 | | | | 50,813 | |
Total Transportation | | | | | | | 143,580 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 1.2% |
Tenaris S.A. ADR | | | 9,833 | | | | 96,855 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.1% |
Renewable Energy Group, Inc.* | | | 1,650 | | | | 88,143 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $7,230,646) | | | | | | | 8,175,288 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 34,521 | | | | 34,521 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 14,369 | | | | 14,369 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 13,076 | | | | 13,076 | |
Total Repurchase Agreements | | | | |
(Cost $61,966) | | | | | | | 61,966 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 110,686 | | | | 110,686 | |
Total Securities Lending Collateral | | | | |
(Cost $110,686) | | | | | | | 110,686 | |
| | | | | | | | | |
Total Investments - 101.9% | | | | |
(Cost $7,403,298) | | $ | 8,347,940 | |
Other Assets & Liabilities, net - (1.9)% | | | (151,788 | ) |
Total Net Assets - 100.0% | | $ | 8,196,152 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
ENERGY 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 8,175,288 | | | $ | — | | | $ | — | | | $ | 8,175,288 | |
Repurchase Agreements | | | — | | | | 61,966 | | | | — | | | | 61,966 | |
Securities Lending Collateral | | | 110,686 | | | | — | | | | — | | | | 110,686 | |
Total Assets | | $ | 8,285,974 | | | $ | 61,966 | | | $ | — | | | $ | 8,347,940 | |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $106,731 of securities loaned (cost $7,341,332) | | $ | 8,285,974 | |
Repurchase agreements, at value (cost $61,966) | | | 61,966 | |
Receivables: |
Securities sold | | | 674,166 | |
Dividends | | | 15,935 | |
Fund shares sold | | | 14,620 | |
Securities lending income | | | 275 | |
Total assets | | | 9,052,936 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 719,906 | |
Return of securities lending collateral | | | 110,686 | |
Management fees | | | 7,143 | |
Transfer agent and administrative fees | | | 2,260 | |
Distribution and service fees | | | 894 | |
Portfolio accounting fees | | | 841 | |
Trustees’ fees* | | | 219 | |
Miscellaneous | | | 14,835 | |
Total liabilities | | | 856,784 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 8,196,152 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 40,020,830 | |
Total distributable earnings (loss) | | | (31,824,678 | ) |
Net assets | | $ | 8,196,152 | |
| | | | | |
Investor Class: |
Net assets | | $ | 6,017,433 | |
Capital shares outstanding | | | 65,993 | |
Net asset value per share | | $ | 91.18 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,128,151 | |
Capital shares outstanding | | | 13,322 | |
Net asset value per share | | $ | 84.68 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 88.90 | |
| | | | | |
C-Class: |
Net assets | | $ | 438,921 | |
Capital shares outstanding | | | 5,967 | |
Net asset value per share | | $ | 73.56 | |
| | | | | |
H-Class: |
Net assets | | $ | 611,647 | |
Capital shares outstanding | | | 7,458 | |
Net asset value per share | | $ | 82.01 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,643) | | $ | 338,773 | |
Interest | | | 15 | |
Income from securities lending, net | | | 4,981 | |
Total investment income | | | 343,769 | |
| | | | | |
Expenses: |
Management fees | | | 58,763 | |
Distribution and service fees: |
A-Class | | | 2,414 | |
C-Class | | | 2,977 | |
H-Class | | | 1,042 | |
Transfer agent and administrative fees | | | 19,507 | |
Registration fees | | | 7,610 | |
Portfolio accounting fees | | | 6,915 | |
Professional fees | | | 4,763 | |
Custodian fees | | | 967 | |
Trustees’ fees* | | | 332 | |
Line of credit fees | | | 66 | |
Miscellaneous | | | 3,517 | |
Total expenses | | | 108,873 | |
Net investment income | | | 234,896 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (890,283 | ) |
Net realized loss | | | (890,283 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 529,763 | |
Net change in unrealized appreciation (depreciation) | | | 529,763 | |
Net realized and unrealized loss | | | (360,520 | ) |
Net decrease in net assets resulting from operations | | $ | (125,624 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 234,896 | | | $ | 283,748 | |
Net realized loss on investments | | | (890,283 | ) | | | (9,339,262 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 529,763 | | | | (1,785,606 | ) |
Net decrease in net assets resulting from operations | | | (125,624 | ) | | | (10,841,120 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (106,562 | ) |
A-Class | | | — | | | | (19,401 | ) |
C-Class | | | — | | | | (9,575 | ) |
H-Class | | | — | | | | (13,058 | ) |
Total distributions to shareholders | | | — | | | | (148,596 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 72,023,264 | | | | 47,410,108 | |
A-Class | | | 996,505 | | | | 1,055,200 | |
C-Class | | | 356,695 | | | | 1,008,571 | |
H-Class | | | 2,010,877 | | | | 36,112,670 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 104,747 | |
A-Class | | | — | | | | 18,695 | |
C-Class | | | — | | | | 9,210 | |
H-Class | | | — | | | | 12,847 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (69,812,666 | ) | | | (51,362,661 | ) |
A-Class | | | (1,028,348 | ) | | | (1,906,514 | ) |
C-Class | | | (394,910 | ) | | | (1,541,437 | ) |
H-Class | | | (2,109,632 | ) | | | (35,653,612 | ) |
Net increase (decrease) from capital share transactions | | | 2,041,785 | | | | (4,732,176 | ) |
Net increase (decrease) in net assets | | | 1,916,161 | | | | (15,721,892 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,279,991 | | | | 22,001,883 | |
End of period | | $ | 8,196,152 | | | $ | 6,279,991 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 651,902 | | | | 348,926 | |
A-Class | | | 11,039 | | | | 6,242 | |
C-Class | | | 4,089 | | | | 7,317 | |
H-Class | | | 21,753 | | | | 224,119 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 603 | |
A-Class | | | — | | | | 116 | |
C-Class | | | — | | | | 65 | |
H-Class | | | — | | | | 82 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (637,488 | ) | | | (377,221 | ) |
A-Class | | | (10,679 | ) | | | (11,099 | ) |
C-Class | | | (4,648 | ) | | | (10,633 | ) |
H-Class | | | (23,072 | ) | | | (219,893 | ) |
Net increase (decrease) in shares | | | 12,896 | | | | (31,376 | ) |
* | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:3 reverse share split effective August 10, 2020 (Unaudited) — See Note 9. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a,e | | | Year Ended
March 31,
2020e | | | Year Ended
March 31,
2019e | | | Year Ended
March 29,
2018e | | | Year Ended
March 31,
2017e,f | | | Year Ended
March 31,
2016e,f | |
Per Share Data |
Net asset value, beginning of period | | $ | 81.74 | | | $ | 204.01 | | | $ | 223.24 | | | $ | 236.20 | | | $ | 199.82 | | | $ | 278.93 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .78 | | | | 2.91 | | | | 1.05 | | | | 1.83 | | | | 1.20 | | | | 3.36 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.66 | d | | | (123.74 | ) | | | (18.87 | ) | | | (13.11 | ) | | | 36.74 | | | | (79.11 | ) |
Total from investment operations | | | 9.44 | | | | (120.83 | ) | | | (17.82 | ) | | | (11.28 | ) | | | 37.94 | | | | (75.75 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (1.56 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (3.36 | ) |
Net asset value, end of period | | $ | 91.18 | | | $ | 81.74 | | | $ | 204.01 | | | $ | 223.24 | | | $ | 236.20 | | | $ | 199.82 | |
|
Total Return | | | 11.55 | % | | | (59.61 | %) | | | (7.94 | %) | | | (4.78 | %) | | | 18.99 | % | | | (27.30 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,017 | | | $ | 4,216 | | | $ | 16,172 | | | $ | 37,253 | | | $ | 24,284 | | | $ | 22,216 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.58 | % | | | 1.65 | % | | | 0.46 | % | | | 0.82 | % | | | 0.52 | % | | | 1.38 | % |
Total expenses | | | 1.48 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % | | | 1.37 | % | | | 1.35 | % |
Portfolio turnover rate | | | 542 | % | | | 428 | % | | | 525 | % | | | 954 | % | | | 996 | % | | | 595 | % |
A-Class | | Six Months Ended
September 30, 2020a,e | | | Year Ended
March 31,
2020e | | | Year Ended
March 31,
2019e | | | Year Ended
March 29,
2018e | | | Year Ended
March 31,
2017e,f | | | Year Ended
March 31,
2016e,f | |
Per Share Data |
Net asset value, beginning of period | | $ | 76.01 | | | $ | 190.30 | | | $ | 208.85 | | | $ | 221.57 | | | $ | 188.00 | | | $ | 263.29 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .60 | | | | 2.46 | | | | .63 | | | | 1.62 | | | | .69 | | | | 2.28 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.07 | d | | | (115.31 | ) | | | (17.77 | ) | | | (12.66 | ) | | | 34.44 | | | | (74.21 | ) |
Total from investment operations | | | 8.67 | | | | (112.85 | ) | | | (17.14 | ) | | | (11.04 | ) | | | 35.13 | | | | (71.93 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (1.56 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (3.36 | ) |
Net asset value, end of period | | $ | 84.68 | | | $ | 76.01 | | | $ | 190.30 | | | $ | 208.85 | | | $ | 221.57 | | | $ | 188.00 | |
|
Total Returnc | | | 11.41 | % | | | (59.69 | %) | | | (8.16 | %) | | | (4.99 | %) | | | 18.65 | % | | | (27.46 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,128 | | | $ | 985 | | | $ | 3,369 | | | $ | 3,111 | | | $ | 4,980 | | | $ | 6,274 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.98 | % | | | 1.50 | % | | | 0.33 | % | | | 0.78 | % | | | 0.31 | % | | | 1.02 | % |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 542 | % | | | 428 | % | | | 525 | % | | | 954 | % | | | 996 | % | | | 595 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a,e | | | Year Ended
March 31,
2020e | | | Year Ended
March 31,
2019e | | | Year Ended
March 29,
2018e | | | Year Ended
March 31,
2017e,f | | | Year Ended
March 31,
2016e,f | |
Per Share Data |
Net asset value, beginning of period | | $ | 66.27 | | | $ | 167.39 | | | $ | 185.28 | | | $ | 198.29 | | | $ | 169.64 | | | $ | 239.80 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .37 | | | | 1.08 | | | | (1.08 | ) | | | (.03 | ) | | | (.87 | ) | | | .24 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.92 | d | | | (100.76 | ) | | | (15.40 | ) | | | (11.30 | ) | | | 31.08 | | | | (67.04 | ) |
Total from investment operations | | | 7.29 | | | | (99.68 | ) | | | (16.48 | ) | | | (11.33 | ) | | | 30.21 | | | | (66.80 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (1.56 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (3.36 | ) |
Net asset value, end of period | | $ | 73.56 | | | $ | 66.27 | | | $ | 167.39 | | | $ | 185.28 | | | $ | 198.29 | | | $ | 169.64 | |
|
Total Returnc | | | 11.00 | % | | | (60.01 | %) | | | (8.83 | %) | | | (5.73 | %) | | | 17.76 | % | | | (28.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 439 | | | $ | 432 | | | $ | 1,637 | | | $ | 3,721 | | | $ | 4,331 | | | $ | 4,198 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.10 | % | | | 0.76 | % | | | (0.56 | %) | | | (0.02 | %) | | | (0.45 | %) | | | 0.15 | % |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 542 | % | | | 428 | % | | | 525 | % | | | 954 | % | | | 996 | % | | | 595 | % |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a,e | | | Year Ended
March 31,
2020e | | | Year Ended
March 31,
2019e | | | Year Ended
March 29,
2018e | | | Year Ended
March 31,
2017e,f | | | Year Ended
March 31,
2016e,f,g | |
Per Share Data |
Net asset value, beginning of period | | $ | 73.61 | | | $ | 184.50 | | | $ | 202.54 | | | $ | 215.03 | | | $ | 182.69 | | | $ | 256.08 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .61 | | | | 1.92 | | | | 1.20 | | | | 2.97 | | | | .06 | | | | 1.20 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.79 | d | | | (111.37 | ) | | | (17.83 | ) | | | (13.78 | ) | | | 33.84 | | | | (71.23 | ) |
Total from investment operations | | | 8.40 | | | | (109.45 | ) | | | (16.63 | ) | | | (10.81 | ) | | | 33.90 | | | | (70.03 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (1.56 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (3.36 | ) |
Net asset value, end of period | | $ | 82.01 | | | $ | 73.61 | | | $ | 184.50 | | | $ | 202.54 | | | $ | 215.03 | | | $ | 182.69 | |
|
Total Return | | | 11.41 | % | | | (59.73 | %) | | | (8.16 | %) | | | (5.03 | %) | | | 18.57 | % | | | (27.53 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 612 | | | $ | 646 | | | $ | 824 | | | $ | 1,480 | | | $ | 2,556 | | | $ | 2,795 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.02 | % | | | 1.25 | % | | | 0.54 | % | | | 1.50 | % | | | 0.03 | % | | | 0.55 | % |
Total expenses | | | 1.74 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % | | | 1.63 | % | | | 1.70 | % |
Portfolio turnover rate | | | 542 | % | | | 428 | % | | | 525 | % | | | 954 | % | | | 996 | % | | | 595 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | 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. |
e | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:3 reverse share split effective August 10, 2020 — See Note 9. |
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 7, 2016. |
g | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 2, 1998 |
Ten Largest Holdings (% of Total Net Assets) |
Schlumberger Ltd. | 14.0% |
Baker Hughes Co. | 11.5% |
Halliburton Co. | 9.8% |
National Oilwell Varco, Inc. | 5.5% |
Helmerich & Payne, Inc. | 4.5% |
Cactus, Inc. — Class A | 4.5% |
TechnipFMC plc | 4.3% |
ChampionX Corp. | 4.2% |
Dril-Quip, Inc. | 3.5% |
Liberty Oilfield Services, Inc. — Class A | 3.3% |
Top Ten Total | 65.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 24.11% | (53.57%) | (26.03%) | (17.12%) |
A-Class Shares | 23.97% | (53.69%) | (26.21%) | (17.32%) |
A-Class Shares with sales charge‡ | 18.08% | (55.90%) | (26.93%) | (17.73%) |
C-Class Shares | 23.50% | (54.05%) | (26.76%) | (17.94%) |
C-Class Shares with CDSC§ | 22.50% | (54.51%) | (26.76%) | (17.94%) |
H-Class Shares** | 23.96% | (53.70%) | (26.21%) | (17.43%) |
S&P 500 Energy Index | 4.77% | (45.24%) | (9.70%) | (3.16%) |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
ENERGY SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Oil & Gas Services - 74.4% |
Schlumberger Ltd. | | | 28,358 | | | $ | 441,251 | |
Baker Hughes Co. | | | 27,193 | | | | 361,395 | |
Halliburton Co. | | | 25,745 | | | | 310,227 | |
National Oilwell Varco, Inc. | | | 19,046 | | | | 172,557 | |
TechnipFMC plc | | | 21,699 | | | | 136,921 | |
ChampionX Corp.* | | | 16,731 | | | | 133,681 | |
Dril-Quip, Inc.* | | | 4,450 | | | | 110,182 | |
Liberty Oilfield Services, Inc. — Class A | | | 13,065 | | | | 104,389 | |
Archrock, Inc. | | | 19,334 | | | | 104,017 | |
DMC Global, Inc. | | | 2,516 | | | | 82,877 | |
RPC, Inc.* | | | 31,119 | | | | 82,154 | |
Core Laboratories N.V. | | | 5,351 | | | | 81,656 | |
Oceaneering International, Inc.* | | | 18,797 | | | | 66,165 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 9,725 | | | | 61,657 | |
Matrix Service Co.* | | | 6,647 | | | | 55,502 | |
Oil States International, Inc.* | | | 15,919 | | | | 43,459 | |
Total Oil & Gas Services | | | | | | | 2,348,090 | |
| | | | | | | | | |
Oil & Gas - 10.8% |
Helmerich & Payne, Inc. | | | 9,739 | | | | 142,676 | |
Patterson-UTI Energy, Inc. | | | 28,106 | | | | 80,102 | |
ProPetro Holding Corp.* | | | 17,249 | | | | 70,031 | |
Nabors Industries Ltd.1 | | | 1,925 | | | | 47,047 | |
Total Oil & Gas | | | | | | | 339,856 | |
| | | | | | | | | |
Transportation - 6.9% |
SEACOR Holdings, Inc.* | | | 3,148 | | | | 91,544 | |
Bristow Group, Inc.* | | | 3,407 | | | | 72,399 | |
Tidewater, Inc.* | | | 8,160 | | | | 54,753 | |
Total Transportation | | | | | | | 218,696 | |
| | | | | | | | | |
Machinery-Diversified - 4.5% |
Cactus, Inc. — Class A | | | 7,360 | | | | 141,238 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 3.0% |
Tenaris S.A. ADR | | | 9,602 | | | | 94,580 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,777,413) | | | | | | | 3,142,460 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 9,943 | | | | 9,943 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 4,138 | | | | 4,138 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 3,766 | | | | 3,766 | |
Total Repurchase Agreements | | | | |
(Cost $17,847) | | | | | | | 17,847 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 36,205 | | | | 36,205 | |
Total Securities Lending Collateral | | | | |
(Cost $36,205) | | | | | | | 36,205 | |
| | | | | | | | | |
Total Investments - 101.3% | | | | |
(Cost $2,831,465) | | $ | 3,196,512 | |
Other Assets & Liabilities, net - (1.3)% | | | (41,942 | ) |
Total Net Assets - 100.0% | | $ | 3,154,570 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
ENERGY SERVICES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 3,142,460 | | | $ | — | | | $ | — | | | $ | 3,142,460 | |
Repurchase Agreements | | | — | | | | 17,847 | | | | — | | | | 17,847 | |
Securities Lending Collateral | | | 36,205 | | | | — | | | | — | | | | 36,205 | |
Total Assets | | $ | 3,178,665 | | | $ | 17,847 | | | $ | — | | | $ | 3,196,512 | |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $34,363 of securities loaned (cost $2,813,618) | | $ | 3,178,665 | |
Repurchase agreements, at value (cost $17,847) | | | 17,847 | |
Receivables: |
Securities sold | | | 680,946 | |
Fund shares sold | | | 5,002 | |
Dividends | | | 3,512 | |
Securities lending income | | | 27 | |
Total assets | | | 3,885,999 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 686,727 | |
Return of securities lending collateral | | | 36,205 | |
Management fees | | | 2,555 | |
Transfer agent and administrative fees | | | 808 | |
Distribution and service fees | | | 423 | |
Portfolio accounting fees | | | 301 | |
Trustees’ fees* | | | 64 | |
Miscellaneous | | | 4,346 | |
Total liabilities | | | 731,429 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 3,154,570 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 40,279,098 | |
Total distributable earnings (loss) | | | (37,124,528 | ) |
Net assets | | $ | 3,154,570 | |
| | | | | |
Investor Class: |
Net assets | | $ | 1,988,118 | |
Capital shares outstanding | | | 21,217 | |
Net asset value per share | | $ | 93.70 | |
| | | | | |
A-Class: |
Net assets | | $ | 394,198 | |
Capital shares outstanding | | | 4,510 | |
Net asset value per share | | $ | 87.41 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 91.77 | |
| | | | | |
C-Class: |
Net assets | | $ | 225,117 | |
Capital shares outstanding | | | 2,936 | |
Net asset value per share | | $ | 76.67 | |
| | | | | |
H-Class: |
Net assets | | $ | 547,137 | |
Capital shares outstanding | | | 6,456 | |
Net asset value per share | | $ | 84.75 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $18) | | $ | 38,524 | |
Interest | | | 6 | |
Income from securities lending, net | | | 564 | |
Total investment income | | | 39,094 | |
| | | | | |
Expenses: |
Management fees | | | 15,590 | |
Distribution and service fees: |
A-Class | | | 477 | |
C-Class | | | 1,320 | |
H-Class | | | 951 | |
Transfer agent and administrative fees | | | 5,216 | |
Portfolio accounting fees | | | 1,835 | |
Professional fees | | | 1,372 | |
Trustees’ fees* | | | 443 | |
Custodian fees | | | 265 | |
Line of credit fees | | | 15 | |
Miscellaneous | | | 2,512 | |
Total expenses | | | 29,996 | |
Net investment income | | | 9,098 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,877,818 | ) |
Net realized loss | | | (1,877,818 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,443,297 | |
Net change in unrealized appreciation (depreciation) | | | 2,443,297 | |
Net realized and unrealized gain | | | 565,479 | |
Net increase in net assets resulting from operations | | $ | 574,577 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 9,098 | | | $ | 84,822 | |
Net realized loss on investments | | | (1,877,818 | ) | | | (4,960,531 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 2,443,297 | | | | (3,553,608 | ) |
Net increase (decrease) in net assets resulting from operations | | | 574,577 | | | | (8,429,317 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (5,823 | ) |
A-Class | | | — | | | | (749 | ) |
C-Class | | | — | | | | (806 | ) |
H-Class | | | — | | | | (856 | ) |
Total distributions to shareholders | | | — | | | | (8,234 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 12,123,176 | | | | 46,095,104 | |
A-Class | | | 588,747 | | | | 603,109 | |
C-Class | | | 321,379 | | | | 778,132 | |
H-Class | | | 1,931,266 | | | | 42,129,255 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 5,544 | |
A-Class | | | — | | | | 737 | |
C-Class | | | — | | | | 805 | |
H-Class | | | — | | | | 848 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (11,863,464 | ) | | | (45,009,881 | ) |
A-Class | | | (418,971 | ) | | | (691,018 | ) |
C-Class | | | (326,701 | ) | | | (885,394 | ) |
H-Class | | | (2,188,896 | ) | | | (47,122,584 | ) |
Net increase (decrease) from capital share transactions | | | 166,536 | | | | (4,095,343 | ) |
Net increase (decrease) in net assets | | | 741,113 | | | | (12,532,894 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,413,457 | | | | 14,946,351 | |
End of period | | $ | 3,154,570 | | | $ | 2,413,457 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 115,775 | | | | 206,211 | |
A-Class | | | 6,070 | | | | 2,697 | |
C-Class | | | 3,728 | | | | 4,369 | |
H-Class | | | 20,592 | | | | 205,860 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 27 | |
A-Class | | | — | | | | 4 | |
C-Class | | | — | | | | 5 | |
H-Class | | | — | | | | 5 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (114,458 | ) | | | (210,793 | ) |
A-Class | | | (4,270 | ) | | | (3,133 | ) |
C-Class | | | (3,891 | ) | | | (4,800 | ) |
H-Class | | | (21,852 | ) | | | (223,182 | ) |
Net increase (decrease) in shares | | | 1,694 | | | | (22,730 | ) |
* | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:15 reverse share split effective August 10, 2020 (Unaudited) — See Note 9. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a,d | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 75.50 | | | $ | 281.99 | | | $ | 378.02 | | | $ | 438.58 | | | $ | 426.14 | | | $ | 590.41 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | 2.40 | | | | .15 | | | | 8.85 | e | | | .15 | | | | 4.35 | |
Net gain (loss) on investments (realized and unrealized) | | | 18.17 | | | | (208.59 | ) | | | (92.88 | ) | | | (110.66 | ) | | | 61.04 | | | | (163.52 | ) |
Total from investment operations | | | 18.20 | | | | (206.19 | ) | | | (92.73 | ) | | | (101.81 | ) | | | 61.19 | | | | (159.17 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Total distributions | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Net asset value, end of period | | $ | 93.70 | | | $ | 75.50 | | | $ | 281.99 | | | $ | 378.02 | | | $ | 483.58 | | | $ | 426.14 | |
|
Total Return | | | 24.11 | % | | | (73.21 | %) | | | (24.43 | %) | | | (21.11 | %) | | | 14.38 | % | | | (27.05 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,988 | | | $ | 1,502 | | | $ | 6,896 | | | $ | 8,181 | | | $ | 11,757 | | | $ | 9,521 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.61 | % | | | 1.11 | % | | | 0.06 | % | | | 2.19 | %f | | | 0.03 | % | | | 0.83 | % |
Total expenses | | | 1.48 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % | | | 1.38 | % | | | 1.35 | % |
Portfolio turnover rate | | | 314 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % |
A-Class | | Six Months Ended
September 30, 2020a,d | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.51 | | | $ | 264.03 | | | $ | 355.19 | | | $ | 455.88 | | | $ | 402.86 | | | $ | 559.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | 1.95 | | | | 1.80 | | | | 9.00 | e | | | (2.10 | ) | | | 3.60 | |
Net gain (loss) on investments (realized and unrealized) | | | 16.87 | | | | (195.17 | ) | | | (89.66 | ) | | | (105.94 | ) | | | 58.87 | | | | (155.51 | ) |
Total from investment operations | | | 16.90 | | | | (193.22 | ) | | | (87.86 | ) | | | (96.94 | ) | | | 56.77 | | | | (151.91 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Total distributions | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Net asset value, end of period | | $ | 87.41 | | | $ | 70.51 | | | $ | 264.03 | | | $ | 355.19 | | | $ | 455.88 | | | $ | 402.86 | |
|
Total Returnc | | | 23.97 | % | | | (73.26 | %) | | | (24.65 | %) | | | (21.31 | %) | | | 14.09 | % | | | (27.22 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 394 | | | $ | 191 | | | $ | 829 | | | $ | 811 | | | $ | 1,295 | | | $ | 2,849 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.54 | % | | | 0.94 | % | | | 0.60 | % | | | 2.37 | %f | | | (0.47 | %) | | | 0.73 | % |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.73 | % | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % |
Portfolio turnover rate | | | 314 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a,d | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.08 | | | $ | 234.26 | | | $ | 317.99 | | | $ | 411.65 | | | $ | 366.84 | | | $ | 514.20 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.01 | ) | | | .30 | | | | (2.55 | ) | | | 5.70 | e | | | (4.95 | ) | | | (.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.60 | | | | (172.18 | ) | | | (77.88 | ) | | | (95.61 | ) | | | 53.51 | | | | (141.51 | ) |
Total from investment operations | | | 14.59 | | | | (171.88 | ) | | | (80.43 | ) | | | (89.91 | ) | | | 48.56 | | | | (142.26 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Total distributions | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Net asset value, end of period | | $ | 76.67 | | | $ | 62.08 | | | $ | 234.26 | | | $ | 317.99 | | | $ | 411.65 | | | $ | 366.84 | |
|
Total Returnc | | | 23.50 | % | | | (73.46 | %) | | | 25.17 | % | | | (21.89 | %) | | | 13.22 | % | | | (27.76 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 225 | | | $ | 192 | | | $ | 826 | | | $ | 1,836 | | | $ | 3,258 | | | $ | 2,544 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.34 | %) | | | 0.20 | % | | | (0.84 | %) | | | 1.66 | %f | | | (1.23 | %) | | | (0.16 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 314 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a,d | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 68.37 | | | $ | 255.45 | | | $ | 343.95 | | | $ | 442.11 | | | $ | 391.01 | | | $ | 544.27 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .02 | | | | 1.65 | | | | .45 | | | | 2.85 | e | | | (1.20 | ) | | | .75 | |
Net gain (loss) on investments (realized and unrealized) | | | 16.36 | | | | (188.43 | ) | | | (85.65 | ) | | | (97.26 | ) | | | 56.05 | | | | (148.91 | ) |
Total from investment operations | | | 16.38 | | | | (186.78 | ) | | | (85.20 | ) | | | (94.41 | ) | | | 54.85 | | | | (148.16 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Total distributions | | | — | | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) | | | (3.75 | ) | | | (5.10 | ) |
Net asset value, end of period | | $ | 84.75 | | | $ | 68.37 | | | $ | 255.45 | | | $ | 343.95 | | | $ | 442.11 | | | $ | 391.01 | |
|
Total Return | | | 23.96 | % | | | (73.19 | %) | | | (24.67 | %) | | | (21.40 | %) | | | 14.02 | % | | | (27.31 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 547 | | | $ | 528 | | | $ | 6,395 | | | $ | 15,754 | | | $ | 4,193 | | | $ | 1,700 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.44 | % | | | 0.77 | % | | | 0.15 | % | | | 0.76 | %f | | | (0.29 | %) | | | 0.15 | % |
Total expenses | | | 1.75 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % | | | 1.62 | % | | | 1.67 | % |
Portfolio turnover rate | | | 314 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:15 reverse share split effective August 10, 2020 — See Note 9. |
e | Net investments 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. |
f | Net investment income to average net assets includes 1.99% from 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 SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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 | 3.3% |
JPMorgan Chase & Co. | 2.5% |
Bank of America Corp. | 2.1% |
American Tower Corp. — Class A | 1.5% |
Wells Fargo & Co. | 1.4% |
BlackRock, Inc. — Class A | 1.4% |
S&P Global, Inc. | 1.4% |
Citigroup, Inc. | 1.4% |
Goldman Sachs Group, Inc. | 1.3% |
American Express Co. | 1.3% |
Top Ten Total | 17.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 18.43% | (12.40%) | 5.43% | 7.19% |
A-Class Shares | 18.30% | (12.62%) | 5.17% | 6.92% |
A-Class Shares with sales charge‡ | 12.68% | (16.78%) | 4.15% | 6.40% |
C-Class Shares | 17.83% | (13.27%) | 4.39% | 6.14% |
C-Class Shares with CDSC§ | 16.83% | (14.13%) | 4.39% | 6.14% |
H-Class Shares** | 18.29% | (12.63%) | 5.16% | 6.80% |
S&P 500 Financials Index | 17.19% | (11.87%) | 7.82% | 9.69% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
REITs - 29.6% |
American Tower Corp. — Class A | | | 751 | | | $ | 181,539 | |
Prologis, Inc. | | | 1,488 | | | | 149,723 | |
Crown Castle International Corp. | | | 890 | | | | 148,185 | |
Equinix, Inc. | | | 185 | | | | 140,624 | |
Digital Realty Trust, Inc. | | | 759 | | | | 111,391 | |
Public Storage | | | 491 | | | | 109,356 | |
SBA Communications Corp. | | | 336 | | | | 107,009 | |
Sun Communities, Inc. | | | 711 | | | | 99,974 | |
Welltower, Inc. | | | 1,503 | | | | 82,800 | |
Weyerhaeuser Co. | | | 2,812 | | | | 80,198 | |
Realty Income Corp. | | | 1,291 | | | | 78,428 | |
AvalonBay Communities, Inc. | | | 523 | | | | 78,105 | |
Alexandria Real Estate Equities, Inc. | | | 484 | | | | 77,440 | |
Simon Property Group, Inc. | | | 1,155 | | | | 74,705 | |
Equity Residential | | | 1,430 | | | | 73,402 | |
Invitation Homes, Inc. | | | 2,444 | | | | 68,408 | |
Ventas, Inc. | | | 1,618 | | | | 67,891 | |
Healthpeak Properties, Inc. | | | 2,430 | | | | 65,974 | |
Duke Realty Corp. | | | 1,760 | | | | 64,944 | |
Extra Space Storage, Inc. | | | 594 | | | | 63,552 | |
Mid-America Apartment Communities, Inc. | | | 543 | | | | 62,961 | |
Essex Property Trust, Inc. | | | 309 | | | | 62,044 | |
VICI Properties, Inc. | | | 2,594 | | | | 60,622 | |
Boston Properties, Inc. | | | 735 | | | | 59,020 | |
WP Carey, Inc. | | | 892 | | | | 58,123 | |
Equity LifeStyle Properties, Inc. | | | 930 | | | | 57,009 | |
Medical Properties Trust, Inc. | | | 3,065 | | | | 54,036 | |
UDR, Inc. | | | 1,604 | | | | 52,306 | |
American Homes 4 Rent — Class A | | | 1,835 | | | | 52,261 | |
Camden Property Trust | | | 569 | | | | 50,630 | |
Gaming and Leisure Properties, Inc. | | | 1,347 | | | | 49,747 | |
CyrusOne, Inc. | | | 686 | | | | 48,041 | |
Americold Realty Trust | | | 1,323 | | | | 47,297 | |
Host Hotels & Resorts, Inc. | | | 4,381 | | | | 47,271 | |
AGNC Investment Corp. | | | 3,385 | | | | 47,085 | |
Iron Mountain, Inc. | | | 1,752 | | | | 46,936 | |
STORE Capital Corp. | | | 1,621 | | | | 44,464 | |
Omega Healthcare Investors, Inc. | | | 1,452 | | | | 43,473 | |
CubeSmart | | | 1,341 | | | | 43,328 | |
Lamar Advertising Co. — Class A | | | 649 | | | | 42,944 | |
Regency Centers Corp. | | | 1,119 | | | | 42,544 | |
Vornado Realty Trust | | | 1,245 | | | | 41,969 | |
Kilroy Realty Corp. | | | 792 | | | | 41,152 | |
National Retail Properties, Inc. | | | 1,179 | | | | 40,687 | |
Federal Realty Investment Trust | | | 520 | | | | 38,189 | |
Apartment Investment and Management Co. — Class A | | | 1,125 | | | | 37,935 | |
STAG Industrial, Inc. | | | 1,210 | | | | 36,893 | |
Kimco Realty Corp. | | | 3,206 | | | | 36,100 | |
Douglas Emmett, Inc. | | | 1,430 | | | | 35,893 | |
Cousins Properties, Inc. | | | 1,228 | | | | 35,109 | |
SL Green Realty Corp.1 | | | 662 | | | | 30,697 | |
Brixmor Property Group, Inc. | | | 2,614 | | | | 30,558 | |
Sabra Health Care REIT, Inc. | | | 1,989 | | | | 27,418 | |
Park Hotels & Resorts, Inc. | | | 2,551 | | | | 25,484 | |
Taubman Centers, Inc. | | | 720 | | | | 23,969 | |
Macerich Co.1 | | | 2,397 | | | | 16,276 | |
Total REITs | | | | | | | 3,494,119 | |
| | | | | | | | | |
Banks - 24.8% |
JPMorgan Chase & Co. | | | 3,096 | | | | 298,052 | |
Bank of America Corp. | | | 10,287 | | | | 247,814 | |
Wells Fargo & Co. | | | 7,172 | | | | 168,614 | |
Citigroup, Inc. | | | 3,764 | | | | 162,266 | |
Goldman Sachs Group, Inc. | | | 764 | | | | 153,541 | |
Morgan Stanley | | | 3,131 | | | | 151,384 | |
U.S. Bancorp | | | 3,502 | | | | 125,547 | |
Truist Financial Corp. | | | 3,281 | | | | 124,842 | |
PNC Financial Services Group, Inc. | | | 1,080 | | | | 118,703 | |
Bank of New York Mellon Corp. | | | 2,759 | | | | 94,744 | |
State Street Corp. | | | 1,323 | | | | 78,493 | |
First Republic Bank | | | 701 | | | | 76,451 | |
Northern Trust Corp. | | | 872 | | | | 67,990 | |
Fifth Third Bancorp | | | 3,174 | | | | 67,670 | |
HDFC Bank Ltd. ADR* | | | 1,299 | | | | 64,898 | |
SVB Financial Group* | | | 254 | | | | 61,117 | |
HSBC Holdings plc ADR | | | 3,067 | | | | 60,052 | |
ICICI Bank Ltd. ADR* | | | 6,078 | | | | 59,747 | |
KeyCorp | | | 4,867 | | | | 58,063 | |
Toronto-Dominion Bank | | | 1,244 | | | | 57,522 | |
Regions Financial Corp. | | | 4,962 | | | | 57,212 | |
M&T Bank Corp. | | | 618 | | | | 56,912 | |
Citizens Financial Group, Inc. | | | 2,191 | | | | 55,388 | |
Popular, Inc. | | | 1,477 | | | | 53,571 | |
Huntington Bancshares, Inc. | | | 5,672 | | | | 52,012 | |
Commerce Bancshares, Inc. | | | 769 | | | | 43,287 | |
First Horizon National Corp. | | | 4,188 | | | | 39,493 | |
Comerica, Inc. | | | 1,025 | | | | 39,206 | |
Zions Bancorp North America | | | 1,264 | | | | 36,934 | |
East West Bancorp, Inc. | | | 1,119 | | | | 36,636 | |
Signature Bank | | | 429 | | | | 35,603 | |
TCF Financial Corp. | | | 1,359 | | | | 31,746 | |
Synovus Financial Corp. | | | 1,411 | | | | 29,871 | |
Wintrust Financial Corp. | | | 644 | | | | 25,792 | |
PacWest Bancorp | | | 1,421 | | | | 24,271 | |
Texas Capital Bancshares, Inc.* | | | 694 | | | | 21,604 | |
Total Banks | | | | | | | 2,937,048 | |
| | | | | | | | | |
Insurance - 22.2% |
Berkshire Hathaway, Inc. — Class B* | | | 1,835 | | | | 390,745 | |
Marsh & McLennan Companies, Inc. | | | 1,137 | | | | 130,414 | |
Progressive Corp. | | | 1,357 | | | | 128,467 | |
Aon plc — Class A | | | 593 | | | | 122,336 | |
Chubb Ltd. | | | 993 | | | | 115,307 | |
Willis Towers Watson plc | | | 491 | | | | 102,531 | |
Allstate Corp. | | | 1,033 | | | | 97,247 | |
MetLife, Inc. | | | 2,599 | | | | 96,605 | |
Travelers Companies, Inc. | | | 830 | | | | 89,798 | |
Aflac, Inc. | | | 2,394 | | | | 87,022 | |
American International Group, Inc. | | | 3,091 | | | | 85,095 | |
Prudential Financial, Inc. | | | 1,332 | | | | 84,609 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
Arthur J Gallagher & Co. | | | 738 | | | $ | 77,918 | |
Arch Capital Group Ltd.* | | | 2,257 | | | | 66,017 | |
Fidelity National Financial, Inc. | | | 2,077 | | | | 65,031 | |
Hartford Financial Services Group, Inc. | | | 1,715 | | | | 63,215 | |
Brown & Brown, Inc. | | | 1,384 | | | | 62,654 | |
Cincinnati Financial Corp. | | | 794 | | | | 61,908 | |
Everest Re Group Ltd. | | | 300 | | | | 59,262 | |
Markel Corp.* | | | 60 | | | | 58,422 | |
Principal Financial Group, Inc. | | | 1,435 | | | | 57,787 | |
RenaissanceRe Holdings Ltd. | | | 340 | | | | 57,712 | |
Erie Indemnity Co. — Class A | | | 268 | | | | 56,355 | |
Athene Holding Ltd. — Class A* | | | 1,593 | | | | 54,289 | |
Loews Corp. | | | 1,522 | | | | 52,889 | |
Equitable Holdings, Inc. | | | 2,686 | | | | 48,993 | |
Assurant, Inc. | | | 381 | | | | 46,219 | |
Voya Financial, Inc. | | | 896 | | | | 42,945 | |
Reinsurance Group of America, Inc. — Class A | | | 450 | | | | 42,835 | |
Lincoln National Corp. | | | 1,343 | | | | 42,076 | |
Unum Group | | | 1,831 | | | | 30,816 | |
Brighthouse Financial, Inc.* | | | 1,005 | | | | 27,045 | |
eHealth, Inc.* | | | 314 | | | | 24,806 | |
Total Insurance | | | | | | | 2,629,370 | |
| | | | | | | | | |
Diversified Financial Services - 12.9% |
BlackRock, Inc. — Class A | | | 296 | | | | 166,811 | |
American Express Co. | | | 1,530 | | | | 153,383 | |
CME Group, Inc. — Class A | | | 798 | | | | 133,513 | |
Intercontinental Exchange, Inc. | | | 1,284 | | | | 128,464 | |
Charles Schwab Corp. | | | 3,285 | | | | 119,016 | |
Capital One Financial Corp. | | | 1,361 | | | | 97,801 | |
T. Rowe Price Group, Inc. | | | 735 | | | | 94,242 | |
Nasdaq, Inc. | | | 634 | | | | 77,798 | |
Ameriprise Financial, Inc. | | | 477 | | | | 73,510 | |
Discover Financial Services | | | 1,245 | | | | 71,936 | |
Synchrony Financial | | | 2,539 | | | | 66,446 | |
Raymond James Financial, Inc. | | | 757 | | | | 55,079 | |
Franklin Resources, Inc. | | | 2,696 | | | | 54,864 | |
Cboe Global Markets, Inc. | | | 618 | | | | 54,223 | |
Ally Financial, Inc. | | | 2,062 | | | | 51,694 | |
SEI Investments Co. | | | 944 | | | | 47,880 | |
LPL Financial Holdings, Inc. | | | 552 | | | | 42,322 | |
Invesco Ltd. | | | 3,507 | | | | 40,015 | |
Total Diversified Financial Services | | | | | | | 1,528,997 | |
| | | | | | | | | |
Private Equity - 3.5% |
Blackstone Group, Inc. — Class A | | | 2,665 | | | | 139,113 | |
KKR & Company, Inc. — Class A | | | 2,714 | | | | 93,199 | |
Apollo Global Management, Inc. | | | 1,731 | | | | 77,462 | |
Brookfield Asset Management, Inc. — Class A | | | 1,698 | | | | 56,136 | |
Carlyle Group, Inc. | | | 2,090 | | | | 51,560 | |
Total Private Equity | | | | | | | 417,470 | |
| | | | | | | | | |
Commercial Services - 3.2% |
S&P Global, Inc. | | | 454 | | | | 163,713 | |
Moody’s Corp. | | | 449 | | | | 130,143 | |
MarketAxess Holdings, Inc. | | | 165 | | | | 79,462 | |
Total Commercial Services | | | | | | | 373,318 | |
| | | | | | | | | |
Internet - 1.2% |
TD Ameritrade Holding Corp. | | | 2,069 | | | | 81,001 | |
E*TRADE Financial Corp. | | | 1,147 | | | | 57,408 | |
Total Internet | | | | | | | 138,409 | |
| | | | | | | | | |
Software - 0.8% |
MSCI, Inc. — Class A | | | 271 | | | | 96,687 | |
| | | | | | | | | |
Savings & Loans - 0.6% |
People’s United Financial, Inc. | | | 3,479 | | | | 35,869 | |
New York Community Bancorp, Inc. | | | 3,944 | | | | 32,617 | |
Total Savings & Loans | | | | | | | 68,486 | |
| | | | | | | | | |
Media - 0.5% |
FactSet Research Systems, Inc. | | | 186 | | | | 62,287 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,845,112) | | | | | | | 11,746,191 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.0% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 63,750 | | | | 63,750 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 26,534 | | | | 26,534 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 24,146 | | | | 24,146 | |
Total Repurchase Agreements | | | | |
(Cost $114,430) | | | | | | | 114,430 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 36,588 | | | | 36,588 | |
Total Securities Lending Collateral | | | | |
(Cost $36,588) | | | | | | | 36,588 | |
| | | | | | | | | |
Total Investments - 100.6% | | | | |
(Cost $8,996,130) | | $ | 11,897,209 | |
Other Assets & Liabilities, net - (0.6)% | | | (72,575 | ) |
Total Net Assets - 100.0% | | $ | 11,824,634 | |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
FINANCIAL SERVICES FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 11,746,191 | | | $ | — | | | $ | — | | | $ | 11,746,191 | |
Repurchase Agreements | | | — | | | | 114,430 | | | | — | | | | 114,430 | |
Securities Lending Collateral | | | 36,588 | | | | — | | | | — | | | | 36,588 | |
Total Assets | | $ | 11,782,779 | | | $ | 114,430 | | | $ | — | | | $ | 11,897,209 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $35,201 of securities loaned (cost $8,881,700) | | $ | 11,782,779 | |
Repurchase agreements, at value (cost $114,430) | | | 114,430 | |
Cash | | | 364 | |
Receivables: |
Dividends | | | 26,254 | |
Fund shares sold | | | 5,470 | |
Foreign tax reclaims | | | 299 | |
Securities lending income | | | 56 | |
Total assets | | | 11,929,652 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 36,588 | |
Fund shares redeemed | | | 34,414 | |
Management fees | | | 10,015 | |
Transfer agent and administrative fees | | | 3,169 | |
Distribution and service fees | | | 2,101 | |
Portfolio accounting fees | | | 1,179 | |
Trustees’ fees* | | | 255 | |
Miscellaneous | | | 17,297 | |
Total liabilities | | | 105,018 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 11,824,634 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 10,782,320 | |
Total distributable earnings (loss) | | | 1,042,314 | |
Net assets | | $ | 11,824,634 | |
| | | | | |
Investor Class: |
Net assets | | $ | 3,330,663 | |
Capital shares outstanding | | | 51,316 | |
Net asset value per share | | $ | 64.90 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,609,137 | |
Capital shares outstanding | | | 125,870 | |
Net asset value per share | | $ | 60.45 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 63.46 | |
| | | | | |
C-Class: |
Net assets | | $ | 503,213 | |
Capital shares outstanding | | | 9,577 | |
Net asset value per share | | $ | 52.54 | |
| | | | | |
H-Class: |
Net assets | | $ | 381,621 | |
Capital shares outstanding | | | 6,513 | |
Net asset value per share | | $ | 58.59 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $380) | | $ | 199,291 | |
Interest | | | 23 | |
Income from securities lending, net | | | 334 | |
Total investment income | | | 199,648 | |
| | | | | |
Expenses: |
Management fees | | | 61,457 | |
Distribution and service fees: |
A-Class | | | 9,037 | |
C-Class | | | 2,683 | |
H-Class | | | 553 | |
Transfer agent and administrative fees | | | 20,535 | |
Registration fees | | | 7,959 | |
Portfolio accounting fees | | | 7,232 | |
Professional fees | | | 5,186 | |
Custodian fees | | | 1,038 | |
Trustees’ fees* | | | 354 | |
Line of credit fees | | | 22 | |
Miscellaneous | | | 3,188 | |
Total expenses | | | 119,244 | |
Net investment income | | | 80,404 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (729,523 | ) |
Net realized loss | | | (729,523 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,323,651 | |
Net change in unrealized appreciation (depreciation) | | | 2,323,651 | |
Net realized and unrealized gain | | | 1,594,128 | |
Net increase in net assets resulting from operations | | $ | 1,674,532 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 80,404 | | | $ | 224,910 | |
Net realized gain (loss) on investments | | | (729,523 | ) | | | 967,033 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,323,651 | | | | (3,396,384 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,674,532 | | | | (2,204,441 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (64,630 | ) |
A-Class | | | — | | | | (36,597 | ) |
C-Class | | | — | | | | (5,315 | ) |
H-Class | | | — | | | | (8,748 | ) |
Total distributions to shareholders | | | — | | | | (115,290 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 22,546,434 | | | | 49,827,414 | |
A-Class | | | 1,141,055 | | | | 4,186,426 | |
C-Class | | | 642,669 | | | | 1,741,582 | |
H-Class | | | 150,320 | | | | 18,267,949 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 63,368 | |
A-Class | | | — | | | | 36,296 | |
C-Class | | | — | | | | 5,268 | |
H-Class | | | — | | | | 8,748 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (22,581,861 | ) | | | (51,288,443 | ) |
A-Class | | | (394,504 | ) | | | (4,716,834 | ) |
C-Class | | | (864,557 | ) | | | (1,914,065 | ) |
H-Class | | | (451,669 | ) | | | (19,106,628 | ) |
Net increase (decrease) from capital share transactions | | | 187,887 | | | | (2,888,919 | ) |
Net increase (decrease) in net assets | | | 1,862,419 | | | | (5,208,650 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 9,962,215 | | | | 15,170,865 | |
End of period | | $ | 11,824,634 | | | $ | 9,962,215 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 349,790 | | | | 673,773 | |
A-Class | | | 20,250 | | | | 61,997 | |
C-Class | | | 12,613 | | | | 28,914 | |
H-Class | | | 2,677 | | | | 274,440 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 821 | |
A-Class | | | — | | | | 504 | |
C-Class | | | — | | | | 84 | |
H-Class | | | — | | | | 125 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (352,640 | ) | | | (692,918 | ) |
A-Class | | | (6,797 | ) | | | (68,450 | ) |
C-Class | | | (17,346 | ) | | | (32,121 | ) |
H-Class | | | (8,498 | ) | | | (288,019 | ) |
Net increase (decrease) in shares | | | 49 | | | | (40,850 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 54.80 | | | $ | 68.68 | | | $ | 72.17 | | | $ | 65.14 | | | $ | 53.90 | | | $ | 57.78 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .39 | | | | .83 | | | | .53 | | | | .61 | | | | .55 | | | | .77 | |
Net gain (loss) on investments (realized and unrealized) | | | 9.71 | | | | (14.39 | ) | | | (.86 | )g | | | 6.79 | | | | 11.14 | | | | (4.19 | ) |
Total from investment operations | | | 10.10 | | | | (13.56 | ) | | | (.33 | ) | | | 7.40 | | | | 11.69 | | | | (3.42 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) |
Net realized gains | | | — | | | | — | | | | (2.27 | ) | | | — | | | | — | | | | (.16 | ) |
Total distributions | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) |
Net asset value, end of period | | $ | 64.90 | | | $ | 54.80 | | | $ | 68.68 | | | $ | 72.17 | | | $ | 65.14 | | | $ | 53.90 | |
|
Total Return | | | 18.43 | % | | | (19.88 | %) | | | (0.14 | %) | | | 11.37 | % | | | 21.72 | % | | | (5.95 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,331 | | | $ | 2,968 | | | $ | 4,978 | | | $ | 25,183 | | | $ | 39,214 | | | $ | 15,110 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.22 | % | | | 1.12 | % | | | 0.74 | % | | | 0.89 | % | | | 0.90 | % | | | 1.36 | % |
Total expenses | | | 1.47 | % | | | 1.48 | % | | | 1.45 | % | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 150 | % | | | 249 | % | | | 410 | % | | | 347 | % | | | 389 | % | | | 268 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 51.10 | | | $ | 64.22 | | | $ | 67.88 | | | $ | 61.44 | | | $ | 51.00 | | | $ | 54.83 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .32 | | | | .54 | | | | .37 | | | | .53 | | | | .41 | | | | .46 | |
Net gain (loss) on investments (realized and unrealized) | | | 9.03 | | | | (13.34 | ) | | | (.87 | )g | | | 6.28 | | | | 10.48 | | | | (3.83 | ) |
Total from investment operations | | | 9.35 | | | | (12.80 | ) | | | (.50 | ) | | | 6.81 | | | | 10.89 | | | | (3.37 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) |
Net realized gains | | | — | | | | — | | | | (2.27 | ) | | | — | | | | — | | | | (.16 | ) |
Total distributions | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) |
Net asset value, end of period | | $ | 60.45 | | | $ | 51.10 | | | $ | 64.22 | | | $ | 67.88 | | | $ | 61.44 | | | $ | 51.00 | |
|
Total Returnc | | | 18.30 | % | | | (20.07 | %) | | | (0.41 | %) | | | 11.08 | % | | | 21.42 | % | | | (6.17 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,609 | | | $ | 5,745 | | | $ | 7,602 | | | $ | 8,293 | | | $ | 1,834 | | | $ | 1,039 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.09 | % | | | 0.78 | % | | | 0.55 | % | | | 0.81 | % | | | 0.73 | % | | | 0.87 | % |
Total expenses | | | 1.74 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 150 | % | | | 249 | % | | | 410 | % | | | 347 | % | | | 389 | % | | | 268 | % |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.59 | | | $ | 56.49 | | | $ | 60.56 | | | $ | 55.26 | | | $ | 46.24 | | | $ | 50.14 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .07 | | | | .01 | | | | (.16 | ) | | | — | f | | | (.07 | ) | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.88 | | | | (11.59 | ) | | | (.75 | )g | | | 5.67 | | | | 9.54 | | | | (3.55 | ) |
Total from investment operations | | | 7.95 | | | | (11.58 | ) | | | (.91 | ) | | | 5.67 | | | | 9.47 | | | | (3.44 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) |
Net realized gains | | | — | | | | — | | | | (2.27 | ) | | | — | | | | — | | | | (.16 | ) |
Total distributions | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) |
Net asset value, end of period | | $ | 52.54 | | | $ | 44.59 | | | $ | 56.49 | | | $ | 60.56 | | | $ | 55.26 | | | $ | 46.24 | |
|
Total Returnc | | | 17.83 | % | | | (20.66 | %) | | | (1.15 | %) | | | 10.27 | % | | | 20.51 | % | | | (6.89 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 503 | | | $ | 638 | | | $ | 985 | | | $ | 2,218 | | | $ | 2,270 | | | $ | 1,065 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.28 | % | | | 0.02 | % | | | (0.27 | %) | | | — | h | | | (0.13 | %) | | | 0.22 | % |
Total expenses | | | 2.49 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 150 | % | | | 249 | % | | | 410 | % | | | 347 | % | | | 389 | % | | | 268 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016d,e | |
Per Share Data |
Net asset value, beginning of period | | $ | 49.53 | | | $ | 62.26 | | | $ | 65.93 | | | $ | 59.67 | | | $ | 49.53 | | | $ | 53.30 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .29 | | | | .54 | | | | .03 | | | | .46 | | | | .33 | | | | .43 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.77 | | | | (12.95 | ) | | | (.54 | )g | | | 6.17 | | | | 10.26 | | | | (3.74 | ) |
Total from investment operations | | | 9.06 | | | | (12.41 | ) | | | (.51 | ) | | | 6.63 | | | | 10.59 | | | | (3.31 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) |
Net realized gains | | | — | | | | — | | | | (2.27 | ) | | | — | | | | — | | | | (.16 | ) |
Total distributions | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) |
Net asset value, end of period | | $ | 58.59 | | | $ | 49.53 | | | $ | 62.26 | | | $ | 65.93 | | | $ | 59.67 | | | $ | 49.53 | |
|
Total Return | | | 18.29 | % | | | (20.08 | %) | | | (0.42 | %) | | | 11.11 | % | | | 21.43 | % | | | (6.25 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 382 | | | $ | 611 | | | $ | 1,606 | | | $ | 3,014 | | | $ | 18,259 | | | $ | 3,028 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.04 | % | | | 0.81 | % | | | 0.05 | % | | | 0.72 | % | | | 0.58 | % | | | 0.83 | % |
Total expenses | | | 1.75 | % | | | 1.72 | % | | | 1.73 | % | | | 1.63 | % | | | 1.63 | % | | | 1.65 | % |
Portfolio turnover rate | | | 150 | % | | | 249 | % | | | 410 | % | | | 347 | % | | | 389 | % | | | 268 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | 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 | 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. |
f | Net investment income is less than $0.01 per share. |
g | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
h | Less than 0.01%. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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 | 3.4% |
UnitedHealth Group, Inc. | 2.9% |
Merck & Company, Inc. | 2.4% |
Pfizer, Inc. | 2.4% |
Abbott Laboratories | 2.4% |
Thermo Fisher Scientific, Inc. | 2.3% |
Danaher Corp. | 2.1% |
Amgen, Inc. | 2.1% |
AbbVie, Inc. | 2.1% |
Bristol-Myers Squibb Co. | 2.0% |
Top Ten Total | 24.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 25.70% | 23.42% | 9.97% | 13.73% |
A-Class Shares | 25.54% | 23.11% | 9.69% | 13.45% |
A-Class Shares with sales charge‡ | 19.59% | 17.26% | 8.63% | 12.90% |
C-Class Shares | 25.08% | 22.23% | 8.88% | 12.62% |
C-Class Shares with CDSC§ | 24.08% | 21.23% | 8.88% | 12.62% |
H-Class Shares** | 25.58% | 23.15% | 9.70% | 13.32% |
S&P 500 Health Care Index | 20.25% | 20.11% | 11.88% | 15.40% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Pharmaceuticals - 31.7% |
Johnson & Johnson | | | 9,633 | | | $ | 1,434,161 | |
Merck & Company, Inc. | | | 12,324 | | | | 1,022,276 | |
Pfizer, Inc. | | | 27,853 | | | | 1,022,205 | |
AbbVie, Inc. | | | 10,076 | | | | 882,557 | |
Bristol-Myers Squibb Co. | | | 13,977 | | | | 842,673 | |
Eli Lilly & Co. | | | 5,652 | | | | 836,609 | |
Zoetis, Inc. | | | 3,914 | | | | 647,258 | |
CVS Health Corp. | | | 10,649 | | | | 621,902 | |
Becton Dickinson and Co. | | | 2,556 | | | | 594,730 | |
Cigna Corp. | | | 3,340 | | | | 565,829 | |
DexCom, Inc.* | | | 1,138 | | | | 469,118 | |
McKesson Corp. | | | 2,358 | | | | 351,177 | |
AmerisourceBergen Corp. — Class A | | | 3,294 | | | | 319,254 | |
Horizon Therapeutics plc* | | | 3,809 | | | | 295,883 | |
AstraZeneca plc ADR | | | 5,137 | | | | 281,508 | |
Jazz Pharmaceuticals plc* | | | 1,940 | | | | 276,625 | |
Cardinal Health, Inc. | | | 5,635 | | | | 264,563 | |
Elanco Animal Health, Inc.* | | | 9,431 | | | | 263,408 | |
GlaxoSmithKline plc ADR | | | 6,938 | | | | 261,146 | |
Novartis AG ADR | | | 2,953 | | | | 256,793 | |
Novo Nordisk A/S ADR | | | 3,505 | | | | 243,352 | |
Sarepta Therapeutics, Inc.* | | | 1,674 | | | | 235,080 | |
GW Pharmaceuticals plc ADR*,1 | | | 2,189 | | | | 213,099 | |
Alkermes plc* | | | 12,700 | | | | 210,439 | |
Neurocrine Biosciences, Inc.* | | | 2,164 | | | | 208,090 | |
Canopy Growth Corp.*,1 | | | 13,977 | | | | 200,151 | |
Mylan N.V.* | | | 12,767 | | | | 189,335 | |
PRA Health Sciences, Inc.* | | | 1,792 | | | | 181,780 | |
Bausch Health Companies, Inc.* | | | 10,102 | | | | 156,985 | |
Global Blood Therapeutics, Inc.* | | | 2,404 | | | | 132,557 | |
Total Pharmaceuticals | | | | | | | 13,480,543 | |
| | | | | | | | | |
Healthcare-Products - 29.2% |
Abbott Laboratories | | | 9,199 | | | | 1,001,127 | |
Thermo Fisher Scientific, Inc. | | | 2,172 | | | | 958,981 | |
Danaher Corp. | | | 4,196 | | | | 903,525 | |
Intuitive Surgical, Inc.* | | | 949 | | | | 673,353 | |
Stryker Corp. | | | 3,054 | | | | 636,362 | |
Medtronic plc | | | 5,732 | | | | 595,669 | |
Boston Scientific Corp.* | | | 13,712 | | | | 523,936 | |
Edwards Lifesciences Corp.* | | | 6,192 | | | | 494,245 | |
Baxter International, Inc. | | | 5,605 | | | | 450,754 | |
IDEXX Laboratories, Inc.* | | | 1,126 | | | | 442,642 | |
Zimmer Biomet Holdings, Inc. | | | 2,763 | | | | 376,155 | |
Align Technology, Inc.* | | | 1,113 | | | | 364,352 | |
ResMed, Inc. | | | 2,084 | | | | 357,260 | |
West Pharmaceutical Services, Inc. | | | 1,190 | | | | 327,131 | |
Hologic, Inc.* | | | 4,501 | | | | 299,181 | |
Cooper Companies, Inc. | | | 881 | | | | 297,003 | |
Insulet Corp.* | | | 1,228 | | | | 290,533 | |
Teleflex, Inc. | | | 843 | | | | 286,974 | |
Varian Medical Systems, Inc.* | | | 1,645 | | | | 282,940 | |
STERIS plc | | | 1,590 | | | | 280,142 | |
Novocure Ltd.* | | | 2,408 | | | | 268,035 | |
Masimo Corp.* | | | 1,122 | | | | 264,859 | |
ABIOMED, Inc.* | | | 915 | | | | 253,510 | |
Wright Medical Group N.V.* | | | 8,279 | | | | 252,841 | |
Quidel Corp.* | | | 1,105 | | | | 242,415 | |
Bio-Techne Corp. | | | 898 | | | | 222,462 | |
Dentsply Sirona, Inc. | | | 4,838 | | | | 211,566 | |
Henry Schein, Inc.* | | | 3,454 | | | | 203,026 | |
Repligen Corp.* | | | 1,367 | | | | 201,687 | |
Tandem Diabetes Care, Inc.* | | | 1,725 | | | | 195,788 | |
Envista Holdings Corp.* | | | 5,643 | | | | 139,269 | |
NuVasive, Inc.* | | | 2,269 | | | | 110,205 | |
Total Healthcare-Products | | | | | | | 12,407,928 | |
| | | | | | | | | |
Biotechnology - 20.1% |
Amgen, Inc. | | | 3,483 | | | | 885,239 | |
Gilead Sciences, Inc. | | | 10,004 | | | | 632,153 | |
Vertex Pharmaceuticals, Inc.* | | | 2,206 | | | | 600,297 | |
Regeneron Pharmaceuticals, Inc.* | | | 987 | | | | 552,503 | |
Illumina, Inc.* | | | 1,653 | | | | 510,909 | |
Biogen, Inc.* | | | 1,725 | | | | 489,348 | |
Seattle Genetics, Inc.* | | | 2,265 | | | | 443,238 | |
Moderna, Inc.*,1 | | | 5,508 | | | | 389,691 | |
Alexion Pharmaceuticals, Inc.* | | | 3,176 | | | | 363,430 | |
Exact Sciences Corp.* | | | 3,235 | | | | 329,808 | |
Immunomedics, Inc.* | | | 3,733 | | | | 317,417 | |
Incyte Corp.* | | | 3,517 | | | | 315,616 | |
Alnylam Pharmaceuticals, Inc.* | | | 2,139 | | | | 311,438 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 544 | | | | 280,410 | |
BioMarin Pharmaceutical, Inc.* | | | 3,391 | | | | 257,987 | |
Guardant Health, Inc.* | | | 2,278 | | | | 254,635 | |
Mirati Therapeutics, Inc.* | | | 1,194 | | | | 198,264 | |
Exelixis, Inc.* | | | 7,638 | | | | 186,749 | |
ACADIA Pharmaceuticals, Inc.* | | | 4,390 | | | | 181,087 | |
Ionis Pharmaceuticals, Inc.* | | | 3,763 | | | | 178,554 | |
Iovance Biotherapeutics, Inc.* | | | 4,640 | | | | 152,749 | |
Arrowhead Pharmaceuticals, Inc.* | | | 3,454 | | | | 148,729 | |
United Therapeutics Corp.* | | | 1,460 | | | | 147,460 | |
Bluebird Bio, Inc.* | | | 2,442 | | | | 131,746 | |
Nektar Therapeutics* | | | 6,723 | | | | 111,535 | |
Intercept Pharmaceuticals, Inc.* | | | 1,987 | | | | 82,381 | |
Sage Therapeutics, Inc.* | | | 1,233 | | | | 75,361 | |
Total Biotechnology | | | | | | | 8,528,734 | |
| | | | | | | | | |
Healthcare-Services - 13.2% |
UnitedHealth Group, Inc. | | | 4,015 | | | | 1,251,756 | |
Anthem, Inc. | | | 2,223 | | | | 597,076 | |
Humana, Inc. | | | 1,312 | | | | 543,024 | |
HCA Healthcare, Inc. | | | 3,572 | | | | 445,357 | |
Centene Corp.* | | | 6,993 | | | | 407,902 | |
IQVIA Holdings, Inc.* | | | 2,488 | | | | 392,183 | |
Teladoc Health, Inc.*,1 | | | 1,443 | | | | 316,363 | |
Laboratory Corporation of America Holdings* | | | 1,666 | | | | 313,658 | |
Quest Diagnostics, Inc. | | | 2,501 | | | | 286,339 | |
Molina Healthcare, Inc.* | | | 1,308 | | | | 239,416 | |
DaVita, Inc.* | | | 2,665 | | | | 228,257 | |
Universal Health Services, Inc. — Class B | | | 1,881 | | | | 201,305 | |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
Amedisys, Inc.* | | | 848 | | | $ | 200,493 | |
LHC Group, Inc.* | | | 898 | | | | 190,879 | |
Total Healthcare-Services | | | | | | | 5,614,008 | |
| | | | | | | | | |
Electronics - 3.0% |
Agilent Technologies, Inc. | | | 3,998 | | | | 403,558 | |
Mettler-Toledo International, Inc.* | | | 354 | | | | 341,875 | |
PerkinElmer, Inc. | | | 2,202 | | | | 276,373 | |
Waters Corp.* | | | 1,257 | | | | 245,970 | |
Total Electronics | | | | | | | 1,267,776 | |
| | | | | | | | | |
Software — 2.0% |
Veeva Systems, Inc. — Class A* | | | 1,733 | | | | 487,302 | |
Cerner Corp. | | | 4,699 | | | | 339,691 | |
Total Software | | | | | | | 826,993 | |
| | | | | | | | | |
Commercial Services - 0.3% |
HealthEquity, Inc.* | | | 2,814 | | | | 144,555 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $30,219,938) | | | | | | | 42,270,537 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 129,445 | | | | 129,445 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 53,879 | | | | 53,879 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 49,029 | | | | 49,029 | |
Total Repurchase Agreements | | | | |
(Cost $232,353) | | | | | | | 232,353 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 827,576 | | | | 827,576 | |
Total Securities Lending Collateral | | | | |
(Cost $827,576) | | | | | | | 827,576 | |
| | | | | | | | | |
Total Investments - 101.9% | | | | |
(Cost $31,279,867) | | $ | 43,330,466 | |
Other Assets & Liabilities, net - (1.9)% | | | (817,975 | ) |
Total Net Assets - 100.0% | | $ | 42,512,491 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 42,270,537 | | | $ | — | | | $ | — | | | $ | 42,270,537 | |
Repurchase Agreements | | | — | | | | 232,353 | | | | — | | | | 232,353 | |
Securities Lending Collateral | | | 827,576 | | | | — | | | | — | | | | 827,576 | |
Total Assets | | $ | 43,098,113 | | | $ | 232,353 | | | $ | — | | | $ | 43,330,466 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $809,046 of securities loaned (cost $31,047,514) | | $ | 43,098,113 | |
Repurchase agreements, at value (cost $232,353) | | | 232,353 | |
Receivables: |
Securities sold | | | 274,412 | |
Dividends | | | 27,612 | |
Fund shares sold | | | 25,497 | |
Foreign tax reclaims | | | 3,925 | |
Securities lending income | | | 627 | |
Total assets | | | 43,662,539 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 827,576 | |
Fund shares redeemed | | | 204,829 | |
Management fees | | | 31,526 | |
Transfer agent and administrative fees | | | 9,976 | |
Distribution and service fees | | | 3,948 | |
Portfolio accounting fees | | | 3,710 | |
Trustees’ fees* | | | 994 | |
Miscellaneous | | | 67,489 | |
Total liabilities | | | 1,150,048 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 42,512,491 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 28,066,849 | |
Total distributable earnings (loss) | | | 14,445,642 | |
Net assets | | $ | 42,512,491 | |
| | | | | |
Investor Class: |
Net assets | | $ | 32,772,250 | |
Capital shares outstanding | | | 861,360 | |
Net asset value per share | | $ | 38.05 | |
| | | | | |
A-Class: |
Net assets | | $ | 5,056,292 | |
Capital shares outstanding | | | 147,381 | |
Net asset value per share | | $ | 34.31 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 36.02 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,221,724 | |
Capital shares outstanding | | | 110,988 | |
Net asset value per share | | $ | 29.03 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,462,225 | |
Capital shares outstanding | | | 44,260 | |
Net asset value per share | | $ | 33.04 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $563) | | $ | 364,224 | |
Interest | | | 93 | |
Income from securities lending, net | | | 19,834 | |
Total investment income | | | 384,151 | |
| | | | | |
Expenses: |
Management fees | | | 299,166 | |
Distribution and service fees: |
A-Class | | | 6,002 | |
C-Class | | | 16,505 | |
H-Class | | | 11,834 | |
Transfer agent and administrative fees | | | 98,895 | |
Registration fees | | | 38,745 | |
Portfolio accounting fees | | | 35,206 | |
Professional fees | | | 24,715 | |
Custodian fees | | | 4,887 | |
Trustees’ fees* | | | 1,698 | |
Miscellaneous | | | 23,384 | |
Total expenses | | | 561,037 | |
Net investment loss | | | (176,886 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 8,265,707 | |
Net realized gain | | | 8,265,707 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 8,666,159 | |
Net change in unrealized appreciation (depreciation) | | | 8,666,159 | |
Net realized and unrealized gain | | | 16,931,866 | |
Net increase in net assets resulting from operations | | $ | 16,754,980 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (176,886 | ) | | $ | (134,017 | ) |
Net realized gain on investments | | | 8,265,707 | | | | 10,948,048 | |
Net change in unrealized appreciation (depreciation) on investments | | | 8,666,159 | | | | (14,177,522 | ) |
Net increase (decrease) in net assets resulting from operations | | | 16,754,980 | | | | (3,363,491 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 83,260,989 | | | | 117,439,229 | |
A-Class | | | 1,227,455 | | | | 8,301,767 | |
C-Class | | | 1,717,042 | | | | 2,538,334 | |
H-Class | | | 22,702,594 | | | | 12,331,415 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (74,203,336 | ) | | | (166,245,050 | ) |
A-Class | | | (765,204 | ) | | | (9,724,774 | ) |
C-Class | | | (2,014,025 | ) | | | (3,855,410 | ) |
H-Class | | | (26,028,407 | ) | | | (18,823,192 | ) |
Net increase (decrease) from capital share transactions | | | 5,897,108 | | | | (58,037,681 | ) |
Net increase (decrease) in net assets | | | 22,652,088 | | | | (61,401,172 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 19,860,403 | | | | 81,261,575 | |
End of period | | $ | 42,512,491 | | | $ | 19,860,403 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,494,078 | | | | 3,523,340 | |
A-Class | | | 38,530 | | | | 285,931 | |
C-Class | | | 62,932 | | | | 101,419 | |
H-Class | | | 835,885 | | | | 409,835 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (2,042,634 | ) | | | (5,117,046 | ) |
A-Class | | | (23,101 | ) | | | (321,745 | ) |
C-Class | | | (73,712 | ) | | | (154,580 | ) |
H-Class | | | (830,413 | ) | | | (653,035 | ) |
Net increase (decrease) in shares | | | 461,565 | | | | (1,925,881 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-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.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.27 | | | $ | 32.03 | | | $ | 28.88 | | | $ | 27.82 | | | $ | 28.65 | | | $ | 35.83 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.07 | ) | | | (.06 | ) | | | (.13 | ) | | | (.13 | ) | | | (.10 | ) | | | (.04 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.85 | | | | (1.70 | ) | | | 3.78 | | | | 3.82 | | | | 2.79 | | | | (5.11 | ) |
Total from investment operations | | | 7.78 | | | | (1.76 | ) | | | 3.65 | | | | 3.69 | | | | 2.69 | | | | (5.15 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Total distributions | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Net asset value, end of period | | $ | 38.05 | | | $ | 30.27 | | | $ | 32.03 | | | $ | 28.88 | | | $ | 27.82 | | | $ | 28.65 | |
|
Total Return | | | 25.70 | % | | | (5.49 | %) | | | 12.75 | % | | | 13.38 | % | | | 10.20 | % | | | (14.82 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,772 | | | $ | 12,408 | | | $ | 64,185 | | | $ | 67,542 | | | $ | 36,468 | | | $ | 44,663 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.40 | %) | | | (0.19 | %) | | | (0.42 | %) | | | (0.43 | %) | | | (0.36 | %) | | | (0.11 | %) |
Total expenses | | | 1.49 | % | | | 1.47 | % | | | 1.46 | % | | | 1.38 | % | | | 1.37 | % | | | 1.34 | % |
Portfolio turnover rate | | | 153 | % | | | 248 | % | | | 341 | % | | | 394 | % | | | 699 | % | | | 249 | % |
��
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.33 | | | $ | 29.00 | | | $ | 26.26 | | | $ | 25.56 | | | $ | 26.68 | | | $ | 33.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.11 | ) | | | (.12 | ) | | | (.19 | ) | | | (.19 | ) | | | (.17 | ) | | | (.13 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.09 | | | | (1.55 | ) | | | 3.43 | | | | 3.52 | | | | 2.57 | | | | (4.76 | ) |
Total from investment operations | | | 6.98 | | | | (1.67 | ) | | | 3.24 | | | | 3.33 | | | | 2.40 | | | | (4.89 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Total distributions | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Net asset value, end of period | | $ | 34.31 | | | $ | 27.33 | | | $ | 29.00 | | | $ | 26.26 | | | $ | 25.56 | | | $ | 26.68 | |
|
Total Returnc | | | 25.54 | % | | | (5.76 | %) | | | 12.46 | % | | | 13.14 | % | | | 9.85 | % | | | (15.04 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,056 | | | $ | 3,606 | | | $ | 4,865 | | | $ | 3,102 | | | $ | 4,626 | | | $ | 6,410 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.66 | %) | | | (0.43 | %) | | | (0.68 | %) | | | (0.69 | %) | | | (0.62 | %) | | | (0.42 | %) |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % |
Portfolio turnover rate | | | 153 | % | | | 248 | % | | | 341 | % | | | 394 | % | | | 699 | % | | | 249 | % |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 23.21 | | | $ | 24.81 | | | $ | 22.69 | | | $ | 22.58 | | | $ | 24.13 | | | $ | 30.82 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.20 | ) | | | (.30 | ) | | | (.35 | ) | | | (.34 | ) | | | (.33 | ) | | | (.33 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.02 | | | | (1.30 | ) | | | 2.97 | | | | 3.08 | | | | 2.30 | | | | (4.33 | ) |
Total from investment operations | | | 5.82 | | | | (1.60 | ) | | | 2.62 | | | | 2.74 | | | | 1.97 | | | | (4.66 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Total distributions | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Net asset value, end of period | | $ | 29.03 | | | $ | 23.21 | | | $ | 24.81 | | | $ | 22.69 | | | $ | 22.58 | | | $ | 24.13 | |
|
Total Returnc | | | 25.08 | % | | | (6.45 | %) | | | 11.68 | % | | | 12.24 | % | | | 9.07 | % | | | (15.67 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,222 | | | $ | 2,826 | | | $ | 4,340 | | | $ | 4,940 | | | $ | 4,959 | | | $ | 8,284 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.42 | %) | | | (1.20 | %) | | | (1.42 | %) | | | (1.42 | %) | | | (1.37 | %) | | | (1.17 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 153 | % | | | 248 | % | | | 341 | % | | | 394 | % | | | 699 | % | | | 249 | % |
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.31 | | | $ | 27.91 | | | $ | 25.29 | | | $ | 24.72 | | | $ | 25.91 | | | $ | 32.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.11 | ) | | | (.13 | ) | | | (.18 | ) | | | (.21 | ) | | | (.16 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.84 | | | | (1.47 | ) | | | 3.30 | | | | 3.41 | | | | 2.49 | | | | (4.63 | ) |
Total from investment operations | | | 6.73 | | | | (1.60 | ) | | | 3.12 | | | | 3.20 | | | | 2.33 | | | | (4.77 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Total distributions | | | — | | | | — | | | | (.50 | ) | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) |
Net asset value, end of period | | $ | 33.04 | | | $ | 26.31 | | | $ | 27.91 | | | $ | 25.29 | | | $ | 24.72 | | | $ | 25.91 | |
|
Total Return | | | 25.58 | % | | | (5.73 | %) | | | 12.46 | % | | | 13.06 | % | | | 9.87 | % | | | (15.08 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,462 | | | $ | 1,021 | | | $ | 7,871 | | | $ | 5,225 | | | $ | 4,809 | | | $ | 5,244 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.70 | %) | | | (0.45 | %) | | | (0.66 | %) | | | (0.77 | %) | | | (0.62 | %) | | | (0.44 | %) |
Total expenses | | | 1.79 | % | | | 1.72 | % | | | 1.73 | % | | | 1.64 | % | | | 1.62 | % | | | 1.71 | % |
Portfolio turnover rate | | | 153 | % | | | 248 | % | | | 341 | % | | | 394 | % | | | 699 | % | | | 249 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 8.1% |
Alphabet, Inc. — Class A | 6.2% |
Facebook, Inc. — Class A | 5.5% |
PayPal Holdings, Inc. | 3.9% |
Netflix, Inc. | 3.7% |
salesforce.com, Inc. | 3.7% |
Cisco Systems, Inc. | 3.0% |
Alibaba Group Holding Ltd. ADR | 2.8% |
Booking Holdings, Inc. | 1.9% |
Activision Blizzard, Inc. | 1.9% |
Top Ten Total | 40.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 54.41% | 46.68% | 21.28% | 16.41% |
A-Class Shares | 54.23% | 46.32% | 20.98% | 16.12% |
A-Class Shares with sales charge‡ | 46.90% | 39.37% | 19.81% | 15.56% |
C-Class Shares | 53.64% | 45.22% | 20.08% | 15.25% |
C-Class Shares with CDSC§ | 52.64% | 44.22% | 20.08% | 15.25% |
H-Class Shares** | 54.22% | 46.32% | 20.98% | 15.98% |
S&P 500 Information Technology Index | 46.13% | 47.23% | 27.18% | 20.50% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INTERNET FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Internet - 61.4% |
Amazon.com, Inc.* | | | 1,518 | | | $ | 4,779,772 | |
Alphabet, Inc. — Class A* | | | 2,522 | | | | 3,696,243 | |
Facebook, Inc. — Class A* | | | 12,528 | | | | 3,281,083 | |
Netflix, Inc.* | | | 4,350 | | | | 2,175,131 | |
Alibaba Group Holding Ltd. ADR* | | | 5,734 | | | | 1,685,681 | |
Booking Holdings, Inc.* | | | 675 | | | | 1,154,709 | |
Uber Technologies, Inc.* | | | 30,651 | | | | 1,118,148 | |
Snap, Inc. — Class A* | | | 34,776 | | | | 908,001 | |
eBay, Inc. | | | 17,076 | | | | 889,660 | |
Twitter, Inc.* | | | 19,880 | | | | 884,660 | |
Wayfair, Inc. — Class A* | | | 2,629 | | | | 765,065 | |
Okta, Inc.* | | | 3,566 | | | | 762,589 | |
Match Group, Inc.* | | | 6,880 | | | | 761,272 | |
Pinterest, Inc. — Class A* | | | 18,044 | | | | 749,006 | |
JD.com, Inc. ADR* | | | 9,341 | | | | 724,955 | |
Shopify, Inc. — Class A* | | | 700 | | | | 716,079 | |
Zillow Group, Inc. — Class C* | | | 6,723 | | | | 682,990 | |
VeriSign, Inc.* | | | 3,315 | | | | 679,078 | |
Chewy, Inc. — Class A* | | | 12,277 | | | | 673,148 | |
TD Ameritrade Holding Corp. | | | 16,547 | | | | 647,815 | |
Baidu, Inc. ADR* | | | 5,035 | | | | 637,381 | |
Etsy, Inc.* | | | 4,619 | | | | 561,809 | |
GoDaddy, Inc. — Class A* | | | 6,782 | | | | 515,229 | |
MercadoLibre, Inc.* | | | 473 | | | | 512,013 | |
Expedia Group, Inc. | | | 5,398 | | | | 494,943 | |
E*TRADE Financial Corp. | | | 9,201 | | | | 460,510 | |
IAC* | | | 3,752 | | | | 449,415 | |
Trip.com Group Ltd. ADR* | | | 13,882 | | | | 432,285 | |
Anaplan, Inc.* | | | 6,899 | | | | 431,739 | |
Pinduoduo, Inc. ADR* | | | 5,200 | | | | 385,580 | |
F5 Networks, Inc.* | | | 3,121 | | | | 383,165 | |
GrubHub, Inc.* | | | 5,121 | | | | 370,402 | |
Wix.com Ltd.* | | | 1,280 | | | | 326,208 | |
Stamps.com, Inc.* | | | 1,269 | | | | 305,766 | |
Weibo Corp. ADR* | | | 8,342 | | | | 303,899 | |
Momo, Inc. ADR | | | 21,567 | | | | 296,762 | |
JOYY, Inc. ADR | | | 3,589 | | | | 289,525 | |
Vipshop Holdings Ltd. ADR* | | | 17,998 | | | | 281,489 | |
Autohome, Inc. ADR | | | 2,851 | | | | 273,696 | |
Baozun, Inc. ADR*,1 | | | 7,759 | | | | 252,090 | |
Stitch Fix, Inc. — Class A*,1 | | | 8,409 | | | | 228,136 | |
TripAdvisor, Inc. | | | 11,221 | | | | 219,819 | |
Cargurus, Inc.* | | | 9,713 | | | | 210,092 | |
Total Internet | | | | | | | 36,357,038 | |
| | | | | | | | | |
Software - 24.1% |
salesforce.com, Inc.* | | | 8,639 | | | | 2,171,153 | |
Activision Blizzard, Inc. | | | 13,942 | | | | 1,128,605 | |
Veeva Systems, Inc. — Class A* | | | 3,375 | | | | 949,016 | |
DocuSign, Inc.* | | | 4,370 | | | | 940,599 | |
Twilio, Inc. — Class A* | | | 3,674 | | | | 907,809 | |
Electronic Arts, Inc.* | | | 6,748 | | | | 880,007 | |
Coupa Software, Inc.* | | | 2,371 | | | | 650,223 | |
Take-Two Interactive Software, Inc.* | | | 3,713 | | | | 613,462 | |
Akamai Technologies, Inc.* | | | 5,458 | | | | 603,327 | |
Citrix Systems, Inc. | | | 4,267 | | | | 587,609 | |
MongoDB, Inc.* | | | 2,332 | | | | 539,881 | |
HubSpot, Inc.* | | | 1,843 | | | | 538,580 | |
NetEase, Inc. ADR | | | 1,007 | | | | 457,853 | |
Five9, Inc.* | | | 3,257 | | | | 422,368 | |
Dropbox, Inc. — Class A* | | | 20,729 | | | | 399,240 | |
Smartsheet, Inc. — Class A* | | | 7,453 | | | | 368,327 | |
Sea Ltd. ADR* | | | 2,272 | | | | 349,979 | |
Nutanix, Inc. — Class A* | | | 13,573 | | | | 301,049 | |
Bilibili, Inc. ADR* | | | 7,157 | | | | 297,731 | |
New Relic, Inc.* | | | 4,617 | | | | 260,214 | |
J2 Global, Inc.* | | | 3,634 | | | | 251,545 | |
HUYA, Inc. ADR* | | | 9,968 | | | | 238,734 | |
Pluralsight, Inc. — Class A* | | | 13,613 | | | | 233,191 | |
Cornerstone OnDemand, Inc.* | | | 6,061 | | | | 220,378 | |
Total Software | | | | | | | 14,310,880 | |
| | | | | | | | | |
Telecommunications - 7.9% |
Cisco Systems, Inc. | | | 45,304 | | | | 1,784,524 | |
Motorola Solutions, Inc. | | | 4,560 | | | | 715,054 | |
Arista Networks, Inc.* | | | 2,732 | | | | 565,333 | |
Juniper Networks, Inc. | | | 16,684 | | | | 358,706 | |
Ciena Corp.* | | | 8,593 | | | | 341,056 | |
GDS Holdings Ltd. ADR* | | | 3,956 | | | | 323,719 | |
Viavi Solutions, Inc.* | | | 19,031 | | | | 223,234 | |
ViaSat, Inc.* | | | 6,093 | | | | 209,538 | |
CommScope Holding Company, Inc.* | | | 19,714 | | | | 177,426 | |
Total Telecommunications | | | | | | | 4,698,590 | |
| | | | | | | | | |
Commercial Services - 5.6% |
PayPal Holdings, Inc.* | | | 11,589 | | | | 2,283,381 | |
CoStar Group, Inc.* | | | 966 | | | | 819,661 | |
2U, Inc.* | | | 6,641 | | | | 224,864 | |
Total Commercial Services | | | | | | | 3,327,906 | |
| | | | | | | | | |
Computers - 0.6% |
Lumentum Holdings, Inc.* | | | 4,570 | | | | 343,344 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $41,263,904) | | | | | | | 59,037,758 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 185,285 | | | | 185,285 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 77,121 | | | | 77,121 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 70,180 | | | | 70,180 | |
Total Repurchase Agreements | | | | |
(Cost $332,586) | | | | | | | 332,586 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INTERNET FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 0.6% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 365,564 | | | $ | 365,564 | |
Total Securities Lending Collateral | | | | |
(Cost $365,564) | | | | | | | 365,564 | |
| | | | | | | | | |
Total Investments - 100.8% | | | | |
(Cost $41,962,054) | | $ | 59,735,908 | |
Other Assets & Liabilities, net - (0.8)% | | | (464,903 | ) |
Total Net Assets - 100.0% | | $ | 59,271,005 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 59,037,758 | | | $ | — | | | $ | — | | | $ | 59,037,758 | |
Repurchase Agreements | | | — | | | | 332,586 | | | | — | | | | 332,586 | |
Securities Lending Collateral | | | 365,564 | | | | — | | | | — | | | | 365,564 | |
Total Assets | | $ | 59,403,322 | | | $ | 332,586 | | | $ | — | | | $ | 59,735,908 | |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $360,141 of securities loaned (cost $41,629,468) | | $ | 59,403,322 | |
Repurchase agreements, at value (cost $332,586) | | | 332,586 | |
Receivables: |
Fund shares sold | | | 62,737 | |
Dividends | | | 3,035 | |
Securities lending income | | | 251 | |
Total assets | | | 59,801,931 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 365,564 | |
Management fees | | | 44,572 | |
Fund shares redeemed | | | 42,904 | |
Transfer agent and administrative fees | | | 14,104 | |
Portfolio accounting fees | | | 5,245 | |
Distribution and service fees | | | 4,031 | |
Trustees’ fees* | | | 789 | |
Miscellaneous | | | 53,717 | |
Total liabilities | | | 530,926 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 59,271,005 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 43,121,763 | |
Total distributable earnings (loss) | | | 16,149,242 | |
Net assets | | $ | 59,271,005 | |
| | | | | |
Investor Class: |
Net assets | | $ | 52,006,606 | |
Capital shares outstanding | | | 320,056 | |
Net asset value per share | | $ | 162.49 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,657,571 | |
Capital shares outstanding | | | 17,751 | |
Net asset value per share | | $ | 149.71 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 157.18 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,576,513 | |
Capital shares outstanding | | | 28,079 | |
Net asset value per share | | $ | 127.37 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,030,315 | |
Capital shares outstanding | | | 7,130 | |
Net asset value per share | | $ | 144.50 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,128) | | $ | 59,673 | |
Interest | | | 93 | |
Income from securities lending, net | | | 13,384 | |
Total investment income | | | 73,150 | |
| | | | | |
Expenses: |
Management fees | | | 220,210 | |
Distribution and service fees: |
A-Class | | | 2,910 | |
C-Class | | | 15,206 | |
H-Class | | | 11,693 | |
Transfer agent and administrative fees | | | 72,256 | |
Registration fees | | | 28,519 | |
Portfolio accounting fees | | | 25,915 | |
Professional fees | | | 17,172 | |
Custodian fees | | | 3,501 | |
Trustees’ fees* | | | 1,166 | |
Line of credit fees | | | 50 | |
Miscellaneous | | | 14,751 | |
Total expenses | | | 413,349 | |
Net investment loss | | | (340,199 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,371,698 | |
Net realized gain | | | 3,371,698 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 14,758,819 | |
Net change in unrealized appreciation (depreciation) | | | 14,758,819 | |
Net realized and unrealized gain | | | 18,130,517 | |
Net increase in net assets resulting from operations | | $ | 17,790,318 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (340,199 | ) | | $ | (392,589 | ) |
Net realized gain (loss) on investments | | | 3,371,698 | | | | (1,629,638 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 14,758,819 | | | | (5,406,274 | ) |
Net increase (decrease) in net assets resulting from operations | | | 17,790,318 | | | | (7,428,501 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (710,898 | ) |
A-Class | | | — | | | | (61,275 | ) |
C-Class | | | — | | | | (101,725 | ) |
H-Class | | | — | | | | (29,916 | ) |
Total distributions to shareholders | | | — | | | | (903,814 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 64,764,111 | | | | 108,639,586 | |
A-Class | | | 591,564 | | | | 4,695,934 | |
C-Class | | | 2,145,401 | | | | 2,609,673 | |
H-Class | | | 24,309,001 | | | | 15,624,744 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 702,319 | |
A-Class | | | — | | | | 59,412 | |
C-Class | | | — | | | | 101,270 | |
H-Class | | | — | | | | 29,888 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (33,365,507 | ) | | | (106,635,760 | ) |
A-Class | | | (905,455 | ) | | | (4,620,680 | ) |
C-Class | | | (1,634,399 | ) | | | (3,528,541 | ) |
H-Class | | | (29,981,644 | ) | | | (24,253,605 | ) |
Net increase (decrease) from capital share transactions | | | 25,923,072 | | | | (6,575,760 | ) |
Net increase (decrease) in net assets | | | 43,713,390 | | | | (14,908,075 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 15,557,615 | | | | 30,465,690 | |
End of period | | $ | 59,271,005 | | | $ | 15,557,615 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 441,079 | | | | 884,862 | |
A-Class | | | 4,339 | | | | 43,934 | |
C-Class | | | 19,402 | | | | 27,414 | |
H-Class | | | 236,067 | | | | 145,036 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 6,142 | |
A-Class | | | — | | | | 563 | |
C-Class | | | — | | | | 1,121 | |
H-Class | | | — | | | | 293 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (223,094 | ) | | | (919,270 | ) |
A-Class | | | (7,811 | ) | | | (41,913 | ) |
C-Class | | | (14,621 | ) | | | (37,179 | ) |
H-Class | | | (237,741 | ) | | | (229,294 | ) |
Net increase (decrease) in shares | | | 217,620 | | | | (118,291 | ) |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 105.23 | | | $ | 118.80 | | | $ | 124.80 | | | $ | 95.33 | | | $ | 77.91 | | | $ | 77.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.92 | ) | | | (1.30 | ) | | | (1.29 | ) | | | (.80 | ) | | | (.60 | ) | | | (.41 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 58.18 | | | | (8.17 | ) | | | 10.79 | | | | 30.27 | | | | 18.02 | | | | .78 | |
Total from investment operations | | | 57.26 | | | | (9.47 | ) | | | 9.50 | | | | 29.47 | | | | 17.42 | | | | .37 | |
Less distributions from: |
Net realized gains | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Total distributions | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Net asset value, end of period | | $ | 162.49 | | | $ | 105.23 | | | $ | 118.80 | | | $ | 124.80 | | | $ | 95.33 | | | $ | 77.91 | |
|
Total Return | | | 54.41 | % | | | (8.25 | %) | | | 9.39 | % | | | 30.91 | % | | | 22.36 | % | | | 0.46 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 52,007 | | | $ | 10,741 | | | $ | 15,484 | | | $ | 40,843 | | | $ | 17,670 | | | $ | 24,435 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.21 | %) | | | (1.08 | %) | | | (1.00 | %) | | | (0.71 | %) | | | (0.70 | %) | | | (0.52 | %) |
Total expenses | | | 1.47 | % | | | 1.47 | % | | | 1.45 | % | | | 1.38 | % | | | 1.37 | % | | | 1.35 | % |
Portfolio turnover rate | | | 143 | % | | | 359 | % | | | 349 | % | | | 305 | % | | | 518 | % | | | 520 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 97.07 | | | $ | 110.18 | | | $ | 117.20 | | | $ | 89.75 | | | $ | 73.54 | | | $ | 73.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.93 | ) | | | (1.32 | ) | | | (1.46 | ) | | | (1.01 | ) | | | (.76 | ) | | | (.69 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 53.57 | | | | (7.69 | ) | | | 9.94 | | | | 28.46 | | | | 16.97 | | | | .85 | |
Total from investment operations | | | 52.64 | | | | (9.01 | ) | | | 8.48 | | | | 27.45 | | | | 16.21 | | | | .16 | |
Less distributions from: |
Net realized gains | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Total distributions | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Net asset value, end of period | | $ | 149.71 | | | $ | 97.07 | | | $ | 110.18 | | | $ | 117.20 | | | $ | 89.75 | | | $ | 73.54 | |
|
Total Returnc | | | 54.23 | % | | | (8.48 | %) | | | 9.13 | % | | | 30.57 | % | | | 22.04 | % | | | 0.20 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,658 | | | $ | 2,060 | | | $ | 2,054 | | | $ | 3,393 | | | $ | 2,139 | | | $ | 1,803 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.40 | %) | | | (1.20 | %) | | | (1.27 | %) | | | (0.96 | %) | | | (0.95 | %) | | | (0.92 | %) |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 143 | % | | | 359 | % | | | 349 | % | | | 305 | % | | | 518 | % | | | 520 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 82.90 | | | $ | 95.40 | | | $ | 104.40 | | | $ | 80.55 | | | $ | 66.49 | | | $ | 67.17 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.24 | ) | | | (1.96 | ) | | | (2.08 | ) | | | (1.60 | ) | | | (1.24 | ) | | | (1.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 45.71 | | | | (6.44 | ) | | | 8.58 | | | | 25.45 | | | | 15.30 | | | | .68 | |
Total from investment operations | | | 44.47 | | | | (8.40 | ) | | | 6.50 | | | | 23.85 | | | | 14.06 | | | | (.35 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Total distributions | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Net asset value, end of period | | $ | 127.37 | | | $ | 82.90 | | | $ | 95.40 | | | $ | 104.40 | | | $ | 80.55 | | | $ | 66.49 | |
|
Total Returnc | | | 53.64 | % | | | (9.16 | %) | | | 8.31 | % | | | 29.61 | % | | | 21.13 | % | | | (0.54 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,577 | | | $ | 1,931 | | | $ | 3,047 | | | $ | 2,967 | | | $ | 2,321 | | | $ | 2,798 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.16 | %) | | | (2.06 | %) | | | (2.01 | %) | | | (1.70 | %) | | | (1.71 | %) | | | (1.53 | %) |
Total expenses | | | 2.48 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 143 | % | | | 359 | % | | | 349 | % | | | 305 | % | | | 518 | % | | | 520 | % |
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 93.70 | | | $ | 106.51 | | | $ | 113.84 | | | $ | 87.18 | | | $ | 71.40 | | | $ | 71.64 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.84 | ) | | | (1.41 | ) | | | (1.51 | ) | | | (1.07 | ) | | | (.78 | ) | | | (.72 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 51.64 | | | | (7.30 | ) | | | 9.68 | | | | 27.73 | | | | 16.56 | | | | .81 | |
Total from investment operations | | | 50.80 | | | | (8.71 | ) | | | 8.17 | | | | 26.66 | | | | 15.78 | | | | .09 | |
Less distributions from: |
Net realized gains | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Total distributions | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | | | | — | | | | (.33 | ) |
Net asset value, end of period | | $ | 144.50 | | | $ | 93.70 | | | $ | 106.51 | | | $ | 113.84 | | | $ | 87.18 | | | $ | 71.40 | |
|
Total Return | | | 54.22 | % | | | (8.49 | %) | | | 9.12 | % | | | 30.59 | % | | | 22.09 | % | | | 0.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,030 | | | $ | 825 | | | $ | 9,880 | | | $ | 28,889 | | | $ | 2,384 | | | $ | 7,132 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.40 | %) | | | (1.30 | %) | | | (1.27 | %) | | | (1.04 | %) | | | (1.03 | %) | | | (0.97 | %) |
Total expenses | | | 1.78 | % | | | 1.71 | % | | | 1.70 | % | | | 1.63 | % | | | 1.62 | % | | | 1.67 | % |
Portfolio turnover rate | | | 143 | % | | | 359 | % | | | 349 | % | | | 305 | % | | | 518 | % | | | 520 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | 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. |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
Netflix, Inc. | 4.4% |
Comcast Corp. — Class A | 4.2% |
Walt Disney Co. | 4.2% |
McDonald’s Corp. | 3.6% |
Charter Communications, Inc. — Class A | 3.5% |
Philip Morris International, Inc. | 3.0% |
Starbucks Corp. | 2.9% |
Altria Group, Inc. | 2.4% |
Activision Blizzard, Inc. | 2.3% |
Electronic Arts, Inc. | 1.8% |
Top Ten Total | 32.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 43.58% | 8.66% | 8.93% | 12.44% |
A-Class Shares | 43.40% | 8.38% | 8.66% | 12.14% |
A-Class Shares with sales charge‡ | 36.60% | 3.24% | 7.61% | 11.60% |
C-Class Shares | 42.86% | 7.57% | 7.85% | 11.31% |
C-Class Shares with CDSC§ | 41.86% | 6.57% | 7.85% | 11.31% |
H-Class Shares** | 43.40% | 8.39% | 8.66% | 12.02% |
S&P 500 Consumer Discretionary Index | 52.87% | 28.89% | 17.03% | 18.17% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
LEISURE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Media - 22.6% |
Comcast Corp. — Class A | | | 14,614 | | | $ | 676,043 | |
Walt Disney Co. | | | 5,404 | | | | 670,528 | |
Charter Communications, Inc. — Class A* | | | 897 | | | | 560,033 | |
Liberty Broadband Corp. — Class C* | | | 1,656 | | | | 236,593 | |
Fox Corp. — Class A | | | 6,707 | | | | 186,656 | |
ViacomCBS, Inc. — Class B | | | 6,568 | | | | 183,970 | |
Altice USA, Inc. — Class A* | | | 6,840 | | | | 177,840 | |
DISH Network Corp. — Class A* | | | 5,940 | | | | 172,438 | |
Discovery, Inc. — Class A*,1 | | | 7,601 | | | | 165,474 | |
News Corp. — Class A | | | 8,917 | | | | 125,016 | |
New York Times Co. — Class A | | | 2,858 | | | | 122,294 | |
Nexstar Media Group, Inc. — Class A | | | 956 | | | | 85,973 | |
World Wrestling Entertainment, Inc. — Class A | | | 1,998 | | | | 80,859 | |
TEGNA, Inc. | | | 5,997 | | | | 70,465 | |
AMC Networks, Inc. — Class A* | | | 2,063 | | | | 50,977 | |
Sinclair Broadcast Group, Inc. — Class A | | | 2,633 | | | | 50,632 | |
Total Media | | | | | | | 3,615,791 | |
| | | | | | | | | |
Retail - 19.6% |
McDonald’s Corp. | | | 2,646 | | | | 580,771 | |
Starbucks Corp. | | | 5,338 | | | | 458,641 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 221 | | | | 274,860 | |
Yum! Brands, Inc. | | | 2,598 | | | | 237,197 | |
Domino’s Pizza, Inc. | | | 449 | | | | 190,951 | |
Darden Restaurants, Inc. | | | 1,729 | | | | 174,179 | |
Restaurant Brands International, Inc. | | | 2,725 | | | | 156,715 | |
Yum China Holdings, Inc. | | | 2,824 | | | | 149,531 | |
Dunkin’ Brands Group, Inc. | | | 1,493 | | | | 122,292 | |
Wendy’s Co. | | | 4,659 | | | | 103,872 | |
Texas Roadhouse, Inc. — Class A | | | 1,531 | | | | 93,069 | |
Wingstop, Inc. | | | 670 | | | | 91,556 | |
Papa John’s International, Inc. | | | 911 | | | | 74,957 | |
Shake Shack, Inc. — Class A*,1 | | | 1,149 | | | | 74,088 | |
Cracker Barrel Old Country Store, Inc. | | | 635 | | | | 72,809 | |
Brinker International, Inc. | | | 1,462 | | | | 62,457 | |
Jack in the Box, Inc. | | | 751 | | | | 59,562 | |
Bloomin’ Brands, Inc. | | | 3,483 | | | | 53,185 | |
Cheesecake Factory, Inc.1 | | | 1,846 | | | | 51,208 | |
Dave & Buster’s Entertainment, Inc. | | | 3,077 | | | | 46,647 | |
Total Retail | | | | | | | 3,128,547 | |
| | | | | | | | | |
Lodging - 11.0% |
Las Vegas Sands Corp. | | | 5,716 | | | | 266,709 | |
Marriott International, Inc. — Class A | | | 2,578 | | | | 238,671 | |
Hilton Worldwide Holdings, Inc. | | | 2,551 | | | | 217,651 | |
MGM Resorts International | | | 6,814 | | | | 148,204 | |
Huazhu Group Ltd. ADR | | | 3,000 | | | | 129,720 | |
Wynn Resorts Ltd. | | | 1,683 | | | | 120,856 | |
Melco Resorts & Entertainment Ltd. ADR | | | 6,927 | | | | 115,335 | |
Hyatt Hotels Corp. — Class A | | | 1,903 | | | | 101,563 | |
Wyndham Hotels & Resorts, Inc. | | | 1,906 | | | | 96,253 | |
Choice Hotels International, Inc. | | | 1,108 | | | | 95,244 | |
Boyd Gaming Corp. | | | 2,914 | | | | 89,431 | |
Wyndham Destinations, Inc. | | | 2,320 | | | | 71,363 | |
Hilton Grand Vacations, Inc.* | | | 2,840 | | | | 59,583 | |
Total Lodging | | | | | | | 1,750,583 | |
| | | | | | | | | |
Software - 9.0% |
Activision Blizzard, Inc. | | | 4,544 | | | | 367,837 | |
Electronic Arts, Inc.* | | | 2,200 | | | | 286,902 | |
NetEase, Inc. ADR | | | 446 | | | | 202,783 | |
Take-Two Interactive Software, Inc.* | | | 1,210 | | | | 199,916 | |
Sea Ltd. ADR* | | | 982 | | | | 151,267 | |
Bilibili, Inc. ADR* | | | 3,082 | | | | 128,211 | |
HUYA, Inc. ADR* | | | 4,234 | | | | 101,405 | |
Total Software | | | | | | | 1,438,321 | |
| | | | | | | | | |
Internet - 8.7% |
Netflix, Inc.* | | | 1,415 | | | | 707,543 | |
Roku, Inc.* | | | 1,273 | | | | 240,342 | |
Spotify Technology S.A.* | | | 693 | | | | 168,101 | |
iQIYI, Inc. ADR* | | | 6,507 | | | | 146,928 | |
Tencent Music Entertainment Group ADR* | | | 8,696 | | | | 128,440 | |
Total Internet | | | | | | | 1,391,354 | |
| | | | | | | | | |
Leisure Time - 7.8% |
Peloton Interactive, Inc. — Class A* | | | 2,611 | | | | 259,116 | |
Royal Caribbean Cruises Ltd. | | | 2,561 | | | | 165,773 | |
Carnival Corp.1 | | | 10,313 | | | | 156,551 | |
Polaris, Inc. | | | 1,186 | | | | 111,887 | |
Planet Fitness, Inc. — Class A* | | | 1,758 | | | | 108,328 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 5,796 | | | | 99,169 | |
Brunswick Corp. | | | 1,648 | | | | 97,084 | |
YETI Holdings, Inc.* | | | 2,021 | | | | 91,592 | |
Harley-Davidson, Inc. | | | 3,557 | | | | 87,289 | |
Callaway Golf Co. | | | 3,192 | | | | 61,095 | |
Total Leisure Time | | | | | | | 1,237,884 | |
| | | | | | | | | |
Entertainment - 6.7% |
Live Nation Entertainment, Inc.* | | | 2,808 | | | | 151,295 | |
Penn National Gaming, Inc.* | | | 1,906 | | | | 138,566 | |
Caesars Entertainment, Inc.* | | | 2,467 | | | | 138,300 | |
Vail Resorts, Inc. | | | 619 | | | | 132,447 | |
Churchill Downs, Inc. | | | 717 | | | | 117,459 | |
Scientific Games Corp. — Class A* | | | 2,525 | | | | 88,148 | |
Marriott Vacations Worldwide Corp. | | | 958 | | | | 86,996 | |
International Game Technology plc | | | 5,777 | | | | 64,298 | |
Six Flags Entertainment Corp. | | | 2,699 | | | | 54,790 | |
SeaWorld Entertainment, Inc.* | | | 2,754 | | | | 54,309 | |
Cinemark Holdings, Inc.1 | | | 4,609 | | | | 46,090 | |
Total Entertainment | | | | | | | 1,072,698 | |
| | | | | | | | | |
Agriculture - 6.2% |
Philip Morris International, Inc. | | | 6,421 | | | | 481,511 | |
Altria Group, Inc. | | | 9,820 | | | | 379,445 | |
British American Tobacco plc ADR | | | 3,507 | | | | 126,778 | |
Total Agriculture | | | | | | | 987,734 | |
| | | | | | | | | |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LEISURE FUND | |
| | Shares | | | Value | |
Beverages - 5.8% |
Constellation Brands, Inc. — Class A | | | 1,447 | | | $ | 274,221 | |
Brown-Forman Corp. — Class B | | | 3,536 | | | | 266,332 | |
Boston Beer Company, Inc. — Class A* | | | 168 | | | | 148,404 | |
Molson Coors Beverage Co. — Class B | | | 3,602 | | | | 120,883 | |
Anheuser-Busch InBev S.A. ADR1 | | | 2,174 | | | | 117,135 | |
Total Beverages | | | | | | | 926,975 | |
| | | | | | | | | |
Toys, Games & Hobbies - 1.5% |
Hasbro, Inc. | | | 1,858 | | | | 153,694 | |
Mattel, Inc.* | | | 7,651 | | | | 89,517 | |
Total Toys, Games & Hobbies | | | | | | | 243,211 | |
| | | | | | | | | |
Food Service - 0.7% |
Aramark | | | 4,347 | | | | 114,978 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $12,628,864) | | | | | | | 15,908,076 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Media - 0.0% |
Nexstar Media Group, Inc.* | | | 8,160 | | | | — | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2- 0.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 49,117 | | | | 49,117 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 20,444 | | | | 20,444 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 18,604 | | | | 18,604 | |
Total Repurchase Agreements | | | | |
(Cost $88,165) | | | | | | | 88,165 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 3.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 476,281 | | | | 476,281 | |
Total Securities Lending Collateral | | | | |
(Cost $476,281) | | | | | | | 476,281 | |
| | | | | | | | | |
Total Investments - 103.2% | | | | |
(Cost $13,193,310) | | $ | 16,472,522 | |
Other Assets & Liabilities, net - (3.2)% | | | (504,238 | ) |
Total Net Assets - 100.0% | | $ | 15,968,284 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
LEISURE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 15,908,076 | | | $ | — | | | $ | — | | | $ | 15,908,076 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Repurchase Agreements | | | — | | | | 88,165 | | | | — | | | | 88,165 | |
Securities Lending Collateral | | | 476,281 | | | | — | | | | — | | | | 476,281 | |
Total Assets | | $ | 16,384,357 | | | $ | 88,165 | | | $ | — | | | $ | 16,472,522 | |
* | Security has a market value of $0. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $468,371 of securities loaned (cost $13,105,145) | | $ | 16,384,357 | |
Repurchase agreements, at value (cost $88,165) | | | 88,165 | |
Receivables: |
Dividends | | | 20,669 | |
Fund shares sold | | | 9,430 | |
Securities lending income | | | 86 | |
Total assets | | | 16,502,707 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 476,281 | |
Fund shares redeemed | | | 29,444 | |
Management fees | | | 10,603 | |
Transfer agent and administrative fees | | | 3,355 | |
Distribution and service fees | | | 1,358 | |
Portfolio accounting fees | | | 1,248 | |
Trustees’ fees* | | | 175 | |
Miscellaneous | | | 11,959 | |
Total liabilities | | | 534,423 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 15,968,284 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 13,022,645 | |
Total distributable earnings (loss) | | | 2,945,639 | |
Net assets | | $ | 15,968,284 | |
| | | | | |
Investor Class: |
Net assets | | $ | 11,500,341 | |
Capital shares outstanding | | | 151,111 | |
Net asset value per share | | $ | 76.11 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,226,186 | |
Capital shares outstanding | | | 32,070 | |
Net asset value per share | | $ | 69.42 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 72.88 | |
| | | | | |
C-Class: |
Net assets | | $ | 672,460 | |
Capital shares outstanding | | | 11,092 | |
Net asset value per share | | $ | 60.63 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,569,297 | |
Capital shares outstanding | | | 23,281 | |
Net asset value per share | | $ | 67.41 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $562) | | $ | 59,660 | |
Interest | | | 18 | |
Income from securities lending, net | | | 1,137 | |
Total investment income | | | 60,815 | |
| | | | | |
Expenses: |
Management fees | | | 47,097 | |
Distribution and service fees: |
A-Class | | | 2,170 | |
C-Class | | | 2,983 | |
H-Class | | | 1,687 | |
Transfer agent and administrative fees | | | 15,526 | |
Registration fees | | | 6,099 | |
Portfolio accounting fees | | | 5,542 | |
Professional fees | | | 3,721 | |
Custodian fees | | | 768 | |
Trustees’ fees* | | | 263 | |
Miscellaneous | | | 3,581 | |
Total expenses | | | 89,437 | |
Net investment loss | | | (28,622 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 380,797 | |
Net realized gain | | | 380,797 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 3,408,009 | |
Net change in unrealized appreciation (depreciation) | | | 3,408,009 | |
Net realized and unrealized gain | | | 3,788,806 | |
Net increase in net assets resulting from operations | | $ | 3,760,184 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (28,622 | ) | | $ | 8,139 | |
Net realized gain on investments | | | 380,797 | | | | 2,615,962 | |
Net change in unrealized appreciation (depreciation) on investments | | | 3,408,009 | | | | (4,127,911 | ) |
Net increase (decrease) in net assets resulting from operations | | | 3,760,184 | | | | (1,503,810 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (32,961 | ) |
A-Class | | | — | | | | (2,491 | ) |
C-Class | | | — | | | | (1,724 | ) |
H-Class | | | — | | | | (3,983 | ) |
Total distributions to shareholders | | | — | | | | (41,159 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 24,451,212 | | | | 42,468,953 | |
A-Class | | | 1,431,946 | | | | 2,130,439 | |
C-Class | | | 165,918 | | | | 73,859 | |
H-Class | | | 892,214 | | | | 14,647,439 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 32,394 | |
A-Class | | | — | | | | 2,404 | |
C-Class | | | — | | | | 1,724 | |
H-Class | | | — | | | | 3,946 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (18,374,315 | ) | | | (50,743,318 | ) |
A-Class | | | (559,375 | ) | | | (2,347,132 | ) |
C-Class | | | (87,891 | ) | | | (372,260 | ) |
H-Class | | | (741,276 | ) | | | (14,108,477 | ) |
Net increase (decrease) from capital share transactions | | | 7,178,433 | | | | (8,210,029 | ) |
Net increase (decrease) in net assets | | | 10,938,617 | | | | (9,754,998 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 5,029,667 | | | | 14,784,665 | |
End of period | | $ | 15,968,284 | | | $ | 5,029,667 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 372,059 | | | | 587,907 | |
A-Class | | | 23,305 | | | | 33,729 | |
C-Class | | | 3,388 | | | | 1,552 | |
H-Class | | | 13,637 | | | | 226,956 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 440 | |
A-Class | | | — | | | | 36 | |
C-Class | | | — | | | | 29 | |
H-Class | | | — | | | | 60 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (274,497 | ) | | | (704,990 | ) |
A-Class | | | (8,098 | ) | | | (35,774 | ) |
C-Class | | | (1,682 | ) | | | (6,497 | ) |
H-Class | | | (11,119 | ) | | | (223,449 | ) |
Net increase (decrease) in shares | | | 116,993 | | | | (120,001 | ) |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 53.01 | | | $ | 68.98 | | | $ | 71.23 | | | $ | 70.95 | | | $ | 61.36 | | | $ | 60.75 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.15 | ) | | | .08 | | | | .32 | | | | .36 | | | | .52 | | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | 23.25 | | | | (15.86 | ) | | | 2.18 | | | | 4.48 | | | | 9.38 | | | | .82 | |
Total from investment operations | | | 23.10 | | | | (15.78 | ) | | | 2.50 | | | | 4.84 | | | | 9.90 | | | | 1.04 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) |
Net realized gains | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) | | | — | | | | (.11 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) |
Net asset value, end of period | | $ | 76.11 | | | $ | 53.01 | | | $ | 68.98 | | | $ | 71.23 | | | $ | 70.95 | | | $ | 61.36 | |
|
Total Return | | | 43.58 | % | | | (22.96 | %) | | | 4.06 | % | | | 6.71 | % | | | 16.20 | % | | | 1.72 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,500 | | | $ | 2,839 | | | $ | 11,739 | | | $ | 14,625 | | | $ | 14,413 | | | $ | 15,173 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.43 | %) | | | 0.11 | % | | | 0.45 | % | | | 0.49 | % | | | 0.81 | % | | | 0.35 | % |
Total expenses | | | 1.50 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 171 | % | | | 369 | % | | | 323 | % | | | 442 | % | | | 352 | % | | | 339 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.41 | | | $ | 63.17 | | | $ | 65.82 | | | $ | 66.03 | | | $ | 57.27 | | | $ | 56.88 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.18 | ) | | | .01 | | | | .11 | | | | .17 | | | | .23 | | | | .08 | |
Net gain (loss) on investments (realized and unrealized) | | | 21.19 | | | | (14.58 | ) | | | 1.99 | | | | 4.18 | | | | 8.84 | | | | .74 | |
Total from investment operations | | | 21.01 | | | | (14.57 | ) | | | 2.10 | | | | 4.35 | | | | 9.07 | | | | .82 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) |
Net realized gains | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) | | | — | | | | (.11 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) |
Net asset value, end of period | | $ | 69.42 | | | $ | 48.41 | | | $ | 63.17 | | | $ | 65.82 | | | $ | 66.03 | | | $ | 57.27 | |
|
Total Returnc | | | 43.40 | % | | | (23.15 | %) | | | 3.79 | % | | | 6.46 | % | | | 15.91 | % | | | 1.45 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,226 | | | $ | 816 | | | $ | 1,192 | | | $ | 3,371 | | | $ | 2,180 | | | $ | 7,990 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.56 | %) | | | 0.02 | % | | | 0.17 | % | | | 0.24 | % | | | 0.40 | % | | | 0.15 | % |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 171 | % | | | 369 | % | | | 323 | % | | | 442 | % | | | 352 | % | | | 339 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 42.44 | | | $ | 55.82 | | | $ | 59.16 | | | $ | 60.23 | | | $ | 52.65 | | | $ | 52.72 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.36 | ) | | | (.42 | ) | | | (.32 | ) | | | (.36 | ) | | | (.18 | ) | | | (.28 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.55 | | | | (12.77 | ) | | | 1.73 | | | | 3.85 | | | | 8.07 | | | | .64 | |
Total from investment operations | | | 18.19 | | | | (13.19 | ) | | | 1.41 | | | | 3.49 | | | | 7.89 | | | | .36 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) |
Net realized gains | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) | | | — | | | | (.11 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) |
Net asset value, end of period | | $ | 60.63 | | | $ | 42.44 | | | $ | 55.82 | | | $ | 59.16 | | | $ | 60.23 | | | $ | 52.65 | |
|
Total Returnc | | | 42.86 | % | | | (23.73 | %) | | | 3.03 | % | | | 5.66 | % | | | 15.05 | % | | | 0.69 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 672 | | | $ | 398 | | | $ | 798 | | | $ | 1,311 | | | $ | 1,327 | | | $ | 1,353 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.34 | %) | | | (0.74 | %) | | | (0.56 | %) | | | (0.58 | %) | | | (0.33 | %) | | | (0.54 | %) |
Total expenses | | | 2.48 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 171 | % | | | 369 | % | | | 323 | % | | | 442 | % | | | 352 | % | | | 339 | % |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.01 | | | $ | 61.36 | | | $ | 64.06 | | | $ | 64.38 | | | $ | 55.85 | | | $ | 55.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.17 | ) | | | (.01 | ) | | | (.29 | ) | | | .07 | | | | .20 | | | | .27 | |
Net gain (loss) on investments (realized and unrealized) | | | 20.57 | | | | (14.15 | ) | | | 2.34 | | | | 4.17 | | | | 8.64 | | | | .51 | |
Total from investment operations | | | 20.40 | | | | (14.16 | ) | | | 2.05 | | | | 4.24 | | | | 8.84 | | | | .78 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) |
Net realized gains | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) | | | — | | | | (.11 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) |
Net asset value, end of period | | $ | 67.41 | | | $ | 47.01 | | | $ | 61.36 | | | $ | 64.06 | | | $ | 64.38 | | | $ | 55.85 | |
|
Total Return | | | 43.40 | % | | | (23.17 | %) | | | 3.81 | % | | | 6.45 | % | | | 15.90 | % | | | 1.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,569 | | | $ | 976 | | | $ | 1,055 | | | $ | 1,910 | | | $ | 3,769 | | | $ | 13,212 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.57 | %) | | | (0.01 | %) | | | (0.45 | %) | | | 0.10 | % | | | 0.34 | % | | | 0.49 | % |
Total expenses | | | 1.73 | % | | | 1.72 | % | | | 1.69 | % | | | 1.63 | % | | | 1.63 | % | | | 1.64 | % |
Portfolio turnover rate | | | 171 | % | | | 369 | % | | | 323 | % | | | 442 | % | | | 352 | % | | | 339 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals related services (“Precious Metals Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
Barrick Gold Corp. | 8.0% |
Newmont Corp. | 8.0% |
Franco-Nevada Corp. | 5.8% |
Wheaton Precious Metals Corp. | 5.2% |
Freeport-McMoRan, Inc. | 5.2% |
Agnico Eagle Mines Ltd. | 4.9% |
Kirkland Lake Gold Ltd. | 4.1% |
VanEck Vectors Junior Gold Miners ETF | 3.9% |
AngloGold Ashanti Ltd. ADR | 3.8% |
Kinross Gold Corp. | 3.7% |
Top Ten Total | 52.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 83.36% | 63.25% | 24.78% | (2.23%) |
A-Class Shares | 83.13% | 62.84% | 24.46% | (2.49%) |
A-Class Shares with sales charge‡ | 74.43% | 55.12% | 23.25% | (2.97%) |
C-Class Shares | 82.47% | 61.60% | 23.54% | (3.20%) |
C-Class Shares with CDSC§ | 81.47% | 60.60% | 23.54% | (3.20%) |
H-Class Shares** | 83.17% | 62.84% | 24.43% | (2.61%) |
S&P 500 Materials Index | 42.78% | 12.19% | 12.18% | 9.42% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
PRECIOUS METALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 95.7% |
| | | | | | | | | |
Mining - 95.7% |
Barrick Gold Corp. | | | 315,577 | | | $ | 8,870,869 | |
Newmont Corp. | | | 139,583 | | | | 8,856,541 | |
Franco-Nevada Corp. | | | 45,584 | | | | 6,362,615 | |
Wheaton Precious Metals Corp. | | | 117,241 | | | | 5,753,016 | |
Freeport-McMoRan, Inc. | | | 365,025 | | | | 5,708,991 | |
Agnico Eagle Mines Ltd. | | | 68,195 | | | | 5,429,004 | |
Kirkland Lake Gold Ltd. | | | 92,523 | | | | 4,508,646 | |
AngloGold Ashanti Ltd. ADR | | | 158,105 | | | | 4,170,810 | |
Kinross Gold Corp.* | | | 461,430 | | | | 4,069,813 | |
Gold Fields Ltd. ADR | | | 328,035 | | | | 4,031,550 | |
Royal Gold, Inc. | | | 28,770 | | | | 3,457,291 | |
Sibanye Stillwater Ltd. ADR | | | 297,857 | | | | 3,318,127 | |
Pan American Silver Corp. | | | 98,379 | | | | 3,162,885 | |
B2Gold Corp. | | | 484,380 | | | | 3,158,158 | |
Yamana Gold, Inc. | | | 500,842 | | | | 2,844,783 | |
Novagold Resources, Inc.* | | | 211,180 | | | | 2,510,930 | |
Alamos Gold, Inc. — Class A | | | 255,985 | | | | 2,255,228 | |
Harmony Gold Mining Company Ltd. ADR*,1 | | | 418,980 | | | | 2,208,025 | |
Equinox Gold Corp.*,1 | | | 172,739 | | | | 2,022,774 | |
Hecla Mining Co. | | | 381,550 | | | | 1,938,274 | |
Pretium Resources, Inc.* | | | 145,153 | | | | 1,863,764 | |
SSR Mining, Inc.*,1 | | | 92,941 | | | | 1,735,208 | |
Osisko Gold Royalties Ltd.1 | | | 142,036 | | | | 1,680,286 | |
IAMGOLD Corp.* | | | 423,667 | | | | 1,622,645 | |
Eldorado Gold Corp.* | | | 150,219 | | | | 1,584,810 | |
First Majestic Silver Corp.*,1 | | | 165,977 | | | | 1,580,101 | |
Coeur Mining, Inc.* | | | 212,348 | | | | 1,567,128 | |
Sandstorm Gold Ltd.*,1 | | | 179,329 | | | | 1,513,537 | |
MAG Silver Corp.* | | | 89,154 | | | | 1,449,644 | |
Seabridge Gold, Inc.*,1 | | | 71,876 | | | | 1,349,831 | |
Silvercorp Metals, Inc. | | | 178,226 | | | | 1,290,356 | |
Fortuna Silver Mines, Inc.*,1 | | | 193,282 | | | | 1,229,273 | |
SilverCrest Metals, Inc.* | | | 139,900 | | | | 1,187,751 | |
Endeavour Silver Corp.* | | | 239,867 | | | | 841,933 | |
Gold Resource Corp. | | | 176,267 | | | | 601,070 | |
Total Mining | | | | | | | 105,735,667 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $57,355,045) | | | | | | | 105,735,667 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 3.9% |
VanEck Vectors Junior Gold Miners ETF | | | 78,384 | | | | 4,339,338 | |
Total Exchange-Traded Funds | | | | |
(Cost $2,451,596) | | | | | | | 4,339,338 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.2% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 739,288 | | | | 739,288 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 307,713 | | | | 307,713 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 280,018 | | | | 280,018 | |
Total Repurchase Agreements | | | | |
(Cost $1,327,019) | | | | | | | 1,327,019 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 6.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 6,868,495 | | | | 6,868,495 | |
Total Securities Lending Collateral | | | | |
(Cost $6,868,495) | | | | | | | 6,868,495 | |
| | | | | | | | | |
Total Investments - 107.0% | | | | |
(Cost $68,002,155) | | $ | 118,270,519 | |
Other Assets & Liabilities, net - (7.0)% | | | (7,742,570 | ) |
Total Net Assets - 100.0% | | $ | 110,527,949 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
PRECIOUS METALS FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 105,735,667 | | | $ | — | | | $ | — | | | $ | 105,735,667 | |
Exchange-Traded Funds | | | 4,339,338 | | | | — | | | | — | | | | 4,339,338 | |
Repurchase Agreements | | | — | | | | 1,327,019 | | | | — | | | | 1,327,019 | |
Securities Lending Collateral | | | 6,868,495 | | | | — | | | | — | | | | 6,868,495 | |
Total Assets | | $ | 116,943,500 | | | $ | 1,327,019 | | | $ | — | | | $ | 118,270,519 | |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $6,574,163 of securities loaned (cost $66,675,136) | | $ | 116,943,500 | |
Repurchase agreements, at value (cost $1,327,019) | | | 1,327,019 | |
Cash | | | 19,725 | |
Receivables: |
Fund shares sold | | | 166,575 | |
Dividends | | | 52,274 | |
Foreign tax reclaims | | | 6,120 | |
Securities lending income | | | 1,894 | |
Total assets | | | 118,517,107 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 6,868,495 | |
Fund shares redeemed | | | 608,077 | |
Deferred foreign capital gain taxes | | | 276,532 | |
Management fees | | | 72,921 | |
Transfer agent and administrative fees | | | 26,149 | |
Portfolio accounting fees | | | 9,725 | |
Distribution and service fees | | | 7,208 | |
Trustees’ fees* | | | 1,747 | |
Miscellaneous | | | 118,304 | |
Total liabilities | | | 7,989,158 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 110,527,949 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 116,294,066 | |
Total distributable earnings (loss) | | | (5,766,117 | ) |
Net assets | | $ | 110,527,949 | |
| | | | | |
Investor Class: |
Net assets | | $ | 84,444,536 | |
Capital shares outstanding | | | 1,737,846 | |
Net asset value per share | | $ | 48.59 | |
| | | | | |
A-Class: |
Net assets | | $ | 18,651,139 | |
Capital shares outstanding | | | 405,117 | |
Net asset value per share | | $ | 46.04 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 48.34 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,526,573 | |
Capital shares outstanding | | | 65,434 | |
Net asset value per share | | $ | 38.61 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,905,701 | |
Capital shares outstanding | | | 110,224 | |
Net asset value per share | | $ | 44.51 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $45,578) | | $ | 334,050 | |
Interest | | | 251 | |
Income from securities lending, net | | | 26,724 | |
Total investment income | | | 361,025 | |
| | | | | |
Expenses: |
Management fees | | | 385,647 | |
Distribution and service fees: |
A-Class | | | 21,886 | |
C-Class | | | 12,128 | |
H-Class | | | 5,397 | |
Transfer agent and administrative fees | | | 145,355 | |
Registration fees | | | 56,598 | |
Portfolio accounting fees | | | 51,429 | |
Professional fees | | | 35,909 | |
Custodian fees | | | 7,256 | |
Trustees’ fees* | | | 2,378 | |
Line of credit fees | | | 77 | |
Miscellaneous | | | 25,270 | |
Total expenses | | | 749,330 | |
Net investment loss | | | (388,305 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 7,943,074 | |
Foreign currency transactions | | | (5 | ) |
Net realized gain | | | 7,943,069 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 40,890,863 | |
Net change in unrealized appreciation (depreciation) | | | 40,890,863 | |
Net realized and unrealized gain | | | 48,833,932 | |
Net increase in net assets resulting from operations | | $ | 48,445,627 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (388,305 | ) | | $ | (401,880 | ) |
Net realized gain on investments | | | 7,943,069 | | | | 395,134 | |
Net change in unrealized appreciation (depreciation) on investments | | | 40,890,863 | | | | (1,122,240 | ) |
Net increase (decrease) in net assets resulting from operations | | | 48,445,627 | | | | (1,128,986 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (1,495,304 | ) |
A-Class | | | — | | | | (408,150 | ) |
C-Class | | | — | | | | (74,684 | ) |
H-Class | | | — | | | | (76,974 | ) |
Total distributions to shareholders | | | — | | | | (2,055,112 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 280,057,906 | | | | 345,983,213 | |
A-Class | | | 2,352,887 | | | | 5,044,797 | |
C-Class | | | 1,423,714 | | | | 2,843,601 | |
H-Class | | | 3,951,848 | | | | 27,234,035 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 1,474,406 | |
A-Class | | | — | | | | 401,562 | |
C-Class | | | — | | | | 73,474 | |
H-Class | | | — | | | | 76,042 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (277,232,521 | ) | | | (331,255,162 | ) |
A-Class | | | (6,296,047 | ) | | | (7,292,781 | ) |
C-Class | | | (1,875,205 | ) | | | (3,692,608 | ) |
H-Class | | | (2,772,054 | ) | | | (28,223,011 | ) |
Net increase (decrease) from capital share transactions | | | (389,472 | ) | | | 12,667,568 | |
Net increase in net assets | | | 48,056,155 | | | | 9,483,470 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 62,471,794 | | | | 52,988,324 | |
End of period | | $ | 110,527,949 | | | $ | 62,471,794 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 6,514,070 | | | | 11,365,343 | |
A-Class | | | 59,017 | | | | 183,721 | |
C-Class | | | 39,800 | | | | 115,029 | |
H-Class | | | 104,771 | | | | 1,041,882 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 44,117 | |
A-Class | | | — | | | | 12,660 | |
C-Class | | | — | | | | 2,746 | |
H-Class | | | — | | | | 2,479 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (6,517,531 | ) | | | (10,958,332 | ) |
A-Class | | | (163,120 | ) | | | (258,645 | ) |
C-Class | | | (54,016 | ) | | | (151,938 | ) |
H-Class | | | (69,840 | ) | | | (1,078,358 | ) |
Net increase (decrease) in shares | | | (86,849 | ) | | | 320,704 | |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.50 | | | $ | 26.14 | | | $ | 27.07 | | | $ | 30.82 | | | $ | 27.37 | | | $ | 25.11 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.15 | ) | | | (.12 | ) | | | (.12 | ) | | | (.17 | ) | | | (.23 | ) | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 22.24 | | | | 1.23 | f | | | (.48 | ) | | | (1.96 | ) | | | 4.85 | | | | 2.44 | |
Total from investment operations | | | 22.09 | | | | 1.11 | | | | (.60 | ) | | | (2.13 | ) | | | 4.62 | | | | 2.37 | |
Less distributions from: |
Net investment income | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Total distributions | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 48.59 | | | $ | 26.50 | | | $ | 26.14 | | | $ | 27.07 | | | $ | 30.82 | | | $ | 27.37 | |
|
Total Return | | | 83.36 | % | | | 3.65 | % | | | (2.08 | %) | | | (6.98 | %) | | | 16.91 | % | | | 9.67 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 84,445 | | | $ | 46,153 | | | $ | 33,724 | | | $ | 33,968 | | | $ | 43,530 | | | $ | 49,321 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.68 | %) | | | (0.40 | %) | | | (0.47 | %) | | | (0.57 | %) | | | (0.67 | %) | | | (0.31 | %) |
Total expensesc | | | 1.38 | % | | | 1.38 | % | | | 1.39 | % | | | 1.28 | % | | | 1.27 | % | | | 1.25 | % |
Portfolio turnover rate | | | 194 | % | | | 277 | % | | | 571 | % | | | 630 | % | | | 508 | % | | | 797 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.14 | | | $ | 24.89 | | | $ | 25.85 | | | $ | 29.59 | | | $ | 26.39 | | | $ | 24.28 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.19 | ) | | | (.19 | ) | | | (.17 | ) | | | (.22 | ) | | | (.27 | ) | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 21.09 | | | | 1.19 | f | | | (.46 | ) | | | (1.90 | ) | | | 4.64 | | | | 2.34 | |
Total from investment operations | | | 20.90 | | | | 1.00 | | | | (.63 | ) | | | (2.12 | ) | | | 4.37 | | | | 2.22 | |
Less distributions from: |
Net investment income | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Total distributions | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 46.04 | | | $ | 25.14 | | | $ | 24.89 | | | $ | 25.85 | | | $ | 29.59 | | | $ | 26.39 | |
|
Total Returnd | | | 83.13 | % | | | 3.39 | % | | | (2.30 | %) | | | (7.24 | %) | | | 16.59 | % | | | 9.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,651 | | | $ | 12,803 | | | $ | 14,222 | | | $ | 12,781 | | | $ | 12,085 | | | $ | 3,711 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.94 | %) | | | (0.67 | %) | | | (0.73 | %) | | | (0.79 | %) | | | (0.82 | %) | | | (0.54 | %) |
Total expensesc | | | 1.64 | % | | | 1.63 | % | | | 1.64 | % | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % |
Portfolio turnover rate | | | 194 | % | | | 277 | % | | | 571 | % | | | 630 | % | | | 508 | % | | | 797 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 21.16 | | | $ | 21.19 | | | $ | 22.24 | | | $ | 25.89 | | | $ | 23.38 | | | $ | 21.67 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.29 | ) | | | (.35 | ) | | | (.32 | ) | | | (.39 | ) | | | (.46 | ) | | | (.26 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 17.74 | | | | 1.07 | f | | | (.40 | ) | | | (1.64 | ) | | | 4.14 | | | | 2.08 | |
Total from investment operations | | | 17.45 | | | | .72 | | | | (.72 | ) | | | (2.03 | ) | | | 3.68 | | | | 1.82 | |
Less distributions from: |
Net investment income | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Total distributions | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 38.61 | | | $ | 21.16 | | | $ | 21.19 | | | $ | 22.24 | | | $ | 25.89 | | | $ | 23.38 | |
|
Total Returnd | | | 82.47 | % | | | 2.65 | % | | | (3.08 | %) | | | (7.95 | %) | | | 15.76 | % | | | 8.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,527 | | | $ | 1,686 | | | $ | 2,412 | | | $ | 6,697 | | | $ | 7,607 | | | $ | 6,825 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.68 | %) | | | (1.41 | %) | | | (1.53 | %) | | | (1.56 | %) | | | (1.59 | %) | | | (1.34 | %) |
Total expensesc | | | 2.39 | % | | | 2.38 | % | | | 2.37 | % | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % |
Portfolio turnover rate | | | 194 | % | | | 277 | % | | | 571 | % | | | 630 | % | | | 508 | % | | | 797 | % |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 24.30 | | | $ | 24.06 | | | $ | 25.02 | | | $ | 28.73 | | | $ | 25.64 | | | $ | 23.64 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.18 | ) | | | (.22 | ) | | | (.18 | ) | | | (.25 | ) | | | (.31 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 20.39 | | | | 1.21 | f | | | (.45 | ) | | | (1.84 | ) | | | 4.57 | | | | 2.22 | |
Total from investment operations | | | 20.21 | | | | .99 | | | | (.63 | ) | | | (2.09 | ) | | | 4.26 | | | | 2.11 | |
Less distributions from: |
Net investment income | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Total distributions | | | — | | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 44.51 | | | $ | 24.30 | | | $ | 24.06 | | | $ | 25.02 | | | $ | 28.73 | | | $ | 25.64 | |
|
Total Return | | | 83.17 | % | | | 3.46 | % | | | (2.33 | %) | | | (7.36 | %) | | | 16.65 | % | | | 9.17 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,906 | | | $ | 1,830 | | | $ | 2,630 | | | $ | 2,239 | | | $ | 2,954 | | | $ | 2,556 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.90 | %) | | | (0.78 | %) | | | (0.78 | %) | | | (0.92 | %) | | | (0.94 | %) | | | (0.53 | %) |
Total expensesc | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % | | | 1.53 | % | | | 1.52 | % | | | 1.59 | % |
Portfolio turnover rate | | | 194 | % | | | 277 | % | | | 571 | % | | | 630 | % | | | 508 | % | | | 797 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Total return does not reflect the impact of any applicable sales charges. |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchase of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
American Tower Corp. — Class A | 3.7% |
Prologis, Inc. | 3.1% |
Crown Castle International Corp. | 3.1% |
Equinix, Inc. | 3.0% |
Digital Realty Trust, Inc. | 2.3% |
Public Storage | 2.2% |
SBA Communications Corp. | 2.2% |
Welltower, Inc. | 1.7% |
Weyerhaeuser Co. | 1.7% |
AvalonBay Communities, Inc. | 1.6% |
Top Ten Total | 24.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 16.12% | (17.16%) | 2.98% | 5.49% |
A-Class Shares with sales charge‡ | 10.61% | (21.09%) | 1.99% | 4.98% |
C-Class Shares | 15.71% | (17.77%) | 2.21% | 4.69% |
C-Class Shares with CDSC§ | 14.71% | (18.58%) | 2.21% | 4.69% |
H-Class Shares | 16.13% | (17.15%) | 3.00% | 5.49% |
MSCI U.S. REIT Index | 13.53% | (17.76%) | 3.99% | 7.90% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
REITs - 95.9% |
REITs-Diversified - 25.4% |
American Tower Corp. — Class A | | | 576 | | | $ | 139,237 | |
Crown Castle International Corp. | | | 687 | | | | 114,386 | |
Equinix, Inc. | | | 146 | | | | 110,979 | |
Digital Realty Trust, Inc. | | | 589 | | | | 86,442 | |
SBA Communications Corp. | | | 257 | | | | 81,849 | |
Weyerhaeuser Co. | | | 2,166 | | | | 61,774 | |
Duke Realty Corp. | | | 1,354 | | | | 49,963 | |
VICI Properties, Inc. | | | 1,999 | | | | 46,717 | |
WP Carey, Inc. | | | 684 | | | | 44,569 | |
Gaming and Leisure Properties, Inc. | | | 1,019 | | | | 37,635 | |
Lamar Advertising Co. — Class A | | | 497 | | | | 32,887 | |
Vornado Realty Trust | | | 962 | | | | 32,429 | |
CoreSite Realty Corp. | | | 270 | | | | 32,098 | |
PotlatchDeltic Corp. | | | 538 | | | | 22,650 | |
New Residential Investment Corp. | | | 2,582 | | | | 20,527 | |
Outfront Media, Inc. | | | 1,250 | | | | 18,188 | |
EPR Properties | | | 652 | | | | 17,930 | |
Total REITs-Diversified | | | | | | | 950,260 | |
| | | | | | | | | |
REITs-Apartments - 11.8% |
AvalonBay Communities, Inc. | | | 404 | | | | 60,333 | |
Equity Residential | | | 1,103 | | | | 56,617 | |
Invitation Homes, Inc. | | | 1,881 | | | | 52,649 | |
Mid-America Apartment Communities, Inc. | | | 419 | | | | 48,583 | |
Essex Property Trust, Inc. | | | 234 | | | | 46,985 | |
UDR, Inc. | | | 1,235 | | | | 40,273 | |
American Homes 4 Rent — Class A | | | 1,413 | | | | 40,242 | |
Camden Property Trust | | | 439 | | | | 39,062 | |
Apartment Investment and Management Co. — Class A | | | 864 | | | | 29,134 | |
American Campus Communities, Inc. | | | 820 | | | | 28,634 | |
Total REITs-Apartments | | | | | | | 442,512 | |
| | | | | | | | | |
REITs-Health Care - 9.8% |
Welltower, Inc. | | | 1,157 | | | | 63,739 | |
Ventas, Inc. | | | 1,246 | | | | 52,282 | |
Healthpeak Properties, Inc. | | | 1,869 | | | | 50,743 | |
Medical Properties Trust, Inc. | | | 2,356 | | | | 41,536 | |
Omega Healthcare Investors, Inc. | | | 1,119 | | | | 33,503 | |
Healthcare Trust of America, Inc. — Class A | | | 1,251 | | | | 32,526 | |
Healthcare Realty Trust, Inc. | | | 925 | | | | 27,861 | |
Physicians Realty Trust | | | 1,441 | | | | 25,808 | |
Sabra Health Care REIT, Inc. | | | 1,535 | | | | 21,160 | |
CareTrust REIT, Inc. | | | 961 | | | | 17,101 | |
Total REITs-Health Care | | | | | | | 366,259 | |
| | | | | | | | | |
REITs-Office Property - 9.6% |
Alexandria Real Estate Equities, Inc. | | | 376 | | | | 60,160 | |
Boston Properties, Inc. | | | 569 | | | | 45,691 | |
Kilroy Realty Corp. | | | 610 | | | | 31,696 | |
Douglas Emmett, Inc. | | | 1,099 | | | | 27,585 | |
Cousins Properties, Inc. | | | 942 | | | | 26,932 | |
JBG SMITH Properties | | | 938 | | | | 25,082 | |
Hudson Pacific Properties, Inc. | | | 1,096 | | | | 24,035 | |
Highwoods Properties, Inc. | | | 714 | | | | 23,969 | |
SL Green Realty Corp.1 | | | 512 | | | | 23,741 | |
Equity Commonwealth | | | 849 | | | | 22,609 | |
Brandywine Realty Trust | | | 1,671 | | | | 17,278 | |
Paramount Group, Inc. | | | 2,312 | | | | 16,369 | |
Empire State Realty Trust, Inc. — Class A | | | 2,213 | | | | 13,544 | |
Total REITs-Office Property | | | | | | | 358,691 | |
| | | | | | | | | |
REITs-Warehouse/Industries - 9.6% |
Prologis, Inc. | | | 1,148 | | | | 115,512 | |
CyrusOne, Inc. | | | 532 | | | | 37,256 | |
Americold Realty Trust | | | 1,016 | | | | 36,322 | |
Rexford Industrial Realty, Inc. | | | 700 | | | | 32,032 | |
First Industrial Realty Trust, Inc. | | | 752 | | | | 29,930 | |
EastGroup Properties, Inc. | | | 228 | | | | 29,487 | |
STAG Industrial, Inc. | | | 934 | | | | 28,478 | |
QTS Realty Trust, Inc. — Class A | | | 420 | | | | 26,468 | |
Innovative Industrial Properties, Inc. | | | 177 | | | | 21,967 | |
Total REITs-Warehouse/Industries | | | | | | | 357,452 | |
| | | | | | | | | |
REITs-Storage - 6.2% |
Public Storage | | | 377 | | | | 83,965 | |
Extra Space Storage, Inc. | | | 457 | | | | 48,894 | |
Iron Mountain, Inc. | | | 1,347 | | | | 36,086 | |
CubeSmart | | | 1,033 | | | | 33,376 | |
Life Storage, Inc. | | | 280 | | | | 29,476 | |
Total REITs-Storage | | | | | | | 231,797 | |
| | | | | | | | | |
REITs-Hotels - 5.3% |
MGM Growth Properties LLC — Class A | | | 1,431 | | | | 40,039 | |
Host Hotels & Resorts, Inc. | | | 3,346 | | | | 36,103 | |
Park Hotels & Resorts, Inc. | | | 1,953 | | | | 19,510 | |
Apple Hospitality REIT, Inc. | | | 1,951 | | | | 18,749 | |
Ryman Hospitality Properties, Inc. | | | 505 | | | | 18,584 | |
Sunstone Hotel Investors, Inc. | | | 2,168 | | | | 17,214 | |
Pebblebrook Hotel Trust | | | 1,300 | | | | 16,289 | |
Service Properties Trust | | | 1,917 | | | | 15,240 | |
RLJ Lodging Trust | | | 1,733 | | | | 15,008 | |
Total REITs-Hotels | | | | | | | 196,736 | |
| | | | | | | | | |
REITs-Single Tenant - 5.0% |
Realty Income Corp. | | | 991 | | | | 60,203 | |
STORE Capital Corp. | | | 1,250 | | | | 34,288 | |
National Retail Properties, Inc. | | | 907 | | | | 31,301 | |
Agree Realty Corp. | | | 388 | | | | 24,692 | |
Spirit Realty Capital, Inc. | | | 714 | | | | 24,098 | |
Essential Properties Realty Trust, Inc. | | | 925 | | | | 16,946 | |
Total REITs-Single Tenant | | | | | | | 191,528 | |
| | | | | | | | | |
REITs-Shopping Centers - 4.3% |
Regency Centers Corp. | | | 860 | | | | 32,697 | |
Federal Realty Investment Trust | | | 402 | | | | 29,523 | |
Kimco Realty Corp. | | | 2,473 | | | | 27,846 | |
Brixmor Property Group, Inc. | | | 2,015 | | | | 23,555 | |
Weingarten Realty Investors | | | 1,141 | | | | 19,351 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
Retail Opportunity Investments Corp. | | | 1,376 | | | $ | 14,331 | |
Urban Edge Properties | | | 1,409 | | | | 13,696 | |
Total REITs-Shopping Centers | | | | | | | 160,999 | |
| | | | | | | | | |
REITs-Mortgage - 3.9% |
Annaly Capital Management, Inc. | | | 5,721 | | | | 40,734 | |
AGNC Investment Corp. | | | 2,609 | | | | 36,291 | |
Starwood Property Trust, Inc. | | | 1,744 | | | | 26,317 | |
Blackstone Mortgage Trust, Inc. — Class A | | | 1,054 | | | | 23,156 | |
Chimera Investment Corp. | | | 2,174 | | | | 17,827 | |
Total REITs-Mortgage | | | | | | | 144,325 | |
| | | | | | | | | |
REITs-Regional Malls - 2.9% |
Simon Property Group, Inc. | | | 886 | | | | 57,307 | |
Taubman Centers, Inc. | | | 554 | | | | 18,443 | |
Macerich Co.1 | | | 1,846 | | | | 12,534 | |
Brookfield Property REIT, Inc. — Class A1 | | | 907 | | | | 11,102 | |
Tanger Factory Outlet Centers, Inc.1 | | | 1,605 | | | | 9,678 | |
Total REITs-Regional Malls | | | | | | | 109,064 | |
| | | | | | | | | |
REITs-Manufactured Homes - 2.1% |
Equity LifeStyle Properties, Inc. | | | 719 | | | | 44,075 | |
Sun Communities, Inc. | | | 233 | | | | 32,762 | |
Total REITs-Manufactured Homes | | | | | | | 76,837 | |
| | | | | | | | | |
Total REITs | | | | | | | 3,586,460 | |
| | | | | | | | | |
Real Estate - 3.6% |
Real Estate Management/Services - 1.6% |
Redfin Corp.* | | | 610 | | | | 30,457 | |
Jones Lang LaSalle, Inc. | | | 297 | | | | 28,411 | |
Total Real Estate Management/Services | | | | | | | 58,868 | |
| | | | | | | | | |
Real Estate Services - 1.4% |
CBRE Group, Inc. — Class A* | | | 1,104 | | | | 51,855 | |
| | | | | | | | | |
Real Estate Operations/Development - 0.6% |
Howard Hughes Corp.* | | | 403 | | | | 23,213 | |
Total Real Estate | | | | | | | 133,936 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,302,852) | | | | | | | 3,720,396 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 14,570 | | | | 14,570 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 6,065 | | | | 6,065 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 5,519 | | | | 5,519 | |
Total Repurchase Agreements | | | | |
(Cost $26,154) | | | | | | | 26,154 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 43,746 | | | | 43,746 | |
Total Securities Lending Collateral | | | | |
(Cost $43,746) | | | | | | | 43,746 | |
| | | | | | | | | |
Total Investments - 101.4% | | | | |
(Cost $3,372,752) | | $ | 3,790,296 | |
Other Assets & Liabilities, net - (1.4)% | | | (51,882 | ) |
Total Net Assets - 100.0% | | $ | 3,738,414 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
REAL ESTATE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 3,720,396 | | | $ | — | | | $ | — | | | $ | 3,720,396 | |
Repurchase Agreements | | | — | | | | 26,154 | | | | — | | | | 26,154 | |
Securities Lending Collateral | | | 43,746 | | | | — | | | | — | | | | 43,746 | |
Total Assets | | $ | 3,764,142 | | | $ | 26,154 | | | $ | — | | | $ | 3,790,296 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $42,412 of securities loaned (cost $3,346,598) | | $ | 3,764,142 | |
Repurchase agreements, at value (cost $26,154) | | | 26,154 | |
Receivables: |
Securities sold | | | 148,396 | |
Dividends | | | 23,056 | |
Fund shares sold | | | 1,101 | |
Securities lending income | | | 198 | |
Total assets | | | 3,963,047 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 166,206 | |
Return of securities lending collateral | | | 43,746 | |
Management fees | | | 4,922 | |
Distribution and service fees | | | 1,600 | |
Transfer agent and administrative fees | | | 1,558 | |
Portfolio accounting fees | | | 579 | |
Trustees’ fees* | | | 87 | |
Miscellaneous | | | 5,935 | |
Total liabilities | | | 224,633 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 3,738,414 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 10,583,099 | |
Total distributable earnings (loss) | | | (6,844,685 | ) |
Net assets | | $ | 3,738,414 | |
| | | | | |
A-Class: |
Net assets | | $ | 588,214 | |
Capital shares outstanding | | | 16,501 | |
Net asset value per share | | $ | 35.65 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 37.43 | |
| | | | | |
C-Class: |
Net assets | | $ | 239,597 | |
Capital shares outstanding | | | 7,821 | |
Net asset value per share | | $ | 30.64 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,910,603 | |
Capital shares outstanding | | | 81,824 | |
Net asset value per share | | $ | 35.57 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 58,703 | |
Interest | | | 6 | |
Income from securities lending, net | | | 523 | |
Total investment income | | | 59,232 | |
| | | | | |
Expenses: |
Management fees | | | 16,851 | |
Distribution and service fees: |
A-Class | | | 900 | |
C-Class | | | 1,468 | |
H-Class | | | 3,689 | |
Transfer agent and administrative fees | | | 5,716 | |
Registration fees | | | 2,183 | |
Portfolio accounting fees | | | 1,983 | |
Professional fees | | | 1,562 | |
Custodian fees | | | 302 | |
Trustees’ fees* | | | 109 | |
Line of credit fees | | | 16 | |
Miscellaneous | | | 649 | |
Total expenses | | | 35,428 | |
Net investment income | | | 23,804 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,036,167 | ) |
Net realized loss | | | (1,036,167 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 841,451 | |
Net change in unrealized appreciation (depreciation) | | | 841,451 | |
Net realized and unrealized loss | | | (194,716 | ) |
Net decrease in net assets resulting from operations | | $ | (170,912 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 23,804 | | | $ | 302,126 | |
Net realized gain (loss) on investments | | | (1,036,167 | ) | | | 1,681,715 | |
Net change in unrealized appreciation (depreciation) on investments | | | 841,451 | | | | (2,946,772 | ) |
Net decrease in net assets resulting from operations | | | (170,912 | ) | | | (962,931 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (17,317 | ) |
C-Class | | | — | | | | (21,349 | ) |
H-Class | | | — | | | | (210,026 | ) |
Total distributions to shareholders | | | — | | | | (248,692 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 17,459 | | | | 1,220,926 | |
C-Class | | | 420,397 | | | | 3,584,439 | |
H-Class | | | 14,397,833 | | | | 147,081,645 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 16,981 | |
C-Class | | | — | | | | 21,107 | |
H-Class | | | — | | | | 206,460 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (328,121 | ) | | | (853,685 | ) |
C-Class | | | (661,943 | ) | | | (3,697,102 | ) |
H-Class | | | (13,431,706 | ) | | | (162,669,284 | ) |
Net increase (decrease) from capital share transactions | | | 413,919 | | | | (15,088,513 | ) |
Net increase (decrease) in net assets | | | 243,007 | | | | (16,300,136 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,495,407 | | | | 19,795,543 | |
End of period | | $ | 3,738,414 | | | $ | 3,495,407 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 487 | | | | 29,793 | |
C-Class | | | 14,007 | | | | 97,673 | |
H-Class | | | 393,355 | | | | 3,500,708 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 399 | |
C-Class | | | — | | | | 573 | |
H-Class | | | — | | | | 4,858 | |
Shares redeemed | | | | | | | | |
A-Class | | | (9,436 | ) | | | (20,691 | ) |
C-Class | | | (22,413 | ) | | | (101,540 | ) |
H-Class | | | (386,111 | ) | | | (3,879,104 | ) |
Net decrease in shares | | | (10,111 | ) | | | (367,331 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.70 | | | $ | 41.24 | | | $ | 35.92 | | | $ | 37.55 | | | $ | 37.31 | | | $ | 38.34 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .56 | | | | .46 | | | | .65 | | | | .34 | | | | .65 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.73 | d | | | (10.37 | ) | | | 5.12 | d | | | (2.08 | ) | | | 2.15 | | | | (1.24 | ) |
Total from investment operations | | | 4.95 | | | | (9.81 | ) | | | 5.58 | | | | (1.43 | ) | | | 2.49 | | | | (.59 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Total distributions | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Net asset value, end of period | | $ | 35.65 | | | $ | 30.70 | | | $ | 41.24 | | | $ | 35.92 | | | $ | 37.55 | | | $ | 37.31 | |
|
Total Returnc | | | 16.12 | % | | | (24.28 | %) | | | 15.58 | % | | | (3.85 | %) | | | 7.17 | % | | | (1.46 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 588 | | | $ | 781 | | | $ | 658 | | | $ | 486 | | | $ | 1,762 | | | $ | 9,223 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.26 | % | | | 1.33 | % | | | 1.18 | % | | | 1.69 | % | | | 0.89 | % | | | 1.82 | % |
Total expenses | | | 1.74 | % | | | 1.72 | % | | | 1.72 | % | | | 1.63 | % | | | 1.63 | % | | | 1.62 | % |
Portfolio turnover rate | | | 381 | % | | | 539 | % | | | 877 | % | | | 1,010 | % | | | 1,060 | % | | | 880 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.48 | | | $ | 35.94 | | | $ | 31.57 | | | $ | 33.28 | | | $ | 33.56 | | | $ | 34.81 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .06 | | | | .26 | | | | .31 | | | | .29 | | | | .19 | | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.10 | d | | | (8.99 | ) | | | 4.32 | d | | | (1.80 | ) | | | 1.78 | | | | (1.03 | ) |
Total from investment operations | | | 4.16 | | | | (8.73 | ) | | | 4.63 | | | | (1.51 | ) | | | 1.97 | | | | (.81 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Total distributions | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Net asset value, end of period | | $ | 30.64 | | | $ | 26.48 | | | $ | 35.94 | | | $ | 31.57 | | | $ | 33.28 | | | $ | 33.56 | |
|
Total Returnc | | | 15.71 | % | | | (24.86 | %) | | | 14.72 | % | | | (4.56 | %) | | | 6.37 | % | | | (2.25 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 240 | | | $ | 430 | | | $ | 702 | | | $ | 993 | | | $ | 999 | | | $ | 1,947 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.42 | % | | | 0.71 | % | | | 0.94 | % | | | 0.86 | % | | | 0.56 | % | | | 0.69 | % |
Total expenses | | | 2.50 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % | | | 2.38 | % | | | 2.36 | % |
Portfolio turnover rate | | | 381 | % | | | 539 | % | | | 877 | % | | | 1,010 | % | | | 1,060 | % | | | 880 | % |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.63 | | | $ | 41.14 | | | $ | 35.82 | | | $ | 37.45 | | | $ | 37.21 | | | $ | 38.25 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .55 | | | | .65 | | | | .92 | | | | .27 | | | | .71 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.72 | d | | | (10.33 | ) | | | 4.93 | d | | | (2.35 | ) | | | 2.22 | | | | (1.31 | ) |
Total from investment operations | | | 4.94 | | | | (9.78 | ) | | | 5.58 | | | | (1.43 | ) | | | 2.49 | | | | (.60 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Total distributions | | | — | | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) |
Net asset value, end of period | | $ | 35.57 | | | $ | 30.63 | | | $ | 41.14 | | | $ | 35.82 | | | $ | 37.45 | | | $ | 37.21 | |
|
Total Return | | | 16.13 | % | | | (24.27 | %) | | | 15.63 | % | | | (3.86 | %) | | | 7.18 | % | | | (1.49 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,911 | | | $ | 2,284 | | | $ | 18,436 | | | $ | 8,800 | | | $ | 6,322 | | | $ | 34,504 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.26 | % | | | 1.30 | % | | | 1.69 | % | | | 2.43 | % | | | 0.70 | % | | | 1.97 | % |
Total expenses | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.62 | % |
Portfolio turnover rate | | | 381 | % | | | 539 | % | | | 877 | % | | | 1,010 | % | | | 1,060 | % | | | 880 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | 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 repurchase of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 11.3% |
Walmart, Inc. | 5.6% |
Home Depot, Inc. | 4.8% |
Costco Wholesale Corp. | 4.3% |
Alibaba Group Holding Ltd. ADR | 4.2% |
Lowe’s Companies, Inc. | 3.8% |
Target Corp. | 3.0% |
TJX Companies, Inc. | 2.7% |
Booking Holdings, Inc. | 2.7% |
Dollar General Corp. | 2.4% |
Top Ten Total | 44.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 58.91% | 33.65% | 11.87% | 13.65% |
A-Class Shares | 58.74% | 33.35% | 11.61% | 13.38% |
A-Class Shares with sales charge‡ | 51.20% | 27.03% | 10.53% | 12.83% |
C-Class Shares | 58.09% | 32.32% | 10.76% | 12.51% |
C-Class Shares with CDSC§ | 57.09% | 31.32% | 10.76% | 12.51% |
H-Class Shares** | 58.71% | 33.35% | 11.61% | 13.28% |
S&P 500 Consumer Discretionary Index | 52.87% | 28.89% | 17.03% | 18.17% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
RETAILING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| |
Retail - 58.2% |
Walmart, Inc. | | | 6,559 | | | $ | 917,670 | |
Home Depot, Inc. | | | 2,838 | | | | 788,141 | |
Costco Wholesale Corp. | | | 1,991 | | | | 706,805 | |
Lowe’s Companies, Inc. | | | 3,753 | | | | 622,473 | |
Target Corp. | | | 3,192 | | | | 502,485 | |
TJX Companies, Inc. | | | 8,114 | | | | 451,544 | |
Dollar General Corp. | | | 1,912 | | | | 400,793 | |
O’Reilly Automotive, Inc.* | | | 692 | | | | 319,067 | |
Ross Stores, Inc. | | | 3,410 | | | | 318,221 | |
Best Buy Company, Inc. | | | 2,729 | | | | 303,710 | |
Walgreens Boots Alliance, Inc. | | | 8,250 | | | | 296,340 | |
AutoZone, Inc.* | | | 239 | | | | 281,456 | |
Dollar Tree, Inc.* | | | 2,846 | | | | 259,954 | |
Tractor Supply Co. | | | 1,588 | | | | 227,624 | |
Tiffany & Co. | | | 1,783 | | | | 206,561 | |
CarMax, Inc.* | | | 2,195 | | | | 201,742 | |
Burlington Stores, Inc.* | | | 972 | | | | 200,319 | |
Genuine Parts Co. | | | 2,057 | | | | 195,765 | |
Ulta Beauty, Inc.* | | | 857 | | | | 191,951 | |
Advance Auto Parts, Inc. | | | 1,157 | | | | 177,600 | |
Carvana Co.* | | | 770 | | | | 171,756 | |
L Brands, Inc. | | | 5,200 | | | | 165,412 | |
Floor & Decor Holdings, Inc. — Class A* | | | 2,058 | | | | 153,938 | |
RH* | | | 393 | | | | 150,370 | |
Williams-Sonoma, Inc. | | | 1,630 | | | | 147,417 | |
Five Below, Inc.* | | | 1,115 | | | | 141,605 | |
Gap, Inc. | | | 8,221 | | | | 140,004 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 3,248 | | | | 134,954 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 1,529 | | | | 133,558 | |
Dick’s Sporting Goods, Inc. | | | 2,131 | | | | 123,342 | |
Foot Locker, Inc. | | | 2,974 | | | | 98,231 | |
National Vision Holdings, Inc.* | | | 2,495 | | | | 95,409 | |
American Eagle Outfitters, Inc. | | | 5,879 | | | | 87,068 | |
Kohl’s Corp. | | | 4,563 | | | | 84,552 | |
Nordstrom, Inc.1 | | | 5,640 | | | | 67,229 | |
Signet Jewelers Ltd. | | | 2,851 | | | | 53,314 | |
Abercrombie & Fitch Co. — Class A | | | 3,507 | | | | 48,853 | |
Children’s Place, Inc. | | | 1,261 | | | | 35,749 | |
Total Retail | | | | | | | 9,602,982 | |
| | | | | | | | | |
Internet - 37.2% |
Amazon.com, Inc.* | | | 595 | | | | 1,873,494 | |
Alibaba Group Holding Ltd. ADR* | | | 2,341 | | | | 688,207 | |
Booking Holdings, Inc.* | | | 263 | | | | 449,909 | |
eBay, Inc. | | | 6,687 | | | | 348,393 | |
JD.com, Inc. ADR* | | | 4,212 | | | | 326,893 | |
Wayfair, Inc. — Class A* | | | 1,029 | | | | 299,449 | |
Chewy, Inc. — Class A* | | | 4,808 | | | | 263,623 | |
MercadoLibre, Inc.* | | | 229 | | | | 247,888 | |
Etsy, Inc.* | | | 1,805 | | | | 219,542 | |
Trip.com Group Ltd. ADR* | | | 6,981 | | | | 217,388 | |
Expedia Group, Inc. | | | 2,116 | | | | 194,016 | |
Pinduoduo, Inc. ADR* | | | 2,599 | | | | 192,716 | |
Farfetch Ltd. — Class A* | | | 6,422 | | | | 161,578 | |
Vipshop Holdings Ltd. ADR* | | | 9,904 | | | | 154,899 | |
GrubHub, Inc.* | | | 2,006 | | | | 145,094 | |
Baozun, Inc. ADR*,1 | | | 4,428 | | | | 143,866 | |
Stamps.com, Inc.* | | | 499 | | | | 120,234 | |
Stitch Fix, Inc. — Class A*,1 | | | 3,295 | | | | 89,393 | |
Total Internet | | | | | | | 6,136,582 | |
| | | | | | | | | |
Distribution & Wholesale - 2.2% |
Pool Corp. | | | 624 | | | | 208,753 | |
LKQ Corp.* | | | 5,375 | | | | 149,049 | |
Total Distribution & Wholesale | | | | | | | 357,802 | |
| | | | | | | | | |
Commercial Services - 1.0% |
Aaron’s, Inc. | | | 1,891 | | | | 107,125 | |
Monro, Inc. | | | 1,566 | | | | 63,533 | |
Total Commercial Services | | | | | | | 170,658 | |
| | | | | | | | | |
Oil & Gas - 0.6% |
Murphy USA, Inc.* | | | 803 | | | | 103,001 | |
| | | | | | | | | |
Apparel - 0.5% |
Urban Outfitters, Inc.* | | | 3,644 | | | | 75,831 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $11,986,812) | | | | | | | 16,446,856 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 86,411 | | | | 86,411 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 35,967 | | | | 35,967 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 32,730 | | | | 32,730 | |
Total Repurchase Agreements | | | | |
(Cost $155,108) | | | | | | | 155,108 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 254,316 | | | | 254,316 | |
Total Securities Lending Collateral | | | | |
(Cost $254,316) | | | | | | | 254,316 | |
| | | | | | | | | |
Total Investments - 102.1% | | | | |
(Cost $12,396,236) | | $ | 16,856,280 | |
Other Assets & Liabilities, net - (2.1)% | | | (344,745 | ) |
Total Net Assets - 100.0% | | $ | 16,511,535 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
RETAILING 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 16,446,856 | | | $ | — | | | $ | — | | | $ | 16,446,856 | |
Repurchase Agreements | | | — | | | | 155,108 | | | | — | | | | 155,108 | |
Securities Lending Collateral | | | 254,316 | | | | — | | | | — | | | | 254,316 | |
Total Assets | | $ | 16,701,172 | | | $ | 155,108 | | | $ | — | | | $ | 16,856,280 | |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $250,108 of securities loaned (cost $12,241,128) | | $ | 16,701,172 | |
Repurchase agreements, at value (cost $155,108) | | | 155,108 | |
Receivables: |
Securities sold | | | 1,792,010 | |
Dividends | | | 7,444 | |
Fund shares sold | | | 3,190 | |
Securities lending income | | | 164 | |
Total assets | | | 18,659,088 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 1,849,813 | |
Return of securities lending collateral | | | 254,316 | |
Management fees | | | 17,371 | |
Transfer agent and administrative fees | | | 5,497 | |
Portfolio accounting fees | | | 2,044 | |
Distribution and service fees | | | 1,145 | |
Trustees’ fees* | | | 251 | |
Miscellaneous | | | 17,116 | |
Total liabilities | | | 2,147,553 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 16,511,535 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 14,112,421 | |
Total distributable earnings (loss) | | | 2,399,114 | |
Net assets | | $ | 16,511,535 | |
| | | | | |
Investor Class: |
Net assets | | $ | 14,150,959 | |
Capital shares outstanding | | | 311,117 | |
Net asset value per share | | $ | 45.48 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,240,043 | |
Capital shares outstanding | | | 28,935 | |
Net asset value per share | | $ | 42.86 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 45.00 | |
| | | | | |
C-Class: |
Net assets | | $ | 339,976 | |
Capital shares outstanding | | | 9,086 | |
Net asset value per share | | $ | 37.42 | |
| | | | | |
H-Class: |
Net assets | | $ | 780,557 | |
Capital shares outstanding | | | 18,666 | |
Net asset value per share | | $ | 41.82 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $466) | | $ | 54,647 | |
Interest | | | 26 | |
Income from securities lending, net | | | 1,420 | |
Total investment income | | | 56,093 | |
| | | | | |
Expenses: |
Management fees | | | 65,089 | |
Distribution and service fees: |
A-Class | | | 1,141 | |
C-Class | | | 1,563 | |
H-Class | | | 2,527 | |
Transfer agent and administrative fees | | | 21,391 | |
Registration fees | | | 8,430 | |
Portfolio accounting fees | | | 7,660 | |
Professional fees | | | 4,957 | |
Custodian fees | | | 1,040 | |
Trustees’ fees* | | | 337 | |
Miscellaneous | | | 3,596 | |
Total expenses | | | 117,731 | |
Net investment loss | | | (61,638 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 38,900 | |
Net realized gain | | | 38,900 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,594,213 | |
Net change in unrealized appreciation (depreciation) | | | 4,594,213 | |
Net realized and unrealized gain | | | 4,633,113 | |
Net increase in net assets resulting from operations | | $ | 4,571,475 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (61,638 | ) | | $ | (38,822 | ) |
Net realized gain on investments | | | 38,900 | | | | 4,774,021 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,594,213 | | | | (6,572,492 | ) |
Net increase (decrease) in net assets resulting from operations | | | 4,571,475 | | | | (1,837,293 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 31,144,065 | | | | 31,349,501 | |
A-Class | | | 621,244 | | | | 3,834,435 | |
C-Class | | | 174,005 | | | | 834,190 | |
H-Class | | | 5,806,886 | | | | 3,326,658 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (23,855,175 | ) | | | (48,988,755 | ) |
A-Class | | | (183,525 | ) | | | (9,222,466 | ) |
C-Class | | | (198,238 | ) | | | (1,028,876 | ) |
H-Class | | | (5,916,372 | ) | | | (9,207,289 | ) |
Net increase (decrease) from capital share transactions | | | 7,592,890 | | | | (29,102,602 | ) |
Net increase (decrease) in net assets | | | 12,164,365 | | | | (30,939,895 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 4,347,170 | | | | 35,287,065 | |
End of period | | $ | 16,511,535 | | | $ | 4,347,170 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 760,377 | | | | 925,612 | |
A-Class | | | 16,643 | | | | 124,928 | |
C-Class | | | 5,477 | | | | 29,194 | |
H-Class | | | 149,317 | | | | 105,560 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (565,095 | ) | | | (1,489,548 | ) |
A-Class | | | (4,595 | ) | | | (291,563 | ) |
C-Class | | | (6,121 | ) | | | (36,199 | ) |
H-Class | | | (143,749 | ) | | | (295,381 | ) |
Net increase (decrease) in shares | | | 212,254 | | | | (927,397 | ) |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.62 | | | $ | 33.46 | | | $ | 30.17 | | | $ | 26.78 | | | $ | 26.98 | | | $ | 28.13 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.15 | ) | | | (.06 | ) | | | (.02 | ) | | | .11 | | | | .03 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 17.01 | | | | (4.78 | ) | | | 3.35 | | | | 3.28 | | | | (.23 | ) | | | (1.10 | ) |
Total from investment operations | | | 16.86 | | | | (4.84 | ) | | | 3.33 | | | | 3.39 | | | | (.20 | ) | | | (1.13 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | (.02 | ) |
Net asset value, end of period | | $ | 45.48 | | | $ | 28.62 | | | $ | 33.46 | | | $ | 30.17 | | | $ | 26.78 | | | $ | 26.98 | |
|
Total Return | | | 58.91 | % | | | (14.47 | %) | | | 11.06 | % | | | 12.66 | % | | | (0.74 | %) | | | (4.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 14,151 | | | $ | 3,316 | | | $ | 22,748 | | | $ | 19,876 | | | $ | 8,498 | | | $ | 10,265 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.72 | %) | | | (0.17 | %) | | | (0.07 | %) | | | 0.40 | % | | | 0.10 | % | | | (0.10 | %) |
Total expenses | | | 1.47 | % | | | 1.47 | % | | | 1.45 | % | | | 1.37 | % | | | 1.37 | % | | | 1.34 | % |
Portfolio turnover rate | | | 169 | % | | | 228 | % | | | 314 | % | | | 1,306 | % | | | 887 | % | | | 238 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.00 | | | $ | 31.64 | | | $ | 28.60 | | | $ | 25.44 | | | $ | 25.69 | | | $ | 26.85 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.20 | ) | | | (.13 | ) | | | (.05 | ) | | | — | c | | | (.08 | ) | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.06 | | | | (4.51 | ) | | | 3.13 | | | | 3.16 | | | | (.17 | ) | | | (1.05 | ) |
Total from investment operations | | | 15.86 | | | | (4.64 | ) | | | 3.08 | | | | 3.16 | | | | (.25 | ) | | | (1.14 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | (.02 | ) |
Net asset value, end of period | | $ | 42.86 | | | $ | 27.00 | | | $ | 31.64 | | | $ | 28.60 | | | $ | 25.44 | | | $ | 25.69 | |
|
Total Returnd | | | 58.74 | % | | | (14.66 | %) | | | 10.80 | % | | | 12.42 | % | | | (0.97 | %) | | | (4.24 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,240 | | | $ | 456 | | | $ | 5,806 | | | $ | 1,260 | | | $ | 1,217 | | | $ | 6,313 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.02 | %) | | | (0.42 | %) | | | (0.16 | %) | | | — | g | | | (0.34 | %) | | | (0.36 | %) |
Total expenses | | | 1.72 | % | | | 1.72 | % | | | 1.72 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % |
Portfolio turnover rate | | | 169 | % | | | 228 | % | | | 314 | % | | | 1,306 | % | | | 887 | % | | | 238 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 23.67 | | | $ | 27.95 | | | $ | 25.46 | | | $ | 22.83 | | | $ | 23.23 | | | $ | 24.46 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.29 | ) | | | (.33 | ) | | | (.31 | ) | | | (.17 | ) | | | (.23 | ) | | | (.24 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.04 | | | | (3.95 | ) | | | 2.84 | | | | 2.80 | | | | (.17 | ) | | | (.97 | ) |
Total from investment operations | | | 13.75 | | | | (4.28 | ) | | | 2.53 | | | | 2.63 | | | | (.40 | ) | | | (1.21 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | (.02 | ) |
Net asset value, end of period | | $ | 37.42 | | | $ | 23.67 | | | $ | 27.95 | | | $ | 25.46 | | | $ | 22.83 | | | $ | 23.23 | |
|
Total Returnd | | | 58.09 | % | | | (15.31 | %) | | | 9.97 | % | | | 11.52 | % | | | (1.76 | %) | | | (4.94 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 340 | | | $ | 230 | | | $ | 468 | | | $ | 603 | | | $ | 1,601 | | | $ | 2,532 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.75 | %) | | | (1.16 | %) | | | (1.15 | %) | | | (0.71 | %) | | | (1.00 | %) | | | (1.04 | %) |
Total expenses | | | 2.48 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 169 | % | | | 228 | % | | | 314 | % | | | 1,306 | % | | | 887 | % | | | 238 | % |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.35 | | | $ | 30.87 | | | $ | 27.91 | | | $ | 24.83 | | | $ | 25.07 | | | $ | 26.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.20 | ) | | | (.20 | ) | | | (.11 | ) | | | .05 | | | | (— | )c | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.67 | | | | (4.32 | ) | | | 3.11 | | | | 3.03 | | | | (.24 | ) | | | (1.02 | ) |
Total from investment operations | | | 15.47 | | | | (4.52 | ) | | | 3.00 | | | | 3.08 | | | | (.24 | ) | | | (1.13 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.04 | ) | | | — | | | | — | | | | (.02 | ) |
Net asset value, end of period | | $ | 41.82 | | | $ | 26.35 | | | $ | 30.87 | | | $ | 27.91 | | | $ | 24.83 | | | $ | 25.07 | |
|
Total Return | | | 58.71 | % | | | (14.64 | %) | | | 10.81 | % | | | 12.40 | % | | | (0.96 | %) | | | (4.31 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 781 | | | $ | 345 | | | $ | 6,265 | | | $ | 5,079 | | | $ | 411 | | | $ | 3,407 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.05 | %) | | | (0.64 | %) | | | (0.37 | %) | | | 0.18 | % | | | (— | )f | | | (0.44 | %) |
Total expenses | | | 1.71 | % | | | 1.72 | % | | | 1.70 | % | | | 1.62 | % | | | 1.62 | % | | | 1.71 | % |
Portfolio turnover rate | | | 169 | % | | | 228 | % | | | 314 | % | | | 1,306 | % | | | 887 | % | | | 238 | % |
a | Unaudited figures for the period ended September 30, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
f | Less than 0.01% or (0.01%). |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 5.1% |
Microsoft Corp. | 4.5% |
Alphabet, Inc. — Class A | 3.5% |
Facebook, Inc. — Class A | 3.1% |
Visa, Inc. — Class A | 2.3% |
NVIDIA Corp. | 2.1% |
Mastercard, Inc. — Class A | 2.0% |
PayPal Holdings, Inc. | 1.8% |
Adobe, Inc. | 1.7% |
salesforce.com, Inc. | 1.7% |
Top Ten Total | 27.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 47.13% | 39.52% | 22.83% | 15.93% |
A-Class Shares | 46.94% | 39.17% | 22.53% | 15.63% |
A-Class Shares with sales charge‡ | 39.96% | 32.56% | 21.34% | 15.07% |
C-Class Shares | 46.39% | 38.14% | 21.61% | 14.76% |
C-Class Shares with CDSC§ | 45.39% | 37.14% | 21.61% | 14.76% |
H-Class Shares** | 46.95% | 39.18% | 22.52% | 15.49% |
S&P 500 Information Technology Index | 46.13% | 47.23% | 27.18% | 20.50% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Software - 31.7% |
Microsoft Corp. | | | 16,205 | | | $ | 3,408,398 | |
Adobe, Inc.* | | | 2,659 | | | | 1,304,053 | |
salesforce.com, Inc.* | | | 5,153 | | | | 1,295,052 | |
Oracle Corp. | | | 18,699 | | | | 1,116,330 | |
Zoom Video Communications, Inc. — Class A* | | | 2,184 | | | | 1,026,720 | |
ServiceNow, Inc.* | | | 1,723 | | | | 835,655 | |
Intuit, Inc. | | | 2,466 | | | | 804,434 | |
Fidelity National Information Services, Inc. | | | 5,377 | | | | 791,548 | |
Fiserv, Inc.* | | | 6,655 | | | | 685,798 | |
Activision Blizzard, Inc. | | | 8,335 | | | | 674,718 | |
VMware, Inc. — Class A*,1 | | | 4,605 | | | | 661,600 | |
Workday, Inc. — Class A* | | | 2,872 | | | | 617,853 | |
Autodesk, Inc.* | | | 2,616 | | | | 604,322 | |
DocuSign, Inc.* | | | 2,609 | | | | 561,561 | |
Twilio, Inc. — Class A* | | | 2,196 | | | | 542,610 | |
Electronic Arts, Inc.* | | | 4,038 | | | | 526,596 | |
Synopsys, Inc.* | | | 2,320 | | | | 496,434 | |
Splunk, Inc.* | | | 2,543 | | | | 478,415 | |
Atlassian Corporation plc — Class A* | | | 2,590 | | | | 470,836 | |
Cadence Design Systems, Inc.* | | | 4,414 | | | | 470,665 | |
ANSYS, Inc.* | | | 1,412 | | | | 462,049 | |
Paychex, Inc. | | | 5,631 | | | | 449,185 | |
NetEase, Inc. ADR | | | 975 | | | | 443,303 | |
RingCentral, Inc. — Class A* | | | 1,586 | | | | 435,532 | |
Sea Ltd. ADR* | | | 2,626 | | | | 404,509 | |
Coupa Software, Inc.* | | | 1,409 | | | | 386,404 | |
Paycom Software, Inc.* | | | 1,209 | | | | 376,362 | |
Take-Two Interactive Software, Inc.* | | | 2,215 | | | | 365,962 | |
Akamai Technologies, Inc.* | | | 3,256 | | | | 359,918 | |
Citrix Systems, Inc. | | | 2,554 | | | | 351,711 | |
Slack Technologies, Inc. — Class A* | | | 12,537 | | | | 336,744 | |
SS&C Technologies Holdings, Inc. | | | 5,434 | | | | 328,866 | |
MongoDB, Inc.* | | | 1,387 | | | | 321,104 | |
Jack Henry & Associates, Inc. | | | 1,780 | | | | 289,410 | |
PTC, Inc.* | | | 3,070 | | | | 253,950 | |
Five9, Inc.* | | | 1,947 | | | | 252,487 | |
Dropbox, Inc. — Class A* | | | 12,381 | | | | 238,458 | |
Alteryx, Inc. — Class A*,1 | | | 2,087 | | | | 236,979 | |
Nutanix, Inc. — Class A* | | | 8,108 | | | | 179,836 | |
Total Software | | | | | | | 23,846,367 | |
| | | | | | | | | |
Semiconductors - 19.5% |
NVIDIA Corp. | | | 2,940 | | | | 1,591,187 | |
Intel Corp. | | | 24,282 | | | | 1,257,322 | |
Broadcom, Inc. | | | 2,786 | | | | 1,014,995 | |
QUALCOMM, Inc. | | | 8,253 | | | | 971,213 | |
Texas Instruments, Inc. | | | 6,719 | | | | 959,406 | |
Advanced Micro Devices, Inc.* | | | 10,347 | | | | 848,351 | |
Applied Materials, Inc. | | | 10,646 | | | | 632,905 | |
Lam Research Corp. | | | 1,823 | | | | 604,780 | |
Micron Technology, Inc.* | | | 12,225 | | | | 574,086 | |
Analog Devices, Inc. | | | 4,723 | | | | 551,363 | |
NXP Semiconductor N.V. | | | 4,060 | | | | 506,729 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 6,163 | | | | 499,634 | |
KLA Corp. | | | 2,455 | | | | 475,632 | |
ASML Holding N.V. — Class G1 | | | 1,207 | | | | 445,709 | |
Marvell Technology Group Ltd. | | | 10,898 | | | | 432,651 | |
Xilinx, Inc. | | | 4,110 | | | | 428,426 | |
Skyworks Solutions, Inc. | | | 2,919 | | | | 424,714 | |
Microchip Technology, Inc. | | | 4,120 | | | | 423,371 | |
Maxim Integrated Products, Inc. | | | 5,277 | | | | 356,778 | |
Qorvo, Inc.* | | | 2,457 | | | | 316,978 | |
Monolithic Power Systems, Inc. | | | 1,107 | | | | 309,528 | |
Teradyne, Inc. | | | 3,827 | | | | 304,093 | |
IPG Photonics Corp.* | | | 1,480 | | | | 251,556 | |
ON Semiconductor Corp.* | | | 11,478 | | | | 248,958 | |
Cree, Inc.* | | | 3,511 | | | | 223,791 | |
Total Semiconductors | | | | | | | 14,654,156 | |
| | | | | | | | | |
Internet - 16.4% |
Alphabet, Inc. — Class A* | | | 1,802 | | | | 2,641,011 | |
Facebook, Inc. — Class A* | | | 8,972 | | | | 2,349,767 | |
Shopify, Inc. — Class A* | | | 611 | | | | 625,035 | |
Baidu, Inc. ADR* | | | 4,337 | | | | 549,021 | |
Snap, Inc. — Class A* | | | 20,763 | | | | 542,122 | |
Twitter, Inc.* | | | 11,873 | | | | 528,349 | |
Match Group, Inc.* | | | 4,110 | | | | 454,771 | |
Okta, Inc.* | | | 2,126 | | | | 454,645 | |
Pinterest, Inc. — Class A* | | | 10,774 | | | | 447,229 | |
Palo Alto Networks, Inc.* | | | 1,686 | | | | 412,648 | |
Zillow Group, Inc. — Class C* | | | 4,019 | | | | 408,290 | |
VeriSign, Inc.* | | | 1,974 | | | | 404,374 | |
Weibo Corp. ADR* | | | 10,355 | | | | 377,233 | |
CDW Corp. | | | 2,952 | | | | 352,853 | |
Momo, Inc. ADR | | | 25,605 | | | | 352,325 | |
Zendesk, Inc.* | | | 2,923 | | | | 300,835 | |
NortonLifeLock, Inc. | | | 14,125 | | | | 294,365 | |
IAC* | | | 2,233 | | | | 267,469 | |
F5 Networks, Inc.* | | | 1,864 | | | | 228,843 | |
Proofpoint, Inc.* | | | 1,979 | | | | 208,883 | |
TripAdvisor, Inc. | | | 6,702 | | | | 131,292 | |
Total Internet | | | | | | | 12,331,360 | |
| | | | | | | | | |
Computers - 13.7% |
Apple, Inc. | | | 33,136 | | | | 3,837,480 | |
International Business Machines Corp. | | | 7,031 | | | | 855,462 | |
Dell Technologies, Inc. — Class C* | | | 8,892 | | | | 601,899 | |
Accenture plc — Class A | | | 2,577 | | | | 582,376 | |
Cognizant Technology Solutions Corp. — Class A | | | 7,371 | | | | 511,695 | |
Crowdstrike Holdings, Inc. — Class A* | | | 3,486 | | | | 478,698 | |
HP, Inc. | | | 22,522 | | | | 427,693 | |
Check Point Software Technologies Ltd.* | | | 3,356 | | | | 403,861 | |
Zscaler, Inc.* | | | 2,721 | | | | 382,817 | |
Fortinet, Inc.* | | | 3,153 | | | | 371,455 | |
Seagate Technology plc | | | 6,004 | | | | 295,817 | |
Leidos Holdings, Inc. | | | 3,296 | | | | 293,838 | |
Hewlett Packard Enterprise Co. | | | 30,257 | | | | 283,508 | |
Western Digital Corp. | | | 7,466 | | | | 272,882 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
NetApp, Inc. | | | 6,120 | | | $ | 268,301 | |
Lumentum Holdings, Inc.* | | | 2,727 | | | | 204,880 | |
DXC Technology Co. | | | 9,831 | | | | 175,483 | |
Total Computers | | | | | | | 10,248,145 | |
| | | | | | | | | |
Commercial Services - 5.2% |
PayPal Holdings, Inc.* | | | 6,920 | | | | 1,363,448 | |
Square, Inc. — Class A* | | | 4,696 | | | | 763,335 | |
Automatic Data Processing, Inc. | | | 4,657 | | | | 649,605 | |
Global Payments, Inc. | | | 3,335 | | | | 592,229 | |
FleetCor Technologies, Inc.* | | | 1,575 | | | | 375,007 | |
Euronet Worldwide, Inc.* | | | 1,965 | | | | 179,012 | |
Total Commercial Services | | | | | | | 3,922,636 | |
| | | | | | | | | |
Diversified Financial Services - 4.6% |
Visa, Inc. — Class A | | | 8,496 | | | | 1,698,945 | |
Mastercard, Inc. — Class A | | | 4,553 | | | | 1,539,688 | |
Western Union Co. | | | 11,196 | | | | 239,930 | |
Total Diversified Financial Services | | | | | | | 3,478,563 | |
| | | | | | | | | |
Telecommunications - 3.3% |
Cisco Systems, Inc. | | | 27,053 | | | | 1,065,618 | |
Motorola Solutions, Inc. | | | 2,723 | | | | 426,993 | |
Corning, Inc. | | | 12,681 | | | | 410,991 | |
Arista Networks, Inc.* | | | 1,633 | | | | 337,917 | |
Juniper Networks, Inc. | | | 9,960 | | | | 214,140 | |
Total Telecommunications | | | | | | | 2,455,659 | |
| | | | | | | | | |
Electronics - 2.3% |
Amphenol Corp. — Class A | | | 4,327 | | | | 468,484 | |
TE Connectivity Ltd. | | | 4,032 | | | | 394,088 | |
Keysight Technologies, Inc.* | | | 3,641 | | | | 359,658 | |
Trimble, Inc.* | | | 6,007 | | | | 292,541 | |
FLIR Systems, Inc. | | | 5,027 | | | | 180,218 | |
Total Electronics | | | | | | | 1,694,989 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.4% |
SolarEdge Technologies, Inc.* | | | 2,052 | | | | 489,094 | |
Enphase Energy, Inc.* | | | 3,776 | | | | 311,860 | |
First Solar, Inc.* | | | 3,601 | | | | 238,386 | |
Total Energy-Alternate Sources | | | | | | | 1,039,340 | |
| | | | | | | | | |
Advertising - 0.6% |
Trade Desk, Inc. — Class A* | | | 879 | | | | 456,008 | |
| | | | | | | | | |
Office & Business Equipment - 0.4% |
Zebra Technologies Corp. — Class A* | | | 1,202 | | | | 303,457 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.3% |
Universal Display Corp. | | | 1,406 | | | | 254,120 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $44,522,172) | | | | | | | 74,684,800 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 293,153 | | | | 293,153 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 122,018 | | | | 122,018 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 111,037 | | | | 111,037 | |
Total Repurchase Agreements | | | | |
(Cost $526,208) | | | | | | | 526,208 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 995,558 | | | | 995,558 | |
Total Securities Lending Collateral | | | | |
(Cost $995,558) | | | | | | | 995,558 | |
| | | | | | | | | |
Total Investments - 101.4% | | | | |
(Cost $46,043,938) | | $ | 76,206,566 | |
Other Assets & Liabilities, net - (1.4)% | | | (1,026,801 | ) |
Total Net Assets - 100.0% | | $ | 75,179,765 | |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
TECHNOLOGY 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 74,684,800 | | | $ | — | | | $ | — | | | $ | 74,684,800 | |
Repurchase Agreements | | | — | | | | 526,208 | | | | — | | | | 526,208 | |
Securities Lending Collateral | | | 995,558 | | | | — | | | | — | | | | 995,558 | |
Total Assets | | $ | 75,680,358 | | | $ | 526,208 | | | $ | — | | | $ | 76,206,566 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $964,156 of securities loaned (cost $45,517,730) | | $ | 75,680,358 | |
Repurchase agreements, at value (cost $526,208) | | | 526,208 | |
Receivables: |
Fund shares sold | | | 144,214 | |
Dividends | | | 25,715 | |
Foreign tax reclaims | | | 1,107 | |
Securities lending income | | | 81 | |
Total assets | | | 76,377,683 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 995,558 | |
Management fees | | | 52,838 | |
Fund shares redeemed | | | 41,136 | |
Transfer agent and administrative fees | | | 16,720 | |
Distribution and service fees | | | 7,701 | |
Portfolio accounting fees | | | 6,218 | |
Trustees’ fees* | | | 1,130 | |
Miscellaneous | | | 76,617 | |
Total liabilities | | | 1,197,918 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 75,179,765 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 43,530,829 | |
Total distributable earnings (loss) | | | 31,648,936 | |
Net assets | | $ | 75,179,765 | |
| | | | | |
Investor Class: |
Net assets | | $ | 56,642,714 | |
Capital shares outstanding | | | 384,184 | |
Net asset value per share | | $ | 147.44 | |
| | | | | |
A-Class: |
Net assets | | $ | 8,089,240 | |
Capital shares outstanding | | | 59,325 | |
Net asset value per share | | $ | 136.35 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 143.15 | |
| | | | | |
C-Class: |
Net assets | | $ | 5,628,285 | |
Capital shares outstanding | | | 46,754 | |
Net asset value per share | | $ | 120.38 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,819,526 | |
Capital shares outstanding | | | 36,153 | |
Net asset value per share | | $ | 133.31 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $553) | | $ | 291,457 | |
Interest | | | 122 | |
Income from securities lending, net | | | 6,707 | |
Total investment income | | | 298,286 | |
| | | | | |
Expenses: |
Management fees | | | 278,261 | |
Distribution and service fees: |
A-Class | | | 9,046 | |
C-Class | | | 25,319 | |
H-Class | | | 14,400 | |
Transfer agent and administrative fees | | | 92,553 | |
Registration fees | | | 36,037 | |
Portfolio accounting fees | | | 32,746 | |
Professional fees | | | 22,798 | |
Custodian fees | | | 4,630 | |
Trustees’ fees* | | | 1,531 | |
Line of credit fees | | | 13 | |
Miscellaneous | | | 17,096 | |
Total expenses | | | 534,430 | |
Net investment loss | | | (236,144 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 4,826,865 | |
Net realized gain | | | 4,826,865 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 17,415,168 | |
Net change in unrealized appreciation (depreciation) | | | 17,415,168 | |
Net realized and unrealized gain | | | 22,242,033 | |
Net increase in net assets resulting from operations | | $ | 22,005,889 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (236,144 | ) | | $ | (238,094 | ) |
Net realized gain on investments | | | 4,826,865 | | | | 7,471,785 | |
Net change in unrealized appreciation (depreciation) on investments | | | 17,415,168 | | | | (9,218,136 | ) |
Net increase (decrease) in net assets resulting from operations | | | 22,005,889 | | | | (1,984,445 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (218,299 | ) |
A-Class | | | — | | | | (36,076 | ) |
C-Class | | | — | | | | (29,921 | ) |
H-Class | | | — | | | | (44,819 | ) |
Total distributions to shareholders | | | — | | | | (329,115 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 62,368,645 | | | | 114,605,193 | |
A-Class | | | 1,051,563 | | | | 2,836,127 | |
C-Class | | | 2,496,772 | | | | 3,924,183 | |
H-Class | | | 23,685,337 | | | | 30,618,988 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 214,441 | |
A-Class | | | — | | | | 35,404 | |
C-Class | | | — | | | | 29,756 | |
H-Class | | | — | | | | 44,810 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (41,633,481 | ) | | | (150,527,001 | ) |
A-Class | | | (868,223 | ) | | | (3,403,826 | ) |
C-Class | | | (2,447,588 | ) | | | (5,615,143 | ) |
H-Class | | | (27,222,151 | ) | | | (40,117,567 | ) |
Net increase (decrease) from capital share transactions | | | 17,430,874 | | | | (47,354,635 | ) |
Net increase (decrease) in net assets | | | 39,436,763 | | | | (49,668,195 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 35,743,002 | | | | 85,411,197 | |
End of period | | $ | 75,179,765 | | | $ | 35,743,002 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 469,310 | | | | 1,049,477 | |
A-Class | | | 9,021 | | | | 28,267 | |
C-Class | | | 24,501 | | | | 43,711 | |
H-Class | | | 231,964 | | | | 314,033 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 1,897 | |
A-Class | | | — | | | | 338 | |
C-Class | | | — | | | | 320 | |
H-Class | | | — | | | | 438 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (316,541 | ) | | | (1,419,055 | ) |
A-Class | | | (7,041 | ) | | | (34,820 | ) |
C-Class | | | (23,909 | ) | | | (64,028 | ) |
H-Class | | | (233,680 | ) | | | (415,628 | ) |
Net increase (decrease) in shares | | | 153,625 | | | | (495,050 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 100.21 | | | $ | 101.77 | | | $ | 94.62 | | | $ | 75.45 | | | $ | 60.53 | | | $ | 61.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.39 | ) | | | (.22 | ) | | | (.31 | ) | | | (.29 | ) | | | (.09 | ) | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 47.62 | | | | (.80 | ) | | | 11.99 | | | | 20.66 | | | | 15.01 | | | | (.64 | ) |
Total from investment operations | | | 47.23 | | | | (1.02 | ) | | | 11.68 | | | | 20.37 | | | | 14.92 | | | | (.70 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 147.44 | | | $ | 100.21 | | | $ | 101.77 | | | $ | 94.62 | | | $ | 75.45 | | | $ | 60.53 | |
|
Total Return | | | 47.13 | % | | | (1.06 | %) | | | 13.05 | % | | | 27.11 | % | | | 24.63 | % | | | (1.14 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 56,643 | | | $ | 23,190 | | | $ | 60,972 | | | $ | 76,820 | | | $ | 55,016 | | | $ | 22,167 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.59 | %) | | | (0.20 | %) | | | (0.32 | %) | | | (0.34 | %) | | | (0.13 | %) | | | (0.10 | %) |
Total expenses | | | 1.47 | % | | | 1.47 | % | | | 1.46 | % | | | 1.37 | % | | | 1.38 | % | | | 1.35 | % |
Portfolio turnover rate | | | 98 | % | | | 165 | % | | | 255 | % | | | 270 | % | | | 320 | % | | | 388 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 92.79 | | | $ | 94.51 | | | $ | 88.40 | | | $ | 70.74 | | | $ | 56.88 | | | $ | 57.69 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.49 | ) | | | (.41 | ) | | | (.49 | ) | | | (.45 | ) | | | (.25 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 44.05 | | | | (.77 | ) | | | 11.13 | | | | 19.31 | | | | 14.11 | | | | (.67 | ) |
Total from investment operations | | | 43.56 | | | | (1.18 | ) | | | 10.64 | | | | 18.86 | | | | 13.86 | | | | (.81 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 136.35 | | | $ | 92.79 | | | $ | 94.51 | | | $ | 88.40 | | | $ | 70.74 | | | $ | 56.88 | |
|
Total Returnc | | | 46.94 | % | | | (1.31 | %) | | | 12.77 | % | | | 26.77 | % | | | 24.37 | % | | | (1.40 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,089 | | | $ | 5,321 | | | $ | 6,007 | | | $ | 5,033 | | | $ | 3,294 | | | $ | 8,327 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.82 | %) | | | (0.40 | %) | | | (0.54 | %) | | | (0.56 | %) | | | (0.40 | %) | | | (0.25 | %) |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
Portfolio turnover rate | | | 98 | % | | | 165 | % | | | 255 | % | | | 270 | % | | | 320 | % | | | 388 | % |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 82.23 | | | $ | 84.44 | | | $ | 80.06 | | | $ | 64.64 | | | $ | 52.37 | | | $ | 53.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.84 | ) | | | (1.06 | ) | | | (1.10 | ) | | | (1.02 | ) | | | (.64 | ) | | | (.59 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 38.99 | | | | (.61 | ) | | | 10.01 | | | | 17.64 | | | | 12.91 | | | | (.54 | ) |
Total from investment operations | | | 38.15 | | | | (1.67 | ) | | | 8.91 | | | | 16.62 | | | | 12.27 | | | | (1.13 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 120.38 | | | $ | 82.23 | | | $ | 84.44 | | | $ | 80.06 | | | $ | 64.64 | | | $ | 52.37 | |
|
Total Returnc | | | 46.39 | % | | | (2.05 | %) | | | 11.93 | % | | | 25.85 | % | | | 23.41 | % | | | (2.11 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,628 | | | $ | 3,796 | | | $ | 5,586 | | | $ | 6,409 | | | $ | 3,203 | | | $ | 2,234 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.56 | %) | | | (1.17 | %) | | | (1.33 | %) | | | (1.37 | %) | | | (1.12 | %) | | | (1.12 | %) |
Total expenses | | | 2.48 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 98 | % | | | 165 | % | | | 255 | % | | | 270 | % | | | 320 | % | | | 388 | % |
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 90.72 | | | $ | 92.40 | | | $ | 86.54 | | | $ | 69.27 | | | $ | 55.72 | | | $ | 56.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.44 | ) | | | (.47 | ) | | | (.64 | ) | | | (.46 | ) | | | (.30 | ) | | | (.23 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 43.03 | | | | (.67 | ) | | | 11.03 | | | | 18.93 | | | | 13.85 | | | | (.59 | ) |
Total from investment operations | | | 42.59 | | | | (1.14 | ) | | | 10.39 | | | | 18.47 | | | | 13.55 | | | | (.82 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 133.31 | | | $ | 90.72 | | | $ | 92.40 | | | $ | 86.54 | | | $ | 69.27 | | | $ | 55.72 | |
|
Total Return | | | 46.95 | % | | | (1.30 | %) | | | 12.76 | % | | | 26.78 | % | | | 24.32 | % | | | (1.45 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,820 | | | $ | 3,435 | | | $ | 12,846 | | | $ | 40,149 | | | $ | 21,504 | | | $ | 1,829 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.78 | %) | | | (0.47 | %) | | | (0.71 | %) | | | (0.58 | %) | | | (0.46 | %) | | | (0.42 | %) |
Total expenses | | | 1.77 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % | | | 1.63 | % | | | 1.68 | % |
Portfolio turnover rate | | | 98 | % | | | 165 | % | | | 255 | % | | | 270 | % | | | 320 | % | | | 388 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
Verizon Communications, Inc. | 12.1% |
AT&T, Inc. | 11.0% |
Cisco Systems, Inc. | 10.0% |
T-Mobile US, Inc. | 9.5% |
Motorola Solutions, Inc. | 4.4% |
Arista Networks, Inc. | 3.6% |
Ubiquiti, Inc. | 3.0% |
CenturyLink, Inc. | 2.9% |
GCI Liberty, Inc. — Class A | 2.7% |
F5 Networks, Inc. | 2.5% |
Top Ten Total | 61.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 9.75% | (2.27%) | 5.67% | 3.40% |
A-Class Shares | 9.62% | (2.51%) | 5.40% | 3.14% |
A-Class Shares with sales charge‡ | 4.42% | (7.14%) | 4.39% | 2.64% |
C-Class Shares | 9.23% | (3.26%) | 4.61% | 2.45% |
C-Class Shares with CDSC§ | 8.23% | (4.18%) | 4.61% | 2.45% |
H-Class Shares** | 9.62% | (2.53%) | 5.45% | 3.03% |
S&P 500 Telecommunications Services Index | 30.77% | 18.37% | 10.59% | 9.43% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunications Services Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
TELECOMMUNICATIONS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Telecommunications - 88.4% |
Verizon Communications, Inc. | | | 11,637 | | | $ | 692,285 | |
AT&T, Inc. | | | 22,151 | | | | 631,525 | |
Cisco Systems, Inc. | | | 14,455 | | | | 569,383 | |
T-Mobile US, Inc.* | | | 4,730 | | | | 540,923 | |
Motorola Solutions, Inc. | | | 1,595 | | | | 250,112 | |
Arista Networks, Inc.* | | | 1,002 | | | | 207,344 | |
Ubiquiti, Inc. | | | 1,046 | | | | 174,326 | |
CenturyLink, Inc. | | | 16,205 | | | | 163,509 | |
GCI Liberty, Inc. — Class A* | | | 1,876 | | | | 153,757 | |
Juniper Networks, Inc. | | | 6,122 | | | | 131,623 | |
Ciena Corp.* | | | 3,154 | | | | 125,182 | |
Iridium Communications, Inc.* | | | 3,549 | | | | 90,784 | |
Acacia Communications, Inc.* | | | 1,273 | | | | 85,800 | |
America Movil SAB de CV — Class L ADR | | | 6,578 | | | | 82,159 | |
Viavi Solutions, Inc.* | | | 6,984 | | | | 81,922 | |
Vonage Holdings Corp.* | | | 8,005 | | | | 81,891 | |
China Mobile Ltd. ADR | | | 2,446 | | | | 78,663 | |
Vodafone Group plc ADR | | | 5,770 | | | | 77,433 | |
ViaSat, Inc.* | | | 2,236 | | | | 76,896 | |
BCE, Inc. | | | 1,854 | | | | 76,885 | |
Shenandoah Telecommunications Co. | | | 1,679 | | | | 74,606 | |
EchoStar Corp. — Class A* | | | 2,983 | | | | 74,247 | |
Telephone & Data Systems, Inc. | | | 3,879 | | | | 71,529 | |
Rogers Communications, Inc. — Class B | | | 1,789 | | | | 70,934 | |
TELUS Corp. | | | 3,936 | | | | 69,313 | |
InterDigital, Inc. | | | 1,174 | | | | 66,989 | |
CommScope Holding Company, Inc.* | | | 7,237 | | | | 65,133 | |
Telefonica Brasil S.A. ADR | | | 8,019 | | | | 61,506 | |
NETGEAR, Inc.* | | | 1,649 | | | | 50,822 | |
Cincinnati Bell, Inc.* | | | 2,974 | | | | 44,610 | |
Plantronics, Inc. | | | 2,937 | | | | 34,774 | |
Total Telecommunications | | | | | | | 5,056,865 | |
| | | | | | | | | |
Internet - 4.5% |
F5 Networks, Inc.* | | | 1,144 | | | | 140,449 | |
Cogent Communications Holdings, Inc. | | | 1,429 | | | | 85,811 | |
Boingo Wireless, Inc.* | | | 3,208 | | | | 32,706 | |
Total Internet | | | | | | | 258,966 | |
| | | | | | | | | |
Computers - 3.3% |
Lumentum Holdings, Inc.* | | | 1,676 | | | | 125,918 | |
NetScout Systems, Inc.* | | | 2,894 | | | | 63,176 | |
Total Computers | | | | | | | 189,094 | |
| | | | | | | | | |
Software - 1.9% |
Bandwidth, Inc. — Class A* | | | 640 | | | | 111,725 | |
| | | | | | | | | |
Media - 1.7% |
Liberty Global plc — Class C* | | | 4,638 | | | | 95,241 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,665,809) | | | | | | | 5,711,891 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 15,111 | | | | 15,111 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 6,290 | | | | 6,290 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 5,724 | | | | 5,724 | |
Total Repurchase Agreements | | | | |
(Cost $27,125) | | | | | | | 27,125 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $5,692,934) | | $ | 5,739,016 | |
Other Assets & Liabilities, net - (0.3)% | | | (18,717 | ) |
Total Net Assets - 100.0% | | $ | 5,720,299 | |
* | 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. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
TELECOMMUNICATIONS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 5,711,891 | | | $ | — | | | $ | — | | | $ | 5,711,891 | |
Repurchase Agreements | | | — | | | | 27,125 | | | | — | | | | 27,125 | |
Total Assets | | $ | 5,711,891 | | | $ | 27,125 | | | $ | — | | | $ | 5,739,016 | |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $5,665,809) | | $ | 5,711,891 | |
Repurchase agreements, at value (cost $27,125) | | | 27,125 | |
Receivables: |
Dividends | | | 6,835 | |
Fund shares sold | | | 600 | |
Securities lending income | | | 15 | |
Total assets | | | 5,746,466 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 14,155 | |
Management fees | | | 4,036 | |
Transfer agent and administrative fees | | | 1,277 | |
Portfolio accounting fees | | | 475 | |
Distribution and service fees | | | 231 | |
Trustees’ fees* | | | 87 | |
Miscellaneous | | | 5,906 | |
Total liabilities | | | 26,167 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 5,720,299 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,225,120 | |
Total distributable earnings (loss) | | | (2,504,821 | ) |
Net assets | | $ | 5,720,299 | |
| | | | | |
Investor Class: |
Net assets | | $ | 5,000,128 | |
Capital shares outstanding | | | 105,491 | |
Net asset value per share | | $ | 47.40 | |
| | | | | |
A-Class: |
Net assets | | $ | 469,100 | |
Capital shares outstanding | | | 10,862 | |
Net asset value per share | | $ | 43.19 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 45.34 | |
| | | | | |
C-Class: |
Net assets | | $ | 126,059 | |
Capital shares outstanding | | | 3,348 | |
Net asset value per share | | $ | 37.65 | |
| | | | | |
H-Class: |
Net assets | | $ | 125,012 | |
Capital shares outstanding | | | 2,973 | |
Net asset value per share | | $ | 42.05 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $957) | | $ | 70,170 | |
Interest | | | 5 | |
Income from securities lending, net | | | 30 | |
Total investment income | | | 70,205 | |
| | | | | |
Expenses: |
Management fees | | | 21,015 | |
Distribution and service fees: |
A-Class | | | 646 | |
C-Class | | | 638 | |
H-Class | | | 164 | |
Transfer agent and administrative fees | | | 7,067 | |
Registration fees | | | 2,722 | |
Portfolio accounting fees | | | 2,473 | |
Professional fees | | | 1,773 | |
Custodian fees | | | 362 | |
Trustees’ fees* | | | 118 | |
Miscellaneous | | | 1,036 | |
Total expenses | | | 38,014 | |
Net investment income | | | 32,191 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 79,131 | |
Net realized gain | | | 79,131 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 138,063 | |
Net change in unrealized appreciation (depreciation) | | | 138,063 | |
Net realized and unrealized gain | | | 217,194 | |
Net increase in net assets resulting from operations | | $ | 249,385 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 32,191 | | | $ | 64,953 | |
Net realized gain (loss) on investments | | | 79,131 | | | | (95,584 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 138,063 | | | | (901,647 | ) |
Net increase (decrease) in net assets resulting from operations | | | 249,385 | | | | (932,278 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (113,546 | ) |
A-Class | | | — | | | | (17,634 | ) |
C-Class | | | — | | | | (6,767 | ) |
H-Class | | | — | | | | (15,192 | ) |
Total distributions to shareholders | | | — | | | | (153,139 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 9,493,027 | | | | 24,964,902 | |
A-Class | | | 95,895 | | | | 623,152 | |
C-Class | | | 642,302 | | | | 1,848,670 | |
H-Class | | | 46,350 | | | | 1,719,340 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 112,956 | |
A-Class | | | — | | | | 17,633 | |
C-Class | | | — | | | | 6,726 | |
H-Class | | | — | | | | 15,192 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (7,662,570 | ) | | | (24,123,207 | ) |
A-Class | | | (119,001 | ) | | | (640,505 | ) |
C-Class | | | (640,379 | ) | | | (1,966,664 | ) |
H-Class | | | (35,052 | ) | | | (1,924,759 | ) |
Net increase from capital share transactions | | | 1,820,572 | | | | 653,436 | |
Net increase (decrease) in net assets | | | 2,069,957 | | | | (431,981 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,650,342 | | | | 4,082,323 | |
End of period | | $ | 5,720,299 | | | $ | 3,650,342 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 192,003 | | | | 495,964 | |
A-Class | | | 2,193 | | | | 13,794 | |
C-Class | | | 16,716 | | | | 45,924 | |
H-Class | | | 1,066 | | | | 38,272 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 2,364 | |
A-Class | | | — | | | | 404 | |
C-Class | | | — | | | | 176 | |
H-Class | | | — | | | | 358 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (155,605 | ) | | | (488,814 | ) |
A-Class | | | (2,645 | ) | | | (13,917 | ) |
C-Class | | | (16,733 | ) | | | (48,887 | ) |
H-Class | | | (814 | ) | | | (43,359 | ) |
Net increase in shares | | | 36,181 | | | | 2,279 | |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.19 | | | $ | 50.17 | | | $ | 47.66 | | | $ | 47.95 | | | $ | 42.91 | | | $ | 45.56 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .33 | | | | .69 | | | | .46 | | | | .43 | | | | .49 | | | | .44 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.88 | | | | (5.91 | ) | | | 2.17 | d | | | 1.17 | | | | 5.55 | | | | (1.64 | ) |
Total from investment operations | | | 4.21 | | | | (5.22 | ) | | | 2.63 | | | | 1.60 | | | | 6.04 | | | | (1.20 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net realized gains | | | — | | | | — | | | | (.10 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net asset value, end of period | | $ | 47.40 | | | $ | 43.19 | | | $ | 50.17 | | | $ | 47.66 | | | $ | 47.95 | | | $ | 42.91 | |
|
Total Return | | | 9.75 | % | | | (10.74 | %) | | | 5.52 | % | | | 3.33 | % | | | 14.21 | % | | | (2.49 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,000 | | | $ | 2,984 | | | $ | 2,989 | | | $ | 1,309 | | | $ | 12,539 | | | $ | 19,198 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.37 | % | | | 1.38 | % | | | 0.94 | % | | | 0.89 | % | | | 1.09 | % | | | 0.97 | % |
Total expenses | | | 1.48 | % | | | 1.48 | % | | | 1.47 | % | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 197 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % | | | 605 | % | | | 660 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.40 | | | $ | 46.03 | | | $ | 43.84 | | | $ | 44.39 | | | $ | 39.88 | | | $ | 42.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .31 | | | | .43 | | | | .20 | | | | .32 | | | | .58 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.55 | | | | (5.18 | ) | | | 1.88 | d | | | 1.14 | | | | 5.19 | | | | (1.88 | ) |
Total from investment operations | | | 3.79 | | | | (4.87 | ) | | | 2.31 | | | | 1.34 | | | | 5.51 | | | | (1.30 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net realized gains | | | — | | | | — | | | | (.10 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net asset value, end of period | | $ | 43.19 | | | $ | 39.40 | | | $ | 46.03 | | | $ | 43.84 | | | $ | 44.39 | | | $ | 39.88 | |
|
Total Returnc | | | 9.62 | % | | | (10.95 | %) | | | 5.27 | % | | | 3.08 | % | | | 13.88 | % | | | (2.90 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 469 | | | $ | 446 | | | $ | 508 | | | $ | 448 | | | $ | 1,081 | | | $ | 1,544 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.06 | % | | | 0.69 | % | | | 0.96 | % | | | 0.45 | % | | | 0.75 | % | | | 1.41 | % |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % |
Portfolio turnover rate | | | 197 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % | | | 605 | % | | | 660 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.47 | | | $ | 40.81 | | | $ | 39.17 | | | $ | 40.14 | | | $ | 36.43 | | | $ | 39.35 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .08 | | | | .04 | | | | .06 | | | | (.09 | ) | | | .03 | | | | (.01 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.10 | | | | (4.62 | ) | | | 1.70 | d | | | 1.01 | | | | 4.68 | | | | (1.46 | ) |
Total from investment operations | | | 3.18 | | | | (4.58 | ) | | | 1.76 | | | | .92 | | | | 4.71 | | | | (1.47 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net realized gains | | | — | | | | — | | | | (.10 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net asset value, end of period | | $ | 37.65 | | | $ | 34.47 | | | $ | 40.81 | | | $ | 39.17 | | | $ | 40.14 | | | $ | 36.43 | |
|
Total Returnc | | | 9.23 | % | | | (11.62 | %) | | | 4.49 | % | | | 2.30 | % | | | 13.05 | % | | | (3.59 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 126 | | | $ | 116 | | | $ | 251 | | | $ | 368 | | | $ | 406 | | | $ | 248 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.40 | % | | | 0.10 | % | | | 0.15 | % | | | (0.22 | %) | | | 0.07 | % | | | (0.03 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 197 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % | | | 605 | % | | | 660 | % |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.36 | | | $ | 44.88 | | | $ | 42.66 | | | $ | 43.21 | | | $ | 38.85 | | | $ | 41.59 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .44 | | | | 1.16 | | | | (.06 | ) | | | .58 | | | | .17 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.47 | | | | (5.20 | ) | | | 1.18 | d | | | 1.40 | | | | 4.78 | | | | (1.46 | ) |
Total from investment operations | | | 3.69 | | | | (4.76 | ) | | | 2.34 | | | | 1.34 | | | | 5.36 | | | | (1.29 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net realized gains | | | — | | | | — | | | | (.10 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) |
Net asset value, end of period | | $ | 42.05 | | | $ | 38.36 | | | $ | 44.88 | | | $ | 42.66 | | | $ | 43.21 | | | $ | 38.85 | |
|
Total Return | | | 9.62 | % | | | (10.98 | %) | | | 5.51 | % | | | 3.07 | % | | | 13.94 | % | | | (2.95 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 125 | | | $ | 104 | | | $ | 334 | | | $ | 140 | | | $ | 1,213 | | | $ | 10,353 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.00 | % | | | 0.99 | % | | | 2.73 | % | | | (0.14 | %) | | | 1.44 | % | | | 0.44 | % |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.74 | % | | | 1.63 | % | | | 1.62 | % | | | 1.64 | % |
Portfolio turnover rate | | | 197 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % | | | 605 | % | | | 659 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
e | Effective September 30, 2015, the Fund’s Advisor Class were converted into H-Class Shares. The financial highlights for the periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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) |
Tesla, Inc. | 9.4% |
United Parcel Service, Inc. — Class B | 5.6% |
Union Pacific Corp. | 5.2% |
FedEx Corp. | 4.6% |
Uber Technologies, Inc. | 4.4% |
CSX Corp. | 4.2% |
Norfolk Southern Corp. | 3.9% |
General Motors Co. | 3.4% |
Southwest Airlines Co. | 2.5% |
Old Dominion Freight Line, Inc. | 2.5% |
Top Ten Total | 45.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 58.12% | 20.60% | 9.14% | 11.10% |
A-Class Shares | 57.89% | 20.29% | 8.87% | 10.83% |
A-Class Shares with sales charge‡ | 50.38% | 14.59% | 7.81% | 10.29% |
C-Class Shares | 57.31% | 19.38% | 8.05% | 10.00% |
C-Class Shares with CDSC§ | 56.31% | 18.38% | 8.05% | 10.00% |
H-Class Shares** | 57.92% | 20.31% | 8.86% | 10.70% |
S&P 500 Industrials Index | 31.61% | 1.32% | 10.84% | 11.58% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| | | | | | | | | |
Transportation - 45.9% |
United Parcel Service, Inc. — Class B | | | 8,961 | | | $ | 1,493,171 | |
Union Pacific Corp. | | | 7,071 | | | | 1,392,068 | |
FedEx Corp. | | | 4,854 | | | | 1,220,878 | |
CSX Corp. | | | 14,339 | | | | 1,113,710 | |
Norfolk Southern Corp. | | | 4,926 | | | | 1,054,115 | |
Old Dominion Freight Line, Inc. | | | 3,632 | | | | 657,101 | |
Kansas City Southern | | | 3,330 | | | | 602,164 | |
Expeditors International of Washington, Inc. | | | 6,204 | | | | 561,586 | |
CH Robinson Worldwide, Inc. | | | 5,280 | | | | 539,563 | |
J.B. Hunt Transport Services, Inc. | | | 4,053 | | | | 512,218 | |
XPO Logistics, Inc.* | | | 4,706 | | | | 398,410 | |
Knight-Swift Transportation Holdings, Inc. | | | 9,321 | | | | 379,365 | |
Canadian Pacific Railway Ltd. | | | 1,062 | | | | 323,305 | |
Canadian National Railway Co. | | | 2,986 | | | | 317,890 | |
Landstar System, Inc. | | | 2,511 | | | | 315,105 | |
ZTO Express Cayman, Inc. ADR | | | 9,738 | | | | 291,361 | |
Saia, Inc.* | | | 2,082 | | | | 262,623 | |
Werner Enterprises, Inc. | | | 5,780 | | | | 242,702 | |
Ryder System, Inc. | | | 5,011 | | | | 211,665 | |
Kirby Corp.* | | | 5,565 | | | | 201,286 | |
Hub Group, Inc. — Class A* | | | 3,749 | | | | 188,181 | |
Total Transportation | | | | | | | 12,278,467 | |
| | | | | | | | | |
Auto Manufacturers - 16.1% |
Tesla, Inc.* | | | 5,839 | | | | 2,504,989 | |
General Motors Co. | | | 30,910 | | | | 914,627 | |
NIO, Inc. ADR* | | | 16,720 | | | | 354,799 | |
Ferrari N.V. | | | 1,500 | | | | 276,135 | |
Fiat Chrysler Automobiles N.V.*,1 | | | 21,792 | | | | 266,298 | |
Total Auto Manufacturers | | | | | | | 4,316,848 | |
| | | | | | | | | |
Airlines - 13.7% |
Southwest Airlines Co. | | | 18,048 | | | | 676,800 | |
Delta Air Lines, Inc. | | | 20,232 | | | | 618,695 | |
United Airlines Holdings, Inc.* | | | 12,730 | | | | 442,367 | |
American Airlines Group, Inc.1 | | | 28,434 | | | | 349,454 | |
Alaska Air Group, Inc. | | | 8,012 | | | | 293,480 | |
Ryanair Holdings plc ADR* | | | 3,234 | | | | 264,412 | |
JetBlue Airways Corp.* | | | 21,330 | | | | 241,669 | |
Copa Holdings S.A. — Class A | | | 4,566 | | | | 229,852 | |
Allegiant Travel Co. — Class A | | | 1,607 | | | | 192,519 | |
SkyWest, Inc. | | | 5,634 | | | | 168,231 | |
Hawaiian Holdings, Inc. | | | 8,219 | | | | 105,943 | |
Spirit Airlines, Inc.*,1 | | | 5,734 | | | | 92,317 | |
Total Airlines | | | | | | | 3,675,739 | |
| | | | | | | | | |
Auto Parts & Equipment - 13.7% |
Aptiv plc | | | 4,852 | | | | 444,831 | |
BorgWarner, Inc. | | | 10,587 | | | | 410,140 | |
Lear Corp. | | | 3,320 | | | | 362,046 | |
Gentex Corp. | | | 14,036 | | | | 361,427 | |
Autoliv, Inc. | | | 3,836 | | | | 279,568 | |
Magna International, Inc. | | | 5,991 | | | | 274,088 | |
Delphi Technologies plc* | | | 16,046 | | | | 268,129 | |
Dorman Products, Inc.* | | | 2,863 | | | | 258,758 | |
Fox Factory Holding Corp.* | | | 3,371 | | | | 250,567 | |
Visteon Corp.* | | | 2,858 | | | | 197,831 | |
Dana, Inc. | | | 15,295 | | | | 188,434 | |
Goodyear Tire & Rubber Co. | | | 24,000 | | | | 184,080 | |
Adient plc* | | | 10,621 | | | | 184,062 | |
Total Auto Parts & Equipment | | | | | | | 3,663,961 | |
| | | | | | | | | |
Internet - 5.9% |
Uber Technologies, Inc.* | | | 32,074 | | | | 1,170,060 | |
Lyft, Inc. — Class A* | | | 14,495 | | | | 399,337 | |
Total Internet | | | | | | | 1,569,397 | |
| | | | | | | | | |
Commercial Services - 2.0% |
AMERCO | | | 1,053 | | | | 374,847 | |
Avis Budget Group, Inc.* | | | 6,665 | | | | 175,423 | |
Total Commercial Services | | | | | | | 550,270 | |
| | | | | | | | | |
Home Builders - 1.3% |
Thor Industries, Inc. | | | 3,551 | | | | 338,268 | |
| | | | | | | | | |
Leisure Time - 1.1% |
Harley-Davidson, Inc. | | | 11,424 | | | | 280,345 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $21,407,336) | | | | | | | 26,673,295 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 120,780 | | | | 120,780 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 50,272 | | | | 50,272 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 45,748 | | | | 45,748 | |
Total Repurchase Agreements | | | | |
(Cost $216,800) | | | | | | | 216,800 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 2.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 535,100 | | | | 535,100 | |
Total Securities Lending Collateral | | | | |
(Cost $535,100) | | | | | | | 535,100 | |
| | | | | | | | | |
Total Investments - 102.5% | | | | |
(Cost $22,159,236) | | $ | 27,425,195 | |
Other Assets & Liabilities, net - (2.5)% | | | (667,402 | ) |
Total Net Assets - 100.0% | | $ | 26,757,793 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
TRANSPORTATION 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 26,673,295 | | | $ | — | | | $ | — | | | $ | 26,673,295 | |
Repurchase Agreements | | | — | | | | 216,800 | | | | — | | | | 216,800 | |
Securities Lending Collateral | | | 535,100 | | | | — | | | | — | | | | 535,100 | |
Total Assets | | $ | 27,208,395 | | | $ | 216,800 | | | $ | — | | | $ | 27,425,195 | |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $524,476 of securities loaned (cost $21,942,436) | | $ | 27,208,395 | |
Repurchase agreements, at value (cost $216,800) | | | 216,800 | |
Cash | | | 1,148 | |
Receivables: |
Fund shares sold | | | 56,547 | |
Dividends | | | 5,323 | |
Foreign tax reclaims | | | 300 | |
Securities lending income | | | 120 | |
Total assets | | | 27,488,633 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 535,100 | |
Fund shares redeemed | | | 148,376 | |
Management fees | | | 19,375 | |
Transfer agent and administrative fees | | | 6,131 | |
Portfolio accounting fees | | | 2,280 | |
Distribution and service fees | | | 1,883 | |
Trustees’ fees* | | | 254 | |
Miscellaneous | | | 17,441 | |
Total liabilities | | | 730,840 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 26,757,793 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 24,733,085 | |
Total distributable earnings (loss) | | | 2,024,708 | |
Net assets | | $ | 26,757,793 | |
| | | | | |
Investor Class: |
Net assets | | $ | 20,844,606 | |
Capital shares outstanding | | | 352,583 | |
Net asset value per share | | $ | 59.12 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,051,208 | |
Capital shares outstanding | | | 75,870 | |
Net asset value per share | | $ | 53.40 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 56.06 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,006,297 | |
Capital shares outstanding | | | 21,215 | |
Net asset value per share | | $ | 47.43 | |
| | | | | |
H-Class: |
Net assets | | $ | 855,682 | |
Capital shares outstanding | | | 16,570 | |
Net asset value per share | | $ | 51.64 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,095) | | $ | 72,470 | |
Interest | | | 30 | |
Income from securities lending, net | | | 2,908 | |
Total investment income | | | 75,408 | |
| | | | | |
Expenses: |
Management fees | | | 69,017 | |
Distribution and service fees: |
A-Class | | | 4,174 | |
C-Class | | | 4,363 | |
H-Class | | | 691 | |
Transfer agent and administrative fees | | | 22,695 | |
Registration fees | | | 8,938 | |
Portfolio accounting fees | | | 8,122 | |
Professional fees | | | 5,315 | |
Custodian fees | | | 1,156 | |
Trustees’ fees* | | | 372 | |
Line of credit fees | | | 62 | |
Miscellaneous | | | 4,086 | |
Total expenses | | | 128,991 | |
Net investment loss | | | (53,583 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (487,970 | ) |
Net realized loss | | | (487,970 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 5,870,532 | |
Net change in unrealized appreciation (depreciation) | | | 5,870,532 | |
Net realized and unrealized gain | | | 5,382,562 | |
Net increase in net assets resulting from operations | | $ | 5,328,979 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (53,583 | ) | | $ | 57,459 | |
Net realized gain (loss) on investments | | | (487,970 | ) | | | 1,024,892 | |
Net change in unrealized appreciation (depreciation) on investments | | | 5,870,532 | | | | (3,939,790 | ) |
Net increase (decrease) in net assets resulting from operations | | | 5,328,979 | | | | (2,857,439 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (342,945 | ) |
A-Class | | | — | | | | (187,023 | ) |
C-Class | | | — | | | | (58,531 | ) |
H-Class | | | — | | | | (21,428 | ) |
Total distributions to shareholders | | | — | | | | (609,927 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 42,599,397 | | | | 61,127,966 | |
A-Class | | | 2,264,096 | | | | 7,233,790 | |
C-Class | | | 624,346 | | | | 1,125,341 | |
H-Class | | | 1,341,434 | | | | 10,568,259 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 328,816 | |
A-Class | | | — | | | | 182,137 | |
C-Class | | | — | | | | 57,266 | |
H-Class | | | — | | | | 20,968 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (28,477,675 | ) | | | (63,728,261 | ) |
A-Class | | | (1,293,191 | ) | | | (8,147,172 | ) |
C-Class | | | (625,118 | ) | | | (1,742,657 | ) |
H-Class | | | (1,001,991 | ) | | | (10,652,942 | ) |
Net increase (decrease) from capital share transactions | | | 15,431,298 | | | | (3,626,489 | ) |
Net increase (decrease) in net assets | | | 20,760,277 | | | | (7,093,855 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 5,997,516 | | | | 13,091,371 | |
End of period | | $ | 26,757,793 | | | $ | 5,997,516 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 819,329 | | | | 1,157,931 | |
A-Class | | | 50,568 | | | | 147,945 | |
C-Class | | | 17,440 | | | | 26,473 | |
H-Class | | | 30,572 | | | | 236,551 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 6,317 | |
A-Class | | | — | | | | 3,866 | |
C-Class | | | — | | | | 1,360 | |
H-Class | | | — | | | | 460 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (554,553 | ) | | | (1,236,077 | ) |
A-Class | | | (26,658 | ) | | | (169,311 | ) |
C-Class | | | (17,185 | ) | | | (42,772 | ) |
H-Class | | | (23,938 | ) | | | (237,384 | ) |
Net increase (decrease) in shares | | | 295,575 | | | | (104,641 | ) |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.39 | | | $ | 50.08 | | | $ | 59.10 | | | $ | 53.52 | | | $ | 46.23 | | | $ | 52.06 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.14 | ) | | | .30 | | | | .09 | | | | (.04 | ) | | | .09 | | | | .16 | |
Net gain (loss) on investments (realized and unrealized) | | | 21.87 | | | | (11.07 | ) | | | (4.02 | ) | | | 6.85 | | | | 7.37 | | | | (5.78 | ) |
Total from investment operations | | | 21.73 | | | | (10.77 | ) | | | (3.93 | ) | | | 6.81 | | | | 7.46 | | | | (5.62 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | (.17 | ) | | | (.21 | ) |
Net realized gains | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) |
Net asset value, end of period | | $ | 59.12 | | | $ | 37.39 | | | $ | 50.08 | | | $ | 59.10 | | | $ | 53.52 | | | $ | 46.23 | |
|
Total Return | | | 58.12 | % | | | (22.59 | %) | | | (6.33 | %) | | | 12.67 | % | | | 16.14 | % | | | (10.80 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 20,845 | | | $ | 3,283 | | | $ | 7,994 | | | $ | 16,603 | | | $ | 32,911 | | | $ | 13,638 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.54 | %) | | | 0.58 | % | | | 0.16 | % | | | (0.07 | %) | | | 0.17 | % | | | 0.33 | % |
Total expenses | | | 1.47 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % | | | 1.38 | % | | | 1.34 | % |
Portfolio turnover rate | | | 163 | % | | | 483 | % | | | 476 | % | | | 483 | % | | | 676 | % | | | 219 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 33.82 | | | $ | 45.58 | | | $ | 54.43 | | | $ | 49.50 | | | $ | 42.87 | | | $ | 48.41 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.19 | ) | | | .17 | | | | (.01 | ) | | | (.07 | ) | | | (.06 | ) | | | .04 | |
Net gain (loss) on investments (realized and unrealized) | | | 19.77 | | | | (10.01 | ) | | | (3.75 | ) | | | 6.23 | | | | 6.86 | | | | (5.37 | ) |
Total from investment operations | | | 19.58 | | | | (9.84 | ) | | | (3.76 | ) | | | 6.16 | | | | 6.80 | | | | (5.33 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | (.17 | ) | | | (.21 | ) |
Net realized gains | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) |
Net asset value, end of period | | $ | 53.40 | | | $ | 33.82 | | | $ | 45.58 | | | $ | 54.43 | | | $ | 49.50 | | | $ | 42.87 | |
|
Total Returnc | | | 57.89 | % | | | (22.78 | %) | | | (6.57 | %) | | | 12.38 | % | | | 15.87 | % | | | (11.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,051 | | | $ | 1,757 | | | $ | 3,166 | | | $ | 5,760 | | | $ | 4,742 | | | $ | 5,339 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.81 | %) | | | 0.37 | % | | | (0.03 | %) | | | (0.12 | %) | | | (0.12 | %) | | | 0.08 | % |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
Portfolio turnover rate | | | 163 | % | | | 483 | % | | | 476 | % | | | 483 | % | | | 676 | % | | | 219 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.15 | | | $ | 41.14 | | | $ | 50.04 | | | $ | 45.93 | | | $ | 40.09 | | | $ | 45.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.31 | ) | | | (.18 | ) | | | (.41 | ) | | | (.43 | ) | | | (.34 | ) | | | (.24 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 17.59 | | | | (8.89 | ) | | | (3.40 | ) | | | 5.77 | | | | 6.35 | | | | (5.09 | ) |
Total from investment operations | | | 17.28 | | | | (9.07 | ) | | | (3.81 | ) | | | 5.34 | | | | 6.01 | | | | (5.33 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | (.17 | ) | | | (.21 | ) |
Net realized gains | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) |
Net asset value, end of period | | $ | 47.43 | | | $ | 30.15 | | | $ | 41.14 | | | $ | 50.04 | | | $ | 45.93 | | | $ | 40.09 | |
|
Total Returnc | | | 57.31 | % | | | (23.37 | %) | | | (7.27 | %) | | | 11.56 | % | | | 15.00 | % | | | (11.69 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,006 | | | $ | 632 | | | $ | 1,477 | | | $ | 2,560 | | | $ | 2,307 | | | $ | 2,977 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.55 | %) | | | (0.43 | %) | | | (0.87 | %) | | | (0.87 | %) | | | (0.81 | %) | | | (0.57 | %) |
Total expenses | | | 2.48 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % |
Portfolio turnover rate | | | 163 | % | | | 483 | % | | | 476 | % | | | 483 | % | | | 676 | % | | | 219 | % |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.70 | | | $ | 44.14 | | | $ | 52.90 | | | $ | 48.15 | | | $ | 41.71 | | | $ | 47.12 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.16 | ) | | | (.02 | ) | | | (.02 | ) | | | (.13 | ) | | | (.13 | ) | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 19.10 | | | | (9.50 | ) | | | (3.65 | ) | | | 6.11 | | | | 6.74 | | | | (5.11 | ) |
Total from investment operations | | | 18.94 | | | | (9.52 | ) | | | (3.67 | ) | | | 5.98 | | | | 6.61 | | | | (5.20 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | (.17 | ) | | | (.21 | ) |
Net realized gains | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) |
Net asset value, end of period | | $ | 51.64 | | | $ | 32.70 | | | $ | 44.14 | | | $ | 52.90 | | | $ | 48.15 | | | $ | 41.71 | |
|
Total Return | | | 57.92 | % | | | (22.78 | %) | | | (6.61 | %) | | | 12.33 | % | | | 15.88 | % | | | (11.04 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 856 | | | $ | 325 | | | $ | 455 | | | $ | 1,929 | | | $ | 4,127 | | | $ | 9,031 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.74 | %) | | | (0.03 | %) | | | (0.04 | %) | | | (0.24 | %) | | | (0.30 | %) | | | (0.20 | %) |
Total expenses | | | 1.73 | % | | | 1.72 | % | | | 1.69 | % | | | 1.63 | % | | | 1.63 | % | | | 1.72 | % |
Portfolio turnover rate | | | 163 | % | | | 483 | % | | | 476 | % | | | 483 | % | | | 676 | % | | | 219 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class share were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“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. | 6.3% |
Duke Energy Corp. | 4.4% |
Dominion Energy, Inc. | 4.4% |
Southern Co. | 4.1% |
American Electric Power Company, Inc. | 3.5% |
Xcel Energy, Inc. | 3.3% |
Exelon Corp. | 3.2% |
Sempra Energy | 3.1% |
WEC Energy Group, Inc. | 3.0% |
Eversource Energy | 2.9% |
Top Ten Total | 38.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 5.26% | (11.85%) | 7.90% | 8.61% |
A-Class Shares | 5.14% | (12.06%) | 7.63% | 8.34% |
A-Class Shares with sales charge‡ | 0.15% | (16.24%) | 6.58% | 7.82% |
C-Class Shares | 4.75% | (12.71%) | 6.83% | 7.54% |
C-Class Shares with CDSC§ | 3.75% | (13.58%) | 6.83% | 7.54% |
H-Class Shares** | 5.15% | (12.05%) | 7.65% | 8.22% |
S&P 500 Utilities Index | 9.04% | (4.97%) | 10.33% | 10.68% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
UTILITIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.0% |
| | | | | | | | | |
Electric - 84.0% |
NextEra Energy, Inc. | | | 7,525 | | | $ | 2,088,639 | |
Duke Energy Corp. | | | 16,765 | | | | 1,484,708 | |
Dominion Energy, Inc. | | | 18,628 | | | | 1,470,308 | |
Southern Co. | | | 25,183 | | | | 1,365,422 | |
American Electric Power Company, Inc. | | | 14,180 | | | | 1,158,931 | |
Xcel Energy, Inc. | | | 16,020 | | | | 1,105,540 | |
Exelon Corp. | | | 29,709 | | | | 1,062,394 | |
Sempra Energy | | | 8,772 | | | | 1,038,254 | |
WEC Energy Group, Inc. | | | 10,430 | | | | 1,010,667 | |
Eversource Energy | | | 11,720 | | | | 979,206 | |
Public Service Enterprise Group, Inc. | | | 17,800 | | | | 977,398 | |
Consolidated Edison, Inc. | | | 11,903 | | | | 926,053 | |
DTE Energy Co. | | | 7,355 | | | | 846,119 | |
PPL Corp. | | | 30,308 | | | | 824,681 | |
Ameren Corp. | | | 10,144 | | | | 802,188 | |
Entergy Corp. | | | 8,097 | | | | 797,797 | |
Edison International | | | 15,209 | | | | 773,226 | |
CMS Energy Corp. | | | 12,325 | | | | 756,878 | |
PG&E Corp.* | | | 80,059 | | | | 751,754 | |
Avangrid, Inc. | | | 14,292 | | | | 721,174 | |
FirstEnergy Corp. | | | 24,204 | | | | 694,897 | |
Alliant Energy Corp. | | | 12,526 | | | | 646,968 | |
AES Corp. | | | 33,771 | | | | 611,593 | |
Evergy, Inc. | | | 11,885 | | | | 603,996 | |
CenterPoint Energy, Inc. | | | 30,535 | | | | 590,852 | |
Vistra Corp. | | | 29,632 | | | | 558,860 | |
Pinnacle West Capital Corp. | | | 7,096 | | | | 529,007 | |
NRG Energy, Inc. | | | 16,161 | | | | 496,789 | |
OGE Energy Corp. | | | 14,913 | | | | 447,241 | |
IDACORP, Inc. | | | 4,397 | | | | 351,320 | |
PNM Resources, Inc. | | | 8,077 | | | | 333,822 | |
Black Hills Corp. | | | 6,021 | | | | 322,063 | |
Portland General Electric Co. | | | 8,951 | | | | 317,761 | |
ALLETE, Inc. | | | 5,575 | | | | 288,451 | |
NorthWestern Corp. | | | 5,736 | | | | 278,999 | |
Total Electric | | | | | | | 28,013,956 | |
| | | | | | | | | |
Gas - 10.4% |
Atmos Energy Corp. | | | 6,536 | | | | 624,776 | |
NiSource, Inc. | | | 23,392 | | | | 514,624 | |
UGI Corp. | | | 14,238 | | | | 469,569 | |
ONE Gas, Inc. | | | 5,001 | | | | 345,119 | |
Southwest Gas Holdings, Inc. | | | 5,381 | | | | 339,541 | |
National Fuel Gas Co. | | | 8,356 | | | | 339,170 | |
Spire, Inc. | | | 5,581 | | | | 296,909 | |
New Jersey Resources Corp. | | | 10,598 | | | | 286,358 | |
South Jersey Industries, Inc. | | | 12,890 | | | | 248,391 | |
Total Gas | | | | | | | 3,464,457 | |
| | | | | | | | | |
Water - 4.5% |
American Water Works Company, Inc. | | | 6,473 | | | | 937,808 | |
Essential Utilities, Inc. | | | 14,074 | | | | 566,479 | |
Total Water | | | | | | | 1,504,287 | |
| | | | | | | | | |
Building Materials - 1.1% |
MDU Resources Group, Inc. | | | 16,816 | | | | 378,360 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $30,334,648) | | | | | | | 33,361,060 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.1% |
J.P. Morgan Securities LLC issued 09/30/20 at 0.06% due 10/01/20 | | $ | 27,809 | | | | 27,809 | |
BofA Securities, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 11,575 | | | | 11,575 | |
Barclays Capital, Inc. issued 09/30/20 at 0.06% due 10/01/20 | | | 10,533 | | | | 10,533 | |
Total Repurchase Agreements | | | | |
(Cost $49,917) | | | | | | | 49,917 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $30,384,565) | | $ | 33,410,977 | |
Other Assets & Liabilities, net - (0.1)% | | | (41,995 | ) |
Total Net Assets - 100.0% | | $ | 33,368,982 | |
* | 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. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
UTILITIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 33,361,060 | | | $ | — | | | $ | — | | | $ | 33,361,060 | |
Repurchase Agreements | | | — | | | | 49,917 | | | | — | | | | 49,917 | |
Total Assets | | $ | 33,361,060 | | | $ | 49,917 | | | $ | — | | | $ | 33,410,977 | |
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $30,334,648) | | $ | 33,361,060 | |
Repurchase agreements, at value (cost $49,917) | | | 49,917 | |
Receivables: |
Dividends | | | 79,600 | |
Fund shares sold | | | 17,660 | |
Total assets | | | 33,508,237 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 47,340 | |
Management fees | | | 23,355 | |
Transfer agent and administrative fees | | | 7,391 | |
Distribution and service fees | | | 4,416 | |
Portfolio accounting fees | | | 2,748 | |
Trustees’ fees* | | | 789 | |
Miscellaneous | | | 53,216 | |
Total liabilities | | | 139,255 | |
Commitments and contingent liabilities (Note 10) | | | — | |
Net assets | | $ | 33,368,982 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 35,224,520 | |
Total distributable earnings (loss) | | | (1,855,538 | ) |
Net assets | | $ | 33,368,982 | |
| | | | | |
Investor Class: |
Net assets | | $ | 24,100,454 | |
Capital shares outstanding | | | 547,707 | |
Net asset value per share | | $ | 44.00 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,055,829 | |
Capital shares outstanding | | | 100,709 | |
Net asset value per share | | $ | 40.27 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 42.28 | |
| | | | | |
C-Class: |
Net assets | | $ | 4,098,470 | |
Capital shares outstanding | | | 123,046 | |
Net asset value per share | | $ | 33.31 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,114,229 | |
Capital shares outstanding | | | 28,746 | |
Net asset value per share | | $ | 38.76 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 673,822 | |
Interest | | | 49 | |
Income from securities lending, net | | | 2 | |
Total investment income | | | 673,873 | |
| | | | | |
Expenses: |
Management fees | | | 167,646 | |
Distribution and service fees: |
A-Class | | | 5,372 | |
C-Class | | | 23,211 | |
H-Class | | | 1,639 | |
Transfer agent and administrative fees | | | 57,087 | |
Registration fees | | | 21,712 | |
Portfolio accounting fees | | | 19,729 | |
Professional fees | | | 15,461 | |
Custodian fees | | | 3,018 | |
Trustees’ fees* | | | 1,023 | |
Line of credit fees | | | 16 | |
Miscellaneous | | | 7,927 | |
Total expenses | | | 323,841 | |
Net investment income | | | 350,032 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (853,415 | ) |
Net realized loss | | | (853,415 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,303,209 | |
Net change in unrealized appreciation (depreciation) | | | 2,303,209 | |
Net realized and unrealized gain | | | 1,449,794 | |
Net increase in net assets resulting from operations | | $ | 1,799,826 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 350,032 | | | $ | 1,394,736 | |
Net realized gain (loss) on investments | | | (853,415 | ) | | | 9,293,608 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,303,209 | | | | (14,274,698 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,799,826 | | | | (3,586,354 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (798,786 | ) |
A-Class | | | — | | | | (57,991 | ) |
C-Class | | | — | | | | (78,736 | ) |
H-Class | | | — | | | | (30,409 | ) |
Total distributions to shareholders | | | — | | | | (965,922 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 32,578,074 | | | | 218,676,498 | |
A-Class | | | 639,692 | | | | 4,286,695 | |
C-Class | | | 1,193,447 | | | | 3,360,227 | |
H-Class | | | 445,670 | | | | 17,514,422 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 795,101 | |
A-Class | | | — | | | | 55,451 | |
C-Class | | | — | | | | 77,101 | |
H-Class | | | — | | | | 30,102 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (43,800,770 | ) | | | (287,798,066 | ) |
A-Class | | | (1,018,470 | ) | | | (5,302,118 | ) |
C-Class | | | (2,436,659 | ) | | | (4,212,655 | ) |
H-Class | | | (1,849,653 | ) | | | (20,710,730 | ) |
Net decrease from capital share transactions | | | (14,248,669 | ) | | | (73,227,972 | ) |
Net decrease in net assets | | | (12,448,843 | ) | | | (77,780,248 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 45,817,825 | | | | 123,598,073 | |
End of period | | $ | 33,368,982 | | | $ | 45,817,825 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 737,323 | | | | 4,503,840 | |
A-Class | | | 15,682 | | | | 99,339 | |
C-Class | | | 35,490 | | | | 90,910 | |
H-Class | | | 11,598 | | | | 411,293 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 16,472 | |
A-Class | | | — | | | | 1,253 | |
C-Class | | | — | | | | 2,093 | |
H-Class | | | — | | | | 707 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,004,732 | ) | | | (5,986,116 | ) |
A-Class | | | (25,271 | ) | | | (122,823 | ) |
C-Class | | | (72,594 | ) | | | (114,995 | ) |
H-Class | | | (48,706 | ) | | | (493,579 | ) |
Net decrease in shares | | | (351,210 | ) | | | (1,591,606 | ) |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.80 | | | $ | 46.23 | | | $ | 39.03 | | | $ | 39.34 | | | $ | 40.23 | | | $ | 36.98 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .43 | | | | .74 | | | | .77 | | | | .68 | | | | .59 | | | | .73 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.77 | | | | (4.72 | ) | | | 6.43 | | | | .06 | | | | 2.25 | | | | 3.09 | |
Total from investment operations | | | 2.20 | | | | (3.98 | ) | | | 7.20 | | | | .74 | | | | 2.84 | | | | 3.82 | |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.52 | ) | | | (2.86 | ) | | | — | |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) |
Net asset value, end of period | | $ | 44.00 | | | $ | 41.80 | | | $ | 46.23 | | | $ | 39.03 | | | $ | 39.34 | | | $ | 40.23 | |
|
Total Return | | | 5.26 | % | | | (8.74 | %) | | | 18.45 | % | | | 1.72 | % | | | 8.04 | % | | | 10.61 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 24,100 | | | $ | 34,073 | | | $ | 105,443 | | | $ | 9,006 | | | $ | 24,116 | | | $ | 50,753 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.94 | % | | | 1.53 | % | | | 1.80 | % | | | 1.67 | % | | | 1.47 | % | | | 2.00 | % |
Total expenses | | | 1.49 | % | | | 1.48 | % | | | 1.48 | % | | | 1.38 | % | | | 1.38 | % | | | 1.35 | % |
Portfolio turnover rate | | | 71 | % | | | 169 | % | | | 390 | % | | | 452 | % | | | 507 | % | | | 475 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.30 | | | $ | 42.50 | | | $ | 35.97 | | | $ | 36.43 | | | $ | 37.63 | | | $ | 34.70 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .57 | | | | .47 | | | | .54 | | | | .45 | | | | .63 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.62 | | | | (4.32 | ) | | | 6.06 | | | | .05 | | | | 2.08 | | | | 2.87 | |
Total from investment operations | | | 1.97 | | | | (3.75 | ) | | | 6.53 | | | | .59 | | | | 2.53 | | | | 3.50 | |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.52 | ) | | | (2.86 | ) | | | — | |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) |
Net asset value, end of period | | $ | 40.27 | | | $ | 38.30 | | | $ | 42.50 | | | $ | 35.97 | | | $ | 36.43 | | | $ | 37.63 | |
|
Total Returnc | | | 5.14 | % | | | (8.96 | %) | | | 18.15 | % | | | 1.45 | % | | | 7.75 | % | | | 10.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,056 | | | $ | 4,225 | | | $ | 5,633 | | | $ | 3,482 | | | $ | 9,362 | | | $ | 22,448 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.76 | % | | | 1.29 | % | | | 1.21 | % | | | 1.43 | % | | | 1.20 | % | | | 1.85 | % |
Total expenses | | | 1.74 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
Portfolio turnover rate | | | 71 | % | | | 169 | % | | | 390 | % | | | 452 | % | | | 507 | % | | | 475 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 31.80 | | | $ | 35.63 | | | $ | 30.39 | | | $ | 31.15 | | | $ | 32.96 | | | $ | 30.70 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .15 | | | | .21 | | | | .26 | | | | .25 | | | | .22 | | | | .28 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.36 | | | | (3.59 | ) | | | 4.98 | | | | .04 | | | | 1.70 | | | | 2.55 | |
Total from investment operations | | | 1.51 | | | | (3.38 | ) | | | 5.24 | | | | .29 | | | | 1.92 | | | | 2.83 | |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.52 | ) | | | (2.86 | ) | | | — | |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) |
Net asset value, end of period | | $ | 33.31 | | | $ | 31.80 | | | $ | 35.63 | | | $ | 30.39 | | | $ | 31.15 | | | $ | 32.96 | |
|
Total Returnc | | | 4.75 | % | | | (9.65 | %) | | | 17.24 | % | | | 0.69 | % | | | 6.97 | % | | | 9.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,098 | | | $ | 5,093 | | | $ | 6,489 | | | $ | 6,526 | | | $ | 8,270 | | | $ | 10,438 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.92 | % | | | 0.57 | % | | | 0.79 | % | | | 0.78 | % | | | 0.69 | % | | | 0.94 | % |
Total expenses | | | 2.49 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % |
Portfolio turnover rate | | | 71 | % | | | 169 | % | | | 390 | % | | | 452 | % | | | 507 | % | | | 475 | % |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.86 | | | $ | 40.92 | | | $ | 34.64 | | | $ | 35.12 | | | $ | 36.40 | | | $ | 33.61 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .50 | | | | .57 | | | | .31 | | | | .41 | | | | .54 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.66 | | | | (4.11 | ) | | | 5.71 | | | | .26 | | | | 2.04 | | | | 2.82 | |
Total from investment operations | | | 1.90 | | | | (3.61 | ) | | | 6.28 | | | | .57 | | | | 2.45 | | | | 3.36 | |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.52 | ) | | | (2.86 | ) | | | — | |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) |
Net asset value, end of period | | $ | 38.76 | | | $ | 36.86 | | | $ | 40.92 | | | $ | 34.64 | | | $ | 35.12 | | | $ | 36.40 | |
|
Total Return | | | 5.15 | % | | | (8.97 | %) | | | 18.13 | % | | | 1.44 | % | | | 7.80 | % | | | 10.31 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,114 | | | $ | 2,427 | | | $ | 6,033 | | | $ | 810 | | | $ | 5,379 | | | $ | 6,448 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.25 | % | | | 1.18 | % | | | 1.51 | % | | | 0.85 | % | | | 1.13 | % | | | 1.65 | % |
Total expenses | | | 1.75 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.62 | % | | | 1.68 | % |
Portfolio turnover rate | | | 71 | % | | | 169 | % | | | 390 | % | | | 452 | % | | | 507 | % | | | 475 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for the periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2020, the Trust consisted of fifty-two funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Banking Fund | Diversified |
Basic Materials Fund | Diversified |
Biotechnology Fund | Non-diversified |
Consumer Products Fund | Diversified |
Electronics Fund | Non-diversified |
Energy Fund | Diversified |
Energy Services Fund | Non-diversified |
Financial Services Fund | Diversified |
Health Care Fund | Diversified |
Internet Fund | Diversified |
Leisure Fund | Diversified |
Precious Metals Fund | Non-diversified |
Real Estate Fund | Diversified |
Retailing Fund | Diversified |
Technology Fund | Diversified |
Telecommunications Fund | Non-diversified |
Transportation Fund | Diversified |
Utilities Fund | Diversified |
At September 30, 2020, Investor Class, A-Class, C-Class and H-Class shares have been issued by the Funds.
The Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.
The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 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.
Valuations of the Funds’ securities and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
Repurchase agreements are generally 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 U.S. Treasury securities, 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation arise
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2020, 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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 realized gains. The actual amounts of income, return of capital, and realized 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 U.S. federal 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 appreciation and depreciation 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 based on the respective 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 0.09% at September 30, 2020.
(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 | % |
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
When the aggregate assets of each series of the Trust (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) and each series of Rydex Dynamic Funds equal or exceed $10 billion, the advisory fee rate paid by each individual Fund (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) will be reduced in accordance with the asset level and breakpoint schedule set forth below.
Fund Assets Under Management | | Fund Asset-Based
Breakpoint Reductions | |
$500 million - $1 billion | | | 0.025 | % |
>$1 billion - $2 billion | | | 0.050 | % |
>$2 billion | | | 0.075 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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 Board 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 period ended September 30, 2020, GFD retained sales charges of $79,209 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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ 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 3 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax Cost | | | Tax Unrealized
Appreciation | | | Tax Unrealized
Depreciation | | | Net Tax Unrealized
Appreciation
(Depreciation) | |
Banking Fund | | $ | 11,173,469 | | | $ | — | | | $ | (3,477,328 | ) | | $ | (3,477,328 | ) |
Basic Materials Fund | | | 30,224,763 | | | | 4,015,338 | | | | (227,058 | ) | | | 3,788,280 | |
Biotechnology Fund | | | 95,208,142 | | | | 95,781,006 | | | | (1,649,749 | ) | | | 94,131,257 | |
Consumer Products Fund | | | 78,768,403 | | | | 47,330,878 | | | | (881,299 | ) | | | 46,449,579 | |
Electronics Fund | | | 25,534,078 | | | | 11,382,580 | | | | — | | | | 11,382,580 | |
Energy Fund | | | 20,880,836 | | | | — | | | | (12,532,896 | ) | | | (12,532,896 | ) |
Energy Services Fund | | | 10,258,960 | | | | — | | | | (7,062,448 | ) | | | (7,062,448 | ) |
Financial Services Fund | | | 11,128,896 | | | | 975,272 | | | | (206,959 | ) | | | 768,313 | |
Health Care Fund | | | 35,955,037 | | | | 7,528,802 | | | | (153,373 | ) | | | 7,375,429 | |
Internet Fund | | | 45,965,935 | | | | 14,147,269 | | | | (377,296 | ) | | | 13,769,973 | |
Leisure Fund | | | 14,041,063 | | | | 2,483,440 | | | | (51,981 | ) | | | 2,431,459 | |
Precious Metals Fund | | | 96,662,948 | | | | 21,607,571 | | | | — | | | | 21,607,571 | |
Real Estate Fund | | | 4,471,087 | | | | — | | | | (680,791 | ) | | | (680,791 | ) |
Retailing Fund | | | 14,818,132 | | | | 2,128,013 | | | | (89,865 | ) | | | 2,038,148 | |
Technology Fund | | | 50,081,188 | | | | 26,300,112 | | | | (174,734 | ) | | | 26,125,378 | |
Telecommunications Fund | | | 6,493,698 | | | | — | | | | (754,682 | ) | | | (754,682 | ) |
Transportation Fund | | | 24,417,345 | | | | 3,151,066 | | | | (143,216 | ) | | | 3,007,850 | |
Utilities Fund | | | 35,234,773 | | | | 223,593 | | | | (2,047,389 | ) | | | (1,823,796 | ) |
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.
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Securities Transactions
For the period ended September 30, 2020, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
Fund | | Purchases | | | Sales | |
Banking Fund | | $ | 31,272,580 | | | $ | 45,098,302 | |
Basic Materials Fund | | | 24,088,340 | | | | 17,817,136 | |
Biotechnology Fund | | | 145,273,951 | | | | 174,879,498 | |
Consumer Products Fund | | | 29,529,208 | | | | 29,972,125 | |
Electronics Fund | | | 29,175,048 | | | | 55,546,527 | |
Energy Fund | | | 67,762,414 | | | | 65,487,460 | |
Energy Services Fund | | | 11,029,649 | | | | 10,844,433 | |
Financial Services Fund | | | 21,552,461 | | | | 21,284,973 | |
Health Care Fund | | | 102,084,233 | | | | 96,462,435 | |
Internet Fund | | | 97,715,555 | | | | 72,304,092 | |
Leisure Fund | | | 26,075,015 | | | | 18,926,680 | |
Precious Metals Fund | | | 191,508,380 | | | | 192,414,813 | |
Real Estate Fund | | | 14,381,734 | | | | 13,927,218 | |
Retailing Fund | | | 31,167,190 | | | | 23,678,752 | |
Technology Fund | | | 81,801,823 | | | | 64,948,654 | |
Telecommunications Fund | | | 9,809,163 | | | | 7,972,931 | |
Transportation Fund | | | 43,203,758 | | | | 27,884,501 | |
Utilities Fund | | | 28,274,035 | | | | 42,109,467 | |
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. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2020, 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 | | $ | 3,226,414 | | | $ | 3,378,832 | | | $ | (31,923 | ) |
Basic Materials Fund | | | 1,550,703 | | | | 1,170,000 | | | | 102,709 | |
Biotechnology Fund | | | 4,118,225 | | | | 6,519,639 | | | | 453,227 | |
Consumer Products Fund | | | 828,545 | | | | 2,775,169 | | | | 639,507 | |
Electronics Fund | | | 1,987,108 | | | | 7,604,028 | | | | 1,394,911 | |
Energy Fund | | | 3,801,539 | | | | 6,448,692 | | | | (67,033 | ) |
Energy Services Fund | | | 2,206,021 | | | | 2,173,075 | | | | (733,135 | ) |
Financial Services Fund | | | 3,993,099 | | | | 3,861,123 | | | | (211,304 | ) |
Health Care Fund | | | 3,042,359 | | | | 12,109,767 | | | | 624,542 | |
Internet Fund | | | 7,515,710 | | | | 16,354,502 | | | | 874,133 | |
Leisure Fund | | | 2,415,146 | | | | 1,783,629 | | | | 79,783 | |
Precious Metals Fund | | | 6,106,445 | | | | 5,235,242 | | | | 3,671 | |
Real Estate Fund | | | 798,900 | | | | 629,668 | | | | (47,762 | ) |
Retailing Fund | | | 2,918,453 | | | | 1,622,386 | | | | 40,485 | |
Technology Fund | | | 11,723,990 | | | | 20,415,630 | | | | 1,464,666 | |
Telecommunications Fund | | | 1,312,214 | | | | 1,008,983 | | | | 12,515 | |
Transportation Fund | | | 2,457,297 | | | | 1,565,133 | | | | 5,561 | |
Utilities Fund | | | 791,811 | | | | 1,844,702 | | | | (98,083 | ) |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 September 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.06% | | | | | | | | | | 2.25% | | | | | | | | |
Due 10/01/20 | | $ | 141,998,853 | | | $ | 141,999,090 | | | 10/31/24 | | $ | 132,688,300 | | | $ | 144,838,915 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.06% | | | | | | | | | | 0.63% | | | | | | | | |
Due 10/01/20 | | | 59,103,876 | | | | 59,103,974 | | | 01/15/26 | | | 36,745,360 | | | | 40,558,260 | |
| | | | | | | | | | | U.S. Treasury Floating Rate Note | | | | | | | | |
| | | | | | | | | | | 0.40% | | | | | | | | |
| | | | | | | | | | | 10/31/21 | | | 19,653,100 | | | | 19,727,799 | |
| | | | | | | | | | | | | | 56,398,460 | | | | 60,286,059 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.06% | | | | | | | | | | 1.13% | | | | | | | | |
Due 10/01/20 | | | 53,784,527 | | | | 53,784,616 | | | 08/15/40 | | | 55,927,400 | | | | 54,860,263 | |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of 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.
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2020, 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 | |
Basic Materials Fund | | $ | 623,841 | | | $ | (623,841 | ) | | $ | — | | | | $ | 637,988 | | | $ | — | | | $ | 637,988 | |
Biotechnology Fund | | | 5,505,078 | | | | (5,505,078 | ) | | | — | | | | | 5,605,263 | | | | — | | | | 5,605,263 | |
Consumer Products Fund | | | 1,785,772 | | | | (1,785,772 | ) | | | — | | | | | 1,824,667 | | | | — | | | | 1,824,667 | |
Electronics Fund | | | 483,374 | | | | (483,374 | ) | | | — | | | | | 499,384 | | | | — | | | | 499,384 | |
Energy Fund | | | 106,731 | | | | (106,731 | ) | | | — | | | | | 110,686 | | | | — | | | | 110,686 | |
Energy Services Fund | | | 34,363 | | | | (34,363 | ) | | | — | | | | | 36,205 | | | | — | | | | 36,205 | |
Financial Services Fund | | | 35,201 | | | | (35,201 | ) | | | — | | | | | 36,588 | | | | — | | | | 36,588 | |
Health Care Fund | | | 809,046 | | | | (809,046 | ) | | | — | | | | | 827,576 | | | | — | | | | 827,576 | |
Internet Fund | | | 360,141 | | | | (360,141 | ) | | | — | | | | | 365,564 | | | | — | | | | 365,564 | |
Leisure Fund | | | 468,371 | | | | (468,371 | ) | | | — | | | | | 476,281 | | | | — | | | | 476,281 | |
Precious Metals Fund | | | 6,574,163 | | | | (6,574,163 | ) | | | — | | | | | 6,868,495 | | | | — | | | | 6,868,495 | |
Real Estate Fund | | | 42,412 | | | | (42,412 | ) | | | — | | | | | 43,746 | | | | — | | | | 43,746 | |
Retailing Fund | | | 250,108 | | | | (250,108 | ) | | | — | | | | | 254,316 | | | | — | | | | 254,316 | |
Technology Fund | | | 964,156 | | | | (964,156 | ) | | | — | | | | | 995,558 | | | | — | | | | 995,558 | |
Transportation Fund | | | 524,476 | | | | (524,476 | ) | | | — | | | | | 535,100 | | | | — | | | | 535,100 | |
(a) | Actual collateral received by the Fund is generally 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 – 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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2020. The Funds did not have any borrowings outstanding under this agreement at September 30, 2020.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The average daily balances borrowed for the period ended September 30, 2020, were as follows:
Fund | | Average Daily Balance | |
Banking Fund | | $ | 285 | |
Basic Materials Fund | | | 71 | |
Biotechnology Fund | | | 389 | |
Consumer Products Fund | | | 521 | |
Electronics Fund | | | 36,666 | |
Energy Fund | | | 5,247 | |
Energy Services Fund | | | 1,184 | |
Financial Services Fund | | | 1,726 | |
Health Care Fund | | | 233 | |
Internet Fund | | | 3,926 | |
Leisure Fund | | | 526 | |
Precious Metals Fund | | | 6,041 | |
Real Estate Fund | | | 1,258 | |
Technology Fund | | | 1,055 | |
Telecommunications Fund | | | 499 | |
Transportation Fund | | | 4,929 | |
Utilities Fund | | | 1,233 | |
Note 9 – Reverse Share Splits
Effective on August 10th, 2020, reverse share splits occurred for the following Funds:
Fund | Split Type |
Energy Fund | One-for-Three Reverse Share Split |
Energy Services Fund | One-for-Fifteen Reverse Share Split |
The effect of these transactions was to divide the number of outstanding shares of the Energy Fund and the Energy Services Fund by their respective reverse split ratios, resulting in a corresponding increase in the NAV. The share transactions presented in the Statement of Changes in Net Assets and the Per Share Data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these respective share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 10 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
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.
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2296 (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. 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. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include the Rydex Series Funds. Defendants filed an opposition to the certiorari petition on August 26, 2020.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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 shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 11 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 12 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Series Funds Contracts Review Committee
Rydex Series Funds (the “Trust”) was organized as a Delaware statutory trust on February 10, 1993, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow Jones Industrial Average Fund |
● | Electronics Fund* | ● | Emerging Markets 2x Strategy Fund |
● | Emerging Markets Bond Strategy Fund | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Emerging Markets 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Guggenheim Long Short Equity Fund
(“Long Short Equity Fund”)** | ● | Guggenheim Managed Futures Strategy Fund
(“Managed Futures Strategy Fund”)** |
● | Mid-Cap 1.5x Strategy Fund | ● | Monthly Rebalance NASDAQ-100 2x Strategy Fund |
● | Guggenheim Multi-Hedge Strategies Fund
(“Multi-Hedge Strategies Fund”)** | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 Fund |
● | S&P 500 Fund | ● | S&P 500 Pure Growth Fund |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
OTHER INFORMATION (Unaudited)(continued) |
● | 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 | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed objective performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, twice-daily pricing for certain Tradable Funds on select trading platforms, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges among like share classes and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for such Funds relative to the applicable benchmark index or Guggenheim-constructed performance benchmark for the five-year, three-year and one-year periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee received a comparison of the tracking error of each Fund’s Class H shares to the tracking error of a peer fund, in each case for the same periods, as applicable. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences. In this connection, the Committee considered the tracking error of each Fund’s Class H shares relative to its applicable benchmark index or Guggenheim-constructed performance benchmark and, for certain Tradable Funds, compared to the tracking error of a peer fund, for the five-year and three-year periods ended December 31, 2019, as applicable, noting the Adviser’s view that such five-year and three-year periods are a reasonable proxy for anticipated levels of tracking error. The Committee considered the Adviser’s commentary explaining the higher levels of tracking error for certain Funds.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies
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OTHER INFORMATION (Unaudited)(continued) |
and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to either the Commodities Strategy Fund or the Emerging Markets Bond Strategy Fund. The Committee considered, for the Commodities Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodity funds and, for the Emerging Markets Bond Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of actively-managed emerging markets bond funds, in each case noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the returns of the Multi-Hedge Strategies Fund’s Institutional Class shares ranked in the third quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The returns of the Fund’s Institutional Class shares ranked in the 88th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 62nd percentile.
Managed Futures Strategy Fund: The returns of the Fund’s Institutional Class shares ranked in the 92nd and 34th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the poor performance of the Fund’s previous dedicated trend-following strategy in 2016, during which time trend-following models were routinely hurt by the frequent whipsawing in the market, particularly in commodities. The Committee took into account management’s statement that the Fund changed its underlying investment model in 2017, moving to a more diversified, systematic multi-model system that employs a core-satellite approach, resulting in more competitive performance over the three-year and one-year time periods. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 76th and 28th percentiles, respectively, and that one-year performance ranked in the 43rd percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
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OTHER INFORMATION (Unaudited)(continued) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than variable insurance fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that the contractual advisory fee for each Fund’s Class H shares was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered the net effective management fee and total net expense ratio for each such Fund’s Class H shares as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are higher than those of the comparable peer fund, the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Multi-Hedge Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (94th percentile) of its peer group. The Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (38th percentile) of its peer group.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(concluded) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year. The Committee took into account that, in June 2018, the Adviser implemented breakpoints for the Tradable Funds, noting that each Fund’s advisory fee would be subject to a uniform fee breakpoint reduction schedule that would take effect once the aggregate assets of the Tradable Funds and the tradable series of Rydex Dynamic Funds exceed $10 billion.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019
(Trustee)
Since July 2020
(Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr. (1946)(1) | Trustee | Since 2019 | Current: Retired.
Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946)(1) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present).
Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III (1946)(1) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005
(Trustee)
Since July 2020
(Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016
(Trustee)
Since 2019
(Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-September 2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the
Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
(1) | Under the Trust’s Independent Trustees Retirement Policy, Messrs. Chubb, Farley and Friedrich are expected to retire in 2021. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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. |
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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.
176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Series Funds (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
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9.30.2020
Rydex Funds Semi-Annual Report
Domestic Equity Funds |
Nova Fund |
S&P 500® Fund |
Inverse S&P 500® Strategy Fund |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund |
Inverse NASDAQ-100® Strategy Fund |
Mid-Cap 1.5x Strategy Fund |
Inverse Mid-Cap Strategy Fund |
Russell 2000® 1.5x Strategy Fund |
Russell 2000® Fund |
Inverse Russell 2000® Strategy Fund |
Dow Jones Industrial Average® Fund |
Fixed Income Funds |
Government Long Bond 1.2x Strategy Fund |
Inverse Government Long Bond Strategy Fund |
High Yield Strategy Fund |
Inverse High Yield Strategy Fund |
Money Market Fund |
U.S. Government Money Market Fund |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from a fund electronically by calling 800.820.0888, going to GuggenheimInvestments.com/myaccount, or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper will apply to all Guggenheim Funds in which you are invested and may apply to all funds held with your financial intermediary.
GuggenheimInvestments.com | RBENF-SEMI-0920x0321 |
| | |
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 | 40 |
MONTHLY REBALANCE NASDAQ-100® 2X STRATEGY FUND | 50 |
INVERSE NASDAQ-100® STRATEGY FUND | 59 |
MID-CAP 1.5X STRATEGY FUND | 69 |
INVERSE MID-CAP STRATEGY FUND | 83 |
RUSSELL 2000® 1.5X STRATEGY FUND | 90 |
RUSSELL 2000® FUND | 98 |
INVERSE RUSSELL 2000® STRATEGY FUND | 105 |
DOW JONES INDUSTRIAL AVERAGE® FUND | 113 |
GOVERNMENT LONG BOND 1.2X STRATEGY FUND | 121 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 130 |
HIGH YIELD STRATEGY FUND | 141 |
INVERSE HIGH YIELD STRATEGY FUND | 150 |
U.S. GOVERNMENT MONEY MARKET FUND | 157 |
NOTES TO FINANCIAL STATEMENTS | 163 |
OTHER INFORMATION | 181 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 188 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 193 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 196 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
The six-month period ended September 30, 2020, concluded on a cautious note. Even though markets performed well for most of the period, COVID-19 became the deadliest pandemic in a century, causing a steeper plunge in output and employment in two months than during the first two years of the Great Depression. The U.S. Federal Reserve acted quickly to restore market functioning and cushion the economy, cutting rates to zero, engaging in massive asset purchases, and launching an array of lending facilities. Congress also acted much faster than in previous downturns, with the budget deficit headed to the highest level since World War II.
The recovery since the spring has been faster than expected, with consumer confidence holding up due to the temporary nature of layoffs and positive personal income growth thanks to massive fiscal support. However, the outlook for the next several months is more challenging. Fiscal support is fading, so incomes will likely fall in the fourth quarter. Also, colder weather and the reopening of schools make the likelihood of another large COVID wave very high, risking renewed lockdowns and a setback in the recovery. We do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process will likely take until mid-2021, or possibly longer. As discussed in this shareholder report, these events have had an impact on performance.
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2020.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to the safety and prosperity of our clients, our employees, and our shareholders. Thank you for the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2020
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.
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational 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
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
The Government Long Bond 1.2x Strategy and Inverse Government Long Bond Strategy 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, 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. ● 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 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 Funds’ holdings consistent with their strategies, as frequently as daily. ● In general, bond prices rise when interest rates fall, and vice versa. Moreover, while securities with longer maturities tend to produce higher yields, the price of longer maturity securities is also subject to greater fluctuations as a result of changes in interest rates. ● It is important to note that the Funds are not guaranteed by the U.S. government. ● There are no assurances that any Guggenheim fund will achieve its objective and/or strategy. These Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective, and may decrease the Fund’s performance. ● For more on these and other risks, please read the prospectus.
The High Yield Strategy Fund and Inverse High Yield Strategy Fund may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options, and swap agreements will expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● A highly liquid secondary market may not exist for the credit default swaps the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s 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 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. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● For more on these and other risks, please read the prospectus.
Monthly leveraged funds are not suitable for all investors. ● These funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking monthly leveraged investment results, and (c) intend to actively monitor and manage their investments. ● The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The funds’ use of derivatives, such as futures, options, and swap agreements, may expose the funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Monthly leveraged funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a monthly basis. Because monthly leveraged funds seek to track the performance of their benchmark on a monthly basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the quarterly, annual or other period performance of its benchmark. Due to the compounding of monthly returns, leveraged funds’ returns over periods other than one calendar month will likely differ in amount and possibly direction from the benchmark return for the same period. For those funds that consistently apply leverage, the value of the funds’ shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. Monthly leveraged funds rebalance their portfolios on a monthly basis on the last day of each calendar month, increasing exposure in response to that month’s gains or reducing exposure in response to that month’s losses. ● Throughout the month, the amount of leverage that a monthly leveraged fund provides is allowed to float. Purchasing monthly leveraged funds on any day other than the last day of each calendar month will likely mean that the monthly leveraged fund’s actual leverage is different from its monthly leverage target. Investors should monitor their monthly leveraged funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the monthly leveraged funds’ prospectus.
The U.S. Government Money Market Fund may not be suitable for all investors. ● 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. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2020 |
Six months ago, the global COVID-19 pandemic threatened the worst economic downturn since the Great Depression. Faced with the prospect of an economic collapse, policymakers in the U.S. introduced fiscal and monetary policy initiatives that have, for the most part, shored up the U.S. economy, although more stimulus appears to be necessary. These policy initiatives, particularly on the monetary side, have increased market liquidity and lowered borrowing rates, reassuring equity investors that the U.S. Federal Reserve (the “Fed”) would do everything in its power to maintain market stability. For the six months ended September 30, 2020, the Standard & Poor’s 500® (“S&P 500”) Index* returned 31.31%, briefly surpassing the pre-pandemic peak before giving up gains in September. This increase was in spite of personal and economic hardships imposed by the onset of COVID-19, highlighting the crucial role of policy support.
While the outlook on fiscal policy is contingent on the 2020 presidential election outcome, the monetary policy outlook is far less dependent on it. Our views hold that the Fed will remain accommodative over the next several years. This is in large part owing to recent revisions to the Fed’s policy framework that resulted in a dovish shift in the policy reaction function.
Fed policymakers revised their Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. Labor market goals now focus on correcting shortfalls in achieving maximum employment, rather than managing deviations from it, which previously included tightening policy when the Fed thought the labor market was too tight. Instead, the Fed will now tolerate the unemployment rate falling below a level they consider to be maximum employment as long as it does not produce unwanted inflation. On inflation policy, the Fed will aim for core inflation to average 2% over an unspecified time period. This allows for inflation readings that are moderately above 2% over shorter horizons to make up for periods when inflation falls below its target.
The practical effect of the revised strategy would likely have meant no rate hikes from 2015–2018, as inflation was never above 2% for a sustained period and a low unemployment rate is now an insufficient justification for raising rates. But the revised statement, and Fed Chair Jerome Powell’s speech at Jackson Hole, which coincided with the release of the new framework, gave no explanation of how the Fed would actually achieve higher inflation, something it could not attain previously with years of short-term rates at zero and trillions of dollars in quantitative easing. A lack of concrete guidance on the overshoot (with no numerical target and no specified time frame) further weakens the policy and the associated response in inflation expectations, which remain lower than the Fed would favor.
We expect the Fed will have a difficult time in reaching its inflation target in the coming years, let alone exceeding it, in part because core inflation lags real gross domestic product growth by about 18 months, meaning that inflation should trend downward over the next several quarters. In addition, elevated unemployment and a high debt burden will weigh on the speed of the recovery. As the last expansion demonstrated, even a strong economy with low unemployment does not necessarily produce inflation in excess of 2%, as many components of inflation are not responsive to interest rates or economic conditions.
Below-target inflation may anchor U.S. Treasury yields at low levels. In the near term, concerns over another COVID-19 wave complicated by the flu season, a slowing pace of improvement in the labor market, a lack of additional fiscal stimulus, and election uncertainty, all suggest low U.S. Treasury yields. In addition, comparatively higher yields in the U.S. should continue to attract capital from abroad, further supporting the market.
For the six-month period ended September 30, 2020, the MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.39%. The return of the MSCI Emerging Markets Index* was 29.36%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 3.53% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 15.24%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2020 |
*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 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 nonconvertible. The U.S. Long 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).
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.
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 segment of the U.S. equity universe.
S&P 500® 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 SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings 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 SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2020 and ending September 30, 2020.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Nova Fund | | | | | |
Investor Class | 1.37% | 48.40% | $ 1,000.00 | $ 1,484.00 | $ 8.53 |
A-Class | 1.62% | 48.19% | 1,000.00 | 1,481.90 | 10.08 |
C-Class | 2.37% | 47.63% | 1,000.00 | 1,476.30 | 14.71 |
H-Class | 1.62% | 48.20% | 1,000.00 | 1,482.00 | 10.08 |
S&P 500® Fund | | | | | |
A-Class | 1.69% | 30.08% | 1,000.00 | 1,300.80 | 9.75 |
C-Class | 2.44% | 29.61% | 1,000.00 | 1,296.10 | 14.04 |
H-Class | 1.69% | 30.10% | 1,000.00 | 1,301.00 | 9.75 |
Inverse S&P 500® Strategy Fund | | | | | |
Investor Class | 1.53% | (26.41%) | 1,000.00 | 735.90 | 6.66 |
A-Class | 1.80% | (26.50%) | 1,000.00 | 735.00 | 7.83 |
C-Class | 2.54% | (26.78%) | 1,000.00 | 732.20 | 11.03 |
H-Class | 1.80% | (26.49%) | 1,000.00 | 735.10 | 7.83 |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
A-Class | 1.33% | 104.70% | 1,000.00 | 2,047.00 | 10.16 |
C-Class | 2.08% | 103.92% | 1,000.00 | 2,039.20 | 15.85 |
H-Class | 1.34% | 104.72% | 1,000.00 | 2,047.20 | 10.24 |
Inverse NASDAQ-100® Strategy Fund | | | | | |
Investor Class | 1.56% | (34.69%) | 1,000.00 | 653.10 | 6.46 |
A-Class | 1.80% | (34.77%) | 1,000.00 | 652.30 | 7.46 |
C-Class | 2.57% | (35.01%) | 1,000.00 | 649.90 | 10.63 |
H-Class | 1.80% | (34.79%) | 1,000.00 | 652.10 | 7.45 |
Mid-Cap 1.5x Strategy Fund | | | | | |
A-Class | 1.78% | 43.73% | 1,000.00 | 1,437.30 | 10.88 |
C-Class | 2.54% | 43.19% | 1,000.00 | 1,431.90 | 15.48 |
H-Class | 1.78% | 43.72% | 1,000.00 | 1,437.20 | 10.88 |
Inverse Mid-Cap Strategy Fund | | | | | |
A-Class | 1.78% | (27.50%) | 1,000.00 | 725.00 | 7.70 |
C-Class | 2.40% | (27.29%) | 1,000.00 | 727.10 | 10.39 |
H-Class | 1.78% | (27.51%) | 1,000.00 | 724.90 | 7.70 |
Russell 2000® 1.5x Strategy Fund | | | | | |
A-Class | 1.82% | 46.83% | 1,000.00 | 1,468.30 | 11.26 |
C-Class | 2.57% | 46.33% | 1,000.00 | 1,463.30 | 15.87 |
H-Class | 1.82% | 46.85% | 1,000.00 | 1,468.50 | 11.26 |
Russell 2000® Fund | | | | | |
A-Class | 1.73% | 30.55% | 1,000.00 | 1,305.50 | 10.00 |
C-Class | 2.49% | 30.04% | 1,000.00 | 1,300.40 | 14.36 |
H-Class | 1.73% | 30.53% | 1,000.00 | 1,305.30 | 10.00 |
Inverse Russell 2000® Strategy Fund | | | | | |
A-Class | 1.81% | (29.34%) | 1,000.00 | 706.60 | 7.74 |
C-Class | 2.57% | (29.63%) | 1,000.00 | 703.70 | 10.98 |
H-Class | 1.83% | (29.35%) | 1,000.00 | 706.50 | 7.83 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Dow Jones Industrial Average® Fund | | | | | |
A-Class | 1.72% | 27.40% | $ 1,000.00 | $ 1,274.00 | $ 9.80 |
C-Class | 2.47% | 26.96% | 1,000.00 | 1,269.60 | 14.05 |
H-Class | 1.72% | 27.44% | 1,000.00 | 1,274.40 | 9.81 |
Government Long Bond 1.2x Strategy Fund | | | | | |
Investor Class | 1.09% | (2.19%) | 1,000.00 | 978.10 | 5.41 |
A-Class | 1.32% | (2.28%) | 1,000.00 | 977.20 | 6.54 |
C-Class | 2.07% | (2.66%) | 1,000.00 | 973.40 | 10.24 |
H-Class | 1.33% | (2.31%) | 1,000.00 | 976.90 | 6.59 |
Inverse Government Long Bond Strategy Fund | | | | |
Investor Class | 2.61% | 0.53% | 1,000.00 | 1,005.30 | 13.12 |
A-Class | 2.85% | 0.43% | 1,000.00 | 1,004.30 | 14.32 |
C-Class | 3.60% | 0.06% | 1,000.00 | 1,000.60 | 18.05 |
H-Class | 2.83% | 0.64% | 1,000.00 | 1,006.40 | 14.23 |
High Yield Strategy Fund | | | | | |
A-Class | 1.62% | 6.96% | 1,000.00 | 1,069.60 | 8.40 |
C-Class | 2.36% | 6.57% | 1,000.00 | 1,065.70 | 12.22 |
H-Class | 1.63% | 7.01% | 1,000.00 | 1,070.10 | 8.46 |
Inverse High Yield Strategy Fund | | | | | |
A-Class | 1.64% | (7.85%) | 1,000.00 | 921.50 | 7.90 |
C-Class | 2.36% | (8.18%) | 1,000.00 | 918.20 | 11.35 |
H-Class | 1.62% | (7.83%) | 1,000.00 | 921.70 | 7.80 |
U.S. Government Money Market Fund | | | | | |
Money Market Class | 0.20% | 0.00% | 1,000.00 | 1,000.00 | 1.00 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Nova Fund | | | | | |
Investor Class | 1.37% | 5.00% | $ 1,000.00 | $ 1,018.20 | $ 6.93 |
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 |
C-Class | 2.37% | 5.00% | 1,000.00 | 1,013.19 | 11.96 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 |
S&P 500® Fund | | | | | |
A-Class | 1.69% | 5.00% | 1,000.00 | 1,016.60 | 8.54 |
C-Class | 2.44% | 5.00% | 1,000.00 | 1,012.84 | 12.31 |
H-Class | 1.69% | 5.00% | 1,000.00 | 1,016.60 | 8.54 |
Inverse S&P 500® Strategy Fund | | | | | |
Investor Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
A-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
C-Class | 2.54% | 5.00% | 1,000.00 | 1,012.33 | 12.81 |
H-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
A-Class | 1.33% | 5.00% | 1,000.00 | 1,018.40 | 6.73 |
C-Class | 2.08% | 5.00% | 1,000.00 | 1,014.64 | 10.50 |
H-Class | 1.34% | 5.00% | 1,000.00 | 1,018.35 | 6.78 |
Inverse NASDAQ-100® Strategy Fund | | | | | |
Investor Class | 1.56% | 5.00% | 1,000.00 | 1,017.25 | 7.89 |
A-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.18 | 12.96 |
H-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
Mid-Cap 1.5x Strategy Fund | | | | | |
A-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
C-Class | 2.54% | 5.00% | 1,000.00 | 1,012.33 | 12.81 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
Inverse Mid-Cap Strategy Fund | | | | | |
A-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
Russell 2000® 1.5x Strategy Fund | | | | | |
A-Class | 1.82% | 5.00% | 1,000.00 | 1,015.94 | 9.20 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.18 | 12.96 |
H-Class | 1.82% | 5.00% | 1,000.00 | 1,015.94 | 9.20 |
Russell 2000® Fund | | | | | |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Inverse Russell 2000® Strategy Fund | | | | | |
A-Class | 1.81% | 5.00% | 1,000.00 | 1,015.99 | 9.15 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.18 | 12.96 |
H-Class | 1.83% | 5.00% | 1,000.00 | 1,015.89 | 9.25 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Dow Jones Industrial Average® Fund | | | | | |
A-Class | 1.72% | 5.00% | $ 1,000.00 | $ 1,016.44 | $ 8.69 |
C-Class | 2.47% | 5.00% | 1,000.00 | 1,012.68 | 12.46 |
H-Class | 1.72% | 5.00% | 1,000.00 | 1,016.44 | 8.69 |
Government Long Bond 1.2x Strategy Fund | | | | | |
Investor Class | 1.09% | 5.00% | 1,000.00 | 1,019.60 | 5.52 |
A-Class | 1.32% | 5.00% | 1,000.00 | 1,018.45 | 6.68 |
C-Class | 2.07% | 5.00% | 1,000.00 | 1,014.69 | 10.45 |
H-Class | 1.33% | 5.00% | 1,000.00 | 1,018.40 | 6.73 |
Inverse Government Long Bond Strategy Fund | | | | |
Investor Class | 2.61% | 5.00% | 1,000.00 | 1,011.98 | 13.16 |
A-Class | 2.85% | 5.00% | 1,000.00 | 1,010.78 | 14.37 |
C-Class | 3.60% | 5.00% | 1,000.00 | 1,007.02 | 18.11 |
H-Class | 2.83% | 5.00% | 1,000.00 | 1,010.88 | 14.27 |
High Yield Strategy Fund | | | | | |
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.24 | 11.91 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
Inverse High Yield Strategy Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.24 | 11.91 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 |
U.S. Government Money Market Fund | | | | | |
Money Market Class | 0.20% | 5.00% | 1,000.00 | 1,024.07 | 1.01 |
1 | This ratio represents annualized Net Expense, which include interest expense related to securities sold short. Excluding short interest expense, the operating ratio of the Inverse Government Long Bond Strategy Fund would be 1.51%, 1.77%, 2.52%, and 1.76% for Investor Class, A-Class, C-Class and H-Class, respectively. 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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2020 to September 30, 2020. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
Investor Class | July 12, 1993 |
A-Class | March 31, 2004 |
C-Class | March 14, 2001 |
H-Class | September 18, 2014 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.5% |
Apple, Inc. | 4.4% |
Guggenheim Strategy Fund II | 4.2% |
Microsoft Corp. | 3.7% |
Amazon.com, Inc. | 3.1% |
Guggenheim Strategy Fund III | 1.6% |
Facebook, Inc. — Class A | 1.5% |
Alphabet, Inc. — Class A | 1.0% |
Alphabet, Inc. — Class C | 1.0% |
Berkshire Hathaway, Inc. — Class B | 1.0% |
Top Ten Total | 27.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 48.40% | 14.49% | 17.13% | 17.47% |
A-Class Shares | 48.19% | 14.20% | 16.86% | 17.19% |
A-Class Shares with sales charge‡ | 41.15% | 8.78% | 15.73% | 16.62% |
C-Class Shares | 47.63% | 13.33% | 15.99% | 16.32% |
C-Class Shares with CDSC§ | 46.63% | 12.33% | 15.99% | 16.32% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | 48.20% | 14.18% | 16.88% | 12.56% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 11.12% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
NOVA FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 65.3% |
| | | | | | | | | |
Technology - 15.5% |
Apple, Inc. | | | 105,535 | | | $ | 12,222,008 | |
Microsoft Corp. | | | 49,678 | | | | 10,448,774 | |
NVIDIA Corp. | | | 4,050 | | | | 2,191,941 | |
Adobe, Inc.* | | | 3,149 | | | | 1,544,364 | |
salesforce.com, Inc.* | | | 5,974 | | | | 1,501,386 | |
Intel Corp. | | | 27,919 | | | | 1,445,646 | |
Broadcom, Inc. | | | 2,640 | | | | 961,805 | |
Accenture plc — Class A | | | 4,176 | | | | 943,734 | |
QUALCOMM, Inc. | | | 7,407 | | | | 871,656 | |
Texas Instruments, Inc. | | | 6,013 | | | | 858,596 | |
Oracle Corp. | | | 12,691 | | | | 757,653 | |
International Business Machines Corp. | | | 5,846 | | | | 711,283 | |
Advanced Micro Devices, Inc.* | | | 7,707 | | | | 631,897 | |
ServiceNow, Inc.* | | | 1,259 | | | | 610,615 | |
Fidelity National Information Services, Inc. | | | 4,067 | | | | 598,703 | |
Intuit, Inc. | | | 1,719 | | | | 560,755 | |
Activision Blizzard, Inc. | | | 5,067 | | | | 410,174 | |
Fiserv, Inc.* | | | 3,649 | | | | 376,029 | |
Applied Materials, Inc. | | | 5,995 | | | | 356,403 | |
Micron Technology, Inc.* | | | 7,293 | | | | 342,479 | |
Autodesk, Inc.* | | | 1,439 | | | | 332,423 | |
Lam Research Corp. | | | 956 | | | | 317,153 | |
Analog Devices, Inc. | | | 2,426 | | | | 283,211 | |
Electronic Arts, Inc.* | | | 1,896 | | | | 247,257 | |
Cognizant Technology Solutions Corp. — Class A | | | 3,560 | | | | 247,135 | |
Synopsys, Inc.* | | | 996 | | | | 213,124 | |
KLA Corp. | | | 1,021 | | | | 197,809 | |
MSCI, Inc. — Class A | | | 549 | | | | 195,872 | |
Cadence Design Systems, Inc.* | | | 1,830 | | | | 195,133 | |
ANSYS, Inc.* | | | 563 | | | | 184,231 | |
HP, Inc. | | | 9,016 | | | | 171,214 | |
Microchip Technology, Inc. | | | 1,657 | | | | 170,273 | |
Paychex, Inc. | | | 2,103 | | | | 167,756 | |
Xilinx, Inc. | | | 1,604 | | | | 167,201 | |
Skyworks Solutions, Inc. | | | 1,097 | | | | 159,613 | |
Cerner Corp. | | | 2,005 | | | | 144,941 | |
Take-Two Interactive Software, Inc.* | | | 751 | | | | 124,080 | |
Maxim Integrated Products, Inc. | | | 1,753 | | | | 118,520 | |
Akamai Technologies, Inc.* | | | 1,068 | | | | 118,057 | |
Citrix Systems, Inc. | | | 811 | | | | 111,683 | |
Fortinet, Inc.* | | | 882 | | | | 103,908 | |
Paycom Software, Inc.* | | | 321 | | | | 99,927 | |
Broadridge Financial Solutions, Inc. | | | 756 | | | | 99,792 | |
Qorvo, Inc.* | | | 750 | | | | 96,758 | |
Tyler Technologies, Inc.* | | | 264 | | | | 92,020 | |
Zebra Technologies Corp. — Class A* | | | 350 | | | | 88,361 | |
Teradyne, Inc. | | | 1,090 | | | | 86,611 | |
Jack Henry & Associates, Inc. | | | 503 | | | | 81,783 | |
Hewlett Packard Enterprise Co. | | | 8,445 | | | | 79,130 | |
Leidos Holdings, Inc. | | | 877 | | | | 78,185 | |
Western Digital Corp. | | | 1,986 | | | | 72,588 | |
Seagate Technology plc | | | 1,465 | | | | 72,181 | |
NetApp, Inc. | | | 1,457 | | | | 63,875 | |
IPG Photonics Corp.* | | | 234 | | | | 39,773 | |
DXC Technology Co. | | | 1,669 | | | | 29,792 | |
Xerox Holdings Corp. | | | 1,175 | | | | 22,055 | |
Total Technology | | | | | | | 43,419,326 | |
| | | | | | | | | |
Consumer, Non-cyclical - 14.4% |
Johnson & Johnson | | | 17,283 | | | | 2,573,093 | |
Procter & Gamble Co. | | | 16,343 | | | | 2,271,514 | |
UnitedHealth Group, Inc. | | | 6,239 | | | | 1,945,133 | |
PayPal Holdings, Inc.* | | | 7,702 | | | | 1,517,525 | |
Merck & Company, Inc. | | | 16,603 | | | | 1,377,219 | |
Pfizer, Inc. | | | 36,479 | | | | 1,338,779 | |
Abbott Laboratories | | | 11,623 | | | | 1,264,931 | |
PepsiCo, Inc. | | | 9,090 | | | | 1,259,874 | |
Coca-Cola Co. | | | 25,378 | | | | 1,252,912 | |
Thermo Fisher Scientific, Inc. | | | 2,597 | | | | 1,146,627 | |
AbbVie, Inc. | | | 11,585 | | | | 1,014,730 | |
Amgen, Inc. | | | 3,845 | | | | 977,245 | |
Medtronic plc | | | 8,824 | | | | 916,990 | |
Danaher Corp. | | | 4,145 | | | | 892,543 | |
Bristol-Myers Squibb Co. | | | 14,796 | | | | 892,051 | |
Eli Lilly & Co. | | | 5,211 | | | | 771,332 | |
Philip Morris International, Inc. | | | 10,223 | | | | 766,623 | |
S&P Global, Inc. | | | 1,582 | | | | 570,469 | |
Intuitive Surgical, Inc.* | | | 768 | | | | 544,927 | |
Mondelez International, Inc. — Class A | | | 9,376 | | | | 538,651 | |
Gilead Sciences, Inc. | | | 8,230 | | | | 520,054 | |
Zoetis, Inc. | | | 3,119 | | | | 515,789 | |
CVS Health Corp. | | | 8,591 | | | | 501,714 | |
Altria Group, Inc. | | | 12,200 | | | | 471,408 | |
Vertex Pharmaceuticals, Inc.* | | | 1,710 | | | | 465,325 | |
Stryker Corp. | | | 2,145 | | | | 446,954 | |
Anthem, Inc. | | | 1,651 | | | | 443,442 | |
Becton Dickinson and Co. | | | 1,903 | | | | 442,790 | |
Colgate-Palmolive Co. | | | 5,628 | | | | 434,200 | |
Cigna Corp. | | | 2,411 | | | | 408,448 | |
Automatic Data Processing, Inc. | | | 2,823 | | | | 393,780 | |
Regeneron Pharmaceuticals, Inc.* | | | 686 | | | | 384,009 | |
Humana, Inc. | | | 868 | | | | 359,257 | |
Boston Scientific Corp.* | | | 9,392 | | | | 358,868 | |
Global Payments, Inc. | | | 1,964 | | | | 348,767 | |
Kimberly-Clark Corp. | | | 2,239 | | | | 330,611 | |
Edwards Lifesciences Corp.* | | | 4,081 | | | | 325,745 | |
Estee Lauder Companies, Inc. — Class A | | | 1,481 | | | | 323,228 | |
Moody’s Corp. | | | 1,060 | | | | 307,241 | |
Illumina, Inc.* | | | 958 | | | | 296,099 | |
Biogen, Inc.* | | | 1,039 | | | | 294,744 | |
Baxter International, Inc. | | | 3,323 | | | | 267,236 | |
DexCom, Inc.* | | | 629 | | | | 259,293 | |
General Mills, Inc. | | | 4,010 | | | | 247,337 | |
Centene Corp.* | | | 3,804 | | | | 221,887 | |
IDEXX Laboratories, Inc.* | | | 558 | | | | 219,355 | |
HCA Healthcare, Inc. | | | 1,731 | | | | 215,821 | |
Constellation Brands, Inc. — Class A | | | 1,103 | | | | 209,029 | |
Sysco Corp. | | | 3,338 | | | | 207,690 | |
IQVIA Holdings, Inc.* | | | 1,256 | | | | 197,983 | |
Verisk Analytics, Inc. — Class A | | | 1,066 | | | | 197,540 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
| | Shares | | | Value | |
Monster Beverage Corp.* | | | 2,423 | | | $ | 194,325 | |
IHS Markit Ltd. | | | 2,449 | | | | 192,271 | |
Cintas Corp. | | | 571 | | | | 190,046 | |
Zimmer Biomet Holdings, Inc. | | | 1,359 | | | | 185,014 | |
Clorox Co. | | | 829 | | | | 174,231 | |
Kroger Co. | | | 5,107 | | | | 173,178 | |
Archer-Daniels-Midland Co. | | | 3,648 | | | | 169,595 | |
Alexion Pharmaceuticals, Inc.* | | | 1,439 | | | | 164,665 | |
ResMed, Inc. | | | 951 | | | | 163,030 | |
McKesson Corp. | | | 1,065 | | | | 158,611 | |
McCormick & Company, Inc. | | | 814 | | | | 157,998 | |
Align Technology, Inc.* | | | 471 | | | | 154,187 | |
Church & Dwight Company, Inc. | | | 1,623 | | | | 152,091 | |
Corteva, Inc. | | | 4,914 | | | | 141,572 | |
Hershey Co. | | | 968 | | | | 138,753 | |
West Pharmaceutical Services, Inc. | | | 485 | | | | 133,326 | |
FleetCor Technologies, Inc.* | | | 552 | | | | 131,431 | |
Kraft Heinz Co. | | | 4,254 | | | | 127,407 | |
Equifax, Inc. | | | 797 | | | | 125,049 | |
Laboratory Corporation of America Holdings* | | | 639 | | | | 120,305 | |
MarketAxess Holdings, Inc. | | | 249 | | | | 119,916 | |
Tyson Foods, Inc. — Class A | | | 1,932 | | | | 114,915 | |
Conagra Brands, Inc. | | | 3,207 | | | | 114,522 | |
Hologic, Inc.* | | | 1,700 | | | | 112,999 | |
Incyte Corp.* | | | 1,220 | | | | 109,483 | |
Cooper Companies, Inc. | | | 323 | | | | 108,890 | |
Kellogg Co. | | | 1,666 | | | | 107,607 | |
Teleflex, Inc. | | | 305 | | | | 103,828 | |
Varian Medical Systems, Inc.* | | | 598 | | | | 102,856 | |
Quest Diagnostics, Inc. | | | 882 | | | | 100,980 | |
STERIS plc | | | 558 | | | | 98,314 | |
AmerisourceBergen Corp. — Class A | | | 965 | | | | 93,528 | |
Catalent, Inc.* | | | 1,078 | | | | 92,342 | |
Brown-Forman Corp. — Class B | | | 1,198 | | | | 90,233 | |
Cardinal Health, Inc. | | | 1,920 | | | | 90,144 | |
Hormel Foods Corp. | | | 1,842 | | | | 90,055 | |
JM Smucker Co. | | | 749 | | | | 86,525 | |
United Rentals, Inc.* | | | 473 | | | | 82,539 | |
ABIOMED, Inc.* | | | 296 | | | | 82,010 | |
Gartner, Inc.* | | | 586 | | | | 73,221 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 140 | | | | 72,164 | |
Avery Dennison Corp. | | | 548 | | | | 70,056 | |
Campbell Soup Co. | | | 1,329 | | | | 64,284 | |
Lamb Weston Holdings, Inc. | | | 954 | | | | 63,222 | |
Dentsply Sirona, Inc. | | | 1,434 | | | | 62,709 | |
Henry Schein, Inc.* | | | 937 | | | | 55,077 | |
Universal Health Services, Inc. — Class B | | | 510 | | | | 54,580 | |
Rollins, Inc. | | | 968 | | | | 52,456 | |
Mylan N.V.* | | | 3,394 | | | | 50,333 | |
Quanta Services, Inc. | | | 906 | | | | 47,891 | |
DaVita, Inc.* | | | 494 | | | | 42,311 | |
Molson Coors Beverage Co. — Class B | | | 1,235 | | | | 41,447 | |
Perrigo Company plc | | | 896 | | | | 41,135 | |
Robert Half International, Inc. | | | 753 | | | | 39,864 | |
Nielsen Holdings plc | | | 2,342 | | | | 33,210 | |
Total Consumer, Non-cyclical | | | | | | | 40,361,543 | |
| | | | | | | | | |
Communications - 10.9% |
Amazon.com, Inc.* | | | 2,795 | | | | 8,800,700 | |
Facebook, Inc. — Class A* | | | 15,783 | | | | 4,133,568 | |
Alphabet, Inc. — Class A* | | | 1,972 | | | | 2,890,163 | |
Alphabet, Inc. — Class C* | | | 1,927 | | | | 2,831,919 | |
Verizon Communications, Inc. | | | 27,165 | | | | 1,616,046 | |
Walt Disney Co. | | | 11,863 | | | | 1,471,961 | |
Netflix, Inc.* | | | 2,895 | | | | 1,447,587 | |
Comcast Corp. — Class A | | | 29,926 | | | | 1,384,377 | |
AT&T, Inc. | | | 46,773 | | | | 1,333,498 | |
Cisco Systems, Inc. | | | 27,791 | | | | 1,094,687 | |
Charter Communications, Inc. — Class A* | | | 982 | | | | 613,102 | |
Booking Holdings, Inc.* | | | 269 | | | | 460,173 | |
T-Mobile US, Inc.* | | | 3,819 | | | | 436,741 | |
Twitter, Inc.* | | | 5,192 | | | | 231,044 | |
eBay, Inc. | | | 4,365 | | | | 227,416 | |
Motorola Solutions, Inc. | | | 1,115 | | | | 174,843 | |
Corning, Inc. | | | 4,995 | | | | 161,888 | |
VeriSign, Inc.* | | | 663 | | | | 135,816 | |
CDW Corp. | | | 937 | | | | 112,000 | |
ViacomCBS, Inc. — Class B | | | 3,701 | | | | 103,665 | |
Etsy, Inc.* | | | 783 | | | | 95,236 | |
Expedia Group, Inc. | | | 891 | | | | 81,696 | |
NortonLifeLock, Inc. | | | 3,880 | | | | 80,859 | |
Arista Networks, Inc.* | | | 359 | | | | 74,288 | |
E*TRADE Financial Corp. | | | 1,451 | | | | 72,623 | |
Omnicom Group, Inc. | | | 1,411 | | | | 69,845 | |
CenturyLink, Inc. | | | 6,484 | | | | 65,424 | |
Fox Corp. — Class A | | | 2,256 | | | | 62,784 | |
F5 Networks, Inc.* | | | 402 | | | | 49,353 | |
DISH Network Corp. — Class A* | | | 1,620 | | | | 47,029 | |
Juniper Networks, Inc. | | | 2,178 | | | | 46,827 | |
Interpublic Group of Companies, Inc. | | | 2,560 | | | | 42,675 | |
Discovery, Inc. — Class C* | | | 2,032 | | | | 39,827 | |
News Corp. — Class A | | | 2,554 | | | | 35,807 | |
Fox Corp. — Class B | | | 1,028 | | | | 28,753 | |
Discovery, Inc. — Class A*,1 | | | 1,052 | | | | 22,902 | |
News Corp. — Class B | | | 799 | | | | 11,170 | |
Total Communications | | | | | | | 30,588,292 | |
| | | | | | | | | |
Financial - 9.1% |
Berkshire Hathaway, Inc. — Class B* | | | 13,012 | | | | 2,770,775 | |
Visa, Inc. — Class A | | | 11,068 | | | | 2,213,268 | |
Mastercard, Inc. — Class A | | | 5,799 | | | | 1,961,048 | |
JPMorgan Chase & Co. | | | 20,006 | | | | 1,925,978 | |
Bank of America Corp. | | | 50,051 | | | | 1,205,729 | |
American Tower Corp. — Class A REIT | | | 2,912 | | | | 703,918 | |
Wells Fargo & Co. | | | 27,046 | | | | 635,851 | |
Citigroup, Inc. | | | 13,667 | | | | 589,184 | |
BlackRock, Inc. — Class A | | | 931 | | | | 524,665 | |
Prologis, Inc. REIT | | | 4,850 | | | | 488,007 | |
Crown Castle International Corp. REIT | | | 2,755 | | | | 458,707 | |
Goldman Sachs Group, Inc. | | | 2,259 | | | | 453,991 | |
Equinix, Inc. REIT | | | 581 | | | | 441,636 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
| | Shares | | | Value | |
American Express Co. | | | 4,281 | | | $ | 429,170 | |
CME Group, Inc. — Class A | | | 2,354 | | | | 393,848 | |
Marsh & McLennan Companies, Inc. | | | 3,325 | | | | 381,377 | |
Morgan Stanley | | | 7,867 | | | | 380,369 | |
Intercontinental Exchange, Inc. | | | 3,684 | | | | 368,584 | |
Progressive Corp. | | | 3,843 | | | | 363,817 | |
Chubb Ltd. | | | 2,963 | | | | 344,064 | |
Truist Financial Corp. | | | 8,846 | | | | 336,590 | |
U.S. Bancorp | | | 8,999 | | | | 322,614 | |
Aon plc — Class A | | | 1,521 | | | | 313,782 | |
PNC Financial Services Group, Inc. | | | 2,787 | | | | 306,319 | |
Charles Schwab Corp. | | | 7,613 | | | | 275,819 | |
Digital Realty Trust, Inc. REIT | | | 1,766 | | | | 259,178 | |
SBA Communications Corp. REIT | | | 735 | | | | 234,083 | |
Public Storage REIT | | | 998 | | | | 222,275 | |
Capital One Financial Corp. | | | 2,998 | | | | 215,436 | |
Allstate Corp. | | | 2,050 | | | | 192,987 | |
T. Rowe Price Group, Inc. | | | 1,490 | | | | 191,048 | |
MetLife, Inc. | | | 5,065 | | | | 188,266 | |
Bank of New York Mellon Corp. | | | 5,350 | | | | 183,719 | |
Travelers Companies, Inc. | | | 1,662 | | | | 179,812 | |
Willis Towers Watson plc | | | 846 | | | | 176,662 | |
Prudential Financial, Inc. | | | 2,593 | | | | 164,707 | |
Aflac, Inc. | | | 4,352 | | | | 158,195 | |
American International Group, Inc. | | | 5,655 | | | | 155,682 | |
Welltower, Inc. REIT | | | 2,739 | | | | 150,891 | |
Weyerhaeuser Co. REIT | | | 4,899 | | | | 139,719 | |
AvalonBay Communities, Inc. REIT | | | 924 | | | | 137,990 | |
Realty Income Corp. REIT | | | 2,265 | | | | 137,599 | |
State Street Corp. | | | 2,313 | | | | 137,230 | |
Arthur J Gallagher & Co. | | | 1,257 | | | | 132,714 | |
Simon Property Group, Inc. REIT | | | 2,008 | | | | 129,877 | |
First Republic Bank | | | 1,130 | | | | 123,238 | |
Alexandria Real Estate Equities, Inc. REIT | | | 770 | | | | 123,200 | |
Ameriprise Financial, Inc. | | | 790 | | | | 121,747 | |
Discover Financial Services | | | 2,012 | | | | 116,253 | |
Equity Residential REIT | | | 2,248 | | | | 115,390 | |
Northern Trust Corp. | | | 1,366 | | | | 106,507 | |
CBRE Group, Inc. — Class A* | | | 2,201 | | | | 103,381 | |
Ventas, Inc. REIT | | | 2,449 | | | | 102,760 | |
Fifth Third Bancorp | | | 4,676 | | | | 99,692 | |
Healthpeak Properties, Inc. REIT | | | 3,534 | | | | 95,948 | |
Synchrony Financial | | | 3,564 | | | | 93,270 | |
Nasdaq, Inc. | | | 755 | | | | 92,646 | |
Extra Space Storage, Inc. REIT | | | 847 | | | | 90,620 | |
Duke Realty Corp. REIT | | | 2,433 | | | | 89,778 | |
Mid-America Apartment Communities, Inc. REIT | | | 751 | | | | 87,078 | |
Hartford Financial Services Group, Inc. | | | 2,351 | | | | 86,658 | |
Essex Property Trust, Inc. REIT | | | 428 | | | | 85,938 | |
SVB Financial Group* | | | 340 | | | | 81,811 | |
M&T Bank Corp. | | | 842 | | | | 77,540 | |
Cincinnati Financial Corp. | | | 982 | | | | 76,567 | |
KeyCorp | | | 6,407 | | | | 76,436 | |
Boston Properties, Inc. REIT | | | 930 | | | | 74,679 | |
Regions Financial Corp. | | | 6,303 | | | | 72,674 | |
Citizens Financial Group, Inc. | | | 2,802 | | | | 70,835 | |
Principal Financial Group, Inc. | | | 1,676 | | | | 67,493 | |
UDR, Inc. REIT | | | 1,937 | | | | 63,166 | |
Cboe Global Markets, Inc. | | | 714 | | | | 62,646 | |
Huntington Bancshares, Inc. | | | 6,678 | | | | 61,237 | |
Raymond James Financial, Inc. | | | 801 | | | | 58,281 | |
Western Union Co. | | | 2,698 | | | | 57,818 | |
W R Berkley Corp. | | | 923 | | | | 56,441 | |
Loews Corp. | | | 1,565 | | | | 54,384 | |
Everest Re Group Ltd. | | | 262 | | | | 51,755 | |
Globe Life, Inc. | | | 643 | | | | 51,376 | |
Iron Mountain, Inc. REIT | | | 1,892 | | | | 50,687 | |
Host Hotels & Resorts, Inc. REIT | | | 4,630 | | | | 49,958 | |
Assurant, Inc. | | | 392 | | | | 47,554 | |
Regency Centers Corp. REIT | | | 1,036 | | | | 39,389 | |
Lincoln National Corp. | | | 1,192 | | | | 37,345 | |
Franklin Resources, Inc. | | | 1,756 | | | | 35,735 | |
Comerica, Inc. | | | 913 | | | | 34,922 | |
Vornado Realty Trust REIT | | | 1,029 | | | | 34,688 | |
Federal Realty Investment Trust REIT | | | 452 | | | | 33,195 | |
Apartment Investment and Management Co. — Class A REIT | | | 977 | | | | 32,944 | |
Kimco Realty Corp. REIT | | | 2,839 | | | | 31,967 | |
Zions Bancorp North America | | | 1,076 | | | | 31,441 | |
People’s United Financial, Inc. | | | 2,788 | | | | 28,744 | |
Invesco Ltd. | | | 2,472 | | | | 28,206 | |
Unum Group | | | 1,336 | | | | 22,485 | |
SL Green Realty Corp. REIT1 | | | 481 | | | | 22,304 | |
Total Financial | | | | | | | 25,487,987 | |
| | | | | | | | | |
Consumer, Cyclical - 5.4% |
Home Depot, Inc. | | | 7,066 | | | | 1,962,299 | |
Walmart, Inc. | | | 9,115 | | | | 1,275,280 | |
McDonald’s Corp. | | | 4,885 | | | | 1,072,209 | |
Costco Wholesale Corp. | | | 2,898 | | | | 1,028,790 | |
NIKE, Inc. — Class B | | | 8,172 | | | | 1,025,913 | |
Lowe’s Companies, Inc. | | | 4,961 | | | | 822,831 | |
Starbucks Corp. | | | 7,674 | | | | 659,350 | |
Target Corp. | | | 3,286 | | | | 517,282 | |
TJX Companies, Inc. | | | 7,871 | | | | 438,021 | |
Dollar General Corp. | | | 1,635 | | | | 342,729 | |
General Motors Co. | | | 8,267 | | | | 244,620 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 184 | | | | 228,843 | |
O’Reilly Automotive, Inc.* | | | 486 | | | | 224,085 | |
Ross Stores, Inc. | | | 2,336 | | | | 217,995 | |
Cummins, Inc. | | | 969 | | | | 204,614 | |
PACCAR, Inc. | | | 2,272 | | | | 193,756 | |
Yum! Brands, Inc. | | | 1,979 | | | | 180,683 | |
AutoZone, Inc.* | | | 153 | | | | 180,179 | |
Ford Motor Co. | | | 25,651 | | | | 170,836 | |
Fastenal Co. | | | 3,766 | | | | 169,809 | |
Walgreens Boots Alliance, Inc. | | | 4,721 | | | | 169,578 | |
Best Buy Company, Inc. | | | 1,512 | | | | 168,270 | |
DR Horton, Inc. | | | 2,173 | | | | 164,344 | |
Aptiv plc | | | 1,773 | | | | 162,549 | |
Marriott International, Inc. — Class A | | | 1,746 | | | | 161,645 | |
Hilton Worldwide Holdings, Inc. | | | 1,820 | | | | 155,282 | |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
| | Shares | | | Value | |
VF Corp. | | | 2,097 | | | $ | 147,314 | |
Lennar Corp. — Class A | | | 1,803 | | | | 147,269 | |
Southwest Airlines Co. | | | 3,872 | | | | 145,200 | |
Copart, Inc.* | | | 1,356 | | | | 142,597 | |
Dollar Tree, Inc.* | | | 1,558 | | | | 142,308 | |
Delta Air Lines, Inc. | | | 4,187 | | | | 128,038 | |
Domino’s Pizza, Inc. | | | 258 | | | | 109,722 | |
Tractor Supply Co. | | | 763 | | | | 109,368 | |
WW Grainger, Inc. | | | 295 | | | | 105,247 | |
Las Vegas Sands Corp. | | | 2,156 | | | | 100,599 | |
CarMax, Inc.* | | | 1,071 | | | | 98,436 | |
NVR, Inc.* | | | 23 | | | | 93,912 | |
Genuine Parts Co. | | | 947 | | | | 90,126 | |
Darden Restaurants, Inc. | | | 854 | | | | 86,032 | |
Ulta Beauty, Inc.* | | | 370 | | | | 82,873 | |
Tiffany & Co. | | | 709 | | | | 82,138 | |
PulteGroup, Inc. | | | 1,760 | | | | 81,470 | |
Royal Caribbean Cruises Ltd. | | | 1,170 | | | | 75,734 | |
Whirlpool Corp. | | | 409 | | | | 75,211 | |
Advance Auto Parts, Inc. | | | 454 | | | | 69,689 | |
Hasbro, Inc. | | | 837 | | | | 69,237 | |
United Airlines Holdings, Inc.* | | | 1,910 | | | | 66,372 | |
MGM Resorts International | | | 2,688 | | | | 58,464 | |
BorgWarner, Inc. | | | 1,361 | | | | 52,725 | |
Carnival Corp.1 | | | 3,400 | | | | 51,612 | |
LKQ Corp.* | | | 1,838 | | | | 50,968 | |
Live Nation Entertainment, Inc.* | | | 933 | | | | 50,270 | |
L Brands, Inc. | | | 1,532 | | | | 48,733 | |
Wynn Resorts Ltd. | | | 637 | | | | 45,743 | |
Newell Brands, Inc. | | | 2,479 | | | | 42,540 | |
American Airlines Group, Inc.1 | | | 3,338 | | | | 41,024 | |
Mohawk Industries, Inc.* | | | 393 | | | | 38,353 | |
Hanesbrands, Inc. | | | 2,286 | | | | 36,004 | |
Leggett & Platt, Inc. | | | 869 | | | | 35,777 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 1,809 | | | | 30,952 | |
Alaska Air Group, Inc. | | | 812 | | | | 29,744 | |
Tapestry, Inc. | | | 1,813 | | | | 28,337 | |
PVH Corp. | | | 466 | | | | 27,792 | |
Gap, Inc. | | | 1,349 | | | | 22,973 | |
Ralph Lauren Corp. — Class A | | | 316 | | | | 21,479 | |
Under Armour, Inc. — Class A* | | | 1,238 | | | | 13,903 | |
Under Armour, Inc. — Class C* | | | 1,277 | | | | 12,566 | |
Total Consumer, Cyclical | | | | | | | 15,130,643 | |
| | | | | | | | | |
Industrial - 5.3% |
Union Pacific Corp. | | | 4,456 | | | | 877,253 | |
United Parcel Service, Inc. — Class B | | | 4,642 | | | | 773,496 | |
Honeywell International, Inc. | | | 4,607 | | | | 758,358 | |
Lockheed Martin Corp. | | | 1,615 | | | | 618,997 | |
3M Co. | | | 3,781 | | | | 605,640 | |
Raytheon Technologies Corp. | | | 10,028 | | | | 577,011 | |
Boeing Co. | | | 3,483 | | | | 575,601 | |
Caterpillar, Inc. | | | 3,555 | | | | 530,228 | |
Deere & Co. | | | 2,057 | | | | 455,893 | |
FedEx Corp. | | | 1,582 | | | | 397,905 | |
CSX Corp. | | | 5,022 | | | | 390,059 | |
Illinois Tool Works, Inc. | | | 1,889 | | | | 364,974 | |
Norfolk Southern Corp. | | | 1,675 | | | | 358,433 | |
General Electric Co. | | | 57,462 | | | | 357,988 | |
Northrop Grumman Corp. | | | 1,018 | | | | 321,169 | |
Waste Management, Inc. | | | 2,551 | | | | 288,697 | |
Roper Technologies, Inc. | | | 687 | | | | 271,441 | |
Eaton Corporation plc | | | 2,626 | | | | 267,931 | |
Emerson Electric Co. | | | 3,923 | | | | 257,231 | |
L3Harris Technologies, Inc. | | | 1,419 | | | | 241,003 | |
Amphenol Corp. — Class A | | | 1,959 | | | | 212,101 | |
TE Connectivity Ltd. | | | 2,167 | | | | 211,803 | |
General Dynamics Corp. | | | 1,526 | | | | 211,244 | |
Agilent Technologies, Inc. | | | 2,024 | | | | 204,302 | |
Johnson Controls International plc | | | 4,884 | | | | 199,512 | |
Trane Technologies plc | | | 1,571 | | | | 190,484 | |
Ball Corp. | | | 2,144 | | | | 178,209 | |
Parker-Hannifin Corp. | | | 844 | | | | 170,775 | |
Stanley Black & Decker, Inc. | | | 1,048 | | | | 169,986 | |
TransDigm Group, Inc. | | | 356 | | | | 169,143 | |
Fortive Corp. | | | 2,213 | | | | 168,653 | |
Rockwell Automation, Inc. | | | 761 | | | | 167,938 | |
Otis Worldwide Corp. | | | 2,672 | | | | 166,786 | |
Carrier Global Corp. | | | 5,345 | | | | 163,236 | |
Mettler-Toledo International, Inc.* | | | 157 | | | | 151,623 | |
AMETEK, Inc. | | | 1,507 | | | | 149,796 | |
Republic Services, Inc. — Class A | | | 1,380 | | | | 128,823 | |
Keysight Technologies, Inc.* | | | 1,228 | | | | 121,302 | |
Vulcan Materials Co. | | | 869 | | | | 117,784 | |
Old Dominion Freight Line, Inc. | | | 632 | | | | 114,341 | |
Amcor plc | | | 10,296 | | | | 113,771 | |
Kansas City Southern | | | 619 | | | | 111,934 | |
Dover Corp. | | | 945 | | | | 102,381 | |
Expeditors International of Washington, Inc. | | | 1,101 | | | | 99,663 | |
Xylem, Inc. | | | 1,181 | | | | 99,346 | |
Martin Marietta Materials, Inc. | | | 409 | | | | 96,262 | |
Masco Corp. | | | 1,717 | | | | 94,658 | |
Garmin Ltd. | | | 979 | | | | 92,868 | |
PerkinElmer, Inc. | | | 734 | | | | 92,124 | |
IDEX Corp. | | | 496 | | | | 90,475 | |
CH Robinson Worldwide, Inc. | | | 885 | | | | 90,438 | |
Ingersoll Rand, Inc.* | | | 2,437 | | | | 86,757 | |
Waters Corp.* | | | 407 | | | | 79,642 | |
Jacobs Engineering Group, Inc. | | | 855 | | | | 79,318 | |
Fortune Brands Home & Security, Inc. | | | 907 | | | | 78,474 | |
Teledyne Technologies, Inc.* | | | 242 | | | | 75,071 | |
Westinghouse Air Brake Technologies Corp. | | | 1,174 | | | | 72,647 | |
J.B. Hunt Transport Services, Inc. | | | 547 | | | | 69,130 | |
Packaging Corporation of America | | | 623 | | | | 67,938 | |
Allegion plc | | | 605 | | | | 59,840 | |
Westrock Co. | | | 1,704 | | | | 59,197 | |
Textron, Inc. | | | 1,497 | | | | 54,027 | |
Snap-on, Inc. | | | 358 | | | | 52,672 | |
Pentair plc | | | 1,089 | | | | 49,843 | |
A O Smith Corp. | | | 889 | | | | 46,939 | |
Howmet Aerospace, Inc.* | | | 2,577 | | | | 43,087 | |
Sealed Air Corp. | | | 1,022 | | | | 39,664 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
| | Shares | | | Value | |
Huntington Ingalls Industries, Inc. | | | 266 | | | $ | 37,439 | |
FLIR Systems, Inc. | | | 861 | | | | 30,867 | |
Flowserve Corp. | | | 854 | | | | 23,306 | |
Total Industrial | | | | | | | 14,846,927 | |
| | | | | | | | | |
Utilities - 1.9% |
NextEra Energy, Inc. | | | 3,214 | | | | 892,078 | |
Dominion Energy, Inc. | | | 5,515 | | | | 435,299 | |
Duke Energy Corp. | | | 4,828 | | | | 427,568 | |
Southern Co. | | | 6,933 | | | | 375,907 | |
American Electric Power Company, Inc. | | | 3,257 | | | | 266,195 | |
Xcel Energy, Inc. | | | 3,449 | | | | 238,015 | |
Exelon Corp. | | | 6,397 | | | | 228,757 | |
Sempra Energy | | | 1,899 | | | | 224,766 | |
WEC Energy Group, Inc. | | | 2,071 | | | | 200,680 | |
Eversource Energy | | | 2,249 | | | | 187,904 | |
Public Service Enterprise Group, Inc. | | | 3,320 | | | | 182,301 | |
American Water Works Company, Inc. | | | 1,190 | | | | 172,407 | |
Consolidated Edison, Inc. | | | 2,196 | | | | 170,849 | |
DTE Energy Co. | | | 1,265 | | | | 145,526 | |
PPL Corp. | | | 5,047 | | | | 137,329 | |
Entergy Corp. | | | 1,314 | | | | 129,468 | |
Ameren Corp. | | | 1,622 | | | | 128,268 | |
Edison International | | | 2,483 | | | | 126,236 | |
CMS Energy Corp. | | | 1,879 | | | | 115,389 | |
FirstEnergy Corp. | | | 3,559 | | | | 102,179 | |
Alliant Energy Corp. | | | 1,639 | | | | 84,654 | |
AES Corp. | | | 4,366 | | | | 79,068 | |
Atmos Energy Corp. | | | 810 | | | | 77,428 | |
Evergy, Inc. | | | 1,489 | | | | 75,671 | |
CenterPoint Energy, Inc. | | | 3,577 | | | | 69,215 | |
NiSource, Inc. | | | 2,514 | | | | 55,308 | |
Pinnacle West Capital Corp. | | | 739 | | | | 55,092 | |
NRG Energy, Inc. | | | 1,603 | | | | 49,276 | |
Total Utilities | | | | | | | 5,432,833 | |
| | | | | | | | | |
Basic Materials - 1.4% |
Linde plc | | | 3,449 | | | | 821,310 | |
Air Products & Chemicals, Inc. | | | 1,450 | | | | 431,897 | |
Sherwin-Williams Co. | | | 538 | | | | 374,846 | |
Newmont Corp. | | | 5,272 | | | | 334,508 | |
Ecolab, Inc. | | | 1,630 | | | | 325,739 | |
DuPont de Nemours, Inc. | | | 4,817 | | | | 267,247 | |
Dow, Inc. | | | 4,865 | | | | 228,898 | |
PPG Industries, Inc. | | | 1,549 | | | | 189,102 | |
Freeport-McMoRan, Inc. | | | 9,533 | | | | 149,096 | |
LyondellBasell Industries N.V. — Class A | | | 1,687 | | | | 118,917 | |
International Paper Co. | | | 2,580 | | | | 104,593 | |
FMC Corp. | | | 851 | | | | 90,129 | |
Nucor Corp. | | | 1,982 | | | | 88,913 | |
International Flavors & Fragrances, Inc.1 | | | 702 | | | | 85,960 | |
Celanese Corp. — Class A | | | 777 | | | | 83,489 | |
Eastman Chemical Co. | | | 889 | | | | 69,449 | |
Albemarle Corp. | | | 698 | | | | 62,317 | |
CF Industries Holdings, Inc. | | | 1,404 | | | | 43,117 | |
Mosaic Co. | | | 2,265 | | | | 41,382 | |
Total Basic Materials | | | | | | | 3,910,909 | |
Energy - 1.4% |
Exxon Mobil Corp. | | | 27,757 | | | | 952,898 | |
Chevron Corp. | | | 12,258 | | | | 882,576 | |
ConocoPhillips | | | 7,041 | | | | 231,227 | |
Kinder Morgan, Inc. | | | 12,779 | | | | 157,565 | |
Williams Companies, Inc. | | | 7,967 | | | | 156,551 | |
Phillips 66 | | | 2,867 | | | | 148,625 | |
Schlumberger Ltd. | | | 9,112 | | | | 141,783 | |
EOG Resources, Inc. | | | 3,822 | | | | 137,363 | |
Marathon Petroleum Corp. | | | 4,272 | | | | 125,341 | |
Valero Energy Corp. | | | 2,677 | | | | 115,968 | |
Pioneer Natural Resources Co. | | | 1,078 | | | | 92,697 | |
ONEOK, Inc. | | | 2,916 | | | | 75,758 | |
Hess Corp. | | | 1,794 | | | | 73,428 | |
Halliburton Co. | | | 5,767 | | | | 69,492 | |
Baker Hughes Co. | | | 4,308 | | | | 57,253 | |
Concho Resources, Inc. | | | 1,291 | | | | 56,959 | |
Occidental Petroleum Corp. | | | 5,495 | | | | 55,005 | |
Cabot Oil & Gas Corp. — Class A | | | 2,617 | | | | 45,431 | |
Diamondback Energy, Inc. | | | 1,036 | | | | 31,204 | |
Noble Energy, Inc. | | | 3,182 | | | | 27,206 | |
Devon Energy Corp. | | | 2,513 | | | | 23,773 | |
Apache Corp. | | | 2,478 | | | | 23,467 | |
National Oilwell Varco, Inc. | | | 2,549 | | | | 23,094 | |
Marathon Oil Corp. | | | 5,182 | | | | 21,194 | |
HollyFrontier Corp. | | | 978 | | | | 19,276 | |
TechnipFMC plc | | | 2,773 | | | | 17,498 | |
Total Energy | | | | | | | 3,762,632 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $171,915,189) | | | | | | | 182,941,092 | |
| | | | | | | | | |
MUTUAL FUNDS† - 11.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 1,532,532 | | | | 15,294,673 | |
Guggenheim Strategy Fund II2 | | | 468,262 | | | | 11,692,513 | |
Guggenheim Strategy Fund III2 | | | 184,563 | | | | 4,626,986 | |
Total Mutual Funds | | | | |
(Cost $31,372,000) | | | | | | | 31,614,172 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 11.6% |
U.S. Treasury Bills |
0.07% due 10/15/203,4 | | $ | 15,000,000 | | | | 14,999,548 | |
0.06% due 10/15/203,4 | | | 9,900,000 | | | | 9,899,702 | |
0.08% due 10/15/203,4 | | | 4,101,000 | | | | 4,100,876 | |
0.08% due 10/29/204,5 | | | 2,250,000 | | | | 2,249,838 | |
0.07% due 10/29/204,5 | | | 1,400,000 | | | | 1,399,899 | |
Total U.S. Treasury Bills | | | | |
(Cost $32,650,046) | | | | | | | 32,649,863 | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 0.7% |
Federal Home Loan Bank |
1.79% due 12/30/22 | | $ | 2,000,000 | | | $ | 2,008,030 | |
Total Federal Agency Notes | | | | |
(Cost $2,012,374) | | | | | | | 2,008,030 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 9.4% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/205 | | | 14,716,405 | | | | 14,716,405 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/205 | | | 6,125,377 | | | | 6,125,377 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/205 | | | 5,574,094 | | | | 5,574,094 | |
Total Repurchase Agreements | | | | |
(Cost $26,415,876) | | | | | | | 26,415,876 | |
| | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%8 | | | 179,068 | | | $ | 179,068 | |
Total Securities Lending Collateral | | | | |
(Cost $179,068) | | | | | | | 179,068 | |
| | | | | | | | | |
Total Investments - 98.4% | | | | |
(Cost $264,544,553) | | $ | 275,808,101 | |
Other Assets & Liabilities, net - 1.6% | | | 4,573,474 | |
Total Net Assets - 100.0% | | $ | 280,381,575 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 523 | | | | Dec 2020 | | | $ | 87,595,963 | | | $ | 1,258,127 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | S&P 500 Index | 0.69% (1 Month USD LIBOR + 0.55%) | At Maturity | | | 11/18/20 | | | | 8,467 | | | $ | 28,472,828 | | | $ | 1,067,459 | |
Goldman Sachs International | S&P 500 Index | 0.55% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 11/19/20 | | | | 28,638 | | | | 96,310,221 | | | | 307,831 | |
Barclays Bank plc | S&P 500 Index | 0.55% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 11/17/20 | | | | 7,886 | | | | 26,520,017 | | | | 89,898 | |
| | | | | | | | | | | | | | $ | 151,303,066 | | | $ | 1,465,188 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NOVA FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 182,941,092 | | | $ | — | | | $ | — | | | $ | 182,941,092 | |
Mutual Funds | | | 31,614,172 | | | | — | | | | — | | | | 31,614,172 | |
U.S. Treasury Bills | | | — | | | | 32,649,863 | | | | — | | | | 32,649,863 | |
Federal Agency Notes | | | — | | | | 2,008,030 | | | | — | | | | 2,008,030 | |
Repurchase Agreements | | | — | | | | 26,415,876 | | | | — | | | | 26,415,876 | |
Securities Lending Collateral | | | 179,068 | | | | — | | | | — | | | | 179,068 | |
Equity Futures Contracts** | | | 1,258,127 | | | | — | | | | — | | | | 1,258,127 | |
Equity Index Swap Agreements** | | | — | | | | 1,465,188 | | | | — | | | | 1,465,188 | |
Total Assets | | $ | 215,992,459 | | | $ | 62,538,957 | | | $ | — | | | $ | 278,531,416 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
NOVA FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 11,261,712 | | | $ | — | | | $ | — | | | $ | — | | | $ | 430,801 | | | $ | 11,692,513 | | | | 468,262 | | | $ | 92,628 | |
Guggenheim Strategy Fund III | | | 1,704,973 | | | | 2,800,000 | | | | — | | | | — | | | | 122,013 | | | | 4,626,986 | | | | 184,563 | | | | 30,901 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 7,748,990 | | | | 7,300,000 | | | | — | | | | — | | | | 245,683 | | | | 15,294,673 | | | | 1,532,532 | | | | 81,489 | |
| | | $ | 20,715,675 | | | $ | 10,100,000 | | | $ | — | | | $ | — | | | $ | 798,497 | | | $ | 31,614,172 | | | | | | | $ | 205,018 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value - including $176,460 of securities loaned (cost $206,756,677) | | $ | 217,778,053 | |
Investments in affiliated issuers, at value (cost $31,372,000) | | | 31,614,172 | |
Repurchase agreements, at value (cost $26,415,876) | | | 26,415,876 | |
Cash | | | 462 | |
Segregated cash with broker | | | 2,195,628 | |
Unrealized appreciation on OTC swap agreements | | | 1,465,188 | |
Receivables: |
Fund shares sold | | | 1,249,707 | |
Variation margin on futures contracts | | | 419,707 | |
Dividends | | | 117,127 | |
Interest | | | 9,093 | |
Securities lending income | | | 12 | |
Total assets | | | 281,265,025 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 301,814 | |
Return of securities lending collateral | | | 179,068 | |
Management fees | | | 96,066 | |
Transfer agent and administrative fees | | | 35,572 | |
Swap settlement | | | 20,844 | |
Portfolio accounting fees | | | 13,077 | |
Distribution and service fees | | | 10,886 | |
Trustees’ fees* | | | 3,102 | |
Miscellaneous | | | 223,021 | |
Total liabilities | | | 883,450 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 280,381,575 | |
Net assets consist of: |
Paid in capital | | $ | 236,308,369 | |
Total distributable earnings (loss) | | | 44,073,206 | |
Net assets | | $ | 280,381,575 | |
| | | | | |
Investor Class: |
Net assets | | $ | 222,711,158 | |
Capital shares outstanding | | | 2,358,913 | |
Net asset value per share | | $ | 94.41 | |
| | | | | |
A-Class: |
Net assets | | $ | 16,934,417 | |
Capital shares outstanding | | | 194,046 | |
Net asset value per share | | $ | 87.27 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 91.62 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,825,381 | |
Capital shares outstanding | | | 50,051 | |
Net asset value per share | | $ | 76.43 | |
| | | | | |
H-Class: |
Net assets | | $ | 36,910,619 | |
Capital shares outstanding | | | 422,551 | |
Net asset value per share | | $ | 87.35 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 1,321,270 | |
Dividends from securities of affiliated issuers | | | 205,018 | |
Interest | | | 19,954 | |
Income from securities lending, net | | | 1,031 | |
Total investment income | | | 1,547,273 | |
| | | | | |
Expenses: |
Management fees | | | 791,191 | |
Distribution and service fees: |
A-Class | | | 17,896 | |
C-Class | | | 19,145 | |
H-Class | | | 44,839 | |
Transfer agent and administrative fees | | | 296,264 | |
Registration fees | | | 116,117 | |
Portfolio accounting fees | | | 103,657 | |
Professional fees | | | 71,622 | |
Custodian fees | | | 14,563 | |
Trustees’ fees* | | | 5,151 | |
Interest expense | | | 11 | |
Miscellaneous | | | 63,472 | |
Total expenses | | | 1,543,928 | |
Less: |
Expenses waived by Adviser | | | (16,314 | ) |
Net expenses | | | 1,527,614 | |
Net investment income | | | 19,659 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | 22,491,925 | |
Swap agreements | | | 29,515,106 | |
Futures contracts | | | 12,690,570 | |
Net realized gain | | | 64,697,601 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 10,970,428 | |
Investments in affiliated issuers | | | 798,497 | |
Swap agreements | | | 2,717,512 | |
Futures contracts | | | 1,252,340 | |
Net change in unrealized appreciation (depreciation) | | | 15,738,777 | |
Net realized and unrealized gain | | | 80,436,378 | |
Net increase in net assets resulting from operations | | $ | 80,456,037 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 19,659 | | | $ | 1,903,401 | |
Net realized gain (loss) on investments | | | 64,697,601 | | | | (3,430,932 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 15,738,777 | | | | (25,554,771 | ) |
Net increase (decrease) in net assets resulting from operations | | | 80,456,037 | | | | (27,082,302 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 934,104,028 | | | | 1,884,601,216 | |
A-Class | | | 43,647,162 | | | | 134,948,538 | |
C-Class | | | 80,817 | | | | 1,007,068 | |
H-Class | | | 240,957,169 | | | | 389,155,191 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (809,136,400 | ) | | | (2,067,340,105 | ) |
A-Class | | | (38,914,385 | ) | | | (150,323,713 | ) |
C-Class | | | (1,031,892 | ) | | | (1,175,937 | ) |
H-Class | | | (222,479,818 | ) | | | (433,198,924 | ) |
Net increase (decrease) from capital share transactions | | | 147,226,681 | | | | (242,326,666 | ) |
Net increase (decrease) in net assets | | | 227,682,718 | | | | (269,408,968 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 52,698,857 | | | | 322,107,825 | |
End of period | | $ | 280,381,575 | | | $ | 52,698,857 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 11,333,244 | | | | 22,279,494 | |
A-Class | | | 544,312 | | | | 1,760,253 | |
C-Class | | | 1,335 | | | | 16,542 | |
H-Class | | | 3,277,685 | | | | 4,984,254 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (9,569,605 | ) | | | (24,844,947 | ) |
A-Class | | | (476,512 | ) | | | (1,999,067 | ) |
C-Class | | | (15,671 | ) | | | (18,108 | ) |
H-Class | | | (2,923,961 | ) | | | (5,603,433 | ) |
Net increase (decrease) in shares | | | 2,170,827 | | | | (3,425,012 | ) |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.62 | | | $ | 76.83 | | | $ | 69.63 | | | $ | 60.14 | | | $ | 49.18 | | | $ | 49.42 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .04 | | | | .61 | | | | .48 | | | | .40 | | | | .08 | | | | .07 | |
Net gain (loss) on investments (realized and unrealized) | | | 30.75 | | | | (13.82 | ) | | | 6.72 | | | | 10.50 | | | | 11.56 | | | | (.25 | ) |
Total from investment operations | | | 30.79 | | | | (13.21 | ) | | | 7.20 | | | | 10.90 | | | | 11.64 | | | | (.18 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.39 | ) | | | (.66 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 94.41 | | | $ | 63.62 | | | $ | 76.83 | | | $ | 69.63 | | | $ | 60.14 | | | $ | 49.18 | |
|
Total Return | | | 48.40 | % | | | (17.19 | %) | | | 10.34 | % | | | 18.09 | % | | | 23.84 | % | | | (0.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 222,711 | | | $ | 37,874 | | | $ | 242,831 | | | $ | 451,764 | | | $ | 78,531 | | | $ | 164,820 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.09 | % | | | 0.71 | % | | | 0.65 | % | | | 0.58 | % | | | 0.15 | % | | | 0.14 | % |
Total expensesc | | | 1.39 | % | | | 1.37 | % | | | 1.35 | % | | | 1.26 | % | | | 1.28 | % | | | 1.25 | % |
Net expensesd | | | 1.37 | % | | | 1.36 | % | | | 1.35 | % | | | 1.26 | % | | | 1.28 | % | | | 1.25 | % |
Portfolio turnover rate | | | 552 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % | | | 1,288 | % | | | 619 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.89 | | | $ | 71.28 | | | $ | 64.72 | | | $ | 56.18 | | | $ | 46.08 | | | $ | 46.40 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.06 | ) | | | .40 | | | | .28 | | | | .25 | | | | (.02 | ) | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 28.44 | | | | (12.79 | ) | | | 6.28 | | | | 9.70 | | | | 10.80 | | | | (.21 | ) |
Total from investment operations | | | 28.38 | | | | (12.39 | ) | | | 6.56 | | | | 9.95 | | | | 10.78 | | | | (.26 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.39 | ) | | | (.66 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 87.27 | | | $ | 58.89 | | | $ | 71.28 | | | $ | 64.72 | | | $ | 56.18 | | | $ | 46.08 | |
|
Total Returne | | | 48.19 | % | | | (17.38 | %) | | | 10.14 | % | | | 17.68 | % | | | 23.57 | % | | | (0.56 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 16,934 | | | $ | 7,435 | | | $ | 26,022 | | | $ | 35,094 | | | $ | 3,528 | | | $ | 13,626 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.16 | %) | | | 0.52 | % | | | 0.41 | % | | | 0.39 | % | | | (0.05 | %) | | | (0.11 | %) |
Total expensesc | | | 1.64 | % | | | 1.62 | % | | | 1.60 | % | | | 1.51 | % | | | 1.53 | % | | | 1.51 | % |
Net expensesd | | | 1.62 | % | | | 1.61 | % | | | 1.60 | % | | | 1.51 | % | | | 1.53 | % | | | 1.51 | % |
Portfolio turnover rate | | | 552 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % | | | 1,288 | % | | | 619 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-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.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 51.77 | | | $ | 63.15 | | | $ | 57.77 | | | $ | 50.57 | | | $ | 41.86 | | | $ | 42.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.33 | ) | | | (.22 | ) | | | (.20 | ) | | | (.27 | ) | | | (.40 | ) | | | (.34 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 24.99 | | | | (11.16 | ) | | | 5.58 | | | | 8.88 | | | | 9.79 | | | | (.24 | ) |
Total from investment operations | | | 24.66 | | | | (11.38 | ) | | | 5.38 | | | | 8.61 | | | | 9.39 | | | | (.58 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.39 | ) | | | (.66 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 76.43 | | | $ | 51.77 | | | $ | 63.15 | | | $ | 57.77 | | | $ | 50.57 | | | $ | 41.86 | |
|
Total Returne | | | 47.63 | % | | | (18.02 | %) | | | 9.31 | % | | | 17.01 | % | | | 22.60 | % | | | (1.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,825 | | | $ | 3,333 | | | $ | 4,165 | | | $ | 9,952 | | | $ | 9,676 | | | $ | 11,090 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.96 | %) | | | (0.32 | %) | | | (0.33 | %) | | | (0.48 | %) | | | (0.89 | %) | | | (0.83 | %) |
Total expensesc | | | 2.39 | % | | | 2.38 | % | | | 2.35 | % | | | 2.28 | % | | | 2.27 | % | | | 2.26 | % |
Net expensesd | | | 2.37 | % | | | 2.37 | % | | | 2.35 | % | | | 2.28 | % | | | 2.27 | % | | | 2.26 | % |
Portfolio turnover rate | | | 552 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % | | | 1,288 | % | | | 619 | % |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.94 | | | $ | 71.35 | | | $ | 64.80 | | | $ | 56.15 | | | $ | 46.06 | | | $ | 46.40 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.05 | ) | | | .36 | | | | .30 | | | | .19 | | | | (.07 | ) | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 28.46 | | | | (12.77 | ) | | | 6.25 | | | | 9.87 | | | | 10.84 | | | | (.22 | ) |
Total from investment operations | | | 28.41 | | | | (12.41 | ) | | | 6.55 | | | | 10.06 | | | | 10.77 | | | | (.28 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.39 | ) | | | (.66 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 87.35 | | | $ | 58.94 | | | $ | 71.35 | | | $ | 64.80 | | | $ | 56.15 | | | $ | 46.06 | |
|
Total Return | | | 48.20 | % | | | (17.39 | %) | | | 10.11 | % | | | 17.88 | % | | | 23.56 | % | | | (0.60 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 36,911 | | | $ | 4,057 | | | $ | 49,090 | | | $ | 28,985 | | | $ | 17,716 | | | $ | 13,938 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.14 | %) | | | 0.46 | % | | | 0.44 | % | | | 0.30 | % | | | (0.15 | %) | | | (0.14 | %) |
Total expensesc | | | 1.64 | % | | | 1.62 | % | | | 1.61 | % | | | 1.52 | % | | | 1.52 | % | | | 1.51 | % |
Net expensesd | | | 1.62 | % | | | 1.61 | % | | | 1.61 | % | | | 1.52 | % | | | 1.52 | % | | | 1.51 | % |
Portfolio turnover rate | | | 552 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % | | | 1,288 | % | | | 619 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P 500® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 5.9% |
Microsoft Corp. | 5.0% |
Amazon.com, Inc. | 4.2% |
Facebook, Inc. — Class A | 2.0% |
Alphabet, Inc. — Class A | 1.4% |
Alphabet, Inc. — Class C | 1.4% |
Berkshire Hathaway, Inc. — Class B | 1.3% |
Johnson & Johnson | 1.2% |
Procter & Gamble Co. | 1.1% |
Visa, Inc. — Class A | 1.1% |
Top Ten Total | 24.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 30.08% | 12.97% | 12.17% | 11.83% |
A-Class Shares with sales charge‡ | 23.89% | 7.61% | 11.08% | 11.29% |
C-Class Shares | 29.61% | 12.15% | 11.33% | 10.98% |
C-Class Shares with CDSC§ | 28.61% | 11.15% | 11.33% | 10.98% |
H-Class Shares | 30.10% | 13.01% | 12.17% | 11.84% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.74% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 88.1% |
| | | | | | | | | |
Technology - 20.9% |
Apple, Inc. | | | 68,008 | | | $ | 7,876,006 | |
Microsoft Corp. | | | 32,013 | | | | 6,733,294 | |
NVIDIA Corp. | | | 2,611 | | | | 1,413,125 | |
Adobe, Inc.* | | | 2,029 | | | | 995,082 | |
salesforce.com, Inc.* | | | 3,850 | | | | 967,582 | |
Intel Corp. | | | 17,991 | | | | 931,574 | |
Broadcom, Inc. | | | 1,702 | | | | 620,073 | |
Accenture plc — Class A | | | 2,692 | | | | 608,365 | |
QUALCOMM, Inc. | | | 4,773 | | | | 561,687 | |
Texas Instruments, Inc. | | | 3,875 | | | | 553,311 | |
Oracle Corp. | | | 8,178 | | | | 488,227 | |
International Business Machines Corp. | | | 3,767 | | | | 458,331 | |
Advanced Micro Devices, Inc.* | | | 4,967 | | | | 407,244 | |
ServiceNow, Inc.* | | | 811 | | | | 393,335 | |
Fidelity National Information Services, Inc. | | | 2,621 | | | | 385,837 | |
Intuit, Inc. | | | 1,108 | | | | 361,441 | |
Activision Blizzard, Inc. | | | 3,265 | | | | 264,302 | |
Fiserv, Inc.* | | | 2,352 | | | | 242,374 | |
Applied Materials, Inc. | | | 3,864 | | | | 229,715 | |
Micron Technology, Inc.* | | | 4,700 | | | | 220,712 | |
Autodesk, Inc.* | | | 928 | | | | 214,377 | |
Lam Research Corp. | | | 617 | | | | 204,690 | |
Analog Devices, Inc. | | | 1,563 | | | | 182,465 | |
Electronic Arts, Inc.* | | | 1,222 | | | | 159,361 | |
Cognizant Technology Solutions Corp. — Class A | | | 2,294 | | | | 159,249 | |
Synopsys, Inc.* | | | 642 | | | | 137,375 | |
KLA Corp. | | | 658 | | | | 127,481 | |
MSCI, Inc. — Class A | | | 354 | | | | 126,300 | |
Cadence Design Systems, Inc.* | | | 1,179 | | | | 125,717 | |
ANSYS, Inc.* | | | 364 | | | | 119,112 | |
HP, Inc. | | | 5,810 | | | | 110,332 | |
Microchip Technology, Inc. | | | 1,069 | | | | 109,850 | |
Paychex, Inc. | | | 1,356 | | | | 108,168 | |
Xilinx, Inc. | | | 1,034 | | | | 107,784 | |
Skyworks Solutions, Inc. | | | 707 | | | | 102,869 | |
Cerner Corp. | | | 1,292 | | | | 93,399 | |
Take-Two Interactive Software, Inc.* | | | 485 | | | | 80,132 | |
Maxim Integrated Products, Inc. | | | 1,130 | | | | 76,399 | |
Akamai Technologies, Inc.* | | | 688 | | | | 76,052 | |
Citrix Systems, Inc. | | | 523 | | | | 72,022 | |
Fortinet, Inc.* | | | 568 | | | | 66,916 | |
Paycom Software, Inc.* | | | 208 | | | | 64,750 | |
Broadridge Financial Solutions, Inc. | | | 488 | | | | 64,416 | |
Qorvo, Inc.* | | | 484 | | | | 62,441 | |
Tyler Technologies, Inc.* | | | 172 | | | | 59,952 | |
Zebra Technologies Corp. — Class A* | | | 226 | | | | 57,056 | |
Teradyne, Inc. | | | 702 | | | | 55,781 | |
Jack Henry & Associates, Inc. | | | 325 | | | | 52,842 | |
Hewlett Packard Enterprise Co. | | | 5,442 | | | | 50,991 | |
Leidos Holdings, Inc. | | | 565 | | | | 50,370 | |
Western Digital Corp. | | | 1,280 | | | | 46,784 | |
Seagate Technology plc | | | 944 | | | | 46,511 | |
NetApp, Inc. | | | 940 | | | | 41,210 | |
IPG Photonics Corp.* | | | 151 | | | | 25,665 | |
DXC Technology Co. | | | 1,076 | | | | 19,207 | |
Xerox Holdings Corp. | | | 757 | | | | 14,209 | |
Total Technology | | | | | | | 27,983,852 | |
| | | | | | | | | |
Consumer, Non-cyclical - 19.4% |
Johnson & Johnson | | | 11,138 | | | | 1,658,226 | |
Procter & Gamble Co. | | | 10,532 | | | | 1,463,843 | |
UnitedHealth Group, Inc. | | | 4,020 | | | | 1,253,315 | |
PayPal Holdings, Inc.* | | | 4,963 | | | | 977,860 | |
Merck & Company, Inc. | | | 10,699 | | | | 887,482 | |
Pfizer, Inc. | | | 23,507 | | | | 862,707 | |
Abbott Laboratories | | | 7,490 | | | | 815,137 | |
PepsiCo, Inc. | | | 5,857 | | | | 811,780 | |
Coca-Cola Co. | | | 16,354 | | | | 807,397 | |
Thermo Fisher Scientific, Inc. | | | 1,674 | | | | 739,104 | |
AbbVie, Inc. | | | 7,466 | | | | 653,947 | |
Amgen, Inc. | | | 2,478 | | | | 629,809 | |
Medtronic plc | | | 5,686 | | | | 590,889 | |
Danaher Corp. | | | 2,671 | | | | 575,146 | |
Bristol-Myers Squibb Co. | | | 9,535 | | | | 574,865 | |
Eli Lilly & Co. | | | 3,358 | | | | 497,051 | |
Philip Morris International, Inc. | | | 6,588 | | | | 494,034 | |
S&P Global, Inc. | | | 1,019 | | | | 367,451 | |
Intuitive Surgical, Inc.* | | | 495 | | | | 351,222 | |
Mondelez International, Inc. — Class A | | | 6,042 | | | | 347,113 | |
Gilead Sciences, Inc. | | | 5,304 | | | | 335,160 | |
Zoetis, Inc. | | | 2,011 | | | | 332,559 | |
CVS Health Corp. | | | 5,536 | | | | 323,302 | |
Altria Group, Inc. | | | 7,862 | | | | 303,788 | |
Vertex Pharmaceuticals, Inc.* | | | 1,102 | | | | 299,876 | |
Stryker Corp. | | | 1,382 | | | | 287,967 | |
Anthem, Inc. | | | 1,064 | | | | 285,780 | |
Becton Dickinson and Co. | | | 1,226 | | | | 285,266 | |
Colgate-Palmolive Co. | | | 3,627 | | | | 279,823 | |
Cigna Corp. | | | 1,553 | | | | 263,094 | |
Automatic Data Processing, Inc. | | | 1,819 | | | | 253,732 | |
Regeneron Pharmaceuticals, Inc.* | | | 443 | | | | 247,983 | |
Humana, Inc. | | | 560 | | | | 231,778 | |
Boston Scientific Corp.* | | | 6,052 | | | | 231,247 | |
Global Payments, Inc. | | | 1,266 | | | | 224,816 | |
Kimberly-Clark Corp. | | | 1,443 | | | | 213,073 | |
Edwards Lifesciences Corp.* | | | 2,631 | | | | 210,006 | |
Estee Lauder Companies, Inc. — Class A | | | 954 | | | | 208,210 | |
Moody’s Corp. | | | 683 | | | | 197,968 | |
Illumina, Inc.* | | | 618 | | | | 191,011 | |
Biogen, Inc.* | | | 670 | | | | 190,066 | |
Baxter International, Inc. | | | 2,142 | | | | 172,260 | |
DexCom, Inc.* | | | 405 | | | | 166,953 | |
General Mills, Inc. | | | 2,584 | | | | 159,381 | |
Centene Corp.* | | | 2,451 | | | | 142,967 | |
IDEXX Laboratories, Inc.* | | | 360 | | | | 141,520 | |
HCA Healthcare, Inc. | | | 1,116 | | | | 139,143 | |
Constellation Brands, Inc. — Class A | | | 711 | | | | 134,742 | |
Sysco Corp. | | | 2,151 | | | | 133,835 | |
IQVIA Holdings, Inc.* | | | 809 | | | | 127,523 | |
Verisk Analytics, Inc. — Class A | | | 687 | | | | 127,308 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
Monster Beverage Corp.* | | | 1,562 | | | $ | 125,273 | |
IHS Markit Ltd. | | | 1,578 | | | | 123,889 | |
Cintas Corp. | | | 368 | | | | 122,481 | |
Zimmer Biomet Holdings, Inc. | | | 877 | | | | 119,395 | |
Clorox Co. | | | 534 | | | | 112,231 | |
Kroger Co. | | | 3,291 | | | | 111,598 | |
Archer-Daniels-Midland Co. | | | 2,351 | | | | 109,298 | |
Alexion Pharmaceuticals, Inc.* | | | 927 | | | | 106,077 | |
ResMed, Inc. | | | 613 | | | | 105,087 | |
McKesson Corp. | | | 686 | | | | 102,166 | |
McCormick & Company, Inc. | | | 524 | | | | 101,708 | |
Align Technology, Inc.* | | | 303 | | | | 99,190 | |
Church & Dwight Company, Inc. | | | 1,046 | | | | 98,021 | |
Corteva, Inc. | | | 3,167 | | | | 91,241 | |
Hershey Co. | | | 624 | | | | 89,444 | |
West Pharmaceutical Services, Inc. | | | 313 | | | | 86,044 | |
FleetCor Technologies, Inc.* | | | 356 | | | | 84,764 | |
Kraft Heinz Co. | | | 2,741 | | | | 82,093 | |
Equifax, Inc. | | | 515 | | | | 80,803 | |
Laboratory Corporation of America Holdings* | | | 412 | | | | 77,567 | |
MarketAxess Holdings, Inc. | | | 161 | | | | 77,536 | |
Tyson Foods, Inc. — Class A | | | 1,245 | | | | 74,053 | |
Conagra Brands, Inc. | | | 2,066 | | | | 73,777 | |
Hologic, Inc.* | | | 1,097 | | | | 72,918 | |
Incyte Corp.* | | | 787 | | | | 70,625 | |
Cooper Companies, Inc. | | | 208 | | | | 70,121 | |
Kellogg Co. | | | 1,073 | | | | 69,305 | |
Teleflex, Inc. | | | 197 | | | | 67,063 | |
Varian Medical Systems, Inc.* | | | 386 | | | | 66,392 | |
Quest Diagnostics, Inc. | | | 568 | | | | 65,030 | |
STERIS plc | | | 360 | | | | 63,428 | |
AmerisourceBergen Corp. — Class A | | | 622 | | | | 60,284 | |
Catalent, Inc.* | | | 694 | | | | 59,448 | |
Brown-Forman Corp. — Class B | | | 772 | | | | 58,147 | |
Cardinal Health, Inc. | | | 1,238 | | | | 58,124 | |
Hormel Foods Corp. | | | 1,187 | | | | 58,033 | |
JM Smucker Co. | | | 483 | | | | 55,796 | |
United Rentals, Inc.* | | | 305 | | | | 53,223 | |
ABIOMED, Inc.* | | | 191 | | | | 52,918 | |
Gartner, Inc.* | | | 377 | | | | 47,106 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 90 | | | | 46,391 | |
Avery Dennison Corp. | | | 353 | | | | 45,127 | |
Campbell Soup Co. | | | 857 | | | | 41,453 | |
Lamb Weston Holdings, Inc. | | | 615 | | | | 40,756 | |
Dentsply Sirona, Inc. | | | 925 | | | | 40,450 | |
Henry Schein, Inc.* | | | 605 | | | | 35,562 | |
Universal Health Services, Inc. — Class B | | | 329 | | | | 35,210 | |
Rollins, Inc. | | | 624 | | | | 33,815 | |
Mylan N.V.* | | | 2,187 | | | | 32,433 | |
Quanta Services, Inc. | | | 584 | | | | 30,870 | |
DaVita, Inc.* | | | 356 | | | | 30,491 | |
Molson Coors Beverage Co. — Class B | | | 797 | | | | 26,747 | |
Perrigo Company plc | | | 577 | | | | 26,490 | |
Robert Half International, Inc. | | | 485 | | | | 25,676 | |
Nielsen Holdings plc | | | 1,509 | | | | 21,398 | |
| | | | | | | | 26,015,081 | |
Communications - 14.7% |
Amazon.com, Inc.* | | | 1,801 | | | | 5,670,863 | |
Facebook, Inc. — Class A* | | | 10,171 | | | | 2,663,785 | |
Alphabet, Inc. — Class A* | | | 1,271 | | | | 1,862,778 | |
Alphabet, Inc. — Class C* | | | 1,242 | | | | 1,825,243 | |
Verizon Communications, Inc. | | | 17,505 | | | | 1,041,372 | |
Walt Disney Co. | | | 7,644 | | | | 948,467 | |
Netflix, Inc.* | | | 1,866 | | | | 933,056 | |
Comcast Corp. — Class A | | | 19,284 | | | | 892,078 | |
AT&T, Inc. | | | 30,141 | | | | 859,320 | |
Cisco Systems, Inc. | | | 17,909 | | | | 705,435 | |
Charter Communications, Inc. — Class A* | | | 633 | | | | 395,207 | |
Booking Holdings, Inc.* | | | 174 | | | | 297,658 | |
T-Mobile US, Inc.* | | | 2,461 | | | | 281,440 | |
Twitter, Inc.* | | | 3,346 | | | | 148,897 | |
eBay, Inc. | | | 2,813 | | | | 146,557 | |
Motorola Solutions, Inc. | | | 718 | | | | 112,590 | |
Corning, Inc. | | | 3,219 | | | | 104,328 | |
VeriSign, Inc.* | | | 428 | | | | 87,676 | |
CDW Corp. | | | 604 | | | | 72,196 | |
ViacomCBS, Inc. — Class B | | | 2,385 | | | | 66,804 | |
Etsy, Inc.* | | | 505 | | | | 61,423 | |
Expedia Group, Inc. | | | 574 | | | | 52,630 | |
NortonLifeLock, Inc. | | | 2,500 | | | | 52,100 | |
Arista Networks, Inc.* | | | 232 | | | | 48,008 | |
E*TRADE Financial Corp. | | | 936 | | | | 46,847 | |
Omnicom Group, Inc. | | | 909 | | | | 44,996 | |
CenturyLink, Inc. | | | 4,179 | | | | 42,166 | |
Fox Corp. — Class A | | | 1,454 | | | | 40,465 | |
F5 Networks, Inc.* | | | 259 | | | | 31,798 | |
DISH Network Corp. — Class A* | | | 1,044 | | | | 30,307 | |
Juniper Networks, Inc. | | | 1,404 | | | | 30,186 | |
Interpublic Group of Companies, Inc. | | | 1,650 | | | | 27,505 | |
Discovery, Inc. — Class C* | �� | | 1,310 | | | | 25,676 | |
News Corp. — Class A | | | 1,646 | | | | 23,077 | |
Fox Corp. — Class B | | | 663 | | | | 18,544 | |
Discovery, Inc. — Class A*,1 | | | 678 | | | | 14,760 | |
News Corp. — Class B | | | 516 | | | | 7,214 | |
Total Communications | | | | | | | 19,713,452 | |
| | | | | | | | | |
Financial - 12.3% |
Berkshire Hathaway, Inc. — Class B* | | | 8,385 | | | | 1,785,502 | |
Visa, Inc. — Class A | | | 7,132 | | | | 1,426,186 | |
Mastercard, Inc. — Class A | | | 3,737 | | | | 1,263,741 | |
JPMorgan Chase & Co. | | | 12,892 | | | | 1,241,113 | |
Bank of America Corp. | | | 32,253 | | | | 776,975 | |
American Tower Corp. — Class A REIT | | | 1,877 | | | | 453,727 | |
Wells Fargo & Co. | | | 17,429 | | | | 409,756 | |
Citigroup, Inc. | | | 8,807 | | | | 379,670 | |
BlackRock, Inc. — Class A | | | 600 | | | | 338,130 | |
Prologis, Inc. REIT | | | 3,125 | | | | 314,437 | |
Crown Castle International Corp. REIT | | | 1,775 | | | | 295,537 | |
Goldman Sachs Group, Inc. | | | 1,456 | | | | 292,612 | |
Equinix, Inc. REIT | | | 375 | | | | 285,049 | |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
American Express Co. | | | 2,759 | | | $ | 276,590 | |
CME Group, Inc. — Class A | | | 1,517 | | | | 253,809 | |
Marsh & McLennan Companies, Inc. | | | 2,143 | | | | 245,802 | |
Morgan Stanley | | | 5,070 | | | | 245,134 | |
Intercontinental Exchange, Inc. | | | 2,374 | | | | 237,519 | |
Progressive Corp. | | | 2,477 | | | | 234,497 | |
Chubb Ltd. | | | 1,909 | | | | 221,673 | |
Truist Financial Corp. | | | 5,701 | | | | 216,923 | |
U.S. Bancorp | | | 5,799 | | | | 207,894 | |
Aon plc — Class A | | | 980 | | | | 202,174 | |
PNC Financial Services Group, Inc. | | | 1,796 | | | | 197,398 | |
Charles Schwab Corp. | | | 4,907 | | | | 177,781 | |
Digital Realty Trust, Inc. REIT | | | 1,139 | | | | 167,160 | |
SBA Communications Corp. REIT | | | 474 | | | | 150,959 | |
Public Storage REIT | | | 643 | | | | 143,209 | |
Capital One Financial Corp. | | | 1,932 | | | | 138,834 | |
Allstate Corp. | | | 1,322 | | | | 124,453 | |
T. Rowe Price Group, Inc. | | | 960 | | | | 123,091 | |
MetLife, Inc. | | | 3,264 | | | | 121,323 | |
Bank of New York Mellon Corp. | | | 3,448 | | | | 118,404 | |
Travelers Companies, Inc. | | | 1,071 | | | | 115,871 | |
Willis Towers Watson plc | | | 545 | | | | 113,807 | |
Prudential Financial, Inc. | | | 1,671 | | | | 106,142 | |
Aflac, Inc. | | | 2,805 | | | | 101,962 | |
American International Group, Inc. | | | 3,645 | | | | 100,347 | |
Welltower, Inc. REIT | | | 1,765 | | | | 97,234 | |
Weyerhaeuser Co. REIT | | | 3,157 | | | | 90,038 | |
AvalonBay Communities, Inc. REIT | | | 596 | | | | 89,007 | |
Realty Income Corp. REIT | | | 1,460 | | | | 88,695 | |
State Street Corp. | | | 1,491 | | | | 88,461 | |
Arthur J Gallagher & Co. | | | 810 | | | | 85,520 | |
Simon Property Group, Inc. REIT | | | 1,294 | | | | 83,696 | |
First Republic Bank | | | 729 | | | | 79,505 | |
Alexandria Real Estate Equities, Inc. REIT | | | 496 | | | | 79,360 | |
Ameriprise Financial, Inc. | | | 509 | | | | 78,442 | |
Discover Financial Services | | | 1,296 | | | | 74,883 | |
Equity Residential REIT | | | 1,449 | | | | 74,377 | |
Northern Trust Corp. | | | 881 | | | | 68,692 | |
CBRE Group, Inc. — Class A* | | | 1,418 | | | | 66,603 | |
Ventas, Inc. REIT | | | 1,578 | | | | 66,213 | |
Fifth Third Bancorp | | | 3,013 | | | | 64,237 | |
Healthpeak Properties, Inc. REIT | | | 2,277 | | | | 61,821 | |
Synchrony Financial | | | 2,297 | | | | 60,112 | |
Nasdaq, Inc. | | | 487 | | | | 59,760 | |
Extra Space Storage, Inc. REIT | | | 546 | | | | 58,416 | |
Duke Realty Corp. REIT | | | 1,568 | | | | 57,859 | |
Mid-America Apartment Communities, Inc. REIT | | | 484 | | | | 56,120 | |
Hartford Financial Services Group, Inc. | | | 1,515 | | | | 55,843 | |
Essex Property Trust, Inc. REIT | | | 276 | | | | 55,418 | |
SVB Financial Group* | | | 220 | | | | 52,936 | |
M&T Bank Corp. | | | 543 | | | | 50,005 | |
Cincinnati Financial Corp. | | | 633 | | | | 49,355 | |
KeyCorp | | | 4,129 | | | | 49,259 | |
Boston Properties, Inc. REIT | | | 600 | | | | 48,180 | |
Regions Financial Corp. | | | 4,062 | | | | 46,835 | |
Citizens Financial Group, Inc. | | | 1,806 | | | | 45,656 | |
Principal Financial Group, Inc. | | | 1,080 | | | | 43,492 | |
UDR, Inc. REIT | | | 1,248 | | | | 40,697 | |
Cboe Global Markets, Inc. | | | 461 | | | | 40,448 | |
Huntington Bancshares, Inc. | | | 4,304 | | | | 39,468 | |
Raymond James Financial, Inc. | | | 516 | | | | 37,544 | |
Western Union Co. | | | 1,739 | | | | 37,267 | |
W R Berkley Corp. | | | 595 | | | | 36,384 | |
Loews Corp. | | | 1,008 | | | | 35,028 | |
Everest Re Group Ltd. | | | 169 | | | | 33,384 | |
Globe Life, Inc. | | | 415 | | | | 33,158 | |
Iron Mountain, Inc. REIT | | | 1,219 | | | | 32,657 | |
Host Hotels & Resorts, Inc. REIT | | | 2,983 | | | | 32,187 | |
Assurant, Inc. | | | 252 | | | | 30,570 | |
Regency Centers Corp. REIT | | | 669 | | | | 25,435 | |
Lincoln National Corp. | | | 769 | | | | 24,093 | |
Franklin Resources, Inc. | | | 1,132 | | | | 23,036 | |
Comerica, Inc. | | | 588 | | | | 22,491 | |
Vornado Realty Trust REIT | | | 663 | | | | 22,350 | |
Federal Realty Investment Trust REIT | | | 292 | | | | 21,444 | |
Apartment Investment and Management Co. — Class A REIT | | | 630 | | | | 21,244 | |
Kimco Realty Corp. REIT | | | 1,830 | | | | 20,606 | |
Zions Bancorp North America | | | 695 | | | | 20,308 | |
People’s United Financial, Inc. | | | 1,797 | | | | 18,527 | |
Invesco Ltd. | | | 1,593 | | | | 18,176 | |
Unum Group | | | 861 | | | | 14,491 | |
SL Green Realty Corp. REIT1 | | | 310 | | | | 14,375 | |
Total Financial | | | | | | | 16,426,589 | |
| | | | | | | | | |
Consumer, Cyclical - 7.3% |
Home Depot, Inc. | | | 4,554 | | | | 1,264,691 | |
Walmart, Inc. | | | 5,874 | | | | 821,831 | |
McDonald’s Corp. | | | 3,148 | | | | 690,955 | |
Costco Wholesale Corp. | | | 1,868 | | | | 663,140 | |
NIKE, Inc. — Class B | | | 5,266 | | | | 661,094 | |
Lowe’s Companies, Inc. | | | 3,197 | | | | 530,254 | |
Starbucks Corp. | | | 4,945 | | | | 424,874 | |
Target Corp. | | | 2,118 | | | | 333,416 | |
TJX Companies, Inc. | | | 5,072 | | | | 282,257 | |
Dollar General Corp. | | | 1,054 | | | | 220,940 | |
General Motors Co. | | | 5,327 | | | | 157,626 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 118 | | | | 146,758 | |
O’Reilly Automotive, Inc.* | | | 314 | | | | 144,779 | |
Ross Stores, Inc. | | | 1,506 | | | | 140,540 | |
Cummins, Inc. | | | 625 | | | | 131,975 | |
PACCAR, Inc. | | | 1,465 | | | | 124,935 | |
Yum! Brands, Inc. | | | 1,277 | | | | 116,590 | |
AutoZone, Inc.* | | | 99 | | | | 116,586 | |
Ford Motor Co. | | | 16,530 | | | | 110,090 | |
Fastenal Co. | | | 2,427 | | | | 109,434 | |
Walgreens Boots Alliance, Inc. | | | 3,043 | | | | 109,305 | |
Best Buy Company, Inc. | | | 975 | | | | 108,508 | |
DR Horton, Inc. | | | 1,401 | | | | 105,957 | |
Aptiv plc | | | 1,142 | | | | 104,698 | |
Marriott International, Inc. — Class A | | | 1,126 | | | | 104,245 | |
Hilton Worldwide Holdings, Inc. | | | 1,173 | | | | 100,080 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
VF Corp. | | | 1,352 | | | $ | 94,978 | |
Lennar Corp. — Class A | | | 1,162 | | | | 94,912 | |
Southwest Airlines Co. | | | 2,495 | | | | 93,563 | |
Copart, Inc.* | | | 874 | | | | 91,910 | |
Dollar Tree, Inc.* | | | 1,004 | | | | 91,705 | |
Delta Air Lines, Inc. | | | 2,698 | | | | 82,505 | |
Domino’s Pizza, Inc. | | | 167 | | | | 71,022 | |
Tractor Supply Co. | | | 492 | | | | 70,523 | |
WW Grainger, Inc. | | | 191 | | | | 68,143 | |
Las Vegas Sands Corp. | | | 1,390 | | | | 64,858 | |
CarMax, Inc.* | | | 690 | | | | 63,418 | |
NVR, Inc.* | | | 15 | | | | 61,247 | |
Genuine Parts Co. | | | 610 | | | | 58,054 | |
Darden Restaurants, Inc. | | | 550 | | | | 55,407 | |
Ulta Beauty, Inc.* | | | 240 | | | | 53,755 | |
Tiffany & Co. | | | 457 | | | | 52,943 | |
PulteGroup, Inc. | | | 1,134 | | | | 52,493 | |
Royal Caribbean Cruises Ltd. | | | 754 | | | | 48,807 | |
Whirlpool Corp. | | | 264 | | | | 48,547 | |
Advance Auto Parts, Inc. | | | 292 | | | | 44,822 | |
Hasbro, Inc. | | | 541 | | | | 44,752 | |
United Airlines Holdings, Inc.* | | | 1,231 | | | | 42,777 | |
MGM Resorts International | | | 1,732 | | | | 37,671 | |
BorgWarner, Inc. | | | 878 | | | | 34,014 | |
Carnival Corp.1 | | | 2,191 | | | | 33,259 | |
LKQ Corp.* | | | 1,184 | | | | 32,832 | |
Live Nation Entertainment, Inc.* | | | 602 | | | | 32,436 | |
L Brands, Inc. | | | 988 | | | | 31,428 | |
Wynn Resorts Ltd. | | | 411 | | | | 29,514 | |
Newell Brands, Inc. | | | 1,597 | | | | 27,405 | |
American Airlines Group, Inc.1 | | | 2,151 | | | | 26,436 | |
Mohawk Industries, Inc.* | | | 253 | | | | 24,690 | |
Hanesbrands, Inc. | | | 1,473 | | | | 23,200 | |
Leggett & Platt, Inc. | | | 560 | | | | 23,055 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 1,166 | | | | 19,950 | |
Alaska Air Group, Inc. | | | 523 | | | | 19,157 | |
Tapestry, Inc. | | | 1,169 | | | | 18,271 | |
PVH Corp. | | | 300 | | | | 17,892 | |
Gap, Inc. | | | 869 | | | | 14,799 | |
Ralph Lauren Corp. — Class A | | | 204 | | | | 13,866 | |
Under Armour, Inc. — Class A* | | | 798 | | | | 8,961 | |
Under Armour, Inc. — Class C* | | | 824 | | | | 8,108 | |
Total Consumer, Cyclical | | | | | | | 9,753,643 | |
| | | | | | | | | |
Industrial - 7.2% |
Union Pacific Corp. | | | 2,872 | | | | 565,411 | |
United Parcel Service, Inc. — Class B | | | 2,991 | | | | 498,390 | |
Honeywell International, Inc. | | | 2,969 | | | | 488,727 | |
Lockheed Martin Corp. | | | 1,041 | | | | 398,994 | |
3M Co. | | | 2,437 | | | | 390,359 | |
Raytheon Technologies Corp. | | | 6,462 | | | | 371,823 | |
Boeing Co. | | | 2,245 | | | | 371,009 | |
Caterpillar, Inc. | | | 2,291 | | | | 341,703 | |
Deere & Co. | | | 1,326 | | | | 293,881 | |
FedEx Corp. | | | 1,020 | | | | 256,550 | |
CSX Corp. | | | 3,236 | | | | 251,340 | |
Illinois Tool Works, Inc. | | | 1,217 | | | | 235,136 | |
Norfolk Southern Corp. | | | 1,079 | | | | 230,895 | |
General Electric Co. | | | 37,029 | | | | 230,691 | |
Northrop Grumman Corp. | | | 656 | | | | 206,961 | |
Waste Management, Inc. | | | 1,644 | | | | 186,051 | |
Roper Technologies, Inc. | | | 444 | | | | 175,429 | |
Eaton Corporation plc | | | 1,693 | | | | 172,737 | |
Emerson Electric Co. | | | 2,528 | | | | 165,761 | |
L3Harris Technologies, Inc. | | | 915 | | | | 155,404 | |
Amphenol Corp. — Class A | | | 1,262 | | | | 136,637 | |
TE Connectivity Ltd. | | | 1,397 | | | | 136,543 | |
General Dynamics Corp. | | | 983 | | | | 136,077 | |
Agilent Technologies, Inc. | | | 1,305 | | | | 131,727 | |
Johnson Controls International plc | | | 3,148 | | | | 128,596 | |
Trane Technologies plc | | | 1,014 | | | | 122,947 | |
Ball Corp. | | | 1,382 | | | | 114,872 | |
Parker-Hannifin Corp. | | | 544 | | | | 110,073 | |
Stanley Black & Decker, Inc. | | | 676 | | | | 109,647 | |
TransDigm Group, Inc. | | | 229 | | | | 108,803 | |
Fortive Corp. | | | 1,427 | | | | 108,752 | |
Rockwell Automation, Inc. | | | 491 | | | | 108,354 | |
Otis Worldwide Corp. | | | 1,722 | | | | 107,487 | |
Carrier Global Corp. | | | 3,445 | | | | 105,210 | |
Mettler-Toledo International, Inc.* | | | 101 | | | | 97,541 | |
AMETEK, Inc. | | | 971 | | | | 96,517 | |
Republic Services, Inc. — Class A | | | 889 | | | | 82,988 | |
Keysight Technologies, Inc.* | | | 793 | | | | 78,332 | |
Vulcan Materials Co. | | | 561 | | | | 76,038 | |
Old Dominion Freight Line, Inc. | | | 407 | | | | 73,635 | |
Amcor plc | | | 6,635 | | | | 73,317 | |
Kansas City Southern | | | 399 | | | | 72,151 | |
Dover Corp. | | | 609 | | | | 65,979 | |
Expeditors International of Washington, Inc. | | | 709 | | | | 64,179 | |
Xylem, Inc. | | | 762 | | | | 64,100 | |
Martin Marietta Materials, Inc. | | | 264 | | | | 62,135 | |
Masco Corp. | | | 1,106 | | | | 60,974 | |
Garmin Ltd. | | | 632 | | | | 59,951 | |
PerkinElmer, Inc. | | | 473 | | | | 59,366 | |
IDEX Corp. | | | 320 | | | | 58,371 | |
CH Robinson Worldwide, Inc. | | | 570 | | | | 58,248 | |
Ingersoll Rand, Inc.* | | | 1,570 | | | | 55,892 | |
Waters Corp.* | | | 262 | | | | 51,268 | |
Jacobs Engineering Group, Inc. | | | 551 | | | | 51,116 | |
Fortune Brands Home & Security, Inc. | | | 585 | | | | 50,614 | |
Teledyne Technologies, Inc.* | | | 156 | | | | 48,393 | |
Westinghouse Air Brake Technologies Corp. | | | 757 | | | | 46,843 | |
J.B. Hunt Transport Services, Inc. | | | 353 | | | | 44,612 | |
Packaging Corporation of America | | | 401 | | | | 43,729 | |
Allegion plc | | | 390 | | | | 38,575 | |
Westrock Co. | | | 1,099 | | | | 38,179 | |
Textron, Inc. | | | 965 | | | | 34,827 | |
Snap-on, Inc. | | | 231 | | | | 33,987 | |
Pentair plc | | | 702 | | | | 32,131 | |
A O Smith Corp. | | | 573 | | | | 30,254 | |
Howmet Aerospace, Inc.* | | | 1,661 | | | | 27,772 | |
Sealed Air Corp. | | | 659 | | | | 25,576 | |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
Huntington Ingalls Industries, Inc. | | | 173 | | | | 24,350 | |
FLIR Systems, Inc. | | | 555 | | | | 19,897 | |
Flowserve Corp. | | | 551 | | | | 15,037 | |
Total Industrial | | | | | | | 9,569,851 | |
| | | | | | | | | |
Utilities - 2.6% |
NextEra Energy, Inc. | | | 2,071 | | | | 574,827 | |
Dominion Energy, Inc. | | | 3,554 | | | | 280,517 | |
Duke Energy Corp. | | | 3,111 | | | | 275,510 | |
Southern Co. | | | 4,468 | | | | 242,255 | |
American Electric Power Company, Inc. | | | 2,099 | | | | 171,551 | |
Xcel Energy, Inc. | | | 2,222 | | | | 153,340 | |
Exelon Corp. | | | 4,122 | | | | 147,403 | |
Sempra Energy | | | 1,224 | | | | 144,873 | |
WEC Energy Group, Inc. | | | 1,334 | | | | 129,265 | |
Eversource Energy | | | 1,450 | | | | 121,147 | |
Public Service Enterprise Group, Inc. | | | 2,139 | | | | 117,452 | |
American Water Works Company, Inc. | | | 767 | | | | 111,123 | |
Consolidated Edison, Inc. | | | 1,415 | | | | 110,087 | |
DTE Energy Co. | | | 815 | | | | 93,758 | |
PPL Corp. | | | 3,252 | | | | 88,487 | |
Entergy Corp. | | | 847 | | | | 83,455 | |
Ameren Corp. | | | 1,045 | | | | 82,639 | |
Edison International | | | 1,600 | | | | 81,344 | |
CMS Energy Corp. | | | 1,211 | | | | 74,367 | |
FirstEnergy Corp. | | | 2,294 | | | | 65,861 | |
Alliant Energy Corp. | | | 1,057 | | | | 54,594 | |
AES Corp. | | | 2,814 | | | | 50,962 | |
Atmos Energy Corp. | | | 522 | | | | 49,898 | |
Evergy, Inc. | | | 960 | | | | 48,787 | |
CenterPoint Energy, Inc. | | | 2,305 | | | | 44,602 | |
NiSource, Inc. | | | 1,621 | | | | 35,662 | |
Pinnacle West Capital Corp. | | | 478 | | | | 35,635 | |
NRG Energy, Inc. | | | 1,033 | | | | 31,754 | |
Total Utilities | | | | | | | 3,501,155 | |
| | | | | | | | | |
Basic Materials - 1.9% |
Linde plc | | | 2,222 | | | | 529,125 | |
Air Products & Chemicals, Inc. | | | 934 | | | | 278,201 | |
Sherwin-Williams Co. | | | 347 | | | | 241,769 | |
Newmont Corp. | | | 3,397 | | | | 215,540 | |
Ecolab, Inc. | | | 1,050 | | | | 209,832 | |
DuPont de Nemours, Inc. | | | 3,104 | | | | 172,210 | |
Dow, Inc. | | | 3,135 | | | | 147,502 | |
PPG Industries, Inc. | | | 998 | | | | 121,836 | |
Freeport-McMoRan, Inc. | | | 6,143 | | | | 96,076 | |
LyondellBasell Industries N.V. — Class A | | | 1,087 | | | | 76,623 | |
International Paper Co. | | | 1,663 | | | | 67,418 | |
FMC Corp. | | | 549 | | | | 58,144 | |
Nucor Corp. | | | 1,278 | | | | 57,331 | |
International Flavors & Fragrances, Inc.1 | | | 453 | | | | 55,470 | |
Celanese Corp. — Class A | | | 500 | | | | 53,725 | |
Eastman Chemical Co. | | | 573 | | | | 44,763 | |
Albemarle Corp. | | | 451 | | | | 40,265 | |
CF Industries Holdings, Inc. | | | 905 | | | | 27,792 | |
Mosaic Co. | | | 1,459 | | | | 26,656 | |
Total Basic Materials | | | | | | | 2,520,278 | |
Energy - 1.8% |
Exxon Mobil Corp. | | | 17,887 | | | | 614,061 | |
Chevron Corp. | | | 7,899 | | | | 568,728 | |
ConocoPhillips | | | 4,537 | | | | 148,995 | |
Kinder Morgan, Inc. | | | 8,235 | | | | 101,538 | |
Williams Companies, Inc. | | | 5,134 | | | | 100,883 | |
Phillips 66 | | | 1,847 | | | | 95,748 | |
Schlumberger Ltd. | | | 5,872 | | | | 91,368 | |
EOG Resources, Inc. | | | 2,463 | | | | 88,520 | |
Marathon Petroleum Corp. | | | 2,753 | | | | 80,773 | |
Valero Energy Corp. | | | 1,725 | | | | 74,727 | |
Pioneer Natural Resources Co. | | | 696 | | | | 59,849 | |
ONEOK, Inc. | | | 1,879 | | | | 48,816 | |
Hess Corp. | | | 1,156 | | | | 47,315 | |
Halliburton Co. | | | 3,716 | | | | 44,778 | |
Baker Hughes Co. | | | 2,777 | | | | 36,906 | |
Concho Resources, Inc. | | | 833 | | | | 36,752 | |
Occidental Petroleum Corp. | | | 3,541 | | | | 35,445 | |
Cabot Oil & Gas Corp. — Class A | | | 1,686 | | | | 29,269 | |
Diamondback Energy, Inc. | | | 669 | | | | 20,150 | |
Noble Energy, Inc. | | | 2,050 | | | | 17,528 | |
Devon Energy Corp. | | | 1,619 | | | | 15,316 | |
Apache Corp. | | | 1,597 | | | | 15,124 | |
National Oilwell Varco, Inc. | | | 1,643 | | | | 14,886 | |
Marathon Oil Corp. | | | 3,340 | | | | 13,661 | |
HollyFrontier Corp. | | | 631 | | | | 12,437 | |
TechnipFMC plc | | | 1,787 | | | | 11,276 | |
Total Energy | | | | | | | 2,424,849 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $82,487,744) | | | | | | | 117,908,750 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 0.1% |
U.S. Treasury Bills |
0.08% due 10/29/202,3 | | $ | 100,000 | | | | 99,993 | |
Total U.S. Treasury Bills | | | | |
(Cost $99,994) | | | | | | | 99,993 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 11.2% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/202 | | | 8,386,630 | | | | 8,386,630 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 3,490,749 | | | | 3,490,749 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 3,176,582 | | | | 3,176,582 | |
Total Repurchase Agreements | | | | |
(Cost $15,053,961) | | | | | | | 15,053,961 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P 500® FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,5 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%6 | | | 124,846 | | | $ | 124,846 | |
Total Securities Lending Collateral | | | | |
(Cost $124,846) | | | | | | | 124,846 | |
| | | | | | | | | |
Total Investments - 99.5% | | | | |
(Cost $97,766,545) | | $ | 133,187,550 | |
Other Assets & Liabilities, net - 0.5% | | | 656,828 | |
Total Net Assets - 100.0% | | $ | 133,844,378 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 55 | | | | Dec 2020 | | | $ | 9,211,813 | | | $ | 72,023 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | S&P 500 Index | 0.55% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 11/19/20 | | | | 1,960 | | | $ | 6,592,650 | | | $ | 13,406 | |
BNP Paribas | S&P 500 Index | 0.69% (1 Month USD LIBOR + 0.55%) | At Maturity | | | 11/18/20 | | | | 61 | | | | 206,266 | | | | 7,731 | |
Barclays Bank plc | S&P 500 Index | 0.55% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 11/17/20 | | | | 150 | | | | 503,060 | | | | 1,705 | |
| | | | | | | | | | | | | | $ | 7,301,976 | | | $ | 22,842 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | Securities lending collateral — See Note 7. |
6 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P 500® FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 117,908,750 | | | $ | — | | | $ | — | | | $ | 117,908,750 | |
U.S. Treasury Bills | | | — | | | | 99,993 | | | | — | | | | 99,993 | |
Repurchase Agreements | | | — | | | | 15,053,961 | | | | — | | | | 15,053,961 | |
Securities Lending Collateral | | | 124,846 | | | | — | | | | — | | | | 124,846 | |
Equity Futures Contracts** | | | 72,023 | | | | — | | | | — | | | | 72,023 | |
Equity Index Swap Agreements** | | | — | | | | 22,842 | | | | — | | | | 22,842 | |
Total Assets | | $ | 118,105,619 | | | $ | 15,176,796 | | | $ | — | | | $ | 133,282,415 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $123,046 of securities loaned (cost $82,712,584) | | $ | 118,133,589 | |
Repurchase agreements, at value (cost $15,053,961) | | | 15,053,961 | |
Cash | | | 1,259 | |
Segregated cash with broker | | | 700,010 | |
Unrealized appreciation on OTC swap agreements | | | 22,842 | |
Receivables: |
Fund shares sold | | | 489,358 | |
Dividends | | | 92,672 | |
Variation margin on futures contracts | | | 44,137 | |
Securities lending income | | | 26 | |
Interest | | | 25 | |
Total assets | | | 134,537,879 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 219,830 | |
Return of securities lending collateral | | | 124,846 | |
Management fees | | | 88,391 | |
Registration fees | | | 76,624 | |
Distribution and service fees | | | 35,632 | |
Transfer agent and administrative fees | | | 31,697 | |
Portfolio accounting fees | | | 17,676 | |
Swap settlement | | | 4,003 | |
Trustees’ fees* | | | 2,389 | |
Miscellaneous | | | 92,413 | |
Total liabilities | | | 693,501 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 133,844,378 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 94,073,593 | |
Total distributable earnings (loss) | | | 39,770,785 | |
Net assets | | $ | 133,844,378 | |
| | | | | |
A-Class: |
Net assets | | $ | 15,716,332 | |
Capital shares outstanding | | | 259,033 | |
Net asset value per share | | $ | 60.67 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 63.70 | |
| | | | | |
C-Class: |
Net assets | | $ | 10,070,332 | |
Capital shares outstanding | | | 187,798 | |
Net asset value per share | | $ | 53.62 | |
| | | | | |
H-Class: |
Net assets | | $ | 108,057,714 | |
Capital shares outstanding | | | 1,780,860 | |
Net asset value per share | | $ | 60.68 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 1,183,589 | |
Interest | | | 5,450 | |
Income from securities lending, net | | | 745 | |
Total investment income | | | 1,189,784 | |
| | | | | |
Expenses: |
Management fees | | | 545,630 | |
Distribution and service fees: |
A-Class | | | 19,606 | |
C-Class | | | 50,464 | |
H-Class | | | 149,655 | |
Transfer agent and administrative fees | | | 205,815 | |
Portfolio accounting fees | | | 109,112 | |
Registration fees | | | 80,078 | |
Professional fees | | | 51,283 | |
Custodian fees | | | 10,352 | |
Trustees’ fees* | | | 3,483 | |
Miscellaneous | | | 44,049 | |
Total expenses | | | 1,269,527 | |
Net investment loss | | | (79,743 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,530,390 | |
Swap agreements | | | 229,056 | |
Futures contracts | | | 2,019,623 | |
Net realized gain | | | 3,779,069 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 25,901,295 | |
Swap agreements | | | 662,049 | |
Futures contracts | | | (722,063 | ) |
Net change in unrealized appreciation (depreciation) | | | 25,841,281 | |
Net realized and unrealized gain | | | 29,620,350 | |
Net increase in net assets resulting from operations | | $ | 29,540,607 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (79,743 | ) | | $ | 303,913 | |
Net realized gain on investments | | | 3,779,069 | | | | 28,531,508 | |
Net change in unrealized appreciation (depreciation) on investments | | | 25,841,281 | | | | (30,796,646 | ) |
Net increase (decrease) in net assets resulting from operations | | | 29,540,607 | | | | (1,961,225 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (170,248 | ) |
C-Class | | | — | | | | (224,547 | ) |
H-Class | | | — | | | | (1,236,817 | ) |
Total distributions to shareholders | | | — | | | | (1,631,612 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 27,019,287 | | | | 87,906,591 | |
C-Class | | | 3,892,394 | | | | 29,691,610 | |
H-Class | | | 424,327,434 | | | | 769,142,083 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 161,590 | |
C-Class | | | — | | | | 215,561 | |
H-Class | | | — | | | | 1,225,304 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (28,160,374 | ) | | | (95,911,253 | ) |
C-Class | | | (5,354,524 | ) | | | (34,726,021 | ) |
H-Class | | | (451,998,905 | ) | | | (774,454,754 | ) |
Net decrease from capital share transactions | | | (30,274,688 | ) | | | (16,749,289 | ) |
Net decrease in net assets | | | (734,081 | ) | | | (20,342,126 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 134,578,459 | | | | 154,920,585 | |
End of period | | $ | 133,844,378 | | | $ | 134,578,459 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 477,507 | | | | 1,691,515 | |
C-Class | | | 81,456 | | | | 615,341 | |
H-Class | | | 7,737,331 | | | | 14,338,970 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 2,804 | |
C-Class | | | — | | | | 4,209 | |
H-Class | | | — | | | | 21,273 | |
Shares redeemed | | | | | | | | |
A-Class | | | (492,896 | ) | | | (1,813,839 | ) |
C-Class | | | (110,754 | ) | | | (718,973 | ) |
H-Class | | | (8,375,223 | ) | | | (14,269,930 | ) |
Net decrease in shares | | | (682,579 | ) | | | (128,630 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.64 | | | $ | 51.55 | | | $ | 48.72 | | | $ | 45.52 | | | $ | 39.85 | | | $ | 41.40 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.01 | ) | | | .17 | | | | .15 | | | | .13 | | | | .06 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 14.04 | | | | (4.54 | ) | | | 3.45 | | | | 5.44 | | | | 5.97 | | | | — | |
Total from investment operations | | | 14.03 | | | | (4.37 | ) | | | 3.60 | | | | 5.57 | | | | 6.03 | | | | .03 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) |
Net realized gains | | | — | | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) |
Total distributions | | | — | | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) |
Net asset value, end of period | | $ | 60.67 | | | $ | 46.64 | | | $ | 51.55 | | | $ | 48.72 | | | $ | 45.52 | | | $ | 39.85 | |
|
Total Returnc | | | 30.08 | % | | | (8.67 | %) | | | 7.59 | % | | | 12.16 | % | | | 15.17 | % | | | 0.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 15,716 | | | $ | 12,798 | | | $ | 20,307 | | | $ | 21,041 | | | $ | 20,960 | | | $ | 39,793 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.05 | %) | | | 0.31 | % | | | 0.30 | % | | | 0.27 | % | | | 0.14 | % | | | 0.02 | % |
Total expenses | | | 1.69 | % | | | 1.68 | % | | | 1.67 | % | | | 1.58 | % | | | 1.57 | % | | | 1.55 | % |
Portfolio turnover rate | | | 189 | % | | | 227 | % | | | 157 | % | | | 151 | % | | | 133 | % | | | 181 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.37 | | | $ | 46.12 | | | $ | 44.00 | | | $ | 41.62 | | | $ | 36.74 | | | $ | 38.58 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.20 | ) | | | (.24 | ) | | | (.20 | ) | | | (.19 | ) | | | (.22 | ) | | | (.26 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 12.45 | | | | (3.97 | ) | | | 3.09 | | | | 4.94 | | | | 5.46 | | | | — | |
Total from investment operations | | | 12.25 | | | | (4.21 | ) | | | 2.89 | | | | 4.75 | | | | 5.24 | | | | (.26 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) |
Net realized gains | | | — | | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) |
Total distributions | | | — | | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) |
Net asset value, end of period | | $ | 53.62 | | | $ | 41.37 | | | $ | 46.12 | | | $ | 44.00 | | | $ | 41.62 | | | $ | 36.74 | |
|
Total Returnc | | | 29.61 | % | | | (9.35 | %) | | | 6.78 | % | | | 11.29 | % | | | 14.33 | % | | | (0.67 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,070 | | | $ | 8,981 | | | $ | 14,599 | | | $ | 20,484 | | | $ | 20,931 | | | $ | 15,667 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.81 | %) | | | (0.50 | %) | | | (0.45 | %) | | | (0.44 | %) | | | (0.57 | %) | | | (0.70 | %) |
Total expenses | | | 2.44 | % | | | 2.43 | % | | | 2.41 | % | | | 2.33 | % | | | 2.33 | % | | | 2.31 | % |
Portfolio turnover rate | | | 189 | % | | | 227 | % | | | 157 | % | | | 151 | % | | | 133 | % | | | 181 | % |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.64 | | | $ | 51.54 | | | $ | 48.71 | | | $ | 45.51 | | | $ | 39.84 | | | $ | 41.40 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.02 | ) | | | .15 | | | | .16 | | | | .15 | | | | .07 | | | | .03 | |
Net gain (loss) on investments (realized and unrealized) | | | 14.06 | | | | (4.51 | ) | | | 3.44 | | | | 5.42 | | | | 5.96 | | | | (.01 | ) |
Total from investment operations | | | 14.04 | | | | (4.36 | ) | | | 3.60 | | | | 5.57 | | | | 6.03 | | | | .02 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) |
Net realized gains | | | — | | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) |
Total distributions | | | — | | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) |
Net asset value, end of period | | $ | 60.68 | | | $ | 46.64 | | | $ | 51.54 | | | $ | 48.71 | | | $ | 45.51 | | | $ | 39.84 | |
|
Total Return | | | 30.10 | % | | | (8.65 | %) | | | 7.59 | % | | | 12.14 | % | | | 15.20 | % | | | 0.06 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 108,058 | | | $ | 112,799 | | | $ | 120,014 | | | $ | 178,533 | | | $ | 226,744 | | | $ | 229,420 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.06 | %) | | | 0.28 | % | | | 0.32 | % | | | 0.31 | % | | | 0.16 | % | | | 0.07 | % |
Total expenses | | | 1.69 | % | | | 1.68 | % | | | 1.66 | % | | | 1.58 | % | | | 1.58 | % | | | 1.55 | % |
Portfolio turnover rate | | | 189 | % | | | 227 | % | | | 157 | % | | | 151 | % | | | 133 | % | | | 181 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
Investor Class | January 7, 1994 |
A-Class | March 31, 2004 |
C-Class | March 15, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 7.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.9% |
Total | 13.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | (26.41%) | (21.80%) | (14.37%) | (14.55%) |
A-Class Shares | (26.50%) | (21.99%) | (14.59%) | (14.76%) |
A-Class Shares with sales charge‡ | (30.00%) | (25.70%) | (15.42%) | (15.17%) |
C-Class Shares | (26.78%) | (22.59%) | (15.23%) | (15.40%) |
C-Class Shares with CDSC§ | (27.51%) | (23.36%) | (15.23%) | (15.40%) |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (26.49%) | (22.00%) | (14.59%) | (12.38%) |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 11.12% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE S&P 500® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 13.8% |
Guggenheim Strategy Fund II1 | | | 282,633 | | | $ | 7,057,349 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 527,442 | | | | 5,263,876 | |
Total Mutual Funds | | | | |
(Cost $12,230,893) | | | | | | | 12,321,225 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 55.2% |
Federal Farm Credit Bank |
0.28% (U.S. Prime Rate - 2.98%, Rate Floor: 0.00%) due 05/10/212 | | $ | 5,000,000 | | | | 5,004,154 | |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/222 | | | 4,500,000 | | | | 4,518,226 | |
0.37% (3 Month U.S. Treasury Bill Rate + 0.27%, Rate Floor: 0.00%) due 05/16/222 | | | 4,000,000 | | | | 4,012,532 | |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 3,040,000 | | | | 3,052,751 | |
0.39% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/222 | | | 3,000,000 | | | | 3,009,796 | |
Federal Home Loan Bank |
2.63% due 10/01/20 | | | 14,700,000 | | | | 14,700,000 | |
0.13% (3 Month USD LIBOR - 0.17%, Rate Floor: 0.00%) due 01/06/212 | | | 2,500,000 | | | | 2,499,916 | |
Fannie Mae |
0.29% (U.S. Secured Overnight Financing Rate + 0.22%, Rate Floor: 0.00%) due 03/16/222 | | | 5,000,000 | | | | 5,011,150 | |
1.88% due 12/28/20 | | | 2,500,000 | | | | 2,510,121 | |
Freddie Mac |
0.75% due 04/27/23 | | | 5,000,000 | | | | 5,001,621 | |
Total Federal Agency Notes | | | | |
(Cost $49,250,735) | | | | | | | 49,320,267 | |
| | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 8.7% |
Federal Home Loan Bank |
due 11/04/203,6 | | | 7,800,000 | | | | 7,799,411 | |
Total Federal Agency Discount Notes | | | | |
(Cost $7,799,411) | | | | | | | 7,799,411 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.6% |
U.S. Treasury Bills |
0.07% due 10/29/203,4 | | | 1,200,000 | | | | 1,199,914 | |
0.08% due 10/29/203,4 | | | 250,000 | | | | 249,982 | |
0.08% due 10/15/203 | | | 37,000 | | | | 36,999 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,486,915) | | | | | | | 1,486,895 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 22.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/204 | | | 11,239,730 | | | | 11,239,730 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/204 | | | 4,678,288 | | | | 4,678,288 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/204 | | | 4,257,243 | | | | 4,257,243 | |
Total Repurchase Agreements | | | | |
(Cost $20,175,261) | | | | | | | 20,175,261 | |
| | | | | | | | | |
Total Investments - 101.9% | | | | |
(Cost $90,943,215) | | $ | 91,103,059 | |
Other Assets & Liabilities, net - (1.9)% | | | (1,730,534 | ) |
Total Net Assets - 100.0% | | $ | 89,372,525 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Receive | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | S&P 500 Index | (0.40)% (1 Week USD LIBOR + 0.30%) | At Maturity | | | 11/17/20 | | | | 1,140 | | | $ | 3,834,823 | | | $ | (12,999 | ) |
Goldman Sachs International | S&P 500 Index | (0.45)% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 11/19/20 | | | | 17,436 | | | | 58,636,763 | | | | (198,769 | ) |
BNP Paribas | S&P 500 Index | (0.19)% (1 Month USD LIBOR + 0.05%) | At Maturity | | | 11/18/20 | | | | 7,965 | | | | 26,786,859 | | | | (1,004,247 | ) |
| | | | | | | | | | | | | | $ | 89,258,445 | | | $ | (1,216,015 | ) |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
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 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
5 | Repurchase Agreements — See Note 6. |
6 | Zero coupon rate security. |
| | 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 September 30, 2020 (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 | |
Mutual Funds | | $ | 12,321,225 | | | $ | — | | | $ | — | | | $ | 12,321,225 | |
Federal Agency Notes | | | — | | | | 49,320,267 | | | | — | | | | 49,320,267 | |
Federal Agency Discount Notes | | | — | | | | 7,799,411 | | | | — | | | | 7,799,411 | |
U.S. Treasury Bills | | | — | | | | 1,486,895 | | | | — | | | | 1,486,895 | |
Repurchase Agreements | | | — | | | | 20,175,261 | | | | — | | | | 20,175,261 | |
Total Assets | | $ | 12,321,225 | | | $ | 78,781,834 | | | $ | — | | | $ | 91,103,059 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 1,216,015 | | | $ | — | | | $ | 1,216,015 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE S&P 500® STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 6,797,326 | | | $ | — | | | $ | — | | | $ | — | | | $ | 260,023 | | | $ | 7,057,349 | | | | 282,633 | | | $ | 55,908 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 4,355,562 | | | | 800,001 | | | | — | | | | — | | | | 108,313 | | | | 5,263,876 | | | | 527,442 | | | | 32,701 | |
| | | $ | 11,152,888 | | | $ | 800,001 | | | $ | — | | | $ | — | | | $ | 368,336 | | | $ | 12,321,225 | | | | | | | $ | 88,609 | |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $58,537,061) | | $ | 58,606,573 | |
Investments in affiliated issuers, at value (cost $12,230,893) | | | 12,321,225 | |
Repurchase agreements, at value (cost $20,175,261) | | | 20,175,261 | |
Receivables: |
Interest | | | 231,833 | |
Fund shares sold | | | 52,688 | |
Dividends | | | 14,924 | |
Total assets | | | 91,402,504 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 1,216,015 | |
Payable for: |
Fund shares redeemed | | | 556,688 | |
Management fees | | | 71,746 | |
Transfer agent and administrative fees | | | 21,763 | |
Swap settlement | | | 19,606 | |
Portfolio accounting fees | | | 8,093 | |
Distribution and service fees | | | 3,223 | |
Trustees’ fees* | | | 1,881 | |
Miscellaneous | | | 130,964 | |
Total liabilities | | | 2,029,979 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 89,372,525 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 334,047,700 | |
Total distributable earnings (loss) | | | (244,675,175 | ) |
Net assets | | $ | 89,372,525 | |
| | | | | |
Investor Class: |
Net assets | | $ | 83,402,322 | |
Capital shares outstanding | | | 1,990,865 | |
Net asset value per share | | $ | 41.89 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,219,453 | |
Capital shares outstanding | | | 83,710 | |
Net asset value per share | | $ | 38.46 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 40.38 | |
| | | | | |
C-Class: |
Net assets | | $ | 825,876 | |
Capital shares outstanding | | | 24,261 | |
Net asset value per share | | $ | 34.04 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,924,874 | |
Capital shares outstanding | | | 50,055 | |
Net asset value per share | | $ | 38.46 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 88,609 | |
Interest | | | 103,389 | |
Total investment income | | | 191,998 | |
| | | | | |
Expenses: |
Management fees | | | 493,154 | |
Distribution and service fees: |
A-Class | | | 5,699 | |
C-Class | | | 24,508 | |
H-Class | | | 5,605 | |
Transfer agent and administrative fees | | | 155,945 | |
Registration fees | | | 60,315 | |
Portfolio accounting fees | | | 54,806 | |
Professional fees | | | 39,919 | |
Custodian fees | | | 7,946 | |
Trustees’ fees* | | | 2,581 | |
Miscellaneous | | | 32,180 | |
Total expenses | | | 882,658 | |
Less: |
Expenses waived by Adviser | | | (6,500 | ) |
Net expenses | | | 876,158 | |
Net investment loss | | | (684,160 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 7,708 | |
Swap agreements | | | (31,616,661 | ) |
Futures contracts | | | (1,990,639 | ) |
Net realized loss | | | (33,599,592 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 64,310 | |
Investments in affiliated issuers | | | 368,336 | |
Swap agreements | | | (2,584,966 | ) |
Futures contracts | | | 879,553 | |
Net change in unrealized appreciation (depreciation) | | | (1,272,767 | ) |
Net realized and unrealized loss | | | (34,872,359 | ) |
Net decrease in net assets resulting from operations | | $ | (35,556,519 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (684,160 | ) | | $ | 300,608 | |
Net realized loss on investments | | | (33,599,592 | ) | | | (4,221,749 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,272,767 | ) | | | 787,183 | |
Net decrease in net assets resulting from operations | | | (35,556,519 | ) | | | (3,133,958 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (404,392 | ) |
A-Class | | | — | | | | (30,961 | ) |
C-Class | | | — | | | | (17,735 | ) |
H-Class | | | — | | | | (31,456 | ) |
Total distributions to shareholders | | | — | | | | (484,544 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 136,603,791 | | | | 191,676,284 | |
A-Class | | | 9,620,991 | | | | 32,213,820 | |
C-Class | | | 2,369,619 | | | | 14,599,836 | |
H-Class | | | 44,994,488 | | | | 55,422,179 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 392,366 | |
A-Class | | | — | | | | 30,236 | |
C-Class | | | — | | | | 17,213 | |
H-Class | | | — | | | | 30,608 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (109,213,726 | ) | | | (150,547,290 | ) |
A-Class | | | (12,057,687 | ) | | | (27,995,128 | ) |
C-Class | | | (6,080,418 | ) | | | (10,836,227 | ) |
H-Class | | | (49,987,858 | ) | | | (51,569,418 | ) |
Net increase from capital share transactions | | | 16,249,200 | | | | 53,434,479 | |
Net increase (decrease) in net assets | | | (19,307,319 | ) | | | 49,815,977 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 108,679,844 | | | | 58,863,867 | |
End of period | | $ | 89,372,525 | | | $ | 108,679,844 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,816,103 | | | | 3,369,987 | |
A-Class | | | 217,353 | | | | 638,191 | |
C-Class | | | 56,470 | | | | 327,353 | |
H-Class | | | 1,024,493 | | | | 1,099,080 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 7,737 | |
A-Class | | | — | | | | 648 | |
C-Class | | | — | | | | 414 | |
H-Class | | | — | | | | 656 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (2,333,208 | ) | | | (2,681,827 | ) |
A-Class | | | (278,395 | ) | | | (557,215 | ) |
C-Class | | | (169,367 | ) | | | (247,750 | ) |
H-Class | | | (1,144,342 | ) | | | (1,059,178 | ) |
Net increase in shares | | | 189,107 | | | | 898,096 | |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 f | | | Year Ended
March 31,
2016 f | |
Per Share Data |
Net asset value, beginning of period | | $ | 56.92 | | | $ | 56.77 | | | $ | 61.76 | | | $ | 70.35 | | | $ | 83.09 | | | $ | 87.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.27 | ) | | | .31 | | | | .46 | | | | (.07 | ) | | | (.55 | ) | | | (.78 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (14.76 | ) | | | .26 | | | | (5.45 | ) | | | (8.52 | ) | | | (12.19 | ) | | | (3.67 | ) |
Total from investment operations | | | (15.03 | ) | | | .57 | | | | (4.99 | ) | | | (8.59 | ) | | | (12.74 | ) | | | (4.45 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 41.89 | | | $ | 56.92 | | | $ | 56.77 | | | $ | 61.76 | | | $ | 70.35 | | | $ | 83.09 | |
|
Total Return | | | (26.41 | %) | | | 1.10 | % | | | (8.08 | %) | | | (12.21 | %) | | | (15.34 | %) | | | (5.07 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 83,402 | | | $ | 85,839 | | | $ | 46,105 | | | $ | 57,342 | | | $ | 76,404 | | | $ | 153,544 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.18 | %) | | | 0.58 | % | | | 0.78 | % | | | (0.10 | %) | | | (0.70 | %) | | | (0.91 | %) |
Total expensesc | | | 1.54 | % | | | 1.53 | % | | | 1.52 | % | | | 1.43 | % | | | 1.42 | % | | | 1.41 | % |
Net expensesd | | | 1.53 | % | | | 1.51 | % | | | 1.51 | % | | | 1.43 | % | | | 1.42 | % | | | 1.41 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 56 | % | | | 114 | % | | | 63 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 f | | | Year Ended
March 31,
2016 f | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.33 | | | $ | 52.36 | | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.21 | | | $ | 81.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.31 | ) | | | .21 | | | | .27 | | | | (.22 | ) | | | (.70 | ) | | | (.96 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (13.56 | ) | | | .18 | | | | (5.02 | ) | | | (7.89 | ) | | | (11.29 | ) | | | (3.37 | ) |
Total from investment operations | | | (13.87 | ) | | | .39 | | | | (4.75 | ) | | | (8.11 | ) | | | (11.99 | ) | | | (4.33 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 38.46 | | | $ | 52.33 | | | $ | 52.36 | | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.21 | |
|
Total Returne | | | (26.50 | %) | | | 0.85 | % | | | (8.32 | %) | | | (12.43 | %) | | | (15.54 | %) | | | (5.30 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,219 | | | $ | 7,575 | | | $ | 3,306 | | | $ | 4,637 | | | $ | 6,331 | | | $ | 9,256 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | 0.43 | % | | | 0.50 | % | | | (0.37 | %) | | | (0.96 | %) | | | (1.18 | %) |
Total expensesc | | | 1.81 | % | | | 1.78 | % | | | 1.76 | % | | | 1.68 | % | | | 1.67 | % | | | 1.66 | % |
Net expensesd | | | 1.80 | % | | | 1.76 | % | | | 1.76 | % | | | 1.68 | % | | | 1.67 | % | | | 1.66 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 56 | % | | | 114 | % | | | 63 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
INVERSE S&P 500® STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 f | | | Year Ended
March 31,
2016 f | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.49 | | | $ | 46.92 | | | $ | 51.56 | | | $ | 59.34 | | | $ | 70.79 | | | $ | 75.34 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.42 | ) | | | (.22 | ) | | | (.13 | ) | | | (.63 | ) | | | (1.12 | ) | | | (1.44 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (12.03 | ) | | | .21 | | | | (4.51 | ) | | | (7.15 | ) | | | (10.33 | ) | | | (3.11 | ) |
Total from investment operations | | | (12.45 | ) | | | (.01 | ) | | | (4.64 | ) | | | (7.78 | ) | | | (11.45 | ) | | | (4.55 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 34.04 | | | $ | 46.49 | | | $ | 46.92 | | | $ | 51.56 | | | $ | 59.34 | | | $ | 70.79 | |
|
Total Returne | | | (26.78 | %) | | | 0.09 | % | | | (9.00 | %) | | | (13.11 | %) | | | (16.20 | %) | | | (6.05 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 826 | | | $ | 6,376 | | | $ | 2,681 | | | $ | 4,203 | | | $ | 6,760 | | | $ | 9,244 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.19 | %) | | | (0.51 | %) | | | (0.27 | %) | | | (1.14 | %) | | | (1.69 | %) | | | (1.93 | %) |
Total expensesc | | | 2.55 | % | | | 2.53 | % | | | 2.51 | % | | | 2.43 | % | | | 2.42 | % | | | 2.41 | % |
Net expensesd | | | 2.54 | % | | | 2.51 | % | | | 2.51 | % | | | 2.43 | % | | | 2.42 | % | | | 2.41 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 56 | % | | | 114 | % | | | 63 | % |
48 | THE RYDEX FUNDS SEMI-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.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 f | | | Year Ended
March 31,
2016 f | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.32 | | | $ | 52.35 | | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.17 | | | $ | 81.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.32 | ) | | | .17 | | | | .29 | | | | (.27 | ) | | | (.70 | ) | | | (.90 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (13.54 | ) | | | .22 | | | | (5.05 | ) | | | (7.84 | ) | | | (11.25 | ) | | | (3.47 | ) |
Total from investment operations | | | (13.86 | ) | | | .39 | | | | (4.76 | ) | | | (8.11 | ) | | | (11.95 | ) | | | (4.37 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.42 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 38.46 | | | $ | 52.32 | | | $ | 52.35 | | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.17 | |
|
Total Return | | | (26.49 | %) | | | 0.85 | % | | | (8.33 | %) | | | (12.43 | %) | | | (15.47 | %) | | | (5.37 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,925 | | | $ | 8,890 | | | $ | 6,772 | | | $ | 4,672 | | | $ | 2,857 | | | $ | 7,319 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | 0.34 | % | | | 0.52 | % | | | (0.45 | %) | | | (0.96 | %) | | | (1.08 | %) |
Total expensesc | | | 1.81 | % | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % |
Net expensesd | | | 1.80 | % | | | 1.76 | % | | | 1.76 | % | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 56 | % | | | 114 | % | | | 63 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Total return does not reflect the impact of any applicable sales charges. |
f | 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 SEMI-ANNUAL REPORT | 49 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
MONTHLY REBALANCE NASDAQ-100® 2X STRATEGY FUND
OBJECTIVE: The Fund seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a calendar month basis. The Fund’s current benchmark is 200% of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time different than a full calendar month.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | November 28, 2014 |
C-Class | November 28, 2014 |
H-Class | November 28, 2014 |
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 8.2% |
Microsoft Corp. | 6.6% |
Amazon.com, Inc. | 6.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 4.6% |
Guggenheim Strategy Fund II | 3.5% |
Facebook, Inc. — Class A | 2.6% |
Tesla, Inc. | 2.1% |
Alphabet, Inc. — Class A | 2.1% |
Alphabet, Inc. — Class C | 2.0% |
NVIDIA Corp. | 1.8% |
Top Ten Total | 40.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | Since
Inception
(11/28/14) |
A-Class Shares | 104.70% | 101.55% | 43.47% | 35.19% |
A-Class Shares with sales charge‡ | 94.99% | 91.98% | 42.07% | 34.07% |
C-Class Shares | 103.92% | 100.04% | 42.39% | 34.14% |
C-Class Shares with CDSC§ | 102.93% | 99.04% | 42.39% | 34.14% |
H-Class Shares | 104.72% | 101.54% | 43.57% | 35.74% |
NASDAQ-100 Index | 46.75% | 48.75% | 23.63% | 18.03% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 61.1% |
| | | | | | | | | |
Technology - 27.7% |
Apple, Inc. | | | 205,290 | | | $ | 23,774,635 | |
Microsoft Corp. | | | 90,838 | | | | 19,105,957 | |
NVIDIA Corp. | | | 9,447 | | | | 5,112,905 | |
Adobe, Inc.* | | | 7,345 | | | | 3,602,208 | |
Intel Corp. | | | 65,121 | | | | 3,371,965 | |
Broadcom, Inc. | | | 6,121 | | | | 2,230,003 | |
QUALCOMM, Inc. | | | 17,276 | | | | 2,033,040 | |
Texas Instruments, Inc. | | | 14,025 | | | | 2,002,630 | |
Advanced Micro Devices, Inc.* | | | 17,977 | | | | 1,473,934 | |
Zoom Video Communications, Inc. — Class A* | | | 2,788 | | | | 1,310,667 | |
Intuit, Inc. | | | 4,009 | | | | 1,307,776 | |
Fiserv, Inc.* | | | 10,254 | | | | 1,056,675 | |
Activision Blizzard, Inc. | | | 11,819 | | | | 956,748 | |
Applied Materials, Inc. | | | 13,984 | | | | 831,349 | |
Micron Technology, Inc.* | | | 17,011 | | | | 798,837 | |
Autodesk, Inc.* | | | 3,356 | | | | 775,270 | |
Lam Research Corp. | | | 2,230 | | | | 739,802 | |
Analog Devices, Inc. | | | 5,653 | | | | 659,931 | |
DocuSign, Inc.* | | | 2,833 | | | | 609,775 | |
Workday, Inc. — Class A* | | | 2,710 | | | | 583,002 | |
Electronic Arts, Inc.* | | | 4,422 | | | | 576,673 | |
Cognizant Technology Solutions Corp. — Class A | | | 8,303 | | | | 576,394 | |
NXP Semiconductor N.V. | | | 4,275 | | | | 533,563 | |
NetEase, Inc. ADR | | | 1,098 | | | | 499,228 | |
Synopsys, Inc.* | | | 2,324 | | | | 497,289 | |
KLA Corp. | | | 2,380 | | | | 461,101 | |
Splunk, Inc.* | | | 2,432 | | | | 457,532 | |
Cadence Design Systems, Inc.* | | | 4,269 | | | | 455,203 | |
Paychex, Inc. | | | 5,493 | | | | 438,177 | |
ASML Holding N.V. — Class G1 | | | 1,169 | | | | 431,677 | |
ANSYS, Inc.* | | | 1,314 | | | | 429,980 | |
Microchip Technology, Inc. | | | 3,865 | | | | 397,167 | |
Xilinx, Inc. | | | 3,741 | | | | 389,962 | |
Skyworks Solutions, Inc. | | | 2,558 | | | | 372,189 | |
Cerner Corp. | | | 4,676 | | | | 338,028 | |
Take-Two Interactive Software, Inc.* | | | 1,751 | | | | 289,300 | |
Maxim Integrated Products, Inc. | | | 4,084 | | | | 276,119 | |
Citrix Systems, Inc. | | | 1,891 | | | | 260,410 | |
Check Point Software Technologies Ltd.* | | | 2,147 | | | | 258,370 | |
Western Digital Corp. | | | 4,632 | | | | 169,300 | |
Total Technology | | | | | | | 80,444,771 | |
| | | | | | | | | |
Communications - 20.0% |
Amazon.com, Inc.* | | | 6,012 | | | | 18,930,165 | |
Facebook, Inc. — Class A* | | | 28,860 | | | | 7,558,434 | |
Alphabet, Inc. — Class A* | | | 4,138 | | | | 6,064,653 | |
Alphabet, Inc. — Class C* | | | 4,005 | | | | 5,885,748 | |
Netflix, Inc.* | | | 6,753 | | | | 3,376,703 | |
Comcast Corp. — Class A | | | 69,801 | | | | 3,228,994 | |
Cisco Systems, Inc. | | | 64,651 | | | | 2,546,603 | |
T-Mobile US, Inc.* | | | 18,953 | | | | 2,167,465 | |
Charter Communications, Inc. — Class A* | | | 3,137 | | | | 1,958,555 | |
JD.com, Inc. ADR* | | | 14,054 | | | | 1,090,731 | |
Booking Holdings, Inc.* | | | 627 | | | | 1,072,596 | |
MercadoLibre, Inc.* | | | 761 | | | | 823,767 | |
eBay, Inc. | | | 10,716 | | | | 558,304 | |
Baidu, Inc. ADR* | | | 4,306 | | | | 545,096 | |
VeriSign, Inc.* | | | 1,759 | | | | 360,331 | |
Sirius XM Holdings, Inc. | | | 66,457 | | | | 356,210 | |
Pinduoduo, Inc. ADR* | | | 4,418 | | | | 327,595 | |
CDW Corp. | | | 2,185 | | | | 261,173 | |
Trip.com Group Ltd. ADR* | | | 8,008 | | | | 249,369 | |
Expedia Group, Inc. | | | 2,078 | | | | 190,532 | |
Fox Corp. — Class A | | | 5,262 | | | | 146,441 | |
Liberty Global plc — Class C* | | | 6,107 | | | | 125,407 | |
Fox Corp. — Class B | | | 3,998 | | | | 111,824 | |
Liberty Global plc — Class A* | | | 2,791 | | | | 58,639 | |
Total Communications | | | | | | | 57,995,335 | |
| | | | | | | | | |
Consumer, Non-cyclical - 7.7% |
PayPal Holdings, Inc.* | | | 17,965 | | | | 3,539,644 | |
PepsiCo, Inc. | | | 21,201 | | | | 2,938,459 | |
Amgen, Inc. | | | 8,968 | | | | 2,279,307 | |
Intuitive Surgical, Inc.* | | | 1,792 | | | | 1,271,496 | |
Mondelez International, Inc. — Class A | | | 21,870 | | | | 1,256,432 | |
Gilead Sciences, Inc. | | | 19,197 | | | | 1,213,058 | |
Vertex Pharmaceuticals, Inc.* | | | 3,988 | | | | 1,085,215 | |
Automatic Data Processing, Inc. | | | 6,584 | | | | 918,402 | |
Regeneron Pharmaceuticals, Inc.* | | | 1,601 | | | | 896,208 | |
Illumina, Inc.* | | | 2,236 | | | | 691,103 | |
Biogen, Inc.* | | | 2,424 | | | | 687,640 | |
Monster Beverage Corp.* | | | 8,075 | | | | 647,615 | |
DexCom, Inc.* | | | 1,466 | | | | 604,329 | |
Kraft Heinz Co. | | | 18,720 | | | | 560,664 | |
Cintas Corp. | | | 1,585 | | | | 527,535 | |
Seattle Genetics, Inc.* | | | 2,664 | | | | 521,318 | |
IDEXX Laboratories, Inc.* | | | 1,302 | | | | 511,829 | |
Verisk Analytics, Inc. — Class A | | | 2,486 | | | | 460,681 | |
Moderna, Inc.* | | | 6,042 | | | | 427,472 | |
Align Technology, Inc.* | | | 1,206 | | | | 394,796 | |
Alexion Pharmaceuticals, Inc.* | | | 3,356 | | | | 384,027 | |
Incyte Corp.* | | | 3,349 | | | | 300,539 | |
BioMarin Pharmaceutical, Inc.* | | | 2,777 | | | | 211,274 | |
Total Consumer, Non-cyclical | | | | | | | 22,329,043 | |
| | | | | | | | | |
Consumer, Cyclical - 5.0% |
Tesla, Inc.* | | | 14,268 | | | | 6,121,115 | |
Costco Wholesale Corp. | | | 6,760 | | | | 2,399,800 | |
Starbucks Corp. | | | 17,899 | | | | 1,537,882 | |
Lululemon Athletica, Inc.* | | | 1,903 | | | | 626,791 | |
O’Reilly Automotive, Inc.* | | | 1,134 | | | | 522,865 | |
Ross Stores, Inc. | | | 5,450 | | | | 508,594 | |
Walgreens Boots Alliance, Inc. | | | 13,268 | | | | 476,587 | |
Marriott International, Inc. — Class A | | | 4,966 | | | | 459,752 | |
PACCAR, Inc. | | | 5,300 | | | | 451,984 | |
Fastenal Co. | | | 8,783 | | | | 396,025 | |
Copart, Inc.* | | | 3,595 | | | | 378,050 | |
Dollar Tree, Inc.* | | | 3,634 | | | | 331,929 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Ulta Beauty, Inc.* | | | 862 | | | $ | 193,071 | |
Total Consumer, Cyclical | | | | | | | 14,404,445 | |
| | | | | | | | | |
Utilities - 0.4% |
Xcel Energy, Inc. | | | 8,044 | | | | 555,116 | |
Exelon Corp. | | | 14,921 | | | | 533,575 | |
Total Utilities | | | | | | | 1,088,691 | |
| | | | | | | | | |
Industrial - 0.3% |
CSX Corp. | | | 11,714 | | | | 909,826 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $167,903,047) | | | | | | | 177,172,111 | |
| | | | | | | | | |
MUTUAL FUNDS† - 8.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 1,331,705 | | | | 13,290,420 | |
Guggenheim Strategy Fund II2 | | | 403,950 | | | | 10,086,637 | |
Total Mutual Funds | | | | |
(Cost $23,044,280) | | | | | | | 23,377,057 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 17.3% |
U.S. Treasury Bills |
0.08% due 10/29/203,4 | | $ | 25,600,000 | | | | 25,598,158 | |
0.06% due 10/15/204,5 | | | 10,100,000 | | | | 10,099,696 | |
0.08% due 10/15/204,5 | | | 8,854,000 | | | | 8,853,733 | |
0.09% due 10/29/203,4 | | | 3,850,000 | | | | 3,849,723 | |
0.07% due 10/29/203,4 | | | 1,900,000 | | | | 1,899,863 | |
Total U.S. Treasury Bills | | | | |
(Cost $50,301,484) | | | | | | | 50,301,173 | |
REPURCHASE AGREEMENTS††,6 - 11.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/203 | | | 18,672,546 | | | | 18,672,546 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 7,772,034 | | | | 7,772,034 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 7,072,550 | | | | 7,072,550 | |
Total Repurchase Agreements | | | | |
(Cost $33,517,130) | | | | | | | 33,517,130 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%8 | | | 258,657 | | | | 258,657 | |
Total Securities Lending Collateral | | | | |
(Cost $258,657) | | | | | | | 258,657 | |
| | | | | | | | | |
Total Investments - 98.2% | | | | |
(Cost $275,024,598) | | $ | 284,626,128 | |
Other Assets & Liabilities, net - 1.8% | | | 5,356,636 | |
Total Net Assets - 100.0% | | $ | 289,982,764 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 363 | | | | Dec 2020 | | | $ | 82,782,150 | | | $ | 3,828,896 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | NASDAQ-100 Index | 0.60% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 11/17/20 | | | | 22,887 | | | $ | 261,322,762 | | | $ | 1,226,960 | |
BNP Paribas | NASDAQ-100 Index | 0.79% (1 Month USD LIBOR + 0.65%) | At Maturity | | | 11/18/20 | | | | 979 | | | | 11,174,085 | | | | 572,235 | |
Goldman Sachs International | NASDAQ-100 Index | 0.65% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 11/19/20 | | | | 4,173 | | | | 47,643,883 | | | | 223,696 | |
| | | | | | | | | | | | | | $ | 320,140,730 | | | $ | 2,022,891 | |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 6. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | 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 September 30, 2020 (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 | | $ | 177,172,111 | | | $ | — | | | $ | — | | | $ | 177,172,111 | |
Mutual Funds | | | 23,377,057 | | | | — | | | | — | | | | 23,377,057 | |
U.S. Treasury Bills | | | — | | | | 50,301,173 | | | | — | | | | 50,301,173 | |
Repurchase Agreements | | | — | | | | 33,517,130 | | | | — | | | | 33,517,130 | |
Securities Lending Collateral | | | 258,657 | | | | — | | | | — | | | | 258,657 | |
Equity Futures Contracts** | | | 3,828,896 | | | | — | | | | — | | | | 3,828,896 | |
Equity Index Swap Agreements** | | | — | | | | 2,022,891 | | | | — | | | | 2,022,891 | |
Total Assets | | $ | 204,636,721 | | | $ | 85,841,194 | | | $ | — | | | $ | 290,477,915 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,209,488 | | | $ | 8,650,000 | | | $ | — | | | $ | — | | | $ | 227,149 | | | $ | 10,086,637 | | | | 403,950 | | | $ | 61,820 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,143,698 | | | | 13,000,000 | | | | (1,000,000 | ) | | | 284 | | | | 146,438 | | | | 13,290,420 | | | | 1,331,705 | | | | 58,187 | |
| | | $ | 2,353,186 | | | $ | 21,650,000 | | | $ | (1,000,000 | ) | | $ | 284 | | | $ | 373,587 | | | $ | 23,377,057 | | | | | | | $ | 120,007 | |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value - including $250,365 of securities loaned (cost $218,463,188) | | $ | 227,731,941 | |
Investments in affiliated issuers, at value (cost $23,044,280) | | | 23,377,057 | |
Repurchase agreements, at value (cost $33,517,130) | | | 33,517,130 | |
Unrealized appreciation on OTC swap agreements | | | 2,022,891 | |
Receivables: |
Fund shares sold | | | 3,913,424 | |
Variation margin on futures contracts | | | 470,085 | |
Investment Adviser | | | 106,537 | |
Dividends | | | 53,041 | |
Swap settlement | | | 50,215 | |
Interest | | | 56 | |
Securities lending income | | | 37 | |
Total assets | | | 291,242,414 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 389,249 | |
Return of securities lending collateral | | | 258,657 | |
Management fees | | | 208,897 | |
Registration fees | | | 152,877 | |
Transfer agent and administrative fees | | | 63,240 | |
Distribution and service fees | | | 59,898 | |
Portfolio accounting fees | | | 22,518 | |
Trustees’ fees* | | | 3,317 | |
Miscellaneous | | | 100,997 | |
Total liabilities | | | 1,259,650 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 289,982,764 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 231,950,638 | |
Total distributable earnings (loss) | | | 58,032,126 | |
Net assets | | $ | 289,982,764 | |
| | | | | |
A-Class: |
Net assets | | $ | 6,724,914 | |
Capital shares outstanding | | | 23,158 | |
Net asset value per share | | $ | 290.39 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 304.87 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,791,605 | |
Capital shares outstanding | | | 6,457 | |
Net asset value per share | | $ | 277.46 | |
| | | | | |
H-Class: |
Net assets | | $ | 281,466,245 | |
Capital shares outstanding | | | 946,702 | |
Net asset value per share | | $ | 297.31 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $933) | | $ | 681,299 | |
Dividends from securities of affiliated issuers | | | 120,007 | |
Interest | | | 15,082 | |
Income from securities lending, net | | | 145 | |
Total investment income | | | 816,533 | |
| | | | | |
Expenses: |
Management fees | | | 966,737 | |
Distribution and service fees: |
A-Class | | | 5,290 | |
C-Class | | | 6,510 | |
H-Class | | | 261,625 | |
Transfer agent and administrative fees | | | 299,666 | |
Registration fees | | | 118,236 | |
Portfolio accounting fees | | | 105,315 | |
Professional fees | | | 70,539 | |
Custodian fees | | | 14,480 | |
Trustees’ fees* | | | 4,824 | |
Line of credit fees | | | 184 | |
Interest expense | | | 49 | |
Miscellaneous | | | 96,366 | |
Total expenses | | | 1,949,821 | |
Less: |
Expenses waived by Adviser | | | (510,404 | ) |
Net expenses | | | 1,439,417 | |
Net investment loss | | | (622,884 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 33,122,243 | |
Investments in affiliated issuers | | | 284 | |
Swap agreements | | | 59,670,582 | |
Futures contracts | | | 14,095,848 | |
Net realized gain | | | 106,888,957 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 9,021,864 | |
Investments in affiliated issuers | | | 373,587 | |
Swap agreements | | | 2,355,249 | |
Futures contracts | | | 3,483,644 | |
Net change in unrealized appreciation (depreciation) | | | 15,234,344 | |
Net realized and unrealized gain | | | 122,123,301 | |
Net increase in net assets resulting from operations | | $ | 121,500,417 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (622,884 | ) | | $ | 100,881 | |
Net realized gain (loss) on investments | | | 106,888,957 | | | | (5,559,290 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 15,234,344 | | | | (8,523,966 | ) |
Net increase (decrease) in net assets resulting from operations | | | 121,500,417 | | | | (13,982,375 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (3,735 | ) |
C-Class | | | — | | | | (832 | ) |
H-Class | | | — | | | | (203,974 | ) |
Total distributions to shareholders | | | — | | | | (208,541 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 7,189,696 | | | | 14,654,383 | |
C-Class | | | 936,924 | | | | 737,827 | |
H-Class | | | 826,584,806 | | | | 1,626,392,692 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 2,826 | |
C-Class | | | — | | | | 735 | |
H-Class | | | — | | | | 202,106 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (5,560,487 | ) | | | (14,843,489 | ) |
C-Class | | | (421,650 | ) | | | (746,073 | ) |
H-Class | | | (685,819,436 | ) | | | (1,718,544,874 | ) |
Net increase (decrease) from capital share transactions | | | 142,909,853 | | | | (92,143,867 | ) |
Net increase (decrease) in net assets | | | 264,410,270 | | | | (106,334,783 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 25,572,494 | | | | 131,907,277 | |
End of period | | $ | 289,982,764 | | | $ | 25,572,494 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 29,645 | | | | 92,924 | |
C-Class | | | 4,171 | | | | 5,051 | |
H-Class | | | 3,373,828 | | | | 9,985,485 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 17 | |
C-Class | | | — | | | | 5 | |
H-Class | | | — | | | | 1,173 | |
Shares redeemed | | | | | | | | |
A-Class | | | (23,648 | ) | | | (98,653 | ) |
C-Class | | | (1,770 | ) | | | (4,660 | ) |
H-Class | | | (2,582,641 | ) | | | (10,762,621 | ) |
Net increase (decrease) in shares | | | 799,585 | | | | (781,279 | ) |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 141.86 | | | $ | 134.54 | | | $ | 113.31 | | | $ | 79.32 | | | $ | 54.45 | | | $ | 51.68 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.71 | ) | | | .23 | | | | .25 | | | | (.23 | ) | | | (.18 | ) | | | (.27 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 149.24 | | | | 7.28 | | | | 20.98 | | | | 34.22 | | | | 25.05 | | | | 3.04 | |
Total from investment operations | | | 148.53 | | | | 7.51 | | | | 21.23 | | | | 33.99 | | | | 24.87 | | | | 2.77 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 290.39 | | | $ | 141.86 | | | $ | 134.54 | | | $ | 113.31 | | | $ | 79.32 | | | $ | 54.45 | |
|
Total Returnc | | | 104.70 | % | | | 5.56 | % | | | 18.74 | % | | | 42.85 | % | | | 45.65 | % | | | 5.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,725 | | | $ | 2,434 | | | $ | 3,077 | | | $ | 1,990 | | | $ | 1,010 | | | $ | 246 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.59 | %) | | | 0.15 | % | | | 0.19 | % | | | (0.23 | %) | | | (0.28 | %) | | | (0.48 | %) |
Total expensesd | | | 1.82 | % | | | 1.83 | % | | | 1.81 | % | | | 1.71 | % | | | 1.72 | % | | | 1.70 | % |
Net expensese,f | | | 1.33 | % | | | 1.34 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % |
Portfolio turnover rate | | | 340 | % | | | 990 | % | | | 467 | % | | | 385 | % | | | 259 | % | | | 551 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 136.06 | | | $ | 130.01 | | | $ | 110.32 | | | $ | 77.79 | | | $ | 53.80 | | | $ | 51.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.55 | ) | | | (.83 | ) | | | (.64 | ) | | | (1.00 | ) | | | (.73 | ) | | | (.56 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 142.95 | | | | 7.07 | | | | 20.33 | | | | 33.53 | | | | 24.72 | | | | 2.81 | |
Total from investment operations | | | 141.40 | | | | 6.24 | | | | 19.69 | | | | 32.53 | | | | 23.99 | | | | 2.25 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 277.46 | | | $ | 136.06 | | | $ | 130.01 | | | $ | 110.32 | | | $ | 77.79 | | | $ | 53.80 | |
|
Total Returnc | | | 103.92 | % | | | 4.77 | % | | | 17.85 | % | | | 41.82 | % | | | 44.52 | % | | | 4.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,792 | | | $ | 552 | | | $ | 476 | | | $ | 170 | | | $ | 89 | | | $ | 23 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.33 | %) | | | (0.55 | %) | | | (0.52 | %) | | | (1.02 | %) | | | (1.10 | %) | | | (1.04 | %) |
Total expensesd | | | 2.56 | % | | | 2.58 | % | | | 2.57 | % | | | 2.46 | % | | | 2.47 | % | | | 2.51 | % |
Net expensese,f | | | 2.08 | % | | | 2.09 | % | | | 2.11 | % | | | 2.10 | % | | | 2.10 | % | | | 2.17 | % |
Portfolio turnover rate | | | 340 | % | | | 990 | % | | | 467 | % | | | 385 | % | | | 259 | % | | | 551 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 145.23 | | | $ | 137.80 | | | $ | 116.07 | | | $ | 81.25 | | | $ | 55.79 | | | $ | 51.57 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.72 | ) | | | .12 | | | | .19 | | | | (.25 | ) | | | (.23 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 152.80 | | | | 7.50 | | | | 21.54 | | | | 35.07 | | | | 25.69 | | | | 4.39 | |
Total from investment operations | | | 152.08 | | | | 7.62 | | | | 21.73 | | | | 34.82 | | | | 25.46 | | | | 4.22 | |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 297.31 | | | $ | 145.23 | | | $ | 137.80 | | | $ | 116.07 | | | $ | 81.25 | | | $ | 55.79 | |
|
Total Return | | | 104.72 | % | | | 5.51 | % | | | 18.72 | % | | | 42.86 | % | | | 45.64 | % | | | 8.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 281,466 | | | $ | 22,586 | | | $ | 128,354 | | | $ | 25,304 | | | $ | 28,573 | | | $ | 4,220 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.57 | %) | | | 0.08 | % | | | 0.15 | % | | | (0.24 | %) | | | (0.35 | %) | | | (0.30 | %) |
Total expensesd | | | 1.81 | % | | | 1.82 | % | | | 1.81 | % | | | 1.71 | % | | | 1.72 | % | | | 1.67 | % |
Net expensese,f | | | 1.34 | % | | | 1.34 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % |
Portfolio turnover rate | | | 340 | % | | | 990 | % | | | 467 | % | | | 385 | % | | | 259 | % | | | 551 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
| | | 09/30/20a | 03/31/20 | 03/31/19 | 03/29/18 | 03/31/17 | 03/31/16 |
| | A-Class | 1.33% | 1.33% | 1.35% | 1.35% | 1.35% | 1.35% |
| | C-Class | 2.08% | 2.08% | 2.10% | 2.10% | 2.10% | 2.10% |
| | H-Class | 1.34% | 1.34% | 1.35% | 1.35% | 1.35% | 1.35% |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
Investor Class | September 3, 1998 |
A-Class | March 31, 2004 |
C-Class | March 7, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 4.8% |
Guggenheim Strategy Fund II | 4.4% |
Total | 9.2% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | (34.69%) | (39.87%) | (21.74%) | (19.81%) |
A-Class Shares | (34.77%) | (40.01%) | (21.83%) | (19.93%) |
A-Class Shares with sales charge‡ | (37.88%) | (42.86%) | (22.58%) | (20.32%) |
C-Class Shares | (35.01%) | (40.46%) | (22.52%) | (20.64%) |
C-Class Shares with CDSC§ | (35.66%) | (41.05%) | (22.52%) | (20.64%) |
NASDAQ-100 Index | 46.75% | 48.75% | 23.63% | 20.43% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (34.79%) | (40.04%) | (21.95%) | (19.47%) |
NASDAQ-100 Index | 46.75% | 48.75% | 23.63% | 19.83% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 9.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 152,495 | | | $ | 1,521,903 | |
Guggenheim Strategy Fund II1 | | | 55,405 | | | | 1,383,461 | |
Total Mutual Funds | | | | |
(Cost $2,823,832) | | | | | | | 2,905,364 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 12.6% |
Freddie Mac |
0.75% due 04/27/23 | | $ | 2,500,000 | | | | 2,500,811 | |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/222 | | | 750,000 | | | | 753,038 | |
0.37% (3 Month U.S. Treasury Bill Rate + 0.27%, Rate Floor: 0.00%) due 05/16/222 | | | 500,000 | | | | 501,566 | |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 240,000 | | | | 241,007 | |
Total Federal Agency Notes | | | | |
(Cost $3,993,028) | | | | | | | 3,996,422 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 8.0% |
U.S. Treasury Bills |
0.07% due 10/29/203,4 | | | 2,000,000 | | | | 1,999,856 | |
0.08% due 10/29/203,4 | | | 450,000 | | | | 449,968 | |
0.08% due 10/15/204,5 | | | 65,000 | | | | 64,998 | |
Total U.S. Treasury Bills | | | | |
(Cost $2,514,856) | | | | | | | 2,514,822 | |
FEDERAL AGENCY DISCOUNT NOTES†† - 5.7% |
Federal Home Loan Bank |
due 10/07/204,7 | | | 1,800,000 | | | | 1,799,982 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,799,982) | | | | | | | 1,799,982 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 66.7% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/203 | | | 11,754,407 | | | | 11,754,407 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 4,892,512 | | | | 4,892,512 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 4,452,185 | | | | 4,452,185 | |
Total Repurchase Agreements | | | | |
(Cost $21,099,104) | | | | | | | 21,099,104 | |
| | | | | | | | | |
Total Investments - 102.2% | | | | |
(Cost $32,230,802) | | $ | 32,315,694 | |
Other Assets & Liabilities, net - (2.2)% | | | (703,794 | ) |
Total Net Assets - 100.0% | | $ | 31,611,900 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Sold Short† |
NASDAQ-100 Index Mini Futures Contracts | | | 4 | | | | Dec 2020 | | | $ | 912,200 | | | $ | (28,321 | ) |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Receive | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | NASDAQ-100 Index | (0.45)% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 11/17/20 | | | | 847 | | | $ | 9,671,850 | | | $ | (45,412 | ) |
Goldman Sachs International | NASDAQ-100 Index | (0.35)% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 11/19/20 | | | | 1,147 | | | | 13,091,446 | | | | (61,468 | ) |
BNP Paribas | NASDAQ-100 Index | (0.29)% (1 Month USD LIBOR + 0.15%) | At Maturity | | | 11/18/20 | | | | 692 | | | | 7,901,024 | | | | (404,623 | ) |
| | | | | | | | | | | | | | $ | 30,664,320 | | | $ | (511,503 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
6 | Repurchase Agreements — See Note 6. |
7 | Zero coupon rate security. |
| | 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 September 30, 2020 (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 | |
Mutual Funds | | $ | 2,905,364 | | | $ | — | | | $ | — | | | $ | 2,905,364 | |
Federal Agency Notes | | | — | | | | 3,996,422 | | | | — | | | | 3,996,422 | |
U.S. Treasury Bills | | | — | | | | 2,514,822 | | | | — | | | | 2,514,822 | |
Federal Agency Discount Notes | | | — | | | | 1,799,982 | | | | — | | | | 1,799,982 | |
Repurchase Agreements | | | — | | | | 21,099,104 | | | | — | | | | 21,099,104 | |
Total Assets | | $ | 2,905,364 | | | $ | 29,410,330 | | | $ | — | | | $ | 32,315,694 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 28,321 | | | $ | — | | | $ | — | | | $ | 28,321 | |
Equity Index Swap Agreements** | | | — | | | | 511,503 | | | | — | | | | 511,503 | |
Total Liabilities | | $ | 28,321 | | | $ | 511,503 | | | $ | — | | | $ | 539,824 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,621,432 | | | $ | 1,000,000 | | | $ | (1,300,000 | ) | | $ | (23,891 | ) | | $ | 85,920 | | | $ | 1,383,461 | | | | 55,405 | | | $ | 12,204 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,781,641 | | | | — | | | | (1,300,000 | ) | | | (15,468 | ) | | | 55,730 | | | | 1,521,903 | | | | 152,495 | | | | 10,765 | |
| | | $ | 4,403,073 | | | $ | 1,000,000 | | | $ | (2,600,000 | ) | | $ | (39,359 | ) | | $ | 141,650 | | | $ | 2,905,364 | | | | | | | $ | 22,969 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $8,307,866) | | $ | 8,311,226 | |
Investments in affiliated issuers, at value (cost $2,823,832) | | | 2,905,364 | |
Repurchase agreements, at value (cost $21,099,104) | | | 21,099,104 | |
Receivables: |
Interest | | | 8,578 | |
Fund shares sold | | | 5,414 | |
Dividends | | | 3,504 | |
Total assets | | | 32,333,190 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 511,503 | |
Payable for: |
Fund shares redeemed | | | 118,363 | |
Management fees | | | 23,834 | |
Transfer agent and administrative fees | | | 7,216 | |
Variation margin on futures contracts | | | 5,180 | |
Swap settlement | | | 2,975 | |
Portfolio accounting fees | | | 2,684 | |
Trustees’ fees* | | | 675 | |
Distribution and service fees | | | 506 | |
Miscellaneous | | | 48,354 | |
Total liabilities | | | 721,290 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 31,611,900 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 82,472,502 | |
Total distributable earnings (loss) | | | (50,860,602 | ) |
Net assets | | $ | 31,611,900 | |
| | | | | |
Investor Class: |
Net assets | | $ | 29,911,823 | |
Capital shares outstanding | | | 961,055 | |
Net asset value per share | | $ | 31.12 | |
| | | | | |
A-Class: |
Net assets | | $ | 956,943 | |
Capital shares outstanding | | | 31,863 | |
Net asset value per share | | $ | 30.03 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 31.53 | |
| | | | | |
C-Class: |
Net assets | | $ | 125,397 | |
Capital shares outstanding | | | 4,978 | |
Net asset value per share | | $ | 25.19 | |
| | | | | |
H-Class: |
Net assets | | $ | 617,737 | |
Capital shares outstanding | | | 20,885 | |
Net asset value per share | | $ | 29.58 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 22,969 | |
Interest | | | 22,312 | |
Total investment income | | | 45,281 | |
| | | | | |
Expenses: |
Management fees | | | 136,507 | |
Distribution and service fees: |
A-Class | | | 1,460 | |
C-Class | | | 600 | |
H-Class | | | 779 | |
Transfer agent and administrative fees | | | 44,320 | |
Registration fees | | | 16,695 | |
Portfolio accounting fees | | | 15,171 | |
Professional fees | | | 11,987 | |
Custodian fees | | | 2,397 | |
Trustees’ fees* | | | 694 | |
Miscellaneous | | | 11,329 | |
Total expenses | | | 241,939 | |
Less: |
Expenses waived by Adviser | | | (2,143 | ) |
Net expenses | | | 239,796 | |
Net investment loss | | | (194,515 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 5,752 | |
Investments in affiliated issuers | | | (39,359 | ) |
Swap agreements | | | (12,167,590 | ) |
Futures contracts | | | (860,576 | ) |
Net realized loss | | | (13,061,773 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (6,589 | ) |
Investments in affiliated issuers | | | 141,650 | |
Swap agreements | | | (1,056,058 | ) |
Futures contracts | | | 328,914 | |
Net change in unrealized appreciation (depreciation) | | | (592,083 | ) |
Net realized and unrealized loss | | | (13,653,856 | ) |
Net decrease in net assets resulting from operations | | $ | (13,848,371 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (194,515 | ) | | $ | 23,879 | |
Net realized loss on investments | | | (13,061,773 | ) | | | (3,760,361 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (592,083 | ) | | | 218,274 | |
Net decrease in net assets resulting from operations | | | (13,848,371 | ) | | | (3,518,208 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (110,169 | ) |
A-Class | | | — | | | | (5,386 | ) |
C-Class | | | — | | | | (975 | ) |
H-Class | | | — | | | | (3,185 | ) |
Total distributions to shareholders | | | — | | | | (119,715 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 112,753,943 | | | | 178,666,654 | |
A-Class | | | 1,928,485 | | | | 2,499,290 | |
C-Class | | | 95,079 | | | | 232,896 | |
H-Class | | | 5,755,960 | | | | 22,452,898 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 110,048 | |
A-Class | | | — | | | | 5,386 | |
C-Class | | | — | | | | 940 | |
H-Class | | | — | | | | 3,185 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (129,037,557 | ) | | | (122,161,471 | ) |
A-Class | | | (1,101,948 | ) | | | (2,798,481 | ) |
C-Class | | | (149,019 | ) | | | (106,531 | ) |
H-Class | | | (5,444,538 | ) | | | (22,382,916 | ) |
Net increase (decrease) from capital share transactions | | | (15,199,595 | ) | | | 56,521,898 | |
Net increase (decrease) in net assets | | | (29,047,966 | ) | | | 52,883,975 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 60,659,866 | | | | 7,775,891 | |
End of period | | $ | 31,611,900 | | | $ | 60,659,866 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,784,889 | | | | 3,532,372 | |
A-Class | | | 53,368 | | | | 52,824 | |
C-Class | | | 3,294 | | | | 5,698 | |
H-Class | | | 172,715 | | | | 484,862 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 2,293 | |
A-Class | | | — | | | | 116 | |
C-Class | | | — | | | | 24 | |
H-Class | | | — | | | | 70 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (3,068,770 | ) | | | (2,408,027 | ) |
A-Class | | | (32,854 | ) | | | (57,338 | ) |
C-Class | | | (4,343 | ) | | | (2,529 | ) |
H-Class | | | (164,679 | ) | | | (478,602 | ) |
Net increase (decrease) in shares | | | (256,380 | ) | | | 1,131,763 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.65 | | | $ | 54.72 | | | $ | 63.05 | | | $ | 77.68 | | | $ | 96.42 | | | $ | 105.47 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.23 | ) | | | .09 | | | | .56 | | | | .11 | | | | (.51 | ) | | | (1.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (16.30 | ) | | | (6.83 | ) | | | (8.89 | ) | | | (14.74 | ) | | | (18.23 | ) | | | (7.97 | ) |
Total from investment operations | | | (16.53 | ) | | | (6.74 | ) | | | (8.33 | ) | | | (14.63 | ) | | | (18.74 | ) | | | (9.05 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 31.12 | | | $ | 47.65 | | | $ | 54.72 | | | $ | 63.05 | | | $ | 77.68 | | | $ | 96.42 | |
|
Total Return | | | (34.69 | %) | | | (12.32 | %) | | | (13.21 | %) | | | (18.83 | %) | | | (19.42 | %) | | | (8.61 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 29,912 | | | $ | 59,321 | | | $ | 6,473 | | | $ | 5,474 | | | $ | 6,286 | | | $ | 11,857 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.27 | %) | | | 0.17 | % | | | 0.93 | % | | | 0.16 | % | | | (0.57 | %) | | | (1.04 | %) |
Total expensesc | | | 1.58 | % | | | 1.57 | % | | | 1.56 | % | | | 1.46 | % | | | 1.46 | % | | | 1.44 | % |
Net expensesd | | | 1.56 | % | | | 1.54 | % | | | 1.54 | % | | | 1.46 | % | | | 1.46 | % | | | 1.44 | % |
Portfolio turnover rate | | | 31 | % | | | 37 | % | | | 38 | % | | | — | | | | 486 | % | | | 1,674 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.04 | | | $ | 53.01 | | | $ | 61.24 | | | $ | 75.63 | | | $ | 94.01 | | | $ | 101.76 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.25 | ) | | | .19 | | | | .41 | | | | (.08 | ) | | | (1.00 | ) | | | (1.32 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (15.76 | ) | | | (6.83 | ) | | | (8.64 | ) | | | (14.31 | ) | | | (17.38 | ) | | | (6.43 | ) |
Total from investment operations | | | (16.01 | ) | | | (6.64 | ) | | | (8.23 | ) | | | (14.39 | ) | | | (18.38 | ) | | | (7.75 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 30.03 | | | $ | 46.04 | | | $ | 53.01 | | | $ | 61.24 | | | $ | 75.63 | | | $ | 94.01 | |
|
Total Returne | | | (34.77 | %) | | | (12.53 | %) | | | (13.44 | %) | | | (19.03 | %) | | | (19.54 | %) | | | (7.63 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 957 | | | $ | 523 | | | $ | 835 | | | $ | 1,037 | | | $ | 2,626 | | | $ | 54,948 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.49 | %) | | | 0.39 | % | | | 0.72 | % | | | (0.12 | %) | | | (1.08 | %) | | | (1.36 | %) |
Total expensesc | | | 1.81 | % | | | 1.81 | % | | | 1.81 | % | | | 1.72 | % | | | 1.70 | % | | | 1.69 | % |
Net expensesd | | | 1.80 | % | | | 1.76 | % | | | 1.79 | % | | | 1.72 | % | | | 1.70 | % | | | 1.69 | % |
Portfolio turnover rate | | | 31 | % | | | 37 | % | | | 38 | % | | | — | | | | 486 | % | | | 1,674 | % |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.76 | | | $ | 45.03 | | | $ | 52.43 | | | $ | 65.23 | | | $ | 81.79 | | | $ | 90.32 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.33 | ) | | | (.17 | ) | | | (.06 | ) | | | (.48 | ) | | | (1.14 | ) | | | (1.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (13.24 | ) | | | (5.77 | ) | | | (7.34 | ) | | | (12.32 | ) | | | (15.42 | ) | | | (6.73 | ) |
Total from investment operations | | | (13.57 | ) | | | (5.94 | ) | | | (7.40 | ) | | | (12.80 | ) | | | (16.56 | ) | | | (8.53 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 25.19 | | | $ | 38.76 | | | $ | 45.03 | | | $ | 52.43 | | | $ | 65.23 | | | $ | 81.79 | |
|
Total Returne | | | (35.01 | %) | | | (13.19 | %) | | | (14.11 | %) | | | (19.62 | %) | | | (20.26 | %) | | | (9.43 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 125 | | | $ | 234 | | | $ | 128 | | | $ | 881 | | | $ | 1,247 | | | $ | 1,457 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.24 | %) | | | (0.41 | %) | | | (0.13 | %) | | | (0.84 | %) | | | (1.51 | %) | | | (2.09 | %) |
Total expensesc | | | 2.58 | % | | | 2.57 | % | | | 2.53 | % | | | 2.46 | % | | | 2.46 | % | | | 2.44 | % |
Net expensesd | | | 2.57 | % | | | 2.53 | % | | | 2.53 | % | | | 2.46 | % | | | 2.46 | % | | | 2.44 | % |
Portfolio turnover rate | | | 31 | % | | | 37 | % | | | 38 | % | | | — | | | | 486 | % | | | 1,674 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
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.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.36 | | | $ | 52.24 | | | $ | 60.37 | | | $ | 74.56 | | | $ | 92.82 | | | $ | 101.76 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.25 | ) | | | (.02 | ) | | | .37 | | | | .07 | | | | (.86 | ) | | | (1.16 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (15.53 | ) | | | (6.53 | ) | | | (8.50 | ) | | | (14.26 | ) | | | (17.40 | ) | | | (7.78 | ) |
Total from investment operations | | | (15.78 | ) | | | (6.55 | ) | | | (8.13 | ) | | | (14.19 | ) | | | (18.26 | ) | | | (8.94 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.33 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 29.58 | | | $ | 45.36 | | | $ | 52.24 | | | $ | 60.37 | | | $ | 74.56 | | | $ | 92.82 | |
|
Total Return | | | (34.79 | %) | | | (12.54 | %) | | | (13.47 | %) | | | (19.03 | %) | | | (19.65 | %) | | | (8.80 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 618 | | | $ | 583 | | | $ | 341 | | | $ | 2,403 | | | $ | 460 | | | $ | 252 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.48 | %) | | | (0.05 | %) | | | 0.63 | % | | | 0.11 | % | | | (0.95 | %) | | | (1.18 | %) |
Total expensesc | | | 1.82 | % | | | 1.82 | % | | | 1.81 | % | | | 1.71 | % | | | 1.70 | % | | | 1.70 | % |
Net expensesd | | | 1.80 | % | | | 1.79 | % | | | 1.79 | % | | | 1.71 | % | | | 1.70 | % | | | 1.70 | % |
Portfolio turnover rate | | | 31 | % | | | 37 | % | | | 38 | % | | | — | | | | 486 | % | | | 1,674 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Total return does not reflect the impact of any applicable sales charges. |
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. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
MID-CAP 1.5X STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | August 20, 2001 |
H-Class | August 16, 2001 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 9.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.4% |
Pool Corp. | 0.4% |
FactSet Research Systems, Inc. | 0.4% |
Fair Isaac Corp. | 0.4% |
Trimble, Inc. | 0.4% |
Generac Holdings, Inc. | 0.4% |
SolarEdge Technologies, Inc. | 0.4% |
Masimo Corp. | 0.4% |
Monolithic Power Systems, Inc. | 0.4% |
Top Ten Total | 17.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 43.73% | (12.20%) | 7.55% | 11.70% |
A-Class Shares with sales charge‡ | 36.92% | (16.37%) | 6.51% | 11.16% |
C-Class Shares | 43.19% | (12.85%) | 6.75% | 10.88% |
C-Class Shares with CDSC§ | 42.19% | (13.72%) | 6.75% | 10.88% |
H-Class Shares | 43.72% | (12.20%) | 7.59% | 11.75% |
S&P MidCap 400 Index | 29.99% | (2.16%) | 8.11% | 10.49% |
* | 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 MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 54.3% |
| | | | | | | | | |
Financial - 12.1% |
Brown & Brown, Inc. | | | 647 | | | $ | 29,290 | |
Medical Properties Trust, Inc. REIT | | | 1,457 | | | | 25,687 | |
Camden Property Trust REIT | | | 269 | | | | 23,936 | |
RenaissanceRe Holdings Ltd. | | | 141 | | | | 23,933 | |
CyrusOne, Inc. REIT | | | 321 | | | | 22,480 | |
Alleghany Corp. | | | 39 | | | | 20,298 | |
Omega Healthcare Investors, Inc. REIT | | | 625 | | | | 18,713 | |
Reinsurance Group of America, Inc. — Class A | | | 187 | | | | 17,800 | |
STORE Capital Corp. REIT | | | 628 | | | | 17,226 | |
SEI Investments Co. | | | 335 | | | | 16,991 | |
National Retail Properties, Inc. REIT | | | 479 | | | | 16,530 | |
Lamar Advertising Co. — Class A REIT | | | 238 | | | | 15,749 | |
First American Financial Corp. | | | 307 | | | | 15,629 | |
Rexford Industrial Realty, Inc. REIT | | | 341 | | | | 15,604 | |
Commerce Bancshares, Inc. | | | 276 | | | | 15,536 | |
Kilroy Realty Corp. REIT | | | 289 | | | | 15,016 | |
First Horizon National Corp. | | | 1,524 | | | | 14,371 | |
First Industrial Realty Trust, Inc. REIT | | | 351 | | | | 13,970 | |
EastGroup Properties, Inc. REIT | | | 108 | | | | 13,968 | |
CoreSite Realty Corp. REIT | | | 117 | | | | 13,909 | |
Jones Lang LaSalle, Inc. | | | 142 | | | | 13,584 | |
Life Storage, Inc. REIT | | | 129 | | | | 13,580 | |
Prosperity Bancshares, Inc. | | | 256 | | | | 13,269 | |
American Financial Group, Inc. | | | 198 | | | | 13,262 | |
American Campus Communities, Inc. REIT | | | 378 | | | | 13,200 | |
East West Bancorp, Inc. | | | 390 | | | | 12,769 | |
Primerica, Inc. | | | 109 | | | | 12,332 | |
Signature Bank | | | 148 | | | | 12,283 | |
Eaton Vance Corp. | | | 314 | | | | 11,979 | |
Cousins Properties, Inc. REIT | | | 408 | | | | 11,665 | |
Old Republic International Corp. | | | 779 | | | | 11,482 | |
Essent Group Ltd. | | | 310 | | | | 11,473 | |
Douglas Emmett, Inc. REIT | | | 454 | | | | 11,395 | |
Kemper Corp. | | | 169 | | | | 11,294 | |
Healthcare Realty Trust, Inc. REIT | | | 374 | | | | 11,265 | |
First Financial Bankshares, Inc. | | | 392 | | | | 10,941 | |
Jefferies Financial Group, Inc. | | | 594 | | | | 10,692 | |
New York Community Bancorp, Inc. | | | 1,278 | | | | 10,569 | |
Interactive Brokers Group, Inc. — Class A | | | 217 | | | | 10,488 | |
Physicians Realty Trust REIT | | | 573 | | | | 10,262 | |
Rayonier, Inc. REIT | | | 376 | | | | 9,941 | |
Cullen/Frost Bankers, Inc. | | | 154 | | | | 9,848 | |
TCF Financial Corp. | | | 419 | | | | 9,788 | |
Hanover Insurance Group, Inc. | | | 104 | | | | 9,691 | |
Highwoods Properties, Inc. REIT | | | 286 | | | | 9,601 | |
Spirit Realty Capital, Inc. REIT | | | 284 | | | | 9,585 | |
Brixmor Property Group, Inc. REIT | | | 817 | | | | 9,551 | |
Stifel Financial Corp. | | | 188 | | | | 9,505 | |
Hudson Pacific Properties, Inc. REIT | | | 423 | | | | 9,276 | |
RLI Corp. | | | 109 | | | | 9,127 | |
Janus Henderson Group plc | | | 415 | | | | 9,014 | |
Affiliated Managers Group, Inc. | | | 128 | | | | 8,753 | |
Synovus Financial Corp. | | | 405 | | | | 8,574 | |
Selective Insurance Group, Inc. | | | 164 | | | | 8,444 | |
Glacier Bancorp, Inc. | | | 263 | | | | 8,429 | |
SLM Corp. | | | 1,035 | | | | 8,373 | |
JBG SMITH Properties REIT | | | 310 | | | | 8,289 | |
Sabra Health Care REIT, Inc. | | | 566 | | | | 7,802 | |
PotlatchDeltic Corp. REIT | | | 184 | | | | 7,746 | |
United Bankshares, Inc. | | | 358 | | | | 7,686 | |
Valley National Bancorp | | | 1,112 | | | | 7,617 | |
Pinnacle Financial Partners, Inc. | | | 209 | | | | 7,438 | |
Evercore, Inc. — Class A | | | 112 | | | | 7,331 | |
Corporate Office Properties Trust REIT | | | 308 | | | | 7,306 | |
Bank OZK | | | 333 | | | | 7,100 | |
Brighthouse Financial, Inc.* | | | 256 | | | | 6,889 | |
LendingTree, Inc.* | | | 22 | | | | 6,752 | |
PS Business Parks, Inc. REIT | | | 55 | | | | 6,731 | |
Webster Financial Corp. | | | 249 | | | | 6,576 | |
Park Hotels & Resorts, Inc. REIT | | | 649 | | | | 6,484 | |
Umpqua Holdings Corp. | | | 607 | | | | 6,446 | |
Wintrust Financial Corp. | | | 159 | | | | 6,368 | |
Home BancShares, Inc. | | | 418 | | | | 6,337 | |
CNO Financial Group, Inc. | | | 391 | | | | 6,272 | |
FNB Corp. | | | 890 | | | | 6,034 | |
UMB Financial Corp. | | | 119 | | | | 5,832 | |
EPR Properties REIT | | | 206 | | | | 5,665 | |
Taubman Centers, Inc. REIT | | | 170 | | | | 5,659 | |
Sterling Bancorp | | | 536 | | | | 5,638 | |
Federated Hermes, Inc. — Class B | | | 262 | | | | 5,636 | |
Weingarten Realty Investors REIT | | | 331 | | | | 5,614 | |
Bank of Hawaii Corp. | | | 111 | | | | 5,608 | |
Alliance Data Systems Corp. | | | 131 | | | | 5,499 | |
PacWest Bancorp | | | 321 | | | | 5,483 | |
Associated Banc-Corp. | | | 423 | | | | 5,338 | |
BancorpSouth Bank | | | 266 | | | | 5,155 | |
CIT Group, Inc. | | | 271 | | | | 4,799 | |
Genworth Financial, Inc. — Class A* | | | 1,393 | | | | 4,667 | |
Pebblebrook Hotel Trust REIT | | | 360 | | | | 4,511 | |
Navient Corp. | | | 533 | | | | 4,504 | |
Hancock Whitney Corp. | | | 238 | | | | 4,477 | |
Cathay General Bancorp | | | 206 | | | | 4,466 | |
Washington Federal, Inc. | | | 208 | | | | 4,339 | |
Texas Capital Bancshares, Inc.* | | | 139 | | | | 4,327 | |
Fulton Financial Corp. | | | 446 | | | | 4,161 | |
International Bancshares Corp. | | | 153 | | | | 3,987 | |
GEO Group, Inc. REIT | | | 334 | | | | 3,788 | |
Trustmark Corp. | | | 175 | | | | 3,747 | |
Service Properties Trust REIT | | | 453 | | | | 3,601 | |
Mercury General Corp. | | | 73 | | | | 3,020 | |
Urban Edge Properties REIT | | | 303 | | | | 2,945 | |
Macerich Co. REIT1 | | | 309 | | | | 2,098 | |
Total Financial | | | | | | | 1,009,688 | |
| | | | | | | | | |
Industrial - 10.9% |
Trimble, Inc.* | | | 689 | | | | 33,554 | |
Generac Holdings, Inc.* | | | 173 | | | | 33,500 | |
Cognex Corp. | | | 476 | | | | 30,987 | |
Nordson Corp. | | | 148 | | | | 28,389 | |
Graco, Inc. | | | 459 | | | | 28,160 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Lennox International, Inc. | | | 96 | | | $ | 26,171 | |
Trex Company, Inc.* | | | 319 | | | | 22,840 | |
XPO Logistics, Inc.* | | | 252 | | | | 21,334 | |
Universal Display Corp. | | | 118 | | | | 21,327 | |
Owens Corning | | | 298 | | | | 20,505 | |
Hubbell, Inc. | | | 149 | | | | 20,389 | |
AptarGroup, Inc. | | | 177 | | | | 20,036 | |
AECOM* | | | 442 | | | | 18,493 | |
Carlisle Companies, Inc. | | | 151 | | | | 18,478 | |
Arrow Electronics, Inc.* | | | 213 | | | | 16,755 | |
Donaldson Company, Inc. | | | 347 | | | | 16,108 | |
SYNNEX Corp. | | | 114 | | | | 15,967 | |
Stericycle, Inc.* | | | 252 | | | | 15,891 | |
Axon Enterprise, Inc.* | | | 175 | | | | 15,872 | |
TopBuild Corp.* | | | 91 | | | | 15,533 | |
Lincoln Electric Holdings, Inc. | | | 164 | | | | 15,095 | |
Tetra Tech, Inc. | | | 148 | | | | 14,134 | |
Knight-Swift Transportation Holdings, Inc. | | | 347 | | | | 14,123 | |
Sonoco Products Co. | | | 276 | | | | 14,095 | |
ITT, Inc. | | | 238 | | | | 14,054 | |
Oshkosh Corp. | | | 188 | | | | 13,818 | |
Middleby Corp.* | | | 153 | | | | 13,726 | |
MSA Safety, Inc. | | | 100 | | | | 13,417 | |
Landstar System, Inc. | | | 106 | | | | 13,302 | |
National Instruments Corp. | | | 361 | | | | 12,888 | |
Woodward, Inc. | | | 160 | | | | 12,826 | |
Jabil, Inc. | | | 374 | | | | 12,813 | |
AGCO Corp. | | | 169 | | | | 12,551 | |
MDU Resources Group, Inc. | | | 552 | | | | 12,420 | |
Mercury Systems, Inc.* | | | 155 | | | | 12,006 | |
Littelfuse, Inc. | | | 67 | | | | 11,882 | |
II-VI, Inc.* | | | 286 | | | | 11,600 | |
Acuity Brands, Inc. | | | 109 | | | | 11,156 | |
Curtiss-Wright Corp. | | | 115 | | | | 10,725 | |
Regal Beloit Corp. | | | 112 | | | | 10,513 | |
Builders FirstSource, Inc.* | | | 321 | | | | 10,471 | |
EMCOR Group, Inc. | | | 151 | | | | 10,224 | |
Timken Co. | | | 186 | | | | 10,085 | |
Eagle Materials, Inc. | | | 115 | | | | 9,927 | |
Louisiana-Pacific Corp. | | | 309 | | | | 9,119 | |
KBR, Inc. | | | 392 | | | | 8,765 | |
Colfax Corp.* | | | 277 | | | | 8,687 | |
nVent Electric plc | | | 468 | | | | 8,279 | |
Silgan Holdings, Inc. | | | 217 | | | | 7,979 | |
EnerSys | | | 118 | | | | 7,920 | |
Clean Harbors, Inc.* | | | 141 | | | | 7,900 | |
Hexcel Corp. | | | 230 | | | | 7,717 | |
Coherent, Inc.* | | | 67 | | | | 7,432 | |
Valmont Industries, Inc. | | | 59 | | | | 7,327 | |
Avnet, Inc. | | | 272 | | | | 7,028 | |
Crane Co. | | | 136 | | | | 6,818 | |
Werner Enterprises, Inc. | | | 160 | | | | 6,718 | |
Kennametal, Inc. | | | 229 | | | | 6,627 | |
MasTec, Inc.* | | | 155 | | | | 6,541 | |
Ryder System, Inc. | | | 149 | | | | 6,294 | |
Energizer Holdings, Inc. | | | 160 | | | | 6,262 | |
GATX Corp. | | | 97 | | | | 6,184 | |
Kirby Corp.* | | | 165 | | | | 5,968 | |
Vishay Intertechnology, Inc. | | | 365 | | | | 5,683 | |
Trinity Industries, Inc. | | | 245 | | | | 4,778 | |
Dycom Industries, Inc.* | | | 88 | | | | 4,648 | |
O-I Glass, Inc. | | | 432 | | | | 4,575 | |
Worthington Industries, Inc. | | | 99 | | | | 4,037 | |
Belden, Inc. | | | 122 | | | | 3,797 | |
Terex Corp. | | | 191 | | | | 3,698 | |
Fluor Corp. | | | 344 | | | | 3,031 | |
Greif, Inc. — Class A | | | 73 | | | | 2,644 | |
Total Industrial | | | | | | | 914,596 | |
| | | | | | | | | |
Consumer, Non-cyclical - 9.9% |
Masimo Corp.* | | | 139 | | | | 32,812 | |
Charles River Laboratories International, Inc.* | | | 138 | | | | 31,250 | |
Molina Healthcare, Inc.* | | | 163 | | | | 29,835 | |
Bio-Techne Corp. | | | 106 | | | | 26,260 | |
Quidel Corp.* | | | 105 | | | | 23,035 | |
Boston Beer Company, Inc. — Class A* | | | 25 | | | | 22,084 | |
Jazz Pharmaceuticals plc* | | | 152 | | | | 21,674 | |
Amedisys, Inc.* | | | 90 | | | | 21,279 | |
Chemed Corp. | | | 44 | | | | 21,135 | |
Exelixis, Inc.* | | | 850 | | | | 20,782 | |
Service Corporation International | | | 485 | | | | 20,457 | |
Repligen Corp.* | | | 135 | | | | 19,918 | |
LHC Group, Inc.* | | | 87 | | | | 18,493 | |
Penumbra, Inc.* | | | 92 | | | | 17,883 | |
PRA Health Sciences, Inc.* | | | 176 | | | | 17,853 | |
Encompass Health Corp. | | | 274 | | | | 17,804 | |
WEX, Inc.* | | | 122 | | | | 16,954 | |
Paylocity Holding Corp.* | | | 102 | | | | 16,465 | |
Darling Ingredients, Inc.* | | | 446 | | | | 16,070 | |
Hill-Rom Holdings, Inc. | | | 183 | | | | 15,282 | |
Post Holdings, Inc.* | | | 173 | | | | 14,878 | |
CoreLogic, Inc. | | | 219 | | | | 14,820 | |
Ingredion, Inc. | | | 184 | | | | 13,925 | |
Helen of Troy Ltd.* | | | 70 | | | | 13,546 | |
Flowers Foods, Inc. | | | 542 | | | | 13,187 | |
Emergent BioSolutions, Inc.* | | | 124 | | | | 12,813 | |
United Therapeutics Corp.* | | | 122 | | | | 12,322 | |
Arrowhead Pharmaceuticals, Inc.* | | | 282 | | | | 12,143 | |
Haemonetics Corp.* | | | 139 | | | | 12,128 | |
ManpowerGroup, Inc. | | | 160 | | | | 11,733 | |
HealthEquity, Inc.* | | | 211 | | | | 10,839 | |
FTI Consulting, Inc.* | | | 101 | | | | 10,703 | |
Aaron’s, Inc. | | | 185 | | | | 10,480 | |
Grand Canyon Education, Inc.* | | | 131 | | | | 10,472 | |
Globus Medical, Inc. — Class A* | | | 208 | | | | 10,300 | |
Syneos Health, Inc.* | | | 192 | | | | 10,207 | |
ICU Medical, Inc.* | | | 54 | | | | 9,869 | |
Lancaster Colony Corp. | | | 54 | | | | 9,655 | |
LiveRamp Holdings, Inc.* | | | 182 | | | | 9,422 | |
Integra LifeSciences Holdings Corp.* | | | 196 | | | | 9,255 | |
ASGN, Inc.* | | | 145 | | | | 9,216 | |
Grocery Outlet Holding Corp.* | | | 229 | | | | 9,005 | |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
H&R Block, Inc. | | | 532 | | | $ | 8,666 | |
Medpace Holdings, Inc.* | | | 75 | | | | 8,381 | |
Nektar Therapeutics* | | | 493 | | | | 8,179 | |
Hain Celestial Group, Inc.* | | | 230 | | | | 7,889 | |
Acadia Healthcare Company, Inc.* | | | 245 | | | | 7,223 | |
Tenet Healthcare Corp.* | | | 290 | | | | 7,108 | |
NuVasive, Inc.* | | | 141 | | | | 6,848 | |
Sprouts Farmers Market, Inc.* | | | 324 | | | | 6,782 | |
Sanderson Farms, Inc. | | | 55 | | | | 6,488 | |
Insperity, Inc. | | | 99 | | | | 6,484 | |
TreeHouse Foods, Inc.* | | | 155 | | | | 6,282 | |
Strategic Education, Inc. | | | 67 | | | | 6,129 | |
LivaNova plc* | | | 134 | | | | 6,058 | |
Patterson Companies, Inc. | | | 239 | | | | 5,761 | |
Brink’s Co. | | | 139 | | | | 5,712 | |
Sabre Corp. | | | 858 | | | | 5,586 | |
Prestige Consumer Healthcare, Inc.* | | | 138 | | | | 5,026 | |
Cantel Medical Corp. | | | 104 | | | | 4,570 | |
Graham Holdings Co. — Class B | | | 11 | | | | 4,445 | |
Avanos Medical, Inc.* | | | 132 | | | | 4,385 | |
Ligand Pharmaceuticals, Inc. — Class B*,1 | | | 44 | | | | 4,194 | |
Edgewell Personal Care Co.* | | | 149 | | | | 4,154 | |
MEDNAX, Inc.* | | | 235 | | | | 3,826 | |
Avis Budget Group, Inc.* | | | 142 | | | | 3,737 | |
Adtalem Global Education, Inc.* | | | 143 | | | | 3,509 | |
WW International, Inc.* | | | 129 | | | | 2,434 | |
Coty, Inc. — Class A | | | 779 | | | | 2,104 | |
Pilgrim’s Pride Corp.* | | | 135 | | | | 2,020 | |
Tootsie Roll Industries, Inc.1 | | | 48 | | | | 1,483 | |
Total Consumer, Non-cyclical | | | | | | | 833,706 | |
| | | | | | | | | |
Consumer, Cyclical - 9.4% |
Pool Corp. | | | 110 | | | | 36,800 | |
Caesars Entertainment, Inc.* | | | 548 | | | | 30,721 | |
Penn National Gaming, Inc.* | | | 396 | | | | 28,789 | |
Toro Co. | | | 295 | | | | 24,765 | |
Watsco, Inc. | | | 90 | | | | 20,960 | |
Five Below, Inc.* | | | 154 | | | | 19,558 | |
Williams-Sonoma, Inc. | | | 215 | | | | 19,444 | |
IAA, Inc.* | | | 369 | | | | 19,214 | |
Dunkin’ Brands Group, Inc. | | | 226 | | | | 18,512 | |
Casey’s General Stores, Inc. | | | 101 | | | | 17,943 | |
Gentex Corp. | | | 677 | | | | 17,433 | |
Scotts Miracle-Gro Co. — Class A | | | 112 | | | | 17,126 | |
Deckers Outdoor Corp.* | | | 77 | | | | 16,941 | |
Lear Corp. | | | 151 | | | | 16,467 | |
RH* | | | 43 | | | | 16,453 | |
Churchill Downs, Inc. | | | 98 | | | | 16,054 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 380 | | | | 15,789 | |
Toll Brothers, Inc. | | | 316 | | | | 15,377 | |
Polaris, Inc. | | | 159 | | | | 15,000 | |
Thor Industries, Inc. | | | 152 | | | | 14,479 | |
Lithia Motors, Inc. — Class A | | | 62 | | | | 14,132 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 156 | | | | 13,627 | |
Wyndham Hotels & Resorts, Inc. | | | 257 | | | | 12,979 | |
Brunswick Corp. | | | 218 | | | | 12,842 | |
Tempur Sealy International, Inc.* | | | 132 | | | | 11,773 | |
Skechers USA, Inc. — Class A* | | | 375 | | | | 11,333 | |
Mattel, Inc.* | | | 956 | | | | 11,185 | |
Wingstop, Inc. | | | 81 | | | | 11,069 | |
Wendy’s Co. | | | 493 | | | | 10,991 | |
Texas Roadhouse, Inc. — Class A | | | 179 | | | | 10,881 | |
Carter’s, Inc. | | | 120 | | | | 10,390 | |
Dick’s Sporting Goods, Inc. | | | 179 | | | | 10,360 | |
Harley-Davidson, Inc. | | | 422 | | | | 10,356 | |
Marriott Vacations Worldwide Corp. | | | 113 | | | | 10,262 | |
Foot Locker, Inc. | | | 287 | | | | 9,480 | |
KB Home | | | 242 | | | | 9,290 | |
Taylor Morrison Home Corp. — Class A* | | | 357 | | | | 8,779 | |
AutoNation, Inc.* | | | 161 | | | | 8,522 | |
JetBlue Airways Corp.* | | | 751 | | | | 8,509 | |
Fox Factory Holding Corp.* | | | 114 | | | | 8,474 | |
Kohl’s Corp. | | | 434 | | | | 8,042 | |
MSC Industrial Direct Company, Inc. — Class A | | | 125 | | | | 7,910 | |
Univar Solutions, Inc.* | | | 465 | | | | 7,849 | |
Cracker Barrel Old Country Store, Inc. | | | 65 | | | | 7,453 | |
Papa John’s International, Inc. | | | 90 | | | | 7,405 | |
Columbia Sportswear Co. | | | 84 | | | | 7,306 | |
Wyndham Destinations, Inc. | | | 235 | | | | 7,229 | |
Nu Skin Enterprises, Inc. — Class A | | | 142 | | | | 7,113 | |
Choice Hotels International, Inc. | | | 79 | | | | 6,791 | |
Boyd Gaming Corp. | | | 221 | | | | 6,782 | |
Avient Corp. | | | 252 | | | | 6,668 | |
FirstCash, Inc. | | | 114 | | | | 6,522 | |
TRI Pointe Group, Inc.* | | | 358 | | | | 6,494 | |
American Eagle Outfitters, Inc. | | | 411 | | | | 6,087 | |
Scientific Games Corp. — Class A* | | | 154 | | | | 5,376 | |
Visteon Corp.* | | | 77 | | | | 5,330 | |
KAR Auction Services, Inc. | | | 356 | | | | 5,126 | |
Jack in the Box, Inc. | | | 63 | | | | 4,996 | |
Goodyear Tire & Rubber Co. | | | 641 | | | | 4,916 | |
Dana, Inc. | | | 398 | | | | 4,903 | |
Herman Miller, Inc. | | | 162 | | | | 4,886 | |
Adient plc* | | | 259 | | | | 4,488 | |
Healthcare Services Group, Inc. | | | 205 | | | | 4,414 | |
Six Flags Entertainment Corp. | | | 208 | | | | 4,223 | |
Delphi Technologies plc* | | | 238 | | | | 3,977 | |
Urban Outfitters, Inc.* | | | 188 | | | | 3,912 | |
World Fuel Services Corp. | | | 175 | | | | 3,708 | |
HNI Corp. | | | 117 | | | | 3,671 | |
Nordstrom, Inc.1 | | | 299 | | | | 3,564 | |
Cinemark Holdings, Inc.1 | | | 295 | | | | 2,950 | |
Sally Beauty Holdings, Inc.* | | | 310 | | | | 2,694 | |
Total Consumer, Cyclical | | | | | | | 785,844 | |
| | | | | | | | | |
Technology - 4.3% |
Fair Isaac Corp.* | | | 80 | | | | 34,030 | |
Monolithic Power Systems, Inc. | | | 116 | | | | 32,435 | |
Ceridian HCM Holding, Inc.* | | | 357 | | | | 29,506 | |
PTC, Inc.* | | | 287 | | | | 23,741 | |
Cree, Inc.* | | | 303 | | | | 19,313 | |
Manhattan Associates, Inc.* | | | 176 | | | | 16,806 | |
MKS Instruments, Inc. | | | 152 | | | | 16,603 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Lumentum Holdings, Inc.* | | | 207 | | | $ | 15,552 | |
CACI International, Inc. — Class A* | | | 69 | | | | 14,708 | |
CDK Global, Inc. | | | 334 | | | | 14,559 | |
Science Applications International Corp. | | | 160 | | | | 12,547 | |
Silicon Laboratories, Inc.* | | | 120 | | | | 11,742 | |
MAXIMUS, Inc. | | | 169 | | | | 11,561 | |
Cabot Microelectronics Corp. | | | 80 | | | | 11,425 | |
Cirrus Logic, Inc.* | | | 161 | | | | 10,859 | |
Semtech Corp.* | | | 179 | | | | 9,480 | |
Qualys, Inc.* | | | 93 | | | | 9,115 | |
J2 Global, Inc.* | | | 124 | | | | 8,583 | |
ACI Worldwide, Inc.* | | | 320 | | | | 8,362 | |
NCR Corp.* | | | 353 | | | | 7,816 | |
Blackbaud, Inc. | | | 137 | | | | 7,649 | |
Synaptics, Inc.* | | | 95 | | | | 7,640 | |
Perspecta, Inc. | | | 377 | | | | 7,333 | |
Teradata Corp.* | | | 300 | | | | 6,810 | |
CommVault Systems, Inc.* | | | 128 | | | | 5,222 | |
NetScout Systems, Inc.* | | | 200 | | | | 4,366 | |
Total Technology | | | | | | | 357,763 | |
| | | | | | | | | |
Basic Materials - 2.0% |
RPM International, Inc. | | | 357 | | | | 29,574 | |
Royal Gold, Inc. | | | 181 | | | | 21,751 | |
Reliance Steel & Aluminum Co. | | | 175 | | | | 17,857 | |
Steel Dynamics, Inc. | | | 550 | | | | 15,747 | |
Ashland Global Holdings, Inc. | | | 150 | | | | 10,638 | |
Valvoline, Inc. | | | 509 | | | | 9,691 | |
Chemours Co. | | | 452 | | | | 9,451 | |
NewMarket Corp. | | | 20 | | | | 6,846 | |
Sensient Technologies Corp. | | | 117 | | | | 6,756 | |
Commercial Metals Co. | | | 327 | | | | 6,533 | |
Ingevity Corp.* | | | 113 | | | | 5,587 | |
Cabot Corp. | | | 155 | | | | 5,585 | |
Compass Minerals International, Inc. | | | 94 | | | | 5,579 | |
Olin Corp. | | | 392 | | | | 4,853 | |
Minerals Technologies, Inc. | | | 94 | | | | 4,803 | |
United States Steel Corp.1 | | | 607 | | | | 4,455 | |
Domtar Corp. | | | 152 | | | | 3,993 | |
Total Basic Materials | | | | | | | 169,699 | |
| | | | | | | | | |
Energy - 1.9% |
SolarEdge Technologies, Inc.* | | | 138 | | | | 32,892 | |
Enphase Energy, Inc.* | | | 347 | | | | 28,659 | |
Sunrun, Inc.* | | | 350 | | | | 26,974 | |
First Solar, Inc.* | | | 233 | | | | 15,425 | |
Murphy USA, Inc.* | | | 75 | | | | 9,620 | |
Equitrans Midstream Corp. | | | 1,120 | | | | 9,475 | |
Equities Corp. | | | 704 | | | | 9,103 | |
Cimarex Energy Co. | | | 281 | | | | 6,837 | |
CNX Resources Corp.* | | | 617 | | | | 5,824 | |
WPX Energy, Inc.* | | | 1,113 | | | | 5,454 | |
Antero Midstream Corp. | | | 788 | | | | 4,232 | |
ChampionX Corp.* | | | 512 | | | | 4,091 | |
Murphy Oil Corp.1 | | | 398 | | | | 3,550 | |
Total Energy | | | | | | | 162,136 | |
| | | | | | | | | |
Communications - 1.9% |
FactSet Research Systems, Inc. | | | 105 | | | | 35,162 | |
Cable One, Inc. | | | 15 | | | | 28,282 | |
GrubHub, Inc.* | | | 254 | | | | 18,372 | |
New York Times Co. — Class A | | | 398 | | | | 17,030 | |
Ciena Corp.* | | | 423 | | | | 16,789 | |
TEGNA, Inc. | | | 604 | | | | 7,097 | |
ViaSat, Inc.* | | | 176 | | | | 6,053 | |
World Wrestling Entertainment, Inc. — Class A | | | 128 | | | | 5,180 | |
TripAdvisor, Inc. | | | 264 | | | | 5,172 | |
Telephone & Data Systems, Inc. | | | 274 | | | | 5,052 | |
InterDigital, Inc. | | | 85 | | | | 4,850 | |
John Wiley & Sons, Inc. — Class A | | | 120 | | | | 3,805 | |
Yelp, Inc. — Class A* | | | 189 | | | | 3,797 | |
AMC Networks, Inc. — Class A* | | | 112 | | | | 2,768 | |
Total Communications | | | | | | | 159,409 | |
| | | | | | | | | |
Utilities - 1.9% |
Essential Utilities, Inc. | | | 613 | | | | 24,673 | |
UGI Corp. | | | 574 | | | | 18,931 | |
OGE Energy Corp. | | | 552 | | | | 16,554 | |
IDACORP, Inc. | | | 139 | | | | 11,106 | |
National Fuel Gas Co. | | | 251 | | | | 10,188 | |
ONE Gas, Inc. | | | 146 | | | | 10,076 | |
Hawaiian Electric Industries, Inc. | | | 300 | | | | 9,972 | |
Southwest Gas Holdings, Inc. | | | 154 | | | | 9,717 | |
Black Hills Corp. | | | 173 | | | | 9,254 | |
PNM Resources, Inc. | | | 220 | | | | 9,093 | |
Spire, Inc. | | | 142 | | | | 7,554 | |
ALLETE, Inc. | | | 143 | | | | 7,399 | |
New Jersey Resources Corp. | | | 264 | | | | 7,133 | |
NorthWestern Corp. | | | 139 | | | | 6,761 | |
Total Utilities | | | | | | | 158,411 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,704,983) | | | | | | | 4,551,252 | |
| | | | | | | | | |
MUTUAL FUNDS† - 14.5% |
Guggenheim Strategy Fund II2 | | | 30,443 | | | | 760,173 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 45,506 | | | | 454,152 | |
Total Mutual Funds | | | | |
(Cost $1,203,644) | | | | | | | 1,214,325 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 18.0% |
Federal Farm Credit Bank |
2.45% due 12/04/28 | | $ | 1,000,000 | | | | 1,003,643 | |
0.37% (3 Month U.S. Treasury Bill Rate + 0.27%, Rate Floor: 0.00%) due 05/16/223 | | | 500,000 | | | | 501,566 | |
Total Federal Agency Notes | | | | |
(Cost $1,503,599) | | | | | | | 1,505,209 | |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 8.3% |
U.S. Treasury Bills |
0.08% due 10/15/204,5 | | $ | 353,000 | | | $ | 352,989 | |
0.08% due 10/29/205,6 | | | 340,000 | | | | 339,976 | |
Total U.S. Treasury Bills | | | | |
(Cost $692,966) | | | | | | | 692,965 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,7 - 4.9% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/206 | | | 230,575 | | | | 230,575 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 95,972 | | | | 95,972 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 87,335 | | | | 87,335 | |
Total Repurchase Agreements | | | | |
(Cost $413,882) | | | | | | | 413,882 | |
| | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,8 - 0.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%9 | | | 17,465 | | | | 17,465 | |
Total Securities Lending Collateral | | | | |
(Cost $17,465) | | | | | | | 17,465 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $7,536,539) | | $ | 8,395,098 | |
Other Assets & Liabilities, net - (0.2)% | | | (15,950 | ) |
Total Net Assets - 100.0% | | $ | 8,379,148 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P MidCap 400 Index Mini Futures Contracts | | | 13 | | | | Dec 2020 | | | $ | 2,412,020 | | | $ | 20,390 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | S&P MidCap 400 Index | 0.59% (1 Month USD LIBOR + 0.45%) | At Maturity | | | 11/18/20 | | | | 479 | | | $ | 892,032 | | | $ | 9,279 | |
Barclays Bank plc | S&P MidCap 400 Index | 0.45% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 11/17/20 | | | | 1,585 | | | | 2,950,865 | | | | 1,618 | |
Goldman Sachs International | S&P MidCap 400 Index | 0.50% (1 Week USD LIBOR + 0.40%) | At Maturity | | | 11/19/20 | | | | 941 | | | | 1,752,039 | | | | 959 | |
| | | | | | | | | | | | | | $ | 5,594,936 | | | $ | 11,856 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
7 | Repurchase Agreements — See Note 6. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 4,551,252 | | | $ | — | | | $ | — | | | $ | 4,551,252 | |
Mutual Funds | | | 1,214,325 | | | | — | | | | — | | | | 1,214,325 | |
Federal Agency Notes | | | — | | | | 1,505,209 | | | | — | | | | 1,505,209 | |
U.S. Treasury Bills | | | — | | | | 692,965 | | | | — | | | | 692,965 | |
Repurchase Agreements | | | — | | | | 413,882 | | | | — | | | | 413,882 | |
Securities Lending Collateral | | | 17,465 | | | | — | | | | — | | | | 17,465 | |
Equity Futures Contracts** | | | 20,390 | | | | — | | | | — | | | | 20,390 | |
Equity Index Swap Agreements** | | | — | | | | 11,856 | | | | — | | | | 11,856 | |
Total Assets | | $ | 5,803,432 | | | $ | 2,623,912 | | | $ | — | | | $ | 8,427,344 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
MID-CAP 1.5x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 492,048 | | | $ | 245,000 | | | $ | — | | | $ | — | | | $ | 23,125 | | | $ | 760,173 | | | | 30,443 | | | $ | 5,316 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 509,945 | | | | 232,000 | | | | (300,000 | ) | | | (406 | ) | | | 12,613 | | | | 454,152 | | | | 45,506 | | | | 3,769 | |
| | | $ | 1,001,993 | | | $ | 477,000 | | | $ | (300,000 | ) | | $ | (406 | ) | | $ | 35,738 | | | $ | 1,214,325 | | | | | | | $ | 9,085 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value - including $16,908 of securities loaned (cost $5,919,013) | | $ | 6,766,891 | |
Investments in affiliated issuers, at value (cost $1,203,644) | | | 1,214,325 | |
Repurchase agreements, at value (cost $413,882) | | | 413,882 | |
Cash | | | 53 | |
Segregated cash with broker | | | 33 | |
Unrealized appreciation on OTC swap agreements | | | 11,856 | |
Receivables: |
Securities sold | | | 192,970 | |
Variation margin on futures contracts | | | 15,340 | |
Interest | | | 8,203 | |
Dividends | | | 6,406 | |
Fund shares sold | | | 4,405 | |
Swap settlement | | | 2,321 | |
Securities lending income | | | 11 | |
Total assets | | | 8,636,696 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 206,224 | |
Return of securities lending collateral | | | 17,465 | |
Securities purchased | | | 7,457 | |
Management fees | | | 6,676 | |
Distribution and service fees | | | 2,335 | |
Transfer agent and administrative fees | | | 2,032 | |
Portfolio accounting fees | | | 756 | |
Trustees’ fees* | | | 186 | |
Miscellaneous | | | 14,417 | |
Total liabilities | | | 257,548 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 8,379,148 | |
Net assets consist of: |
Paid in capital | | $ | 12,754,451 | |
Total distributable earnings (loss) | | | (4,375,303 | ) |
Net assets | | $ | 8,379,148 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,132,494 | |
Capital shares outstanding | | | 26,485 | |
Net asset value per share | | $ | 80.52 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 84.54 | |
| | | | | |
C-Class: |
Net assets | | $ | 543,092 | |
Capital shares outstanding | | | 7,872 | |
Net asset value per share | | $ | 68.99 | |
| | | | | |
H-Class: |
Net assets | | $ | 5,703,562 | |
Capital shares outstanding | | | 70,563 | |
Net asset value per share | | $ | 80.83 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 43,885 | |
Dividends from securities of affiliated issuers | | | 9,085 | |
Interest | | | 2,419 | |
Income from securities lending, net | | | 150 | |
Total investment income | | | 55,539 | |
| | | | | |
Expenses: |
Management fees | | | 49,050 | |
Distribution and service fees: |
A-Class | | | 3,603 | |
C-Class | | | 7,206 | |
H-Class | | | 8,220 | |
Transfer agent and administrative fees | | | 15,526 | |
Registration fees | | | 5,999 | |
Portfolio accounting fees | | | 5,451 | |
Professional fees | | | 4,329 | |
Custodian fees | | | 800 | |
Trustees’ fees* | | | 349 | |
Line of credit fees | | | 37 | |
Miscellaneous | | | 2,510 | |
Total expenses | | | 103,080 | |
Less: |
Expenses waived by Adviser | | | (756 | ) |
Net expenses | | | 102,324 | |
Net investment loss | | | (46,785 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | 204,112 | |
Investments in affiliated issuers | | | (406 | ) |
Swap agreements | | | 2,496,383 | |
Futures contracts | | | 299,313 | |
Net realized gain | | | 2,999,402 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 879,695 | |
Investments in affiliated issuers | | | 35,738 | |
Swap agreements | | | (92,917 | ) |
Futures contracts | | | (84,208 | ) |
Net change in unrealized appreciation (depreciation) | | | 738,308 | |
Net realized and unrealized gain | | | 3,737,710 | |
Net increase in net assets resulting from operations | | $ | 3,690,925 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (46,785 | ) | | $ | 89,713 | |
Net realized gain on investments | | | 2,999,402 | | | | 2,791,371 | |
Net change in unrealized appreciation (depreciation) on investments | | | 738,308 | | | | (165,198 | ) |
Net increase in net assets resulting from operations | | | 3,690,925 | | | | 2,715,886 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (6,471 | ) |
C-Class | | | — | | | | (7,932 | ) |
H-Class | | | — | | | | (209,346 | ) |
Total distributions to shareholders | | | — | | | | (223,749 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,232,881 | | | | 1,361,417 | |
C-Class | | | 1,050 | | | | 75,744 | |
H-Class | | | 19,646,138 | | | | 326,944,951 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 6,428 | |
C-Class | | | — | | | | 7,890 | |
H-Class | | | — | | | | 84,839 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,063,017 | ) | | | (1,750,513 | ) |
C-Class | | | (2,068,486 | ) | | | (639,883 | ) |
H-Class | | | (19,996,676 | ) | | | (341,855,663 | ) |
Net decrease from capital share transactions | | | (3,248,110 | ) | | | (15,764,790 | ) |
Net increase (decrease) in net assets | | | 442,815 | | | | (13,272,653 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 7,936,333 | | | | 21,208,986 | |
End of period | | $ | 8,379,148 | | | $ | 7,936,333 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 19,006 | | | | 16,057 | |
C-Class | | | 17 | | | | 951 | |
H-Class | | | 265,193 | | | | 3,423,458 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 66 | |
C-Class | | | — | | | | 94 | |
H-Class | | | — | | | | 869 | |
Shares redeemed | | | | | | | | |
A-Class | | | (27,327 | ) | | | (19,942 | ) |
C-Class | | | (32,253 | ) | | | (8,742 | ) |
H-Class | | | (266,705 | ) | | | (3,507,691 | ) |
Net decrease in shares | | | (42,069 | ) | | | (94,880 | ) |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 56.02 | | | $ | 89.82 | | | $ | 90.38 | | | $ | 79.90 | | | $ | 61.64 | | | $ | 67.32 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.28 | ) | | | .37 | | | | .58 | | | | .15 | | | | (.09 | ) | | | (.47 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 24.78 | | | | (33.98 | ) | | | (.73 | ) | | | 10.83 | | | | 18.50 | | | | (4.81 | ) |
Total from investment operations | | | 24.50 | | | | (33.61 | ) | | | (.15 | ) | | | 10.98 | | | | 18.41 | | | | (5.28 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.11 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Net asset value, end of period | | $ | 80.52 | | | $ | 56.02 | | | $ | 89.82 | | | $ | 90.38 | | | $ | 79.90 | | | $ | 61.64 | |
|
Total Returnc | | | 43.73 | % | | | (37.52 | %) | | | (0.11 | %) | | | 13.74 | % | | | 29.88 | % | | | (7.86 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,132 | | | $ | 1,950 | | | $ | 3,469 | | | $ | 2,382 | | | $ | 1,935 | | | $ | 1,879 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.75 | %) | | | 0.40 | % | | | 0.64 | % | | | 0.17 | % | | | (0.13 | %) | | | (0.75 | %) |
Total expensesd | | | 1.79 | % | | | 1.77 | % | | | 1.77 | % | | | 1.67 | % | | | 1.68 | % | | | 1.65 | % |
Net expensese | | | 1.78 | % | | | 1.72 | % | | | 1.75 | % | | | 1.67 | % | | | 1.68 | % | | | 1.65 | % |
Portfolio turnover rate | | | 129 | % | | | 617 | % | | | 721 | % | | | 722 | % | | | 1,216 | % | | | 1,506 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.18 | | | $ | 77.86 | | | $ | 78.99 | | | $ | 70.42 | | | $ | 54.73 | | | $ | 60.27 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.50 | ) | | | (.27 | ) | | | (.09 | ) | | | (.51 | ) | | | (.65 | ) | | | (.78 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 21.31 | | | | (29.22 | ) | | | (.63 | ) | | | 9.58 | | | | 16.49 | | | | (4.36 | ) |
Total from investment operations | | | 20.81 | | | | (29.49 | ) | | | (.72 | ) | | | 9.07 | | | | 15.84 | | | | (5.14 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.11 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Net asset value, end of period | | $ | 68.99 | | | $ | 48.18 | | | $ | 77.86 | | | $ | 78.99 | | | $ | 70.42 | | | $ | 54.73 | |
|
Total Returnc | | | 43.19 | % | | | (37.98 | %) | | | (0.86 | %) | | | 12.89 | % | | | 28.94 | % | | | (8.55 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 543 | | | $ | 1,933 | | | $ | 3,722 | | | $ | 5,875 | | | $ | 7,720 | | | $ | 4,794 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.61 | %) | | | (0.34 | %) | | | (0.12 | %) | | | (0.68 | %) | | | (1.05 | %) | | | (1.41 | %) |
Total expensesd | | | 2.55 | % | | | 2.52 | % | | | 2.51 | % | | | 2.43 | % | | | 2.42 | % | | | 2.40 | % |
Net expensese | | | 2.54 | % | | | 2.47 | % | | | 2.50 | % | | | 2.43 | % | | | 2.42 | % | | | 2.40 | % |
Portfolio turnover rate | | | 129 | % | | | 617 | % | | | 721 | % | | | 722 | % | | | 1,216 | % | | | 1,506 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 56.24 | | | $ | 90.18 | | | $ | 90.82 | | | $ | 80.23 | | | $ | 61.85 | | | $ | 67.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.28 | ) | | | .27 | | | | .42 | | | | .35 | | | | (.37 | ) | | | (.57 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 24.87 | | | | (34.02 | ) | | | (.65 | ) | | | 10.74 | | | | 18.90 | | | | (4.63 | ) |
Total from investment operations | | | 24.59 | | | | (33.75 | ) | | | (.23 | ) | | | 11.09 | | | | 18.53 | | | | (5.20 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.19 | ) | | | (.11 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Total distributions | | | — | | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) |
Net asset value, end of period | | $ | 80.83 | | | $ | 56.24 | | | $ | 90.18 | | | $ | 90.82 | | | $ | 80.23 | | | $ | 61.85 | |
|
Total Return | | | 43.72 | % | | | (37.52 | %) | | | (0.21 | %) | | | 13.82 | % | | | 29.97 | % | | | (7.73 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,704 | | | $ | 4,054 | | | $ | 14,017 | | | $ | 13,956 | | | $ | 20,071 | | | $ | 13,611 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.74 | %) | | | 0.28 | % | | | 0.49 | % | | | 0.39 | % | | | (0.50 | %) | | | (0.93 | %) |
Total expensesd | | | 1.79 | % | | | 1.79 | % | | | 1.78 | % | | | 1.66 | % | | | 1.68 | % | | | 1.66 | % |
Net expensese | | | 1.78 | % | | | 1.77 | % | | | 1.77 | % | | | 1.66 | % | | | 1.68 | % | | | 1.66 | % |
Portfolio turnover rate | | | 129 | % | | | 617 | % | | | 721 | % | | | 722 | % | | | 1,216 | % | | | 1,506 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 12.6% |
Guggenheim Strategy Fund II | 12.5% |
Total | 25.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (27.50%) | (12.26%) | (10.96%) | (13.23%) |
A-Class Shares with sales charge‡ | (30.95%) | (16.42%) | (11.82%) | (13.65%) |
C-Class Shares | (27.29%) | (12.32%) | (11.60%) | (13.88%) |
C-Class Shares with CDSC§ | (28.02%) | (13.19%) | (11.60%) | (13.88%) |
H-Class Shares | (27.51%) | (12.25%) | (10.92%) | (13.22%) |
S&P MidCap 400 Index | 29.99% | (2.16%) | 8.11% | 10.49% |
* | 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 MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE MID-CAP STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 25.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 16,159 | | | $ | 161,266 | |
Guggenheim Strategy Fund II1 | | | 6,428 | | | | 160,507 | |
Total Mutual Funds | | | | |
(Cost $319,490) | | | | | | | 321,773 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 75.4% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/203 | | $ | 538,972 | | | | 538,972 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 224,335 | | | | 224,335 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 204,145 | | | | 204,145 | |
Total Repurchase Agreements | | | | |
(Cost $967,452) | | | | | | | 967,452 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $1,286,942) | | $ | 1,289,225 | |
Other Assets & Liabilities, net - (0.5)% | | | (7,031 | ) |
Total Net Assets - 100.0% | | $ | 1,282,194 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Receive | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | S&P MidCap 400 Index | (0.20)% (1 Week USD LIBOR + 0.10%) | At Maturity | | | 11/19/20 | | | | 166 | | | $ | 308,082 | | | $ | (205 | ) |
Barclays Bank plc | S&P MidCap 400 Index | (0.30)% (1 Week USD LIBOR + 0.20%) | At Maturity | | | 11/17/20 | | | | 468 | | | | 870,216 | | | | (477 | ) |
BNP Paribas | S&P MidCap 400 Index | (0.09)% (1 Month USD LIBOR - 0.05%) | At Maturity | | | 11/18/20 | | | | 58 | | | | 108,733 | | | | (4,043 | ) |
| | | | | | | | | | | | | | $ | 1,287,031 | | | $ | (4,725 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE MID-CAP STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 321,773 | | | $ | — | | | $ | — | | | $ | 321,773 | |
Repurchase Agreements | | | — | | | | 967,452 | | | | — | | | | 967,452 | |
Total Assets | | $ | 321,773 | | | $ | 967,452 | | | $ | — | | | $ | 1,289,225 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 4,725 | | | $ | — | | | $ | 4,725 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 105,850 | | | $ | 50,000 | | | $ | — | | | $ | — | | | $ | 4,657 | | | $ | 160,507 | | | | 6,428 | | | $ | 1,087 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 103,595 | | | | 55,000 | | | | — | | | | — | | | | 2,671 | | | | 161,266 | | | | 16,159 | | | | 853 | |
| | | $ | 209,445 | | | $ | 105,000 | | | $ | — | | | $ | — | | | $ | 7,328 | | | $ | 321,773 | | | | | | | $ | 1,940 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in affiliated issuers, at value (cost $319,490) | | $ | 321,773 | |
Repurchase agreements, at value (cost $967,452) | | | 967,452 | |
Receivables: |
Fund shares sold | | | 2,988 | |
Dividends | | | 388 | |
Interest | | | 2 | |
Total assets | �� | | 1,292,603 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 4,725 | |
Payable for: |
Swap settlement | | | 2,434 | |
Management fees | | | 905 | |
Transfer agent and administrative fees | | | 280 | |
Distribution and service fees | | | 264 | |
Portfolio accounting fees | | | 104 | |
Trustees’ fees* | | | 24 | |
Miscellaneous | | | 1,673 | |
Total liabilities | | | 10,409 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 1,282,194 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,765,664 | |
Total distributable earnings (loss) | | | (5,483,470 | ) |
Net assets | | $ | 1,282,194 | |
| | | | | |
A-Class: |
Net assets | | $ | 140,270 | |
Capital shares outstanding | | | 1,513 | |
Net asset value per share | | $ | 92.73 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 97.35 | |
| | | | | |
C-Class: |
Net assets | | $ | 4,987 | |
Capital shares outstanding | | | 61 | |
Net asset value per share | | $ | 81.49 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,136,937 | |
Capital shares outstanding | | | 12,253 | |
Net asset value per share | | $ | 92.79 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 1,940 | |
Interest | | | 323 | |
Total investment income | | | 2,263 | |
| | | | | |
Expenses: |
Management fees | | | 6,954 | |
Distribution and service fees: |
A-Class | | | 190 | |
C-Class | | | 13 | |
H-Class | | | 1,738 | |
Transfer agent and administrative fees | | | 2,181 | |
Registration fees | | | 851 | |
Portfolio accounting fees | | | 773 | |
Professional fees | | | 546 | |
Custodian fees | | | 109 | |
Trustees’ fees* | | | 37 | |
Miscellaneous | | | 504 | |
Total expenses | | | 13,896 | |
Less: |
Expenses waived by Adviser | | | (171 | ) |
Net expenses | | | 13,725 | |
Net investment loss | | | (11,462 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | (581,534 | ) |
Net realized loss | | | (581,534 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in affiliated issuers | | | 7,328 | |
Swap agreements | | | (25,839 | ) |
Net change in unrealized appreciation (depreciation) | | | (18,511 | ) |
Net realized and unrealized loss | | | (600,045 | ) |
Net decrease in net assets resulting from operations | | $ | (611,507 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (11,462 | ) | | $ | 5,436 | |
Net realized loss on investments | | | (581,534 | ) | | | (47,542 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (18,511 | ) | | | 25,491 | |
Net decrease in net assets resulting from operations | | | (611,507 | ) | | | (16,615 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (688 | ) |
H-Class | | | — | | | | (4,900 | ) |
Total distributions to shareholders | | | — | | | | (5,588 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 184,492 | | | | 79,204 | |
C-Class | | | 10,000 | | | | — | |
H-Class | | | 5,023,243 | | | | 9,983,986 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 688 | |
H-Class | | | — | | | | 4,841 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (34,210 | ) | | | (170,994 | ) |
C-Class | | | (4,247 | ) | | | (107 | ) |
H-Class | | | (4,833,179 | ) | | | (9,229,767 | ) |
Net increase from capital share transactions | | | 346,099 | | | | 667,851 | |
Net increase (decrease) in net assets | | | (265,408 | ) | | | 645,648 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,547,602 | | | | 901,954 | |
End of period | | $ | 1,282,194 | | | $ | 1,547,602 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 1,349 | | | | 622 | |
C-Class | | | 109 | | | | — | |
H-Class | | | 48,899 | | | | 90,347 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 7 | |
H-Class | | | — | | | | 47 | |
Shares redeemed | | | | | | | | |
A-Class | | | (303 | ) | | | (1,380 | ) |
C-Class | | | (49 | ) | | | (1 | ) |
H-Class | | | (48,270 | ) | | | (85,812 | ) |
Net increase in shares | | | 1,735 | | | | 3,830 | |
* | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:5 reverse share split effective August 17, 2020 (Unaudited) — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
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 | | Six Months Ended
September 30, 2020a,j | | | Year Ended
March 31,
2020j | | | Year Ended
March 31,
2019j | | | Year Ended
March 29,
2018j | | | Year Ended
March 31,
2017j | | | Year Ended
March 31,
2016j | |
Per Share Data |
Net asset value, beginning of period | | $ | 127.90 | | | $ | 109.10 | | | $ | 111.55 | | | $ | 124.57 | | | $ | 153.53 | | | $ | 153.82 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.19 | ) | | | .75 | | | | .65 | | | | (.55 | ) | | | (1.40 | ) | | | (1.90 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (34.98 | ) | | | 18.85 | f | | | (3.10 | ) | | | (12.47 | ) | | | (27.56 | ) | | | 1.61 | |
Total from investment operations | | | (35.17 | ) | | | 19.60 | | | | (2.45 | ) | | | (13.02 | ) | | | (28.96 | ) | | | (.29 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 92.73 | | | $ | 127.90 | | | $ | 109.10 | | | $ | 111.55 | | | $ | 124.57 | | | $ | 153.53 | |
|
Total Returnc | | | (27.50 | %) | | | 18.13 | % | | | (2.20 | %) | | | (10.47 | %) | | | (18.89 | %) | | | (0.16 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 140 | | | $ | 60 | | | $ | 133 | | | $ | 156 | | | $ | 226 | | | $ | 111 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.48 | %) | | | 0.68 | % | | | 0.60 | % | | | (0.49 | %) | | | (1.02 | %) | | | (1.18 | %) |
Total expensesd | | | 1.80 | % | | | 1.77 | % | | | 1.77 | % | | | 1.68 | % | | | 1.68 | % | | | 1.65 | % |
Net expensese | | | 1.78 | % | | | 1.70 | % | | | 1.75 | % | | | 1.68 | % | | | 1.68 | % | | | 1.65 | % |
Portfolio turnover rate | | | — | | | | — | | | | 48 | % | | | 37 | % | | | 120 | % | | | 199 | % |
C-Class | | Six Months Ended
September 30, 2020a,j | | | Year Ended
March 31,
2020j | | | Year Ended
March 31,
2019j | | | Year Ended
March 29,
2018j | | | Year Ended
March 31,
2017j | | | Year Ended
March 31,
2016j | |
Per Share Data |
Net asset value, beginning of period | | $ | 112.07 | | | $ | 97.04 | | | $ | 99.70 | | | $ | 112.28 | | | $ | 139.43 | | | $ | 140.79 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.32 | ) | | | — | g | | | (.30 | ) | | | (1.40 | ) | | | (2.40 | ) | | | (2.95 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (30.26 | ) | | | 15.83 | f | | | (2.36 | ) | | | (11.18 | ) | | | (24.75 | ) | | | 1.59 | |
Total from investment operations | | | (30.58 | ) | | | 15.83 | | | | (2.66 | ) | | | (12.58 | ) | | | (27.15 | ) | | | (1.36 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 81.49 | | | $ | 112.07 | | | $ | 97.04 | | | $ | 99.70 | | | $ | 112.28 | | | $ | 139.43 | |
|
Total Returnc | | | (27.29 | %) | | | 16.78 | % | | | (2.71 | %) | | | (11.22 | %) | | | (19.51 | %) | | | (0.96 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5 | | | $ | — | h | | $ | — | h | | $ | 2 | | | $ | 36 | | | $ | 273 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.24 | %) | | | 0.00 | %i | | | (0.33 | %) | | | (1.30 | %) | | | (1.85 | %) | | | (2.00 | %) |
Total expensesd | | | 2.40 | % | | | 2.63 | % | | | 2.47 | % | | | 2.44 | % | | | 2.42 | % | | | 2.41 | % |
Net expenses | | | 2.40 | % | | | 2.63 | % | | | 2.47 | % | | | 2.44 | % | | | 2.42 | % | | | 2.41 | % |
Portfolio turnover rate | | | — | | | | — | | | | 48 | % | | | 37 | % | | | 120 | % | | | 199 | % |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a,j | | | Year Ended
March 31,
2020j | | | Year Ended
March 31,
2019j | | | Year Ended
March 29,
2018j | | | Year Ended
March 31,
2017j | | | Year Ended
March 31,
2016j | |
Per Share Data |
Net asset value, beginning of period | | $ | 128.00 | | | $ | 109.20 | | | $ | 111.46 | | | $ | 124.52 | | | $ | 153.44 | | | $ | 153.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.18 | ) | | | .70 | | | | .65 | | | | (.45 | ) | | | (1.55 | ) | | | (2.10 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (35.03 | ) | | | 18.90 | f | | | (2.91 | ) | | | (12.61 | ) | | | (27.37 | ) | | | 2.02 | |
Total from investment operations | | | (35.21 | ) | | | 19.60 | | | | (2.26 | ) | | | (13.06 | ) | | | (28.92 | ) | | | (.08 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 92.79 | | | $ | 128.00 | | | $ | 109.20 | | | $ | 111.46 | | | $ | 124.52 | | | $ | 153.44 | |
|
Total Return | | | (27.51 | %) | | | 18.11 | % | | | (2.02 | %) | | | (10.48 | %) | | | (18.87 | %) | | | (0.07 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,137 | | | $ | 1,488 | | | $ | 769 | | | $ | 509 | | | $ | 606 | | | $ | 2,680 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.48 | %) | | | 0.65 | % | | | 0.61 | % | | | (0.39 | %) | | | (1.10 | %) | | | (1.32 | %) |
Total expensesd | | | 1.80 | % | | | 1.78 | % | | | 1.77 | % | | | 1.68 | % | | | 1.67 | % | | | 1.65 | % |
Net expensese | | | 1.78 | % | | | 1.70 | % | | | 1.75 | % | | | 1.68 | % | | | 1.67 | % | | | 1.65 | % |
Portfolio turnover rate | | | — | | | | — | | | | 48 | % | | | 37 | % | | | 120 | % | | | 199 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
g | Less than $0.01 per share. |
h | Less than $1,000 in Net Assets. |
i | Less than 0.01%. |
j | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
RUSSELL 2000® 1.5X STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | January 23, 2001 |
H-Class | November 1, 2000 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 5.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.7% |
Total | 11.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 46.83% | (7.41%) | 7.52% | 10.76% |
A-Class Shares with sales charge‡ | 39.87% | (11.81%) | 6.48% | 10.23% |
C-Class Shares | 46.33% | (8.09%) | 6.72% | 9.94% |
C-Class Shares with CDSC§ | 45.33% | (9.01%) | 6.72% | 9.94% |
H-Class Shares | 46.85% | (7.41%) | 7.48% | 10.74% |
Russell 2000 Index | 31.60% | 0.39% | 9.22% | 11.50% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Tobira Therapeutics, Inc.* | | | 14 | | | $ | — | |
Omthera Pharmaceuticals, Inc.* | | | 57 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Communications - 0.0% |
Nexstar Media Group, Inc.* | | | 85 | | | | — | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
MUTUAL FUNDS† - 11.5% |
Guggenheim Strategy Fund II1 | | | 14,841 | | | | 370,575 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 36,944 | | | | 368,702 | |
Total Mutual Funds | | | | |
(Cost $723,781) | | | | | | | 739,277 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 48.1% |
Federal Farm Credit Bank |
0.40% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/222 | | | 1,000,000 | | | | 1,003,885 | |
2.45% due 12/04/28 | | | 700,000 | | | | 702,550 | |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/222 | | | 250,000 | | | | 251,013 | |
0.32% (U.S. Prime Rate - 2.94%, Rate Floor: 0.00%) due 10/30/202 | | | 100,000 | | | | 100,017 | |
Federal Home Loan Bank |
0.16% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 01/04/212 | | | 525,000 | | | | 524,961 | |
Freddie Mac |
0.75% due 04/27/23 | | | 500,000 | | | | 500,162 | |
Total Federal Agency Notes | | | | |
(Cost $3,077,757) | | | | | | | 3,082,588 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 11.5% |
U.S. Treasury Bills |
0.08% due 10/29/203,4 | | | 575,000 | | | | 574,959 | |
0.07% due 10/29/203,4 | | | 100,000 | | | | 99,993 | |
0.08% due 10/15/204,5 | | | 59,000 | | | | 58,998 | |
Total U.S. Treasury Bills | | | | |
(Cost $733,956) | | | | | | | 733,950 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 25.5% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/203 | | | 911,047 | | | | 911,047 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 379,203 | | | | 379,203 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 345,075 | | | | 345,075 | |
Total Repurchase Agreements | | | | |
(Cost $1,635,325) | | | | | | | 1,635,325 | |
| | | | | | | | | |
Total Investments - 96.6% | | | | |
(Cost $6,170,819) | | $ | 6,191,140 | |
Other Assets & Liabilities, net - 3.4% | | | 216,629 | |
Total Net Assets - 100.0% | | $ | 6,407,769 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 26 | | | | Dec 2020 | | | $ | 1,956,890 | | | $ | 54,343 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation (Depreciation) | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | Russell 2000 Index | 0.24% (1 Month USD LIBOR + 0.10%) | At Maturity | | | 11/18/20 | | | | 2,536 | | | $ | 3,823,804 | | | $ | 142,620 | |
Goldman Sachs International | Russell 2000 Index | 0.35% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 11/19/20 | | | | 74 | | | | 111,483 | | | | (152 | ) |
Barclays Bank plc | Russell 2000 Index | 0.10% (1 Week USD LIBOR) | At Maturity | | | 11/17/20 | | | | 2,472 | | | | 3,727,319 | | | | (6,551 | ) |
| | | | | | | | | | | | | | $ | 7,662,606 | | | $ | 135,917 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
6 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Rights | | $ | — | | | $ | — | | | $ | — | * | | $ | — | |
Mutual Funds | | | 739,277 | | | | — | | | | — | | | | 739,277 | |
Federal Agency Notes | | | — | | | | 3,082,588 | | | | — | | | | 3,082,588 | |
U.S. Treasury Bills | | | — | | | | 733,950 | | | | — | | | | 733,950 | |
Repurchase Agreements | | | — | | | | 1,635,325 | | | | — | | | | 1,635,325 | |
Equity Futures Contracts** | | | 54,343 | | | | — | | | | — | | | | 54,343 | |
Equity Index Swap Agreements** | | | — | | | | 142,620 | | | | — | | | | 142,620 | |
Total Assets | | $ | 793,620 | | | $ | 5,594,483 | | | $ | — | | | $ | 6,388,103 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 6,703 | | | $ | — | | | $ | 6,703 | |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 205,017 | | | $ | 155,000 | | | $ | — | | | $ | — | | | $ | 10,558 | | | $ | 370,575 | | | | 14,841 | | | $ | 2,466 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 204,752 | | | | 158,000 | | | | — | | | | — | | | | 5,950 | | | | 368,702 | | | | 36,944 | | | | 1,942 | |
| | | $ | 409,769 | | | $ | 313,000 | | | $ | — | | | $ | — | | | $ | 16,508 | | | $ | 739,277 | | | | | | | $ | 4,408 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $3,811,713) | | $ | 3,816,538 | |
Investments in affiliated issuers, at value (cost $723,781) | | | 739,277 | |
Repurchase agreements, at value (cost $1,635,325) | | | 1,635,325 | |
Segregated cash with broker | | | 92,097 | |
Unrealized appreciation on OTC swap agreements | | | 142,620 | |
Receivables: |
Interest | | | 7,857 | |
Swap settlement | | | 5,005 | |
Fund shares sold | | | 2,050 | |
Dividends | | | 893 | |
Total assets | | | 6,441,662 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 6,703 | |
Payable for: |
Fund shares redeemed | | | 6,353 | |
Management fees | | | 4,871 | |
Registration fees | | | 3,573 | |
Licensing fees | | | 2,811 | |
Variation margin on futures contracts | | | 2,210 | |
Transfer agent and administrative fees | | | 1,478 | |
Distribution and service fees | | | 1,394 | |
Portfolio accounting fees | | | 550 | |
Trustees’ fees* | | | 109 | |
Miscellaneous | | | 3,841 | |
Total liabilities | | | 33,893 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 6,407,769 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,307,890 | |
Total distributable earnings (loss) | | | 2,099,879 | |
Net assets | | $ | 6,407,769 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,253,174 | |
Capital shares outstanding | | | 21,793 | |
Net asset value per share | | $ | 57.50 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 60.37 | |
| | | | | |
C-Class: |
Net assets | | $ | 30,401 | |
Capital shares outstanding | | | 630 | |
Net asset value per share | | $ | 48.26 | |
| | | | | |
H-Class: |
Net assets | | $ | 5,124,194 | |
Capital shares outstanding | | | 89,471 | |
Net asset value per share | | $ | 57.27 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 4,408 | |
Interest | | | 6,599 | |
Total investment income | | | 11,007 | |
| | | | | |
Expenses: |
Management fees | | | 27,455 | |
Distribution and service fees: |
A-Class | | | 1,529 | |
C-Class | | | 152 | |
H-Class | | | 6,060 | |
Transfer agent and administrative fees | | | 8,668 | |
Registration fees | | | 3,358 | |
Portfolio accounting fees | | | 3,051 | |
Professional fees | | | 2,274 | |
Custodian fees | | | 439 | |
Trustees’ fees* | | | 167 | |
Miscellaneous | | | 2,827 | |
Total expenses | | | 55,980 | |
Less: |
Expenses waived by Adviser | | | (389 | ) |
Net expenses | | | 55,591 | |
Net investment loss | | | (44,584 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,643 | |
Swap agreements | | | 1,938,709 | |
Futures contracts | | | 108,423 | |
Net realized gain | | | 2,048,775 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 654 | |
Investments in affiliated issuers | | | 16,508 | |
Swap agreements | | | 33,262 | |
Futures contracts | | | (25,895 | ) |
Net change in unrealized appreciation (depreciation) | | | 24,529 | |
Net realized and unrealized gain | | | 2,073,304 | |
Net increase in net assets resulting from operations | | $ | 2,028,720 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (44,584 | ) | | $ | 25,700 | |
Net realized gain (loss) on investments | | | 2,048,775 | | | | (99,789 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 24,529 | | | | (79,838 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,028,720 | | | | (153,927 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 33,294 | | | | 193,205 | |
C-Class | | | 11,366 | | | | 11,734 | |
H-Class | | | 3,116,377 | | | | 212,569,841 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (164,572 | ) | | | (674,399 | ) |
C-Class | | | (13,077 | ) | | | (54,294 | ) |
H-Class | | | (2,920,478 | ) | | | (216,394,438 | ) |
Net increase (decrease) from capital share transactions | | | 62,910 | | | | (4,348,351 | ) |
Net increase (decrease) in net assets | | | 2,091,630 | | | | (4,502,278 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 4,316,139 | | | | 8,818,417 | |
End of period | | $ | 6,407,769 | | | $ | 4,316,139 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 712 | | | | 3,369 | |
C-Class | | | 257 | | | | 210 | |
H-Class | | | 58,446 | | | | 3,198,054 | |
Shares redeemed | | | | | | | | |
A-Class | | | (3,115 | ) | | | (11,618 | ) |
C-Class | | | (287 | ) | | | (995 | ) |
H-Class | | | (54,790 | ) | | | (3,217,593 | ) |
Net increase (decrease) in shares | | | 1,223 | | | | (28,573 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.16 | | | $ | 63.62 | | | $ | 64.49 | | | $ | 55.99 | | | $ | 44.78 | | | $ | 58.05 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.38 | ) | | | .32 | | | | .34 | | | | .02 | | | | (.32 | ) | | | (.43 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.72 | | | | (24.78 | ) | | | (1.21 | )f | | | 8.48 | | | | 16.87 | | | | (9.03 | ) |
Total from investment operations | | | 18.34 | | | | (24.46 | ) | | | (.87 | ) | | | 8.50 | | | | 16.55 | | | | (9.46 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Net asset value, end of period | | $ | 57.50 | | | $ | 39.16 | | | $ | 63.62 | | | $ | 64.49 | | | $ | 55.99 | | | $ | 44.78 | |
|
Total Returnc | | | 46.83 | % | | | (38.45 | %) | | | (1.35 | %) | | | 15.18 | % | | | 38.01 | % | | | (16.75 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,253 | | | $ | 948 | | | $ | 2,064 | | | $ | 1,400 | | | $ | 1,172 | | | $ | 497 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.46 | %) | | | 0.50 | % | | | 0.52 | % | | | 0.03 | % | | | (0.62 | %) | | | (0.85 | %) |
Total expensesd | | | 1.83 | % | | | 1.82 | % | | | 1.80 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Net expensese | | | 1.82 | % | | | 1.76 | % | | | 1.78 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Portfolio turnover rate | | | — | | | | 93 | % | | | 258 | % | | | 580 | % | | | 1,315 | % | | | 971 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.98 | | | $ | 54.00 | | | $ | 55.14 | | | $ | 48.24 | | | $ | 39.44 | | | $ | 52.01 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.49 | ) | | | (.12 | ) | | | (.30 | ) | | | (.40 | ) | | | (.63 | ) | | | (.73 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.77 | | | | (20.90 | ) | | | (.84 | )f | | | 7.30 | | | | 14.77 | | | | (8.03 | ) |
Total from investment operations | | | 15.28 | | | | (21.02 | ) | | | (1.14 | ) | | | 6.90 | | | | 14.14 | | | | (8.76 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Net asset value, end of period | | $ | 48.26 | | | $ | 32.98 | | | $ | 54.00 | | | $ | 55.14 | | | $ | 48.24 | | | $ | 39.44 | |
|
Total Returnc | | | 46.33 | % | | | (38.93 | %) | | | (2.07 | %) | | | 14.30 | % | | | 36.98 | % | | | (17.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 30 | | | $ | 22 | | | $ | 78 | | | $ | 1,017 | | | $ | 1,494 | | | $ | 1,322 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.22 | %) | | | (0.22 | %) | | | (0.50 | %) | | | (0.78 | %) | | | (1.41 | %) | | | (1.62 | %) |
Total expensesd | | | 2.58 | % | | | 2.57 | % | | | 2.54 | % | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % |
Net expensese | | | 2.57 | % | | | 2.51 | % | | | 2.53 | % | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % |
Portfolio turnover rate | | | — | | | | 93 | % | | | 258 | % | | | 580 | % | | | 1,315 | % | | | 971 | % |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.00 | | | $ | 63.37 | | | $ | 64.22 | | | $ | 55.86 | | | $ | 44.75 | | | $ | 57.94 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.38 | ) | | | .09 | | | | .29 | | | | (.11 | ) | | | (.51 | ) | | | (.51 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.65 | | | | (24.46 | ) | | | (1.14 | )f | | | 8.47 | | | | 16.96 | | | | (8.87 | ) |
Total from investment operations | | | 18.27 | | | | (24.37 | ) | | | (.85 | ) | | | 8.36 | | | | 16.45 | | | | (9.38 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | (5.34 | ) | | | (3.81 | ) |
Net asset value, end of period | | $ | 57.27 | | | $ | 39.00 | | | $ | 63.37 | | | $ | 64.22 | | | $ | 55.86 | | | $ | 44.75 | |
|
Total Return | | | 46.85 | % | | | (38.46 | %) | | | (1.32 | %) | | | 14.97 | % | | | 37.80 | % | | | (16.63 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,124 | | | $ | 3,347 | | | $ | 6,676 | | | $ | 7,178 | | | $ | 8,447 | | | $ | 8,049 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.46 | %) | | | 0.14 | % | | | 0.46 | % | | | (0.18 | %) | | | (0.98 | %) | | | (1.01 | %) |
Total expensesd | | | 1.83 | % | | | 1.84 | % | | | 1.81 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Net expensese | | | 1.82 | % | | | 1.80 | % | | | 1.80 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Portfolio turnover rate | | | — | | | | 93 | % | | | 258 | % | | | 580 | % | | | 1,315 | % | | | 971 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the year 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 SEMI-ANNUAL REPORT | 97 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
RUSSELL 2000® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 30.55% | (1.38%) | 6.18% | 8.09% |
A-Class Shares with sales charge‡ | 24.34% | (6.07%) | 5.15% | 7.57% |
C-Class Shares | 30.04% | (2.14%) | 5.39% | 7.25% |
C-Class Shares with CDSC§ | 29.04% | (3.10%) | 5.39% | 7.25% |
H-Class Shares | 30.53% | (1.39%) | 6.19% | 8.07% |
Russell 2000 Index | 31.60% | 0.39% | 9.22% | 11.50% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Elanco Animal Health, Inc.* | | | 505 | | | $ | — | |
Tobira Therapeutics, Inc.* | | | 141 | | | | — | |
Omthera Pharmaceuticals, Inc.* | | | 86 | | | | — | |
Oncternal Therapeutics, Inc.* | | | 7 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Communications - 0.0% |
Nexstar Media Group, Inc.* | | | 2,530 | | | | — | |
Total Rights | | | | |
(Cost $104) | | | | | | | — | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 48.9% |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/221 | | $ | 4,000,000 | | | | 4,016,201 | |
0.39% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/221 | | | 2,000,000 | | | | 2,006,531 | |
0.40% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/221 | | | 1,000,000 | | | | 1,003,885 | |
Federal Home Loan Bank |
0.13% (3 Month USD LIBOR - 0.17%, Rate Floor: 0.00%) due 01/06/211 | | | 2,500,000 | | | | 2,499,915 | |
Freddie Mac |
0.75% due 04/27/23 | | | 1,500,000 | | | | 1,500,487 | |
Total Federal Agency Notes | | | | |
(Cost $11,000,330) | | | | | | | 11,027,019 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 14.5% |
U.S. Treasury Bills |
0.08% due 10/29/202,3 | | | 2,100,000 | | | | 2,099,849 | |
0.07% due 10/29/202,3 | | | 900,000 | | | | 899,935 | |
0.08% due 10/15/203,4 | | | 269,000 | | | | 268,992 | |
Total U.S. Treasury Bills | | | | |
(Cost $3,268,807) | | | | | | | 3,268,776 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 36.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/202 | | | 4,594,526 | | | | 4,594,526 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 1,912,370 | | | | 1,912,370 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 1,740,256 | | | | 1,740,256 | |
Total Repurchase Agreements | | | | |
(Cost $8,247,152) | | | | | | | 8,247,152 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $22,516,393) | | $ | 22,542,947 | |
Other Assets & Liabilities, net - 0.0% | | | (7,416 | ) |
Total Net Assets - 100.0% | | $ | 22,535,531 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 27 | | | | Dec 2020 | | | $ | 2,032,155 | | | $ | 64,611 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
RUSSELL 2000® FUND | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation (Depreciation) | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | Russell 2000 Index | 0.24% (1 Month USD LIBOR + 0.10%) | At Maturity | | | 11/18/20 | | | | 974 | | | $ | 1,467,883 | | | $ | 54,749 | |
Goldman Sachs International | Russell 2000 Index | 0.35% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 11/19/20 | | | | 894 | | | | 1,348,591 | | | | (3,419 | ) |
Barclays Bank plc | Russell 2000 Index | 0.10% (1 Week USD LIBOR) | At Maturity | | | 11/17/20 | | | | 11,753 | | | | 17,719,994 | | | | (30,469 | ) |
| | | | | | | | | | | | | | $ | 20,536,468 | | | $ | 20,861 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
5 | 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 September 30, 2020 (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 | |
Rights | | $ | — | | | $ | — | | | $ | — | * | | $ | — | |
Federal Agency Notes | | | — | | | | 11,027,019 | | | | — | | | | 11,027,019 | |
U.S. Treasury Bills | | | — | | | | 3,268,776 | | | | — | | | | 3,268,776 | |
Repurchase Agreements | | | — | | | | 8,247,152 | | | | — | | | | 8,247,152 | |
Equity Futures Contracts** | | | 64,611 | | | | — | | | | — | | | | 64,611 | |
Equity Index Swap Agreements** | | | — | | | | 54,749 | | | | — | | | | 54,749 | |
Total Assets | | $ | 64,611 | | | $ | 22,597,696 | | | $ | — | | | $ | 22,662,307 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 33,888 | | | $ | — | | | $ | 33,888 | |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $14,269,241) | | $ | 14,295,795 | |
Repurchase agreements, at value (cost $8,247,152) | | | 8,247,152 | |
Unrealized appreciation on OTC swap agreements | | | 54,749 | |
Receivables: |
Fund shares sold | | | 34,350 | |
Interest | | | 8,669 | |
Swap settlement | | | 7,554 | |
Total assets | | | 22,648,269 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 33,888 | |
Payable for: |
Management fees | | | 15,505 | |
Licensing fees | | | 9,233 | |
Fund shares redeemed | | | 6,837 | |
Distribution and service fees | | | 6,321 | |
Transfer agent and administrative fees | | | 5,560 | |
Portfolio accounting fees | | | 3,101 | |
Variation margin on futures contracts | | | 3,021 | |
Trustees’ fees* | | | 427 | |
Miscellaneous | | | 28,845 | |
Total liabilities | | | 112,738 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 22,535,531 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 25,924,792 | |
Total distributable earnings (loss) | | | (3,389,261 | ) |
Net assets | | $ | 22,535,531 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,805,387 | |
Capital shares outstanding | | | 185,467 | |
Net asset value per share | | $ | 42.09 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 44.19 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,781,458 | |
Capital shares outstanding | | | 48,065 | |
Net asset value per share | | $ | 37.06 | |
| | | | | |
H-Class: |
Net assets | | $ | 12,948,686 | |
Capital shares outstanding | | | 308,366 | |
Net asset value per share | | $ | 41.99 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Interest | | $ | 15,032 | |
Total investment income | | | 15,032 | |
| | | | | |
Expenses: |
Management fees | | | 83,023 | |
Distribution and service fees: |
A-Class | | | 9,374 | |
C-Class | | | 9,206 | |
H-Class | | | 16,001 | |
Transfer agent and administrative fees | | | 31,726 | |
Portfolio accounting fees | | | 16,603 | |
Registration fees | | | 12,184 | |
Professional fees | | | 8,066 | |
Custodian fees | | | 1,640 | |
Trustees’ fees* | | | 537 | |
Miscellaneous | | | 10,410 | |
Total expenses | | | 198,770 | |
Net investment loss | | | (183,738 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 67 | |
Swap agreements | | | 4,715,939 | |
Futures contracts | | | 319,006 | |
Net realized gain | | | 5,035,012 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 34,145 | |
Swap agreements | | | (386,867 | ) |
Futures contracts | | | (99,465 | ) |
Net change in unrealized appreciation (depreciation) | | | (452,187 | ) |
Net realized and unrealized gain | | | 4,582,825 | |
Net increase in net assets resulting from operations | | $ | 4,399,087 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (183,738 | ) | | $ | (17,866 | ) |
Net realized gain (loss) on investments | | | 5,035,012 | | | | (4,222,937 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (452,187 | ) | | | (3,894,018 | ) |
Net increase (decrease) in net assets resulting from operations | | | 4,399,087 | | | | (8,134,821 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (245,858 | ) |
C-Class | | | — | | | | (43,126 | ) |
H-Class | | | — | | | | (276,721 | ) |
Total distributions to shareholders | | | — | | | | (565,705 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 915,599 | | | | 3,057,098 | |
C-Class | | | 566,543 | | | | 815,695 | |
H-Class | | | 32,801,353 | | | | 178,802,664 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 241,990 | |
C-Class | | | — | | | | 36,271 | |
H-Class | | | — | | | | 274,144 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (5,384,381 | ) | | | (7,262,452 | ) |
C-Class | | | (844,597 | ) | | | (1,845,375 | ) |
H-Class | | | (28,951,679 | ) | | | (187,602,791 | ) |
Net decrease from capital share transactions | | | (897,162 | ) | | | (13,482,756 | ) |
Net increase (decrease) in net assets | | | 3,501,925 | | | | (22,183,282 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 19,033,606 | | | | 41,216,888 | |
End of period | | $ | 22,535,531 | | | $ | 19,033,606 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 23,088 | | | | 73,128 | |
C-Class | | | 17,089 | | | | 21,433 | |
H-Class | | | 806,867 | | | | 4,120,156 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 5,216 | |
C-Class | | | — | | | | 883 | |
H-Class | | | — | | | | 5,922 | |
Shares redeemed | | | | | | | | |
A-Class | | | (169,851 | ) | | | (169,984 | ) |
C-Class | | | (24,813 | ) | | | (50,018 | ) |
H-Class | | | (707,717 | ) | | | (4,360,424 | ) |
Net decrease in shares | | | (55,337 | ) | | | (353,688 | ) |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.24 | | | $ | 43.81 | | | $ | 43.67 | | | $ | 41.61 | | | $ | 33.56 | | | $ | 38.88 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.32 | ) | | | — | c | | | (.05 | ) | | | (.17 | ) | | | (.21 | ) | | | (.29 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.17 | | | | (10.89 | ) | | | .19 | e | | | 4.34 | | | | 8.26 | | | | (4.12 | ) |
Total from investment operations | | | 9.85 | | | | (10.89 | ) | | | .14 | | | | 4.17 | | | | 8.05 | | | | (4.41 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Total distributions | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Net asset value, end of period | | $ | 42.09 | | | $ | 32.24 | | | $ | 43.81 | | | $ | 43.67 | | | $ | 41.61 | | | $ | 33.56 | |
|
Total Returnd | | | 30.55 | % | | | (25.32 | %) | | | 0.32 | % | | | 10.03 | % | | | 23.96 | % | | | (11.43 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,805 | | | $ | 10,712 | | | $ | 18,569 | | | $ | 17,163 | | | $ | 14,650 | | | $ | 11,993 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.60 | %) | | | — | | | | (0.11 | %) | | | (0.40 | %) | | | (0.54 | %) | | | (0.83 | %) |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % |
Portfolio turnover rate | | | — | | | | 35 | % | | | 112 | % | | | 167 | % | | | 203 | % | | | 442 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.50 | | | $ | 39.09 | | | $ | 39.26 | | | $ | 37.87 | | | $ | 30.78 | | | $ | 36.00 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.41 | ) | | | (.29 | ) | | | (.37 | ) | | | (.45 | ) | | | (.44 | ) | | | (.51 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 8.97 | | | | (9.62 | ) | | | .20 | e | | | 3.95 | | | | 7.53 | | | | (3.80 | ) |
Total from investment operations | | | 8.56 | | | | (9.91 | ) | | | (.17 | ) | | | 3.50 | | | | 7.09 | | | | (4.31 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Total distributions | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Net asset value, end of period | | $ | 37.06 | | | $ | 28.50 | | | $ | 39.09 | | | $ | 39.26 | | | $ | 37.87 | | | $ | 30.78 | |
|
Total Returnd | | | 30.04 | % | | | (25.88 | %) | | | (0.43 | %) | | | 9.21 | % | | | 23.03 | % | | | (12.07 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,781 | | | $ | 1,590 | | | $ | 3,264 | | | $ | 5,277 | | | $ | 5,841 | | | $ | 2,760 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.36 | %) | | | (0.74 | %) | | | (0.91 | %) | | | (1.16 | %) | | | (1.27 | %) | | | (1.56 | %) |
Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % |
Portfolio turnover rate | | | — | | | | 35 | % | | | 112 | % | | | 167 | % | | | 203 | % | | | 442 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.17 | | | $ | 43.70 | | | $ | 43.57 | | | $ | 41.51 | | | $ | 33.48 | | | $ | 38.79 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.32 | ) | | | .01 | | | | (.06 | ) | | | (.19 | ) | | | (.21 | ) | | | (.35 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.14 | | | | (10.86 | ) | | | .19 | e | | | 4.36 | | | | 8.24 | | | | (4.05 | ) |
Total from investment operations | | | 9.82 | | | | (10.85 | ) | | | .13 | | | | 4.17 | | | | 8.03 | | | | (4.40 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Total distributions | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) | | | — | | | | (.91 | ) |
Net asset value, end of period | | $ | 41.99 | | | $ | 32.17 | | | $ | 43.70 | | | $ | 43.57 | | | $ | 41.51 | | | $ | 33.48 | |
|
Total Return | | | 30.53 | % | | | (25.30 | %) | | | 0.30 | % | | | 10.03 | % | | | 23.95 | % | | | (11.43 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,949 | | | $ | 6,731 | | | $ | 19,384 | | | $ | 24,713 | | | $ | 29,466 | | | $ | 46,251 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.59 | %) | | | 0.01 | % | | | (0.14 | %) | | | (0.43 | %) | | | (0.54 | %) | | | (0.97 | %) |
Total expenses | | | 1.73 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
Portfolio turnover rate | | | — | | | | 35 | % | | | 112 | % | | | 167 | % | | | 203 | % | | | 442 | % |
a | Unaudited figures for the period ended September 30, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | The amount shown for a share outstanding throughout the periods does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 7.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.8% |
Total | 15.7% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (29.34%) | (16.16%) | (11.89%) | (13.87%) |
A-Class Shares with sales charge‡ | (32.69%) | (20.14%) | (12.74%) | (14.29%) |
C-Class Shares | (29.63%) | (16.77%) | (12.55%) | (14.51%) |
C-Class Shares with CDSC§ | (30.33%) | (17.60%) | (12.55%) | (14.51%) |
H-Class Shares | (29.35%) | (16.13%) | (11.86%) | (13.85%) |
Russell 2000 Index | 31.60% | 0.39% | 9.22% | 11.50% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 15.7% |
Guggenheim Strategy Fund II1 | | | 59,132 | | | $ | 1,476,534 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 147,551 | | | | 1,472,561 | |
Total Mutual Funds | | | | |
(Cost $2,911,333) | | | | | | | 2,949,095 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 32.4% |
Federal Home Loan Bank |
2.63% due 10/01/20 | | $ | 2,500,000 | | | | 2,500,000 | |
0.13% (3 Month USD LIBOR - 0.17%, Rate Floor: 0.00%) due 01/06/212 | | | 2,200,000 | | | | 2,199,926 | |
0.10% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 12/18/202 | | | 265,000 | | | | 264,990 | |
Freddie Mac |
0.75% due 04/27/23 | | | 1,000,000 | | | | 1,000,324 | |
Federal Farm Credit Bank |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 120,000 | | | | 120,503 | |
Total Federal Agency Notes | | | | |
(Cost $6,086,106) | | | | | | | 6,085,743 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.5% |
U.S. Treasury Bills |
0.08% due 10/29/203,4 | | | 100,000 | | | | 99,993 | |
Total U.S. Treasury Bills | | | | |
(Cost $99,994) | | | | | | | 99,993 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 37.1% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/203 | | | 3,882,751 | | | | 3,882,751 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 1,616,109 | | | | 1,616,109 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/203 | | | 1,470,659 | | | | 1,470,659 | |
Total Repurchase Agreements | | | | |
(Cost $6,969,519) | | | | | | | 6,969,519 | |
| | | | | | | | | |
Total Investments - 85.7% | | | | |
(Cost $16,066,952) | | $ | 16,104,350 | |
Other Assets & Liabilities, net - 14.3% | | | 2,694,076 | |
Total Net Assets - 100.0% | | $ | 18,798,426 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Sold Short† |
Russell 2000 Index Mini Futures Contracts | | | 56 | | | | Dec 2020 | | | $ | 4,214,840 | | | $ | 39,747 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation (Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | Russell 2000 Index | (0.05)% (1 Week USD LIBOR - 0.05%) | At Maturity | | | 11/19/20 | | | | 9,129 | | | $ | 13,763,043 | | | $ | 20,039 | |
Barclays Bank plc | Russell 2000 Index | 0.40% (1 Week USD LIBOR - 0.50%) | At Maturity | | | 11/17/20 | | | | 325 | | | | 489,282 | | | | 860 | |
BNP Paribas | Russell 2000 Index | 0.26% (1 Month USD LIBOR - 0.40%) | At Maturity | | | 11/18/20 | | | | 217 | | | | 326,834 | | | | (12,191 | ) |
| | | | | | | | | | | | | | $ | 14,579,159 | | | $ | 8,708 | |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | 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 September 30, 2020 (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 | |
Mutual Funds | | $ | 2,949,095 | | | $ | — | | | $ | — | | | $ | 2,949,095 | |
Federal Agency Notes | | | — | | | | 6,085,743 | | | | — | | | | 6,085,743 | |
U.S. Treasury Bills | | | — | | | | 99,993 | | | | — | | | | 99,993 | |
Repurchase Agreements | | | — | | | | 6,969,519 | | | | — | | | | 6,969,519 | |
Equity Futures Contracts** | | | 39,747 | | | | — | | | | — | | | | 39,747 | |
Equity Index Swap Agreements** | | | — | | | | 20,899 | | | | — | | | | 20,899 | |
Total Assets | | $ | 2,988,842 | | | $ | 13,176,154 | | | $ | — | | | $ | 16,164,996 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 12,191 | | | $ | — | | | $ | 12,191 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 826,823 | | | $ | 600,000 | | | $ | — | | | $ | — | | | $ | 49,711 | | | $ | 1,476,534 | | | | 59,132 | | | $ | 11,303 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,068,939 | | | | 375,000 | | | | — | | | | — | | | | 28,622 | | | | 1,472,561 | | | | 147,551 | | | | 8,966 | |
| | | $ | 1,895,762 | | | $ | 975,000 | | | $ | — | | | $ | — | | | $ | 78,333 | | | $ | 2,949,095 | | | | | | | $ | 20,269 | |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $6,186,100) | | $ | 6,185,736 | |
Investments in affiliated issuers, at value (cost $2,911,333) | | | 2,949,095 | |
Repurchase agreements, at value (cost $6,969,519) | | | 6,969,519 | |
Segregated cash with broker | | | 335,810 | |
Unrealized appreciation on OTC swap agreements | | | 20,899 | |
Receivables: |
Fund shares sold | | | 2,505,000 | |
Interest | | | 36,816 | |
Variation margin on futures contracts | | | 4,034 | |
Dividends | | | 3,560 | |
Total assets | | | 19,010,469 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 12,191 | |
Payable for: |
Fund shares redeemed | | | 139,652 | |
Management fees | | | 12,028 | |
Swap settlement | | | 9,998 | |
Transfer agent and administrative fees | | | 3,684 | |
Distribution and service fees | | | 3,478 | |
Portfolio accounting fees | | | 1,370 | |
Trustees’ fees* | | | 341 | |
Miscellaneous | | | 29,301 | |
Total liabilities | | | 212,043 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 18,798,426 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 55,068,180 | |
Total distributable earnings (loss) | | | (36,269,754 | ) |
Net assets | | $ | 18,798,426 | |
| | | | | |
A-Class: |
Net assets | | $ | 497,446 | |
Capital shares outstanding | | | 5,837 | |
Net asset value per share | | $ | 85.22 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 89.47 | |
| | | | | |
C-Class: |
Net assets | | $ | 93,099 | |
Capital shares outstanding | | | 1,239 | |
Net asset value per share | | $ | 75.11 | |
| | | | | |
H-Class: |
Net assets | | $ | 18,207,881 | |
Capital shares outstanding | | | 212,834 | |
Net asset value per share | | $ | 85.55 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 20,269 | |
Interest | | | 16,124 | |
Total investment income | | | 36,393 | |
| | | | | |
Expenses: |
Management fees | | | 89,020 | |
Distribution and service fees: |
A-Class | | | 628 | |
C-Class | | | 392 | |
H-Class | | | 24,002 | |
Transfer agent and administrative fees | | | 28,210 | |
Registration fees | | | 10,888 | |
Portfolio accounting fees | | | 9,893 | |
Professional fees | | | 7,364 | |
Custodian fees | | | 1,448 | |
Trustees’ fees* | | | 470 | |
Miscellaneous | | | 10,846 | |
Total expenses | | | 183,161 | |
Less: |
Expenses waived by Adviser | | | (1,781 | ) |
Net expenses | | | 181,380 | |
Net investment loss | | | (144,987 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,063 | |
Swap agreements | | | (7,894,445 | ) |
Futures contracts | | | (350,588 | ) |
Net realized loss | | | (8,243,970 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (7,924 | ) |
Investments in affiliated issuers | | | 78,333 | |
Swap agreements | | | (435,581 | ) |
Futures contracts | | | 39,747 | |
Net change in unrealized appreciation (depreciation) | | | (325,425 | ) |
Net realized and unrealized loss | | | (8,569,395 | ) |
Net decrease in net assets resulting from operations | | $ | (8,714,382 | ) |
* | 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 SEMI-ANNUAL REPORT | 109 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (144,987 | ) | | $ | 6,140 | |
Net realized loss on investments | | | (8,243,970 | ) | | | (1,841,497 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (325,425 | ) | | | 532,960 | |
Net decrease in net assets resulting from operations | | | (8,714,382 | ) | | | (1,302,397 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (1,975 | ) |
C-Class | | | — | | | | (2,914 | ) |
H-Class | | | — | | | | (47,851 | ) |
Total distributions to shareholders | | | — | | | | (52,740 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 894,936 | | | | 504,699 | |
C-Class | | | 59,859 | | | | 42,769 | |
H-Class | | | 62,913,972 | | | | 83,248,259 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 1,705 | |
C-Class | | | — | | | | 2,557 | |
H-Class | | | — | | | | 47,493 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (446,078 | ) | | | (1,102,154 | ) |
C-Class | | | (32,923 | ) | | | (512,240 | ) |
H-Class | | | (58,591,058 | ) | | | (68,762,044 | ) |
Net increase from capital share transactions | | | 4,798,708 | | | | 13,471,044 | |
Net increase (decrease) in net assets | | | (3,915,674 | ) | | | 12,115,907 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 22,714,100 | | | | 10,598,193 | |
End of period | | $ | 18,798,426 | | | $ | 22,714,100 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 8,611 | | | | 4,925 | |
C-Class | | | 759 | | | | 408 | |
H-Class | | | 636,342 | | | | 755,791 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 18 | |
C-Class | | | — | | | | 31 | |
H-Class | | | — | | | | 500 | |
Shares redeemed | | | | | | | | |
A-Class | | | (4,486 | ) | | | (10,540 | ) |
C-Class | | | (397 | ) | | | (4,610 | ) |
H-Class | | | (608,616 | ) | | | (662,873 | ) |
Net increase in shares | | | 32,213 | | | | 83,650 | |
| * | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:5 reverse share split effective August 17, 2020 (Unaudited) — See Note 11. |
110 | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a,f | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 120.61 | | | $ | 102.08 | | | $ | 104.50 | | | $ | 118.12 | | | $ | 153.78 | | | $ | 146.08 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.17 | ) | | | .50 | | | | .70 | | | | (.90 | ) | | | (1.55 | ) | | | (1.95 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (35.22 | ) | | | 18.73 | g | | | (3.12 | ) | | | (12.72 | ) | | | (34.11 | ) | | | 9.65 | |
Total from investment operations | | | (35.39 | ) | | | 19.23 | | | | (2.42 | ) | | | (13.62 | ) | | | (35.66 | ) | | | 7.70 | |
Less distributions from: |
Net investment income | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 85.22 | | | $ | 120.61 | | | $ | 102.08 | | | $ | 104.50 | | | $ | 118.12 | | | $ | 153.78 | |
|
Total Returnc | | | (29.34 | %) | | | 19.00 | % | | | (2.30 | %) | | | (11.52 | %) | | | (23.21 | %) | | | 5.27 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 497 | | | $ | 207 | | | $ | 746 | | | $ | 262 | | | $ | 8,645 | | | $ | 2,795 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | 0.51 | % | | | 0.65 | % | | | (0.76 | %) | | | (1.11 | %) | | | (1.23 | %) |
Total expensesd | | | 1.83 | % | | | 1.82 | % | | | 1.83 | % | | | 1.74 | % | | | 1.71 | % | | | 1.70 | % |
Net expensese | | | 1.81 | % | | | 1.78 | % | | | 1.81 | % | | | 1.74 | % | | | 1.71 | % | | | 1.70 | % |
Portfolio turnover rate | | | — | | | | 7 | % | | | 40 | % | | | — | | | | 58 | % | | | 584 | % |
C-Class | | Six Months Ended
September 30, 2020a,f | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 106.73 | | | $ | 91.07 | | | $ | 93.97 | | | $ | 107.05 | | | $ | 140.35 | | | $ | 134.32 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.30 | ) | | | (.25 | ) | | | (1.25 | ) | | | (2.25 | ) | | | (2.90 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (31.38 | ) | | | 16.66 | g | | | (2.65 | ) | | | (11.83 | ) | | | (31.05 | ) | | | 8.93 | |
Total from investment operations | | | (31.62 | ) | | | 16.36 | | | | (2.90 | ) | | | (13.08 | ) | | | (33.30 | ) | | | 6.03 | |
Less distributions from: |
Net investment income | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 75.11 | | | $ | 106.73 | | | $ | 91.07 | | | $ | 93.97 | | | $ | 107.05 | | | $ | 140.35 | |
|
Total Returnc | | | (29.63 | %) | | | 18.22 | % | | | (3.09 | %) | | | (12.24 | %) | | | (23.73 | %) | | | 4.50 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 93 | | | $ | 94 | | | $ | 460 | | | $ | 607 | | | $ | 1,028 | | | $ | 1,729 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.21 | %) | | | (0.34 | %) | | | (0.26 | %) | | | (1.22 | %) | | | 1.83 | % | | | (2.08 | %) |
Total expensesd | | | 2.59 | % | | | 2.57 | % | | | 2.56 | % | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % |
Net expensese | | | 2.57 | % | | | 2.53 | % | | | 2.55 | % | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % |
Portfolio turnover rate | | | — | | | | 7 | % | | | 40 | % | | | — | | | | 58 | % | | | 584 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
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 | | Six Months Ended
September 30, 2020a,f | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 121.09 | | | $ | 102.43 | | | $ | 104.78 | | | $ | 118.47 | | | $ | 154.15 | | | $ | 146.48 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.17 | ) | | | .10 | | | | .55 | | | | (.45 | ) | | | (1.60 | ) | | | (2.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (35.37 | ) | | | 19.26 | g | | | (2.90 | ) | | | (13.24 | ) | | | (34.08 | ) | | | 9.72 | |
Total from investment operations | | | (35.54 | ) | | | 19.36 | | | | (2.35 | ) | | | (13.69 | ) | | | (35.68 | ) | | | 7.67 | |
Less distributions from: |
Net investment income | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.70 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 85.55 | | | $ | 121.09 | | | $ | 102.43 | | | $ | 104.78 | | | $ | 118.47 | | | $ | 154.15 | |
|
Total Return | | | (29.35 | %) | | | 19.08 | % | | | (2.24 | %) | | | (11.52 | %) | | | (23.16 | %) | | | 5.22 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,208 | | | $ | 22,414 | | | $ | 9,392 | | | $ | 3,543 | | | $ | 5,777 | | | $ | 36,713 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.46 | %) | | | 0.07 | % | | | 0.53 | % | | | (0.39 | %) | | | (1.14 | %) | | | (1.28 | %) |
Total expensesd | | | 1.85 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % |
Net expensese | | | 1.83 | % | | | 1.79 | % | | | 1.81 | % | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % |
Portfolio turnover rate | | | — | | | | 7 | % | | | 40 | % | | | — | | | | 58 | % | | | 584 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020 — See Note 11. |
g | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
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 Industrial Average® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | December 1, 2015 |
C-Class | December 1, 2015 |
H-Class | December 1, 2015 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 10.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 6.7% |
UnitedHealth Group, Inc. | 5.4% |
Home Depot, Inc. | 4.8% |
Amgen, Inc. | 4.4% |
salesforce.com, Inc. | 4.3% |
McDonald’s Corp. | 3.8% |
Microsoft Corp. | 3.6% |
Goldman Sachs Group, Inc. | 3.5% |
Visa, Inc. — Class A | 3.5% |
Top Ten Total | 50.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | Since
Inception
(12/01/15) |
A-Class Shares | 27.40% | 3.46% | 10.29% |
A-Class Shares with sales charge‡ | 21.35% | (1.46%) | 9.19% |
C-Class Shares | 26.96% | 2.70% | 9.47% |
C-Class Shares with CDSC§ | 25.96% | 1.72% | 9.47% |
H-Class Shares | 27.44% | 3.47% | 10.31% |
Dow Jones Industrial Average Index | 28.25% | 5.70% | 12.21% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 73.0% |
| | | | | | | | | |
Consumer, Non-cyclical - 17.0% |
UnitedHealth Group, Inc. | | | 2,924 | | | $ | 911,615 | |
Amgen, Inc. | | | 2,924 | | | | 743,164 | |
Johnson & Johnson | | | 2,924 | | | | 435,325 | |
Procter & Gamble Co. | | | 2,924 | | | | 406,407 | |
Merck & Company, Inc. | | | 2,924 | | | | 242,546 | |
Coca-Cola Co. | | | 2,924 | | | | 144,358 | |
Total Consumer, Non-cyclical | | | | | | | 2,883,415 | |
| | | | | | | | | |
Consumer, Cyclical - 13.8% |
Home Depot, Inc. | | | 2,924 | | | | 812,024 | |
McDonald’s Corp. | | | 2,924 | | | | 641,789 | |
Walmart, Inc. | | | 2,924 | | | | 409,097 | |
NIKE, Inc. — Class B | | | 2,924 | | | | 367,079 | |
Walgreens Boots Alliance, Inc. | | | 2,924 | | | | 105,030 | |
Total Consumer, Cyclical | | | | | | | 2,335,019 | |
| | | | | | | | | |
Technology - 13.0% |
salesforce.com, Inc.* | | | 2,924 | | | | 734,860 | |
Microsoft Corp. | | | 2,924 | | | | 615,005 | |
International Business Machines Corp. | | | 2,924 | | | | 355,763 | |
Apple, Inc. | | | 2,924 | | | | 338,628 | |
Intel Corp. | | | 2,924 | | | | 151,405 | |
Total Technology | | | | | | | 2,195,661 | |
| | | | | | | | | |
Financial - 12.2% |
Goldman Sachs Group, Inc. | | | 2,924 | | | | 587,636 | |
Visa, Inc. — Class A | | | 2,924 | | | | 584,712 | |
Travelers Companies, Inc. | | | 2,924 | | | | 316,347 | |
American Express Co. | | | 2,924 | | | | 293,131 | |
JPMorgan Chase & Co. | | | 2,924 | | | | 281,494 | |
Total Financial | | | | | | | 2,063,320 | |
| | | | | | | | | |
Industrial - 11.1% |
Boeing Co. | | | 2,924 | | | | 483,220 | |
Honeywell International, Inc. | | | 2,924 | | | | 481,320 | |
3M Co. | | | 2,924 | | | | 468,366 | |
Caterpillar, Inc. | | | 2,924 | | | | 436,115 | |
Total Industrial | | | | | | | 1,869,021 | |
| | | | | | | | | |
Communications - 3.9% |
Walt Disney Co. | | | 2,924 | | | | 362,810 | |
Verizon Communications, Inc. | | | 2,924 | | | | 173,949 | |
Cisco Systems, Inc. | | | 2,924 | | | | 115,176 | |
Total Communications | | | | | | | 651,935 | |
| | | | | | | | | |
Energy - 1.2% |
Chevron Corp. | | | 2,924 | | | | 210,528 | |
| | | | | | | | | |
Basic Materials - 0.8% |
Dow, Inc. | | | 2,924 | | | | 137,574 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,219,909) | | | | | | | 12,346,473 | |
| | | | | | | | | |
MUTUAL FUNDS† - 17.5% |
Guggenheim Strategy Fund II1 | | | 73,498 | | | | 1,835,234 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 112,709 | | | | 1,124,834 | |
Total Mutual Funds | | | | |
(Cost $2,940,394) | | | | | | | 2,960,068 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 2.5% |
U.S. Treasury Bills |
0.08% due 10/29/202,3 | | $ | 250,000 | | | | 249,982 | |
0.08% due 10/15/203,4 | | | 172,000 | | | | 171,995 | |
Total U.S. Treasury Bills | | | | |
(Cost $421,978) | | | | | | | 421,977 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 5.7% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 537,601 | | | | 537,601 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 223,765 | | | | 223,765 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 203,626 | | | | 203,626 | |
Total Repurchase Agreements | | | | |
(Cost $964,992) | | | | | | | 964,992 | |
| | | | | | | | | |
Total Investments - 98.7% | | | | |
(Cost $13,547,273) | | $ | 16,693,510 | |
Other Assets & Liabilities, net - 1.3% | | | 227,891 | |
Total Net Assets - 100.0% | | $ | 16,921,401 | |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 15 | | | | Dec 2020 | | | $ | 2,073,225 | | | $ | 4,786 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | Dow Jones Industrial Average Index | 0.64% (1 Month USD LIBOR + 0.50%) | At Maturity | | | 11/18/20 | | | | 43 | | | $ | 1,198,994 | | | $ | 32,318 | |
Barclays Bank plc | Dow Jones Industrial Average Index | 0.60% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 11/17/20 | | | | 51 | | | | 1,407,816 | | | | 10,009 | |
| | | | | | | | | | | | | | $ | 2,606,810 | | | $ | 42,327 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
5 | 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 September 30, 2020 (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 | | $ | 12,346,473 | | | $ | — | | | $ | — | | | $ | 12,346,473 | |
Mutual Funds | | | 2,960,068 | | | | — | | | | — | | | | 2,960,068 | |
U.S. Treasury Bills | | | — | | | | 421,977 | | | | — | | | | 421,977 | |
Repurchase Agreements | | | — | | | | 964,992 | | | | — | | | | 964,992 | |
Equity Futures Contracts** | | | 4,786 | | | | — | | | | — | | | | 4,786 | |
Equity Index Swap Agreements** | | | — | | | | 42,327 | | | | — | | | | 42,327 | |
Total Assets | | $ | 15,311,327 | | | $ | 1,429,296 | | | $ | — | | | $ | 16,740,623 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,767,616 | | | $ | — | | | $ | — | | | $ | — | | | $ | 67,618 | | | $ | 1,835,234 | | | | 73,498 | | | $ | 14,539 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,493,141 | | | | — | | | | (399,999 | ) | | | 401 | | | | 31,291 | | | | 1,124,834 | | | | 112,709 | | | | 9,405 | |
| | | $ | 3,260,757 | | | $ | — | | | $ | (399,999 | ) | | $ | 401 | | | $ | 98,909 | | | $ | 2,960,068 | | | | | | | $ | 23,944 | |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $9,641,887) | | $ | 12,768,450 | |
Investments in affiliated issuers, at value (cost $2,940,394) | | | 2,960,068 | |
Repurchase agreements, at value (cost $964,992) | | | 964,992 | |
Segregated cash with broker | | | 60,024 | |
Unrealized appreciation on OTC swap agreements | | | 42,327 | |
Receivables: |
Fund shares sold | | | 173,034 | |
Variation margin on futures contracts | | | 17,625 | |
Dividends | | | 8,669 | |
Total assets | | | 16,995,189 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 13,163 | |
Registration fees | | | 11,667 | |
Licensing fees | | | 10,588 | |
Fund shares redeemed | | | 8,888 | |
Distribution and service fees | | | 5,817 | |
Transfer agent and administrative fees | | | 4,826 | |
Portfolio accounting fees | | | 1,795 | |
Trustees’ fees* | | | 416 | |
Swap settlement | | | 135 | |
Miscellaneous | | | 16,493 | |
Total liabilities | | | 73,788 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 16,921,401 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,977,951 | |
Total distributable earnings (loss) | | | 3,943,450 | |
Net assets | | $ | 16,921,401 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,847,143 | |
Capital shares outstanding | | | 38,980 | |
Net asset value per share | | $ | 73.04 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 76.68 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,163,024 | |
Capital shares outstanding | | | 30,770 | |
Net asset value per share | | $ | 70.30 | |
| | | | | |
H-Class: |
Net assets | | $ | 11,911,234 | |
Capital shares outstanding | | | 162,952 | |
Net asset value per share | | $ | 73.10 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers– | | $ | 190,203 | |
Dividends from securities of affiliated issuers | | | 23,944 | |
Interest | | | 1,494 | |
Total investment income | | | 215,641 | |
| | | | | |
Expenses: |
Management fees | | | 92,205 | |
Distribution and service fees: |
A-Class | | | 4,005 | |
C-Class | | | 10,060 | |
H-Class | | | 24,215 | |
Transfer agent and administrative fees | | | 34,874 | |
Registration fees | | | 13,532 | |
Portfolio accounting fees | | | 12,296 | |
Licensing fees | | | 12,260 | |
Professional fees | | | 8,712 | |
Custodian fees | | | 1,769 | |
Trustees’ fees* | | | 591 | |
Miscellaneous | | | 6,730 | |
Total expenses | | | 221,249 | |
Less: |
Expenses waived by Adviser | | | (1,876 | ) |
Net expenses | | | 219,373 | |
Net investment loss | | | (3,732 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,537,441 | |
Investments in affiliated issuers | | | 401 | |
Swap agreements | | | 690,303 | |
Futures contracts | | | 578,246 | |
Net realized gain | | | 2,806,391 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 2,285,543 | |
Investments in affiliated issuers | | | 98,909 | |
Swap agreements | | | 309,642 | |
Futures contracts | | | (172,271 | ) |
Net change in unrealized appreciation (depreciation) | | | 2,521,823 | |
Net realized and unrealized gain | | | 5,328,214 | |
Net increase in net assets resulting from operations | | $ | 5,324,482 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (3,732 | ) | | $ | 201,192 | |
Net realized gain on investments | | | 2,806,391 | | | | 5,067,156 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,521,823 | | | | (7,146,849 | ) |
Net increase (decrease) in net assets resulting from operations | | | 5,324,482 | | | | (1,878,501 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (159,709 | ) |
C-Class | | | — | | | | (98,345 | ) |
H-Class | | | — | | | | (892,516 | ) |
Total distributions to shareholders | | | — | | | �� | (1,150,570 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 7,746,602 | | | | 16,273,565 | |
C-Class | | | 393,024 | | | | 2,489,125 | |
H-Class | | | 38,692,685 | | | | 141,553,466 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 127,980 | |
C-Class | | | — | | | | 93,396 | |
H-Class | | | — | | | | 889,793 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (8,327,202 | ) | | | (32,450,685 | ) |
C-Class | | | (310,446 | ) | | | (2,248,063 | ) |
H-Class | | | (55,217,298 | ) | | | (156,450,347 | ) |
Net decrease from capital share transactions | | | (17,022,635 | ) | | | (29,721,770 | ) |
Net decrease in net assets | | | (11,698,153 | ) | | | (32,750,841 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 28,619,554 | | | | 61,370,395 | |
End of period | | $ | 16,921,401 | | | $ | 28,619,554 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 112,377 | | | | 272,947 | |
C-Class | | | 5,942 | | | | 35,697 | |
H-Class | | | 578,358 | | | | 2,026,607 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 1,746 | |
C-Class | | | — | | | | 1,316 | |
H-Class | | | — | | | | 12,134 | |
Shares redeemed | | | | | | | | |
A-Class | | | (119,651 | ) | | | (498,107 | ) |
C-Class | | | (4,726 | ) | | | (32,647 | ) |
H-Class | | | (839,579 | ) | | | (2,189,993 | ) |
Net decrease in shares | | | (267,279 | ) | | | (370,300 | ) |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016b | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.33 | | | $ | 70.54 | | | $ | 66.00 | | | $ | 58.25 | | | $ | 49.60 | | | $ | 50.00 | |
Income (loss) from investment operations: |
Net investment income (loss)c | | | (.01 | ) | | | .47 | | | | .55 | | | | .34 | | | | .23 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.72 | | | | (10.67 | ) | | | 4.78 | | | | 9.91 | | | | 8.73 | | | | (.37 | ) |
Total from investment operations | | | 15.71 | | | | (10.20 | ) | | | 5.33 | | | | 10.25 | | | | 8.96 | | | | (.40 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) | | | (.02 | ) | | | — | |
Net realized gains | | | — | | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) | | | (.29 | ) | | | — | |
Total distributions | | | — | | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) | | | (.31 | ) | | | — | |
Net asset value, end of period | | $ | 73.04 | | | $ | 57.33 | | | $ | 70.54 | | | $ | 66.00 | | | $ | 58.25 | | | $ | 49.60 | |
|
Total Returnd | | | 27.40 | % | | | (15.38 | %) | | | 8.15 | % | | | 17.55 | % | | | 18.10 | % | | | (0.80 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,847 | | | $ | 2,652 | | | $ | 19,022 | | | $ | 20,953 | | | $ | 19,523 | | | $ | 44,351 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.01 | %) | | | 0.65 | % | | | 0.80 | % | | | 0.54 | % | | | 0.44 | % | | | (0.21 | %) |
Total expensese | | | 1.73 | % | | | 1.66 | % | | | 1.61 | % | | | 1.56 | % | | | 1.56 | % | | | 1.55 | % |
Net expensesf | | | 1.72 | % | | | 1.64 | % | | | 1.61 | % | | | 1.56 | % | | | 1.56 | % | | | 1.55 | % |
Portfolio turnover rate | | | 70 | % | | | 186 | % | | | 465 | % | | | 168 | % | | | 668 | % | | | 98 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016b | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.37 | | | $ | 68.74 | | | $ | 64.81 | | | $ | 57.66 | | | $ | 49.47 | | | $ | 50.00 | |
Income (loss) from investment operations: |
Net investment income (loss)c | | | (.23 | ) | | | (.02 | ) | | | .03 | | | | (.09 | ) | | | (.11 | ) | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.16 | | | | (10.34 | ) | | | 4.69 | | | | 9.74 | | | | 8.61 | | | | (.46 | ) |
Total from investment operations | | | 14.93 | | | | (10.36 | ) | | | 4.72 | | | | 9.65 | | | | 8.50 | | | | (.53 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) | | | (.02 | ) | | | — | |
Net realized gains | | | — | | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) | | | (.29 | ) | | | — | |
Total distributions | | | — | | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) | | | (.31 | ) | | | — | |
Net asset value, end of period | | $ | 70.30 | | | $ | 55.37 | | | $ | 68.74 | | | $ | 64.81 | | | $ | 57.66 | | | $ | 49.47 | |
|
Total Returnd | | | 26.96 | % | | | (16.03 | %) | | | 7.37 | % | | | 16.66 | % | | | 17.21 | % | | | (1.06 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,163 | | | $ | 1,637 | | | $ | 1,731 | | | $ | 3,294 | | | $ | 2,144 | | | $ | 732 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.69 | %) | | | (0.03 | %) | | | 0.04 | % | | | (0.14 | %) | | | (0.21 | %) | | | (0.43 | %) |
Total expensese | | | 2.48 | % | | | 2.42 | % | | | 2.36 | % | | | 2.30 | % | | | 2.32 | % | | | 2.30 | % |
Net expensesf | | | 2.47 | % | | | 2.40 | % | | | 2.36 | % | | | 2.36 | % | | | 2.32 | % | | | 2.30 | % |
Portfolio turnover rate | | | 70 | % | | | 186 | % | | | 465 | % | | | 168 | % | | | 668 | % | | | 98 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016b | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.36 | | | $ | 70.59 | | | $ | 66.04 | | | $ | 58.28 | | | $ | 49.59 | | | $ | 50.00 | |
Income (loss) from investment operations: |
Net investment income (loss)c | | | .01 | | | | .51 | | | | .55 | | | | .39 | | | | .28 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.73 | | | | (10.73 | ) | | | 4.79 | | | | 9.87 | | | | 8.72 | | | | (.38 | ) |
Total from investment operations | | | 15.74 | | | | (10.22 | ) | | | 5.34 | | | | 10.26 | | | | 9.00 | | | | (.41 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) | | | (.02 | ) | | | — | |
Net realized gains | | | — | | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) | | | (.29 | ) | | | — | |
Total distributions | | | — | | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) | | | (.31 | ) | | | — | |
Net asset value, end of period | | $ | 73.10 | | | $ | 57.36 | | | $ | 70.59 | | | $ | 66.04 | | | $ | 58.28 | | | $ | 49.59 | |
|
Total Return | | | 27.44 | % | | | (15.40 | %) | | | 8.16 | % | | | 17.54 | % | | | 18.20 | % | | | (0.82 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,911 | | | $ | 24,331 | | | $ | 40,617 | | | $ | 68,766 | | | $ | 42,495 | | | $ | 18,923 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.04 | % | | | 0.70 | % | | | 0.80 | % | | | 0.61 | % | | | 0.52 | % | | | (0.17 | %) |
Total expensese | | | 1.74 | % | | | 1.66 | % | | | 1.62 | % | | | 1.55 | % | | | 1.57 | % | | | 1.55 | % |
Net expensesf | | | 1.72 | % | | | 1.64 | % | | | 1.62 | % | | | 1.55 | % | | | 1.57 | % | | | 1.55 | % |
Portfolio turnover rate | | | 70 | % | | | 186 | % | | | 465 | % | | | 168 | % | | | 668 | % | | | 98 | % |
a | Unaudited figures for the period ended September 30, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: December 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
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 most recently issued 30 Year U.S. Treasury Bond. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
Investor Class | January 3, 1994 |
A-Class | March 31, 2004 |
C-Class | May 2, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) |
U.S. Treasury Bonds | 81.8% |
Guggenheim Strategy Fund II | 7.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.0% |
Total | 96.6% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | (2.19%) | 19.82% | 9.01% | 8.51% |
A-Class Shares | (2.28%) | 19.56% | 8.78% | 8.31% |
A-Class Shares with sales charge‡ | (6.93%) | 13.88% | 7.72% | 7.78% |
C-Class Shares | (2.66%) | 18.66% | 7.97% | 7.47% |
C-Class Shares with CDSC§ | (3.63%) | 17.66% | 7.97% | 7.47% |
Bloomberg Barclays U.S. Long Treasury Index | 0.36% | 16.34% | 8.21% | 7.21% |
Price Movement of Long Treasury Bond** | (2.46%) | 14.87% | 5.90% | 4.19% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (2.31%) | 19.54% | 8.78% | 9.51% |
Bloomberg Barclays U.S. Long Treasury Index | 0.36% | 16.34% | 8.21% | 8.71% |
Price Movement of Long Treasury Bond** | (2.46%) | 14.87% | 5.90% | 6.41% |
* | 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 Index and the Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 14.8% |
Guggenheim Strategy Fund II1 | | | 216,861 | | | $ | 5,415,016 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 487,742 | | | | 4,867,661 | |
Total Mutual Funds | | | | |
(Cost $10,229,012) | | | | | | | 10,282,677 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. GOVERNMENT SECURITIES†† - 81.8% |
U.S. Treasury Bonds |
1.38% due 08/15/50 | | $ | 57,900,000 | | | | 56,660,578 | |
Total U.S. Government Securities | | | | |
(Cost $57,016,844) | | | | | | | 56,660,578 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.8% |
U.S. Treasury Bills |
0.08% due 10/15/202,3 | | | 1,237,000 | | | | 1,236,963 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,236,959) | | | | | | | 1,236,963 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 5.0% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 1,931,148 | | | | 1,931,148 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 803,798 | | | | 803,798 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 731,456 | | | | 731,456 | |
Total Repurchase Agreements | | | | |
(Cost $3,466,402) | | | | | | | 3,466,402 | |
| | | | | | | | | |
Total Investments - 103.4% | | | | |
(Cost $71,949,217) | | $ | 71,646,620 | |
Other Assets & Liabilities, net - (3.4)% | | | (2,380,410 | ) |
Total Net Assets - 100.0% | | $ | 69,266,210 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 149 | | | | Dec 2020 | | | $ | 32,994,188 | | | $ | (25,933 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 futures collateral at September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 10,282,677 | | | $ | — | | | $ | — | | | $ | 10,282,677 | |
U.S. Government Securities | | | — | | | | 56,660,578 | | | | — | | | | 56,660,578 | |
U.S. Treasury Bills | | | — | | | | 1,236,963 | | | | — | | | | 1,236,963 | |
Repurchase Agreements | | | — | | | | 3,466,402 | | | | — | | | | 3,466,402 | |
Total Assets | | $ | 10,282,677 | | | $ | 61,363,943 | | | $ | — | | | $ | 71,646,620 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Interest Rate Futures Contracts** | | $ | 25,933 | | | $ | — | | | $ | — | | | $ | 25,933 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 10,417,042 | | | $ | — | | | $ | (5,300,000 | ) | | $ | (79,432 | ) | | $ | 377,406 | | | $ | 5,415,016 | | | | 216,861 | | | $ | 57,053 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 10,511,293 | | | | 200,000 | | | | (6,000,000 | ) | | | (73,106 | ) | | | 229,474 | | | | 4,867,661 | | | | 487,742 | | | | 40,622 | |
| | | $ | 20,928,335 | | | $ | 200,000 | | | $ | (11,300,000 | ) | | $ | (152,538 | ) | | $ | 606,880 | | | $ | 10,282,677 | | | | | | | $ | 97,675 | |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $58,253,803) | | $ | 57,897,541 | |
Investments in affiliated issuers, at value (cost $10,229,012) | | | 10,282,677 | |
Repurchase agreements, at value (cost $3,466,402) | | | 3,466,402 | |
Segregated cash with broker | | | 829,222 | |
Receivables: |
Securities sold | | | 34,348,641 | |
Fund shares sold | | | 3,525,169 | |
Interest | | | 224,488 | |
Dividends | | | 12,429 | |
Total assets | | | 110,586,569 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 40,540,795 | |
Variation margin on futures contracts | | | 496,670 | |
Management fees | | | 32,122 | |
Transfer agent and administrative fees | | | 14,505 | |
Distribution and service fees | | | 12,153 | |
Portfolio accounting fees | | | 6,625 | |
Trustees’ fees* | | | 2,302 | |
Distributions to shareholders | | | 50 | |
Miscellaneous | | | 215,137 | |
Total liabilities | | | 41,320,359 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 69,266,210 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 53,709,393 | |
Total distributable earnings (loss) | | | 15,556,817 | |
Net assets | | $ | 69,266,210 | |
| | | | | |
Investor Class: |
Net assets | | $ | 26,288,753 | |
Capital shares outstanding | | | 363,132 | |
Net asset value per share | | $ | 72.39 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,215,076 | |
Capital shares outstanding | | | 44,051 | |
Net asset value per share | | $ | 72.99 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 76.63 | |
| | | | | |
C-Class: |
Net assets | | $ | 789,902 | |
Capital shares outstanding | | | 10,944 | |
Net asset value per share | | $ | 72.18 | |
| | | | | |
H-Class: |
Net assets | | $ | 38,972,479 | |
Capital shares outstanding | | | 533,707 | |
Net asset value per share | | $ | 73.02 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 97,675 | |
Interest | | | 532,254 | |
Total investment income | | | 629,929 | |
| | | | | |
Expenses: |
Management fees | | | 236,296 | |
Distribution and service fees: |
A-Class | | | 3,335 | |
C-Class | | | 3,310 | |
H-Class | | | 65,582 | |
Transfer agent and administrative fees | | | 116,134 | |
Registration fees | | | 52,019 | |
Portfolio accounting fees | | | 47,268 | |
Professional fees | | | 39,576 | |
Custodian fees | | | 7,666 | |
Trustees’ fees* | | | 2,366 | |
Miscellaneous | | | 18,354 | |
Total expenses | | | 591,906 | |
Less: |
Expenses waived by Adviser | | | (7,893 | ) |
Net expenses | | | 584,013 | |
Net investment income | | | 45,916 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 4,992,942 | |
Investments in affiliated issuers | | | (152,538 | ) |
Futures contracts | | | 5,987,742 | |
Net realized gain | | | 10,828,146 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (11,840,754 | ) |
Investments in affiliated issuers | | | 606,880 | |
Futures contracts | | | (7,500,398 | ) |
Net change in unrealized appreciation (depreciation) | | | (18,734,272 | ) |
Net realized and unrealized loss | | | (7,906,126 | ) |
Net decrease in net assets resulting from operations | | $ | (7,860,210 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 45,916 | | | $ | 1,630,386 | |
Net realized gain on investments | | | 10,828,146 | | | | 42,346,916 | |
Net change in unrealized appreciation (depreciation) on investments | | | (18,734,272 | ) | | | 11,247,858 | |
Net increase (decrease) in net assets resulting from operations | | | (7,860,210 | ) | | | 55,225,160 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (48,558 | ) | | | (2,108,783 | ) |
A-Class | | | (281 | ) | | | (435,810 | ) |
C-Class | | | — | | | | (21,938 | ) |
H-Class | | | (2,195 | ) | | | (1,738,251 | ) |
Total distributions to shareholders | | | (51,034 | ) | | | (4,304,782 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 598,495,908 | | | | 962,124,357 | |
A-Class | | | 1,681,019 | | | | 4,581,047 | |
C-Class | | | 1,214,773 | | | | 7,550,985 | |
H-Class | | | 588,004,099 | | | | 790,950,225 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 44,737 | | | | 1,970,914 | |
A-Class | | | 240 | | | | 423,677 | |
C-Class | | | — | | | | 20,877 | |
H-Class | | | 2,192 | | | | 1,736,665 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (604,614,748 | ) | | | (1,014,887,608 | ) |
A-Class | | | (1,157,507 | ) | | | (32,933,999 | ) |
C-Class | | | (1,651,366 | ) | | | (7,268,837 | ) |
H-Class | | | (624,854,807 | ) | | | (779,922,941 | ) |
Net decrease from capital share transactions | | | (42,835,460 | ) | | | (65,654,638 | ) |
Net decrease in net assets | | | (50,746,704 | ) | | | (14,734,260 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 120,012,914 | | | | 134,747,174 | |
End of period | | $ | 69,266,210 | | | $ | 120,012,914 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 7,983,042 | | | | 16,000,438 | |
A-Class | | | 22,473 | | | | 74,378 | |
C-Class | | | 16,458 | | | | 126,059 | |
H-Class | | | 7,893,366 | | | | 13,427,183 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 605 | | | | 33,535 | |
A-Class | | | 3 | | | | 7,261 | |
C-Class | | | — | | | | 359 | |
H-Class | | | 29 | | | | 29,371 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (8,132,155 | ) | | | (16,783,183 | ) |
A-Class | | | (15,577 | ) | | | (503,938 | ) |
C-Class | | | (22,354 | ) | | | (120,980 | ) |
H-Class | | | (8,404,041 | ) | | | (13,202,385 | ) |
Net decrease in shares | | | (658,151 | ) | | | (911,902 | ) |
126 | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 74.11 | | | $ | 53.22 | | | $ | 51.21 | | | $ | 50.49 | | | $ | 58.12 | | | $ | 59.12 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .09 | | | | .77 | | | | .96 | | | | .80 | | | | .70 | | | | .76 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.71 | ) | | | 22.86 | | | | 2.00 | | | | .72 | | | | (5.50 | ) | | | (.67 | ) |
Total from investment operations | | | (1.62 | ) | | | 23.63 | | | | 2.96 | | | | 1.52 | | | | (4.80 | ) | | | .09 | |
Less distributions from: |
Net investment income | | | (.10 | ) | | | (.77 | ) | | | (.95 | ) | | | (.80 | ) | | | (.72 | ) | | | (1.09 | ) |
Net realized gains | | | — | | | | (1.97 | ) | | | — | | | | — | | | | (2.11 | ) | | | — | |
Total distributions | | | (.10 | ) | | | (2.74 | ) | | | (.95 | ) | | | (.80 | ) | | | (2.83 | ) | | | (1.09 | ) |
Net asset value, end of period | | $ | 72.39 | | | $ | 74.11 | | | $ | 53.22 | | | $ | 51.21 | | | $ | 50.49 | | | $ | 58.12 | |
|
Total Return | | | (2.19 | %) | | | 45.84 | % | | | 5.93 | % | | | 3.01 | % | | | (8.39 | %) | | | 0.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 26,289 | | | $ | 37,919 | | | $ | 67,103 | | | $ | 37,496 | | | $ | 16,496 | | | $ | 56,419 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.25 | % | | | 1.28 | % | | | 1.94 | % | | | 1.52 | % | | | 1.21 | % | | | 1.39 | % |
Total expensesc | | | 1.11 | % | | | 1.07 | % | | | 1.07 | % | | | 0.98 | % | | | 0.98 | % | | | 0.94 | % |
Net expensesd | | | 1.09 | % | | | 1.05 | % | | | 1.06 | % | | | 0.98 | % | | | 0.98 | % | | | 0.94 | % |
Portfolio turnover rate | | | 955 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 74.70 | | | $ | 53.63 | | | $ | 51.62 | | | $ | 50.87 | | | $ | 58.50 | | | $ | 59.47 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .01 | | | | .72 | | | | .83 | | | | .69 | | | | .63 | | | | .64 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.71 | ) | | | 22.95 | | | | 2.01 | | | | .74 | | | | (5.57 | ) | | | (.65 | ) |
Total from investment operations | | | (1.70 | ) | | | 23.67 | | | | 2.84 | | | | 1.43 | | | | (4.94 | ) | | | (.01 | ) |
Less distributions from: |
Net investment income | | | (.01 | ) | | | (.63 | ) | | | (.83 | ) | | | (.68 | ) | | | (.58 | ) | | | (.96 | ) |
Net realized gains | | | — | | | | (1.97 | ) | | | — | | | | — | | | | (2.11 | ) | | | — | |
Total distributions | | | (.01 | ) | | | (2.60 | ) | | | (.83 | ) | | | (.68 | ) | | | (2.69 | ) | | | (.96 | ) |
Net asset value, end of period | | $ | 72.99 | | | $ | 74.70 | | | $ | 53.63 | | | $ | 51.62 | | | $ | 50.87 | | | $ | 58.50 | |
|
Total Returnf | | | (2.28 | %) | | | 45.48 | % | | | 5.63 | % | | | 2.78 | % | | | (8.54 | %) | | | 0.12 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,215 | | | $ | 2,775 | | | $ | 24,639 | | | $ | 6,158 | | | $ | 15,827 | | | $ | 9,438 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.01 | % | | | 1.24 | % | | | 1.65 | % | | | 1.31 | % | | | 1.19 | % | | | 1.16 | % |
Total expensesc | | | 1.34 | % | | | 1.32 | % | | | 1.33 | % | | | 1.23 | % | | | 1.24 | % | | | 1.20 | % |
Net expensesd | | | 1.32 | % | | | 1.30 | % | | | 1.32 | % | | | 1.23 | % | | | 1.24 | % | | | 1.20 | % |
Portfolio turnover rate | | | 955 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 74.15 | | | $ | 53.27 | | | $ | 51.24 | | | $ | 50.52 | | | $ | 58.13 | | | $ | 59.09 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.27 | ) | | | .13 | | | | .45 | | | | .27 | | | | .13 | | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.70 | ) | | | 22.92 | | | | 2.04 | | | | .73 | | | | (5.47 | ) | | | (.64 | ) |
Total from investment operations | | | (1.97 | ) | | | 23.05 | | | | 2.49 | | | | 1.00 | | | | (5.34 | ) | | | (.42 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.20 | ) | | | (.46 | ) | | | (.28 | ) | | | (.16 | ) | | | (.54 | ) |
Net realized gains | | | — | | | | (1.97 | ) | | | — | | | | — | | | | (2.11 | ) | | | — | |
Total distributions | | | — | | | | (2.17 | ) | | | (.46 | ) | | | (.28 | ) | | | (2.27 | ) | | | (.54 | ) |
Net asset value, end of period | | $ | 72.18 | | | $ | 74.15 | | | $ | 53.27 | | | $ | 51.24 | | | $ | 50.52 | | | $ | 58.13 | |
|
Total Returnf | | | (2.66 | %) | | | 44.41 | % | | | 4.92 | % | | | 1.97 | % | | | (9.24 | %) | | | (0.62 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 790 | | | $ | 1,249 | | | $ | 607 | | | $ | 724 | | | $ | 1,770 | | | $ | 3,276 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.72 | %) | | | 0.21 | % | | | 0.91 | % | | | 0.52 | % | | | 0.22 | % | | | 0.41 | % |
Total expensesc | | | 2.09 | % | | | 2.08 | % | | | 2.07 | % | | | 1.98 | % | | | 1.97 | % | | | 1.95 | % |
Net expensesd | | | 2.07 | % | | | 2.06 | % | | | 2.06 | % | | | 1.98 | % | | | 1.97 | % | | | 1.95 | % |
Portfolio turnover rate | | | 955 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 74.75 | | | $ | 53.65 | | | $ | 51.64 | | | $ | 50.91 | | | $ | 58.55 | | | $ | 59.44 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | e | | | .61 | | | | .84 | | | | .69 | | | | .58 | | | | .61 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.72 | ) | | | 23.09 | | | | 2.01 | | | | .72 | | | | (5.53 | ) | | | (.54 | ) |
Total from investment operations | | | (1.72 | ) | | | 23.70 | | | | 2.85 | | | | 1.41 | | | | (4.95 | ) | | | .07 | |
Less distributions from: |
Net investment income | | | (.01 | ) | | | (.63 | ) | | | (.84 | ) | | | (.68 | ) | | | (.58 | ) | | | (.96 | ) |
Net realized gains | | | — | | | | (1.97 | ) | | | — | | | | — | | | | (2.11 | ) | | | — | |
Total distributions | | | (.01 | ) | | | (2.60 | ) | | | (.84 | ) | | | (.68 | ) | | | (2.69 | ) | | | (.96 | ) |
Net asset value, end of period | | $ | 73.02 | | | $ | 74.75 | | | $ | 53.65 | | | $ | 51.64 | | | $ | 50.91 | | | $ | 58.55 | |
|
Total Return | | | (2.31 | %) | | | 45.55 | % | | | 5.63 | % | | | 2.74 | % | | | (8.55 | %) | | | 0.26 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 38,972 | | | $ | 78,070 | | | $ | 42,397 | | | $ | 76,018 | | | $ | 12,077 | | | $ | 49,639 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.00 | %g | | | 1.02 | % | | | 1.67 | % | | | 1.31 | % | | | 1.00 | % | | | 1.11 | % |
Total expensesc | | | 1.34 | % | | | 1.32 | % | | | 1.32 | % | | | 1.23 | % | | | 1.22 | % | | | 1.20 | % |
Net expensesd | | | 1.33 | % | | | 1.30 | % | | | 1.31 | % | | | 1.23 | % | | | 1.22 | % | | | 1.20 | % |
Portfolio turnover rate | | | 955 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Less than $0.01 per share. |
f | Total return does not reflect the impact of any applicable sales charges. |
g | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the most recently issued 30 Year U.S. Treasury Bond. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
Investor Class | March 3, 1995 |
A-Class | March 31, 2004 |
C-Class | March 28, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in short sales and derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 4.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 4.2% |
Total | 9.0% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 0.53% | (19.39%) | (9.10%) | (8.96%) |
A-Class Shares | 0.43% | (19.55%) | (9.32%) | (9.18%) |
A-Class Shares with sales charge‡ | (4.31%) | (23.36%) | (10.20%) | (9.63%) |
C-Class Shares | 0.06% | (20.15%) | (10.00%) | (9.86%) |
C-Class Shares with CDSC§ | (0.95%) | (20.95%) | (10.00%) | (9.86%) |
Price Movement of Long Treasury Bond** | (2.46%) | 14.87% | 5.90% | 4.19% |
Bloomberg Barclays U.S. Long Treasury Index | 0.36% | 16.34% | 8.21% | 7.21% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | 0.64% | (19.42%) | (9.24%) | (10.04%) |
Bloomberg Barclays U.S. Long Treasury Index | 0.36% | 16.34% | 8.21% | 8.71% |
Price Movement of Long Treasury Bond** | (2.46%) | 14.87% | 5.90% | 6.41% |
* | 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 Index and the Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 9.0% |
Guggenheim Strategy Fund II1 | | | 158,543 | | | $ | 3,958,819 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 347,920 | | | | 3,472,240 | |
Total Mutual Funds | | | | |
(Cost $7,370,928) | | | | | | | 7,431,059 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 18.0% |
Federal Farm Credit Bank |
0.40% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/222 | | $ | 3,000,000 | | | | 3,011,654 | |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 2,220,000 | | | | 2,229,311 | |
1.62% due 12/02/21 | | | 70,000 | | | | 70,152 | |
Freddie Mac |
0.75% due 04/27/23 | | | 5,000,000 | | | | 5,001,621 | |
0.21% (U.S. Secured Overnight Financing Rate + 0.14%, Rate Floor: 0.00%) due 12/10/212 | | | 140,000 | | | | 140,139 | |
Federal Home Loan Bank |
2.63% due 10/01/20 | | | 4,000,000 | | | | 4,000,000 | |
0.19% (U.S. Secured Overnight Financing Rate + 0.12%, Rate Floor: 0.00%) due 02/10/222 | | | 100,000 | | | | 100,073 | |
Fannie Mae |
0.24% (U.S. Secured Overnight Financing Rate + 0.17%, Rate Floor: 0.00%) due 03/11/222 | | | 100,000 | | | | 100,149 | |
0.24% (U.S. Secured Overnight Financing Rate + 0.17%, Rate Floor: 0.00%) due 03/09/222 | | | 100,000 | | | | 100,148 | |
0.22% (U.S. Secured Overnight Financing Rate + 0.15%, Rate Floor: 0.00%) due 12/10/212 | | | 100,000 | | | | 100,110 | |
0.21% (U.S. Secured Overnight Financing Rate + 0.14%, Rate Floor: 0.00%) due 09/10/212 | | | 100,000 | | | | 100,086 | |
0.22% (U.S. Secured Overnight Financing Rate + 0.15%, Rate Floor: 0.00%) due 12/09/212 | | | 25,000 | | | | 25,027 | |
Total Federal Agency Notes | | | | |
(Cost $14,960,663) | | | | | | | 14,978,470 | |
U.S. TREASURY BILLS†† - 0.5% |
U.S. Treasury Bills |
0.08% due 10/15/203,4 | | | 392,000 | | | | 391,988 | |
Total U.S. Treasury Bills | | | | |
(Cost $391,987) | | | | | | | 391,988 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††- 31.6% |
Individual Repurchase Agreements6 |
Mizuho Financial Group, Inc.
issued 09/30/20 at (0.05)%
due 10/01/20 (secured by a U.S. Treasury Bond, at a rate of 1.38% and maturing 08/15/50 as collateral, with a value of $16,172,656) to be repurchased at $15,855,523 | | | 15,855,546 | | | | 15,855,546 | |
Barclays Capital,
issued 09/30/20 at (0.00)%
due 10/01/20 (secured by a U.S. Treasury Bond, at a rate of 1.38% and maturing 08/15/50 as collateral, with a value of $5,745,915) to be repurchased at $5,633,250 | | | 5,633,250 | | | | 5,633,250 | |
Joint Repurchase Agreements5 | | | | | | | | |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 2,656,307 | | | | 2,656,307 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 1,105,629 | | | | 1,105,629 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 1,006,122 | | | | 1,006,122 | |
Total Repurchase Agreements | | | | |
(Cost $26,256,854) | | | | | | | 26,256,854 | |
| | | | | | | | | |
Total Investments - 59.1% | | | | |
(Cost $48,980,432) | | $ | 49,058,371 | |
| | | | | | | | | |
U.S. Government Securities Sold Short†† - (87.1)% |
U.S. Treasury Bonds |
1.38% due 08/15/50†† | | | 73,900,000 | | | | (72,318,078 | ) |
Total U.S. Government Securities Sold Short | | | | |
(Proceeds $72,817,280) | | | | | | | (72,318,078 | ) |
Other Assets & Liabilities, net - 128.0% | | | 106,315,588 | |
Total Net Assets - 100.0% | | $ | 83,055,881 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 61 | | | | Dec 2020 | | | $ | 13,507,688 | | | $ | 105,215 | |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as short security collateral at September 30, 2020. |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 7,431,059 | | | $ | — | | | $ | — | | | $ | 7,431,059 | |
Federal Agency Notes | | | — | | | | 14,978,470 | | | | — | | | | 14,978,470 | |
U.S. Treasury Bills | | | — | | | | 391,988 | | | | — | | | | 391,988 | |
Repurchase Agreements | | | — | | | | 26,256,854 | | | | — | | | | 26,256,854 | |
Interest Rate Futures Contracts** | | | 105,215 | | | | — | | | | — | | | | 105,215 | |
Total Assets | | $ | 7,536,274 | | | $ | 41,627,312 | | | $ | — | | | $ | 49,163,586 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
U.S. Government Securities | | $ | — | | | $ | 72,318,078 | | | $ | — | | | $ | 72,318,078 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 3,812,960 | | | $ | — | | | $ | — | | | $ | — | | | $ | 145,859 | | | $ | 3,958,819 | | | | 158,543 | | | $ | 31,362 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 3,399,177 | | | | — | | | | — | | | | — | | | | 73,063 | | | | 3,472,240 | | | | 347,920 | | | | 21,711 | |
| | | $ | 7,212,137 | | | $ | — | | | $ | — | | | $ | — | | | $ | 218,922 | | | $ | 7,431,059 | | | | | | | $ | 53,073 | |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $15,352,650) | | $ | 15,370,458 | |
Investments in affiliated issuers, at value (cost $7,370,928) | | | 7,431,059 | |
Repurchase agreements, at value (cost $26,256,854) | | | 26,256,854 | |
Receivables: |
Fund shares sold | | | 55,689,448 | |
Securities sold | | | 50,691,156 | |
Interest | | | 162,235 | |
Variation margin on futures contracts | | | 64,710 | |
Dividends | | | 8,984 | |
Total assets | | | 155,674,904 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $72,817,280) | | | 72,318,078 | |
Payable for: |
Interest payable on short sales | | | 129,777 | |
Management fees | | | 60,490 | |
Fund shares redeemed | | | 23,686 | |
Transfer agent and administrative fees | | | 18,289 | |
Portfolio accounting fees | | | 6,801 | |
Distribution and service fees | | | 4,004 | |
Trustees’ fees* | | | 835 | |
Miscellaneous | | | 57,063 | |
Total liabilities | | | 72,619,023 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 83,055,881 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 353,330,137 | |
Total distributable earnings (loss) | | | (270,274,256 | ) |
Net assets | | $ | 83,055,881 | |
| | | | | |
Investor Class: |
Net assets | | $ | 69,560,874 | |
Capital shares outstanding | | | 603,875 | |
Net asset value per share | | $ | 115.19 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,810,991 | |
Capital shares outstanding | | | 34,619 | |
Net asset value per share | | $ | 110.08 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 115.57 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,609,385 | |
Capital shares outstanding | | | 16,995 | |
Net asset value per share | | $ | 94.70 | |
| | | | | |
H-Class: |
Net assets | | $ | 8,074,631 | |
Capital shares outstanding | | | 73,042 | |
Net asset value per share | | $ | 110.55 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 53,073 | |
Interest | | | 38,032 | |
Total investment income | | | 91,105 | |
| | | | | |
Expenses: |
Management fees | | | 234,225 | |
Distribution and service fees: |
A-Class | | | 5,427 | |
C-Class | | | 10,542 | |
H-Class | | | 11,772 | |
Transfer agent and administrative fees | | | 73,117 | |
Short interest expense | | | 283,325 | |
Portfolio accounting fees | | | 26,030 | |
Professional fees | | | 17,378 | |
Custodian fees | | | 3,625 | |
Trustees’ fees* | | | 1,210 | |
Miscellaneous | | | 42,403 | |
Total expenses | | | 709,054 | |
Less: |
Expenses waived by Adviser | | | (4,309 | ) |
Net expenses | | | 704,745 | |
Net investment loss | | | (613,640 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | $ | 26,321 | |
Investments sold short | | | (2,627,454 | ) |
Futures contracts | | | (1,663,319 | ) |
Net realized loss | | | (4,264,452 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (13,941 | ) |
Investments in affiliated issuers | | | 218,922 | |
Investments sold short | | | 2,075,305 | |
Futures contracts | | | 1,186,763 | |
Net change in unrealized appreciation (depreciation) | | | 3,467,049 | |
Net realized and unrealized loss | | | (797,403 | ) |
Net decrease in net assets resulting from operations | | $ | (1,411,043 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (613,640 | ) | | $ | 136,337 | |
Net realized loss on investments | | | (4,264,452 | ) | | | (14,164,556 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 3,467,049 | | | | (1,003,492 | ) |
Net decrease in net assets resulting from operations | | | (1,411,043 | ) | | | (15,031,711 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 425,563,546 | | | | 196,858,764 | |
A-Class | | | 265,938 | | | | 1,089,420 | |
C-Class | | | 30,265 | | | | 286,088 | |
H-Class | | | 209,779,777 | | | | 268,283,102 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (375,747,887 | ) | | | (209,131,964 | ) |
A-Class | | | (1,297,817 | ) | | | (5,068,402 | ) |
C-Class | | | (889,769 | ) | | | (3,361,315 | ) |
H-Class | | | (207,404,930 | ) | | | (270,810,021 | ) |
Net increase (decrease) from capital share transactions | | | 50,299,123 | | | | (21,854,328 | ) |
Net increase (decrease) in net assets | | | 48,888,080 | | | | (36,886,039 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 34,167,801 | | | | 71,053,840 | |
End of period | | $ | 83,055,881 | | | $ | 34,167,801 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 3,751,354 | | | | 1,263,769 | |
A-Class | | | 2,442 | | | | 7,642 | |
C-Class | | | 326 | | | | 2,490 | |
H-Class | | | 1,917,525 | | | | 1,761,507 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (3,330,599 | ) | | | (1,341,454 | ) |
A-Class | | | (11,908 | ) | | | (35,469 | ) |
C-Class | | | (9,457 | ) | | | (26,633 | ) |
H-Class | | | (1,898,015 | ) | | | (1,768,085 | ) |
Net decrease in shares | | | 421,668 | | | | (136,231 | ) |
| * | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:5 reverse share split effective August 17, 2020 (Unaudited) — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 114.58 | | | $ | 165.45 | | | $ | 173.19 | | | $ | 180.08 | | | $ | 171.34 | | | $ | 178.91 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.37 | ) | | | .60 | | | | (.65 | ) | | | (2.80 | ) | | | (4.40 | ) | | | (5.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .98 | | | | (51.47 | ) | | | (7.09 | ) | | | (4.09 | ) | | | 13.14 | | | | (1.82 | ) |
Total from investment operations | | | .61 | | | | (50.87 | ) | | | (7.74 | ) | | | (6.89 | ) | | | 8.74 | | | | (7.57 | ) |
Net asset value, end of period | | $ | 115.19 | | | $ | 114.58 | | | $ | 165.45 | | | $ | 173.19 | | | $ | 180.08 | | | $ | 171.34 | |
|
Total Return | | | 0.53 | % | | | (30.73 | %) | | | (4.47 | %) | | | (3.83 | %) | | | 5.08 | % | | | (4.22 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 69,561 | | | $ | 20,983 | | | $ | 43,149 | | | $ | 78,110 | | | $ | 84,123 | | | $ | 89,071 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.26 | %) | | | 0.40 | % | | | (0.37 | %) | | | (1.63 | %) | | | (2.59 | %) | | | (3.07 | %) |
Total expensesc | | | 2.62 | % | | | 2.91 | % | | | 4.12 | % | | | 3.71 | % | | | 3.38 | % | | | 3.48 | % |
Net expensesd,f | | | 2.61 | % | | | 2.89 | % | | | 4.12 | % | | | 3.71 | % | | | 3.38 | % | | | 3.48 | % |
Portfolio turnover rate | | | 1,079 | % | | | 864 | % | | | 603 | % | | | 908 | % | | | 1,436 | % | | | 838 | % |
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 109.61 | | | $ | 158.62 | | | $ | 166.49 | | | $ | 173.55 | | | $ | 165.55 | | | $ | 173.30 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.33 | ) | | | .20 | | | | (.95 | ) | | | (3.15 | ) | | | (4.70 | ) | | | (6.00 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .80 | | | | (49.21 | ) | | | (6.92 | ) | | | (3.91 | ) | | | 12.70 | | | | (1.75 | ) |
Total from investment operations | | | .47 | | | | (49.01 | ) | | | (7.87 | ) | | | (7.06 | ) | | | 8.00 | | | | (7.75 | ) |
Net asset value, end of period | | $ | 110.08 | | | $ | 109.61 | | | $ | 158.62 | | | $ | 166.49 | | | $ | 173.55 | | | $ | 165.55 | |
|
Total Returne | | | 0.43 | % | | | (30.90 | %) | | | (4.74 | %) | | | (4.06 | %) | | | 4.83 | % | | | (4.47 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,811 | | | $ | 4,832 | | | $ | 11,407 | | | $ | 14,455 | | | $ | 18,678 | | | $ | 17,676 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.45 | %) | | | 0.15 | % | | | (0.57 | %) | | | (1.90 | %) | | | (2.85 | %) | | | (3.32 | %) |
Total expensesc | | | 2.87 | % | | | 3.17 | % | | | 4.38 | % | | | 3.97 | % | | | 3.67 | % | | | 3.75 | % |
Net expensesd,f | | | 2.85 | % | | | 3.15 | % | | | 4.37 | % | | | 3.97 | % | | | 3.67 | % | | | 3.75 | % |
Portfolio turnover rate | | | 1,079 | % | | | 864 | % | | | 603 | % | | | 908 | % | | | 1,436 | % | | | 838 | % |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 94.64 | | | $ | 138.00 | | | $ | 145.93 | | | $ | 153.27 | | | $ | 147.30 | | | $ | 155.35 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.36 | ) | | | (.75 | ) | | | (2.15 | ) | | | (3.85 | ) | | | (5.25 | ) | | | (6.55 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .42 | | | | (42.61 | ) | | | (5.78 | ) | | | (3.49 | ) | | | 11.22 | | | | (1.50 | ) |
Total from investment operations | | | .06 | | | | (43.36 | ) | | | (7.93 | ) | | | (7.34 | ) | | | 5.97 | | | | (8.05 | ) |
Net asset value, end of period | | $ | 94.70 | | | $ | 94.64 | | | $ | 138.00 | | | $ | 145.93 | | | $ | 153.27 | | | $ | 147.30 | |
|
Total Returne | | | 0.06 | % | | | (31.41 | %) | | | (5.45 | %) | | | (4.76 | %) | | | 4.04 | % | | | (5.18 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,609 | | | $ | 2,472 | | | $ | 6,937 | | | $ | 18,296 | | | $ | 23,343 | | | $ | 27,899 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.20 | %) | | | (0.59 | %) | | | (1.44 | %) | | | (2.63 | %) | | | (3.59 | %) | | | (4.08 | %) |
Total expensesc | | | 3.62 | % | | | 3.93 | % | | | 5.14 | % | | | 4.71 | % | | | 4.41 | % | | | 4.50 | % |
Net expensesd,f | | | 3.60 | % | | | 3.91 | % | | | 5.13 | % | | | 4.71 | % | | | 4.41 | % | | | 4.50 | % |
Portfolio turnover rate | | | 1,079 | % | | | 864 | % | | | 603 | % | | | 908 | % | | | 1,436 | % | | | 838 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
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.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 109.85 | | | $ | 159.05 | | | $ | 166.92 | | | $ | 174.14 | | | $ | 165.60 | | | $ | 173.34 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.33 | ) | | | .25 | | | | (1.00 | ) | | | (3.25 | ) | | | (4.60 | ) | | | (5.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.03 | | | | (49.45 | ) | | | (6.87 | ) | | | (3.97 | ) | | | 13.14 | | | | (1.99 | ) |
Total from investment operations | | | .70 | | | | (49.20 | ) | | | (7.87 | ) | | | (7.22 | ) | | | 8.54 | | | | (7.74 | ) |
Net asset value, end of period | | $ | 110.55 | | | $ | 109.85 | | | $ | 159.05 | | | $ | 166.92 | | | $ | 174.14 | | | $ | 165.60 | |
|
Total Return | | | 0.64 | % | | | (30.93 | %) | | | (4.70 | %) | | | (4.16 | %) | | | 5.13 | % | | | (4.47 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,075 | | | $ | 5,881 | | | $ | 9,561 | | | $ | 4,858 | | | $ | 43,784 | | | $ | 72,833 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.49 | %) | | | 0.16 | % | | | (0.58 | %) | | | (1.94 | %) | | | (2.80 | %) | | | (3.17 | %) |
Total expensesc | | | 2.85 | % | | | 3.30 | % | | | 4.37 | % | | | 4.00 | % | | | 3.60 | % | | | 3.61 | % |
Net expensesd,f | | | 2.83 | % | | | 3.28 | % | | | 4.36 | % | | | 4.00 | % | | | 3.60 | % | | | 3.61 | % |
Portfolio turnover rate | | | 1,079 | % | | | 872 | % | | | 603 | % | | | 908 | % | | | 1,436 | % | | | 838 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Total return does not reflect the impact of any applicable sales charges. |
f | Total expenses may include interest expense related to short sales. Excluding interest expense, the operating expense ratios for the years presented were as follows: |
| | | 09/30/20a | 03/31/20 | 03/31/19 | 03/29/18 | 03/31/17 | 03/31/16 |
| | Investor Class | 1.51% | 1.50% | 1.50% | 1.43% | 1.43% | 1.40% |
| | A-Class | 1.77% | 1.75% | 1.75% | 1.68% | 1.63% | 1.65% |
| | C-Class | 2.52% | 2.50% | 2.50% | 2.43% | 2.43% | 2.40% |
| | H-Class | 1.76% | 1.75% | 1.75% | 1.68% | 1.68% | 1.65% |
g | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020 — See Note 11. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | April 16, 2007 |
C-Class | April 16, 2007 |
H-Class | April 16, 2007 |
The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 17.2% |
Guggenheim Strategy Fund III | 12.5% |
Guggenheim Strategy Fund II | 8.1% |
Total | 37.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 6.96% | (3.66%) | 4.62% | 5.67% |
A-Class Shares with sales charge‡ | 1.88% | (8.25%) | 3.60% | 5.16% |
C-Class Shares | 6.57% | (4.37%) | 3.85% | 4.87% |
C-Class Shares with CDSC§ | 5.58% | (5.28%) | 3.85% | 4.87% |
H-Class Shares | 7.01% | (3.61%) | 4.59% | 5.68% |
Bloomberg Barclays U.S. Corporate High Yield Index | 15.24% | 3.25% | 6.79% | 6.47% |
* | 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 Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 37.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 388,324 | | | $ | 3,875,469 | |
Guggenheim Strategy Fund III1 | | | 112,348 | | | | 2,816,569 | |
Guggenheim Strategy Fund II1 | | | 73,205 | | | | 1,827,924 | |
Total Mutual Funds | | | | |
(Cost $8,394,416) | | | | | | | 8,519,962 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 22.2% |
Federal Farm Credit Bank |
0.39% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/222 | | $ | 2,500,000 | | | | 2,508,163 | |
Freddie Mac |
0.75% due 04/27/23 | | | 2,500,000 | | | | 2,500,811 | |
Total Federal Agency Notes | | | | |
(Cost $5,003,275) | | | | | | | 5,008,974 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 6.7% |
U.S. Treasury Bills |
0.08% due 10/15/203,4 | | | 1,508,000 | | | | 1,507,955 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,507,950) | | | | | | | 1,507,955 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 20.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/206 | | | 2,595,092 | | | | 2,595,092 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 1,080,150 | | | | 1,080,150 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 982,936 | | | | 982,936 | |
Total Repurchase Agreements | | | | |
(Cost $4,658,178) | | | | | | | 4,658,178 | |
| | | | | | | | | |
Total Investments - 87.3% | | | | |
(Cost $19,563,819) | | $ | 19,695,069 | |
Other Assets & Liabilities, net - 12.7% | | | 2,865,375 | |
Total Net Assets - 100.0% | | $ | 22,560,444 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 5 Year Note Futures Contracts | | | 141 | | | | Dec 2020 | | | $ | 17,766,000 | | | $ | 6,293 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Unrealized
Appreciation** | |
Goldman Sachs International | ICE | CDX.NA.HY.35.V1 | | | 5.00 | % | Quarterly | 12/20/25 | | $ | 13,800,000 | | | $ | 577,530 | | | $ | 552,056 | | | $ | 25,474 | |
Barclays Bank plc | ICE | CDX.NA.HY.35.V1 | | | 5.00 | % | Quarterly | 12/20/25 | | | 6,150,000 | | | | 257,377 | | | | 253,223 | | | | 4,154 | |
| | | | | | | | | | | | | | | | | | $ | 834,907 | | | $ | 805,279 | | | $ | 29,628 | |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
HIGH YIELD STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | 0.49% (1 Month USD LIBOR + 0.35%) | At Maturity | | | 11/18/20 | | | | 9,566 | | | $ | 802,607 | | | $ | 8,131 | |
BNP Paribas | SPDR Bloomberg Barclays High Yield Bond ETF | 0.54% (1 Month USD LIBOR + 0.40%) | At Maturity | | | 11/18/20 | | | | 6,660 | | | | 694,406 | | | | 6,726 | |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | 0.46% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 10/29/20 | | | | 9,924 | | | | 832,623 | | | | 4,069 | |
| | | | | | | | | | | | | | $ | 2,329,636 | | | $ | 18,926 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures and credit default swap collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as credit index swap collateral at September 30, 2020. |
| | CDX.NA.HY.35.V1 — Credit Default Swap North American High Yield Series 35 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | 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 September 30, 2020 (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 | |
Mutual Funds | | $ | 8,519,962 | | | $ | — | | | $ | — | | | $ | 8,519,962 | |
Federal Agency Notes | | | — | | | | 5,008,974 | | | | — | | | | 5,008,974 | |
U.S. Treasury Bills | | | — | | | | 1,507,955 | | | | — | | | | 1,507,955 | |
Repurchase Agreements | | | — | | | | 4,658,178 | | | | — | | | | 4,658,178 | |
Interest Rate Futures Contracts** | | | 6,293 | | | | — | | | | — | | | | 6,293 | |
Credit Default Swap Agreements** | | | — | | | | 29,628 | | | | — | | | | 29,628 | |
Credit Index Swap Agreements** | | | — | | | | 18,926 | | | | — | | | | 18,926 | |
Total Assets | | $ | 8,526,255 | | | $ | 11,223,661 | | | $ | — | | | $ | 19,749,916 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
HIGH YIELD STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 692,308 | | | $ | 3,800,000 | | | $ | (2,725,000 | ) | | $ | (3,250 | ) | | $ | 63,866 | | | $ | 1,827,924 | | | | 73,205 | | | $ | 13,725 | |
Guggenheim Strategy Fund III | | | 2,704,221 | | | | — | | | | — | | | | — | | | | 112,348 | | | | 2,816,569 | | | | 112,348 | | | | 24,363 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,907,641 | | | | 6,800,000 | | | | (4,900,000 | ) | | | (9,264 | ) | | | 77,092 | | | | 3,875,469 | | | | 388,324 | | | | 22,954 | |
| | | $ | 5,304,170 | | | $ | 10,600,000 | | | $ | (7,625,000 | ) | | $ | (12,514 | ) | | $ | 253,306 | | | $ | 8,519,962 | | | | | | | $ | 61,042 | |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $6,511,225) | | $ | 6,516,929 | |
Investments in affiliated issuers, at value (cost $8,394,416) | | | 8,519,962 | |
Repurchase agreements, at value (cost $4,658,178) | | | 4,658,178 | |
Segregated cash with broker | | | 294,948 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 805,279 | |
Unrealized appreciation on OTC swap agreements | | | 18,926 | |
Receivables: |
Fund shares sold | | | 2,471,708 | |
Variation margin on credit default swap agreements | | | 52,845 | |
Protection fees on credit default swap agreements | | | 24,792 | |
Dividends | | | 11,140 | |
Interest | | | 10,313 | |
Total assets | | | 23,385,020 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 502,870 | |
Payable for: |
Fund shares redeemed | | | 125,214 | |
Securities purchased | | | 87,981 | |
Management fees | | | 21,059 | |
Variation margin on futures contracts | | | 16,753 | |
Distribution and service fees | | | 8,634 | |
Transfer agent and administrative fees | | | 7,864 | |
Portfolio accounting fees | | | 2,924 | |
Trustees’ fees* | | | 739 | |
Swap settlement | | | 160 | |
Miscellaneous | | | 50,378 | |
Total liabilities | | | 824,576 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 22,560,444 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 35,236,487 | |
Total distributable earnings (loss) | | | (12,676,043 | ) |
Net assets | | $ | 22,560,444 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,383,682 | |
Capital shares outstanding | | | 37,711 | |
Net asset value per share | | $ | 116.24 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 122.04 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,057,458 | |
Capital shares outstanding | | | 20,548 | |
Net asset value per share | | $ | 100.13 | |
| | | | | |
H-Class: |
Net assets | | $ | 16,119,304 | |
Capital shares outstanding | | | 138,764 | |
Net asset value per share | | $ | 116.16 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 61,042 | |
Interest | | | 50,156 | |
Total investment income | | | 111,198 | |
| | | | | |
Expenses: |
Management fees | | | 189,483 | |
Distribution and service fees: |
A-Class | | | 5,502 | |
C-Class | | | 9,740 | |
H-Class | | | 55,224 | |
Transfer agent and administrative fees | | | 71,384 | |
Registration fees | | | 27,809 | |
Portfolio accounting fees | | | 25,269 | |
Professional fees | | | 18,185 | |
Custodian fees | | | 3,613 | |
Trustees’ fees* | | | 1,298 | |
Miscellaneous | | | 16,638 | |
Total expenses | | | 424,145 | |
Less: |
Expenses waived by Adviser | | | (4,711 | ) |
Net expenses | | | 419,434 | |
Net investment loss | | | (308,236 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | (15,145 | ) |
Investments in affiliated issuers | | | (12,514 | ) |
Swap agreements | | | (2,640,979 | ) |
Futures contracts | | | 599,978 | |
Net realized loss | | | (2,068,660 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 9,865 | |
Investments in affiliated issuers | | | 253,306 | |
Swap agreements | | | 433,376 | |
Futures contracts | | | (295,679 | ) |
Net change in unrealized appreciation (depreciation) | | | 400,868 | |
Net realized and unrealized loss | | | (1,667,792 | ) |
Net decrease in net assets resulting from operations | | $ | (1,976,028 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (308,236 | ) | | $ | 493,714 | |
Net realized gain (loss) on investments | | | (2,068,660 | ) | | | 1,518,599 | |
Net change in unrealized appreciation (depreciation) on investments | | | 400,868 | | | | (1,798,543 | ) |
Net increase (decrease) in net assets resulting from operations | | | (1,976,028 | ) | | | 213,770 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (196,039 | ) |
C-Class | | | — | | | | (45,921 | ) |
H-Class | | | — | | | | (3,642,315 | ) |
Total distributions to shareholders | | | — | | | | (3,884,275 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,021,963 | | | | 6,892,359 | |
C-Class | | | 1,789,298 | | | | 1,043,362 | |
H-Class | | | 266,965,989 | | | | 285,721,192 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 182,416 | |
C-Class | | | — | | | | 40,065 | |
H-Class | | | — | | | | 3,613,386 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (865,080 | ) | | | (10,370,325 | ) |
C-Class | | | (738,634 | ) | | | (1,586,654 | ) |
H-Class | | | (271,561,314 | ) | | | (364,232,406 | ) |
Net decrease from capital share transactions | | | (3,387,778 | ) | | | (78,696,605 | ) |
Net decrease in net assets | | | (5,363,806 | ) | | | (82,367,110 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 27,924,250 | | | | 110,291,360 | |
End of period | | $ | 22,560,444 | | | $ | 27,924,250 | |
| | | | | | | | | |
Capital share activity:* | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 9,142 | | | | 56,141 | |
C-Class | | | 18,945 | | | | 9,667 | |
H-Class | | | 2,359,739 | | | | 2,315,105 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 1,496 | |
C-Class | | | — | | | | 379 | |
H-Class | | | — | | | | 29,667 | |
Shares redeemed | | | | | | | | |
A-Class | | | (7,621 | ) | | | (84,787 | ) |
C-Class | | | (7,613 | ) | | | (14,843 | ) |
H-Class | | | (2,434,043 | ) | | | (2,972,658 | ) |
Net decrease in shares | | | (61,451 | ) | | | (659,833 | ) |
| * | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:5 reverse share split effective August 17, 2020 (Unaudited) — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 108.68 | | | $ | 120.48 | | | $ | 116.32 | | | $ | 123.71 | | | $ | 116.62 | | | $ | 119.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.16 | ) | | | .70 | | | | .70 | | | | (.40 | ) | | | (1.00 | ) | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.72 | f | | | (7.05 | ) | | | 7.41 | | | | 3.11 | | | | 10.44 | | | | 2.34 | |
Total from investment operations | | | 7.56 | | | | (6.35 | ) | | | (8.11 | ) | | | 2.71 | | | | 9.44 | | | | 1.89 | |
Less distributions from: |
Net investment income | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net asset value, end of period | | $ | 116.24 | | | $ | 108.68 | | | $ | 120.48 | | | $ | 116.32 | | | $ | 123.71 | | | $ | 116.62 | |
|
Total Returnc | | | 6.96 | % | | | (5.76 | %) | | | 7.18 | % | | | 2.08 | % | | | 8.24 | % | | | 1.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,384 | | | $ | 3,933 | | | $ | 7,631 | | | $ | 8,427 | | | $ | 20,290 | | | $ | 11,787 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | 0.58 | % | | | 0.59 | % | | | (0.31 | %) | | | (0.85 | %) | | | (0.40 | %) |
Total expensesd | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % |
Net expensese | | | 1.62 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % |
Portfolio turnover rate | | | 100 | % | | | — | | | | 21 | % | | | 422 | % | | | 97 | % | | | 521 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 93.96 | | | $ | 105.62 | | | $ | 103.17 | | | $ | 111.65 | | | $ | 106.26 | | | $ | 110.03 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.20 | ) | | | (.20 | ) | | | (1.10 | ) | | | (1.80 | ) | | | (.95 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.41 | f | | | (6.01 | ) | | | 6.60 | | | | 2.72 | | | | 9.54 | | | | 1.63 | |
Total from investment operations | | | 6.17 | | | | (6.21 | ) | | | 6.40 | | | | 1.62 | | | | 7.74 | | | | .68 | |
Less distributions from: |
Net investment income | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net asset value, end of period | | $ | 100.13 | | | $ | 93.96 | | | $ | 105.62 | | | $ | 103.17 | | | $ | 111.65 | | | $ | 106.26 | |
|
Total Returnc | | | 6.57 | % | | | (6.45 | %) | | | 6.39 | % | | | 1.35 | % | | | 7.38 | % | | | 0.70 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,057 | | | $ | 866 | | | $ | 1,480 | | | $ | 3,994 | | | $ | 4,533 | | | $ | 2,020 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.90 | %) | | | (0.20 | %) | | | (0.21 | %) | | | (1.00 | %) | | | (1.65 | %) | | | (0.88 | %) |
Total expensesd | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % | | | 2.27 | % | | | 2.26 | % | | | 2.24 | % |
Net expensese | | | 2.36 | % | | | 2.36 | % | | | 2.35 | % | | | 2.27 | % | | | 2.26 | % | | | 2.24 | % |
Portfolio turnover rate | | | 100 | % | | | — | | | | 21 | % | | | 422 | % | | | 97 | % | | | 521 | % |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020g | | | Year Ended
March 31,
2019g | | | Year Ended
March 29,
2018g | | | Year Ended
March 31,
2017g | | | Year Ended
March 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 108.54 | | | $ | 120.32 | | | $ | 116.17 | | | $ | 123.58 | | | $ | 116.56 | | | $ | 119.49 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.16 | ) | | | .75 | | | | .60 | | | | (.50 | ) | | | (.90 | ) | | | (.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.78 | f | | | (7.08 | ) | | | 7.50 | | | | 3.19 | | | | 10.27 | | | | 2.27 | |
Total from investment operations | | | 7.62 | | | | (6.33 | ) | | | 8.10 | | | | 2.69 | | | | 9.37 | | | | 1.52 | |
Less distributions from: |
Net investment income | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) | | | (2.35 | ) | | | (4.45 | ) |
Net asset value, end of period | | $ | 116.16 | | | $ | 108.54 | | | $ | 120.32 | | | $ | 116.17 | | | $ | 123.58 | | | $ | 116.56 | |
|
Total Return | | | 7.01 | % | | | (5.73 | %) | | | 7.15 | % | | | 2.08 | % | | | 8.15 | % | | | 1.36 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 16,119 | | | $ | 23,125 | | | $ | 101,180 | | | $ | 23,860 | | | $ | 435,334 | | | $ | 783,018 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.20 | %) | | | 0.59 | % | | | 0.49 | % | | | (0.41 | %) | | | (0.74 | %) | | | (0.64 | %) |
Total expensesd | | | 1.65 | % | | | 1.63 | % | | | 1.60 | % | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % |
Net expensese | | | 1.63 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % |
Portfolio turnover rate | | | 100 | % | | | — | | | | 21 | % | | | 422 | % | | | 97 | % | | | 521 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
g | Reverse share split (Unaudited) — Per share amounts for the periods presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that inversely correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | April 16, 2007 |
C-Class | April 16, 2007 |
H-Class | April 16, 2007 |
The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 26.0% |
Guggenheim Strategy Fund II | 24.2% |
Total | 50.2% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (7.85%) | (1.69%) | (5.87%) | (8.42%) |
A-Class Shares with sales charge‡ | (12.23%) | (6.36%) | (6.78%) | (8.87%) |
C-Class Shares | (8.18%) | (2.38%) | (6.64%) | (9.07%) |
C-Class Shares with CDSC§ | (9.10%) | (3.36%) | (6.64%) | (9.07%) |
H-Class Shares | (7.83%) | (1.52%) | (5.68%) | (8.23%) |
Bloomberg Barclays U.S. Corporate High Yield Index | 15.24% | 3.25% | 6.79% | 6.47% |
* | 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 Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 50.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 70,240 | | | $ | 700,999 | |
Guggenheim Strategy Fund II1 | | | 26,051 | | | | 650,502 | |
Total Mutual Funds | | | | |
(Cost $1,343,504) | | | | | | | 1,351,501 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 26.1% |
Freddie Mac |
0.75% due 04/27/23 | | $ | 500,000 | | | | 500,162 | |
Federal Farm Credit Bank |
0.39% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/222 | | | 200,000 | | | | 200,653 | |
Total Federal Agency Notes | | | | |
(Cost $700,655) | | | | | | | 700,815 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.4% |
U.S. Treasury Bills |
0.08% due 10/15/203,4 | | | 10,000 | | | | 10,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $9,999) | | | | | | | 10,000 | |
REPURCHASE AGREEMENTS††,5 - 82.9% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 1,242,457 | | | | 1,242,457 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 517,145 | | | | 517,145 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 470,602 | | | | 470,602 | |
Total Repurchase Agreements | | | | |
(Cost $2,230,204) | | | | | | | 2,230,204 | |
| | | | | | | | | |
Total Investments - 159.6% | | | | |
(Cost $4,284,362) | | $ | 4,292,520 | |
Other Assets & Liabilities, net - (59.6)% | | | (1,602,653 | ) |
Total Net Assets - 100.0% | | $ | 2,689,867 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury 5 Year Note Futures Contracts | | | 18 | | | | Dec 2020 | | | $ | 2,268,000 | | | $ | 1,899 | |
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | Maturity
Date | | | Notional
Amount | | | | Value | | | | Upfront
Premiums
Received | | | | Unrealized
Depreciation** | |
Barclays Bank plc | ICE | CDX.NA.HY.35.V1 | | | 5.00 | % | Quarterly | 12/20/25 | | $ | 2,600,000 | | | $ | (108,810 | ) | | $ | (104,681 | ) | | $ | (4,129 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
| | CDX.NA.HY.35.V1 — Credit Default Swap North American High Yield Series 35 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE HIGH YIELD STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 1,351,501 | | | $ | — | | | $ | — | | | $ | 1,351,501 | |
Federal Agency Notes | | | — | | | | 700,815 | | | | — | | | | 700,815 | |
U.S. Treasury Bills | | | — | | | | 10,000 | | | | — | | | | 10,000 | |
Repurchase Agreements | | | — | | | | 2,230,204 | | | | — | | | | 2,230,204 | |
Interest Rate Futures Contracts** | | | 1,899 | | | | — | | | | — | | | | 1,899 | |
Total Assets | | $ | 1,353,400 | | | $ | 2,941,019 | | | $ | — | | | $ | 4,294,419 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Credit Default Swap Agreements** | | $ | — | | | $ | 4,129 | | | $ | — | | | $ | 4,129 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,537,959 | | | $ | 1,910,000 | | | $ | (2,830,000 | ) | | $ | (20,930 | ) | | $ | 53,473 | | | $ | 650,502 | | | | 26,051 | | | $ | 5,992 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,550,914 | | | | 1,660,000 | | | | (2,530,000 | ) | | | (14,779 | ) | | | 34,864 | | | | 700,999 | | | | 70,240 | | | | 5,581 | |
| | | $ | 3,088,873 | | | $ | 3,570,000 | | | $ | (5,360,000 | ) | | $ | (35,709 | ) | | $ | 88,337 | | | $ | 1,351,501 | | | | | | | $ | 11,573 | |
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE HIGH YIELD STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $710,654) | | $ | 710,815 | |
Investments in affiliated issuers, at value (cost $1,343,504) | | | 1,351,501 | |
Repurchase agreements, at value (cost $2,230,204) | | | 2,230,204 | |
Segregated cash with broker | | | 510,431 | |
Receivables: |
Variation margin on futures contracts | | | 3,994 | |
Dividends | | | 2,261 | |
Interest | | | 1,791 | |
Total assets | | | 4,810,997 | |
| | | | | |
Liabilities: |
Unamortized upfront premiums received on credit default swap agreements | | | 104,681 | |
Payable for: |
Fund shares redeemed | | | 1,893,977 | |
Swap settlement | | | 75,413 | |
Management fees | | | 10,302 | |
Variation margin on credit default swap agreements | | | 6,815 | |
Protection fees on credit default swap agreements | | | 6,111 | |
Transfer agent and administrative fees | | | 3,759 | |
Distribution and service fees | | | 3,691 | |
Portfolio accounting fees | | | 1,398 | |
Trustees’ fees* | | | 220 | |
Miscellaneous | | | 14,763 | |
Total liabilities | | | 2,121,130 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 2,689,867 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,645,405 | |
Total distributable earnings (loss) | | | (9,955,538 | ) |
Net assets | | $ | 2,689,867 | |
| | | | | |
A-Class: |
Net assets | | $ | 102,336 | |
Capital shares outstanding | | | 1,791 | |
Net asset value per share | | $ | 57.14 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 59.99 | |
| | | | | |
C-Class: |
Net assets | | $ | 321,157 | |
Capital shares outstanding | | | 6,178 | |
Net asset value per share | | $ | 51.99 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,266,374 | |
Capital shares outstanding | | | 38,753 | |
Net asset value per share | | $ | 58.48 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 11,573 | |
Interest | | | 8,096 | |
Total investment income | | | 19,669 | |
| | | | | |
Expenses: |
Management fees | | | 31,976 | |
Distribution and service fees: |
A-Class | | | 514 | |
C-Class | | | 1,691 | |
H-Class | | | 9,722 | |
Transfer agent and administrative fees | | | 12,626 | |
Registration fees | | | 4,693 | |
Portfolio accounting fees | | | 4,264 | |
Professional fees | | | 3,530 | |
Custodian fees | | | 732 | |
Trustees’ fees* | | | 199 | |
Miscellaneous | | | 1,374 | |
Total expenses | | | 71,321 | |
Less: |
Expenses waived by Adviser | | | (1,088 | ) |
Net expenses | | | 70,233 | |
Net investment loss | | | (50,564 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,047 | |
Investments in affiliated issuers | | | (35,709 | ) |
Swap agreements | | | (475,120 | ) |
Futures contracts | | | (58,122 | ) |
Net realized loss | | | (567,904 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (94 | ) |
Investments in affiliated issuers | | | 88,337 | |
Swap agreements | | | (159,624 | ) |
Futures contracts | | | 37,511 | |
Net change in unrealized appreciation (depreciation) | | | (33,870 | ) |
Net realized and unrealized loss | | | (601,774 | ) |
Net decrease in net assets resulting from operations | | $ | (652,338 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
INVERSE HIGH YIELD STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (50,564 | ) | | $ | 6,901 | |
Net realized gain (loss) on investments | | | (567,904 | ) | | | 463,322 | |
Net change in unrealized appreciation (depreciation) on investments | | | (33,870 | ) | | | 118,038 | |
Net increase (decrease) in net assets resulting from operations | | | (652,338 | ) | | | 588,261 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 20,443,729 | | | | 43,047,779 | |
C-Class | | | 9,083 | | | | 40,360 | |
H-Class | | | 160,866,204 | | | | 120,594,884 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (20,559,616 | ) | | | (43,306,242 | ) |
C-Class | | | (20,031 | ) | | | (411,911 | ) |
H-Class | | | (171,494,385 | ) | | | (112,151,071 | ) |
Net increase (decrease) from capital share transactions | | | (10,755,016 | ) | | | 7,813,799 | |
Net increase (decrease) in net assets | | | (11,407,354 | ) | | | 8,402,060 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 14,097,221 | | | | 5,695,161 | |
End of period | | $ | 2,689,867 | | | $ | 14,097,221 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 339,518 | | | | 731,426 | |
C-Class | | | 167 | | | | 724 | |
H-Class | | | 2,684,825 | | | | 1,978,712 | |
Shares redeemed | | | | | | | | |
A-Class | | | (341,860 | ) | | | (731,958 | ) |
C-Class | | | (374 | ) | | | (7,581 | ) |
H-Class | | | (2,858,522 | ) | | | (1,841,697 | ) |
Net increase (decrease) in shares | | | (176,246 | ) | | | 129,626 | |
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.01 | | | $ | 60.47 | | | $ | 64.28 | | | $ | 65.78 | | | $ | 71.69 | | | $ | 76.94 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.40 | ) | | | .24 | | | | .42 | | | | (.07 | ) | | | (.51 | ) | | | (.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.47 | ) | | | 1.30 | | | | (4.23 | ) | | | (1.43 | ) | | | (5.40 | ) | | | (4.45 | ) |
Total from investment operations | | | (4.87 | ) | | | 1.54 | | | | (3.81 | ) | | | (1.50 | ) | | | (5.91 | ) | | | (5.25 | ) |
Net asset value, end of period | | $ | 57.14 | | | $ | 62.01 | | | $ | 60.47 | | | $ | 64.28 | | | $ | 65.78 | | | $ | 71.69 | |
|
Total Returnc | | | (7.85 | %) | | | 2.56 | % | | | (5.93 | %) | | | (2.28 | %) | | | (8.26 | %) | | | (6.81 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 102 | | | $ | 256 | | | $ | 282 | | | $ | 8,746 | | | $ | 915 | | | $ | 2,642 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.35 | %) | | | 0.40 | % | | | 0.66 | % | | | (0.12 | %) | | | (0.74 | %) | | | (1.07 | %) |
Total expensesd | | | 1.67 | % | | | 1.62 | % | | | 1.60 | % | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % |
Net expensese | | | 1.64 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % |
Portfolio turnover rate | | | 213 | % | | | 254 | % | | | — | | | | 41 | % | | | 480 | % | | | 1,722 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 56.62 | | | $ | 55.76 | | | $ | 59.73 | | | $ | 61.63 | | | $ | 67.67 | | | $ | 73.24 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.50 | ) | | | (.05 | ) | | | .01 | | | | (.39 | ) | | | (.85 | ) | | | (1.16 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.13 | ) | | | .91 | | | | (3.98 | ) | | | (1.51 | ) | | | (5.19 | ) | | | (4.41 | ) |
Total from investment operations | | | (4.63 | ) | | | .86 | | | | (3.97 | ) | | | (1.90 | ) | | | (6.04 | ) | | | (5.57 | ) |
Net asset value, end of period | | $ | 51.99 | | | $ | 56.62 | | | $ | 55.76 | | | $ | 59.73 | | | $ | 61.63 | | | $ | 67.67 | |
|
Total Returnc | | | (8.18 | %) | | | 1.54 | % | | | (6.65 | %) | | | (3.08 | %) | | | (8.97 | %) | | | (7.59 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 321 | | | $ | 362 | | | $ | 738 | | | $ | 769 | | | $ | 1,042 | | | $ | 1,653 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.87 | %) | | | (0.09 | %) | | | 0.02 | % | | | (0.65 | %) | | | (1.32 | %) | | | (1.60 | %) |
Total expensesd | | | 2.39 | % | | | 2.37 | % | | | 2.36 | % | | | 2.27 | % | | | 2.27 | % | | | 2.25 | % |
Net expensese | | | 2.36 | % | | | 2.34 | % | | | 2.35 | % | | | 2.27 | % | | | 2.27 | % | | | 2.25 | % |
Portfolio turnover rate | | | 213 | % | | | 254 | % | | | — | | | | 41 | % | | | 480 | % | | | 1,722 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.45 | | | $ | 61.97 | | | $ | 65.89 | | | $ | 67.70 | | | $ | 72.70 | | | $ | 77.91 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.35 | ) | | | .06 | | | | .41 | | | | (.12 | ) | | | (.74 | ) | | | (.64 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.62 | ) | | | 1.42 | | | | (4.33 | ) | | | (1.69 | ) | | | (4.26 | ) | | | (4.57 | ) |
Total from investment operations | | | (4.97 | ) | | | 1.48 | | | | (3.92 | ) | | | (1.81 | ) | | | (5.00 | ) | | | (5.21 | ) |
Net asset value, end of period | | $ | 58.48 | | | $ | 63.45 | | | $ | 61.97 | | | $ | 65.89 | | | $ | 67.70 | | | $ | 72.70 | |
|
Total Return | | | (7.83 | %) | | | 2.39 | % | | | (5.95 | %) | | | (2.67 | %) | | | (6.90 | %) | | | (6.67 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,266 | | | $ | 13,479 | | | $ | 4,675 | | | $ | 8,755 | | | $ | 14,855 | | | $ | 2,513 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | 0.09 | % | | | 0.63 | % | | | (0.18 | %) | | | (1.06 | %) | | | (0.84 | %) |
Total expensesd | | | 1.64 | % | | | 1.64 | % | | | 1.61 | % | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % |
Net expensese | | | 1.62 | % | | | 1.62 | % | | | 1.59 | % | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % |
Portfolio turnover rate | | | 213 | % | | | 254 | % | | | — | | | | 41 | % | | | 480 | % | | | 1,722 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 1:4 share split effective November 4, 2016. |
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
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 September 30, 2020
| 6 Month† | 1 Year | 5 Year | Since
Inception
(06/18/12) |
U.S. Government Money Market Fund | 0.00% | 0.32% | 0.46% | 0.28% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. |
† | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
U.S. GOVERNMENT MONEY MARKET FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 49.7% |
Federal Home Loan Banks |
0.13% (3 Month USD LIBOR - 0.17%, Rate Floor: 0.00%) due 01/06/211 | | $ | 24,000,000 | | | $ | 23,998,306 | |
0.10% (U.S. Secured Overnight Financing Rate + 0.03%, Rate Floor: 0.00%) due 01/15/211 | | | 18,000,000 | | | | 18,000,000 | |
0.21% (U.S. Secured Overnight Financing Rate + 0.14%, Rate Floor: 0.00%) due 03/10/211 | | | 7,500,000 | | | | 7,500,000 | |
0.16% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 01/04/211 | | | 2,620,000 | | | | 2,619,750 | |
0.19% (U.S. Secured Overnight Financing Rate + 0.12%, Rate Floor: 0.00%) due 10/07/201 | | | 2,000,000 | | | | 1,999,992 | |
2.00% due 12/11/20 | | | 1,700,000 | | | | 1,706,214 | |
0.20% (U.S. Secured Overnight Financing Rate + 0.13%, Rate Floor: 0.00%) due 10/16/201 | | | 1,400,000 | | | | 1,400,000 | |
2.63% due 10/01/20 | | | 1,000,000 | | | | 1,000,000 | |
0.15% (1 Month USD LIBOR, Rate Floor: 0.00%) due 10/23/201 | | | 250,000 | | | | 250,002 | |
Federal Agricultural Mortgage Corp |
0.23% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.00%) due 10/23/201 | | | 20,000,000 | | | | 20,001,417 | |
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 01/04/211 | | | 18,000,000 | | | | 18,000,000 | |
0.10% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 10/23/201 | | | 10,000,000 | | | | 10,000,119 | |
Federal Farm Credit Bank |
2.90% due 10/23/20 | | | 10,900,000 | | | | 10,918,642 | |
0.28% (U.S. Prime Rate - 2.98%, Rate Floor: 0.00%) due 05/10/211 | | | 7,500,000 | | | | 7,501,155 | |
0.17% (U.S. Prime Rate - 3.08%, Rate Floor: 0.00%) due 06/29/211 | | | 6,000,000 | | | | 5,998,639 | |
0.14% (Fed Funds Effective Rate + 0.05%, Rate Floor: 0.00%) due 11/12/201 | | | 2,500,000 | | | | 2,499,971 | |
2.54% due 04/05/21 | | | 1,500,000 | | | | 1,518,382 | |
0.34% (U.S. Prime Rate - 2.91%, Rate Floor: 0.00%) due 01/25/211 | | | 990,000 | | | | 990,698 | |
2.70% due 02/23/21 | | | 750,000 | | | | 756,284 | |
Federal National Mortgage Association |
0.15% (U.S. Secured Overnight Financing Rate + 0.08%, Rate Floor: 0.00%) due 10/30/201 | | | 17,625,000 | | | | 17,625,061 | |
1.38% due 02/26/21 | | | 117,000 | | | | 117,381 | |
Total Federal Agency Notes | | | | |
(Cost $154,402,013) | | | | | | | 154,402,013 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 20.9% |
U.S. Treasury Bills |
0.07% due 10/27/202 | | | 32,100,000 | | | | 32,098,203 | |
0.09% due 10/01/202 | | | 10,000,000 | | | | 10,000,000 | |
0.06% due 10/01/202 | | | 9,900,000 | | | | 9,900,000 | |
0.08% due 10/06/202 | | | 8,000,000 | | | | 7,999,894 | |
0.16% due 10/01/202 | | | 5,000,000 | | | | 5,000,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $64,998,097) | | | | | | | 64,998,097 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 9.4% |
Federal Home Loan Bank Discount Notes |
0.08% due 10/05/202 | | | 12,500,000 | | | | 12,499,861 | |
0.08% due 10/23/202 | | | 10,300,000 | | | | 10,299,522 | |
0.10% due 10/27/202 | | | 6,505,000 | | | | 6,504,530 | |
Total Federal Agency Discount Notes | | | | |
(Cost $29,303,913) | | | | | | | 29,303,913 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 17.7% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 30,672,165 | | | | 30,672,165 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 12,766,609 | | | | 12,766,609 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 11,617,614 | | | | 11,617,614 | |
Total Repurchase Agreements | | | | |
(Cost $55,056,388) | | | | | | | 55,056,388 | |
| | | | | | | | | |
Total Investments - 97.7% | | | | |
(Cost $303,760,411) | | $ | 303,760,411 | |
Other Assets & Liabilities, net - 2.3% | | | 7,298,936 | |
Total Net Assets - 100.0% | | $ | 311,059,347 | |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | |
| | See Sector Classification in Other Information section. |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
U.S. GOVERNMENT MONEY MARKET FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 Notes | | $ | — | | | $ | 154,402,013 | | | $ | — | | | $ | 154,402,013 | |
U.S. Treasury Bills | | | — | | | | 64,998,097 | | | | — | | | | 64,998,097 | |
Federal Agency Discount Notes | | | — | | | | 29,303,913 | | | | — | | | | 29,303,913 | |
Repurchase Agreements | | | — | | | | 55,056,388 | | | | — | | | | 55,056,388 | |
Total Assets | | $ | — | | | $ | 303,760,411 | | | $ | — | | | $ | 303,760,411 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $248,704,023) | | $ | 248,704,023 | |
Repurchase agreements, at value (cost $55,056,388) | | | 55,056,388 | |
Receivables: |
Fund shares sold | | | 32,523,284 | |
Interest | | | 217,824 | |
Total assets | | | 336,501,519 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 365 | |
Payable for: |
Fund shares redeemed | | | 25,068,202 | |
Trustees’ fees* | | | 5,867 | |
Miscellaneous | | | 367,738 | |
Total liabilities | | | 25,442,172 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 311,059,347 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 310,908,465 | |
Total distributable earnings (loss) | | | 150,882 | |
Net assets | | $ | 311,059,347 | |
Capital shares outstanding | | | 310,887,582 | |
Net asset value per share | | $ | 1.00 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Interest | | $ | 310,117 | |
Total investment income | | | 310,117 | |
| | | | | |
Expenses: |
Management fees | | | 756,577 | |
Transfer agent and administrative fees | | | 359,487 | |
Registration fees | | | 166,555 | |
Portfolio accounting fees | | | 144,844 | |
Professional fees | | | 112,767 | |
Custodian fees | | | 22,730 | |
Trustees’ fees* | | | 7,328 | |
Miscellaneous | | | 74,716 | |
Total expenses | | | 1,645,004 | |
Less: |
Expenses reimbursed by Adviser: | | | (471,817 | ) |
Expenses waived by Adviser | | | (863,125 | ) |
Total waived/reimbursed expenses | | | (1,334,942 | ) |
Net expenses | | | 310,062 | |
Net investment income | | | 55 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (10 | ) |
Net realized loss | | | (10 | ) |
Net increase in net assets resulting from operations | | $ | 45 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 55 | | | $ | 4,103,787 | |
Net realized gain (loss) on investments | | | (10 | ) | | | 55,390 | |
Net change in unrealized appreciation (depreciation) on investments | | | — | | | | — | |
Net increase in net assets resulting from operations | | | 45 | | | | 4,159,177 | |
| | | | | | | | | |
Distributions to shareholders | | | (55 | ) | | | (4,103,774 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 3,023,497,611 | | | | 5,994,438,512 | |
Distributions reinvested | | | 30 | | | | 4,076,467 | |
Cost of shares redeemed | | | (3,103,229,741 | ) | | | (6,020,978,588 | ) |
Net increase (decrease) from capital share transactions | | | (79,732,100 | ) | | | (22,463,609 | ) |
Net increase (decrease) in net assets | | | (79,732,110 | ) | | | (22,408,206 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 390,791,457 | | | | 413,199,663 | |
End of period | | $ | 311,059,347 | | | $ | 390,791,457 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 3,023,497,610 | | | | 5,994,438,513 | |
Shares issued from reinvestment of distributions | | | 35 | | | | 4,076,837 | |
Shares redeemed | | | (3,103,229,741 | ) | | | (6,020,978,588 | ) |
Net decrease in shares | | | (79,732,096 | ) | | | (22,463,238 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
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.
| | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | c | | | .01 | | | | .01 | | | | — | c | | | — | c | | | — | c |
Net gain (loss) on investments (realized and unrealized) | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Total from investment operations | | | — | c | | | .01 | | | | .01 | | | | — | c | | | — | c | | | — | c |
Less distributions from: |
Net investment income | | | (— | )c | | | (.01 | ) | | | (.01 | ) | | | (— | )c | | | (— | )c | | | (— | )c |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (— | )c | | | — | |
Total distributions | | | (— | )c | | | (.01 | ) | | | (.01 | ) | | | (— | )c | | | (— | )c | | | (— | )c |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 0.99 | | | $ | 1.00 | |
|
Total Return | | | 0.00 | % | | | 0.99 | % | | | 1.10 | % | | | 0.22 | % | | | 0.01 | % | | | 0.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 311,059 | | | $ | 390,791 | | | $ | 413,200 | | | $ | 544,528 | | | $ | 627,514 | | | $ | 643,872 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.00 | %d | | | 1.01 | % | | | 1.10 | % | | | 0.22 | % | | | 0.00 | %d | | | 0.00 | %d |
Total expenses | | | 1.09 | % | | | 1.06 | % | | | 1.05 | % | | | 0.96 | % | | | 0.95 | % | | | 0.91 | % |
Net expensese | | | 0.20 | % | | | 1.03 | % | | | 1.05 | % | | | 0.94 | % | | | 0.47 | % | | | 0.22 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2020. 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 | Less than $0.01 per share. |
d | Less than 0.01%. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2020, the Trust consisted of fifty-two funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Nova Fund | Non-diversified |
S&P 500® Fund | Non-diversified |
Inverse S&P 500® Strategy Fund | Non-diversified |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Non-diversified |
Inverse NASDAQ-100® Strategy Fund | Non-diversified |
Mid-Cap 1.5x Strategy Fund | Non-diversified |
Inverse Mid-Cap Strategy Fund | Non-diversified |
Russell 2000® 1.5x Strategy Fund | Non-diversified |
Russell 2000® Fund | Non-diversified |
Inverse Russell 2000® Strategy Fund | Non-diversified |
Dow Jones Industrial Average® Fund | Non-diversified |
Government Long Bond 1.2x Strategy Fund | Diversified |
Inverse Government Long Bond Strategy Fund | Diversified |
High Yield Strategy Fund | Non-diversified |
Inverse High Yield Strategy Fund | Non-diversified |
U.S. Government Money Market Fund | Diversified |
At September 30, 2020, Investor Class, A-Class, C-Class, H-Class and Money Market Class shares have been issued by the Funds.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 September 30, 2020, afternoon NAV.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted 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 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.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position 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
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 U.S. Treasury securities, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon 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 appreciation or depreciation. 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 appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
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 receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.
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) 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 Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2020, 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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) 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. 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. 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 U.S. federal 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 appreciation and depreciation 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 based on the respective 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 0.09% at September 30, 2020.
(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 on 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
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Contracts
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Nova Fund | Index exposure, Leverage, Liquidity | | $ | 49,235,658 | | | $ | — | |
S&P 500® Fund | Index exposure, Liquidity | | | 6,404,165 | | | | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | 1,266,042 | | | | 2,762,569 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 64,388,841 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 977,687 | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 3,035,317 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 623,447 | | | | — | |
Russell 2000® Fund | Index exposure, Liquidity | | | 1,025,950 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | | | — | | | | 3,700,981 | |
Dow Jones Industrial Average® Fund | Index exposure, Liquidity | | | 1,727,121 | | | | — | |
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 39,293,365 | | | | — | |
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 10,854,109 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 26,399,031 | | | | — | |
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 3,310,886 | |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, 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 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 exchange-traded futures contracts. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, 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 if the underlying reference asset declines in value.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Nova Fund | Index exposure, Leverage, Liquidity | | $ | 143,888,397 | | | $ | — | |
S&P 500® Fund | Index exposure, Liquidity | | | 10,013,711 | | | | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 104,927,111 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 226,014,006 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 26,998,312 | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 7,056,588 | | | | — | |
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | | | — | | | | 1,422,861 | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 8,809,372 | | | | — | |
Russell 2000® Fund | Index exposure, Liquidity | | | 21,206,292 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | | | — | | | | 16,105,059 | |
Dow Jones Industrial Average® Fund | Index exposure, Liquidity | | | 6,885,488 | | | | — | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 7,887,271 | | | | — | |
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 fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or 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. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller 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 amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, 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 a fund is selling credit protection, the default of a third party issuer.
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Protection Purchased | | | Protection Sold | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | $ | — | | | $ | 34,931,167 | |
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 4,452,083 | | | | — | |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate/Credit contracts | Variation margin on futures contracts | Variation margin on futures contracts |
| Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
The following tables sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2020:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
September 30,
2020 | |
Nova Fund | | $ | 1,258,127 | | | $ | 1,465,188 | | | $ | — | | | $ | — | | | $ | 2,723,315 | |
S&P 500® Fund | | | 72,023 | | | | 22,842 | | | | — | | | | — | | | | 94,865 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 3,828,896 | | | | 2,022,891 | | | | — | | | | — | | | | 5,851,787 | |
Mid-Cap 1.5x Strategy Fund | | | 20,390 | | | | 11,856 | | | | — | | | | — | | | | 32,246 | |
Russell 2000® 1.5x Strategy Fund | | | 54,343 | | | | 142,620 | | | | — | | | | — | | | | 196,963 | |
Russell 2000® Fund | | | 64,611 | | | | 54,749 | | | | — | | | | — | | | | 119,360 | |
Inverse Russell 2000® Strategy Fund | | | 39,747 | | | | 20,899 | | | | — | | | | — | | | | 60,646 | |
Dow Jones Industrial Average® Fund | | | 4,786 | | | | 42,327 | | | | — | | | | — | | | | 47,113 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 105,215 | | | | — | | | | 105,215 | |
High Yield Strategy Fund | | | — | | | | — | | | | 6,293 | | | | 48,554 | | | | 54,847 | |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | 1,899 | | | | — | | | | 1,899 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
September 30,
2020 | |
Inverse S&P 500® Strategy Fund | | $ | — | | | $ | 1,216,015 | | | $ | — | | | $ | — | | | $ | 1,216,015 | |
Inverse NASDAQ-100® Strategy Fund | | | 28,321 | | | | 511,503 | | | | — | | | | — | | | | 539,824 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 4,725 | | | | — | | | | — | | | | 4,725 | |
Russell 2000® 1.5x Strategy Fund | | | — | | | | 6,703 | | | | — | | | | — | | | | 6,703 | |
Russell 2000® Fund | | | — | | | | 33,888 | | | | — | | | | — | | | | 33,888 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 12,191 | | | | — | | | | — | | | | 12,191 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 25,933 | | | | — | | | | 25,933 | |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | 4,129 | | | | 4,129 | |
* | Includes cumulative appreciation (depreciation) of futures contracts, OTC and centrally cleared swaps as reported on the Schedules of Investments. Variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2020:
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 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2020:
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 | | $ | 12,690,570 | | | $ | 29,515,106 | | | $ | — | | | $ | — | | | $ | 42,205,676 | |
S&P 500® Fund | | | 2,019,623 | | | | 229,056 | | | | — | | | | — | | | | 2,248,679 | |
Inverse S&P 500® Strategy Fund | | | (1,990,639 | ) | | | (31,616,661 | ) | | | — | | | | — | | | | (33,607,300 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 14,095,848 | | | | 59,670,582 | | | | — | | | | — | | | | 73,766,430 | |
Inverse NASDAQ-100® Strategy Fund | | | (860,576 | ) | | | (12,167,590 | ) | | | — | | | | — | | | | (13,028,166 | ) |
Mid-Cap 1.5x Strategy Fund | | | 299,313 | | | | 2,496,383 | | | | — | | | | — | | | | 2,795,696 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | (581,534 | ) | | | — | | | | — | | | | (581,534 | ) |
Russell 2000® 1.5x Strategy Fund | | | 108,423 | | | | 1,938,709 | | | | — | | | | — | | | | 2,047,132 | |
Russell 2000® Fund | | | 319,006 | | | | 4,715,939 | | | | — | | | | — | | | | 5,034,945 | |
Inverse Russell 2000® Strategy Fund | | | (350,588 | ) | | | (7,894,445 | ) | | | — | | | | — | | | | (8,245,033 | ) |
Dow Jones Industrial Average® Fund | | | 578,246 | | | | 690,303 | | | | — | | | | — | | | | 1,268,549 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 5,987,742 | | | | — | | | | 5,987,742 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (1,663,319 | ) | | | — | | | | (1,663,319 | ) |
High Yield Strategy Fund | | | — | | | | — | | | | 599,978 | | | | (2,640,979 | ) | | | (2,041,001 | ) |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | (58,122 | ) | | | (475,120 | ) | | | (533,242 | ) |
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 | | $ | 1,252,340 | | | $ | 2,717,512 | | | $ | — | | | $ | — | | | $ | 3,969,852 | |
S&P 500® Fund | | | (722,063 | ) | | | 662,049 | | | | — | | | | — | | | | (60,014 | ) |
Inverse S&P 500® Strategy Fund | | | 879,553 | | | | (2,584,966 | ) | | | — | | | | — | | | | (1,705,413 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 3,483,644 | | | | 2,355,249 | | | | — | | | | — | | | | 5,838,893 | |
Inverse NASDAQ-100® Strategy Fund | | | 328,914 | | | | (1,056,058 | ) | | | — | | | | — | | | | (727,144 | ) |
Mid-Cap 1.5x Strategy Fund | | | (84,208 | ) | | | (92,917 | ) | | | — | | | | — | | | | (177,125 | ) |
Inverse Mid-Cap Strategy Fund | | | — | | | | (25,839 | ) | | | — | | | | — | | | | (25,839 | ) |
Russell 2000® 1.5x Strategy Fund | | | (25,895 | ) | | | 33,262 | | | | — | | | | — | | | | 7,367 | |
Russell 2000® Fund | | | (99,465 | ) | | | (386,867 | ) | | | — | | | | — | | | | (486,332 | ) |
Inverse Russell 2000® Strategy Fund | | | 39,747 | | | | (435,581 | ) | | | — | | | | — | | | | (395,834 | ) |
Dow Jones Industrial Average® Fund | | | (172,271 | ) | | | 309,642 | | | | — | | | | — | | | | 137,371 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (7,500,398 | ) | | | — | | | | (7,500,398 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 1,186,763 | | | | — | | | | 1,186,763 | |
High Yield Strategy Fund | | | — | | | | — | | | | (295,679 | ) | | | 433,376 | | | | 137,697 | |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | 37,511 | | | | (159,624 | ) | | | (122,113 | ) |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
170 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. 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 rehypothecated 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:
| | | | | | | | | | | | | | | | 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 | | $ | 1,465,188 | | | $ | — | | | $ | 1,465,188 | | | $ | — | | | $ | — | | | $ | 1,465,188 | |
S&P 500® Fund | Swap equity contracts | | | 22,842 | | | | — | | | | 22,842 | | | | — | | | | — | | | | 22,842 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 2,022,891 | | | | — | | | | 2,022,891 | | | | — | | | | — | | | | 2,022,891 | |
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | | | 11,856 | | | | — | | | | 11,856 | | | | — | | | | — | | | | 11,856 | |
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | | | 142,620 | | | | — | | | | 142,620 | | | | — | | | | — | | | | 142,620 | |
Russell 2000® Fund | Swap equity contracts | | | 54,749 | | | | — | | | | 54,749 | | | | — | | | | — | | | | 54,749 | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 20,899 | | | | — | | | | 20,899 | | | | — | | | | — | | | | 20,899 | |
Dow Jones Industrial Average® Fund | Swap equity contracts | | | 42,327 | | | | — | | | | 42,327 | | | | — | | | | — | | | | 42,327 | |
High Yield Strategy Fund | Swap credit contracts | | | 18,926 | | | | — | | | | 18,926 | | | | — | | | | — | | | | 18,926 | |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets
and
Liabilities | | | Net Amount
of Liabilities
Presented
on the
Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Inverse S&P 500® Strategy Fund | Swap equity contracts | | $ | 1,216,015 | | | $ | — | | | $ | 1,216,015 | | | $ | (1,216,015 | ) | | $ | — | | | $ | — | |
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | | | 511,503 | | | | — | | | | 511,503 | | | | (511,503 | ) | | | — | | | | — | |
Inverse Mid-Cap Strategy Fund | Swap equity contracts | | | 4,725 | | | | — | | | | 4,725 | | | | (205 | ) | | | — | | | | 4,520 | |
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | | | 6,703 | | | | — | | | | 6,703 | | | | (6,703 | ) | | | — | | | | — | |
Russell 2000® Fund | Swap equity contracts | | | 33,888 | | | | — | | | | 33,888 | | | | (33,888 | ) | | | — | | | | — | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 12,191 | | | | — | | | | 12,191 | | | | — | | | | — | | | | 12,191 | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2020.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Nova Fund | Goldman Sachs International | Futures contracts | | $ | 2,195,628 | | | $ | — | |
S&P 500® Fund | Barclays Bank plc | Total return swap agreements | | | 40,010 | | | | — | |
| Goldman Sachs International | Futures contracts | | | 660,000 | | | | — | |
S&P 500® Fund Total | | | | | 700,010 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 33 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Goldman Sachs International | Futures contracts | | | 92,097 | | | | — | |
Inverse Russell 2000® Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 40,010 | | | | — | |
| Goldman Sachs International | Futures contracts | | | 295,800 | | | | — | |
Inverse Russell 2000® Strategy Fund Total | | | | | 335,810 | | | | — | |
Dow Jones Industrial Average® Fund | Barclays Bank plc | Total return swap agreements | | | 60,024 | | | | — | |
Government Long Bond 1.2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 829,222 | | | | — | |
High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 294,948 | | | | — | |
| Goldman Sachs International | Credit default swap agreements | | | — | | | | 502,870 | |
Inverse High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 500,231 | | | | — | |
| Goldman Sachs International | Futures contracts | | | 10,200 | | | | — | |
Inverse High Yield Strategy Fund Total | | | | | 510,431 | | | | — | |
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. |
172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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) | |
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 | % |
When the aggregate assets of each series of the Trust (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) and each series of Rydex Dynamic Funds equal or exceed $10 billion, the advisory fee rate paid by each individual Fund (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) will be reduced in accordance with the asset level and breakpoint schedule set forth below.
Fund Assets Under Management | | Fund Asset-Based
Breakpoint
Reductions | |
$500 million — $1 billion | | | 0.025 | % |
> $1 billion — $2 billion | | | 0.050 | % |
> $2 billion | | | 0.075 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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 Board has adopted a separate Distribution and Shareholder Services Plan applicable to C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For the period ended September 30, 2020, GFD retained sales charges of $79,209 relating to sales of A-Class shares of the Trust.
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended September 30, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Nova Fund | | $ | 16,314 | |
Inverse S&P 500® Strategy Fund | | | 6,500 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 11,776 | |
Inverse NASDAQ-100® Strategy Fund | | | 2,143 | |
Mid-Cap 1.5x Strategy Fund | | | 756 | |
Inverse Mid-Cap Strategy Fund | | | 171 | |
Russell 2000® 1.5x Strategy Fund | | | 389 | |
Inverse Russell 2000® Strategy Fund | | | 1,781 | |
Dow Jones Industrial Average® Fund | | | 1,876 | |
Government Long Bond 1.2x Strategy Fund | | | 7,893 | |
Inverse Government Long Bond Strategy Fund | | | 4,309 | |
High Yield Strategy Fund | | | 4,711 | |
Inverse High Yield Strategy Fund | | | 1,088 | |
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.
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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ 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.
174 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.06% | | | | | | | | | | 2.25% | | | | | | | | |
Due 10/01/20 | | $ | 141,998,853 | | | $ | 141,999,090 | | | 10/31/24 | | $ | 132,688,300 | | | $ | 144,838,915 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.06% | | | | | | | | | | 0.63% | | | | | | | | |
Due 10/01/20 | | | 59,103,876 | | | | 59,103,974 | | | 01/15/26 | | | 36,745,360 | | | | 40,558,260 | |
| | | | | | | | | | | U.S. Treasury Floating Rate Note | | | | | | | | |
| | | | | | | | | | | 0.40% | | | | | | | | |
| | | | | | | | | | | 10/31/21 | | | 19,653,100 | | | | 19,727,799 | |
| | | | | | | | | | | | | | 56,398,460 | | | | 60,286,059 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.06% | | | | | | | | | | 1.13% | | | | | | | | |
Due 10/01/20 | | | 53,784,527 | | | | 53,784,616 | | | 08/15/40 | | | 55,927,400 | | | | 54,860,263 | |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of 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 September 30, 2020, 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 | | $ | 176,460 | | | $ | (176,460 | ) | | $ | — | | | | $ | 179,068 | | | $ | — | | | $ | 179,068 | |
S&P 500® Fund | | | 123,046 | | | | (123,046 | ) | | | — | | | | | 124,846 | | | | — | | | | 124,846 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 250,365 | | | | (250,365 | ) | | | — | | | | | 258,657 | | | | — | | | | 258,657 | |
Mid-Cap 1.5x Strategy Fund | | | 16,908 | | | | (16,908 | ) | | | — | | | | | 17,465 | | | | — | | | | 17,465 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 175 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At September 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Nova Fund | | $ | 272,511,523 | | | $ | 6,321,264 | | | $ | (301,371 | ) | | $ | 6,019,893 | |
S&P 500® Fund | | | 119,096,189 | | | | 14,625,124 | | | | (438,898 | ) | | | 14,186,226 | |
Inverse S&P 500® Strategy Fund | | | 90,943,215 | | | | 160,001 | | | | (1,216,172 | ) | | | (1,056,171 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 293,952,187 | | | | — | | | | (3,474,272 | ) | | | (3,474,272 | ) |
Inverse NASDAQ-100® Strategy Fund | | | 32,254,712 | | | | 64,145 | | | | (542,987 | ) | | | (478,842 | ) |
Mid-Cap 1.5x Strategy Fund | | | 7,728,251 | | | | 767,192 | | | | (68,099 | ) | | | 699,093 | |
Inverse Mid-Cap Strategy Fund | | | 1,286,942 | | | | 2,283 | | | | (4,725 | ) | | | (2,442 | ) |
Russell 2000® 1.5x Strategy Fund | | | 6,173,093 | | | | 215,189 | | | | (6,882 | ) | | | 208,307 | |
Russell 2000® Fund | | | 22,516,506 | | | | 145,978 | | | | (34,065 | ) | | | 111,913 | |
Inverse Russell 2000® Strategy Fund | | | 16,066,952 | | | | 99,031 | | | | (13,178 | ) | | | 85,853 | |
Dow Jones Industrial Average® Fund | | | 15,051,796 | | | | 1,835,257 | | | | (146,430 | ) | | | 1,688,827 | |
Government Long Bond 1.2x Strategy Fund | | | 73,300,315 | | | | — | | | | (1,679,628 | ) | | | (1,679,628 | ) |
Inverse Government Long Bond Strategy Fund | | | (23,836,847 | ) | | | 687,480 | | | | (5,125 | ) | | | 682,355 | |
High Yield Strategy Fund | | | 19,590,362 | | | | 162,498 | | | | (2,944 | ) | | | 159,554 | |
Inverse High Yield Strategy Fund | | | 4,286,046 | | | | 8,955 | | | | (4,711 | ) | | | 4,244 | |
U.S. Government Money Market Fund | | | 303,760,411 | | | | — | | | | — | | | | — | |
176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended September 30, 2020, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | | Purchases | | | Sales | |
Nova Fund | | $ | 1,048,260,258 | | | $ | 888,906,619 | |
S&P 500® Fund | | | 246,694,638 | | | | 237,920,324 | |
Inverse S&P 500® Strategy Fund | | | 800,000 | | | | — | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 712,717,767 | | | | 571,136,775 | |
Inverse NASDAQ-100® Strategy Fund | | | 1,000,000 | | | | 2,600,000 | |
Mid-Cap 1.5x Strategy Fund | | | 11,592,361 | | | | 8,129,591 | |
Inverse Mid-Cap Strategy Fund | | | 105,000 | | | | — | |
Russell 2000® 1.5x Strategy Fund | | | 313,000 | | | | — | |
Russell 2000® Fund | | | — | | | | — | |
Inverse Russell 2000® Strategy Fund | | | 975,000 | | | | — | |
Dow Jones Industrial Average® Fund | | | 13,786,368 | | | | 19,316,330 | |
Government Long Bond 1.2x Strategy Fund | | | 200,000 | | | | 11,300,000 | |
High Yield Strategy Fund | | | 10,600,000 | | | | 7,625,000 | |
Inverse High Yield Strategy Fund | | | 3,570,000 | | | | 5,360,000 | |
U.S. Government Money Market Fund | | | — | | | | — | |
For the period ended September 30, 2020, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Government Long Bond 1.2x Strategy Fund | | $ | 982,907,875 | | | $ | 1,004,981,953 | |
Inverse Government Long Bond Strategy Fund | | | 455,508,203 | | | | 502,077,641 | |
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. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2020, 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 | | $ | 286,994,598 | | | $ | 193,260,772 | | | $ | 5,236,221 | |
S&P 500® Fund | | | 134,641,832 | | | | 201,232,228 | | | | 2,608,563 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 262,199,437 | | | | 55,399,070 | | | | (595,171 | ) |
Mid-Cap 1.5x Strategy Fund | | | 2,906,625 | | | | 2,788,901 | | | | 28,461 | |
Dow Jones Industrial Average® Fund | | | 3,493,782 | | | | 7,992,366 | | | | 426,490 | |
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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2020. The Funds did not have any borrowings outstanding under this agreement at September 30, 2020.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The average daily balances borrowed for the period ended September 30, 2020, were as follows:
Fund | | Average Daily Balance | |
Nova Fund | | $ | 162 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 14,553 | |
Inverse NASDAQ-100® Strategy Fund | | | 30 | |
Mid-Cap 1.5x Strategy Fund | | | 2,910 | |
Note 11 – Reverse Share Splits
Share Splits
Effective on August 17, 2020, reverse share splits occurred for the following Funds:
Fund | Split Type |
Inverse Mid-Cap Strategy Fund | One-for-Five Reverse Split |
Inverse Russell 2000® Strategy Fund | One-for-Five Reverse Split |
Inverse Government Long Bond Strategy Fund | One-for-Five Reverse Split |
High Yield Strategy Fund | One-for-Five Reverse Split |
The effect of these transactions was to divide the number of outstanding shares of the Inverse Mid-Cap Strategy Fund, the Inverse Russell 2000 Strategy Fund, the Inverse Government Long Bond Strategy Fund and the High Yield Strategy Fund by their respective reverse share split ratios, resulting in a corresponding increase in the NAV. The share transactions presented in the Statement of Changes in Net Assets and the Per Share Data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these reverse share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 12 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The 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-2296 (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.
178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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. 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. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include the Rydex Series Funds. Defendants filed an opposition to the certiorari petition on August 26, 2020.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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 shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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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.
Note 13 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 14 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Series Funds Contracts Review Committee
Rydex Series Funds (the “Trust”) was organized as a Delaware statutory trust on February 10, 1993, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow Jones Industrial Average Fund |
● | Electronics Fund* | ● | Emerging Markets 2x Strategy Fund |
● | Emerging Markets Bond Strategy Fund | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Emerging Markets 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Guggenheim Long Short Equity Fund (“Long Short Equity Fund”)** | ● | Guggenheim Managed Futures Strategy Fund (“Managed Futures Strategy Fund”)** |
● | Mid-Cap 1.5x Strategy Fund | ● | Monthly Rebalance NASDAQ-100 2x Strategy Fund |
● | Guggenheim Multi-Hedge Strategies Fund (“Multi-Hedge Strategies Fund”)** | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
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● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 Fund |
● | S&P 500 Fund | ● | S&P 500 Pure Growth Fund |
● | S&P 500 Pure Value Fund | ● | S&P MidCap 400 Pure Growth Fund |
● | S&P MidCap 400 Pure Value Fund | ● | S&P SmallCap 600 Pure Growth Fund |
● | S&P SmallCap 600 Pure Value Fund | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed objective performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, twice-daily pricing for certain Tradable Funds on select trading platforms, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges among like share classes and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for such Funds relative to the applicable benchmark index or Guggenheim-constructed performance benchmark for the five-year, three-year and one-year periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee received a comparison of the tracking error of each Fund’s Class H shares to the tracking error of a peer fund, in each case for the same periods, as applicable. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences. In this connection, the Committee considered the tracking error of each Fund’s Class H shares relative to its applicable benchmark index or Guggenheim-constructed performance benchmark and, for certain Tradable Funds, compared to the tracking error of a peer fund, for the five-year and three-year periods ended December 31, 2019, as applicable, noting the Adviser’s view that such five-year and three-year periods are a reasonable proxy for anticipated levels of tracking error. The Committee considered the Adviser’s commentary explaining the higher levels of tracking error for certain Funds.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies
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and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to either the Commodities Strategy Fund or the Emerging Markets Bond Strategy Fund. The Committee considered, for the Commodities Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodity funds and, for the Emerging Markets Bond Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of actively-managed emerging markets bond funds, in each case noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the returns of the Multi-Hedge Strategies Fund’s Institutional Class shares ranked in the third quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The returns of the Fund’s Institutional Class shares ranked in the 88th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 62nd percentile.
Managed Futures Strategy Fund: The returns of the Fund’s Institutional Class shares ranked in the 92nd and 34th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the poor performance of the Fund’s previous dedicated trend-following strategy in 2016, during which time trend-following models were routinely hurt by the frequent whipsawing in the market, particularly in commodities. The Committee took into account management’s statement that the Fund changed its underlying investment model in 2017, moving to a more diversified, systematic multi-model system that employs a core-satellite approach, resulting in more competitive performance over the three-year and one-year time periods. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 76th and 28th percentiles, respectively, and that one-year performance ranked in the 43rd percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
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Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than variable insurance fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that the contractual advisory fee for each Fund’s Class H shares was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered the net effective management fee and total net expense ratio for each such Fund’s Class H shares as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are higher than those of the comparable peer fund, the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Multi-Hedge Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (94th percentile) of its peer group. The Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (38th percentile) of its peer group.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year. The Committee took into account that, in June 2018, the Adviser implemented breakpoints for the Tradable Funds, noting that each Fund’s advisory fee would be subject to a uniform fee breakpoint reduction schedule that would take effect once the aggregate assets of the Tradable Funds and the tradable series of Rydex Dynamic Funds exceed $10 billion.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 187 |
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 | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr(1) (1946) | Trustee | Since 2019 | Current: Retired. Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley(1) (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III(1) (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
188 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-September 2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 189 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE: | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
(1) | Under the Trust’s Independent Trustees Retirement Policy, Messrs. Chubb, Farley and Friedrich are expected to retire in 2021. |
190 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 191 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
192 | THE RYDEX FUNDS SEMI-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. |
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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
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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 195 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Series Funds (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each applicable series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2020
Rydex Funds Semi-Annual Report
Domestic Equity Funds |
S&P 500® Pure Growth Fund |
S&P 500® Pure Value Fund |
S&P MidCap 400® Pure Growth Fund |
S&P MidCap 400® Pure Value Fund |
S&P SmallCap 600® Pure Growth Fund |
S&P SmallCap 600® Pure Value Fund |
International Equity Funds |
Europe 1.25x Strategy Fund |
Japan 2x Strategy Fund |
Specialty Funds |
Strengthening Dollar 2x Strategy Fund |
Weakening Dollar 2x Strategy Fund |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from a fund electronically by calling 800.820.0888, going to GuggenheimInvestments.com/myaccount, or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper will apply to all Guggenheim Funds in which you are invested and may apply to all funds held with your financial intermediary.
GuggenheimInvestments.com | RBENF2-SEMI-0920x0321 |
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 | 17 |
S&P MIDCAP 400® PURE GROWTH FUND | 24 |
S&P MIDCAP 400® PURE VALUE FUND | 31 |
S&P SMALLCAP 600® PURE GROWTH FUND | 38 |
S&P SMALLCAP 600® PURE VALUE FUND | 46 |
EUROPE 1.25x STRATEGY FUND | 54 |
JAPAN 2x STRATEGY FUND | 63 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 71 |
WEAKENING DOLLAR 2x STRATEGY FUND | 79 |
NOTES TO FINANCIAL STATEMENTS | 87 |
OTHER INFORMATION | 102 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 110 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 115 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 118 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
The six-month period ended September 30, 2020, concluded on a cautious note. Even though markets performed well for most of the period, COVID-19 became the deadliest pandemic in a century, causing a steeper plunge in output and employment in two months than during the first two years of the Great Depression. The U.S. Federal Reserve acted quickly to restore market functioning and cushion the economy, cutting rates to zero, engaging in massive asset purchases, and launching an array of lending facilities. Congress also acted much faster than in previous downturns, with the budget deficit headed to the highest level since World War II.
The recovery since the spring has been faster than expected, with consumer confidence holding up due to the temporary nature of layoffs and positive personal income growth thanks to massive fiscal support. However, the outlook for the next several months is more challenging. Fiscal support is fading, so incomes will likely fall in the fourth quarter. Also, colder weather and the reopening of schools make the likelihood of another large COVID wave very high, risking renewed lockdowns and a setback in the recovery. We do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process will likely take until mid-2021, or possibly longer. As discussed in this shareholder report, these events have had an impact on performance.
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2020.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to the safety and prosperity of our clients, our employees, and our shareholders. Thank you for the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2020
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses, and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational 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 Funds’ shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
Pure Style Funds may not be suitable for all investors. ● The Funds are subject to the risk that large, medium and small-capitalization stocks may underperform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities. ● The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Funds’ ability to achieve their investment objective and may decrease the Funds’ performance. ● These Funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
The Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2020 |
Six months ago, the global COVID-19 pandemic threatened the worst economic downturn since the Great Depression. Faced with the prospect of an economic collapse, policymakers in the U.S. introduced fiscal and monetary policy initiatives that have, for the most part, shored up the U.S. economy, although more stimulus appears to be necessary. These policy initiatives, particularly on the monetary side, have increased market liquidity and lowered borrowing rates, reassuring equity investors that the U.S. Federal Reserve (the “Fed”) would do everything in its power to maintain market stability. For the six months ended September 30, 2020, the Standard & Poor’s 500® (“S&P 500”) Index* returned 31.31%, briefly surpassing the pre-pandemic peak before giving up gains in September. This increase was in spite of personal and economic hardships imposed by the onset of COVID-19, highlighting the crucial role of policy support.
While the outlook on fiscal policy is contingent on the 2020 presidential election outcome, the monetary policy outlook is far less dependent on it. Our views hold that the Fed will remain accommodative over the next several years. This is in large part owing to recent revisions to the Fed’s policy framework that resulted in a dovish shift in the policy reaction function.
Fed policymakers revised their Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. Labor market goals now focus on correcting shortfalls in achieving maximum employment, rather than managing deviations from it, which previously included tightening policy when the Fed thought the labor market was too tight. Instead, the Fed will now tolerate the unemployment rate falling below a level they consider to be maximum employment as long as it does not produce unwanted inflation. On inflation policy, the Fed will aim for core inflation to average 2% over an unspecified time period. This allows for inflation readings that are moderately above 2% over shorter horizons to make up for periods when inflation falls below its target.
The practical effect of the revised strategy would likely have meant no rate hikes from 2015–2018, as inflation was never above 2% for a sustained period and a low unemployment rate is now an insufficient justification for raising rates. But the revised statement, and Fed Chair Jerome Powell’s speech at Jackson Hole, which coincided with the release of the new framework, gave no explanation of how the Fed would actually achieve higher inflation, something it could not attain previously with years of short-term rates at zero and trillions of dollars in quantitative easing. A lack of concrete guidance on the overshoot (with no numerical target and no specified time frame) further weakens the policy and the associated response in inflation expectations, which remain lower than the Fed would favor.
We expect the Fed will have a difficult time in reaching its inflation target in the coming years, let alone exceeding it, in part because core inflation lags real gross domestic product growth by about 18 months, meaning that inflation should trend downward over the next several quarters. In addition, elevated unemployment and a high debt burden will weigh on the speed of the recovery. As the last expansion demonstrated, even a strong economy with low unemployment does not necessarily produce inflation in excess of 2%, as many components of inflation are not responsive to interest rates or economic conditions.
Below-target inflation may anchor U.S. Treasury yields at low levels. In the near term, concerns over another COVID-19 wave complicated by the flu season, a slowing pace of improvement in the labor market, a lack of additional fiscal stimulus, and election uncertainty, all suggest low U.S. Treasury yields. In addition, comparatively higher yields in the U.S. should continue to attract capital from abroad, further supporting the market.
For the six-month period ended September 30, 2020, the MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.39%. The return of the MSCI Emerging Markets Index* was 29.36%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 3.53% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 15.24%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2020 |
*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® 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.
USD or U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: euro (EUR), 57.6% + Japanese yen (JPY), 13.6% + pound sterling (GBP), 11.9% + Canadian dollar (CAD), 9.1% + Swedish krona (SEK), 4.2% + Swiss franc (CHF) 3.6%.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings 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 SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2020 and ending September 30, 2020.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.64% | 40.57% | $ 1,000.00 | $ 1,405.70 | $ 9.89 |
C-Class | 2.39% | 40.03% | 1,000.00 | 1,400.30 | 14.38 |
H-Class | 1.64% | 40.56% | 1,000.00 | 1,405.60 | 9.89 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.64% | 22.96% | 1,000.00 | 1,229.60 | 9.17 |
C-Class | 2.40% | 22.48% | 1,000.00 | 1,224.80 | 13.39 |
H-Class | 1.64% | 22.94% | 1,000.00 | 1,229.40 | 9.17 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.64% | 49.45% | 1,000.00 | 1,494.50 | 10.26 |
C-Class | 2.39% | 48.88% | 1,000.00 | 1,488.80 | 14.91 |
H-Class | 1.64% | 49.44% | 1,000.00 | 1,494.40 | 10.26 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.64% | 39.73% | 1,000.00 | 1,397.30 | 9.86 |
C-Class | 2.40% | 39.23% | 1,000.00 | 1,392.30 | 14.39 |
H-Class | 1.63% | 39.73% | 1,000.00 | 1,397.30 | 9.80 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.64% | 38.75% | 1,000.00 | 1,387.50 | 9.82 |
C-Class | 2.39% | 38.27% | 1,000.00 | 1,382.70 | 14.28 |
H-Class | 1.63% | 38.73% | 1,000.00 | 1,387.30 | 9.75 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.65% | 43.97% | 1,000.00 | 1,439.70 | 10.09 |
C-Class | 2.41% | 43.52% | 1,000.00 | 1,435.20 | 14.71 |
H-Class | 1.63% | 44.06% | 1,000.00 | 1,440.60 | 9.97 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.80% | 19.88% | 1,000.00 | 1,198.80 | 9.92 |
C-Class | 2.57% | 19.30% | 1,000.00 | 1,193.00 | 14.13 |
H-Class | 1.77% | 19.90% | 1,000.00 | 1,199.00 | 9.76 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.60% | 50.74% | 1,000.00 | 1,507.40 | 10.06 |
C-Class | 2.35% | 50.14% | 1,000.00 | 1,501.40 | 14.74 |
H-Class | 1.60% | 50.71% | 1,000.00 | 1,507.10 | 10.06 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.87% | (10.03%) | 1,000.00 | 899.70 | 8.91 |
C-Class | 2.63% | (10.39%) | 1,000.00 | 896.10 | 12.50 |
H-Class | 1.92% | (10.01%) | 1,000.00 | 899.90 | 9.14 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.86% | 10.25% | 1,000.00 | 1,102.50 | 9.80 |
C-Class | 2.63% | 9.83% | 1,000.00 | 1,098.30 | 13.83 |
H-Class | 1.86% | 10.23% | 1,000.00 | 1,102.30 | 9.80 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.64% | 5.00% | $ 1,000.00 | $ 1,016.85 | $ 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 |
C-Class | 2.41% | 5.00% | 1,000.00 | 1,012.99 | 12.16 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.18 | 12.96 |
H-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.60% | 5.00% | 1,000.00 | 1,017.05 | 8.09 |
C-Class | 2.35% | 5.00% | 1,000.00 | 1,013.29 | 11.86 |
H-Class | 1.60% | 5.00% | 1,000.00 | 1,017.05 | 8.09 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 |
C-Class | 2.63% | 5.00% | 1,000.00 | 1,011.88 | 13.26 |
H-Class | 1.92% | 5.00% | 1,000.00 | 1,015.44 | 9.70 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.86% | 5.00% | 1,000.00 | 1,015.74 | 9.40 |
C-Class | 2.63% | 5.00% | 1,000.00 | 1,011.88 | 13.26 |
H-Class | 1.86% | 5.00% | 1,000.00 | 1,015.74 | 9.40 |
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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2020 to September 30, 2020. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
ServiceNow, Inc. | 2.5% |
Facebook, Inc. — Class A | 1.7% |
Paycom Software, Inc. | 1.7% |
Adobe, Inc. | 1.6% |
PayPal Holdings, Inc. | 1.6% |
DexCom, Inc. | 1.6% |
PulteGroup, Inc. | 1.6% |
Lam Research Corp. | 1.6% |
NVIDIA Corp. | 1.5% |
MSCI, Inc. — Class A | 1.5% |
Top Ten Total | 16.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 40.57% | 18.75% | 12.08% | 13.26% |
A-Class Shares with sales charge‡ | 33.89% | 13.11% | 10.99% | 12.71% |
C-Class Shares | 40.03% | 17.86% | 11.24% | 12.41% |
C-Class Shares with CDSC§ | 39.03% | 16.86% | 11.24% | 12.41% |
H-Class Shares | 40.56% | 18.74% | 12.07% | 13.26% |
S&P 500 Pure Growth Index | 41.98% | 20.87% | 13.97% | 15.22% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P 500® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Technology - 33.2% |
ServiceNow, Inc.* | | | 2,780 | | | $ | 1,348,300 | |
Paycom Software, Inc.* | | | 2,949 | | | | 918,024 | |
Adobe, Inc.* | | | 1,770 | | | | 868,061 | |
Lam Research Corp. | | | 2,530 | | | | 839,328 | |
NVIDIA Corp. | | | 1,510 | | | | 817,242 | |
MSCI, Inc. — Class A | | | 2,199 | | | | 784,559 | |
Apple, Inc. | | | 6,740 | | | | 780,559 | |
Teradyne, Inc. | | | 9,600 | | | | 762,816 | |
Fortinet, Inc.* | | | 6,139 | | | | 723,236 | |
ANSYS, Inc.* | | | 2,186 | | | | 715,325 | |
Synopsys, Inc.* | | | 3,240 | | | | 693,295 | |
Cadence Design Systems, Inc.* | | | 6,180 | | | | 658,973 | |
KLA Corp. | | | 3,365 | | | | 651,935 | |
Micron Technology, Inc.* | | | 13,490 | | | | 633,490 | |
Microsoft Corp. | | | 3,000 | | | | 630,990 | |
Applied Materials, Inc. | | | 10,100 | | | | 600,445 | |
salesforce.com, Inc.* | | | 2,327 | | | | 584,822 | |
Broadcom, Inc. | | | 1,400 | | | | 510,048 | |
Microchip Technology, Inc. | | | 4,883 | | | | 501,777 | |
Tyler Technologies, Inc.* | | | 1,378 | | | | 480,316 | |
Advanced Micro Devices, Inc.* | | | 5,621 | | | | 460,866 | |
Fiserv, Inc.* | | | 3,790 | | | | 390,559 | |
QUALCOMM, Inc. | | | 3,140 | | | | 369,515 | |
Autodesk, Inc.* | | | 1,531 | | | | 353,676 | |
Take-Two Interactive Software, Inc.* | | | 2,096 | | | | 346,301 | |
Qorvo, Inc.* | | | 2,667 | | | | 344,070 | |
Intuit, Inc. | | | 937 | | | | 305,659 | |
Xerox Holdings Corp. | | | 15,654 | | | | 293,826 | |
Analog Devices, Inc. | | | 2,270 | | | | 265,000 | |
Zebra Technologies Corp. — Class A* | | | 990 | | | | 249,935 | |
Total Technology | | | | | | | 17,882,948 | |
| | | | | | | | | |
Consumer, Non-cyclical - 17.7% |
PayPal Holdings, Inc.* | | | 4,399 | | | | 866,735 | |
DexCom, Inc.* | | | 2,090 | | | | 861,561 | |
United Rentals, Inc.* | | | 4,224 | | | | 737,088 | |
Vertex Pharmaceuticals, Inc.* | | | 2,627 | | | | 714,859 | |
Incyte Corp.* | | | 7,703 | | | | 691,267 | |
Align Technology, Inc.* | | | 1,865 | | | | 610,526 | |
MarketAxess Holdings, Inc. | | | 1,108 | | | | 533,602 | |
Edwards Lifesciences Corp.* | | | 6,325 | | | | 504,862 | |
Cintas Corp. | | | 1,456 | | | | 484,601 | |
FleetCor Technologies, Inc.* | | | 1,933 | | | | 460,247 | |
Moody’s Corp. | | | 1,494 | | | | 433,036 | |
S&P Global, Inc. | | | 1,029 | | | | 371,057 | |
IDEXX Laboratories, Inc.* | | | 940 | | | | 369,523 | |
Estee Lauder Companies, Inc. — Class A | | | 1,620 | | | | 353,565 | |
ResMed, Inc. | | | 1,990 | | | | 341,146 | |
Intuitive Surgical, Inc.* | | | 477 | | | | 338,451 | |
Thermo Fisher Scientific, Inc. | | | 741 | | | | 327,166 | |
West Pharmaceutical Services, Inc. | | | 1,060 | | | | 291,394 | |
Catalent, Inc.* | | | 3,000 | | | | 256,980 | |
Total Consumer, Non-cyclical | | | | | | | 9,547,666 | |
| | | | | | | | | |
Consumer, Cyclical - 15.0% |
PulteGroup, Inc. | | | 18,473 | | | | 855,115 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 605 | | | | 752,444 | |
Copart, Inc.* | | | 6,466 | | | | 679,965 | |
DR Horton, Inc. | | | 8,906 | | | | 673,561 | |
Hilton Worldwide Holdings, Inc. | | | 6,381 | | | | 544,427 | |
NVR, Inc.* | | | 125 | | | | 510,390 | |
Domino’s Pizza, Inc. | | | 1,167 | | | | 496,302 | |
Dollar General Corp. | | | 2,342 | | | | 490,930 | |
PACCAR, Inc. | | | 5,530 | | | | 471,598 | |
CarMax, Inc.* | | | 4,626 | | | | 425,176 | |
Yum! Brands, Inc. | | | 4,310 | | | | 393,503 | |
AutoZone, Inc.* | | | 287 | | | | 337,983 | |
Starbucks Corp. | | | 3,930 | | | | 337,665 | |
O’Reilly Automotive, Inc.* | | | 711 | | | | 327,828 | |
Ross Stores, Inc. | | | 2,454 | | | | 229,007 | |
Tiffany & Co. | | | 1,680 | | | | 194,628 | |
TJX Companies, Inc. | | | 3,386 | | | | 188,431 | |
Wynn Resorts Ltd. | | | 2,020 | | | | 145,056 | |
Total Consumer, Cyclical | | | | | | | 8,054,009 | |
| | | | | | | | | |
Industrial - 10.6% |
Old Dominion Freight Line, Inc. | | | 3,329 | | | | 602,283 | |
TransDigm Group, Inc. | | | 1,064 | | | | 505,528 | |
Teledyne Technologies, Inc.* | | | 1,421 | | | | 440,808 | |
Masco Corp. | | | 7,995 | | | | 440,764 | |
Fortune Brands Home & Security, Inc. | | | 4,863 | | | | 420,747 | |
Kansas City Southern | | | 2,302 | | | | 416,270 | |
Keysight Technologies, Inc.* | | | 3,697 | | | | 365,190 | |
L3Harris Technologies, Inc. | | | 2,150 | | | | 365,156 | |
Northrop Grumman Corp. | | | 1,140 | | | | 359,659 | |
AMETEK, Inc. | | | 3,062 | | | | 304,363 | |
Lockheed Martin Corp. | | | 760 | | | | 291,293 | |
Garmin Ltd. | | | 2,980 | | | | 282,683 | |
Vulcan Materials Co. | | | 2,030 | | | | 275,146 | |
Martin Marietta Materials, Inc. | | | 1,050 | | | | 247,128 | |
Roper Technologies, Inc. | | | 595 | | | | 235,090 | |
Allegion plc | | | 1,860 | | | | 183,973 | |
Total Industrial | | | | | | | 5,736,081 | |
| | | | | | | | | |
Communications - 10.0% |
Facebook, Inc. — Class A* | | | 3,563 | | | | 933,150 | |
Netflix, Inc.* | | | 1,398 | | | | 699,042 | |
Amazon.com, Inc.* | | | 220 | | | | 692,721 | |
Charter Communications, Inc. — Class A* | | | 1,000 | | | | 624,340 | |
eBay, Inc. | | | 9,820 | | | | 511,622 | |
CDW Corp. | | | 3,313 | | | | 396,003 | |
Etsy, Inc.* | | | 2,720 | | | | 330,833 | |
Alphabet, Inc. — Class A* | | | 183 | | | | 268,205 | |
Alphabet, Inc. — Class C* | | | 181 | | | | 265,997 | |
Motorola Solutions, Inc. | | | 1,619 | | | | 253,875 | |
Arista Networks, Inc.* | | | 1,132 | | | | 234,245 | |
Booking Holdings, Inc.* | | | 110 | | | | 188,175 | |
Total Communications | | | | | | | 5,398,208 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P 500® PURE GROWTH FUND | |
| | Shares | | | Value | |
Financial - 7.2% |
Mastercard, Inc. — Class A | | | 2,140 | | | $ | 723,684 | |
Visa, Inc. — Class A | | | 2,673 | | | | 534,520 | |
CBRE Group, Inc. — Class A* | | | 10,154 | | | | 476,933 | |
Equinix, Inc. REIT | | | 615 | | | | 467,480 | |
Synchrony Financial | | | 17,767 | | | | 464,963 | |
SBA Communications Corp. REIT | | | 1,297 | | | | 413,069 | |
Cboe Global Markets, Inc. | | | 3,687 | | | | 323,497 | |
American Tower Corp. — Class A REIT | | | 1,140 | | | | 275,572 | |
Western Union Co. | | | 8,740 | | | | 187,298 | |
Total Financial | | | | | | | 3,867,016 | |
| | | | | | | | | |
Basic Materials - 4.1% |
FMC Corp. | | | 5,860 | | | | 620,633 | |
Sherwin-Williams Co. | | | 750 | | | | 522,555 | |
Dow, Inc. | | | 10,340 | | | | 486,497 | |
Air Products & Chemicals, Inc. | | | 1,096 | | | | 326,454 | |
Celanese Corp. — Class A | | | 2,140 | | | | 229,943 | |
Total Basic Materials | | | | | | | 2,186,082 | |
| | | | | | | | | |
Energy - 0.9% |
ConocoPhillips | | | 7,693 | | | | 252,638 | |
Hess Corp. | | | 5,250 | | | | 214,883 | |
Total Energy | | | | | | | 467,521 | |
| | | | | | | | | |
Utilities - 0.7% |
NRG Energy, Inc. | | | 12,206 | | | | 375,212 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $42,175,490) | | | | | | | 53,514,743 | |
| | | | | | | | | |
| | | Face
Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 0.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 176,229 | | | $ | 176,229 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 73,352 | | | | 73,352 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 66,750 | | | | 66,750 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $316,331) | | | | | | | 316,331 | |
| | | | | | | | | |
| Total Investments - 100.0% | | | | | | | | |
| (Cost $42,491,821) | | | | | | $ | 53,831,074 | |
| Other Assets & Liabilities, net - 0.0% | | | | | | | (17,722 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 53,813,352 | |
* | 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. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 53,514,743 | | | $ | — | | | $ | — | | | $ | 53,514,743 | |
Repurchase Agreements | | | — | | | | 316,331 | | | | — | | | | 316,331 | |
Total Assets | | $ | 53,514,743 | | | $ | 316,331 | | | $ | — | | | $ | 53,831,074 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $42,175,490) | | $ | 53,514,743 | |
Repurchase agreements, at value (cost $316,331) | | | 316,331 | |
Cash | | | 2,493 | |
Receivables: |
Fund shares sold | | | 8,052,216 | |
Dividends | | | 17,212 | |
Total assets | | | 61,902,995 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 7,877,776 | |
Fund shares redeemed | | | 83,525 | |
Management fees | | | 32,210 | |
Distribution and service fees | | | 16,136 | |
Transfer agent and administrative fees | | | 11,550 | |
Portfolio accounting fees | | | 4,296 | |
Trustees’ fees* | | | 889 | |
Miscellaneous | | | 63,261 | |
Total liabilities | | | 8,089,643 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 53,813,352 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 44,408,828 | |
Total distributable earnings (loss) | | | 9,404,524 | |
Net assets | | $ | 53,813,352 | |
| | | | | |
A-Class: |
Net assets | | $ | 8,343,285 | |
Capital shares outstanding | | | 110,098 | |
Net asset value per share | | $ | 75.78 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 79.56 | |
| | | | | |
C-Class: |
Net assets | | $ | 8,799,340 | |
Capital shares outstanding | | | 135,228 | |
Net asset value per share | | $ | 65.07 | |
| | | | | |
H-Class: |
Net assets | | $ | 36,670,727 | |
Capital shares outstanding | | | 484,094 | |
Net asset value per share | | $ | 75.75 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 196,078 | |
Interest | | | 77 | |
Income from securities lending, net | | | 7 | |
Total investment income | | | 196,162 | |
| | | | | |
Expenses: |
Management fees | | | 179,959 | |
Distribution and service fees: |
A-Class | | | 11,090 | |
C-Class | | | 43,381 | |
H-Class | | | 38,050 | |
Transfer agent and administrative fees | | | 68,606 | |
Registration fees | | | 26,411 | |
Portfolio accounting fees | | | 23,999 | |
Professional fees | | | 17,725 | |
Custodian fees | | | 3,530 | |
Trustees’ fees* | | | 1,181 | |
Miscellaneous | | | 12,301 | |
Total expenses | | | 426,233 | |
Net investment loss | | | (230,071 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,870,863 | ) |
Net realized loss | | | (1,870,863 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 16,026,576 | |
Net change in unrealized appreciation (depreciation) | | | 16,026,576 | |
Net realized and unrealized gain | | | 14,155,713 | |
Net increase in net assets resulting from operations | | $ | 13,925,642 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (230,071 | ) | | $ | (453,701 | ) |
Net realized gain (loss) on investments | | | (1,870,863 | ) | | | 17,941,754 | |
Net change in unrealized appreciation (depreciation) on investments | | | 16,026,576 | | | | (22,350,953 | ) |
Net increase (decrease) in net assets resulting from operations | | | 13,925,642 | | | | (4,862,900 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (584,364 | ) |
C-Class | | | — | | | | (524,964 | ) |
H-Class | | | — | | | | (3,413,894 | ) |
Total distributions to shareholders | | | — | | | | (4,523,222 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,351,388 | | | | 2,672,682 | |
C-Class | | | 3,243,308 | | | | 2,747,902 | |
H-Class | | | 73,160,404 | | | | 238,586,181 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 579,514 | |
C-Class | | | — | | | | 521,531 | |
H-Class | | | — | | | | 3,389,391 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,534,878 | ) | | | (9,216,614 | ) |
C-Class | | | (3,155,690 | ) | | | (5,821,318 | ) |
H-Class | | | (70,863,709 | ) | | | (292,741,951 | ) |
Net increase (decrease) from capital share transactions | | | 200,823 | | | | (59,282,682 | ) |
Net increase (decrease) in net assets | | | 14,126,465 | | | | (68,668,804 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 39,686,887 | | | | 108,355,691 | |
End of period | | $ | 53,813,352 | | | $ | 39,686,887 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 19,458 | | | | 39,759 | |
C-Class | | | 58,279 | | | | 46,633 | |
H-Class | | | 999,402 | | | | 3,527,207 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 8,697 | |
C-Class | | | — | | | | 9,061 | |
H-Class | | | — | | | | 50,884 | |
Shares redeemed | | | | | | | | |
A-Class | | | (51,372 | ) | | | (141,129 | ) |
C-Class | | | (53,255 | ) | | | (104,655 | ) |
H-Class | | | (997,392 | ) | | | (4,350,136 | ) |
Net decrease in shares | | | (24,880 | ) | | | (913,679 | ) |
14 | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 53.91 | | | $ | 65.86 | | | $ | 66.50 | | | $ | 57.84 | | | $ | 51.74 | | | $ | 55.85 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.29 | ) | | | (.29 | ) | | | (.50 | ) | | | (.36 | ) | | | (.44 | ) | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 22.16 | | | | (8.09 | ) | | | 3.42 | | | | 12.57 | | | | 6.56 | | | | (2.47 | ) |
Total from investment operations | | | 21.87 | | | | (8.38 | ) | | | 2.92 | | | | 12.21 | | | | 6.12 | | | | (2.69 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Total distributions | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Net asset value, end of period | | $ | 75.78 | | | $ | 53.91 | | | $ | 65.86 | | | $ | 66.50 | | | $ | 57.84 | | | $ | 51.74 | |
|
Total Returnc | | | 40.57 | % | | | (13.76 | %) | | | 4.88 | % | | | 21.39 | % | | | 11.84 | % | | | (4.90 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,343 | | | $ | 7,656 | | | $ | 15,456 | | | $ | 17,254 | | | $ | 15,575 | | | $ | 24,037 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.84 | %) | | | (0.43 | %) | | | (0.75 | %) | | | (0.56 | %) | | | (0.82 | %) | | | (0.41 | %) |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 147 | % | | | 282 | % | | | 177 | % | | | 215 | % | | | 184 | % | | | 290 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.47 | | | $ | 57.65 | | | $ | 59.10 | | | $ | 52.13 | | | $ | 46.99 | | | $ | 51.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.47 | ) | | | (.69 | ) | | | (.90 | ) | | | (.75 | ) | | | (.77 | ) | | | (.57 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 19.07 | | | | (6.92 | ) | | | 3.01 | | | | 11.27 | | | | 5.93 | | | | (2.25 | ) |
Total from investment operations | | | 18.60 | | | | (7.61 | ) | | | 2.11 | | | | 10.52 | | | | 5.16 | | | | (2.82 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Total distributions | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Net asset value, end of period | | $ | 65.07 | | | $ | 46.47 | | | $ | 57.65 | | | $ | 59.10 | | | $ | 52.13 | | | $ | 46.99 | |
|
Total Returnc | | | 40.03 | % | | | (14.40 | %) | | | 4.09 | % | | | 20.50 | % | | | 10.99 | % | | | (5.61 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,799 | | | $ | 6,050 | | | $ | 10,329 | | | $ | 13,442 | | | $ | 10,951 | | | $ | 17,546 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.58 | %) | | | (1.18 | %) | | | (1.52 | %) | | | (1.32 | %) | | | (1.57 | %) | | | (1.16 | %) |
Total expenses | | | 2.39 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % |
Portfolio turnover rate | | | 147 | % | | | 282 | % | | | 177 | % | | | 215 | % | | | 184 | % | | | 290 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 53.89 | | | $ | 65.84 | | | $ | 66.49 | | | $ | 57.83 | | | $ | 51.73 | | | $ | 55.84 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.28 | ) | | | (.29 | ) | | | (.53 | ) | | | (.38 | ) | | | (.44 | ) | | | (.18 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 22.14 | | | | (8.09 | ) | | | 3.44 | | | | 12.59 | | | | 6.56 | | | | (2.51 | ) |
Total from investment operations | | | 21.86 | | | | (8.38 | ) | | | 2.91 | | | | 12.21 | | | | 6.12 | | | | (2.69 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Total distributions | | | — | | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) |
Net asset value, end of period | | $ | 75.75 | | | $ | 53.89 | | | $ | 65.84 | | | $ | 66.49 | | | $ | 57.83 | | | $ | 51.73 | |
|
Total Return | | | 40.56 | % | | | (13.77 | %) | | | 4.86 | % | | | 21.40 | % | | | 11.84 | % | | | (4.91 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 36,671 | | | $ | 25,981 | | | $ | 82,570 | | | $ | 109,644 | | | $ | 78,673 | | | $ | 113,223 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.81 | %) | | | (0.44 | %) | | | (0.79 | %) | | | (0.59 | %) | | | (0.81 | %) | | | (0.35 | %) |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.52 | % | | | 1.51 | % |
Portfolio turnover rate | | | 147 | % | | | 282 | % | | | 177 | % | | | 215 | % | | | 184 | % | | | 290 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Berkshire Hathaway, Inc. — Class B | 3.5% |
Kroger Co. | 2.5% |
Archer-Daniels-Midland Co. | 2.4% |
General Motors Co. | 2.2% |
Ford Motor Co. | 2.2% |
Gap, Inc. | 2.1% |
Mosaic Co. | 2.0% |
Westrock Co. | 2.0% |
Lennar Corp. — Class A | 1.9% |
MetLife, Inc. | 1.9% |
Top Ten Total | 22.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 22.96% | (23.26%) | 1.46% | 7.14% |
A-Class Shares with sales charge‡ | 17.12% | (26.90%) | 0.48% | 6.62% |
C-Class Shares | 22.48% | (23.82%) | 0.70% | 6.34% |
C-Class Shares with CDSC§ | 21.48% | (24.58%) | 0.70% | 6.34% |
H-Class Shares | 22.94% | (23.24%) | 1.47% | 7.14% |
S&P 500 Pure Value Index | 24.58% | (22.00%) | 3.17% | 9.22% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.6% |
| | | | | | | | | |
Financial - 33.8% |
Berkshire Hathaway, Inc. — Class B* | | | 1,050 | | | $ | 223,587 | |
MetLife, Inc. | | | 3,155 | | | | 117,271 | |
Prudential Financial, Inc. | | | 1,793 | | | | 113,891 | |
Unum Group | | | 5,653 | | | | 95,140 | |
Loews Corp. | | | 2,370 | | | | 82,358 | |
Lincoln National Corp. | | | 2,622 | | | | 82,147 | |
Principal Financial Group, Inc. | | | 1,879 | | | | 75,667 | |
Goldman Sachs Group, Inc. | | | 370 | | | | 74,359 | |
Invesco Ltd. | | | 6,430 | | | | 73,366 | |
American International Group, Inc. | | | 2,572 | | | | 70,807 | |
Morgan Stanley | | | 1,463 | | | | 70,736 | |
Capital One Financial Corp. | | | 945 | | | | 67,908 | |
Citizens Financial Group, Inc. | | | 2,533 | | | | 64,034 | |
Assurant, Inc. | | | 504 | | | | 61,140 | |
Allstate Corp. | | | 601 | | | | 56,578 | |
Travelers Companies, Inc. | | | 471 | | | | 50,958 | |
Citigroup, Inc. | | | 1,136 | | | | 48,973 | |
People’s United Financial, Inc. | | | 4,708 | | | | 48,540 | |
Regions Financial Corp. | | | 4,121 | | | | 47,515 | |
Fifth Third Bancorp | | | 2,158 | | | | 46,009 | |
Everest Re Group Ltd. | | | 223 | | | | 44,051 | |
Chubb Ltd. | | | 340 | | | | 39,481 | |
State Street Corp. | | | 652 | | | | 38,683 | |
Hartford Financial Services Group, Inc. | | | 1,046 | | | | 38,556 | |
Bank of New York Mellon Corp. | | | 1,093 | | | | 37,534 | |
Franklin Resources, Inc. | | | 1,820 | | | | 37,037 | |
Bank of America Corp. | | | 1,488 | | | | 35,846 | |
Aflac, Inc. | | | 965 | | | | 35,078 | |
Zions Bancorp North America | | | 1,098 | | | | 32,084 | |
KeyCorp | | | 2,562 | | | | 30,565 | |
Raymond James Financial, Inc. | | | 376 | | | | 27,358 | |
Globe Life, Inc. | | | 340 | | | | 27,166 | |
Truist Financial Corp. | | | 674 | | | | 25,646 | |
Huntington Bancshares, Inc. | | | 2,579 | | | | 23,649 | |
Comerica, Inc. | | | 606 | | | | 23,179 | |
Host Hotels & Resorts, Inc. REIT | | | 1,936 | | | | 20,889 | |
Wells Fargo & Co. | | | 887 | | | | 20,853 | |
M&T Bank Corp. | | | 217 | | | | 19,983 | |
Total Financial | | | | | | | 2,128,622 | |
| | | | | | | | | |
Consumer, Non-cyclical - 20.2% |
Kroger Co. | | | 4,698 | | | | 159,309 | |
Archer-Daniels-Midland Co. | | | 3,200 | | | | 148,768 | |
Corteva, Inc. | | | 3,943 | | | | 113,598 | |
Centene Corp.* | | | 1,930 | | | | 112,577 | |
AmerisourceBergen Corp. — Class A | | | 1,155 | | | | 111,943 | |
McKesson Corp. | | | 668 | | | | 99,485 | |
CVS Health Corp. | | | 1,649 | | | | 96,301 | |
Mylan N.V.* | | | 6,014 | | | | 89,188 | |
Cigna Corp. | | | 470 | | | | 79,623 | |
Molson Coors Beverage Co. — Class B | | | 2,122 | | | | 71,214 | |
Perrigo Company plc | | | 1,100 | | | | 50,501 | |
JM Smucker Co. | | | 426 | | | | 49,212 | |
Anthem, Inc. | | | 180 | | | | 48,346 | |
Kraft Heinz Co. | | | 1,398 | | | | 41,870 | |
Total Consumer, Non-cyclical | | | | | | | 1,271,935 | |
| | | | | | | | | |
Consumer, Cyclical - 19.0% |
General Motors Co. | | | 4,760 | | | | 140,848 | |
Ford Motor Co. | | | 20,854 | | | | 138,888 | |
Gap, Inc. | | | 7,759 | | | | 132,136 | |
Lennar Corp. — Class A | | | 1,477 | | | | 120,641 | |
L Brands, Inc. | | | 3,393 | | | | 107,931 | |
Whirlpool Corp. | | | 579 | | | | 106,472 | |
Best Buy Company, Inc. | | | 581 | | | | 64,660 | |
Walgreens Boots Alliance, Inc. | | | 1,749 | | | | 62,824 | |
PVH Corp. | | | 977 | | | | 58,268 | |
Mohawk Industries, Inc.* | | | 550 | | | | 53,675 | |
BorgWarner, Inc. | | | 1,289 | | | | 49,936 | |
American Airlines Group, Inc.1 | | | 3,632 | | | | 44,637 | |
United Airlines Holdings, Inc.* | | | 898 | | | | 31,206 | |
Delta Air Lines, Inc. | | | 867 | | | | 26,513 | |
Alaska Air Group, Inc. | | | 680 | | | | 24,908 | |
Carnival Corp.1 | | | 1,496 | | | | 22,709 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 608 | | | | 10,403 | |
Total Consumer, Cyclical | | | | | | | 1,196,655 | |
| | | | | | | | | |
Energy - 9.4% |
Baker Hughes Co. | | | 7,401 | | | | 98,360 | |
Marathon Petroleum Corp. | | | 3,037 | | | | 89,106 | |
Concho Resources, Inc. | | | 1,328 | | | | 58,591 | |
Valero Energy Corp. | | | 1,237 | | | | 53,587 | |
HollyFrontier Corp. | | | 2,303 | | | | 45,392 | |
Marathon Oil Corp. | | | 9,270 | | | | 37,914 | |
Devon Energy Corp. | | | 3,400 | | | | 32,164 | |
Chevron Corp. | | | 441 | | | | 31,752 | |
Diamondback Energy, Inc. | | | 1,046 | | | | 31,506 | |
Halliburton Co. | | | 2,464 | | | | 29,691 | |
Exxon Mobil Corp. | | | 776 | | | | 26,640 | |
TechnipFMC plc | | | 3,788 | | | | 23,902 | |
Kinder Morgan, Inc. | | | 1,903 | | | | 23,464 | |
Occidental Petroleum Corp. | | | 1,351 | | | | 13,523 | |
Total Energy | | | | | | | 595,592 | |
| | | | | | | | | |
Basic Materials - 6.9% |
Mosaic Co. | | | 7,055 | | | | 128,895 | |
DuPont de Nemours, Inc. | | | 1,762 | | | | 97,756 | |
Newmont Corp. | | | 990 | | | | 62,815 | |
Nucor Corp. | | | 1,311 | | | | 58,811 | |
Eastman Chemical Co. | | | 601 | | | | 46,950 | |
International Paper Co. | | | 994 | | | | 40,297 | |
Total Basic Materials | | | | | | | 435,524 | |
| | | | | | | | | |
Industrial - 4.1% |
Westrock Co. | | | 3,650 | | | | 126,801 | |
FedEx Corp. | | | 338 | | | | 85,014 | |
Textron, Inc. | | | 1,319 | | | | 47,602 | |
Total Industrial | | | | | | | 259,417 | |
| | | | | | | | | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
Communications - 3.1% |
News Corp. — Class A | | | 6,237 | | | $ | 87,443 | |
DISH Network Corp. — Class A* | | | 1,476 | | | | 42,848 | |
AT&T, Inc. | | | 1,227 | | | | 34,982 | |
News Corp. — Class B | | | 1,958 | | | | 27,373 | |
Total Communications | | | | | | | 192,646 | |
| | | | | | | | | |
Technology - 2.2% |
Hewlett Packard Enterprise Co. | | | 5,787 | | | | 54,224 | |
DXC Technology Co. | | | 2,518 | | | | 44,946 | |
HP, Inc. | | | 1,952 | | | | 37,069 | |
Total Technology | | | | | | | 136,239 | |
| | | | | | | | | |
Utilities - 1.9% |
Exelon Corp. | | | 1,344 | | | | 48,062 | |
Duke Energy Corp. | | | 414 | | | | 36,664 | |
CenterPoint Energy, Inc. | | | 1,735 | | | | 33,572 | |
Total Utilities | | | | | | | 118,298 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,092,059) | | | | | | | 6,334,928 | |
| | | | | | | | | |
| | | Face
Amount | | | Value | |
| REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 17,365 | | | $ | 17,365 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 7,228 | | | | 7,228 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 6,578 | | | | 6,578 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $31,171) | | | | | | | 31,171 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.9% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 59,193 | | | | 59,193 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $59,193) | | | | | | | 59,193 | |
| | | | | | | | | |
| Total Investments - 102.0% | | | | | | | | |
| (Cost $5,182,423) | | | | | | $ | 6,425,292 | |
| Other Assets & Liabilities, net - (2.0)% | | | | | | | (127,174 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 6,298,118 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 6,334,928 | | | $ | — | | | $ | — | | | $ | 6,334,928 | |
Repurchase Agreements | | | — | | | | 31,171 | | | | — | | | | 31,171 | |
Securities Lending Collateral | | | 59,193 | | | | — | | | | — | | | | 59,193 | |
Total Assets | | $ | 6,394,121 | | | $ | 31,171 | | | $ | — | | | $ | 6,425,292 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $58,312 of securities loaned (cost $5,151,252) | | $ | 6,394,121 | |
Repurchase agreements, at value (cost $31,171) | | | 31,171 | |
Receivables: |
Dividends | | | 9,943 | |
Fund shares sold | | | 646 | |
Securities lending income | | | 21 | |
Total assets | | | 6,435,902 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 59,193 | |
Fund shares redeemed | | | 53,557 | |
Management fees | | | 4,943 | |
Registration fees | | | 4,285 | |
Distribution and service fees | | | 2,356 | |
Transfer agent and administrative fees | | | 1,772 | |
Portfolio accounting fees | | | 659 | |
Trustees’ fees* | | | 203 | |
Miscellaneous | | | 10,816 | |
Total liabilities | | | 137,784 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 6,298,118 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 18,478,696 | |
Total distributable earnings (loss) | | | (12,180,578 | ) |
Net assets | | $ | 6,298,118 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,569,610 | |
Capital shares outstanding | | | 26,237 | |
Net asset value per share | | $ | 59.82 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 62.80 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,102,509 | |
Capital shares outstanding | | | 21,895 | |
Net asset value per share | | $ | 50.35 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,625,999 | |
Capital shares outstanding | | | 60,348 | |
Net asset value per share | | $ | 60.08 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 156,953 | |
Interest | | | 22 | |
Income from securities lending, net | | | 1,495 | |
Total investment income | | | 158,470 | |
| | | | | |
Expenses: |
Management fees | | | 44,756 | |
Distribution and service fees: | | | | |
A-Class | | | 2,293 | |
C-Class | | | 6,342 | |
H-Class | | | 11,040 | |
Transfer agent and administrative fees | | | 17,165 | |
Registration fees | | | 6,568 | |
Portfolio accounting fees | | | 5,969 | |
Professional fees | | | 4,597 | |
Custodian fees | | | 901 | |
Trustees’ fees* | | | 327 | |
Line of credit fees | | | 57 | |
Miscellaneous | | | 2,593 | |
Total expenses | | | 102,608 | |
Net investment income | | | 55,862 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (7,938,215 | ) |
Net realized loss | | | (7,938,215 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,866,515 | |
Net change in unrealized appreciation (depreciation) | | | 4,866,515 | |
Net realized and unrealized loss | | | (3,071,700 | ) |
Net decrease in net assets resulting from operations | | $ | (3,015,838 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 55,862 | | | $ | 504,854 | |
Net realized gain (loss) on investments | | | (7,938,215 | ) | | | 1,699,354 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,866,515 | | | | (8,983,225 | ) |
Net decrease in net assets resulting from operations | | | (3,015,838 | ) | | | (6,779,017 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (35,656 | ) |
C-Class | | | — | | | | (34,327 | ) |
H-Class | | | — | | | | (345,333 | ) |
Total distributions to shareholders | | | — | | | | (415,316 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 134,338 | | | | 1,349,084 | |
C-Class | | | 81,652 | | | | 8,884,403 | |
H-Class | | | 97,227,818 | | | | 97,623,692 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 34,706 | |
C-Class | | | — | | | | 32,664 | |
H-Class | | | — | | | | 344,762 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (669,611 | ) | | | (2,191,323 | ) |
C-Class | | | (583,725 | ) | | | (9,179,384 | ) |
H-Class | | | (95,335,325 | ) | | | (130,456,068 | ) |
Net increase (decrease) from capital share transactions | | | 855,147 | | | | (33,557,464 | ) |
Net decrease in net assets | | | (2,160,691 | ) | | | (40,751,797 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 8,458,809 | | | | 49,210,606 | |
End of period | | $ | 6,298,118 | | | $ | 8,458,809 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 2,206 | | | | 17,823 | |
C-Class | | | 1,710 | | | | 137,298 | |
H-Class | | | 1,568,431 | | | | 1,239,820 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 428 | |
C-Class | | | — | | | | 475 | |
H-Class | | | — | | | | 4,229 | |
Shares redeemed | | | | | | | | |
A-Class | | | (11,241 | ) | | | (29,223 | ) |
C-Class | | | (11,946 | ) | | | (141,719 | ) |
H-Class | | | (1,619,036 | ) | | | (1,700,575 | ) |
Net decrease in shares | | | (69,876 | ) | | | (471,444 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
This table is presented to 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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.65 | | | $ | 76.07 | | | $ | 83.46 | | | $ | 76.42 | | | $ | 66.03 | | | $ | 72.54 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .33 | | | | 1.02 | | | | .85 | | | | .60 | | | | .55 | | | | .73 | |
Net gain (loss) on investments (realized and unrealized) | | | 10.84 | e | | | (27.62 | ) | | | (2.17 | ) | | | 7.41 | | | | 10.52 | | | | (4.63 | ) |
Total from investment operations | | | 11.17 | | | | (26.60 | ) | | | (1.32 | ) | | | 8.01 | | | | 11.07 | | | | (3.90 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) | | | — | | | | (1.63 | ) |
Total distributions | | | — | | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) |
Net asset value, end of period | | $ | 59.82 | | | $ | 48.65 | | | $ | 76.07 | | | $ | 83.46 | | | $ | 76.42 | | | $ | 66.03 | |
|
Total Returnc | | | 22.96 | % | | | (35.38 | %) | | | (1.26 | %) | | | 10.48 | % | | | 16.80 | % | | | (5.44 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,570 | | | $ | 1,716 | | | $ | 3,518 | | | $ | 6,108 | | | $ | 6,686 | | | $ | 11,135 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.16 | % | | | 1.32 | % | | | 1.01 | % | | | 0.74 | % | | | 0.79 | % | | | 1.08 | % |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 1,030 | % | | | 254 | % | | | 190 | % | | | 252 | % | | | 321 | % | | | 365 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.11 | | | $ | 64.87 | | | $ | 72.64 | | | $ | 67.13 | | | $ | 58.51 | | | $ | 65.08 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .10 | | | | .17 | | | | .12 | | | | (.03 | ) | | | (.01 | ) | | | .17 | |
Net gain (loss) on investments (realized and unrealized) | | | 9.14 | e | | | (23.11 | ) | | | (1.82 | ) | | | 6.51 | | | | 9.31 | | | | (4.13 | ) |
Total from investment operations | | | 9.24 | | | | (22.94 | ) | | | (1.70 | ) | | | 6.48 | | | | 9.30 | | | | (3.96 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) | | | — | | | | (1.63 | ) |
Total distributions | | | — | | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) |
Net asset value, end of period | | $ | 50.35 | | | $ | 41.11 | | | $ | 64.87 | | | $ | 72.64 | | | $ | 67.13 | | | $ | 58.51 | |
|
Total Returnc | | | 22.48 | % | | | (35.87 | %) | | | (2.00 | %) | | | 9.66 | % | | | 15.94 | % | | | (6.15 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,103 | | | $ | 1,321 | | | $ | 2,340 | | | $ | 4,058 | | | $ | 3,913 | | | $ | 3,550 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.42 | % | | | 0.26 | % | | | 0.17 | % | | | (0.05 | %) | | | (0.01 | %) | | | 0.28 | % |
Total expenses | | | 2.40 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % |
Portfolio turnover rate | | | 1,030 | % | | | 254 | % | | | 190 | % | | | 252 | % | | | 321 | % | | | 365 | % |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.87 | | | $ | 76.39 | | | $ | 83.78 | | | $ | 76.71 | | | $ | 66.28 | | | $ | 72.81 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .28 | | | | .96 | | | | .81 | | | | .57 | | | | .59 | | | | .80 | |
Net gain (loss) on investments (realized and unrealized) | | | 10.93 | e | | | (27.66 | ) | | | (2.13 | ) | | | 7.47 | | | | 10.52 | | | | (4.72 | ) |
Total from investment operations | | | 11.21 | | | | (26.70 | ) | | | (1.32 | ) | | | 8.04 | | | | 11.11 | | | | (3.92 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) | | | — | | | | (1.63 | ) |
Total distributions | | | — | | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) |
Net asset value, end of period | | $ | 60.08 | | | $ | 48.87 | | | $ | 76.39 | | | $ | 83.78 | | | $ | 76.71 | | | $ | 66.28 | |
|
Total Return | | | 22.94 | % | | | (35.38 | %) | | | (1.25 | %) | | | 10.48 | % | | | 16.81 | % | | | (5.44 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,626 | | | $ | 5,422 | | | $ | 43,352 | | | $ | 59,536 | | | $ | 55,613 | | | $ | 70,983 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.96 | % | | | 1.22 | % | | | 0.97 | % | | | 0.70 | % | | | 0.83 | % | | | 1.17 | % |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 1,030 | % | | | 254 | % | | | 190 | % | | | 252 | % | | | 321 | % | | | 365 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 2:1 share split effective October 28, 2016. |
e | The amount shown for a share outstanding throughout the period does not accord with the aggregate net loss 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 SEMI-ANNUAL REPORT | 23 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
SolarEdge Technologies, Inc. | 4.8% |
RH | 3.3% |
Generac Holdings, Inc. | 3.1% |
Paylocity Holding Corp. | 2.6% |
Repligen Corp. | 2.4% |
TopBuild Corp. | 2.3% |
Boston Beer Company, Inc. — Class A | 2.2% |
Axon Enterprise, Inc. | 2.0% |
Essent Group Ltd. | 1.9% |
Trex Company, Inc. | 1.8% |
Top Ten Total | 26.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 49.45% | 17.81% | 5.67% | 9.02% |
A-Class Shares with sales charge‡ | 42.35% | 12.21% | 4.65% | 8.49% |
C-Class Shares | 48.88% | 16.92% | 4.88% | 8.20% |
C-Class Shares with CDSC§ | 47.88% | 15.92% | 4.88% | 8.20% |
H-Class Shares | 49.44% | 17.81% | 5.67% | 9.02% |
S&P MidCap 400 Pure Growth Index | 50.81% | 19.61% | 7.29% | 10.52% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Consumer, Non-cyclical - 24.9% |
Paylocity Holding Corp.* | | | 11,090 | | | $ | 1,790,148 | |
Repligen Corp.* | | | 11,300 | | | | 1,667,202 | |
Boston Beer Company, Inc. — Class A* | | | 1,710 | | | | 1,510,546 | |
Penumbra, Inc.* | | | 5,770 | | | | 1,121,573 | |
Medpace Holdings, Inc.* | | | 9,280 | | | | 1,037,040 | |
Quidel Corp.* | | | 4,600 | | | | 1,009,148 | |
Exelixis, Inc.* | | | 38,680 | | | | 945,726 | |
Arrowhead Pharmaceuticals, Inc.* | | | 17,590 | | | | 757,425 | |
Masimo Corp.* | | | 3,199 | | | | 755,156 | |
FTI Consulting, Inc.* | | | 6,730 | | | | 713,178 | |
Charles River Laboratories International, Inc.* | | | 2,840 | | | | 643,118 | |
Bio-Techne Corp. | | | 2,530 | | | | 626,757 | |
LHC Group, Inc.* | | | 2,870 | | | | 610,047 | |
Ligand Pharmaceuticals, Inc. — Class B*,1 | | | 6,380 | | | | 608,142 | |
Amedisys, Inc.* | | | 2,470 | | | | 583,982 | |
Syneos Health, Inc.* | | | 10,630 | | | | 565,091 | |
PRA Health Sciences, Inc.* | | | 5,151 | | | | 522,517 | |
WEX, Inc.* | | | 3,690 | | | | 512,799 | |
Chemed Corp. | | | 951 | | | | 456,813 | |
ICU Medical, Inc.* | | | 1,640 | | | | 299,726 | |
Sanderson Farms, Inc. | | | 2,360 | | | | 278,409 | |
Brink’s Co. | | | 3,550 | | | | 145,870 | |
Total Consumer, Non-cyclical | | | | | | | 17,160,413 | |
| | | | | | | | | |
Industrial - 24.3% |
Generac Holdings, Inc.* | | | 11,040 | | | | 2,137,786 | |
TopBuild Corp.* | | | 9,270 | | | | 1,582,296 | |
Axon Enterprise, Inc.* | | | 14,910 | | | | 1,352,337 | |
Trex Company, Inc.* | | | 17,030 | | | | 1,219,348 | |
Universal Display Corp. | | | 6,030 | | | | 1,089,862 | |
Mercury Systems, Inc.* | | | 13,260 | | | | 1,027,119 | |
Jabil, Inc. | | | 26,200 | | | | 897,612 | |
MasTec, Inc.* | | | 17,990 | | | | 759,178 | |
Knight-Swift Transportation Holdings, Inc. | | | 18,650 | | | | 759,055 | |
Timken Co. | | | 12,360 | | | | 670,159 | |
Tetra Tech, Inc. | | | 6,920 | | | | 660,860 | |
Carlisle Companies, Inc. | | | 5,110 | | | | 625,311 | |
Cognex Corp. | | | 8,300 | | | | 540,330 | |
KBR, Inc. | | | 23,830 | | | | 532,839 | |
Hubbell, Inc. | | | 3,620 | | | | 495,361 | |
Woodward, Inc. | | | 5,370 | | | | 430,459 | |
Nordson Corp. | | | 2,230 | | | | 427,758 | |
Coherent, Inc.* | | | 3,420 | | | | 379,381 | |
Hexcel Corp. | | | 9,540 | | | | 320,067 | |
Lincoln Electric Holdings, Inc. | | | 3,400 | | | | 312,936 | |
Eagle Materials, Inc. | | | 3,280 | | | | 283,130 | |
Clean Harbors, Inc.* | | | 4,400 | | | | 246,532 | |
Total Industrial | | | | | | | 16,749,716 | |
| | | | | | | | | |
Consumer, Cyclical - 22.1% |
RH* | | | 6,030 | | | | 2,307,199 | |
Lithia Motors, Inc. — Class A | | | 4,690 | | | | 1,069,039 | |
Wingstop, Inc. | | | 7,140 | | | | 975,681 | |
Scientific Games Corp. — Class A* | | | 27,425 | | | | 957,407 | |
Scotts Miracle-Gro Co. — Class A | | | 5,750 | | | | 879,233 | |
Caesars Entertainment, Inc.* | | | 14,404 | | | | 807,488 | |
Five Below, Inc.* | | | 6,350 | | | | 806,450 | |
Casey’s General Stores, Inc. | | | 4,490 | | | | 797,648 | |
Dunkin’ Brands Group, Inc. | | | 8,550 | | | | 700,330 | |
Fox Factory Holding Corp.* | | | 9,150 | | | | 680,119 | |
Pool Corp. | | | 1,917 | | | | 641,313 | |
Marriott Vacations Worldwide Corp. | | | 6,651 | | | | 603,977 | |
Skechers USA, Inc. — Class A* | | | 18,110 | | | | 547,284 | |
Churchill Downs, Inc. | | | 3,281 | | | | 537,494 | |
Deckers Outdoor Corp.* | | | 2,330 | | | | 512,623 | |
Boyd Gaming Corp. | | | 15,910 | | | | 488,278 | |
Tempur Sealy International, Inc.* | | | 3,880 | | | | 346,057 | |
Polaris, Inc. | | | 3,640 | | | | 343,398 | |
Toro Co. | | | 3,930 | | | | 329,923 | |
Wyndham Hotels & Resorts, Inc. | | | 6,278 | | | | 317,039 | |
Gentex Corp. | | | 12,020 | | | | 309,515 | |
Herman Miller, Inc. | | | 8,260 | | | | 249,122 | |
Total Consumer, Cyclical | | | | | | | 15,206,617 | |
| | | | | | | | | |
Technology - 10.0% |
Monolithic Power Systems, Inc. | | | 3,320 | | | | 928,305 | |
MKS Instruments, Inc. | | | 8,490 | | | | 927,363 | |
Cabot Microelectronics Corp. | | | 6,360 | | | | 908,272 | |
Fair Isaac Corp.* | | | 2,061 | | | | 876,708 | |
Lumentum Holdings, Inc.* | | | 9,830 | | | | 738,528 | |
J2 Global, Inc.* | | | 7,511 | | | | 519,911 | |
CACI International, Inc. — Class A* | | | 2,390 | | | | 509,452 | |
Manhattan Associates, Inc.* | | | 5,230 | | | | 499,413 | |
Qualys, Inc.* | | | 4,330 | | | | 424,383 | |
Perspecta, Inc. | | | 19,590 | | | | 381,026 | |
ACI Worldwide, Inc.* | | | 8,236 | | | | 215,207 | |
Total Technology | | | | | | | 6,928,568 | |
| | | | | | | | | |
Financial - 8.3% |
Essent Group Ltd. | | | 35,610 | | | | 1,317,926 | |
LendingTree, Inc.*,1 | | | 3,350 | | | | 1,028,082 | |
RenaissanceRe Holdings Ltd. | | | 5,710 | | | | 969,215 | |
Rexford Industrial Realty, Inc. REIT | | | 13,480 | | | | 616,845 | |
Cousins Properties, Inc. REIT | | | 19,700 | | | | 563,223 | |
Brown & Brown, Inc. | | | 12,160 | | | | 550,483 | |
Primerica, Inc. | | | 3,691 | | | | 417,600 | |
EastGroup Properties, Inc. REIT | | | 2,170 | | | | 280,646 | |
Total Financial | | | | | | | 5,744,020 | |
| | | | | | | | | |
Energy - 6.8% |
SolarEdge Technologies, Inc.* | | | 13,750 | | | | 3,277,312 | |
Murphy USA, Inc.* | | | 7,710 | | | | 988,962 | |
WPX Energy, Inc.* | | | 87,960 | | | | 431,004 | |
Total Energy | | | | | | | 4,697,278 | |
| | | | | | | | | |
Basic Materials - 1.6% |
Reliance Steel & Aluminum Co. | | | 6,590 | | | | 672,443 | |
Royal Gold, Inc. | | | 3,510 | | | | 421,797 | |
Total Basic Materials | | | | | | | 1,094,240 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Shares | | | Value | |
Communications - 1.3% |
Cable One, Inc. | | | 470 | | | $ | 886,152 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $55,181,487) | | | | | | | 68,467,004 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 183,481 | | | | 183,481 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 76,370 | | | | 76,370 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 69,496 | | | | 69,496 | |
Total Repurchase Agreements | | | | |
(Cost $329,347) | | | | | | | 329,347 | |
| | | | | | | | | |
| | | Shares | | | Value | |
| SECURITIES LENDING COLLATERAL†,3 - 1.1% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 736,110 | | | $ | 736,110 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $736,110) | | | | | | | 736,110 | |
| | | | | | | | | |
| Total Investments - 100.9% | | | | | | | | |
| (Cost $56,246,944) | | | | | | $ | 69,532,461 | |
| Other Assets & Liabilities, net - (0.9)% | | | | | | | (620,119 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 68,912,342 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 68,467,004 | | | $ | — | | | $ | — | | | $ | 68,467,004 | |
Repurchase Agreements | | | — | | | | 329,347 | | | | — | | | | 329,347 | |
Securities Lending Collateral | | | 736,110 | | | | — | | | | — | | | | 736,110 | |
Total Assets | | $ | 69,203,114 | | | $ | 329,347 | | | $ | — | | | $ | 69,532,461 | |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $722,079 of securities loaned (cost $55,917,597) | | $ | 69,203,114 | |
Repurchase agreements, at value (cost $329,347) | | | 329,347 | |
Cash | | | 1,397 | |
Receivables: |
Fund shares sold | | | 20,003,015 | |
Dividends | | | 10,438 | |
Securities lending income | | | 135 | |
Total assets | | | 89,547,446 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 19,694,417 | |
Return of securities lending collateral | | | 736,110 | |
Fund shares redeemed | | | 76,916 | |
Management fees | | | 33,263 | |
Distribution and service fees | | | 14,749 | |
Transfer agent and administrative fees | | | 11,928 | |
Portfolio accounting fees | | | 4,436 | |
Trustees’ fees* | | | 885 | |
Miscellaneous | | | 62,400 | |
Total liabilities | | | 20,635,104 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 68,912,342 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 62,805,247 | |
Total distributable earnings (loss) | | | 6,107,095 | |
Net assets | | $ | 68,912,342 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,315,926 | |
Capital shares outstanding | | | 144,957 | |
Net asset value per share | | $ | 50.47 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 52.99 | |
| | | | | |
C-Class: |
Net assets | | $ | 6,110,834 | |
Capital shares outstanding | | | 145,702 | |
Net asset value per share | | $ | 41.94 | |
| | | | | |
H-Class: |
Net assets | | $ | 55,485,582 | |
Capital shares outstanding | | | 1,097,834 | |
Net asset value per share | | $ | 50.54 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 169,478 | |
Interest | | | 94 | |
Income from securities lending, net | | | 1,766 | |
Total investment income | | | 171,338 | |
| | | | | |
Expenses: |
Management fees | | | 202,823 | |
Distribution and service fees: |
A-Class | | | 8,258 | |
C-Class | | | 27,275 | |
H-Class | | | 52,531 | |
Transfer agent and administrative fees | | | 76,181 | |
Registration fees | | | 29,767 | |
Portfolio accounting fees | | | 27,048 | |
Professional fees | | | 18,687 | |
Custodian fees | | | 3,783 | |
Trustees’ fees* | | | 1,260 | |
Line of credit fees | | | 19 | |
Miscellaneous | | | 15,813 | |
Total expenses | | | 463,445 | |
Net investment loss | | | (292,107 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (2,183,524 | ) |
Net realized loss | | | (2,183,524 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 20,163,613 | |
Net change in unrealized appreciation (depreciation) | | | 20,163,613 | |
Net realized and unrealized gain | | | 17,980,089 | |
Net increase in net assets resulting from operations | | $ | 17,687,982 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (292,107 | ) | | $ | (417,707 | ) |
Net realized gain (loss) on investments | | | (2,183,524 | ) | | | 6,126,223 | |
Net change in unrealized appreciation (depreciation) on investments | | | 20,163,613 | | | | (18,577,132 | ) |
Net increase (decrease) in net assets resulting from operations | | | 17,687,982 | | | | (12,868,616 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 2,185,025 | | | | 2,320,669 | |
C-Class | | | 1,063,265 | | | | 734,313 | |
H-Class | | | 154,689,836 | | | | 57,910,692 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,793,971 | ) | | | (6,586,092 | ) |
C-Class | | | (880,056 | ) | | | (3,685,518 | ) |
H-Class | | | (140,399,985 | ) | | | (68,683,226 | ) |
Net increase (decrease) from capital share transactions | | | 14,864,114 | | | | (17,989,162 | ) |
Net increase (decrease) in net assets | | | 32,552,096 | | | | (30,857,778 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 36,360,246 | | | | 67,218,024 | |
End of period | | $ | 68,912,342 | | | $ | 36,360,246 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 50,388 | | | | 52,212 | |
C-Class | | | 27,897 | | | | 19,823 | |
H-Class | | | 3,358,475 | | | | 1,345,912 | |
Shares redeemed | | | | | | | | |
A-Class | | | (40,347 | ) | | | (150,079 | ) |
C-Class | | | (22,648 | ) | | | (102,639 | ) |
H-Class | | | (3,084,130 | ) | | | (1,565,661 | ) |
Net increase (decrease) in shares | | | 289,635 | | | | (400,432 | ) |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 33.77 | | | $ | 45.88 | | | $ | 54.96 | | | $ | 50.84 | | | $ | 46.51 | | | $ | 53.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.32 | ) | | | (.30 | ) | | | (.41 | ) | | | (.34 | ) | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.94 | | | | (11.79 | ) | | | (2.39 | ) | | | 8.09 | | | | 5.41 | | | | (4.48 | ) |
Total from investment operations | | | 16.70 | | | | (12.11 | ) | | | (2.69 | ) | | | 7.68 | | | | 5.07 | | | | (4.84 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Total distributions | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 50.47 | | | $ | 33.77 | | | $ | 45.88 | | | $ | 54.96 | | | $ | 50.84 | | | $ | 46.51 | |
|
Total Returnc | | | 49.45 | % | | | (26.39 | %) | | | (4.19 | %) | | | 15.33 | % | | | 10.98 | % | | | (9.23 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,316 | | | $ | 4,556 | | | $ | 10,681 | | | $ | 11,327 | | | $ | 16,269 | | | $ | 29,017 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.06 | %) | | | (0.72 | %) | | | (0.59 | %) | | | (0.77 | %) | | | (0.71 | %) | | | (0.71 | %) |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % |
Portfolio turnover rate | | | 246 | % | | | 190 | % | | | 165 | % | | | 160 | % | | | 127 | % | | | 143 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.17 | | | $ | 38.56 | | | $ | 47.66 | | | $ | 44.83 | | | $ | 41.41 | | | $ | 48.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.34 | ) | | | (.54 | ) | | | (.62 | ) | | | (.71 | ) | | | (.61 | ) | | | (.66 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.11 | | | | (9.85 | ) | | | (2.09 | ) | | | 7.10 | | | | 4.77 | | | | (4.02 | ) |
Total from investment operations | | | 13.77 | | | | (10.39 | ) | | | (2.71 | ) | | | 6.39 | | | | 4.16 | | | | (4.68 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Total distributions | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 41.94 | | | $ | 28.17 | | | $ | 38.56 | | | $ | 47.66 | | | $ | 44.83 | | | $ | 41.41 | |
|
Total Returnc | | | 48.88 | % | | | (26.95 | %) | | | (4.90 | %) | | | 14.47 | % | | | 10.16 | % | | | (9.92 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,111 | | | $ | 3,956 | | | $ | 8,609 | | | $ | 14,046 | | | $ | 15,049 | | | $ | 20,279 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.81 | %) | | | (1.47 | %) | | | (1.37 | %) | | | (1.49 | %) | | | (1.44 | %) | | | (1.46 | %) |
Total expenses | | | 2.39 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % |
Portfolio turnover rate | | | 246 | % | | | 190 | % | | | 165 | % | | | 160 | % | | | 127 | % | | | 143 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 33.82 | | | $ | 45.94 | | | $ | 55.03 | | | $ | 50.89 | | | $ | 46.56 | | | $ | 53.91 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.22 | ) | | | (.31 | ) | | | (.34 | ) | | | (.40 | ) | | | (.33 | ) | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.94 | | | | (11.81 | ) | | | (2.36 | ) | | | 8.10 | | | | 5.40 | | | | (4.48 | ) |
Total from investment operations | | | 16.72 | | | | (12.12 | ) | | | (2.70 | ) | | | 7.70 | | | | 5.07 | | | | (4.84 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Total distributions | | | — | | | | — | | | | (6.39 | ) | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 50.54 | | | $ | 33.82 | | | $ | 45.94 | | | $ | 55.03 | | | $ | 50.89 | | | $ | 46.56 | |
|
Total Return | | | 49.44 | % | | | (26.38 | %) | | | (4.19 | %) | | | 15.32 | % | | | 10.99 | % | | | (9.22 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 55,486 | | | $ | 27,848 | | | $ | 47,929 | | | $ | 73,714 | | | $ | 78,373 | | | $ | 94,915 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.99 | %) | | | (0.71 | %) | | | (0.64 | %) | | | (0.74 | %) | | | (0.68 | %) | | | (0.71 | %) |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 246 | % | | | 190 | % | | | 165 | % | | | 160 | % | | | 127 | % | | | 143 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Penn National Gaming, Inc. | 4.2% |
CNX Resources Corp. | 2.9% |
Genworth Financial, Inc. — Class A | 2.7% |
Patterson Companies, Inc. | 2.6% |
AutoNation, Inc. | 2.5% |
SYNNEX Corp. | 2.5% |
Delphi Technologies plc | 2.3% |
BJ’s Wholesale Club Holdings, Inc. | 2.2% |
Ryder System, Inc. | 2.2% |
Arrow Electronics, Inc. | 2.1% |
Top Ten Total | 26.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 39.73% | (14.37%) | 2.36% | 5.67% |
A-Class Shares with sales charge‡ | 33.10% | (18.43%) | 1.36% | 5.16% |
C-Class Shares | 39.23% | (15.03%) | 1.59% | 4.87% |
C-Class Shares with CDSC§ | 38.23% | (15.88%) | 1.59% | 4.87% |
H-Class Shares | 39.73% | (14.39%) | 2.35% | 5.66% |
S&P MidCap 400 Pure Value Index | 41.82% | (12.06%) | 4.59% | 8.16% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Cyclical - 33.3% |
Penn National Gaming, Inc.* | | | 2,635 | | | $ | 191,564 | |
AutoNation, Inc.* | | | 2,143 | | | | 113,429 | |
Delphi Technologies plc* | | | 6,376 | | | | 106,543 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 2,426 | | | | 100,800 | |
Thor Industries, Inc. | | | 932 | | | | 88,782 | |
Taylor Morrison Home Corp. — Class A* | | | 3,521 | | | | 86,582 | |
TRI Pointe Group, Inc.* | | | 4,714 | | | | 85,512 | |
Kohl’s Corp. | | | 4,523 | | | | 83,811 | |
Dana, Inc. | | | 6,610 | | | | 81,435 | |
Goodyear Tire & Rubber Co. | | | 10,043 | | | | 77,030 | |
Lear Corp. | | | 658 | | | | 71,755 | |
Dick’s Sporting Goods, Inc. | | | 1,081 | | | | 62,568 | |
Adient plc* | | | 3,371 | | | | 58,419 | |
World Fuel Services Corp. | | | 2,489 | | | | 52,742 | |
Foot Locker, Inc. | | | 1,439 | | | | 47,530 | |
American Eagle Outfitters, Inc. | | | 2,902 | | | | 42,979 | |
Univar Solutions, Inc.* | | | 2,504 | | | | 42,268 | |
JetBlue Airways Corp.* | | | 3,496 | | | | 39,610 | |
Urban Outfitters, Inc.* | | | 1,688 | | | | 35,127 | |
Nordstrom, Inc.1 | | | 2,640 | | | | 31,469 | |
KAR Auction Services, Inc. | | | 2,158 | | | | 31,075 | |
Total Consumer, Cyclical | | | | | | | 1,531,030 | |
| | | | | | | | | |
Financial - 21.9% |
Genworth Financial, Inc. — Class A* | | | 37,623 | | | | 126,037 | |
Brighthouse Financial, Inc.* | | | 3,240 | | | | 87,188 | |
CNO Financial Group, Inc. | | | 5,280 | | | | 84,691 | |
Jefferies Financial Group, Inc. | | | 3,501 | | | | 63,018 | |
Reinsurance Group of America, Inc. — Class A | | | 506 | | | | 48,166 | |
Janus Henderson Group plc | | | 1,930 | | | | 41,920 | |
Kemper Corp. | | | 626 | | | | 41,836 | |
Mercury General Corp. | | | 981 | | | | 40,584 | |
GEO Group, Inc. REIT | | | 3,442 | | | | 39,032 | |
Umpqua Holdings Corp. | | | 3,550 | | | | 37,701 | |
Old Republic International Corp. | | | 2,335 | | | | 34,418 | |
Bank OZK | | | 1,528 | | | | 32,577 | |
FNB Corp. | | | 4,711 | | | | 31,940 | |
Navient Corp. | | | 3,605 | | | | 30,462 | |
Associated Banc-Corp. | | | 2,380 | | | | 30,036 | |
Park Hotels & Resorts, Inc. REIT | | | 2,346 | | | | 23,437 | |
Sterling Bancorp | | | 2,220 | | | | 23,354 | |
PacWest Bancorp | | | 1,363 | | | | 23,280 | |
Alliance Data Systems Corp. | | | 512 | | | | 21,494 | |
First Horizon National Corp. | | | 2,188 | | | | 20,633 | |
Wintrust Financial Corp. | | | 510 | | | | 20,425 | |
Hancock Whitney Corp. | | | 981 | | | | 18,453 | |
Pinnacle Financial Partners, Inc. | | | 501 | | | | 17,831 | |
Pebblebrook Hotel Trust REIT | | | 1,412 | | | | 17,692 | |
Texas Capital Bancshares, Inc.* | | | 564 | | | | 17,557 | |
Valley National Bancorp | | | 2,549 | | | | 17,461 | |
TCF Financial Corp. | | | 621 | | | | 14,506 | |
Total Financial | | | | | | | 1,005,729 | |
| | | | | | | | | |
Industrial - 17.0% |
SYNNEX Corp. | | | 808 | | | | 113,169 | |
Ryder System, Inc. | | | 2,381 | | | | 100,574 | |
Arrow Electronics, Inc.* | | | 1,214 | | | | 95,493 | |
Avnet, Inc. | | | 3,092 | | | | 79,897 | |
AECOM* | | | 1,631 | | | | 68,241 | |
Dycom Industries, Inc.* | | | 1,078 | | | | 56,940 | |
Greif, Inc. — Class A | | | 1,321 | | | | 47,833 | |
II-VI, Inc.* | | | 993 | | | | 40,276 | |
Terex Corp. | | | 2,054 | | | | 39,765 | |
Regal Beloit Corp. | | | 423 | | | | 39,707 | |
Trinity Industries, Inc. | | | 2,010 | | | | 39,195 | |
XPO Logistics, Inc.* | | | 391 | | | | 33,102 | |
Worthington Industries, Inc. | | | 656 | | | | 26,752 | |
Total Industrial | | | | | | | 780,944 | |
| | | | | | | | | |
Consumer, Non-cyclical - 10.4% |
Patterson Companies, Inc. | | | 5,046 | | | | 121,634 | |
ManpowerGroup, Inc. | | | 1,018 | | | | 74,650 | |
Avis Budget Group, Inc.* | | | 2,249 | | | | 59,194 | |
Molina Healthcare, Inc.* | | | 236 | | | | 43,197 | |
Sprouts Farmers Market, Inc.* | | | 1,886 | | | | 39,474 | |
TreeHouse Foods, Inc.* | | | 939 | | | | 38,058 | |
Graham Holdings Co. — Class B | | | 78 | | | | 31,520 | |
Acadia Healthcare Company, Inc.* | | | 933 | | | | 27,505 | |
Tenet Healthcare Corp.* | | | 932 | | | | 22,843 | |
Adtalem Global Education, Inc.* | | | 842 | | | | 20,663 | |
Total Consumer, Non-cyclical | | | | | | | 478,738 | |
| | | | | | | | | |
Basic Materials - 8.6% |
United States Steel Corp.1 | | | 12,071 | | | | 88,601 | |
Domtar Corp. | | | 3,050 | | | | 80,124 | |
Commercial Metals Co. | | | 3,383 | | | | 67,592 | |
Olin Corp. | | | 5,378 | | | | 66,580 | |
Chemours Co. | | | 2,704 | | | | 56,540 | |
Minerals Technologies, Inc. | | | 712 | | | | 36,383 | |
Total Basic Materials | | | | | | | 395,820 | |
| | | | | | | | | |
Energy - 5.8% |
CNX Resources Corp.* | | | 14,301 | | | | 135,002 | |
Equities Corp. | | | 6,995 | | | | 90,445 | |
Antero Midstream Corp. | | | 7,235 | | | | 38,852 | |
Total Energy | | | | | | | 264,299 | |
| | | | | | | | | |
Communications - 1.9% |
Telephone & Data Systems, Inc. | | | 4,757 | | | | 87,719 | |
| | | | | | | | | |
Technology - 0.6% |
NetScout Systems, Inc.* | | | 1,354 | | | | 29,558 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,854,681) | | | | | | | 4,573,837 | |
| | | | | | | | | |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | | Face
Amount | | | Value | |
| REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 19,141 | | | $ | 19,141 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 7,967 | | | | 7,967 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 7,250 | | | | 7,250 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $34,358) | | | | | | | 34,358 | |
| | | | | | | | | |
| | | | Shares | | | | Value | |
| SECURITIES LENDING COLLATERAL†,3 - 2.0% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 92,111 | | | $ | 92,111 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $92,111) | | | | | | | 92,111 | |
| | | | | | | | | |
| Total Investments - 102.2% | | | | | | | | |
| (Cost $3,981,150) | | | | | | $ | 4,700,306 | |
| Other Assets & Liabilities, net - (2.2)% | | | | | | | (102,822 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 4,597,484 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 4,573,837 | | | $ | — | | | $ | — | | | $ | 4,573,837 | |
Repurchase Agreements | | | — | | | | 34,358 | | | | — | | | | 34,358 | |
Securities Lending Collateral | | | 92,111 | | | | — | | | | — | | | | 92,111 | |
Total Assets | | $ | 4,665,948 | | | $ | 34,358 | | | $ | — | | | $ | 4,700,306 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $87,852 of securities loaned (cost $3,946,792) | | $ | 4,665,948 | |
Repurchase agreements, at value (cost $34,358) | | | 34,358 | |
Receivables: |
Fund shares sold | | | 90,325 | |
Dividends | | | 6,051 | |
Securities lending income | | | 38 | |
Total assets | | | 4,796,720 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 92,111 | |
Securities purchased | | | 88,798 | |
Management fees | | | 6,566 | |
Distribution and service fees | | | 2,474 | |
Transfer agent and administrative fees | | | 2,354 | |
Portfolio accounting fees | | | 876 | |
Trustees’ fees* | | | 80 | |
Fund shares redeemed | | | 31 | |
Miscellaneous | | | 5,946 | |
Total liabilities | | | 199,236 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 4,597,484 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,750,703 | |
Total distributable earnings (loss) | | | (4,153,219 | ) |
Net assets | | $ | 4,597,484 | |
| | | | | |
A-Class: |
Net assets | | $ | 834,028 | |
Capital shares outstanding | | | 19,551 | |
Net asset value per share | | $ | 42.66 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 44.79 | |
| | | | | |
C-Class: |
Net assets | | $ | 520,824 | |
Capital shares outstanding | | | 14,070 | |
Net asset value per share | | $ | 37.02 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,242,632 | |
Capital shares outstanding | | | 76,135 | |
Net asset value per share | | $ | 42.59 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 50,216 | |
Interest | | | 9 | |
Income from securities lending, net | | | 919 | |
Total investment income | | | 51,144 | |
| | | | | |
Expenses: |
Management fees | | | 17,858 | |
Distribution and service fees: |
A-Class | | | 1,054 | |
C-Class | | | 3,105 | |
H-Class | | | 4,123 | |
Transfer agent and administrative fees | | | 6,693 | |
Registration fees | | | 2,621 | |
Portfolio accounting fees | | | 2,382 | |
Professional fees | | | 1,653 | |
Custodian fees | | | 337 | |
Trustees’ fees* | | | 124 | |
Line of credit fees | | | 9 | |
Miscellaneous | | | 1,336 | |
Total expenses | | | 41,295 | |
Net investment income | | | 9,849 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (2,029,382 | ) |
Net realized loss | | | (2,029,382 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,567,609 | |
Net change in unrealized appreciation (depreciation) | | | 1,567,609 | |
Net realized and unrealized loss | | | (461,773 | ) |
Net decrease in net assets resulting from operations | | $ | (451,924 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 9,849 | | | $ | 53,489 | |
Net realized gain (loss) on investments | | | (2,029,382 | ) | | | 93,505 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,567,609 | | | | (2,510,628 | ) |
Net decrease in net assets resulting from operations | | | (451,924 | ) | | | (2,363,634 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 183,727 | | | | 2,888,368 | |
C-Class | | | 147,818 | | | | 801,208 | |
H-Class | | | 44,795,663 | | | | 151,848,364 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (376,313 | ) | | | (2,875,817 | ) |
C-Class | | | (593,959 | ) | | | (1,579,032 | ) |
H-Class | | | (42,183,652 | ) | | | (159,616,730 | ) |
Net increase (decrease) from capital share transactions | | | 1,973,284 | | | | (8,533,639 | ) |
Net increase (decrease) in net assets | | | 1,521,360 | | | | (10,897,273 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,076,124 | | | | 13,973,397 | |
End of period | | $ | 4,597,484 | | | $ | 3,076,124 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 4,467 | | | | 56,905 | |
C-Class | | | 4,194 | | | | 22,021 | |
H-Class | | | 1,029,172 | | | | 2,970,212 | |
Shares redeemed | | | | | | | | |
A-Class | | | (9,465 | ) | | | (55,665 | ) |
C-Class | | | (16,758 | ) | | | (36,039 | ) |
H-Class | | | (1,006,141 | ) | | | (3,129,154 | ) |
Net increase (decrease) in shares | | | 5,469 | | | | (171,720 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.53 | | | $ | 51.62 | | | $ | 53.32 | | | $ | 51.39 | | | $ | 42.43 | | | $ | 45.68 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .08 | | | | .34 | | | | (.04 | ) | | | .02 | | | | (.08 | ) | | | .16 | |
Net gain (loss) on investments (realized and unrealized) | | | 12.05 | d | | | (21.43 | ) | | | (.17 | ) | | | 2.89 | | | | 9.14 | | | | (3.30 | ) |
Total from investment operations | | | 12.13 | | | | (21.09 | ) | | | (.21 | ) | | | 2.91 | | | | 9.06 | | | | (3.14 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | (.10 | ) | | | (.11 | ) |
Net realized gains | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (1.49 | ) | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 42.66 | | | $ | 30.53 | | | $ | 51.62 | | | $ | 53.32 | | | $ | 51.39 | | | $ | 42.43 | |
|
Total Returnc | | | 39.73 | % | | | (40.86 | %) | | | (0.16 | %) | | | 5.63 | % | | | 21.34 | % | | | (6.88 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 834 | | | $ | 749 | | | $ | 1,203 | | | $ | 1,084 | | | $ | 2,957 | | | $ | 4,775 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.39 | % | | | 0.68 | % | | | (0.07 | %) | | | 0.03 | % | | | (0.17 | %) | | | 0.39 | % |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.54 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 1,269 | % | | | 993 | % | | | 558 | % | | | 506 | % | | | 628 | % | | | 493 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.59 | | | $ | 45.31 | | | $ | 47.35 | | | $ | 46.08 | | | $ | 38.33 | | | $ | 41.59 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.05 | ) | | | (.05 | ) | | | (.41 | ) | | | (.29 | ) | | | (.36 | ) | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.48 | d | | | (18.67 | ) | | | (.14 | ) | | | 2.54 | | | | 8.21 | | | | (3.03 | ) |
Total from investment operations | | | 10.43 | | | | (18.72 | ) | | | (.55 | ) | | | 2.25 | | | | 7.85 | | | | (3.15 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | (.10 | ) | | | (.11 | ) |
Net realized gains | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (1.49 | ) | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 37.02 | | | $ | 26.59 | | | $ | 45.31 | | | $ | 47.35 | | | $ | 46.08 | | | $ | 38.33 | |
|
Total Returnc | | | 39.23 | % | | | (41.32 | %) | | | (0.88 | %) | | | 4.82 | % | | | 20.46 | % | | | (7.58 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 521 | | | $ | 708 | | | $ | 1,842 | | | $ | 1,859 | | | $ | 3,266 | | | $ | 2,165 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.31 | %) | | | (0.12 | %) | | | (0.85 | %) | | | (0.62 | %) | | | (0.85 | %) | | | (0.30 | %) |
Total expenses | | | 2.40 | % | | | 2.37 | % | | | 2.37 | % | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % |
Portfolio turnover rate | | | 1,269 | % | | | 993 | % | | | 558 | % | | | 506 | % | | | 628 | % | | | 493 | % |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.48 | | | $ | 51.54 | | | $ | 53.25 | | | $ | 51.33 | | | $ | 42.38 | | | $ | 45.62 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .11 | | | | .20 | | | | (.07 | ) | | | .04 | | | | (.07 | ) | | | .20 | |
Net gain (loss) on investments (realized and unrealized) | | | 12.00 | d | | | (21.26 | ) | | | (.15 | ) | | | 2.86 | | | | 9.12 | | | | (3.33 | ) |
Total from investment operations | | | 12.11 | | | | (21.06 | ) | | | (.22 | ) | | | 2.90 | | | | 9.05 | | | | (3.13 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | (.10 | ) | | | (.11 | ) |
Net realized gains | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (1.49 | ) | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 42.59 | | | $ | 30.48 | | | $ | 51.54 | | | $ | 53.25 | | | $ | 51.33 | | | $ | 42.38 | |
|
Total Return | | | 39.73 | % | | | (40.86 | %) | | | (0.16 | %) | | | 5.58 | % | | | 21.36 | % | | | (6.86 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,243 | | | $ | 1,618 | | | $ | 10,928 | | | $ | 7,888 | | | $ | 21,143 | | | $ | 48,048 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.56 | % | | | 0.39 | % | | | (0.13 | %) | | | 0.08 | % | | | (0.16 | %) | | | 0.47 | % |
Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % | | | 1.53 | % | | | 1.51 | % |
Portfolio turnover rate | | | 1,269 | % | | | 993 | % | | | 558 | % | | | 506 | % | | | 628 | % | | | 493 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | The amount shown for a share outstanding throughout the period does not accord with the aggregate net loss 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 SEMI-ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Kinsale Capital Group, Inc. | 2.8% |
Innovative Industrial Properties, Inc. | 2.5% |
LGI Homes, Inc. | 2.3% |
Safehold, Inc. | 2.1% |
Installed Building Products, Inc. | 2.0% |
Simulations Plus, Inc. | 1.7% |
Rent-A-Center, Inc. | 1.5% |
Brooks Automation, Inc. | 1.5% |
TechTarget, Inc. | 1.4% |
Winnebago Industries, Inc. | 1.4% |
Top Ten Total | 19.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 38.75% | (0.64%) | 4.82% | 8.93% |
A-Class Shares with sales charge‡ | 32.16% | (5.35%) | 3.80% | 8.40% |
C-Class Shares | 38.27% | (1.36%) | 4.04% | 8.11% |
C-Class Shares with CDSC§ | 37.27% | (2.34%) | 4.04% | 8.11% |
H-Class Shares | 38.73% | (0.65%) | 4.81% | 8.92% |
S&P SmallCap 600 Pure Growth Index | 39.85% | 0.97% | 6.70% | 10.95% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Industrial - 20.2% |
Saia, Inc.* | | | 752 | | | $ | 94,857 | |
Patrick Industries, Inc. | | | 1,624 | | | | 93,413 | |
UFP Industries, Inc. | | | 1,493 | | | | 84,369 | |
Federal Signal Corp. | | | 2,725 | | | | 79,706 | |
Griffon Corp. | | | 3,890 | | | | 76,011 | |
Simpson Manufacturing Company, Inc. | | | 757 | | | | 73,550 | |
American Woodmark Corp.* | | | 806 | | | | 63,303 | |
Alarm.com Holdings, Inc.* | | | 1,027 | | | | 56,742 | |
OSI Systems, Inc.* | | | 704 | | | | 54,637 | |
Advanced Energy Industries, Inc.* | | | 853 | | | | 53,688 | |
Ichor Holdings Ltd.* | | | 2,488 | | | | 53,666 | |
Vicor Corp.* | | | 651 | | | | 50,602 | |
Franklin Electric Company, Inc. | | | 759 | | | | 44,652 | |
ESCO Technologies, Inc. | | | 539 | | | | 43,422 | |
John Bean Technologies Corp. | | | 467 | | | | 42,913 | |
Fabrinet* | | | 649 | | | | 40,906 | |
Alamo Group, Inc. | | | 376 | | | | 40,619 | |
Plexus Corp.* | | | 554 | | | | 39,129 | |
Exponent, Inc. | | | 537 | | | | 38,680 | |
AAON, Inc. | | | 636 | | | | 38,319 | |
Watts Water Technologies, Inc. — Class A | | | 371 | | | | 37,156 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 928 | | | | 37,018 | |
SPX FLOW, Inc.* | | | 844 | | | | 36,140 | |
Itron, Inc.* | | | 585 | | | | 35,533 | |
Forward Air Corp. | | | 597 | | | | 34,256 | |
CIRCOR International, Inc.* | | | 1,233 | | | | 33,723 | |
SPX Corp.* | | | 667 | | | | 30,935 | |
Tennant Co. | | | 503 | | | | 30,361 | |
Triumph Group, Inc. | | | 3,591 | | | | 23,377 | |
Albany International Corp. — Class A | | | 460 | | | | 22,775 | |
Comtech Telecommunications Corp. | | | 1,315 | | | | 18,410 | |
Total Industrial | | | | | | | 1,502,868 | |
| | | | | | | | | |
Financial - 19.1% |
Kinsale Capital Group, Inc. | | | 1,087 | | | | 206,726 | |
Innovative Industrial Properties, Inc. REIT | | | 1,502 | | | | 186,413 | |
Safehold, Inc. REIT1 | | | 2,523 | | | | 156,678 | |
Virtus Investment Partners, Inc. | | | 715 | | | | 99,135 | |
Palomar Holdings, Inc.* | | | 760 | | | | 79,222 | |
Essential Properties Realty Trust, Inc. REIT | | | 4,151 | | | | 76,047 | |
Trupanion, Inc.* | | | 850 | | | | 67,065 | |
Community Healthcare Trust, Inc. REIT | | | 1,374 | | | | 64,248 | |
Walker & Dunlop, Inc. | | | 1,139 | | | | 60,367 | |
NMI Holdings, Inc. — Class A* | | | 3,364 | | | | 59,879 | |
eHealth, Inc.* | | | 751 | | | | 59,329 | |
PennyMac Mortgage Investment Trust REIT | | | 3,484 | | | | 55,988 | |
Meta Financial Group, Inc. | | | 2,610 | | | | 50,164 | |
Enova International, Inc.* | | | 2,783 | | | | 45,613 | |
St. Joe Co.* | | | 1,746 | | | | 36,020 | |
Preferred Bank/Los Angeles CA | | | 797 | | | | 25,600 | |
ServisFirst Bancshares, Inc. | | | 731 | | | | 24,876 | |
Granite Point Mortgage Trust, Inc. REIT | | | 3,466 | | | | 24,574 | |
Agree Realty Corp. REIT | | | 361 | | | | 22,974 | |
Universal Health Realty Income Trust REIT | | | 335 | | | | 19,092 | |
Total Financial | | | | | | | 1,420,010 | |
| | | | | | | | | |
Consumer, Non-cyclical - 18.1% |
Rent-A-Center, Inc. | | | 3,784 | | | | 113,104 | |
NeoGenomics, Inc.* | | | 2,529 | | | | 93,295 | |
R1 RCM, Inc.* | | | 5,040 | | | | 86,436 | |
Fulgent Genetics, Inc.*,1 | | | 1,860 | | | | 74,474 | |
Pennant Group, Inc.* | | | 1,921 | | | | 74,074 | |
Zynex, Inc.*,1 | | | 4,170 | | | | 72,767 | |
Corcept Therapeutics, Inc.* | | | 4,151 | | | | 72,248 | |
Cardiovascular Systems, Inc.* | | | 1,525 | | | | 60,009 | |
Innoviva, Inc.* | | | 5,361 | | | | 56,022 | |
Coca-Cola Consolidated, Inc. | | | 228 | | | | 54,875 | |
Eagle Pharmaceuticals, Inc.* | | | 1,192 | | | | 50,636 | |
Glaukos Corp.* | | | 945 | | | | 46,796 | |
Hanger, Inc.* | | | 2,771 | | | | 43,837 | |
Medifast, Inc. | | | 261 | | | | 42,922 | |
Addus HomeCare Corp.* | | | 444 | | | | 41,963 | |
RadNet, Inc.* | | | 2,666 | | | | 40,923 | |
CONMED Corp. | | | 457 | | | | 35,952 | |
EVERTEC, Inc. | | | 947 | | | | 32,870 | |
LeMaitre Vascular, Inc. | | | 998 | | | | 32,465 | |
Cutera, Inc.* | | | 1,683 | | | | 31,927 | |
ANI Pharmaceuticals, Inc.* | | | 1,103 | | | | 31,116 | |
Enanta Pharmaceuticals, Inc.* | | | 599 | | | | 27,422 | |
CorVel Corp.* | | | 307 | | | | 26,227 | |
Anika Therapeutics, Inc.* | | | 735 | | | | 26,012 | |
RR Donnelley & Sons Co. | | | 15,418 | | | | 22,510 | |
John B Sanfilippo & Son, Inc. | | | 274 | | | | 20,654 | |
Inter Parfums, Inc. | | | 490 | | | | 18,301 | |
REGENXBIO, Inc.* | | | 614 | | | | 16,897 | |
Total Consumer, Non-cyclical | | | | | | | 1,346,734 | |
| | | | | | | | | |
Consumer, Cyclical - 15.6% |
LGI Homes, Inc.* | | | 1,458 | | | | 169,376 | |
Installed Building Products, Inc.* | | | 1,450 | | | | 147,537 | |
Winnebago Industries, Inc. | | | 2,052 | | | | 106,027 | |
Sleep Number Corp.* | | | 1,812 | | | | 88,625 | |
MDC Holdings, Inc. | | | 1,728 | | | | 81,389 | |
YETI Holdings, Inc.* | | | 1,730 | | | | 78,404 | |
Callaway Golf Co. | | | 3,770 | | | | 72,158 | |
LCI Industries | | | 562 | | | | 59,735 | |
Shake Shack, Inc. — Class A*,1 | | | 801 | | | | 51,649 | |
Zumiez, Inc.* | | | 1,715 | | | | 47,711 | |
UniFirst Corp. | | | 220 | | | | 41,661 | |
Boot Barn Holdings, Inc.* | | | 1,366 | | | | 38,439 | |
Cavco Industries, Inc.* | | | 196 | | | | 35,341 | |
Crocs, Inc.* | | | 757 | | | | 32,347 | |
Chuy’s Holdings, Inc.* | | | 1,541 | | | | 30,173 | |
Allegiant Travel Co. — Class A | | | 244 | | | | 29,231 | |
Universal Electronics, Inc.* | | | 695 | | | | 26,229 | |
Steven Madden Ltd. | | | 1,121 | | | | 21,859 | |
Total Consumer, Cyclical | | | | | | | 1,157,891 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
Technology - 15.5% |
Simulations Plus, Inc. | | | 1,700 | | | $ | 128,112 | |
Brooks Automation, Inc. | | | 2,354 | | | | 108,896 | |
Ultra Clean Holdings, Inc.* | | | 4,389 | | | | 94,188 | |
TTEC Holdings, Inc. | | | 1,507 | | | | 82,207 | |
SPS Commerce, Inc.* | | | 987 | | | | 76,858 | |
FormFactor, Inc.* | | | 2,790 | | | | 69,555 | |
Diodes, Inc.* | | | 1,076 | | | | 60,740 | |
LivePerson, Inc.* | | | 1,040 | | | | 54,069 | |
Virtusa Corp.* | | | 1,058 | | | | 52,011 | |
Diebold Nixdorf, Inc.* | | | 5,709 | | | | 43,617 | |
Glu Mobile, Inc.* | | | 5,662 | | | | 43,456 | |
Agilysys, Inc.* | | | 1,792 | | | | 43,295 | |
Power Integrations, Inc. | | | 726 | | | | 40,220 | |
ManTech International Corp. — Class A | | | 575 | | | | 39,606 | |
Xperi Holding Corp. | | | 3,398 | | | | 39,043 | |
Digi International, Inc.* | | | 2,480 | | | | 38,762 | |
CSG Systems International, Inc. | | | 946 | | | | 38,739 | |
ExlService Holdings, Inc.* | | | 550 | | | | 36,284 | |
8x8, Inc.* | | | 1,385 | | | | 21,537 | |
3D Systems Corp.*,1 | | | 4,267 | | | | 20,951 | |
Progress Software Corp. | | | 558 | | | | 20,467 | |
Total Technology | | | | | | | 1,152,613 | |
| | | | | | | | | |
Communications - 5.3% |
TechTarget, Inc.* | | | 2,448 | | | | 107,614 | |
Perficient, Inc.* | | | 1,216 | | | | 51,972 | |
Viavi Solutions, Inc.* | | | 4,023 | | | | 47,190 | |
QuinStreet, Inc.* | | | 2,235 | | | | 35,403 | |
NIC, Inc. | | | 1,767 | | | | 34,810 | |
Cogent Communications Holdings, Inc. | | | 522 | | | | 31,346 | |
Shutterstock, Inc. | | | 557 | | | | 28,986 | |
Harmonic, Inc.* | | | 5,029 | | | | 28,062 | |
Extreme Networks, Inc.* | | | 6,827 | | | | 27,444 | |
Total Communications | | | | | | | 392,827 | |
| | | | | | | | | |
Energy - 3.8% |
DMC Global, Inc. | | | 1,974 | | | | 65,024 | |
Matador Resources Co.*,1 | | | 7,870 | | | | 65,006 | |
Talos Energy, Inc.* | | | 5,757 | | | | 37,133 | |
Par Pacific Holdings, Inc.* | | | 5,305 | | | | 35,915 | |
Penn Virginia Corp.* | | | 3,359 | | | | 33,086 | |
Geospace Technologies Corp.* | | | 3,834 | | | | 23,694 | |
Helix Energy Solutions Group, Inc.* | | | 8,364 | | | | 20,157 | |
Total Energy | | | | | | | 280,015 | |
| | | | | | | | | |
Basic Materials - 1.9% |
Innospec, Inc. | | | 774 | | | | 49,010 | |
Koppers Holdings, Inc.* | | | 2,000 | | | | 41,820 | |
Schweitzer-Mauduit International, Inc. | | | 1,031 | | | | 31,332 | |
Rogers Corp.* | | | 194 | | | | 19,023 | |
Total Basic Materials | | | | | | | 141,185 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,031,017) | | | | | | | 7,394,143 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 24,241 | | | | 24,241 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 10,090 | | | | 10,090 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 9,182 | | | | 9,182 | |
Total Repurchase Agreements | | | | |
(Cost $43,513) | | | | | | | 43,513 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 4.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 336,428 | | | | 336,428 | |
Total Securities Lending Collateral | | | | |
(Cost $336,428) | | | | | | | 336,428 | |
| | | | | | | | | |
Total Investments - 104.6% | | | | |
(Cost $6,410,958) | | $ | 7,774,084 | |
Other Assets & Liabilities, net - (4.6)% | | | (342,405 | ) |
Total Net Assets - 100.0% | | $ | 7,431,679 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 7,394,143 | | | $ | — | | | $ | — | | | $ | 7,394,143 | |
Repurchase Agreements | | | — | | | | 43,513 | | | | — | | | | 43,513 | |
Securities Lending Collateral | | | 336,428 | | | | — | | | | — | | | | 336,428 | |
Total Assets | | $ | 7,730,571 | | | $ | 43,513 | | | $ | — | | | $ | 7,774,084 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $325,115 of securities loaned (cost $6,367,445) | | $ | 7,730,571 | |
Repurchase agreements, at value (cost $43,513) | | | 43,513 | |
Receivables: |
Fund shares sold | | | 71,375 | |
Dividends | | | 4,280 | |
Securities lending income | | | 36 | |
Total assets | | | 7,849,775 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 336,428 | |
Securities purchased | | | 39,136 | |
Fund shares redeemed | | | 24,313 | |
Management fees | | | 4,615 | |
Distribution and service fees | | | 2,519 | |
Transfer agent and administrative fees | | | 1,655 | |
Portfolio accounting fees | | | 615 | |
Trustees’ fees | | | 121 | |
Miscellaneous | | | 8,694 | |
Total liabilities | | | 418,096 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 7,431,679 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,639,207 | |
Total distributable earnings (loss) | | | (2,207,528 | ) |
Net assets | | $ | 7,431,679 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,941,640 | |
Capital shares outstanding | | | 31,912 | |
Net asset value per share | | $ | 60.84 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 63.87 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,671,074 | |
Capital shares outstanding | | | 31,467 | |
Net asset value per share | | $ | 53.11 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,818,965 | |
Capital shares outstanding | | | 62,788 | |
Net asset value per share | | $ | 60.82 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 32,181 | |
Interest | | | 15 | |
Income from securities lending, net | | | 596 | |
Total investment income | | | 32,792 | |
| | | | | |
Expenses: |
Management fees | | | 30,888 | |
Distribution and service fees: |
A-Class | | | 1,852 | |
C-Class | | | 5,133 | |
H-Class | | | 7,160 | |
Transfer agent and administrative fees | | | 11,639 | |
Registration fees | | | 4,533 | |
Portfolio accounting fees | | | 4,119 | |
Professional fees | | | 2,803 | |
Custodian fees | | | 581 | |
Trustees’ fees* | | | 199 | |
Line of credit fees | | | 82 | |
Miscellaneous | | | 1,982 | |
Total expenses | | | 70,971 | |
Net investment loss | | | (38,179 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,356,649 | ) |
Net realized loss | | | (1,356,649 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,117,849 | |
Net change in unrealized appreciation (depreciation) | | | 2,117,849 | |
Net realized and unrealized gain | | | 761,200 | |
Net increase in net assets resulting from operations | | $ | 723,021 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (38,179 | ) | | $ | (73,979 | ) |
Net realized loss on investments | | | (1,356,649 | ) | | | (384,045 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 2,117,849 | | | | (2,835,633 | ) |
Net increase (decrease) in net assets resulting from operations | | | 723,021 | | | | (3,293,657 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,348,328 | | | | 719,908 | |
C-Class | | | 916,943 | | | | 378,469 | |
H-Class | | | 38,767,688 | | | | 56,396,230 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (924,852 | ) | | | (1,307,711 | ) |
C-Class | | | (142,435 | ) | | | (595,749 | ) |
H-Class | | | (37,534,045 | ) | | | (59,193,712 | ) |
Net increase (decrease) from capital share transactions | | | 2,431,627 | | | | (3,602,565 | ) |
Net increase (decrease) in net assets | | | 3,154,648 | | | | (6,896,222 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 4,277,031 | | | | 11,173,253 | |
End of period | | $ | 7,431,679 | | | $ | 4,277,031 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 21,911 | | | | 11,355 | |
C-Class | | | 16,897 | | | | 6,675 | |
H-Class | | | 655,656 | | | | 877,834 | |
Shares redeemed | | | | | | | | |
A-Class | | | (16,651 | ) | | | (21,456 | ) |
C-Class | | | (3,093 | ) | | | (10,753 | ) |
H-Class | | | (648,297 | ) | | | (937,806 | ) |
Net increase (decrease) in shares | | | 26,423 | | | | (74,151 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.85 | | | $ | 65.22 | | | $ | 71.79 | | | $ | 65.58 | | | $ | 52.28 | | | $ | 58.90 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.44 | ) | | | (.70 | ) | | | (.63 | ) | | | (.41 | ) | | | (.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 17.23 | | | | (20.93 | ) | | | (.94 | ) | | | 9.35 | | | | 13.71 | | | | (6.42 | ) |
Total from investment operations | | | 16.99 | | | | (21.37 | ) | | | (1.64 | ) | | | 8.72 | | | | 13.30 | | | | (6.62 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 60.84 | | | $ | 43.85 | | | $ | 65.22 | | | $ | 71.79 | | | $ | 65.58 | | | $ | 52.28 | |
|
Total Returnc | | | 38.75 | % | | | (32.77 | %) | | | (2.34 | %) | | | 13.41 | % | | | 25.44 | % | | | (11.24 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,942 | | | $ | 1,169 | | | $ | 2,397 | | | $ | 1,857 | | | $ | 2,526 | | | $ | 2,451 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.83 | %) | | | (0.69 | %) | | | (0.93 | %) | | | (0.91 | %) | | | (0.71 | %) | | | (0.36 | %) |
Total expenses | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % |
Portfolio turnover rate | | | 486 | % | | | 628 | % | | | 421 | % | | | 643 | % | | | 818 | % | | | 309 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.41 | | | $ | 57.57 | | | $ | 64.43 | | | $ | 59.55 | | | $ | 47.82 | | | $ | 54.28 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.39 | ) | | | (.79 | ) | | | (1.16 | ) | | | (.96 | ) | | | (.79 | ) | | | (.62 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.09 | | | | (18.37 | ) | | | (.77 | ) | | | 8.35 | | | | 12.52 | | | | (5.84 | ) |
Total from investment operations | | | 14.70 | | | | (19.16 | ) | | | (1.93 | ) | | | 7.39 | | | | 11.73 | | | | (6.46 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 53.11 | | | $ | 38.41 | | | $ | 57.57 | | | $ | 64.43 | | | $ | 59.55 | | | $ | 47.82 | |
|
Total Returnc | | | 38.27 | % | | | (33.28 | %) | | | (3.06 | %) | | | 12.52 | % | | | 24.51 | % | | | (11.90 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,671 | | | $ | 678 | | | $ | 1,252 | | | $ | 2,354 | | | $ | 3,054 | | | $ | 2,542 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.55 | %) | | | (1.43 | %) | | | (1.70 | %) | | | (1.52 | %) | | | (1.48 | %) | | | (1.19 | %) |
Total expenses | | | 2.39 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % |
Portfolio turnover rate | | | 486 | % | | | 628 | % | | | 421 | % | | | 643 | % | | | 818 | % | | | 309 | % |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.84 | | | $ | 65.21 | | | $ | 71.78 | | | $ | 65.58 | | | $ | 52.27 | | | $ | 58.89 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.40 | ) | | | (.77 | ) | | | (.55 | ) | | | (.44 | ) | | | (.28 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 17.22 | | | | (20.97 | ) | | | (.87 | ) | | | 9.26 | | | | 13.75 | | | | (6.34 | ) |
Total from investment operations | | | 16.98 | | | | (21.37 | ) | | | (1.64 | ) | | | 8.71 | | | | 13.31 | | | | (6.62 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 60.82 | | | $ | 43.84 | | | $ | 65.21 | | | $ | 71.78 | | | $ | 65.58 | | | $ | 52.27 | |
|
Total Return | | | 38.73 | % | | | (32.77 | %) | | | (2.33 | %) | | | 13.38 | % | | | 25.46 | % | | | (11.24 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,819 | | | $ | 2,430 | | | $ | 7,525 | | | $ | 15,523 | | | $ | 31,750 | | | $ | 25,046 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.84 | %) | | | (0.63 | %) | | | (0.99 | %) | | | (0.80 | %) | | | (0.75 | %) | | | (0.49 | %) |
Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 486 | % | | | 628 | % | | | 421 | % | | | 643 | % | | | 818 | % | | | 309 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Atlas Air Worldwide Holdings, Inc. | 3.9% |
Renewable Energy Group, Inc. | 3.0% |
MarineMax, Inc. | 2.3% |
Consolidated Communications Holdings, Inc. | 2.1% |
Southwestern Energy Co. | 2.0% |
Big Lots, Inc. | 2.0% |
SpartanNash Co. | 1.8% |
Greenbrier Companies, Inc. | 1.7% |
ArcBest Corp. | 1.6% |
Resideo Technologies, Inc. | 1.6% |
Top Ten Total | 22.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 43.97% | (22.78%) | (2.15%) | 3.31% |
A-Class Shares with sales charge‡ | 37.13% | (26.43%) | (3.10%) | 2.81% |
C-Class Shares | 43.52% | (23.31%) | (2.87%) | 2.53% |
C-Class Shares with CDSC§ | 42.52% | (24.08%) | (2.87%) | 2.53% |
H-Class Shares | 44.06% | (22.77%) | (2.11%) | 3.31% |
S&P SmallCap 600 Pure Value Index | 46.29% | (20.23%) | 0.11% | 5.81% |
* | 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 S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Cyclical - 33.2% |
MarineMax, Inc.* | | | 13,045 | | | $ | 334,865 | |
Big Lots, Inc. | | | 6,509 | | | | 290,301 | |
Resideo Technologies, Inc.* | | | 21,091 | | | | 232,001 | |
Tupperware Brands Corp.* | | | 10,054 | | | | 202,689 | |
ODP Corp.* | | | 10,201 | | | | 198,409 | |
Sonic Automotive, Inc. — Class A | | | 4,635 | | | | 186,142 | |
Macy’s, Inc.1 | | | 32,261 | | | | 183,888 | |
Fossil Group, Inc.* | | | 30,737 | | | | 176,431 | |
Abercrombie & Fitch Co. — Class A | | | 11,615 | | | | 161,797 | |
Bed Bath & Beyond, Inc. | | | 10,512 | | | | 157,470 | |
Vista Outdoor, Inc.* | | | 7,451 | | | | 150,361 | |
Titan International, Inc. | | | 50,506 | | | | 145,962 | |
Core-Mark Holding Company, Inc. | | | 4,744 | | | | 137,244 | |
Group 1 Automotive, Inc. | | | 1,442 | | | | 127,458 | |
Lumber Liquidators Holdings, Inc.* | | | 5,766 | | | | 127,140 | |
GameStop Corp. — Class A* | | | 12,262 | | | | 125,072 | |
Signet Jewelers Ltd. | | | 6,550 | | | | 122,485 | |
Veritiv Corp.* | | | 9,500 | | | | 120,270 | |
Cooper-Standard Holdings, Inc.* | | | 8,959 | | | | 118,348 | |
Conn’s, Inc.* | | | 10,847 | | | | 114,761 | |
Michaels Companies, Inc.* | | | 11,227 | | | | 108,397 | |
ScanSource, Inc.* | | | 5,364 | | | | 106,368 | |
Barnes & Noble Education, Inc.* | | | 40,938 | | | | 105,620 | |
Cooper Tire & Rubber Co. | | | 3,140 | | | | 99,538 | |
Genesco, Inc.* | | | 4,123 | | | | 88,809 | |
Wabash National Corp. | | | 7,412 | | | | 88,647 | |
Red Robin Gourmet Burgers, Inc.* | | | 6,628 | | | | 87,225 | |
Haverty Furniture Companies, Inc. | | | 3,909 | | | | 81,854 | |
American Axle & Manufacturing Holdings, Inc.* | | | 12,154 | | | | 70,129 | |
Shoe Carnival, Inc. | | | 1,968 | | | | 66,085 | |
Movado Group, Inc. | | | 6,574 | | | | 65,346 | |
Caleres, Inc. | | | 6,469 | | | | 61,844 | |
Ethan Allen Interiors, Inc. | | | 4,081 | | | | 55,256 | |
G-III Apparel Group Ltd.* | | | 4,057 | | | | 53,187 | |
Daktronics, Inc. | | | 12,706 | | | | 50,316 | |
Hawaiian Holdings, Inc. | | | 3,329 | | | | 42,911 | |
Chico’s FAS, Inc. | | | 41,749 | | | | 40,601 | |
Designer Brands, Inc. — Class A | | | 6,967 | | | | 37,831 | |
Unifi, Inc.* | | | 2,883 | | | | 37,018 | |
Capri Holdings Ltd.* | | | 2,009 | | | | 36,162 | |
Cato Corp. — Class A | | | 4,569 | | | | 35,730 | |
Vera Bradley, Inc.* | | | 4,041 | | | | 24,691 | |
Total Consumer, Cyclical | | | | | | | 4,856,659 | |
| | | | | | | | | |
Industrial - 17.4% |
Atlas Air Worldwide Holdings, Inc.* | | | 9,337 | | | | 568,623 | |
Greenbrier Companies, Inc. | | | 8,422 | | | | 247,607 | |
ArcBest Corp. | | | 7,519 | | | | 233,540 | |
Echo Global Logistics, Inc.* | | | 7,976 | | | | 205,542 | |
Olympic Steel, Inc. | | | 13,124 | | | | 149,089 | |
Lydall, Inc.* | | | 8,853 | | | | 146,429 | |
Sanmina Corp.* | | | 4,974 | | | | 134,547 | |
Boise Cascade Co. | | | 2,654 | | | | 105,947 | |
Granite Construction, Inc. | | | 5,080 | | | | 89,459 | |
TimkenSteel Corp.* | | | 24,364 | | | | 86,492 | |
TTM Technologies, Inc.* | | | 7,559 | | | | 86,248 | |
Hub Group, Inc. — Class A* | | | 1,711 | | | | 85,884 | |
Bristow Group, Inc.* | | | 3,249 | | | | 69,041 | |
Bel Fuse, Inc. — Class B | | | 6,307 | | | | 67,359 | |
Arcosa, Inc. | | | 1,455 | | | | 64,151 | |
Trinseo S.A. | | | 2,183 | | | | 55,972 | |
Applied Optoelectronics, Inc.* | | | 4,366 | | | | 49,117 | |
US Concrete, Inc.* | | | 1,496 | | | | 43,444 | |
Aegion Corp. — Class A* | | | 2,223 | | | | 31,411 | |
DXP Enterprises, Inc.* | | | 1,334 | | | | 21,517 | |
Total Industrial | | | | | | | 2,541,419 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.1% |
SpartanNash Co. | | | 16,117 | | | | 263,513 | |
Kelly Services, Inc. — Class A | | | 11,413 | | | | 194,478 | |
Andersons, Inc. | | | 10,052 | | | | 192,697 | |
Owens & Minor, Inc. | | | 7,130 | | | | 179,034 | |
Seneca Foods Corp. — Class A* | | | 4,811 | | | | 171,897 | |
United Natural Foods, Inc.* | | | 9,593 | | | | 142,648 | |
Magellan Health, Inc.* | | | 1,833 | | | | 138,905 | |
B&G Foods, Inc.1 | | | 4,566 | | | | 126,798 | |
Invacare Corp. | | | 16,413 | | | | 123,426 | |
Fresh Del Monte Produce, Inc. | | | 5,352 | | | | 122,668 | |
Green Dot Corp. — Class A* | | | 1,981 | | | | 100,258 | |
ABM Industries, Inc. | | | 2,481 | | | | 90,953 | |
Universal Corp. | | | 1,968 | | | | 82,419 | |
TrueBlue, Inc.* | | | 5,295 | | | | 82,020 | |
Central Garden & Pet Co. — Class A* | | | 2,037 | | | | 73,617 | |
Lannett Company, Inc.* | | | 11,186 | | | | 68,347 | |
Team, Inc.* | | | 6,712 | | | | 36,916 | |
Central Garden & Pet Co.* | | | 498 | | | | 19,885 | |
Total Consumer, Non-cyclical | | | | | | | 2,210,479 | |
| | | | | | | | | |
Energy - 14.3% |
Renewable Energy Group, Inc.* | | | 8,153 | | | | 435,533 | |
Southwestern Energy Co.* | | | 123,750 | | | | 290,813 | |
Green Plains, Inc.* | | | 14,204 | | | | 219,878 | |
Bonanza Creek Energy, Inc.* | | | 5,915 | | | | 111,202 | |
Exterran Corp.* | | | 26,574 | | | | 110,548 | |
Range Resources Corp. | | | 16,615 | | | | 109,991 | |
PBF Energy, Inc. — Class A | | | 19,014 | | | | 108,190 | |
CONSOL Energy, Inc.* | | | 18,622 | | | | 82,496 | |
NOW, Inc.* | | | 16,534 | | | | 75,064 | |
ProPetro Holding Corp.* | | | 17,614 | | | | 71,513 | |
SunCoke Energy, Inc. | | | 16,439 | | | | 56,221 | |
Warrior Met Coal, Inc. | | | 2,898 | | | | 49,498 | |
Gulfport Energy Corp.* | | | 93,159 | | | | 49,104 | |
RPC, Inc.* | | | 18,597 | | | | 49,096 | |
Matrix Service Co.* | | | 5,025 | | | | 41,959 | |
Helmerich & Payne, Inc. | | | 2,642 | | | | 38,705 | |
Patterson-UTI Energy, Inc. | | | 13,542 | | | | 38,595 | |
US Silica Holdings, Inc. | | | 12,061 | | | | 36,183 | |
Laredo Petroleum, Inc.* | | | 3,074 | | | | 30,125 | |
SM Energy Co. | | | 16,617 | | | | 26,421 | |
Oasis Petroleum, Inc.*,1 | | | 79,965 | | | | 22,390 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
Oil States International, Inc.* | | | 5,052 | | | $ | 13,792 | |
Nabors Industries Ltd.1 | | | 564 | | | | 13,784 | |
Oceaneering International, Inc.* | | | 3,786 | | | | 13,327 | |
Total Energy | | | | | | | 2,094,428 | |
| | | | | | | | | |
Financial - 9.3% |
StoneX Group, Inc.* | | | 4,257 | | | | 217,788 | |
Realogy Holdings Corp.* | | | 18,610 | | | | 175,678 | |
EZCORP, Inc. — Class A* | | | 34,121 | | | | 171,629 | |
Stewart Information Services Corp. | | | 2,130 | | | | 93,145 | |
iStar, Inc. REIT | | | 7,345 | | | | 86,744 | |
Encore Capital Group, Inc.* | | | 1,790 | | | | 69,076 | |
American Equity Investment Life Holding Co. | | | 3,101 | | | | 68,191 | |
Diversified Healthcare Trust REIT | | | 18,729 | | | | 65,926 | |
CoreCivic, Inc. REIT | | | 7,777 | | | | 62,216 | |
Horace Mann Educators Corp. | | | 1,078 | | | | 36,005 | |
Cadence BanCorp | | | 4,151 | | | | 35,657 | |
Ready Capital Corp. REIT | | | 3,180 | | | | 35,616 | |
Third Point Reinsurance Ltd.* | | | 4,944 | | | | 34,361 | |
Hersha Hospitality Trust REIT | | | 6,198 | | | | 34,337 | |
Hope Bancorp, Inc. | | | 3,815 | | | | 28,937 | |
Customers Bancorp, Inc.* | | | 2,574 | | | | 28,829 | |
United Insurance Holdings Corp. | | | 4,757 | | | | 28,827 | |
Simmons First National Corp. — Class A | | | 1,765 | | | | 27,984 | |
Pacific Premier Bancorp, Inc. | | | 1,348 | | | | 27,149 | |
United Fire Group, Inc. | | | 1,037 | | | | 21,072 | |
Berkshire Hills Bancorp, Inc. | | | 1,483 | | | | 14,993 | |
Total Financial | | | | | | | 1,364,160 | |
| | | | | | | | | |
Basic Materials - 4.0% |
Rayonier Advanced Materials, Inc.* | | | 46,180 | | | | 147,776 | |
Kraton Corp.* | | | 7,561 | | | | 134,737 | |
Century Aluminum Co.* | | | 16,130 | | | | 114,846 | |
Clearwater Paper Corp.* | | | 2,966 | | | | 112,530 | |
AdvanSix, Inc.* | | | 6,131 | | | | 78,967 | |
Total Basic Materials | | | | | | | 588,856 | |
| | | | | | | | | |
Communications - 3.8% |
Consolidated Communications Holdings, Inc.* | | | 53,147 | | | | 302,407 | |
NETGEAR, Inc.* | | | 2,333 | | | | 71,903 | |
Meredith Corp. | | | 4,178 | | | | 54,815 | |
Gannett Company, Inc. | | | 36,533 | | | | 47,493 | |
Spok Holdings, Inc. | | | 4,769 | | | | 45,353 | |
Scholastic Corp. | | | 1,739 | | | | 36,502 | |
Total Communications | | | | | | | 558,473 | |
| | | | | | | | | |
Technology - 2.4% |
Donnelley Financial Solutions, Inc.* | | | 12,775 | | | | 170,674 | |
Pitney Bowes, Inc. | | | 16,197 | | | | 86,006 | |
Unisys Corp.* | | | 5,189 | | | | 55,366 | |
Photronics, Inc.* | | | 3,206 | | | | 31,932 | |
Total Technology | | | | | | | 343,978 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $13,261,540) | | | | | | | 14,558,452 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.3% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | $ | 25,298 | | | | 25,298 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 10,530 | | | | 10,530 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 9,582 | | | | 9,582 | |
Total Repurchase Agreements | | | | |
(Cost $45,410) | | | | | | | 45,410 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%4 | | | 80,953 | | | | 80,953 | |
Total Securities Lending Collateral | | | | |
(Cost $80,953) | | | | | | | 80,953 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $13,387,903) | | $ | 14,684,815 | |
Other Assets & Liabilities, net - (0.3)% | | | (46,839 | ) |
Total Net Assets - 100.0% | | $ | 14,637,976 | |
* | 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 on loan at September 30, 2020 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 14,558,452 | | | $ | — | | | $ | — | | | $ | 14,558,452 | |
Repurchase Agreements | | | — | | | | 45,410 | | | | — | | | | 45,410 | |
Securities Lending Collateral | | | 80,953 | | | | — | | | | — | | | | 80,953 | |
Total Assets | | $ | 14,639,405 | | | $ | 45,410 | | | $ | — | | | $ | 14,684,815 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $67,680 of securities loaned (cost $13,342,493) | | $ | 14,639,405 | |
Repurchase agreements, at value (cost $45,410) | | | 45,410 | |
Receivables: |
Fund shares sold | | | 8,047,454 | |
Dividends | | | 5,360 | |
Securities lending income | | | 520 | |
Total assets | | | 22,738,149 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 8,007,008 | |
Return of securities lending collateral | | | 80,953 | |
Management fees | | | 2,831 | |
Distribution and service fees | | | 1,262 | |
Transfer agent and administrative fees | | | 1,015 | |
Portfolio accounting fees | | | 378 | |
Trustees’ fees* | | | 90 | |
Miscellaneous | | | 6,636 | |
Total liabilities | | | 8,100,173 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 14,637,976 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 26,217,403 | |
Total distributable earnings (loss) | | | (11,579,427 | ) |
Net assets | | $ | 14,637,976 | |
| | | | | |
A-Class: |
Net assets | | $ | 970,940 | |
Capital shares outstanding | | | 9,998 | |
Net asset value per share | | $ | 97.11 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 101.95 | |
| | | | | |
C-Class: |
Net assets | | $ | 498,140 | |
Capital shares outstanding | | | 6,057 | |
Net asset value per share | | $ | 82.25 | |
| | | | | |
H-Class: |
Net assets | | $ | 13,168,896 | |
Capital shares outstanding | | | 135,931 | |
Net asset value per share | | $ | 96.88 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $68) | | $ | 36,387 | |
Interest | | | 9 | |
Income from securities lending, net | | | 4,840 | |
Total investment income | | | 41,236 | |
| | | | | |
Expenses: |
Management fees | | | 22,792 | |
Distribution and service fees: |
A-Class | | | 1,179 | |
C-Class | | | 2,321 | |
H-Class | | | 5,838 | |
Transfer agent and administrative fees | | | 8,506 | |
Registration fees | | | 3,345 | |
Portfolio accounting fees | | | 3,040 | |
Professional fees | | | 2,101 | |
Custodian fees | | | 419 | |
Trustees’ fees* | | | 157 | |
Line of credit fees | | | 28 | |
Miscellaneous | | | 1,759 | |
Total expenses | | | 51,485 | |
Net investment loss | | | (10,249 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (4,752,596 | ) |
Net realized loss | | | (4,752,596 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,657,529 | |
Net change in unrealized appreciation (depreciation) | | | 1,657,529 | |
Net realized and unrealized loss | | | (3,095,067 | ) |
Net decrease in net assets resulting from operations | | $ | (3,105,316 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (10,249 | ) | | $ | (52,458 | ) |
Net realized loss on investments | | | (4,752,596 | ) | | | (777,560 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,657,529 | | | | (1,353,130 | ) |
Net decrease in net assets resulting from operations | | | (3,105,316 | ) | | | (2,183,148 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 292,340 | | | | 1,507,622 | |
C-Class | | | 303,062 | | | | 873,764 | |
H-Class | | | 67,148,587 | | | | 136,769,330 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (625,633 | ) | | | (1,281,826 | ) |
C-Class | | | (644,688 | ) | | | (1,203,729 | ) |
H-Class | | | (51,744,470 | ) | | | (142,913,535 | ) |
Net increase (decrease) from capital share transactions | | | 14,729,198 | | | | (6,248,374 | ) |
Net increase (decrease) in net assets | | | 11,623,882 | | | | (8,431,522 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,014,094 | | | | 11,445,616 | |
End of period | | $ | 14,637,976 | | | $ | 3,014,094 | |
| | | | | | | | | |
Capital Share Activity:* | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 2,967 | | | | 13,594 | |
C-Class | | | 3,696 | | | | 11,634 | |
H-Class | | | 650,231 | | | | 1,100,304 | |
Shares redeemed | | | | | | | | |
A-Class | | | (6,841 | ) | | | (10,001 | ) |
C-Class | | | (7,610 | ) | | | (11,191 | ) |
H-Class | | | (536,710 | ) | | | (1,148,134 | ) |
Net increase (decrease) in shares | | | 105,733 | | | | (43,794 | ) |
* | Capital share activity for the year ended March 31, 2020, has been restated to reflect a 1:5 reverse share split effective August 17, 2020 (Unaudited) — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 67.45 | | | $ | 129.32 | | | $ | 138.22 | | | $ | 136.22 | | | $ | 115.78 | | | $ | 129.05 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.07 | ) | | | (.50 | ) | | | .30 | | | | (.40 | ) | | | (.70 | ) | | | (.50 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 29.73 | e | | | (61.37 | ) | | | (9.20 | ) | | | 2.40 | | | | 21.14 | | | | (12.77 | ) |
Total from investment operations | | | 29.66 | | | | (61.87 | ) | | | (8.90 | ) | | | 2.00 | | | | 20.44 | | | | (13.27 | ) |
Net asset value, end of period | | $ | 97.11 | | | $ | 67.45 | | | $ | 129.32 | | | $ | 138.22 | | | $ | 136.22 | | | $ | 115.78 | |
|
Total Returnc | | | 43.97 | % | | | (47.83 | %) | | | (6.44 | %) | | | 1.47 | % | | | 17.62 | % | | | (10.27 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 971 | | | $ | 936 | | | $ | 1,329 | | | $ | 762 | | | $ | 1,720 | | | $ | 1,113 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.63 | %) | | | (0.42 | %) | | | 0.21 | % | | | (0.30 | %) | | | (0.50 | %) | | | (0.42 | %) |
Total expenses | | | 1.65 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 885 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % | | | 1,449 | % | | | 417 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.31 | | | $ | 110.69 | | | $ | 119.22 | | | $ | 118.40 | | | $ | 101.41 | | | $ | 113.88 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.13 | ) | | | (1.25 | ) | | | (.65 | ) | | | (1.05 | ) | | | (1.40 | ) | | | (1.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 25.07 | e | | | (52.13 | ) | | | (7.88 | ) | | | 1.87 | | | | 18.39 | | | | (11.27 | ) |
Total from investment operations | | | 24.94 | | | | (53.38 | ) | | | (8.53 | ) | | | .82 | | | | 16.99 | | | | (12.47 | ) |
Net asset value, end of period | | $ | 82.25 | | | $ | 57.31 | | | $ | 110.69 | | | $ | 119.22 | | | $ | 118.40 | | | $ | 101.41 | |
|
Total Returnc | | | 43.52 | % | | | (48.24 | %) | | | (7.13 | %) | | | 0.68 | % | | | 16.77 | % | | | (10.97 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 498 | | | $ | 571 | | | $ | 1,055 | | | $ | 1,532 | | | $ | 1,778 | | | $ | 1,847 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.43 | %) | | | (1.20 | %) | | | (0.53 | %) | | | (0.90 | %) | | | (1.26 | %) | | | (1.17 | %) |
Total expenses | | | 2.41 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % |
Portfolio turnover rate | | | 885 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % | | | 1,449 | % | | | 417 | % |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020d | | | Year Ended
March 31,
2019d | | | Year Ended
March 29,
2018d | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 67.25 | | | $ | 129.01 | | | $ | 137.86 | | | $ | 135.65 | | | $ | 115.35 | | | $ | 128.53 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.02 | ) | | | (.55 | ) | | | .10 | | | | (.45 | ) | | | (.60 | ) | | | (.35 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 29.65 | e | | | (61.21 | ) | | | (8.95 | ) | | | 2.66 | | | | 20.90 | | | | (12.83 | ) |
Total from investment operations | | | 29.63 | | | | (61.76 | ) | | | (8.85 | ) | | | 2.21 | | | | 20.30 | | | | (13.18 | ) |
Net asset value, end of period | | $ | 96.88 | | | $ | 67.25 | | | $ | 129.01 | | | $ | 137.86 | | | $ | 135.65 | | | $ | 115.35 | |
|
Total Return | | | 44.06 | % | | | (47.87 | %) | | | (6.42 | %) | | | 1.62 | % | | | 17.60 | % | | | (10.27 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,169 | | | $ | 1,507 | | | $ | 9,062 | | | $ | 7,595 | | | $ | 19,782 | | | $ | 18,071 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.17 | %) | | | (0.44 | %) | | | 0.06 | % | | | (0.32 | %) | | | (0.47 | %) | | | (0.32 | %) |
Total expenses | | | 1.63 | % | | | 1.64 | % | | | 1.62 | % | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % |
Portfolio turnover rate | | | 885 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % | | | 1,449 | % | | | 417 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | Reverse share split (Unaudited) — Per share amounts for the years presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020 — See Note 11. |
e | The amount shown for a share outstanding throughout the period does not accord with the aggregate net loss 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 SEMI-ANNUAL REPORT | 53 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX® Europe 50 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
”Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | May 10, 2001 |
H-Class | May 8, 2000 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.5% |
Guggenheim Strategy Fund II | 12.7% |
Nestle S.A. ADR | 2.7% |
Roche Holding AG ADR | 1.9% |
Novartis AG ADR | 1.7% |
SAP SE ADR | 1.3% |
ASML Holding N.V. — Class G | 1.2% |
AstraZeneca plc ADR | 1.1% |
Linde plc | 1.0% |
LVMH Moet Hennessy Louis Vuitton SE ADR | 1.0% |
Top Ten Total | 43.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Country Diversification
Country | % of
Long-Term
Investments |
United Kingdom | 27.4% |
Switzerland | 22.7% |
France | 19.6% |
Germany | 15.2% |
Netherlands | 7.0% |
Denmark | 2.8% |
Italy | 2.5% |
Other | 2.8% |
Total Long-Term Investments | 100.0% |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 19.88% | (4.96%) | 2.02% | 1.93% |
A-Class Shares with sales charge‡ | 14.19% | (9.48%) | 1.04% | 1.43% |
C-Class Shares | 19.30% | (5.56%) | 1.30% | 1.09% |
C-Class Shares with CDSC§ | 18.30% | (6.50%) | 1.30% | 1.09% |
H-Class Shares | 19.90% | (4.97%) | 2.06% | 1.85% |
STOXX Europe 50 Index | 15.24% | (1.43%) | 3.78% | 3.41% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The STOXX Europe 50 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 32.3% |
| | | | | | | | | |
Consumer, Non-cyclical - 15.1% |
Nestle S.A. ADR | | | 277 | | | $ | 33,033 | |
Roche Holding AG ADR | | | 540 | | | | 23,117 | |
Novartis AG ADR | | | 237 | | | | 20,610 | |
AstraZeneca plc ADR | | | 251 | | | | 13,755 | |
Novo Nordisk A/S ADR | | | 162 | | | | 11,248 | |
Sanofi ADR | | | 220 | | | | 11,037 | |
GlaxoSmithKline plc ADR | | | 239 | | | | 8,996 | |
Unilever N.V. — Class Y | | | 132 | | | | 7,973 | |
British American Tobacco plc ADR | | | 218 | | | | 7,881 | |
Diageo plc ADR | | | 56 | | | | 7,709 | |
L’Oreal S.A. ADR | | | 118 | | | | 7,688 | |
Reckitt Benckiser Group plc ADR | | | 352 | | | | 6,917 | |
Unilever plc ADR | | | 112 | | | | 6,908 | |
Bayer AG ADR | | | 377 | | | | 5,636 | |
Adyen N.V. ADR* | | | 128 | | | | 4,742 | |
Anheuser-Busch InBev S.A. ADR1 | | | 81 | | | | 4,364 | |
RELX plc ADR | | | 189 | | | | 4,228 | |
Total Consumer, Non-cyclical | | | | | | | 185,842 | |
| | | | | | | | | |
Financial - 3.2% |
HSBC Holdings plc ADR | | | 397 | | | | 7,773 | |
Allianz SE ADR | | | 402 | | | | 7,698 | |
Zurich Insurance Group AG ADR | | | 145 | | | | 5,052 | |
BNP Paribas S.A. ADR* | | | 222 | | | | 4,056 | |
UBS Group AG | | | 344 | | | | 3,836 | |
AXA S.A. ADR | | | 198 | | | | 3,669 | |
Prudential plc ADR1 | | | 125 | | | | 3,574 | |
Intesa Sanpaolo SpA ADR* | | | 289 | | | | 3,260 | |
Total Financial | | | | | | | 38,918 | |
| | | | | | | | | |
Basic Materials - 2.9% |
Linde plc | | | 53 | | | | 12,621 | |
Air Liquide S.A. ADR | | | 227 | | | | 7,221 | |
Rio Tinto plc ADR | | | 103 | | | | 6,220 | |
BASF SE ADR | | | 353 | | | | 5,397 | |
BHP Group plc ADR | | | 96 | | | | 4,096 | |
Total Basic Materials | | | | | | | 35,555 | |
| | | | | | | | | |
Industrial - 2.7% |
Siemens AG ADR1 | | | 144 | | | | 10,030 | |
Schneider Electric SE ADR | | | 265 | | | | 6,601 | |
ABB Ltd. ADR | | | 183 | | | | 4,657 | |
Vinci S.A. ADR | | | 216 | | | | 4,523 | |
Airbus SE ADR*,1 | | | 224 | | | | 4,061 | |
Safran S.A. ADR* | | | 135 | | | | 3,344 | |
Total Industrial | | | | | | | 33,216 | |
| | | | | | | | | |
Technology - 2.5% |
SAP SE ADR1 | | | 105 | | | | 16,360 | |
ASML Holding N.V. — Class G1 | | | 41 | | | | 15,140 | |
Total Technology | | | | | | | 31,500 | |
| | | | | | | | | |
Consumer, Cyclical - 2.2% |
LVMH Moet Hennessy Louis Vuitton SE ADR | | | 127 | | | | 11,967 | |
adidas AG ADR* | | | 36 | | | | 5,873 | |
Kering S.A. ADR | | | 72 | | | | 4,791 | |
Daimler AG ADR | | | 324 | | | | 4,322 | |
Total Consumer, Cyclical | | | | | | | 26,953 | |
| | | | | | | | | |
Energy - 1.6% |
TOTAL SE ADR | | | 255 | | | | 8,747 | |
BP plc ADR | | | 323 | | | | 5,640 | |
Royal Dutch Shell plc — Class A ADR | | | 197 | | | | 4,958 | |
Total Energy | | | | | | | 19,345 | |
| | | | | | | | | |
Utilities - 1.4% |
Iberdrola S.A. ADR | | | 139 | | | | 6,879 | |
Enel SpA ADR | | | 749 | | | | 6,441 | |
National Grid plc ADR | | | 68 | | | | 3,930 | |
Total Utilities | | | | | | | 17,250 | |
| | | | | | | | | |
Communications - 0.7% |
Deutsche Telekom AG ADR1 | | | 311 | | | | 5,240 | |
Vodafone Group plc ADR | | | 255 | | | | 3,422 | |
Total Communications | | | | | | | 8,662 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $356,856) | | | | | | | 397,241 | |
| | | | | | | | | |
MUTUAL FUNDS† - 31.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 22,777 | | | | 227,311 | |
Guggenheim Strategy Fund II2 | | | 6,284 | | | | 156,917 | |
Total Mutual Funds | | | | |
(Cost $382,515) | | | | | | | 384,228 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 33.7% |
U.S. Treasury Bills |
0.08% due 10/15/203,4 | | $ | 415,000 | | | | 414,987 | |
Total U.S. Treasury Bills | | | | |
(Cost $414,986) | | | | | | | 414,987 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 13.1% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 89,521 | | | | 89,521 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 37,261 | | | | 37,261 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 33,908 | | | | 33,908 | |
Total Repurchase Agreements | | | | |
(Cost $160,690) | | | | | | | 160,690 | |
| | | | | | | | | |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
EUROPE 1.25x STRATEGY FUND | |
| | | Shares | | | Value | |
| SECURITIES LENDING COLLATERAL†,6 - 3.6% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%7 | | | 44,255 | | | $ | 44,255 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $44,255) | | | | | | | 44,255 | |
| | | | | | | | | |
| Total Investments - 113.9% | | | | | | | | |
| (Cost $1,359,302) | | | | | | $ | 1,401,401 | |
| Other Assets & Liabilities, net - (13.9)% | | | | | | | (170,613 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 1,230,788 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Currency Futures Contracts Purchased† |
Euro FX Futures Contracts | | | 8 | | | | Dec 2020 | | | $ | 1,174,100 | | | $ | (6,314 | ) |
Equity Futures Contracts Purchased† |
STOXX Europe 50 Index Futures Contracts | | | 34 | | | | Dec 2020 | | | | 1,152,076 | | | | (27,802 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
EUROPE 1.25x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 397,241 | | | $ | — | | | $ | — | | | $ | 397,241 | |
Mutual Funds | | | 384,228 | | | | — | | | | — | | | | 384,228 | |
U.S. Treasury Bills | | | — | | | | 414,987 | | | | — | | | | 414,987 | |
Repurchase Agreements | | | — | | | | 160,690 | | | | — | | | | 160,690 | |
Securities Lending Collateral | | | 44,255 | | | | — | | | | — | | | | 44,255 | |
Total Assets | | $ | 825,724 | | | $ | 575,677 | | | $ | — | | | $ | 1,401,401 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 6,314 | | | $ | — | | | $ | — | | | $ | 6,314 | |
Equity Futures Contracts** | | | 27,802 | | | | — | | | | — | | | | 27,802 | |
Total Liabilities | | $ | 34,116 | | | $ | — | | | $ | — | | | $ | 34,116 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 269,269 | | | $ | — | | | $ | (120,000 | ) | | $ | (1,670 | ) | | $ | 9,318 | | | $ | 156,917 | | | | 6,284 | | | $ | 1,513 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 252,254 | | | | — | | | | (30,000 | ) | | | (305 | ) | | | 5,362 | | | | 227,311 | | | | 22,777 | | | | 1,469 | |
| | | $ | 521,523 | | | $ | — | | | $ | (150,000 | ) | | $ | (1,975 | ) | | $ | 14,680 | | | $ | 384,228 | | | | | | | $ | 2,982 | |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value - including $42,970 of securities loaned (cost $816,097) | | $ | 856,483 | |
Investments in affiliated issuers, at value (cost $382,515) | | | 384,228 | |
Repurchase agreements, at value (cost $160,690) | | | 160,690 | |
Foreign currency, at value (cost $12,223) | | | 12,223 | |
Receivables: |
Foreign tax reclaims | | | 16,447 | |
Dividends | | | 862 | |
Fund shares sold | | | 155 | |
Securities lending income | | | 9 | |
Total assets | | | 1,431,097 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 12,227 | |
Payable for: |
Fund shares redeemed | | | 128,044 | |
Return of securities lending collateral | | | 44,255 | |
Variation margin on futures contracts | | | 9,390 | |
Management fees | | | 1,287 | |
Transfer agent and administrative fees | | | 398 | |
Distribution and service fees | | | 382 | |
Portfolio accounting fees | | | 148 | |
Trustees’ fees | | | 34 | |
Miscellaneous | | | 4,144 | |
Total liabilities | | | 200,309 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 1,230,788 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 1,287,007 | |
Total distributable earnings (loss) | | | (56,219 | ) |
Net assets | | $ | 1,230,788 | |
| | | | | |
A-Class: |
Net assets | | $ | 53,171 | |
Capital shares outstanding | | | 640 | |
Net asset value per share | | $ | 83.08 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 87.22 | |
| | | | | |
C-Class: |
Net assets | | $ | 13,201 | |
Capital shares outstanding | | | 190 | |
Net asset value per share | | $ | 69.48 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,164,416 | |
Capital shares outstanding | | | 14,117 | |
Net asset value per share | | $ | 82.48 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $947) | | $ | 5,033 | |
Dividends from securities of affiliated issuers | | | 2,982 | |
Interest | | | 517 | |
Income from securities lending, net | | | 85 | |
Total investment income | | | 8,617 | |
| | | | | |
Expenses: |
Management fees | | | 9,802 | |
Distribution and service fees: |
A-Class | | | 147 | |
C-Class | | | 580 | |
H-Class | | | 2,431 | |
Transfer agent and administrative fees | | | 3,079 | |
Registration fees | | | 1,199 | |
Portfolio accounting fees | | | 1,089 | |
Professional fees | | | 809 | |
Custodian fees | | | 158 | |
Trustees’ fees* | | | 62 | |
Miscellaneous | | | 703 | |
Total expenses | | | 20,059 | |
Less: |
Expenses waived by Adviser | | | (291 | ) |
Net expenses | | | 19,768 | |
Net investment loss | | | (11,151 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 7,275 | |
Investments in affiliated issuers | | | (1,975 | ) |
Futures contracts | | | 472,039 | |
Foreign currency transactions | | | 9,744 | |
Net realized gain | | | 487,083 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 24,461 | |
Investments in affiliated issuers | | | 14,680 | |
Futures contracts | | | (179,105 | ) |
Foreign currency translations | | | (294 | ) |
Net change in unrealized appreciation (depreciation) | | | (140,258 | ) |
Net realized and unrealized gain | | | 346,825 | |
Net increase in net assets resulting from operations | | $ | 335,674 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
EUROPE 1.25x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (11,151 | ) | | $ | 61,455 | |
Net realized gain on investments | | | 487,083 | | | | 140,578 | |
Net change in unrealized appreciation (depreciation) on investments | | | (140,258 | ) | | | (79,364 | ) |
Net increase in net assets resulting from operations | | | 335,674 | | | | 122,669 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (1,228 | ) |
C-Class | | | — | | | | (1,486 | ) |
H-Class | | | — | | | | (58,704 | ) |
Total distributions to shareholders | | | — | | | | (61,418 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 4,030 | | | | 260,090 | |
C-Class | | | 287,771 | | | | 1,532,352 | |
H-Class | | | 16,169,154 | | | | 341,054,759 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 999 | |
C-Class | | | — | | | | 1,157 | |
H-Class | | | — | | | | 57,686 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (208,023 | ) | | | (241,632 | ) |
C-Class | | | (620,458 | ) | | | (1,307,652 | ) |
H-Class | | | (16,594,373 | ) | | | (377,010,299 | ) |
Net decrease from capital share transactions | | | (961,899 | ) | | | (35,652,540 | ) |
Net decrease in net assets | | | (626,225 | ) | | | (35,591,289 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,857,013 | | | | 37,448,302 | |
End of period | | $ | 1,230,788 | | | $ | 1,857,013 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 48 | | | | 3,600 | |
C-Class | | | 4,055 | | | | 21,584 | |
H-Class | | | 199,380 | | | | 3,874,912 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 11 | |
C-Class | | | — | | | | 15 | |
H-Class | | | — | | | | 633 | |
Shares redeemed | | | | | | | | |
A-Class | | | (2,544 | ) | | | (2,632 | ) |
C-Class | | | (8,949 | ) | | | (16,852 | ) |
H-Class | | | (204,794 | ) | | | (4,296,290 | ) |
Net decrease in shares | | | (12,804 | ) | | | (415,019 | ) |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 69.30 | | | $ | 85.18 | | | $ | 94.56 | | | $ | 84.99 | | | $ | 78.10 | | | $ | 93.32 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.33 | ) | | | .63 | | | | 1.70 | | | | .82 | | | | 1.08 | | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.11 | | | | (16.07 | )g | | | (4.78 | ) | | | 8.99 | | | | 6.51 | | | | (14.44 | ) |
Total from investment operations | | | 13.78 | | | | (15.44 | ) | | | (3.08 | ) | | | 9.81 | | | | 7.59 | | | | (14.50 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Total distributions | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Net asset value, end of period | | $ | 83.08 | | | $ | 69.30 | | | $ | 85.18 | | | $ | 94.56 | | | $ | 84.99 | | | $ | 78.10 | |
|
Total Returnc | | | 19.88 | % | | | (18.25 | %) | | | (2.32 | %) | | | 11.53 | % | | | 9.83 | % | | | (15.58 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 53 | | | $ | 217 | | | $ | 184 | | | $ | 401 | | | $ | 417 | | | $ | 859 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.86 | %) | | | 0.72 | % | | | 1.89 | % | | | 0.88 | % | | | 1.35 | % | | | (0.08 | %) |
Total expensesd | | | 1.83 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % | | | 1.72 | % | | | 1.67 | % |
Net expensese | | | 1.80 | % | | | 1.73 | % | | | 1.76 | % | | | 1.71 | % | | | 1.72 | % | | | 1.67 | % |
Portfolio turnover rate | | | 71 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % | | | 1,616 | % | | | 920 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.24 | | | $ | 72.13 | | | $ | 81.77 | | | $ | 74.07 | | | $ | 68.62 | | | $ | 82.63 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.47 | ) | | | (.18 | ) | | | .96 | | | | (.09 | ) | | | .35 | | | | (.54 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 11.71 | | | | (13.27 | )g | | | (4.30 | ) | | | 8.03 | | | | 5.80 | | | | (12.75 | ) |
Total from investment operations | | | 11.24 | | | | (13.45 | ) | | | (3.34 | ) | | | 7.94 | | | | 6.15 | | | | (13.29 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Total distributions | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Net asset value, end of period | | $ | 69.48 | | | $ | 58.24 | | | $ | 72.13 | | | $ | 81.77 | | | $ | 74.07 | | | $ | 68.62 | |
|
Total Returnc | | | 19.30 | % | | | (18.79 | %) | | | (3.04 | %) | | | 10.70 | % | | | 9.09 | % | | | (16.14 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13 | | | $ | 296 | | | $ | 24 | | | $ | 187 | | | $ | 840 | | | $ | 440 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.52 | %) | | | (0.25 | %) | | | 1.22 | % | | | (0.11 | %) | | | 0.50 | % | | | (0.64 | %) |
Total expensesd | | | 2.60 | % | | | 2.49 | % | | | 2.50 | % | | | 2.46 | % | | | 2.49 | % | | | 2.42 | % |
Net expensese | | | 2.57 | % | | | 2.45 | % | | | 2.50 | % | | | 2.46 | % | | | 2.49 | % | | | 2.42 | % |
Portfolio turnover rate | | | 71 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % | | | 1,616 | % | | | 920 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 68.79 | | | $ | 84.58 | | | $ | 93.89 | | | $ | 84.38 | | | $ | 77.38 | | | $ | 92.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.40 | ) | | | .58 | | | | 1.26 | | | | 1.02 | | | | .46 | | | | .18 | |
Net gain (loss) on investments (realized and unrealized) | | | 14.09 | | | | (15.93 | )g | | | (4.27 | ) | | | 8.73 | | | | 7.24 | | | | (14.58 | ) |
Total from investment operations | | | 13.69 | | | | (15.35 | ) | | | (3.01 | ) | | | 9.75 | | | | 7.70 | | | | (14.40 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Total distributions | | | — | | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) |
Net asset value, end of period | | $ | 82.48 | | | $ | 68.79 | | | $ | 84.58 | | | $ | 93.89 | | | $ | 84.38 | | | $ | 77.38 | |
|
Total Return | | | 19.90 | % | | | (18.28 | %) | | | (2.28 | %) | | | 11.55 | % | | | 10.06 | % | | | (15.64 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,164 | | | $ | 1,344 | | | $ | 37,240 | | | $ | 3,967 | | | $ | 6,439 | | | $ | 4,533 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.00 | %) | | | 0.66 | % | | | 1.42 | % | | | 1.09 | % | | | 0.59 | % | | | 0.19 | % |
Total expensesd | | | 1.80 | % | | | 1.80 | % | | | 1.76 | % | | | 1.71 | % | | | 1.73 | % | | | 1.66 | % |
Net expensese | | | 1.77 | % | | | 1.76 | % | | | 1.76 | % | | | 1.71 | % | | | 1.73 | % | | | 1.66 | % |
Portfolio turnover rate | | | 71 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % | | | 1,616 | % | | | 920 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 28, 2016. |
g | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | February 22, 2008 |
C-Class | February 22, 2008 |
H-Class | February 22, 2008 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 9.0% |
Guggenheim Strategy Fund II | 6.3% |
Total | 15.3% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 50.74% | 10.27% | 13.93% | 9.99% |
A-Class Shares with sales charge‡ | 43.58% | 5.03% | 12.82% | 9.46% |
C-Class Shares | 50.14% | 9.45% | 13.07% | 9.22% |
C-Class Shares with CDSC§ | 49.14% | 8.45% | 13.07% | 9.22% |
H-Class Shares | 50.71% | 10.28% | 14.01% | 10.05% |
Nikkei-225 Stock Average Index | 25.17% | 9.22% | 8.62% | 6.95% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
JAPAN 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 15.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 14,446 | | | $ | 144,170 | |
Guggenheim Strategy Fund II1 | | | 4,036 | | | | 100,790 | |
Total Mutual Funds | | | | |
(Cost $243,640) | | | | | | | 244,960 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 13.6% |
U.S. Treasury Bills |
0.08% due 10/15/202,3 | | $ | 218,000 | | | | 217,993 | |
Total U.S. Treasury Bills | | | | |
(Cost $217,993) | | | | | | | 217,993 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 12.6% |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/224 | | | 100,000 | | | | 100,405 | |
0.39% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/224 | | | 100,000 | | | | 100,327 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $200,000) | | | | | | | 200,732 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 59.5% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/20 | | | 531,189 | | | | 531,189 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 221,096 | | | | 221,096 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/20 | | | 201,197 | | | | 201,197 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $953,482) | | | | | | | 953,482 | |
| | | | | | | | | |
| Total Investments - 101.0% | | | | | | | | |
| (Cost $1,615,115) | | | | | | $ | 1,617,167 | |
| Other Assets & Liabilities, net - (1.0)% | | | | | | | (15,822 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 1,601,345 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Nikkei 225 (CME) Index Futures Contracts | | | 28 | | | | Dec 2020 | | | $ | 3,264,800 | | | $ | 47,300 | |
Currency Futures Contracts Purchased† |
Japanese Yen Futures Contracts | | | 27 | | | | Dec 2020 | | | | 3,202,200 | | | | 17,940 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 futures collateral at September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | Repurchase Agreements — See Note 6. |
| | CME — Mercantile Exchange |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
JAPAN 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 244,960 | | | $ | — | | | $ | — | | | $ | 244,960 | |
U.S. Treasury Bills | | | — | | | | 217,993 | | | | — | | | | 217,993 | |
Federal Agency Notes | | | — | | | | 200,732 | | | | — | | | | 200,732 | |
Repurchase Agreements | | | — | | | | 953,482 | | | | — | | | | 953,482 | |
Equity Futures Contracts** | | | 47,300 | | | | — | | | | — | | | | 47,300 | |
Currency Futures Contracts** | | | 17,940 | | | | — | | | | — | | | | 17,940 | |
Total Assets | | $ | 310,200 | | | $ | 1,372,207 | | | $ | — | | | $ | 1,682,407 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 156,143 | | | $ | — | | | $ | (60,000 | ) | | $ | (1,252 | ) | | $ | 5,899 | | | $ | 100,790 | | | | 4,036 | | | $ | 934 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 160,954 | | | | — | | | | (20,000 | ) | | | (271 | ) | | | 3,487 | | | | 144,170 | | | | 14,446 | | | | 933 | |
| | | $ | 317,097 | | | $ | — | | | $ | (80,000 | ) | | $ | (1,523 | ) | | $ | 9,386 | | | $ | 244,960 | | | | | | | $ | 1,867 | |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $417,993) | | $ | 418,725 | |
Investments in affiliated issuers, at value (cost $243,640) | | | 244,960 | |
Repurchase agreements, at value (cost $953,482) | | | 953,482 | |
Segregated cash with broker | | | 12,177 | |
Receivables: |
Fund shares sold | | | 536 | |
Dividends | | | 295 | |
Interest | | | 114 | |
Total assets | | | 1,630,289 | |
| | | | | |
Liabilities: |
Payable for: |
Variation margin on futures contracts | | | 19,463 | |
Fund shares redeemed | | | 6,257 | |
Management fees | | | 919 | |
Transfer agent and administrative fees | | | 340 | |
Distribution and service fees | | | 335 | |
Portfolio accounting fees | | | 126 | |
Trustees’ fees | | | 22 | |
Miscellaneous | | | 1,482 | |
Total liabilities | | | 28,944 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 1,601,345 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,995,254 | |
Total distributable earnings (loss) | | | (2,393,909 | ) |
Net assets | | $ | 1,601,345 | |
| | | | | |
A-Class: |
Net assets | | $ | 194,666 | |
Capital shares outstanding | | | 1,360 | |
Net asset value per share | | $ | 143.14 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 150.28 | |
| | | | | |
C-Class: |
Net assets | | $ | 31,142 | |
Capital shares outstanding | | | 238 | |
Net asset value per share | | $ | 130.62 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,375,537 | |
Capital shares outstanding | | | 9,537 | |
Net asset value per share | | $ | 144.23 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 1,867 | |
Interest | | | 767 | |
Total investment income | | | 2,634 | |
| | | | | |
Expenses: |
Management fees | | | 4,790 | |
Distribution and service fees: |
A-Class | | | 217 | |
C-Class | | | 135 | |
H-Class | | | 1,346 | |
Transfer agent and administrative fees | | | 1,808 | |
Registration fees | | | 703 | |
Portfolio accounting fees | | | 639 | |
Professional fees | | | 442 | |
Custodian fees | | | 91 | |
Trustees’ fees* | | | 31 | |
Miscellaneous | | | 316 | |
Total expenses | | | 10,518 | |
Less: |
Expenses waived by Adviser | | | (185 | ) |
Net expenses | | | 10,333 | |
Net investment loss | | | (7,699 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | (1,523 | ) |
Futures contracts | | | 370,942 | |
Net realized gain | | | 369,419 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 627 | |
Investments in affiliated issuers | | | 9,386 | |
Futures contracts | | | 87,931 | |
Net change in unrealized appreciation (depreciation) | | | 97,944 | |
Net realized and unrealized gain | | | 467,363 | |
Net increase in net assets resulting from operations | | $ | 459,664 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (7,699 | ) | | $ | 14,233 | |
Net realized gain (loss) on investments | | | 369,419 | | | | (377,386 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 97,944 | | | | (6,787 | ) |
Net increase (decrease) in net assets resulting from operations | | | 459,664 | | | | (369,940 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (2,129 | ) |
C-Class | | | — | | | | (330 | ) |
H-Class | | | — | | | | (17,851 | ) |
Total distributions to shareholders | | | — | | | | (20,310 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 22,543 | | | | 444,621 | |
C-Class | | | — | | | | 353,184 | |
H-Class | | | 4,107,556 | | | | 26,008,199 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 1,354 | |
C-Class | | | — | | | | 321 | |
H-Class | | | — | | | | 14,464 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (37,599 | ) | | | (458,558 | ) |
C-Class | | | (159 | ) | | | (353,755 | ) |
H-Class | | | (3,928,913 | ) | | | (26,780,558 | ) |
Net increase (decrease) from capital share transactions | | | 163,428 | | | | (770,728 | ) |
Net increase (decrease) in net assets | | | 623,092 | | | | (1,160,978 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 978,253 | | | | 2,139,231 | |
End of period | | $ | 1,601,345 | | | $ | 978,253 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 169 | | | | 3,455 | |
C-Class | | | — | | | | 2,897 | |
H-Class | | | 30,767 | | | | 205,913 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 9 | |
C-Class | | | — | | | | 2 | |
H-Class | | | — | | | | 98 | |
Shares redeemed | | | | | | | | |
A-Class | | | (289 | ) | | | (3,747 | ) |
C-Class | | | (2 | ) | | | (2,928 | ) |
H-Class | | | (29,766 | ) | | | (213,175 | ) |
Net increase (decrease) in shares | | | 879 | | | | (7,476 | ) |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 94.96 | | | $ | 119.96 | | | $ | 136.57 | | | $ | 102.24 | | | $ | 78.81 | | | $ | 93.15 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.73 | ) | | | .91 | | | | 1.22 | | | | (.03 | ) | | | (.74 | ) | | | (1.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 48.91 | | | | (24.67 | ) | | | (17.32 | ) | | | 38.80 | g | | | 24.17 | | | | (13.22 | ) |
Total from investment operations | | | 48.18 | | | | (23.76 | ) | | | (16.10 | ) | | | 38.77 | | | | 23.43 | | | | (14.34 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.24 | ) | | | (.51 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (4.44 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 143.14 | | | $ | 94.96 | | | $ | 119.96 | | | $ | 136.57 | | | $ | 102.24 | | | $ | 78.81 | |
|
Total Returnc | | | 50.74 | % | | | (20.15 | %) | | | (11.79 | %) | | | 37.94 | % | | | 29.73 | % | | | (15.41 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 195 | | | $ | 141 | | | $ | 211 | | | $ | 404 | | | $ | 389 | | | $ | 351 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.18 | %) | | | 0.70 | % | | | 0.93 | % | | | (0.02 | %) | | | (0.80 | %) | | | (1.22 | %) |
Total expensesd | | | 1.63 | % | | | 1.63 | % | | | 1.58 | % | | | 1.51 | % | | | 1.52 | % | | | 1.51 | % |
Net expensese | | | 1.60 | % | | | 1.57 | % | | | 1.56 | % | | | 1.51 | % | | | 1.52 | % | | | 1.51 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 17 | % | | | 1,225 | % | | | 543 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 87.00 | | | $ | 110.80 | | | $ | 127.14 | | | $ | 96.17 | | | $ | 74.63 | | | $ | 88.92 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.09 | ) | | | (.06 | ) | | | .19 | | | | (.80 | ) | | | (1.33 | ) | | | (1.68 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 44.71 | | | | (22.50 | ) | | | (16.02 | ) | | | 36.21 | g | | | 22.87 | | | | (12.61 | ) |
Total from investment operations | | | 43.62 | | | | (22.56 | ) | | | (15.83 | ) | | | 35.41 | | | | 21.54 | | | | (14.29 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.24 | ) | | | (.51 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (4.44 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 130.62 | | | $ | 87.00 | | | $ | 110.80 | | | $ | 127.14 | | | $ | 96.17 | | | $ | 74.63 | |
|
Total Returnc | | | 50.14 | % | | | (20.75 | %) | | | (12.43 | %) | | | 36.90 | % | | | 28.74 | % | | | (16.06 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 31 | | | $ | 21 | | | $ | 30 | | | $ | 69 | | | $ | 52 | | | $ | 56 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.93 | %) | | | (0.05 | %) | | | 0.16 | % | | | (0.68 | %) | | | (1.53 | %) | | | (1.91 | %) |
Total expensesd | | | 2.38 | % | | | 2.38 | % | | | 2.33 | % | | | 2.26 | % | | | 2.27 | % | | | 2.24 | % |
Net expensese | | | 2.35 | % | | | 2.32 | % | | | 2.31 | % | | | 2.26 | % | | | 2.27 | % | | | 2.24 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 17 | % | | | 1,225 | % | | | 543 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 95.70 | | | $ | 120.89 | | | $ | 137.58 | | | $ | 102.97 | | | $ | 79.15 | | | $ | 93.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.74 | ) | | | .90 | | | | 1.09 | | | | (.12 | ) | | | (.86 | ) | | | (1.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 49.27 | | | | (24.85 | ) | | | (17.27 | ) | | | 39.17 | g | | | 24.68 | | | | (13.29 | ) |
Total from investment operations | | | 48.53 | | | | (23.95 | ) | | | (16.18 | ) | | | 39.05 | | | | 23.82 | | | | (14.37 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.24 | ) | | | (.51 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (4.44 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 144.23 | | | $ | 95.70 | | | $ | 120.89 | | | $ | 137.58 | | | $ | 102.97 | | | $ | 79.15 | |
|
Total Return | | | 50.71 | % | | | (20.17 | %) | | | (11.76 | %) | | | 37.95 | % | | | 30.08 | % | | | (15.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,376 | | | $ | 817 | | | $ | 1,898 | | | $ | 4,946 | | | $ | 3,145 | | | $ | 2,413 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.19 | %) | | | 0.69 | % | | | 0.83 | % | | | (0.10 | %) | | | (0.95 | %) | | | (1.17 | %) |
Total expensesd | | | 1.63 | % | | | 1.63 | % | | | 1.58 | % | | | 1.50 | % | | | 1.52 | % | | | 1.49 | % |
Net expensese | | | 1.60 | % | | | 1.58 | % | | | 1.57 | % | | | 1.50 | % | | | 1.52 | % | | | 1.49 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 17 | % | | | 1,225 | % | | | 543 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 1:4 share split effective November 4, 2016. |
g | 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. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | May 25, 2005 |
C-Class | May 25, 2005 |
H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 13.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 13.0% |
Total | 26.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | (10.03%) | (10.30%) | 0.03% | 1.55% |
A-Class Shares with sales charge‡ | (14.30%) | (14.56%) | (0.94%) | 1.06% |
C-Class Shares | (10.39%) | (10.97%) | (0.71%) | 0.80% |
C-Class Shares with CDSC§ | (11.29%) | (11.85%) | (0.71%) | 0.80% |
H-Class Shares | (10.01%) | (10.31%) | 0.04% | 1.56% |
U.S. Dollar Index | (5.21%) | (5.52%) | (0.52%) | 1.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 26.1% |
Guggenheim Strategy Fund II1 | | | 33,326 | | | $ | 832,161 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 83,266 | | | | 830,995 | |
Total Mutual Funds | | | | |
(Cost $1,654,604) | | | | | | | 1,663,156 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 18.6% |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/222 | | $ | 500,000 | | | | 502,025 | |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 180,000 | | | | 180,755 | |
Fannie Mae |
0.29% (U.S. Secured Overnight Financing Rate + 0.22%, Rate Floor: 0.00%) due 03/16/222 | | | 500,000 | | | | 501,115 | |
Total Federal Agency Notes | | | | |
(Cost $1,180,000) | | | | | | | 1,183,895 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 3.2% |
| U.S. Treasury Bills |
0.08% due 10/15/203,4 | | | 207,000 | | | | 206,994 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $206,993) | | | | | | | 206,994 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 52.4% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/206 | | | 1,864,700 | | | | 1,864,700 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 776,140 | | | | 776,140 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 706,288 | | | | 706,288 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $3,347,128) | | | | | | | 3,347,128 | |
| | | | | | | | | |
| Total Investments - 100.3% | | | | | | | | |
| (Cost $6,388,725) | | | | | | $ | 6,401,173 | |
| Other Assets & Liabilities, net - (0.3)% | | | | | | | (16,486 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 6,384,687 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Purchased† |
U.S. Dollar Index Futures Contracts | | | 106 | | | | Dec 2020 | | | $ | 9,954,460 | | | $ | 36,692 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Currency Index Swap Agreements†† |
Goldman Sachs International | U.S. Dollar Index | N/A | At Maturity | | | 12/18/20 | | | | 30,167 | | | $ | 2,831,403 | | | $ | 24,067 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2020. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 1,663,156 | | | $ | — | | | $ | — | | | $ | 1,663,156 | |
Federal Agency Notes | | | — | | | | 1,183,895 | | | | — | | | | 1,183,895 | |
U.S. Treasury Bills | | | — | | | | 206,994 | | | | — | | | | 206,994 | |
Repurchase Agreements | | | — | | | | 3,347,128 | | | | — | | | | 3,347,128 | |
Currency Futures Contracts** | | | 36,692 | | | | — | | | | — | | | | 36,692 | |
Currency Index Swap Agreements** | | | — | | | | 24,067 | | | | — | | | | 24,067 | |
Total Assets | | $ | 1,699,848 | | | $ | 4,762,084 | | | $ | — | | | $ | 6,461,932 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,251,036 | | | $ | — | | | $ | (460,000 | ) | | $ | (4,088 | ) | | $ | 45,213 | | | $ | 832,161 | | | | 33,326 | | | $ | 8,165 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,267,630 | | | | — | | | | (460,000 | ) | | | (5,628 | ) | | | 28,993 | | | | 830,995 | | | | 83,266 | | | | 6,396 | |
| | | $ | 2,518,666 | | | $ | — | | | $ | (920,000 | ) | | $ | (9,716 | ) | | $ | 74,206 | | | $ | 1,663,156 | | | | | | | $ | 14,561 | |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $1,386,993) | | $ | 1,390,889 | |
Investments in affiliated issuers, at value (cost $1,654,604) | | | 1,663,156 | |
Repurchase agreements, at value (cost $3,347,128) | | | 3,347,128 | |
Unrealized appreciation on OTC swap agreements | | | 24,067 | |
Receivables: |
Fund shares sold | | | 4,450 | |
Dividends | | | 2,008 | |
Interest | | | 267 | |
Total assets | | | 6,431,965 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 14,108 | |
Licensing fees | | | 13,168 | |
Management fees | | | 3,368 | |
Swap settlement | | | 2,579 | |
Registration fees | | | 2,556 | |
Variation margin on futures contracts | | | 1,802 | |
Transfer agent and administrative fees | | | 1,057 | |
Distribution and service fees | | | 1,009 | |
Portfolio accounting fees | | | 393 | |
Trustees’ fees* | | | 144 | |
Miscellaneous | | | 7,094 | |
Total liabilities | | | 47,278 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 6,384,687 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 25,499,412 | |
Total distributable earnings (loss) | | | (19,114,725 | ) |
Net assets | | $ | 6,384,687 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,994,282 | |
Capital shares outstanding | | | 40,054 | |
Net asset value per share | | $ | 49.79 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 52.27 | |
| | | | | |
C-Class: |
Net assets | | $ | 40,902 | |
Capital shares outstanding | | | 930 | |
Net asset value per share | | $ | 43.98 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,349,503 | |
Capital shares outstanding | | | 87,694 | |
Net asset value per share | | $ | 49.60 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 14,561 | |
Interest | | | 3,064 | |
Total investment income | | | 17,625 | |
| | | | | |
Expenses: |
Management fees | | | 31,658 | |
Distribution and service fees: |
A-Class | | | 2,784 | |
C-Class | | | 300 | |
H-Class | | | 5,935 | |
Transfer agent and administrative fees | | | 10,266 | |
Licensing fees | | | 4,383 | |
Registration fees | | | 3,872 | |
Portfolio accounting fees | | | 3,518 | |
Professional fees | | | 2,858 | |
Custodian fees | | | 559 | |
Trustees’ fees* | | | 178 | |
Miscellaneous | | | 2,165 | |
Total expenses | | | 68,476 | |
Less: |
Expenses waived by Adviser | | | (1,252 | ) |
Net expenses | | | 67,224 | |
Net investment loss | | | (49,599 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 4 | |
Investments in affiliated issuers | | | (9,716 | ) |
Swap agreements | | | (25,116 | ) |
Futures contracts | | | (325,541 | ) |
Net realized loss | | | (360,369 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 3,304 | |
Investments in affiliated issuers | | | 74,206 | |
Swap agreements | | | (31,098 | ) |
Futures contracts | | | (176,908 | ) |
Net change in unrealized appreciation (depreciation) | | | (130,496 | ) |
Net realized and unrealized loss | | | (490,865 | ) |
Net decrease in net assets resulting from operations | | $ | (540,464 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (49,599 | ) | | $ | 17,189 | |
Net realized loss on investments | | | (360,369 | ) | | | (64,902 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (130,496 | ) | | | 86,847 | |
Net increase (decrease) in net assets resulting from operations | | | (540,464 | ) | | | 39,134 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (9,611 | ) |
C-Class | | | — | | | | (807 | ) |
H-Class | | | — | | | | (35,177 | ) |
Total distributions to shareholders | | | — | | | | (45,595 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,434,285 | | | | 3,235,923 | |
C-Class | | | 311,252 | | | | 215,609 | |
H-Class | | | 29,394,430 | | | | 77,816,276 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 9,238 | |
C-Class | | | — | | | | 804 | |
H-Class | | | — | | | | 34,387 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,735,556 | ) | | | (2,491,383 | ) |
C-Class | | | (361,088 | ) | | | (919,579 | ) |
H-Class | | | (35,299,147 | ) | | | (72,303,681 | ) |
Net increase (decrease) from capital share transactions | | | (6,255,824 | ) | | | 5,597,594 | |
Net increase (decrease) in net assets | | | (6,796,288 | ) | | | 5,591,133 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 13,180,975 | | | | 7,589,842 | |
End of period | | $ | 6,384,687 | | | $ | 13,180,975 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 26,741 | | | | 57,467 | |
C-Class | | | 6,843 | | | | 4,363 | |
H-Class | | | 565,525 | | | | 1,436,108 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 173 | |
C-Class | | | — | | | | 17 | |
H-Class | | | — | | | | 648 | |
Shares redeemed | | | | | | | | |
A-Class | | | (32,502 | ) | | | (45,804 | ) |
C-Class | | | (7,876 | ) | | | (19,278 | ) |
H-Class | | | (669,207 | ) | | | (1,341,390 | ) |
Net increase (decrease) in shares | | | (110,476 | ) | | | 92,304 | |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.34 | | | $ | 52.46 | | | $ | 43.45 | | | $ | 53.23 | | | $ | 47.68 | | | $ | 55.75 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.35 | ) | | | .16 | | | | .19 | | | | (.16 | ) | | | (.55 | ) | | | (.58 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.20 | ) | | | 3.17 | | | | 8.82 | | | | (9.62 | ) | | | 6.10 | | | | (5.32 | ) |
Total from investment operations | | | (5.55 | ) | | | 3.33 | | | | 9.01 | | | | (9.78 | ) | | | 5.55 | | | | (5.90 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.17 | ) |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | (2.17 | ) |
Net asset value, end of period | | $ | 49.79 | | | $ | 55.34 | | | $ | 52.46 | | | $ | 43.45 | | | $ | 53.23 | | | $ | 47.68 | |
|
Total Returnc | | | (10.03 | %) | | | 6.38 | % | | | 20.74 | % | | | (18.37 | %) | | | 11.64 | % | | | (11.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,994 | | | $ | 2,535 | | | $ | 1,782 | | | $ | 1,517 | | | $ | 2,245 | | | $ | 1,900 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.32 | %) | | | 0.29 | % | | | 0.40 | % | | | (0.34 | %) | | | (1.07 | %) | | | (1.10 | %) |
Total expensesd | | | 1.91 | % | | | 2.00 | % | | | 1.83 | % | | | 1.72 | % | | | 1.73 | % | | | 1.69 | % |
Net expensese | | | 1.87 | % | | | 1.96 | % | | | 1.82 | % | | | 1.72 | % | | | 1.73 | % | | | 1.69 | % |
Portfolio turnover rate | | | — | | | | — | | | | 9 | % | | | — | | | | 142 | % | | | 376 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 49.08 | | | $ | 46.91 | | | $ | 39.14 | | | $ | 48.32 | | | $ | 43.60 | | | $ | 51.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.50 | ) | | | (.16 | ) | | | (.15 | ) | | | (.48 | ) | | | (.82 | ) | | | (.85 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.60 | ) | | | 2.78 | | | | 7.92 | | | | (8.70 | ) | | | 5.54 | | | | (4.93 | ) |
Total from investment operations | | | (5.10 | ) | | | 2.62 | | | | 7.77 | | | | (9.18 | ) | | | 4.72 | | | | (5.78 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.17 | ) |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | (2.17 | ) |
Net asset value, end of period | | $ | 43.98 | | | $ | 49.08 | | | $ | 46.91 | | | $ | 39.14 | | | $ | 48.32 | | | $ | 43.60 | |
|
Total Returnc | | | (10.39 | %) | | | 5.62 | % | | | 19.85 | % | | | (18.98 | %) | | | 10.80 | % | | | (11.69 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 41 | | | $ | 96 | | | $ | 791 | | | $ | 795 | | | $ | 1,309 | | | $ | 1,938 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.10 | %) | | | (0.33 | %) | | | (0.33 | %) | | | (1.14 | %) | | | (1.80 | %) | | | (1.75 | %) |
Total expensesd | | | 2.67 | % | | | 2.77 | % | | | 2.59 | % | | | 2.47 | % | | | 2.48 | % | | | 2.45 | % |
Net expensese | | | 2.63 | % | | | 2.72 | % | | | 2.58 | % | | | 2.47 | % | | | 2.48 | % | | | 2.45 | % |
Portfolio turnover rate | | | — | | | | — | | | | 9 | % | | | — | | | | 142 | % | | | 376 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.12 | | | $ | 52.25 | | | $ | 43.27 | | | $ | 53.03 | | | $ | 47.49 | | | $ | 55.53 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.39 | ) | | | .12 | | | | .18 | | | | (.17 | ) | | | (.56 | ) | | | (.59 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.13 | ) | | | 3.20 | | | | 8.80 | | | | (9.59 | ) | | | 6.10 | | | | (5.28 | ) |
Total from investment operations | | | (5.52 | ) | | | 3.32 | | | | 8.98 | | | | (9.76 | ) | | | 5.54 | | | | (5.87 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.17 | ) |
Total distributions | | | — | | | | (.45 | ) | | | — | | | | — | | | | — | | | | (2.17 | ) |
Net asset value, end of period | | $ | 49.60 | | | $ | 55.12 | | | $ | 52.25 | | | $ | 43.27 | | | $ | 53.03 | | | $ | 47.49 | |
|
Total Return | | | (10.01 | %) | | | 6.39 | % | | | 20.75 | % | | | (18.39 | %) | | | 11.64 | % | | | (11.00 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,350 | | | $ | 10,549 | | | $ | 5,017 | | | $ | 6,301 | | | $ | 7,506 | | | $ | 10,608 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | 0.22 | % | | | 0.36 | % | | | (0.36 | %) | | | (1.11 | %) | | | (1.12 | %) |
Total expensesd | | | 1.95 | % | | | 2.00 | % | | | 1.83 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Net expensese | | | 1.92 | % | | | 1.96 | % | | | 1.82 | % | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % |
Portfolio turnover rate | | | — | | | | — | | | | 9 | % | | | — | | | | 142 | % | | | 376 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: |
A-Class | May 25, 2005 |
C-Class | May 25, 2005 |
H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 18.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.3% |
Total | 37.0% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 10.25% | 7.21% | (2.72%) | (5.60%) |
A-Class Shares with sales charge‡ | 5.02% | 2.11% | (3.66%) | (6.06%) |
C-Class Shares | 9.83% | 6.37% | (3.46%) | (6.31%) |
C-Class Shares with CDSC§ | 8.83% | 5.37% | (3.46%) | (6.31%) |
H-Class Shares | 10.23% | 7.13% | (2.72%) | (5.60%) |
U.S. Dollar Index | (5.21%) | (5.52%) | (0.52%) | 1.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 37.0% |
Guggenheim Strategy Fund II1 | | | 15,742 | | | $ | 393,080 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 38,580 | | | | 385,033 | |
Total Mutual Funds | | | | |
(Cost $772,094) | | | | | | | 778,113 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 24.3% |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/222 | | $ | 250,000 | | | | 251,013 | |
0.44% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/222 | | | 60,000 | | | | 60,252 | |
Federal Home Loan Bank |
0.10% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 12/18/202 | | | 200,000 | | | | 199,992 | |
Total Federal Agency Notes | | | | |
(Cost $509,977) | | | | | | | 511,257 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 5.7% |
| U.S. Treasury Bills |
0.08% due 10/15/203,4 | | | 119,000 | | | | 118,996 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $118,996) | | | | | | | 118,996 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 79.4% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/206 | | | 929,958 | | | | 929,958 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 387,074 | | | | 387,074 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 352,238 | | | | 352,238 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,669,270) | | | | | | | 1,669,270 | |
| | | | | | | | | |
| Total Investments - 146.4% | | | | | | | | |
| (Cost $3,070,337) | | | | | | $ | 3,077,636 | |
| Other Assets & Liabilities, net - (46.4)% | | | | | | | (975,392 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 2,102,244 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Sold Short† |
U.S. Dollar Index Futures Contracts | | | 39 | | | | Dec 2020 | | | $ | 3,662,490 | | | $ | 9,501 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Currency Index Swap Agreements Sold Short†† |
Goldman Sachs International | U.S. Dollar Index | N/A | At Maturity | | | 12/18/20 | | | | 6,163 | | | $ | 578,418 | | | $ | (3,310 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2020. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Mutual Funds | | $ | 778,113 | | | $ | — | | | $ | — | | | $ | 778,113 | |
Federal Agency Notes | | | — | | | | 511,257 | | | | — | | | | 511,257 | |
U.S. Treasury Bills | | | — | | | | 118,996 | | | | — | | | | 118,996 | |
Repurchase Agreements | | | — | | | | 1,669,270 | | | | — | | | | 1,669,270 | |
Currency Futures Contracts** | | | 9,501 | | | | — | | | | — | | | | 9,501 | |
Total Assets | | $ | 787,614 | | | $ | 2,299,523 | | | $ | — | | | $ | 3,087,137 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Index Swap Agreements** | | $ | — | | | $ | 3,310 | | | $ | — | | | $ | 3,310 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 165,222 | | | $ | 370,000 | | | $ | (150,000 | ) | | $ | (423 | ) | | $ | 8,281 | | | $ | 393,080 | | | | 15,742 | | | $ | 2,099 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 170,685 | | | | 370,000 | | | | (160,000 | ) | | | (507 | ) | | | 4,855 | | | | 385,033 | | | | 38,580 | | | | 1,631 | |
| | | $ | 335,907 | | | $ | 740,000 | | | $ | (310,000 | ) | | $ | (930 | ) | | $ | 13,136 | | | $ | 778,113 | | | | | | | $ | 3,730 | |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $628,973) | | $ | 630,253 | |
Investments in affiliated issuers, at value (cost $772,094) | | | 778,113 | |
Repurchase agreements, at value (cost $1,669,270) | | | 1,669,270 | |
Receivables: |
Dividends | | | 1,049 | |
Fund shares sold | | | 779 | |
Variation margin on futures contracts | | | 685 | |
Interest | | | 94 | |
Total assets | | | 3,080,243 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 3,310 | |
Payable for: |
Fund shares redeemed | | | 951,924 | |
Swap settlement | | | 9,335 | |
Management fees | | | 1,968 | |
Transfer agent and administrative fees | | | 615 | |
Distribution and service fees | | | 582 | |
Portfolio accounting fees | | | 229 | |
Trustees’ fees* | | | 69 | |
Miscellaneous | | | 9,967 | |
Total liabilities | | | 977,999 | |
Commitments and contingent liabilities (Note 12) | | | — | |
Net assets | | $ | 2,102,244 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,012,530 | |
Total distributable earnings (loss) | | | (9,910,286 | ) |
Net assets | | $ | 2,102,244 | |
| | | | | |
A-Class: |
Net assets | | $ | 728,004 | |
Capital shares outstanding | | | 11,414 | |
Net asset value per share | | $ | 63.78 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 66.96 | |
| | | | | |
C-Class: |
Net assets | | $ | 32,880 | |
Capital shares outstanding | | | 586 | |
Net asset value per share | | $ | 56.09 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,341,360 | |
Capital shares outstanding | | | 21,069 | |
Net asset value per share | | $ | 63.67 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 3,730 | |
Interest | | | 2,615 | |
Total investment income | | | 6,345 | |
| | | | | |
Expenses: |
Management fees | | | 18,938 | |
Distribution and service fees: |
A-Class | | | 397 | |
C-Class | | | 71 | |
H-Class | | | 4,846 | |
Transfer agent and administrative fees | | | 5,910 | |
Registration fees | | | 2,316 | |
Licensing fees | | | 2,217 | |
Portfolio accounting fees | | | 2,105 | |
Professional fees | | | 1,417 | |
Custodian fees | | | 288 | |
Trustees’ fees* | | | 95 | |
Miscellaneous | | | 856 | |
Total expenses | | | 39,456 | |
Less: |
Expenses waived by Adviser | | | (332 | ) |
Net expenses | | | 39,124 | |
Net investment loss | | | (32,779 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,069 | |
Investments in affiliated issuers | | | (930 | ) |
Swap agreements | | | 56,108 | |
Futures contracts | | | 280,198 | |
Net realized gain | | | 336,445 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,106 | |
Investments in affiliated issuers | | | 13,136 | |
Swap agreements | | | (6,483 | ) |
Futures contracts | | | 42,090 | |
Net change in unrealized appreciation (depreciation) | | | 49,849 | |
Net realized and unrealized gain | | | 386,294 | |
Net increase in net assets resulting from operations | | $ | 353,515 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (32,779 | ) | | $ | 3,912 | |
Net realized gain (loss) on investments | | | 336,445 | | | | (248,640 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 49,849 | | | | (4,453 | ) |
Net increase (decrease) in net assets resulting from operations | | | 353,515 | | | | (249,181 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (981 | ) |
C-Class | | | — | | | | (86 | ) |
H-Class | | | — | | | | (11,434 | ) |
Total distributions to shareholders | | | — | | | | (12,501 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 622,283 | | | | 3,412,501 | |
C-Class | | | 20,000 | | | | 5,000 | |
H-Class | | | 42,431,299 | | | | 34,836,156 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 918 | |
C-Class | | | — | | | | 86 | |
H-Class | | | — | | | | 11,032 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (148,297 | ) | | | (3,440,177 | ) |
C-Class | | | (9,082 | ) | | | (17,656 | ) |
H-Class | | | (42,733,550 | ) | | | (34,990,291 | ) |
Net increase (decrease) from capital share transactions | | | 182,653 | | | | (182,431 | ) |
Net increase (decrease) in net assets | | | 536,168 | | | | (444,113 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,566,076 | | | | 2,010,189 | |
End of period | | $ | 2,102,244 | | | $ | 1,566,076 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 9,718 | | | | 54,128 | |
C-Class | | | 360 | | | | 99 | |
H-Class | | | 685,339 | | | | 565,225 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 15 | |
C-Class | | | — | | | | 2 | |
H-Class | | | — | | | | 179 | |
Shares redeemed | | | | | | | | |
A-Class | | | (2,407 | ) | | | (54,689 | ) |
C-Class | | | (182 | ) | | | (320 | ) |
H-Class | | | (686,911 | ) | | | (569,120 | ) |
Net increase (decrease) in shares | | | 5,917 | | | | (4,481 | ) |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.85 | | | $ | 63.74 | | | $ | 77.67 | | | $ | 64.99 | | | $ | 75.31 | | | $ | 70.69 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.43 | ) | | | .16 | | | | .23 | | | | (.35 | ) | | | (.80 | ) | | | (.84 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.36 | | | | (5.84 | ) | | | (14.16 | ) | | | 13.03 | | | | (9.52 | ) | | | 5.46 | |
Total from investment operations | | | 5.93 | | | | (5.68 | ) | | | (13.93 | ) | | | 12.68 | | | | (10.32 | ) | | | 4.62 | |
Less distributions from: |
Net investment income | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 63.78 | | | $ | 57.85 | | | $ | 63.74 | | | $ | 77.67 | | | $ | 64.99 | | | $ | 75.31 | |
|
Total Returnc | | | 10.25 | % | | | (8.94 | %) | | | (17.93 | %) | | | 19.51 | % | | | (13.69 | %) | | | 6.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 728 | | | $ | 237 | | | $ | 296 | | | $ | 3,306 | | | $ | 324 | | | $ | 1,314 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.39 | %) | | | 0.26 | % | | | 0.32 | % | | | (0.48 | %) | | | (1.13 | %) | | | (1.13 | %) |
Total expensesd | | | 1.89 | % | | | 2.01 | % | | | 1.80 | % | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % |
Net expensese | | | 1.86 | % | | | 2.00 | % | | | 1.80 | % | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % |
Portfolio turnover rate | | | 57 | % | | | — | | | | — | | | | 28 | % | | | 77 | % | | | 699 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 51.07 | | | $ | 56.74 | | | $ | 69.66 | | | $ | 58.72 | | | $ | 68.57 | | | $ | 64.88 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.58 | ) | | | (.29 | ) | | | (.27 | ) | | | (.80 | ) | | | (1.19 | ) | | | (1.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.60 | | | | (5.17 | ) | | | (12.65 | ) | | | 11.74 | | | | (8.66 | ) | | | 4.89 | |
Total from investment operations | | | 5.02 | | | | (5.46 | ) | | | (12.92 | ) | | | 10.94 | | | | (9.85 | ) | | | 3.69 | |
Less distributions from: |
Net investment income | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 56.09 | | | $ | 51.07 | | | $ | 56.74 | | | $ | 69.66 | | | $ | 58.72 | | | $ | 68.57 | |
|
Total Returnc | | | 9.83 | % | | | (9.65 | %) | | | (18.55 | %) | | | 18.65 | % | | | (14.39 | %) | | | 5.74 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 33 | | | $ | 21 | | | $ | 36 | | | $ | 388 | | | $ | 695 | | | $ | 536 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.17 | %) | | | (0.53 | %) | | | (0.42 | %) | | | (1.23 | %) | | | (1.88 | %) | | | (1.81 | %) |
Total expensesd | | | 2.66 | % | | | 2.75 | % | | | 2.53 | % | | | 2.47 | % | | | 2.47 | % | | | 2.45 | % |
Net expensese | | | 2.63 | % | | | 2.73 | % | | | 2.53 | % | | | 2.47 | % | | | 2.47 | % | | | 2.45 | % |
Portfolio turnover rate | | | 57 | % | | | — | | | | — | | | | 28 | % | | | 77 | % | | | 699 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.76 | | | $ | 63.67 | | | $ | 77.60 | | | $ | 64.92 | | | $ | 75.23 | | | $ | 70.59 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.49 | ) | | | .07 | | | | .28 | | | | (.36 | ) | | | (.85 | ) | | | (.78 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.40 | | | | (5.77 | ) | | | (14.21 | ) | | | 13.04 | | | | (9.46 | ) | | | 5.42 | |
Total from investment operations | | | 5.91 | | | | (5.70 | ) | | | (13.93 | ) | | | 12.68 | | | | (10.31 | ) | | | 4.64 | |
Less distributions from: |
Net investment income | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.21 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 63.67 | | | $ | 57.76 | | | $ | 63.67 | | | $ | 77.60 | | | $ | 64.92 | | | $ | 75.23 | |
|
Total Return | | | 10.23 | % | | | (8.98 | %) | | | (17.95 | %) | | | 19.55 | % | | | (13.73 | %) | | | 6.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,341 | | | $ | 1,308 | | | $ | 1,678 | | | $ | 3,267 | | | $ | 5,068 | | | $ | 3,645 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.57 | %) | | | 0.12 | % | | | 0.41 | % | | | (0.49 | %) | | | (1.19 | %) | | | (1.04 | %) |
Total expensesd | | | 1.87 | % | | | 1.99 | % | | | 1.83 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % |
Net expensese | | | 1.86 | % | | | 1.97 | % | | | 1.83 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % |
Portfolio turnover rate | | | 57 | % | | | — | | | | — | | | | 28 | % | | | 77 | % | | | 699 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 28, 2016. |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2020, the Trust consisted of fifty-two funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
S&P 500® Pure Growth Fund | Non-diversified |
S&P 500® Pure Value Fund | Non-diversified |
S&P MidCap 400® Pure Growth Fund | Non-diversified |
S&P MidCap 400® Pure Value Fund | Non-diversified |
S&P SmallCap 600® Pure Growth Fund | Non-diversified |
S&P SmallCap 600® Pure Value Fund | Non-diversified |
Japan 2x Strategy Fund | Non-diversified |
Strengthening Dollar 2x Strategy Fund | Non-diversified |
Weakening Dollar 2x Strategy Fund | Non-diversified |
Europe 1.25x Strategy Fund | Non-diversified |
At September 30, 2020, only A-Class, C-Class, and H-Class shares have been issued by the Funds.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of 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.
Valuations of the Funds’ securities and other assets 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
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
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.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 appreciation or depreciation 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 U.S. Treasury securities, 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 appreciation or depreciation. 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 appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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) 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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 Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2020, 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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 realized gains. The actual amounts of income, return of capital, and realized 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 U.S. federal 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 appreciation and depreciation 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 based on the respective 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 0.09% at September 30, 2020.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 – 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 amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives 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 Contracts
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 5,223,094 | | | $ | — | |
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 5,279,966 | | | | — | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 9,803,523 | | | | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 8,063,638 | |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, 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 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 exchange-traded futures contracts. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Currency swaps enable the Funds to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Funds may be at risk due to the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of currency swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 2,022,300 | | | $ | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 1,369,625 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2020:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
September 30, 2020 | |
Japan 2x Strategy Fund | | $ | 47,300 | | | $ | 17,940 | | | $ | — | | | $ | 65,240 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 36,692 | | | | 24,067 | | | | 60,759 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 9,501 | | | | — | | | | 9,501 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
September 30, 2020 | |
Europe 1.25x Strategy Fund | | $ | 27,802 | | | $ | 6,314 | | | $ | — | | | $ | 34,116 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 3,310 | | | | 3,310 | |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. For exchange-traded and centrally cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2020:
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 |
Currency contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | 321,030 | | | $ | 151,009 | | | $ | — | | | $ | 472,039 | |
Japan 2x Strategy Fund | | | 312,439 | | | | 58,503 | | | | — | | | | 370,942 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | (325,541 | ) | | | (25,116 | ) | | | (350,657 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | 280,198 | | | | 56,108 | | | | 336,306 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | (188,795 | ) | | $ | 9,690 | | | $ | — | | | $ | (179,105 | ) |
Japan 2x Strategy Fund | | | 99,726 | | | | (11,795 | ) | | | — | | | | 87,931 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | (176,908 | ) | | | (31,098 | ) | | | (208,006 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | 42,090 | | | | (6,483 | ) | | | 35,607 | |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 rehypothecated 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:
| | | | | | | | | | | | | | | | 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 | | $ | 24,067 | | | $ | — | | | $ | 24,067 | | | $ | — | | | $ | — | | | $ | 24,067 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Weakening Dollar 2x Strategy Fund | Swap currency contracts | | $ | 3,310 | | | $ | — | | | $ | 3,310 | | | $ | (3,310 | ) | | $ | — | | | $ | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2020.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Japan 2x Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 12,177 | | | $ | — | |
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.
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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) | |
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 | % |
When the aggregate assets of each series of the Trust (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) and each series of Rydex Dynamic Funds equal or exceed $10 billion, the advisory fee rate paid by each individual Fund (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) will be reduced in accordance with the asset level and breakpoint schedule set forth below.
Fund Assets Under Management | | Fund Asset-Based
Breakpoint Reductions | |
$500 million - $1 billion | | | 0.025 | % |
> $1 billion - $2 billion | | | 0.050 | % |
> $2 billion | | | 0.075 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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 Board has adopted a separate Distribution and Shareholder Services Plan applicable to 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 period ended September 30, 2020, GFD retained sales charges of $79,209 relating to sales of A-Class shares of the Trust.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended September 30, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Europe 1.25x Strategy Fund | | $ | 291 | |
Japan 2x Strategy Fund | | | 185 | |
Strengthening Dollar 2x Strategy Fund | | | 1,252 | |
Weakening Dollar 2x Strategy Fund | | | 332 | |
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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ 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 September 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.06% | | | | | | | | | | 2.25% | | | | | | | | |
Due 10/01/20 | | $ | 141,998,853 | | | $ | 141,999,090 | | | 10/31/24 | | $ | 132,688,300 | | | $ | 144,838,915 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. 0.06% | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
Due 10/01/20 | | | 59,103,876 | | | | 59,103,974 | | | 0.63% | | | | | | | | |
| | | | | | | | | | | 01/15/26 | | | 36,745,360 | | | | 40,558,260 | |
| | | | | | | | | | | U.S. Treasury Floating Rate Note | | | | | | | | |
| | | | | | | | | | | 0.40% | | | | | | | | |
| | | | | | | | | | | 10/31/21 | | | 19,653,100 | | | | 19,727,799 | |
| | | | | | | | | | | | | | 56,398,460 | | | | 60,286,059 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.06% | | | | | | | | | | 1.13% | | | | | | | | |
Due 10/01/20 | | | 53,784,527 | | | | 53,784,616 | | | 08/15/40 | | | 55,927,400 | | | | 54,860,263 | |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of 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 September 30, 2020, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
S&P 500® Pure Value Fund | | $ | 58,312 | | | $ | (58,312 | ) | | $ | — | | | | $ | 59,193 | | | $ | — | | | $ | 59,193 | |
S&P MidCap 400® Pure Growth Fund | | | 722,079 | | | | (722,079 | ) | | | — | | | | | 736,110 | | | | — | | | | 736,110 | |
S&P MidCap 400® Pure Value Fund | | | 87,852 | | | | (87,852 | ) | | | — | | | | | 92,111 | | | | — | | | | 92,111 | |
S&P SmallCap 600® Pure Growth Fund | | | 325,115 | | | | (325,115 | ) | | | — | | | | | 336,428 | | | | — | | | | 336,428 | |
S&P SmallCap 600® Pure Value Fund | | | 67,680 | | | | (67,680 | ) | | | — | | | | | 80,953 | | | | — | | | | 80,953 | |
Europe 1.25x Strategy Fund | | | 42,970 | | | | (42,970 | ) | | | — | | | | | 44,255 | | | | — | | | | 44,255 | |
(a) | Actual collateral received by the Fund is generally 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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At September 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
S&P 500® Pure Growth Fund | | $ | 47,074,593 | | | $ | 6,888,041 | | | $ | (131,560 | ) | | $ | 6,756,481 | |
S&P 500® Pure Value Fund | | | 8,162,465 | | | | — | | | | (1,737,173 | ) | | | (1,737,173 | ) |
S&P MidCap 400® Pure Growth Fund | | | 66,112,062 | | | | 3,640,690 | | | | (220,291 | ) | | | 3,420,399 | |
S&P MidCap 400® Pure Value Fund | | | 5,832,138 | | | | — | | | | (1,131,832 | ) | | | (1,131,832 | ) |
S&P SmallCap 600® Pure Growth Fund | | | 7,591,398 | | | | 401,577 | | | | (218,891 | ) | | | 182,686 | |
S&P SmallCap 600® Pure Value Fund | | | 15,058,960 | | | | — | | | | (374,145 | ) | | | (374,145 | ) |
Europe 1.25x Strategy Fund | | | 1,368,975 | | | | 36,080 | | | | (37,770 | ) | | | (1,690 | ) |
Japan 2x Strategy Fund | | | 1,615,115 | | | | 67,292 | | | | — | | | | 67,292 | |
Strengthening Dollar 2x Strategy Fund | | | 6,388,861 | | | | 73,071 | | | | — | | | | 73,071 | |
Weakening Dollar 2x Strategy Fund | | | 3,070,433 | | | | 16,704 | | | | (3,310 | ) | | | 13,394 | |
Note 9 – Securities Transactions
For the period ended September 30, 2020, 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 | | $ | 73,254,925 | | | $ | 73,499,015 | |
S&P 500® Pure Value Fund | | | 86,585,224 | | | | 85,619,471 | |
S&P MidCap 400® Pure Growth Fund | | | 157,947,956 | | | | 143,612,142 | |
S&P MidCap 400® Pure Value Fund | | | 44,699,257 | | | | 42,722,369 | |
S&P SmallCap 600® Pure Growth Fund | | | 39,330,268 | | | | 36,943,696 | |
S&P SmallCap 600® Pure Value Fund | | | 66,811,105 | | | | 52,158,165 | |
Europe 1.25x Strategy Fund | | | 545,466 | | | | 777,432 | |
Japan 2x Strategy Fund | | | — | | | | 80,000 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 920,000 | |
Weakening Dollar 2x Strategy Fund | | | 740,000 | | | | 310,000 | |
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. 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
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trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2020, 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 | |
S&P 500® Pure Growth Fund | | $ | 13,447,299 | | | $ | 22,899,528 | | | $ | (316,372 | ) |
S&P 500® Pure Value Fund | | | 5,005,479 | | | | 7,548,688 | | | | (867,688 | ) |
S&P MidCap 400® Pure Growth Fund | | | 2,176,887 | | | | 2,568,431 | | | | (179,470 | ) |
S&P MidCap 400® Pure Value Fund | | | 1,112,300 | | | | 810,102 | | | | (119,984 | ) |
S&P SmallCap 600® Pure Growth Fund | | | 548,412 | | | | 231,621 | | | | (37,430 | ) |
S&P SmallCap 600® Pure Value Fund | | | 696,088 | | | | 300,109 | | | | (31,971 | ) |
Europe 1.25x Strategy Fund | | | 278,760 | | | | 316,223 | | | | (1,165 | ) |
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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2020. The Funds did not have any borrowings outstanding under this agreement at September 30, 2020.
The average daily balances borrowed for the period ended September 30, 2020, were as follows:
Fund | | Average Daily Balance | |
S&P 500® Pure Value Fund | | $ | 4,512 | |
S&P MidCap 400® Pure Growth Fund | | | 1,471 | |
S&P MidCap 400® Pure Value Fund | | | 726 | |
S&P SmallCap 600® Pure Growth Fund | | | 6,526 | |
S&P SmallCap 600® Pure Value Fund | | | 2,244 | |
Note 11 – Reverse Share Splits
Effective on August 17, 2020, a reverse share split occurred for the following Fund:
Fund | Split Type |
S&P SmallCap 600® Pure Value Fund | One-for-Five Reverse Share Split |
The effect of this transaction was to divide the number of outstanding shares of the S&P SmallCap 600® Pure Value Fund by its respective reverse split ratio, resulting in a corresponding increase in the NAV. The share transactions presented in the Statements of Changes in Net Assets and the Per Share Data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these reverse share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 12 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The
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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-2296 (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. 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. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include the Rydex Series Funds. Defendants filed an opposition to the certiorari petition on August 26, 2020.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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 shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
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On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 13 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 14 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Series Funds Contracts Review Committee
Rydex Series Funds (the “Trust”) was organized as a Delaware statutory trust on February 10, 1993, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow Jones Industrial Average Fund |
● | Electronics Fund* | ● | Emerging Markets 2x Strategy Fund |
● | Emerging Markets Bond Strategy Fund | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Emerging Markets 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Guggenheim Long Short Equity Fund (“Long Short Equity Fund”)** | ● | Guggenheim Managed Futures Strategy Fund (“Managed Futures Strategy Fund”)** |
● | Mid-Cap 1.5x Strategy Fund | ● | Monthly Rebalance NASDAQ-100 2x Strategy Fund |
● | Guggenheim Multi-Hedge Strategies Fund (“Multi-Hedge Strategies Fund”)** | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
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● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 Fund |
● | S&P 500 Fund | ● | S&P 500 Pure Growth Fund |
● | S&P 500 Pure Value Fund | ● | S&P MidCap 400 Pure Growth Fund |
● | S&P MidCap 400 Pure Value Fund | ● | S&P SmallCap 600 Pure Growth Fund |
● | S&P SmallCap 600 Pure Value Fund | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed objective performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, twice-daily pricing for certain Tradable Funds on select trading platforms, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges among like share classes and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for such Funds relative to the applicable benchmark index or Guggenheim-constructed performance benchmark for the five-year, three-year and one-year periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee received a comparison of the tracking error of each Fund’s Class H shares to the tracking error of a peer fund, in each case for the same periods, as applicable. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences. In this connection, the Committee considered the tracking error of each Fund’s Class H shares relative to its applicable benchmark index or Guggenheim-constructed performance benchmark and, for certain Tradable Funds, compared to the tracking error of a peer fund, for the five-year and three-year periods ended December 31, 2019, as applicable, noting the Adviser’s view that such five-year and three-year periods are a reasonable proxy for anticipated levels of tracking error. The Committee considered the Adviser’s commentary explaining the higher levels of tracking error for certain Funds.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
OTHER INFORMATION (Unaudited)(continued) |
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to either the Commodities Strategy Fund or the Emerging Markets Bond Strategy Fund. The Committee considered, for the Commodities Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodity funds and, for the Emerging Markets Bond Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of actively-managed emerging markets bond funds, in each case noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the returns of the Multi-Hedge Strategies Fund’s Institutional Class shares ranked in the third quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The returns of the Fund’s Institutional Class shares ranked in the 88th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 62nd percentile.
Managed Futures Strategy Fund: The returns of the Fund’s Institutional Class shares ranked in the 92nd and 34th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the poor performance of the Fund’s previous dedicated trend-following strategy in 2016, during which time trend-following models were routinely hurt by the frequent whipsawing in the market, particularly in commodities. The Committee took into account management’s statement that the Fund changed its underlying investment model
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OTHER INFORMATION (Unaudited)(continued) |
in 2017, moving to a more diversified, systematic multi-model system that employs a core-satellite approach, resulting in more competitive performance over the three-year and one-year time periods. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 76th and 28th percentiles, respectively, and that one-year performance ranked in the 43rd percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than variable insurance fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that the contractual advisory fee for each Fund’s Class H shares was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered the net effective management fee and total net expense ratio for each such Fund’s Class H shares as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are higher than those of the comparable peer fund, the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Multi-Hedge Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (94th percentile) of its peer group. The Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (38th percentile) of its peer group.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year. The Committee took into account that, in June 2018, the Adviser implemented breakpoints for the Tradable Funds, noting that each Fund’s advisory fee would be subject to a uniform fee breakpoint reduction schedule that would take effect once the aggregate assets of the Tradable Funds and the tradable series of Rydex Dynamic Funds exceed $10 billion.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(concluded) |
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
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 | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since July 2020
(Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr.(1) (1946) | Trustee | Since 2019 | Current: Retired. Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley(1) (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III(1) (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since July 2020
(Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019
(Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-September 2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
(1) | Under the Funds’ Independent Trustees Retirement Policy, Messrs. Chubb, Farley and Friedrich are expected to retire in 2021. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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. |
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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
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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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Series Funds (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2020
Rydex Funds Semi-Annual Report
Domestic Equity Fund |
NASDAQ-100® Fund | | |
Beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from a fund electronically by calling 800.820.0888, going to GuggenheimInvestments.com/myaccount, or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper will apply to all Guggenheim Funds in which you are invested and may apply to all funds held with your financial intermediary.
GuggenheimInvestments.com | ROTC-SEMI-0920x0321 |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
NASDAQ-100® FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 25 |
OTHER INFORMATION | 43 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 55 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 62 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 66 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
The six-month period ended September 30, 2020, concluded on a cautious note. Even though markets performed well for most of the period, COVID-19 became the deadliest pandemic in a century, causing a steeper plunge in output and employment in two months than during the first two years of the Great Depression. The U.S. Federal Reserve acted quickly to restore market functioning and cushion the economy, cutting rates to zero, engaging in massive asset purchases, and launching an array of lending facilities. Congress also acted much faster than in previous downturns, with the budget deficit headed to the highest level since World War II.
The recovery since the spring has been faster than expected, with consumer confidence holding up due to the temporary nature of layoffs and positive personal income growth thanks to massive fiscal support. However, the outlook for the next several months is more challenging. Fiscal support is fading, so incomes will likely fall in the fourth quarter. Also, colder weather and the reopening of schools make the likelihood of another large COVID wave very high, risking renewed lockdowns and a setback in the recovery. We do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process will likely take until mid-2021, or possibly longer. As discussed in this shareholder report, these events have had an impact on performance.
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-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 six-month period ended September 30, 2020.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to the safety and prosperity of our clients, our employees, and our shareholders. Thank you for the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2020
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
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.
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
The Nasdaq-100® Fund may not be suitable for all investors. ● Investing in the NASDAQ-100® Fund involves certain risks, which may include increased volatility due to the use of futures and the possibility that companies in which the Fund invests may not be commercially successful or may become obsolete more quickly. ● There are no assurances that any Rydex Fund will achieve its objective and/or strategy. This Fund is subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective and may decrease the Fund’s performance. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2020 |
Six months ago, the global COVID-19 pandemic threatened the worst economic downturn since the Great Depression. Faced with the prospect of an economic collapse, policymakers in the U.S. introduced fiscal and monetary policy initiatives that have, for the most part, shored up the U.S. economy, although more stimulus appears to be necessary. These policy initiatives, particularly on the monetary side, have increased market liquidity and lowered borrowing rates, reassuring equity investors that the U.S. Federal Reserve (the “Fed”) would do everything in its power to maintain market stability. For the six months ended September 30, 2020, the Standard & Poor’s 500® (“S&P 500”) Index* returned 31.31%, briefly surpassing the pre-pandemic peak before giving up gains in September. This increase was in spite of personal and economic hardships imposed by the onset of COVID-19, highlighting the crucial role of policy support.
While the outlook on fiscal policy is contingent on the 2020 presidential election outcome, the monetary policy outlook is far less dependent on it. Our views hold that the Fed will remain accommodative over the next several years. This is in large part owing to recent revisions to the Fed’s policy framework that resulted in a dovish shift in the policy reaction function.
Fed policymakers revised their Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. Labor market goals now focus on correcting shortfalls in achieving maximum employment, rather than managing deviations from it, which previously included tightening policy when the Fed thought the labor market was too tight. Instead, the Fed will now tolerate the unemployment rate falling below a level they consider to be maximum employment as long as it does not produce unwanted inflation. On inflation policy, the Fed will aim for core inflation to average 2% over an unspecified time period. This allows for inflation readings that are moderately above 2% over shorter horizons to make up for periods when inflation falls below its target.
The practical effect of the revised strategy would likely have meant no rate hikes from 2015–2018, as inflation was never above 2% for a sustained period and a low unemployment rate is now an insufficient justification for raising rates. But the revised statement, and Fed Chair Jerome Powell’s speech at Jackson Hole, which coincided with the release of the new framework, gave no explanation of how the Fed would actually achieve higher inflation, something it could not attain previously with years of short-term rates at zero and trillions of dollars in quantitative easing. A lack of concrete guidance on the overshoot (with no numerical target and no specified time frame) further weakens the policy and the associated response in inflation expectations, which remain lower than the Fed would favor.
We expect the Fed will have a difficult time in reaching its inflation target in the coming years, let alone exceeding it, in part because core inflation lags real gross domestic product growth by about 18 months, meaning that inflation should trend downward over the next several quarters. In addition, elevated unemployment and a high debt burden will weigh on the speed of the recovery. As the last expansion demonstrated, even a strong economy with low unemployment does not necessarily produce inflation in excess of 2%, as many components of inflation are not responsive to interest rates or economic conditions.
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ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2020 |
Below-target inflation may anchor U.S. Treasury yields at low levels. In the near term, concerns over another COVID-19 wave complicated by the flu season, a slowing pace of improvement in the labor market, a lack of additional fiscal stimulus, and election uncertainty, all suggest low U.S. Treasury yields. In addition, comparatively higher yields in the U.S. should continue to attract capital from abroad, further supporting the market.
For the six-month period ended September 30, 2020, the MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.39%. The return of the MSCI Emerging Markets Index* was 29.36%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 3.53% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 15.24%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
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® 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.
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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2020 and ending September 30, 2020.
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.
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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.
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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31,
2020 | Ending
Account Value
September 30,
2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
NASDAQ-100® Fund |
Investor Class | 1.38% | 45.89% | $ 1,000.00 | $ 1,458.90 | $ 8.51 |
A-Class | 1.63% | 45.69% | 1,000.00 | 1,456.90 | 10.04 |
C-Class | 2.38% | 45.19% | 1,000.00 | 1,451.90 | 14.63 |
H-Class | 1.63% | 45.70% | 1,000.00 | 1,457.00 | 10.04 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
NASDAQ-100® Fund |
Investor Class | 1.38% | 5.00% | $ 1,000.00 | $ 1,018.15 | $ 6.98 |
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests, 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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2020 to September 30, 2020. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
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. | 12.6% |
Microsoft Corp. | 10.1% |
Amazon.com, Inc. | 10.0% |
Facebook, Inc. — Class A | 4.0% |
Tesla, Inc. | 3.2% |
Alphabet, Inc. — Class A | 3.2% |
Alphabet, Inc. — Class C | 3.1% |
NVIDIA Corp. | 2.7% |
Adobe, Inc. | 1.9% |
PayPal Holdings, Inc. | 1.9% |
Top Ten Total | 52.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
Investor Class Shares | 45.89% | 46.66% | 21.95% | 18.90% |
A-Class Shares | 45.69% | 46.29% | 21.63% | 18.59% |
A-Class Shares with sales charge‡ | 38.77% | 39.34% | 20.45% | 18.01% |
C-Class Shares | 45.19% | 45.19% | 20.74% | 17.72% |
C-Class Shares with CDSC§ | 44.19% | 44.19% | 20.74% | 17.72% |
NASDAQ-100 Index | 46.75% | 48.75% | 23.63% | 20.43% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | 45.70% | 46.26% | 21.66% | 17.94% |
NASDAQ-100 Index | 46.75% | 48.75% | 23.63% | 18.49% |
* | 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 NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 93.9% |
| | | | | | | | | |
Technology - 42.7% |
Apple, Inc. | | | 1,633,996 | | | $ | 189,233,077 | |
Microsoft Corp. | | | 723,022 | | | | 152,073,217 | |
NVIDIA Corp. | | | 75,196 | | | | 40,697,579 | |
Adobe, Inc.* | | | 58,458 | | | | 28,669,557 | |
Intel Corp. | | | 518,327 | | | | 26,838,972 | |
Broadcom, Inc. | | | 48,724 | | | | 17,751,128 | |
QUALCOMM, Inc. | | | 137,505 | | | | 16,181,588 | |
Texas Instruments, Inc. | | | 111,629 | | | | 15,939,505 | |
Advanced Micro Devices, Inc.* | | | 143,086 | | | | 11,731,621 | |
Zoom Video Communications, Inc. — Class A* | | | 22,194 | | | | 10,433,621 | |
Intuit, Inc. | | | 31,907 | | | | 10,408,382 | |
Fiserv, Inc.* | | | 81,612 | | | | 8,410,117 | |
Activision Blizzard, Inc. | | | 94,071 | | | | 7,615,047 | |
Applied Materials, Inc. | | | 111,305 | | | | 6,617,082 | |
Micron Technology, Inc.* | | | 135,401 | | | | 6,358,431 | |
Autodesk, Inc.* | | | 26,713 | | | | 6,170,970 | |
Lam Research Corp. | | | 17,748 | | | | 5,887,899 | |
Analog Devices, Inc. | | | 44,992 | | | | 5,252,366 | |
DocuSign, Inc.* | | | 22,549 | | | | 4,853,447 | |
Workday, Inc. — Class A* | | | 21,572 | | | | 4,640,784 | |
Electronic Arts, Inc.* | | | 35,197 | | | | 4,590,041 | |
Cognizant Technology Solutions Corp. — Class A | | | 66,085 | | | | 4,587,621 | |
NXP Semiconductor N.V. | | | 34,030 | | | | 4,247,284 | |
NetEase, Inc. ADR | | | 8,742 | | | | 3,974,725 | |
Synopsys, Inc.* | | | 18,496 | | | | 3,957,774 | |
KLA Corp. | | | 18,947 | | | | 3,670,792 | |
Splunk, Inc.* | | | 19,358 | | | | 3,641,821 | |
Cadence Design Systems, Inc.* | | | 33,978 | | | | 3,623,074 | |
Paychex, Inc. | | | 43,724 | | | | 3,487,864 | |
ASML Holding N.V. — Class G1 | | | 9,303 | | | | 3,435,319 | |
ANSYS, Inc.* | | | 10,455 | | | | 3,421,190 | |
Microchip Technology, Inc. | | | 30,767 | | | | 3,161,617 | |
Xilinx, Inc. | | | 29,775 | | | | 3,103,746 | |
Skyworks Solutions, Inc. | | | 20,357 | | | | 2,961,944 | |
Cerner Corp. | | | 37,218 | | | | 2,690,489 | |
Take-Two Interactive Software, Inc.* | | | 13,935 | | | | 2,302,341 | |
Maxim Integrated Products, Inc. | | | 32,503 | | | | 2,197,528 | |
Citrix Systems, Inc. | | | 15,055 | | | | 2,073,224 | |
Check Point Software Technologies Ltd.* | | | 17,087 | | | | 2,056,249 | |
Western Digital Corp. | | | 36,870 | | | | 1,347,598 | |
Total Technology | | | 640,296,631 | |
| | | | | | | | | |
Communications - 30.7% |
Amazon.com, Inc.* | | | 47,855 | | | | 150,682,474 | |
Facebook, Inc. — Class A* | | | 229,708 | | | | 60,160,525 | |
Alphabet, Inc. — Class A* | | | 32,937 | | | | 48,272,467 | |
Alphabet, Inc. — Class C* | | | 31,875 | | | | 46,843,500 | |
Netflix, Inc.* | | | 53,748 | | | | 26,875,613 | |
Comcast Corp. — Class A | | | 555,579 | | | | 25,701,085 | |
Cisco Systems, Inc. | | | 514,585 | | | | 20,269,503 | |
T-Mobile US, Inc.* | | | 150,856 | | | | 17,251,892 | |
Charter Communications, Inc. — Class A* | | | 24,972 | | | | 15,591,018 | |
JD.com, Inc. ADR* | | | 111,863 | | | | 8,681,687 | |
Booking Holdings, Inc.* | | | 4,991 | | | | 8,538,004 | |
MercadoLibre, Inc.* | | | 6,058 | | | | 6,557,664 | |
eBay, Inc. | | | 85,297 | | | �� | 4,443,974 | |
Baidu, Inc. ADR* | | | 34,270 | | | | 4,338,239 | |
VeriSign, Inc.* | | | 13,998 | | | | 2,867,490 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
Sirius XM Holdings, Inc.1 | | | 528,966 | | | $ | 2,835,258 | |
Pinduoduo, Inc. ADR* | | | 35,164 | | | | 2,607,411 | |
CDW Corp. | | | 17,388 | | | | 2,078,388 | |
Trip.com Group Ltd. ADR* | | | 63,737 | | | | 1,984,770 | |
Expedia Group, Inc. | | | 16,539 | | | | 1,516,461 | |
Fox Corp. — Class A | | | 41,885 | | | | 1,165,660 | |
Liberty Global plc — Class C* | | | 48,604 | | | | 998,083 | |
Fox Corp. — Class B | | | 31,818 | | | | 889,949 | |
Liberty Global plc — Class A* | | | 22,214 | | | | 466,716 | |
Total Communications | | | 461,617,831 | |
| | | | | | | | | |
Consumer, Non-cyclical - 11.8% |
PayPal Holdings, Inc.* | | | 142,994 | | | | 28,174,108 | |
PepsiCo, Inc. | | | 168,750 | | | | 23,388,750 | |
Amgen, Inc. | | | 71,380 | | | | 18,141,941 | |
Intuitive Surgical, Inc.* | | | 14,262 | | | | 10,119,459 | |
Mondelez International, Inc. — Class A | | | 174,076 | | | | 10,000,666 | |
Gilead Sciences, Inc. | | | 152,796 | | | | 9,655,179 | |
Vertex Pharmaceuticals, Inc.* | | | 31,744 | | | | 8,638,177 | |
Automatic Data Processing, Inc. | | | 52,401 | | | | 7,309,415 | |
Regeneron Pharmaceuticals, Inc.* | | | 12,741 | | | | 7,132,157 | |
Illumina, Inc.* | | | 17,793 | | | | 5,499,460 | |
Biogen, Inc.* | | | 19,294 | | | | 5,473,322 | |
Monster Beverage Corp.* | | | 64,276 | | | | 5,154,935 | |
DexCom, Inc.* | | | 11,668 | | | | 4,809,900 | |
Kraft Heinz Co. | | | 149,000 | | | | 4,462,550 | |
Cintas Corp. | | | 12,614 | | | | 4,198,318 | |
Seattle Genetics, Inc.* | | | 21,205 | | | | 4,149,607 | |
IDEXX Laboratories, Inc.* | | | 10,366 | | | | 4,074,978 | |
Verisk Analytics, Inc. — Class A | | | 19,790 | | | | 3,667,285 | |
Moderna, Inc.*,1 | | | 48,090 | | | | 3,402,368 | |
Align Technology, Inc.* | | | 9,602 | | | | 3,143,311 | |
Alexion Pharmaceuticals, Inc.* | | | 26,711 | | | | 3,056,540 | |
Incyte Corp.* | | | 26,654 | | | | 2,391,930 | |
BioMarin Pharmaceutical, Inc.* | | | 22,102 | | | | 1,681,520 | |
Total Consumer, Non-cyclical | | | 177,725,876 | |
| | | | | | | | | |
Consumer, Cyclical - 7.6% |
Tesla, Inc.* | | | 113,563 | | | | 48,719,663 | |
Costco Wholesale Corp. | | | 53,810 | | | | 19,102,550 | |
Starbucks Corp. | | | 142,470 | | | | 12,241,022 | |
Lululemon Athletica, Inc.* | | | 15,151 | | | | 4,990,285 | |
O’Reilly Automotive, Inc.* | | | 9,026 | | | | 4,161,708 | |
Ross Stores, Inc. | | | 43,377 | | | | 4,047,942 | |
Walgreens Boots Alliance, Inc. | | | 105,607 | | | | 3,793,403 | |
Marriott International, Inc. — Class A | | | 39,525 | | | | 3,659,225 | |
PACCAR, Inc. | | | 42,186 | | | | 3,597,622 | |
Fastenal Co. | | | 69,910 | | | | 3,152,242 | |
Copart, Inc.* | | | 28,613 | | | | 3,008,943 | |
Dollar Tree, Inc.* | | | 28,921 | | | | 2,641,644 | |
Ulta Beauty, Inc.* | | | 6,864 | | | | 1,537,399 | |
Total Consumer, Cyclical | | | 114,653,648 | |
| | | | | | | | | |
Utilities - 0.6% |
Xcel Energy, Inc. | | | 64,025 | | | | 4,418,365 | |
Exelon Corp. | | | 118,766 | | | | 4,247,072 | |
Total Utilities | | | 8,665,437 | |
| | | | | | | | | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
Industrial - 0.5% |
CSX Corp. | | | 93,239 | | | $ | 7,241,873 | |
| | | | | | | | | |
Total Common Stocks |
(Cost $446,564,297) | | | | | | | 1,410,201,296 | |
| | | | | | | | | |
MUTUAL FUNDS† - 2.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 1,610,622 | | | | 16,074,006 | |
Guggenheim Strategy Fund II2 | | | 575,584 | | | | 14,372,344 | |
Guggenheim Strategy Fund III2 | | | 370,504 | | | | 9,288,530 | |
Total Mutual Funds |
(Cost $39,678,710) | | | | | | | 39,734,880 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 3.3% |
Federal Home Loan Bank |
0.09% due 11/30/203 | | $ | 50,000,000 | | | | 49,994,166 | |
Total Federal Agency Discount Notes |
(Cost $49,990,416) | | | | | | | 49,994,166 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 1.4% |
Federal Farm Credit Bank |
0.37% (3 Month U.S. Treasury Bill Rate + 0.27%, Rate Floor: 0.00%) due 05/16/224 | | | 3,500,000 | | | | 3,510,966 | |
0.40% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/224 | | | 3,000,000 | | | | 3,011,654 | |
2.45% due 12/04/28 | | | 3,000,000 | | | | 3,010,929 | |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 11/23/214 | | | 1,400,000 | | | | 1,404,679 | |
0.20% (3 Month USD LIBOR - 0.08%, Rate Floor: 0.00%) due 01/15/214 | | | 1,000,000 | | | | 1,000,020 | |
1.71% due 11/25/22 | | | 2,000,000 | | | | 2,005,010 | |
1.18% due 12/01/27 | | | 2,000,000 | | | | 2,000,000 | |
1.71% due 12/16/22 | | | 100,000 | | | | 100,221 | |
| Federal Home Loan Bank |
4.00% due 10/23/28 | | | 2,850,000 | | | | 2,856,773 | |
| Fannie Mae |
0.32% (U.S. Secured Overnight Financing Rate + 0.22%, Rate Floor: 0.00%) due 03/16/224 | | | 2,000,000 | | | | 2,004,460 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $20,871,210) | | | | | | | 20,904,712 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 0.4% |
| U.S. Treasury Bills |
0.08% due 10/15/203,5 | | | 4,761,000 | | | | 4,760,857 | |
0.08% due 10/29/203,6 | | | 800,000 | | | | 799,942 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $5,560,791) | | | | | | | 5,560,799 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,7 - 0.7% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/206 | | | 5,476,868 | | | | 5,476,868 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 2,279,625 | | | | 2,279,625 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/206 | | | 2,074,458 | | | | 2,074,458 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $9,830,951) | | | | | | | 9,830,951 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NASDAQ-100® FUND | |
| | | Shares | | | Value | |
| SECURITIES LENDING COLLATERAL†,8 - 0.3% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%9 | | | 4,111,122 | | | $ | 4,111,122 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $4,111,122) | | | | | | | 4,111,122 | |
| | | | | | | | | |
| Total Investments - 102.6% | | | | | | | | |
| (Cost $576,607,497) | | | | | | $ | 1,540,337,926 | |
| Other Assets & Liabilities, net - (2.6)% | | | | | | | (39,577,347 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 1,500,760,579 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 206 | | | | Dec 2020 | | | $ | 46,978,300 | | | $ | 1,204,362 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | NASDAQ-100 Index | 0.79% (1 Month USD LIBOR + 0.65%) | At Maturity | | | 11/18/20 | | 408 | | $ | 4,661,186 | | | $ | 238,707 | |
Goldman Sachs International | NASDAQ-100 Index | 0.65% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 11/19/20 | | 3,201 | | | 36,547,751 | | | | 113,766 | |
Barclays Bank plc | NASDAQ-100 Index | 0.60% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 11/17/20 | | 271 | | | 3,088,751 | | | | 14,509 | |
| | | | | | | | | | | | | | $ | 44,297,688 | | | $ | 366,982 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
NASDAQ-100® FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Variable rate security. Rate indicated is the rate effective at September 30, 2020. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
6 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
7 | Repurchase Agreements — See Note 6. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | 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 September 30, 2020 (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 | | $ | 1,410,201,296 | | | $ | — | | | $ | — | | | $ | 1,410,201,296 | |
Mutual Funds | | | 39,734,880 | | | | — | | | | — | | | | 39,734,880 | |
Federal Agency Discount Notes | | | — | | | | 49,994,166 | | | | — | | | | 49,994,166 | |
Federal Agency Notes | | | — | | | | 20,904,712 | | | | — | | | | 20,904,712 | |
U.S. Treasury Bills | | | — | | | | 5,560,799 | | | | — | | | | 5,560,799 | |
Repurchase Agreements | | | — | | | | 9,830,951 | | | | — | | | | 9,830,951 | |
Securities Lending Collateral | | | 4,111,122 | | | | — | | | | — | | | | 4,111,122 | |
Equity Futures Contracts** | | | 1,204,362 | | | | — | | | | — | | | | 1,204,362 | |
Equity Index Swap Agreements** | | | — | | | | 366,982 | | | | — | | | | 366,982 | |
Total Assets | | $ | 1,455,251,660 | | | $ | 86,657,610 | | | $ | — | | | $ | 1,541,909,270 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
NASDAQ-100® FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended September 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 13,842,806 | | | $ | — | | | $ | — | | | $ | — | | | $ | 529,538 | |
Guggenheim Strategy Fund III | | | 8,569,619 | | | | 350,000 | | | | — | | | | — | | | | 368,911 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 15,735,775 | | | | — | | | | — | | | | — | | | | 338,231 | |
| | | $ | 38,148,200 | | | $ | 350,000 | | | $ | — | | | $ | — | | | $ | 1,236,680 | |
Security Name | | Value
09/30/20 | | | Shares
09/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 14,372,344 | | | | 575,584 | | | $ | 113,858 | |
Guggenheim Strategy Fund III | | | 9,288,530 | | | | 370,504 | | | | 80,186 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 16,074,006 | | | | 1,610,622 | | | | 100,507 | |
| | | $ | 39,734,880 | | | | | | | $ | 294,551 | |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
NASDAQ-100® FUND |
September 30, 2020
Assets: |
Investments in unaffiliated issuers, at value - including $4,015,936 of securities loaned (cost $527,097,836) | | $ | 1,490,772,095 | |
Investments in affiliated issuers, at value (cost $39,678,710) | | | 39,734,880 | |
Repurchase agreements, at value (cost $9,830,951) | | | 9,830,951 | |
Unrealized appreciation on OTC swap agreements | | | 366,982 | |
Receivables: |
Fund shares sold | | | 17,809,394 | |
Variation margin on futures contracts | | | 241,380 | |
Dividends | | | 237,189 | |
Interest | | | 98,374 | |
Securities lending income | | | 238 | |
Swap settlement | | | 95 | |
Total assets | | | 1,559,091,578 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 49,990,417 | |
Return of securities lending collateral | | | 4,111,122 | |
Fund shares redeemed | | | 1,039,522 | |
Management fees | | | 910,726 | |
Transfer agent and administrative fees | | | 327,764 | |
Distribution and service fees | | | 114,597 | |
Portfolio accounting fees | | | 64,305 | |
Trustees’ fees* | | | 23,604 | |
Miscellaneous | | | 1,748,942 | |
Total liabilities | | | 58,330,999 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,500,760,579 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 470,535,889 | |
Total distributable earnings (loss) | | | 1,030,224,690 | |
Net assets | | $ | 1,500,760,579 | |
| | | | | |
Investor Class: |
Net assets | | $ | 1,292,797,490 | |
Capital shares outstanding | | | 22,333,520 | |
Net asset value per share | | $ | 57.89 | |
| | | | | |
A-Class: |
Net assets | | $ | 59,271,144 | |
Capital shares outstanding | | | 1,121,002 | |
Net asset value per share | | $ | 52.87 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 55.51 | |
| | | | | |
C-Class: |
Net assets | | $ | 114,173,582 | |
Capital shares outstanding | | | 2,522,067 | |
Net asset value per share | | $ | 45.27 | |
| | | | | |
H-Class: |
Net assets | | $ | 34,518,363 | |
Capital shares outstanding | | | 653,003 | |
Net asset value per share | | $ | 52.86 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
STATEMENT OF OPERATIONS (Unaudited) |
NASDAQ-100® FUND |
Six Months Ended September 30, 2020
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $7,374) | | $ | 5,543,960 | |
Dividends from securities of affiliated issuers | | | 294,551 | |
Interest | | | 48,891 | |
Income from securities lending, net | | | 4,509 | |
Total investment income | | | 5,891,911 | |
| | | | | |
Expenses: |
Management fees | | | 5,234,878 | |
Distribution and service fees: |
A-Class | | | 68,345 | |
C-Class | | | 524,106 | |
H-Class | | | 46,092 | |
Transfer agent and administrative fees | | | 1,976,564 | |
Registration fees | | | 768,282 | |
Professional fees | | | 492,279 | |
Portfolio accounting fees | | | 378,630 | |
Custodian fees | | | 99,612 | |
Trustees’ fees* | | | 32,743 | |
Prime broker interest expense | | | 28 | |
Miscellaneous | | | 643,924 | |
Total expenses | | | 10,265,483 | |
Less: |
Expenses waived by Adviser | | | (19,948 | ) |
Net expenses | | | 10,245,535 | |
Net investment loss | | | (4,353,624 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | $ | 17,676,508 | |
Swap agreements | | | 9,457,130 | |
Futures contracts | | | 26,988,958 | |
Net realized gain | | | 54,122,596 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 443,242,954 | |
Investments in affiliated issuers | | | 1,236,680 | |
Swap agreements | | | 932,914 | |
Futures contracts | | | (2,716,004 | ) |
Net change in unrealized appreciation (depreciation) | | | 442,696,544 | |
Net realized and unrealized gain | | | 496,819,140 | |
Net increase in net assets resulting from operations | | $ | 492,465,516 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
NASDAQ-100® FUND | |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (4,353,624 | ) | | $ | (3,453,284 | ) |
Net realized gain on investments | | | 54,122,596 | | | | 108,686,367 | |
Net change in unrealized appreciation (depreciation) on investments | | | 442,696,544 | | | | (37,088,730 | ) |
Net increase in net assets resulting from operations | | | 492,465,516 | | | | 68,144,353 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (20,287,863 | ) |
A-Class | | | — | | | | (1,043,499 | ) |
C-Class | | | — | | | | (2,257,087 | ) |
H-Class | | | — | | | | (648,117 | ) |
Total distributions to shareholders | | | — | | | | (24,236,566 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 843,214,836 | | | | 1,328,414,692 | |
A-Class | | | 11,314,259 | | | | 30,863,059 | |
C-Class | | | 13,506,578 | | | | 18,499,187 | |
H-Class | | | 75,809,246 | | | | 140,487,069 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 19,606,905 | |
A-Class | | | — | | | | 977,143 | |
C-Class | | | — | | | | 2,159,664 | |
H-Class | | | — | | | | 645,234 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (862,545,776 | ) | | | (1,477,875,968 | ) |
A-Class | | | (12,362,719 | ) | | | (52,878,356 | ) |
C-Class | | | (16,734,745 | ) | | | (26,781,762 | ) |
H-Class | | | (77,560,313 | ) | | | (164,617,240 | ) |
Net decrease from capital share transactions | | | (25,358,634 | ) | | | (180,500,373 | ) |
Net increase (decrease) in net assets | | | 467,106,882 | | | | (136,592,586 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,033,653,697 | | | | 1,170,246,283 | |
End of period | | $ | 1,500,760,579 | | | $ | 1,033,653,697 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 16,936,776 | | | | 32,616,628 | |
A-Class | | | 249,775 | | | | 865,992 | |
C-Class | | | 352,035 | | | | 567,526 | |
H-Class | | | 1,667,623 | | | | 3,768,582 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 458,320 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
NASDAQ-100® FUND | |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
A-Class | | | — | | | | 24,959 | |
C-Class | | | — | | | | 64,046 | |
H-Class | | | — | | | | 16,485 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (16,989,079 | ) | | | (36,205,571 | ) |
A-Class | | | (260,192 | ) | | | (1,433,295 | ) |
C-Class | | | (415,672 | ) | | | (829,227 | ) |
H-Class | | | (1,669,992 | ) | | | (4,442,249 | ) |
Net decrease in shares | | | (128,726 | ) | | | (4,527,804 | ) |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | | Six Months Ended
Sept. 30, 2020a | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 31,
2018 | | | Year
Ended
March 31,
2017 | | | Year
Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.68 | | | $ | 38.39 | | | $ | 34.94 | | | $ | 30.68 | | | $ | 25.75 | | | $ | 25.38 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.14 | ) | | | (.08 | ) | | | (.05 | ) | | | (.05 | ) | | | (.06 | ) | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.35 | | | | 2.21 | | | | 4.11 | | | | 6.35 | | | | 5.47 | | | | .96 | |
Total from investment operations | | | 18.21 | | | | 2.13 | | | | 4.06 | | | | 6.30 | | | | 5.41 | | | | .91 | |
Less distributions from: |
Net realized gains | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Total distributions | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Net asset value, end of period | | $ | 57.89 | | | $ | 39.68 | | | $ | 38.39 | | | $ | 34.94 | | | $ | 30.68 | | | $ | 25.75 | |
|
Total Return | | | 45.89 | % | | | 5.40 | % | | | 11.79 | % | | | 20.76 | % | | | 21.21 | % | | | 3.49 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,292,797 | | | $ | 888,189 | | | $ | 979,675 | | | $ | 926,146 | | | $ | 760,485 | | | $ | 667,018 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.53 | %) | | | (0.19 | %) | | | (0.14 | %) | | | (0.14 | %) | | | (0.21 | %) | | | (0.19 | %) |
Total expensesc | | | 1.38 | % | | | 1.37 | % | | | 1.36 | % | | | 1.28 | % | | | 1.29 | % | | | 1.25 | % |
Net expensesd | | | 1.38 | % | | | 1.37 | % | | | 1.36 | % | | | 1.28 | % | | | 1.29 | % | | | 1.25 | % |
Portfolio turnover rate | | | 28 | % | | | 54 | % | | | 32 | % | | | 48 | % | | | 72 | % | | | 228 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
FINANCIAL HIGHLIGHTS (continued) |
NASDAQ-100® FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Six Months Ended
Sept. 30, 2020a | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 31,
2018 | | | Year
Ended
March 31,
2017 | | | Year
Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.29 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.04 | | | $ | 23.78 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.18 | ) | | | (.17 | ) | | | (.13 | ) | | | (.12 | ) | | | (.13 | ) | | | (.10 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.76 | | | | 2.04 | | | | 3.78 | | | | 5.89 | | | | 5.06 | | | | .90 | |
Total from investment operations | | | 16.58 | | | | 1.87 | | | | 3.65 | | | | 5.77 | | | | 4.93 | | | | .80 | |
Less distributions from: |
Net realized gains | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Total distributions | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Net asset value, end of period | | $ | 52.87 | | | $ | 36.29 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.04 | |
|
Total Returne | | | 45.69 | % | | | 5.14 | % | | | 11.51 | % | | | 20.44 | % | | | 20.76 | % | | | 3.26 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 59,271 | | | $ | 41,054 | | | $ | 59,021 | | | $ | 52,257 | | | $ | 63,311 | | | $ | 60,499 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.78 | %) | | | (0.44 | %) | | | (0.38 | %) | | | (0.39 | %) | | | (0.51 | %) | | | (0.42 | %) |
Total expensesc | | | 1.63 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.51 | % |
Net expensesd | | | 1.63 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % | | | 1.53 | % | | | 1.51 | % |
Portfolio turnover rate | | | 28 | % | | | 54 | % | | | 32 | % | | | 48 | % | | | 72 | % | | | 228 | % |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Six Months Ended
Sept. 30, 2020a | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 31,
2018 | | | Year
Ended
March 31,
2017 | | | Year
Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 31.18 | | | $ | 30.64 | | | $ | 28.29 | | | $ | 25.41 | | | $ | 21.62 | | | $ | 21.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.31 | ) | | | (.39 | ) | | | (.34 | ) | | | (.32 | ) | | | (.28 | ) | | | (.26 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.40 | | | | 1.77 | | | | 3.30 | | | | 5.24 | | | | 4.55 | | | | .82 | |
Total from investment operations | | | 14.09 | | | | 1.38 | | | | 2.96 | | | | 4.92 | | | | 4.27 | | | | .56 | |
Less distributions from: |
Net realized gains | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Total distributions | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Net asset value, end of period | | $ | 45.27 | | | $ | 31.18 | | | $ | 30.64 | | | $ | 28.29 | | | $ | 25.41 | | | $ | 21.62 | |
|
Total Returne | | | 45.19 | % | | | 4.31 | % | | | 10.70 | % | | | 19.57 | % | | | 19.98 | % | | | 2.48 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 114,174 | | | $ | 80,633 | | | $ | 85,274 | | | $ | 85,149 | | | $ | 58,647 | | | $ | 38,900 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.53 | %) | | | (1.19 | %) | | | (1.14 | %) | | | (1.15 | %) | | | (1.21 | %) | | | (1.19 | %) |
Total expensesc | | | 2.38 | % | | | 2.37 | % | | | 2.36 | % | | | 2.28 | % | | | 2.28 | % | | | 2.26 | % |
Net expensesd | | | 2.38 | % | | | 2.37 | % | | | 2.36 | % | | | 2.28 | % | | | 2.28 | % | | | 2.26 | % |
Portfolio turnover rate | | | 28 | % | | | 54 | % | | | 32 | % | | | 48 | % | | | 72 | % | | | 228 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
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 | | Six Months Ended
Sept. 30, 2020a | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 31,
2018 | | | Year
Ended
March 31,
2017 | | | Year
Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.28 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.00 | | | $ | 23.76 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.18 | ) | | | (.16 | ) | | | (.13 | ) | | | (.12 | ) | | | (.14 | ) | | | (.13 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.76 | | | | 2.02 | | | | 3.78 | | | | 5.89 | | | | 5.11 | | | | .91 | |
Total from investment operations | | | 16.58 | | | | 1.86 | | | | 3.65 | | | | 5.77 | | | | 4.97 | | | | .78 | |
Less distributions from: |
Net realized gains | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Total distributions | | | — | | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) |
Net asset value, end of period | | $ | 52.86 | | | $ | 36.28 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.00 | |
|
Total Return | | | 45.70 | % | | | 5.11 | % | | | 11.51 | % | | | 20.49 | % | | | 20.92 | % | | | 3.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 34,518 | | | $ | 23,777 | | | $ | 46,276 | | | $ | 64,483 | | | $ | 53,441 | | | $ | 173,638 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.78 | %) | | | (0.43 | %) | | | (0.37 | %) | | | (0.37 | %) | | | (0.57 | %) | | | (0.51 | %) |
Total expensesc | | | 1.63 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % | | | 1.54 | % | | | 1.51 | % |
Net expensesd | | | 1.63 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % | | | 1.54 | % | | | 1.51 | % |
Portfolio turnover rate | | | 28 | % | | | 54 | % | | | 32 | % | | | 48 | % | | | 72 | % | | | 228 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 and reimbursements, as applicable. |
e | Total return does not reflect the impact of any applicable sales charges. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2020, the Trust consisted of fifty-two funds (the “Funds”).
This report covers the NASDAQ-100® Fund (the “Fund”), a non-diversified investment company.
At September 30, 2020 A-Class, C-Class, Investor Class and H-Class shares have been issued by the Fund.
The Fund is designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offers unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Fund to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
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.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position 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 U.S. Treasury securities, 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 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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 appreciation or depreciation. 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 appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the 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 gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2020, 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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(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 U.S. federal 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 appreciation and depreciation 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 based on the respective 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 0.09% at September 30, 2020.
(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 – 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 amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives 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
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 utilized 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 Contracts
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 monthly basis:
| | | Average Notional Amount | |
Use | | Long | |
Index exposure, Liquidity | | $ | 64,103,116 | |
Swap Agreements
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. When utilizing OTC swaps, the 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 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 exchange-traded futures contracts. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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.
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return or custom basket swaps, the 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 if the underlying reference asset declines in value.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
| | | Average Notional Amount | |
Use | | Long | |
Index exposure, Liquidity | | $ | 21,102,724 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | Variation margin on futures contracts | — |
| Unrealized appreciation on OTC swap agreements | — |
The following tables sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2020:
Asset Derivative Investments Value |
| | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Total Value at
September 30,
2020 | |
| | | $ | 1,204,362 | | | $ | 366,982 | | | $ | 1,571,344 | |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. For exchange-traded derivatives, variation margin is reported within the Statement of Assets and Liabilities. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended September 30, 2020:
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 period ended September 30, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| | | $ | 26,988,958 | | | $ | 9,457,130 | | | $ | 36,446,088 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| | $ | (2,716,004 | ) | | $ | 932,914 | | | $ | (1,783,090 | ) |
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
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
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 its 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 Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, 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 Fund, 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 RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Assets1 | | | 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 | |
Swap equity contracts | | $ | 366,982 | | | $ | — | | | $ | 366,982 | | | $ | — | | | $ | — | | | $ | 366,982 | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
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.
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – 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.
When the aggregate assets of each series of the Trust (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) and each series of Rydex Dynamic Funds equal or exceed $10 billion, the advisory fee rate paid by the Fund (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) will be reduced in accordance with the asset level and breakpoint schedule set forth below.
Fund Assets Under Management | | Fund Asset-Based
Breakpoint Reductions | |
$500 million - $1 billion | | | 0.025 | % |
> $1 billion - $2 billion | | | 0.050 | % |
> $2 billion | | | 0.075 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution Plan applicable to A-Class, P-Class shares and H-Class shares for which GFD and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Fund will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
The Board has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Fund to pay annual distribution and service fees of 1.00% of the Fund’s C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
For the period ended September 30, 2020, GFD retained sales charges of $79,209 relating to sales of A-Class shares of the Trust.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended September 30, 2020, the Fund waived $19,948 related to investments in affiliated funds.
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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Fund’s custodian. As custodian, U.S. Bank is responsible for the custody of the Fund’s 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 6 – 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 the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face
Value | | | Repurchase
Price | | | Collateral | | Par
Value | | | Fair
Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.06% | | | | | | | | | | 2.25% | | | | | | | | |
Due 10/01/20 | | $ | 141,998,853 | | | $ | 141,999,090 | | | 10/31/24 | | $ | 132,688,300 | | | $ | 144,838,915 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.06% | | | | | | | | | | 0.63% | | | | | | | | |
Due 10/01/20 | | | 59,103,876 | | | | 59,103,974 | | | 01/15/26 | | | 36,745,360 | | | | 40,558,260 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | U.S. Treasury Floating Rate Note | | | | | | | | |
| | | | | | | | | | | 0.40% | | | | | | | | |
| | | | | | | | | | | 10/31/21 | | | 19,653,100 | | | | 19,727,799 | |
| | | | | | | | | | | | | | 56,398,460 | | | | 60,286,059 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.06% | | | | | | | | | | 1.13% | | | | | | | | |
Due 10/01/20 | | | 53,784,527 | | | | 53,784,616 | | | 08/15/40 | | | 55,927,400 | | | | 54,860,263 | |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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 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 with which the Fund enters into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Fund may lend its securities to approved brokers to earn additional income. Security lending income shown on the Statement of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Fund acts 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 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 their securities and a possible loss of income or value if the borrower fails to return the securities. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At September 30, 2020, 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 | |
| | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
| | | $ | 4,015,936 | | | $ | (4,015,936 | ) | | $ | — | | | | $ | 4,111,122 | | | $ | — | | | $ | 4,111,122 | |
(a) | Actual collateral received by the Fund is generally 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
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
in the value of the underlying securities during the period while the Fund seeks to assert its rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax 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 U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At September 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
| | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Tax
Unrealized
Appreciation | |
| | | $ | 628,703,835 | | | $ | 917,698,827 | | | $ | (4,493,392 | ) | | $ | 913,205,435 | |
Note 9 – Securities Transactions
For the period ended September 30, 2020, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 394,196,749 | | | $ | 371,859,737 | |
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. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2020, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized Gain | |
| | | $ | 107,028,244 | | | $ | 208,460,219 | | | $ | 7,824,707 | |
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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2020. The Fund did not have any borrowings outstanding under this agreement at September 30, 2020.
The average daily balance borrowed by the Fund for the period ended September 30, 2020, was follows:
| | Average Daily Balance | |
| | | $ | 1,792 | |
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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2296 (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. 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. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that
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there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include the Rydex Series Funds. Defendants filed an opposition to the certiorari petition on August 26, 2020.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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 shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District
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Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 12 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 13 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
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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’s 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Series Funds Contracts Review Committee
Rydex Series Funds (the “Trust”) was organized as a Delaware statutory trust on February 10, 1993, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow Jones Industrial Average Fund |
● | Electronics Fund* | ● | Emerging Markets 2x Strategy Fund |
● | Emerging Markets Bond Strategy Fund | ● | Energy Fund* |
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● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Emerging Markets 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Guggenheim Long Short Equity Fund (“Long Short Equity Fund”)** | ● | Guggenheim Managed Futures Strategy Fund (“Managed Futures Strategy Fund”)** |
● | Mid-Cap 1.5x Strategy Fund | ● | Monthly Rebalance NASDAQ-100 2x Strategy Fund |
● | Guggenheim Multi-Hedge Strategies Fund (“Multi-Hedge Strategies Fund”)** | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 Fund |
● | S&P 500 Fund | ● | S&P 500 Pure Growth Fund |
● | S&P 500 Pure Value Fund | ● | S&P MidCap 400 Pure Growth Fund |
● | S&P MidCap 400 Pure Value Fund | ● | S&P SmallCap 600 Pure Growth Fund |
● | S&P SmallCap 600 Pure Value Fund | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
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Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed objective performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds,
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, twice-daily pricing for certain Tradable Funds on select trading platforms, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges among like share classes and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
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With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for such Funds relative to the applicable benchmark index or Guggenheim-constructed performance benchmark for the five-year, three-year and one-year periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee received a comparison of the tracking error of each Fund’s Class H shares to the tracking error of a peer fund, in each case for the same periods, as applicable. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any
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remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences. In this connection, the Committee considered the tracking error of each Fund’s Class H shares relative to its applicable benchmark index or Guggenheim-constructed performance benchmark and, for certain Tradable Funds, compared to the tracking error of a peer fund, for the five-year and three-year periods ended December 31, 2019, as applicable, noting the Adviser’s view that such five-year and three-year periods are a reasonable proxy for anticipated levels of tracking error. The Committee considered the Adviser’s commentary explaining the higher levels of tracking error for certain Funds.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to either the Commodities Strategy Fund or the Emerging Markets Bond Strategy Fund. The Committee considered, for the Commodities Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodity funds and, for the Emerging Markets Bond Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of actively-managed emerging markets bond funds, in each case noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product
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features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the returns of the Multi-Hedge Strategies Fund’s Institutional Class shares ranked in the third quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The returns of the Fund’s Institutional Class shares ranked in the 88th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 62nd percentile.
Managed Futures Strategy Fund: The returns of the Fund’s Institutional Class shares ranked in the 92nd and 34th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the poor performance of the Fund’s previous dedicated trend-following strategy in 2016, during which time trend-following models were routinely hurt by the frequent whipsawing in the market, particularly in commodities. The Committee took into account management’s statement that the Fund changed its underlying investment model in 2017, moving to a more diversified, systematic multi-
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model system that employs a core-satellite approach, resulting in more competitive performance over the three-year and one-year time periods. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 76th and 28th percentiles, respectively, and that one-year performance ranked in the 43rd percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than variable insurance fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that the contractual advisory fee for each Fund’s Class H shares was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered the net effective management fee and total net expense ratio for each such Fund’s Class H shares as compared to the peer fund.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are higher than those of the comparable peer fund, the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Multi-Hedge Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (94th percentile) of its peer group. The Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (38th percentile) of its peer group.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year. The Committee took into account that, in June 2018, the Adviser implemented breakpoints for the Tradable Funds, noting that each Fund’s advisory fee would be subject to a uniform fee breakpoint reduction schedule that would take effect once the aggregate assets of the Tradable Funds and the tradable series of Rydex Dynamic Funds exceed $10 billion.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
OTHER INFORMATION (Unaudited)(concluded) |
Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr.1 (1946) | Trustee | Since 2019 | Current: Retired. Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley1 (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). Former: Westar Energy, Inc. (2004-2018). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | |
Roman Friedrich III1 (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-September 2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
1 | Under the Trust’s Independent Trustees Retirement Policy, Messrs. Chubb, Farley and Friedrich are expected to retire in 2021. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - continued | |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
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 parties to treat your private information with the same high degree of confidentiality that we do.
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
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
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Series Funds (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
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9.30.2020
Rydex Funds Semi-Annual Report
Guggenheim Alternatives Funds |
Guggenheim Long Short Equity 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 | | |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from a fund electronically by calling 800.820.0888, going to GuggenheimInvestments.com/myaccount, or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper will apply to all Guggenheim Funds in which you are invested and may apply to all funds held with your financial intermediary.
GuggenheimInvestments.com | RSTF-SEMI-0920x0321 |
| | |
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 |
EMERGING MARKETS 2x STRATEGY FUND | 30 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | 39 |
EMERGING MARKETS BOND STRATEGY FUND | 46 |
NOTES TO FINANCIAL STATEMENTS | 53 |
OTHER INFORMATION | 68 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 75 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 80 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 83 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
The six-month period ended September 30, 2020, concluded on a cautious note. Even though markets performed well for most of the period, COVID-19 became the deadliest pandemic in a century, causing a steeper plunge in output and employment in two months than during the first two years of the Great Depression. The U.S. Federal Reserve acted quickly to restore market functioning and cushion the economy, cutting rates to zero, engaging in massive asset purchases, and launching an array of lending facilities. Congress also acted much faster than in previous downturns, with the budget deficit headed to the highest level since World War II.
The recovery since the spring has been faster than expected, with consumer confidence holding up due to the temporary nature of layoffs and positive personal income growth thanks to massive fiscal support. However, the outlook for the next several months is more challenging. Fiscal support is fading, so incomes will likely fall in the fourth quarter. Also, colder weather and the reopening of schools make the likelihood of another large COVID wave very high, risking renewed lockdowns and a setback in the recovery. We do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process will likely take until mid-2021, or possibly longer. As discussed in this shareholder report, these events have had an impact on performance.
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our alternative strategy funds (the “Fund” or “Funds”) for the six-month period ended September 30, 2020.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to the safety and prosperity of our clients, our employees, and our shareholders. Thank you for the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2020
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
The Long Short Equity Fund may not be suitable for all investors. ●The Fund is subject to the risk that the Advisor’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 non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. See the prospectus for more information on these and additional risks.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus. ● The leveraged and Inverse Emerging Markets Funds’ investments in developed and emerging foreign markets may increase the Funds’ volatility due to the impact of diplomatic, political or economic developments on the country in question. ● Additionally, the Funds’ direct and indirect exposure to foreign currencies subjects the Funds to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currencies. ● A Fund’s investment in the securities of non-U.S. companies in the form of American Depositary Receipts (ADRs) poses special risks associated with international investing, including fluctuating exchange rates, government regulations and differences in liquidity, which may affect the volatility and performance of a fund.
The Emerging Markets Bond Strategy Fund may not be suitable for all investors. Investments in securities, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. ● The Fund’s investments in bonds and financial instruments that in combination have economic characteristics similar to emerging markets bonds carries additional risks when compared to investing in U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question. ● The Fund’s investments in derivatives, including credit default swaps, may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. To the extent the Fund invests in derivatives to seek to hedge risk or limit leveraged exposure created by other investments, there is no guarantee that such hedging strategies will be effective at managing risk or limiting exposure to leveraged investments. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s investments in bank obligations may expose it to adverse developments in or related to the banking industry. ● The Funds use of leverage will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● This Fund is considered diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● See the prospectus for more information on these and other risks.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2020 |
Six months ago, the global COVID-19 pandemic threatened the worst economic downturn since the Great Depression. Faced with the prospect of an economic collapse, policymakers in the U.S. introduced fiscal and monetary policy initiatives that have, for the most part, shored up the U.S. economy, although more stimulus appears to be necessary. These policy initiatives, particularly on the monetary side, have increased market liquidity and lowered borrowing rates, reassuring equity investors that the U.S. Federal Reserve (the “Fed”) would do everything in its power to maintain market stability. For the six months ended September 30, 2020, the Standard & Poor’s 500® (“S&P 500”) Index* returned 31.31%, briefly surpassing the pre-pandemic peak before giving up gains in September. This increase was in spite of personal and economic hardships imposed by the onset of COVID-19, highlighting the crucial role of policy support.
While the outlook on fiscal policy is contingent on the 2020 presidential election outcome, the monetary policy outlook is far less dependent on it. Our views hold that the Fed will remain accommodative over the next several years. This is in large part owing to recent revisions to the Fed’s policy framework that resulted in a dovish shift in the policy reaction function.
Fed policymakers revised their Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. Labor market goals now focus on correcting shortfalls in achieving maximum employment, rather than managing deviations from it, which previously included tightening policy when the Fed thought the labor market was too tight. Instead, the Fed will now tolerate the unemployment rate falling below a level they consider to be maximum employment as long as it does not produce unwanted inflation. On inflation policy, the Fed will aim for core inflation to average 2% over an unspecified time period. This allows for inflation readings that are moderately above 2% over shorter horizons to make up for periods when inflation falls below its target.
The practical effect of the revised strategy would likely have meant no rate hikes from 2015–2018, as inflation was never above 2% for a sustained period and a low unemployment rate is now an insufficient justification for raising rates. But the revised statement, and Fed Chair Jerome Powell’s speech at Jackson Hole, which coincided with the release of the new framework, gave no explanation of how the Fed would actually achieve higher inflation, something it could not attain previously with years of short-term rates at zero and trillions of dollars in quantitative easing. A lack of concrete guidance on the overshoot (with no numerical target and no specified time frame) further weakens the policy and the associated response in inflation expectations, which remain lower than the Fed would favor.
We expect the Fed will have a difficult time in reaching its inflation target in the coming years, let alone exceeding it, in part because core inflation lags real gross domestic product growth by about 18 months, meaning that inflation should trend downward over the next several quarters. In addition, elevated unemployment and a high debt burden will weigh on the speed of the recovery. As the last expansion demonstrated, even a strong economy with low unemployment does not necessarily produce inflation in excess of 2%, as many components of inflation are not responsive to interest rates or economic conditions.
Below-target inflation may anchor U.S. Treasury yields at low levels. In the near term, concerns over another COVID-19 wave complicated by the flu season, a slowing pace of improvement in the labor market, a lack of additional fiscal stimulus, and election uncertainty, all suggest low U.S. Treasury yields. In addition, comparatively higher yields in the U.S. should continue to attract capital from abroad, further supporting the market.
For the six-month period ended September 30, 2020, the MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.39%. The return of the MSCI Emerging Markets Index* was 29.36%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 3.53% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 15.24%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2020 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
BNY Mellon Emerging Markets 50 ADR Index is capitalization-weighted and designed to track the performance of approximately 50 emerging market-based depositary receipts.
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.
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.
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.
Morningstar Long/Short Equity Category Average represents long-short portfolios which hold sizable stakes in both long and short positions in equities and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. Some funds may simply hedge long stock positions through exchange traded funds or derivatives. At least 75% of the assets are in equity securities or derivatives.
Russell 3000® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market
S&P 500® 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 SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings 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 SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2020 and ending September 30, 2020.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Long Short Equity Fund | | | | | |
A-Class | 1.79% | 13.60% | $ 1,000.00 | $ 1,136.00 | $ 9.58 |
C-Class | 2.55% | 13.24% | 1,000.00 | 1,132.40 | 13.63 |
P-Class | 1.79% | 13.62% | 1,000.00 | 1,136.20 | 9.59 |
Institutional Class | 1.54% | 13.73% | 1,000.00 | 1,137.30 | 8.25 |
Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.87% | 88.15% | 1,000.00 | 1,881.50 | 13.51 |
C-Class | 2.62% | 87.44% | 1,000.00 | 1,874.40 | 18.88 |
H-Class | 1.87% | 88.12% | 1,000.00 | 1,881.20 | 13.51 |
Inverse Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.88% | (56.05%) | 1,000.00 | 439.50 | 6.78 |
C-Class | 2.67% | (56.15%) | 1,000.00 | 438.50 | 9.63 |
H-Class | 1.92% | (56.05%) | 1,000.00 | 439.50 | 6.93 |
Emerging Markets Bond Strategy Fund | | | | | |
A-Class | 1.76% | 11.26% | 1,000.00 | 1,112.60 | 9.32 |
C-Class | 2.44% | 10.85% | 1,000.00 | 1,108.50 | 12.90 |
H-Class | 1.68% | 11.28% | 1,000.00 | 1,112.80 | 8.90 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2020 | Ending
Account Value
September 30, 2020 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Long Short Equity Fund | | | | | |
A-Class | 1.79% | 5.00% | $ 1,000.00 | $ 1,016.09 | $ 9.05 |
C-Class | 2.55% | 5.00% | 1,000.00 | 1,012.28 | 12.86 |
P-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Institutional Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 |
C-Class | 2.62% | 5.00% | 1,000.00 | 1,011.93 | 13.21 |
H-Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 |
Inverse Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 |
C-Class | 2.67% | 5.00% | 1,000.00 | 1,011.68 | 13.46 |
H-Class | 1.92% | 5.00% | 1,000.00 | 1,015.44 | 9.70 |
Emerging Markets Bond Strategy Fund | | | | | |
A-Class | 1.76% | 5.00% | 1,000.00 | 1,016.24 | 8.90 |
C-Class | 2.44% | 5.00% | 1,000.00 | 1,012.84 | 12.31 |
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 |
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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2020 to September 30, 2020. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
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) |
Microsoft Corp. | 1.4% |
Apple, Inc. | 1.3% |
Verizon Communications, Inc. | 1.2% |
Johnson & Johnson | 1.1% |
International Business Machines Corp. | 1.1% |
Allstate Corp. | 1.0% |
Procter & Gamble Co. | 1.0% |
Cisco Systems, Inc. | 1.0% |
MetLife, Inc. | 1.0% |
Alphabet, Inc. — Class C | 1.0% |
Top Ten Total | 11.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | 10 Year |
A-Class Shares | 13.60% | 2.06% | 1.06% | 3.06% |
A-Class Shares with sales charge‡ | 8.23% | (2.78%) | 0.08% | 2.56% |
C-Class Shares | 13.24% | 1.30% | 0.31% | 2.30% |
C-Class Shares with CDSC§ | 12.24% | 0.30% | 0.31% | 2.30% |
P-Class Shares | 13.62% | 2.06% | 1.07% | 3.06% |
Morningstar Long/Short Equity Category Average** | 10.64% | (1.00%) | 2.42% | 3.83% |
S&P 500 Index** | 31.31% | 15.15% | 14.15% | 13.74% |
| 6 Month† | 1 Year | 5 Year | Since
Inception
(11/30/11) |
Institutional Class Shares | 13.73% | 2.29% | 1.33% | 3.60% |
Morningstar Long/Short Equity Category Average** | 10.64% | (1.00%) | 2.42% | 3.83% |
S&P 500 Index** | 31.31% | 15.15% | 14.15% | 14.22% |
* | 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 Morningstar Long/Short Equity Category Average 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. |
** | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.2% |
| | | | | | | | | |
Consumer, Non-cyclical - 29.0% |
Johnson & Johnson1 | | | 1,140 | | | $ | 169,723 | |
Procter & Gamble Co.1 | | | 1,140 | | | | 158,449 | |
Merck & Company, Inc.1 | | | 1,766 | | | | 146,490 | |
Amgen, Inc.1 | | | 562 | | | | 142,838 | |
McKesson Corp.1 | | | 922 | | | | 137,313 | |
General Mills, Inc.1 | | | 2,198 | | | | 135,573 | |
Molson Coors Beverage Co. — Class B1 | | | 4,039 | | | | 135,549 | |
Colgate-Palmolive Co. | | | 1,716 | | | | 132,389 | |
Kimberly-Clark Corp.1 | | | 881 | | | | 130,088 | |
Automatic Data Processing, Inc. | | | 916 | | | | 127,773 | |
Cardinal Health, Inc. | | | 2,636 | | | | 123,760 | |
Campbell Soup Co. | | | 2,358 | | | | 114,056 | |
Philip Morris International, Inc.1 | | | 1,519 | | | | 113,910 | |
UnitedHealth Group, Inc. | | | 357 | | | | 111,302 | |
Altria Group, Inc.1 | | | 2,876 | | | | 111,128 | |
Kellogg Co. | | | 1,643 | | | | 106,121 | |
JM Smucker Co.1 | | | 901 | | | | 104,084 | |
Monster Beverage Corp.* | | | 1,209 | | | | 96,962 | |
Eli Lilly & Co.1 | | | 633 | | | | 93,697 | |
Pfizer, Inc.1 | | | 2,398 | | | | 88,007 | |
Gilead Sciences, Inc.1 | | | 1,349 | | | | 85,243 | |
Kraft Heinz Co. | | | 2,839 | | | | 85,028 | |
United Rentals, Inc.* | | | 452 | | | | 78,874 | |
Biogen, Inc.* | | | 277 | | | | 78,579 | |
Ingredion, Inc.1 | | | 979 | | | | 74,091 | |
Mondelez International, Inc. — Class A | | | 1,278 | | | | 73,421 | |
Church & Dwight Company, Inc. | | | 753 | | | | 70,564 | |
Tyson Foods, Inc. — Class A | | | 1,183 | | | | 70,365 | |
Jazz Pharmaceuticals plc* | | | 490 | | | | 69,869 | |
DaVita, Inc.* | | | 706 | | | | 60,469 | |
United Therapeutics Corp.* | | | 587 | | | | 59,287 | |
John B Sanfilippo & Son, Inc. | | | 765 | | | | 57,666 | |
CVS Health Corp.1 | | | 918 | | | | 53,611 | |
Bristol-Myers Squibb Co. | | | 889 | | | | 53,598 | |
Quanta Services, Inc. | | | 996 | | | | 52,649 | |
Medtronic plc | | | 495 | | | | 51,440 | |
Rent-A-Center, Inc. | | | 1,681 | | | | 50,245 | |
Regeneron Pharmaceuticals, Inc.* | | | 86 | | | | 48,141 | |
Anthem, Inc. | | | 169 | | | | 45,391 | |
TreeHouse Foods, Inc.* | | | 1,116 | | | | 45,231 | |
Cigna Corp. | | | 260 | | | | 44,046 | |
Post Holdings, Inc.* | | | 507 | | | | 43,602 | |
STERIS plc | | | 241 | | | | 42,462 | |
Conagra Brands, Inc. | | | 1,177 | | | | 42,031 | |
Constellation Brands, Inc. — Class A | | | 221 | | | | 41,882 | |
Molina Healthcare, Inc.* | | | 218 | | | | 39,903 | |
Ionis Pharmaceuticals, Inc.* | | | 782 | | | | 37,106 | |
Innoviva, Inc.* | | | 3,326 | | | | 34,757 | |
Illumina, Inc.* | | | 112 | | | | 34,617 | |
Euronet Worldwide, Inc.* | | | 363 | | | | 33,069 | |
Hill-Rom Holdings, Inc. | | | 393 | | | | 32,819 | |
Alkermes plc* | | | 1,976 | | | | 32,742 | |
Alexion Pharmaceuticals, Inc.* | | | 283 | | | | 32,384 | |
Prestige Consumer Healthcare, Inc.* | | | 873 | | | | 31,795 | |
Incyte Corp.* | | | 354 | | | | 31,768 | |
Hologic, Inc.* | | | 476 | | | | 31,640 | |
USANA Health Sciences, Inc.* | | | 395 | | | | 29,092 | |
Abbott Laboratories | | | 247 | | | | 26,881 | |
Thermo Fisher Scientific, Inc.1 | | | 59 | | | | 26,050 | |
PepsiCo, Inc.1 | | | 156 | | | | 21,621 | |
Coca-Cola Co. | | | 437 | | | | 21,575 | |
Danaher Corp. | | | 98 | | | | 21,102 | |
Total Consumer, Non-cyclical | | | | | | | 4,475,918 | |
| | | | | | | | | |
Industrial - 13.7% |
Caterpillar, Inc.1 | | | 960 | | | | 143,184 | |
Hubbell, Inc. | | | 979 | | | | 133,966 | |
Masco Corp. | | | 2,393 | | | | 131,926 | |
Snap-on, Inc.1 | | | 779 | | | | 114,614 | |
TE Connectivity Ltd. | | | 1,050 | | | | 102,627 | |
Waters Corp.*,1 | | | 485 | | | | 94,905 | |
AGCO Corp. | | | 1,070 | | | | 79,469 | |
Vishay Intertechnology, Inc. | | | 4,938 | | | | 76,885 | |
Lincoln Electric Holdings, Inc.1 | | | 744 | | | | 68,478 | |
Illinois Tool Works, Inc. | | | 354 | | | | 68,396 | |
Oshkosh Corp. | | | 916 | | | | 67,326 | |
Lockheed Martin Corp. | | | 167 | | | | 64,008 | |
Emerson Electric Co.1 | | | 915 | | | | 59,997 | |
Timken Co. | | | 995 | | | | 53,949 | |
ITT, Inc. | | | 910 | | | | 53,735 | |
Garmin Ltd. | | | 558 | | | | 52,932 | |
Eaton Corporation plc | | | 496 | | | | 50,607 | |
Regal Beloit Corp. | | | 515 | | | | 48,343 | |
Owens Corning | | | 688 | | | | 47,342 | |
Terex Corp. | | | 2,248 | | | | 43,521 | |
Acuity Brands, Inc. | | | 398 | | | | 40,735 | |
Schneider National, Inc. — Class B | | | 1,618 | | | | 40,013 | |
Energizer Holdings, Inc. | | | 996 | | | | 38,983 | |
National Instruments Corp. | | | 1,024 | | | | 36,557 | |
Allegion plc | | | 360 | | | | 35,607 | |
Pentair plc | | | 765 | | | | 35,014 | |
A O Smith Corp. | | | 662 | | | | 34,954 | |
Dover Corp. | | | 321 | | | | 34,777 | |
Trane Technologies plc | | | 286 | | | | 34,678 | |
Lennox International, Inc. | | | 125 | | | | 34,076 | |
Arrow Electronics, Inc.* | | | 427 | | | | 33,588 | |
Agilent Technologies, Inc. | | | 311 | | | | 31,392 | |
Westrock Co. | | | 898 | | | | 31,197 | |
3M Co. | | | 189 | | | | 30,274 | |
Raytheon Technologies Corp. | | | 510 | | | | 29,345 | |
United Parcel Service, Inc. — Class B | | | 124 | | | | 20,662 | |
Union Pacific Corp.1 | | | 102 | | | | 20,081 | |
Total Industrial | | | | | | | 2,118,143 | |
| | | | | | | | | |
Technology - 13.4% |
Microsoft Corp.1 | | | 994 | | | | 209,068 | |
Apple, Inc.1 | | | 1,764 | | | | 204,289 | |
International Business Machines Corp. | | | 1,376 | | | | 167,418 | |
Cerner Corp.1 | | | 1,986 | | | | 143,568 | |
SS&C Technologies Holdings, Inc. | | | 2,038 | | | | 123,340 | |
Intel Corp.1 | | | 2,371 | | | | 122,770 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Texas Instruments, Inc. | | | 854 | | | $ | 121,943 | |
Seagate Technology plc | | | 2,139 | | | | 105,388 | |
QUALCOMM, Inc. | | | 824 | | | | 96,968 | |
NetApp, Inc. | | | 2,187 | | | | 95,878 | |
KLA Corp. | | | 411 | | | | 79,627 | |
Oracle Corp.1 | | | 1,307 | | | | 78,028 | |
CDK Global, Inc. | | | 1,763 | | | | 76,849 | |
Zebra Technologies Corp. — Class A* | | | 294 | | | | 74,223 | |
Microchip Technology, Inc. | | | 427 | | | | 43,879 | |
Applied Materials, Inc. | | | 697 | | | | 41,437 | |
Cirrus Logic, Inc.* | | | 601 | | | | 40,537 | |
Synaptics, Inc.* | | | 450 | | | | 36,189 | |
Teradata Corp.* | | | 1,592 | | | | 36,138 | |
HP, Inc. | | | 1,833 | | | | 34,809 | |
Kulicke & Soffa Industries, Inc. | | | 1,429 | | | | 32,010 | |
Adobe, Inc.* | | | 63 | | | | 30,897 | |
Intuit, Inc. | | | 65 | | | | 21,204 | |
Broadcom, Inc. | | | 57 | | | | 20,766 | |
Accenture plc — Class A | | | 87 | | | | 19,661 | |
Total Technology | | | | | | | 2,056,884 | |
| | | | | | | | | |
Financial - 11.2% |
Allstate Corp.1 | | | 1,698 | | | | 159,850 | |
MetLife, Inc. | | | 4,185 | | | | 155,556 | |
Equity Residential REIT | | | 2,580 | | | | 132,431 | |
Highwoods Properties, Inc. REIT | | | 2,943 | | | | 98,797 | |
Berkshire Hathaway, Inc. — Class B* | | | 463 | | | | 98,591 | |
Boston Properties, Inc. REIT | | | 1,227 | | | | 98,528 | |
JPMorgan Chase & Co. | | | 870 | | | | 83,755 | |
Western Union Co. | | | 3,619 | | | | 77,555 | |
Travelers Companies, Inc. | | | 710 | | | | 76,815 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 5,181 | | | | 70,306 | |
Hartford Financial Services Group, Inc. | | | 1,731 | | | | 63,805 | |
Kennedy-Wilson Holdings, Inc. | | | 4,325 | | | | 62,799 | |
Bank of America Corp. | | | 2,560 | | | | 61,671 | |
CBRE Group, Inc. — Class A* | | | 1,192 | | | | 55,988 | |
Aflac, Inc. | | | 1,506 | | | | 54,743 | |
Ameriprise Financial, Inc. | | | 346 | | | | 53,322 | |
PNC Financial Services Group, Inc. | | | 386 | | | | 42,425 | |
Visa, Inc. — Class A | | | 205 | | | | 40,994 | |
Waddell & Reed Financial, Inc. — Class A | | | 2,615 | | | | 38,833 | |
Mastercard, Inc. — Class A | | | 107 | | | | 36,184 | |
Synchrony Financial | | | 1,381 | | | | 36,141 | |
Aon plc — Class A | | | 152 | | | | 31,358 | |
M&T Bank Corp. | | | 269 | | | | 24,772 | |
American Express Co. | | | 213 | | | | 21,353 | |
U.S. Bancorp | | | 572 | | | | 20,506 | |
Wells Fargo & Co. | | | 867 | | | | 20,383 | |
Total Financial | | | | | | | 1,717,461 | |
| | | | | | | | | |
Communications - 10.9% |
Verizon Communications, Inc.1 | | | 3,107 | | | | 184,835 | |
Cisco Systems, Inc.1 | | | 4,007 | | | | 157,836 | |
Alphabet, Inc. — Class C*,1 | | | 100 | | | | 146,960 | |
Amazon.com, Inc.*,1 | | | 46 | | | | 144,842 | |
Viavi Solutions, Inc.* | | | 10,141 | | | | 118,954 | |
T-Mobile US, Inc.* | | | 993 | | | | 113,559 | |
Juniper Networks, Inc. | | | 5,067 | | | | 108,941 | |
AT&T, Inc.1 | | | 3,740 | | | | 106,627 | |
Omnicom Group, Inc.1 | | | 2,018 | | | | 99,891 | |
Facebook, Inc. — Class A*,1 | | | 288 | | | | 75,427 | |
Comcast Corp. — Class A1 | | | 1,451 | | | | 67,123 | |
Motorola Solutions, Inc. | | | 421 | | | | 66,017 | |
eBay, Inc. | | | 1,159 | | | | 60,384 | |
VeriSign, Inc.* | | | 284 | | | | 58,177 | |
Ciena Corp.* | | | 1,242 | | | | 49,295 | |
Sirius XM Holdings, Inc. | | | 8,129 | | | | 43,571 | |
Walt Disney Co. | | | 244 | | | | 30,276 | |
Netflix, Inc.* | | | 52 | | | | 26,002 | |
Yelp, Inc. — Class A* | | | 1,278 | | | | 25,675 | |
Total Communications | | | | | | | 1,684,392 | |
| | | | | | | | | |
Utilities - 10.9% |
Public Service Enterprise Group, Inc.1 | | | 2,400 | | | | 131,784 | |
Evergy, Inc. | | | 2,475 | | | | 125,780 | |
PPL Corp.1 | | | 4,526 | | | | 123,152 | |
Exelon Corp.1 | | | 3,330 | | | | 119,081 | |
WEC Energy Group, Inc. | | | 1,021 | | | | 98,935 | |
Dominion Energy, Inc. | | | 1,228 | | | | 96,926 | |
Consolidated Edison, Inc. | | | 1,068 | | | | 83,090 | |
Southern Co.1 | | | 1,460 | | | | 79,161 | |
ONE Gas, Inc. | | | 938 | | | | 64,731 | |
NiSource, Inc. | | | 2,919 | | | | 64,218 | |
Portland General Electric Co. | | | 1,768 | | | | 62,764 | |
Ameren Corp. | | | 771 | | | | 60,971 | |
OGE Energy Corp. | | | 1,916 | | | | 57,461 | |
Entergy Corp. | | | 526 | | | | 51,827 | |
Alliant Energy Corp. | | | 997 | | | | 51,495 | |
NorthWestern Corp. | | | 1,049 | | | | 51,023 | |
CenterPoint Energy, Inc. | | | 2,631 | | | | 50,910 | |
NextEra Energy, Inc. | | | 179 | | | | 49,683 | |
UGI Corp. | | | 1,497 | | | | 49,371 | |
Pinnacle West Capital Corp.1 | | | 629 | | | | 46,892 | |
IDACORP, Inc. | | | 582 | | | | 46,502 | |
National Fuel Gas Co.1 | | | 1,138 | | | | 46,192 | |
Southwest Gas Holdings, Inc. | | | 502 | | | | 31,676 | |
Avista Corp. | | | 904 | | | | 30,845 | |
Total Utilities | | | | | | | 1,674,470 | |
| | | | | | | | | |
Consumer, Cyclical - 9.4% |
Gentex Corp.1 | | | 5,225 | | | | 134,544 | |
Cummins, Inc.1 | | | 622 | | | | 131,341 | |
Best Buy Company, Inc. | | | 1,155 | | | | 128,540 | |
Autoliv, Inc. | | | 1,721 | | | | 125,426 | |
Allison Transmission Holdings, Inc.1 | | | 2,653 | | | | 93,226 | |
PACCAR, Inc. | | | 1,063 | | | | 90,653 | |
Gentherm, Inc.* | | | 2,115 | | | | 86,504 | |
Dolby Laboratories, Inc. — Class A | | | 1,128 | | | | 74,764 | |
Genuine Parts Co. | | | 719 | | | | 68,427 | |
PulteGroup, Inc. | | | 1,400 | | | | 64,806 | |
Whirlpool Corp. | | | 337 | | | | 61,971 | |
Lear Corp.1 | | | 490 | | | | 53,435 | |
General Motors Co. | | | 1,742 | | | | 51,546 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Hanesbrands, Inc. | | | 2,543 | | | $ | 40,052 | |
Brunswick Corp. | | | 671 | | | | 39,528 | |
Walmart, Inc. | | | 275 | | | | 38,475 | |
Home Depot, Inc.1 | | | 120 | | | | 33,325 | |
MSC Industrial Direct Company, Inc. — Class A | | | 499 | | | | 31,577 | |
Lowe’s Companies, Inc. | | | 190 | | | | 31,514 | |
Mohawk Industries, Inc.* | | | 313 | | | | 30,546 | |
Costco Wholesale Corp. | | | 59 | | | | 20,945 | |
McDonald’s Corp. | | | 94 | | | | 20,632 | |
Total Consumer, Cyclical | | | | | | | 1,451,777 | |
| | | | | | | | | |
Basic Materials - 0.4% |
Dow, Inc. | | | 643 | | | | 30,253 | |
Domtar Corp. | | | 1,146 | | | | 30,106 | |
DuPont de Nemours, Inc. | | | 85 | | | | 4,716 | |
Total Basic Materials | | | | | | | 65,075 | |
| | | | | | | | | |
Energy - 0.3% |
Exxon Mobil Corp.1 | | | 628 | | | | 21,559 | |
Chevron Corp. | | | 276 | | | | 19,872 | |
Total Energy | | | | | | | 41,431 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $14,687,868) | | | | | | | 15,285,551 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.8% |
Invesco Short-Term Investments Trust Treasury Obligations Portfolio Institutional Class 0.01%2 | | | 433,776 | | | | 433,776 | |
Total Money Market Fund | | | | |
(Cost $433,776) | | | | | | | 433,776 | |
| | | | | | | | | |
Total Investments - 102.0% | | | | |
(Cost $15,121,644) | | $ | 15,719,327 | |
Other Assets & Liabilities, net - (2.0)% | | | (302,235 | ) |
Total Net Assets - 100.0% | | $ | 15,417,092 | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | 0.49% (Federal Funds Rate + 0.40%) | At Maturity | | | 03/27/24 | | | $ | 3,757,270 | | | $ | 42,040 | |
Goldman Sachs International | GS Equity Custom Basket | 0.54% (Federal Funds Rate + 0.45%) | At Maturity | | | 05/06/24 | | | | 3,755,591 | | | | 41,321 | |
| | | | | | | | | | $ | 7,512,861 | | | $ | 83,361 | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | (0.21%) (Federal Funds Rate - 0.30%) | At Maturity | | | 03/27/24 | | | $ | 5,430,287 | | | $ | (176,739 | ) |
Goldman Sachs International | GS Equity Custom Basket | (0.12%) (Federal Funds Rate - 0.21%) | At Maturity | | | 05/06/24 | | | | 5,247,738 | | | | (158,110 | ) |
| | | | | | | | | | $ | 10,678,025 | | | $ | (334,849 | ) |
| | | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation | |
| GS EQUITY LONG CUSTOM BASKET | | | | | | | | | | | | |
| Industrial | | | | | | | | | | | | |
| Caterpillar, Inc. | | | 236 | | | | 0.93 | % | | $ | 6,195 | |
| Snap-on, Inc. | | | 191 | | | | 0.75 | % | | | 5,249 | |
| TE Connectivity Ltd. | | | 258 | | | | 0.67 | % | | | 4,023 | |
| Owens Corning | | | 169 | | | | 0.31 | % | | | 3,755 | |
| Regal Beloit Corp. | | | 126 | | | | 0.31 | % | | | 2,798 | |
| Schneider National, Inc. — Class B | | | 398 | | | | 0.26 | % | | | 2,694 | |
| Westrock Co. | | | 221 | | | | 0.20 | % | | | 2,269 | |
| Garmin Ltd. | | | 137 | | | | 0.35 | % | | | 1,491 | |
| Lincoln Electric Holdings, Inc. | | | 183 | | | | 0.45 | % | | | 1,327 | |
| Timken Co. | | | 245 | | | | 0.35 | % | | | 1,312 | |
| Union Pacific Corp. | | | 25 | | | | 0.13 | % | | | 1,197 | |
| Illinois Tool Works, Inc. | | | 87 | | | | 0.45 | % | | | 957 | |
| Eaton Corporation plc | | | 122 | | | | 0.33 | % | | | 725 | |
| A O Smith Corp. | | | 163 | | | | 0.23 | % | | | 677 | |
| AGCO Corp. | | | 263 | | | | 0.52 | % | | | 633 | |
| 3M Co. | | | 46 | | | | 0.20 | % | | | 505 | |
| Arrow Electronics, Inc. | | | 105 | | | | 0.22 | % | | | 366 | |
| United Parcel Service, Inc. — Class B | | | 30 | | | | 0.13 | % | | | 317 | |
| Acuity Brands, Inc. | | | 98 | | | | 0.27 | % | | | 290 | |
| Agilent Technologies, Inc. | | | 76 | | | | 0.20 | % | | | 237 | |
| Lennox International, Inc. | | | 30 | | | | 0.22 | % | | | 199 | |
| Allegion plc | | | 88 | | | | 0.23 | % | | | 171 | |
| Emerson Electric Co. | | | 225 | | | | 0.39 | % | | | 123 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Hubbell, Inc. | | | 241 | | | | 0.88 | % | | $ | 101 | |
Trane Technologies plc | | | 70 | | | | 0.23 | % | | | 47 | |
Dover Corp. | | | 79 | | | | 0.23 | % | | | (1 | ) |
Pentair plc | | | 188 | | | | 0.23 | % | | | (4 | ) |
Energizer Holdings, Inc. | | | 245 | | | | 0.26 | % | | | (103 | ) |
Lockheed Martin Corp. | | | 41 | | | | 0.42 | % | | | (215 | ) |
ITT, Inc. | | | 224 | | | | 0.35 | % | | | (233 | ) |
Raytheon Technologies Corp. | | | 125 | | | | 0.19 | % | | | (274 | ) |
National Instruments Corp. | | | 252 | | | | 0.24 | % | | | (307 | ) |
Vishay Intertechnology, Inc. | | | 1,216 | | | | 0.50 | % | | | (381 | ) |
Waters Corp. | | | 119 | | | | 0.62 | % | | | (946 | ) |
Masco Corp. | | | 589 | | | | 0.86 | % | | | (994 | ) |
Oshkosh Corp. | | | 225 | | | | 0.44 | % | | | (997 | ) |
Terex Corp. | | | 553 | | | | 0.29 | % | | | (4,391 | ) |
Total Industrial | | | | | | | | | | | 28,812 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amgen, Inc. | | | 138 | | | | 0.93 | % | | | 8,159 | |
Procter & Gamble Co. | | | 280 | | | | 1.04 | % | | | 5,403 | |
Rent-A-Center, Inc. | | | 414 | | | | 0.33 | % | | | 4,591 | |
Eli Lilly & Co. | | | 156 | | | | 0.61 | % | | | 4,037 | |
United Rentals, Inc. | | | 111 | | | | 0.52 | % | | | 3,960 | |
Johnson & Johnson | | | 280 | | | | 1.11 | % | | | 3,118 | |
McKesson Corp. | | | 227 | | | | 0.90 | % | | | 3,063 | |
Kimberly-Clark Corp. | | | 217 | | | | 0.85 | % | | | 1,904 | |
JM Smucker Co. | | | 221 | | | | 0.68 | % | | | 1,874 | |
Jazz Pharmaceuticals plc | | | 120 | | | | 0.46 | % | | | 1,766 | |
Thermo Fisher Scientific, Inc. | | | 14 | | | | 0.16 | % | | | 1,762 | |
Abbott Laboratories | | | 60 | | | | 0.17 | % | | | 1,676 | |
UnitedHealth Group, Inc. | | | 87 | | | | 0.72 | % | | | 1,598 | |
Kellogg Co. | | | 404 | | | | 0.69 | % | | | 1,318 | |
STERIS plc | | | 59 | | | | 0.28 | % | | | 1,317 | |
Mondelez International, Inc. — Class A | | | 314 | | | | 0.48 | % | | | 1,303 | |
Monster Beverage Corp. | | | 297 | | | | 0.63 | % | | | 1,265 | |
Colgate-Palmolive Co. | | | 422 | | | | 0.87 | % | | | 1,263 | |
Automatic Data Processing, Inc. | | | 225 | | | | 0.84 | % | | | 1,190 | |
CVS Health Corp. | | | 226 | | | | 0.35 | % | | | 976 | |
Alexion Pharmaceuticals, Inc. | | | 69 | | | | 0.21 | % | | | 804 | |
Medtronic plc | | | 122 | | | | 0.34 | % | | | 776 | |
Merck & Company, Inc. | | | 434 | | | | 0.96 | % | | | 705 | |
Anthem, Inc. | | | 41 | | | | 0.29 | % | | | 487 | |
Molina Healthcare, Inc. | | | 53 | | | | 0.26 | % | | | 348 | |
Conagra Brands, Inc. | | | 290 | | | | 0.28 | % | | | 340 | |
Prestige Consumer Healthcare, Inc. | | | 215 | | | | 0.21 | % | | | 295 | |
Danaher Corp. | | | 24 | | | | 0.14 | % | | | 217 | |
PepsiCo, Inc. | | | 38 | | | | 0.14 | % | | | 205 | |
DaVita, Inc. | | | 173 | | | | 0.39 | % | | | 170 | |
Quanta Services, Inc. | | | 245 | | | | 0.34 | % | | | 118 | |
General Mills, Inc. | | | 541 | | | | 0.89 | % | | | 102 | |
Constellation Brands, Inc. — Class A | | | 54 | | | | 0.27 | % | | | 70 | |
Church & Dwight Company, Inc. | | | 185 | | | | 0.46 | % | | | 28 | |
Bristol-Myers Squibb Co. | | | 218 | | | | 0.35 | % | | | (92 | ) |
USANA Health Sciences, Inc. | | | 97 | | | | 0.19 | % | | | (112 | ) |
Regeneron Pharmaceuticals, Inc. | | | 21 | | | | 0.31 | % | | | (134 | ) |
Coca-Cola Co. | | | 107 | | | | 0.14 | % | | | (213 | ) |
Hologic, Inc. | | | 117 | | | | 0.21 | % | | | (263 | ) |
Cardinal Health, Inc. | | | 649 | | | | 0.81 | % | | | (291 | ) |
Campbell Soup Co. | | | 580 | | | | 0.75 | % | | | (609 | ) |
Incyte Corp. | | | 87 | | | | 0.21 | % | | | (728 | ) |
Philip Morris International, Inc. | | | 374 | | | | 0.75 | % | | | (800 | ) |
Post Holdings, Inc. | | | 124 | | | | 0.28 | % | | | (846 | ) |
Euronet Worldwide, Inc. | | | 89 | | | | 0.22 | % | | | (873 | ) |
Cigna Corp. | | | 64 | | | | 0.29 | % | | | (1,005 | ) |
Alkermes plc | | | 486 | | | | 0.21 | % | | | (1,011 | ) |
Hill-Rom Holdings, Inc. | | | 96 | | | | 0.21 | % | | | (1,033 | ) |
Illumina, Inc. | | | 27 | | | | 0.22 | % | | | (1,120 | ) |
Tyson Foods, Inc. — Class A | | | 291 | | | | 0.46 | % | | | (1,219 | ) |
Ionis Pharmaceuticals, Inc. | | | 192 | | | | 0.24 | % | | | (1,469 | ) |
United Therapeutics Corp. | | | 144 | | | | 0.39 | % | | | (1,482 | ) |
Pfizer, Inc. | | | 590 | | | | 0.58 | % | | | (1,487 | ) |
Kraft Heinz Co. | | | 699 | | | | 0.56 | % | | | (1,517 | ) |
Ingredion, Inc. | | | 241 | | | | 0.49 | % | | | (1,801 | ) |
Altria Group, Inc. | | | 708 | | | | 0.73 | % | | | (1,805 | ) |
TreeHouse Foods, Inc. | | | 274 | | | | 0.30 | % | | | (1,911 | ) |
Biogen, Inc. | | | 68 | | | | 0.51 | % | | | (1,981 | ) |
Innoviva, Inc. | | | 819 | | | | 0.23 | % | | | (2,227 | ) |
John B Sanfilippo & Son, Inc. | | | 188 | | | | 0.38 | % | | | (2,874 | ) |
Gilead Sciences, Inc. | | | 332 | | | | 0.56 | % | | | (3,659 | ) |
Molson Coors Beverage Co. — Class B | | | 994 | | | | 0.89 | % | | | (12,295 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 11,351 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Waddell & Reed Financial, Inc. — Class A | | | 644 | | | | 0.25 | % | | | 1,403 | |
Berkshire Hathaway, Inc. — Class B | | | 114 | | | | 0.65 | % | | | 1,144 | |
Visa, Inc. — Class A | | | 50 | | | | 0.27 | % | | | 1,075 | |
CBRE Group, Inc. — Class A | | | 293 | | | | 0.37 | % | | | 864 | |
Mastercard, Inc. — Class A | | | 26 | | | | 0.23 | % | | | 770 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
PNC Financial Services Group, Inc. | | | 95 | | | | 0.28 | % | | $ | 440 | |
Western Union Co. | | | 891 | | | | 0.51 | % | | | 307 | |
American Express Co. | | | 52 | | | | 0.14 | % | | | 167 | |
Synchrony Financial | | | 340 | | | | 0.24 | % | | | 87 | |
Aon plc — Class A | | | 37 | | | | 0.20 | % | | | 69 | |
Aflac, Inc. | | | 371 | | | | 0.36 | % | | | 51 | |
U.S. Bancorp | | | 141 | | | | 0.13 | % | | | 51 | |
Ameriprise Financial, Inc. | | | 85 | | | | 0.35 | % | | | (539 | ) |
M&T Bank Corp. | | | 66 | | | | 0.16 | % | | | (817 | ) |
Hartford Financial Services Group, Inc. | | | 426 | | | | 0.42 | % | | | (1,372 | ) |
JPMorgan Chase & Co. | | | 214 | | | | 0.55 | % | | | (1,468 | ) |
Bank of America Corp. | | | 630 | | | | 0.40 | % | | | (1,568 | ) |
Wells Fargo & Co. | | | 213 | | | | 0.13 | % | | | (1,633 | ) |
Allstate Corp. | | | 418 | | | | 1.05 | % | | | (2,679 | ) |
Travelers Companies, Inc. | | | 174 | | | | 0.50 | % | | | (2,794 | ) |
MetLife, Inc. | | | 1,030 | | | | 1.02 | % | | | (3,558 | ) |
Piedmont Office Realty Trust, Inc. — Class A | | | 1,276 | | | | 0.46 | % | | | (4,952 | ) |
Kennedy-Wilson Holdings, Inc. | | | 1,065 | | | | 0.41 | % | | | (5,507 | ) |
Boston Properties, Inc. | | | 302 | | | | 0.65 | % | | | (5,783 | ) |
Highwoods Properties, Inc. | | | 724 | | | | 0.65 | % | | | (5,787 | ) |
Equity Residential | | | 635 | | | | 0.87 | % | | | (7,634 | ) |
Total Financial | | | | | | | | | | | (39,663 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 434 | | | | 1.33 | % | | | 27,251 | |
Microsoft Corp. | | | 244 | | | | 1.37 | % | | | 16,132 | |
QUALCOMM, Inc. | | | 203 | | | | 0.64 | % | | | 8,359 | |
Texas Instruments, Inc. | | �� | 210 | | | | 0.80 | % | | | 4,143 | |
CDK Global, Inc. | | | 434 | | | | 0.50 | % | | | 2,644 | |
Synaptics, Inc. | | | 110 | | | | 0.24 | % | | | 2,341 | |
Adobe, Inc. | | | 15 | | | | 0.20 | % | | | 2,035 | |
Oracle Corp. | | | 322 | | | | 0.51 | % | | | 1,852 | |
HP, Inc. | | | 451 | | | | 0.23 | % | | | 1,606 | |
Applied Materials, Inc. | | | 171 | | | | 0.27 | % | | | 1,148 | |
Cerner Corp. | | | 489 | | | | 0.94 | % | | | 802 | |
NetApp, Inc. | | | 538 | | | | 0.63 | % | | | 768 | |
Cirrus Logic, Inc. | | | 148 | | | | 0.27 | % | | | 510 | |
KLA Corp. | | | 101 | | | | 0.52 | % | | | 501 | |
Microchip Technology, Inc. | | | 105 | | | | 0.29 | % | | | 345 | |
Intuit, Inc. | | | 16 | | | | 0.14 | % | | | 247 | |
Broadcom, Inc. | | | 14 | | | | 0.14 | % | | | 68 | |
SS&C Technologies Holdings, Inc. | | | 501 | | | | 0.81 | % | | | (108 | ) |
Accenture plc — Class A | | | 21 | | | | 0.13 | % | | | (158 | ) |
Zebra Technologies Corp. — Class A | | | 72 | | | | 0.48 | % | | | (690 | ) |
Kulicke & Soffa Industries, Inc. | | | 352 | | | | 0.21 | % | | | (748 | ) |
Seagate Technology plc | | | 526 | | | | 0.69 | % | | | (1,400 | ) |
Teradata Corp. | | | 392 | | | | 0.24 | % | | | (1,676 | ) |
International Business Machines Corp. | | | 339 | | | | 1.10 | % | | | (1,774 | ) |
Intel Corp. | | | 584 | | | | 0.81 | % | | | (1,880 | ) |
Total Technology | | | | | | | | | | | 62,318 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Cummins, Inc. | | | 153 | | | | 0.86 | % | | | 7,850 | |
Autoliv, Inc. | | | 423 | | | | 0.82 | % | | | 4,512 | |
Hanesbrands, Inc. | | | 626 | | | | 0.26 | % | | | 4,059 | |
Whirlpool Corp. | | | 83 | | | | 0.41 | % | | | 2,784 | |
Gentherm, Inc. | | | 521 | | | | 0.57 | % | | | 2,184 | |
Home Depot, Inc. | | | 29 | | | | 0.21 | % | | | 2,167 | |
Lowe’s Companies, Inc. | | | 46 | | | | 0.20 | % | | | 1,400 | |
Lear Corp. | | | 120 | | | | 0.35 | % | | | 1,385 | |
Walmart, Inc. | | | 55 | | | | 0.20 | % | | | 925 | |
McDonald’s Corp. | | | 23 | | | | 0.13 | % | | | 857 | |
Best Buy Company, Inc. | | | 284 | | | | 0.84 | % | | | 742 | |
PulteGroup, Inc. | | | 344 | | | | 0.42 | % | | | 680 | |
PACCAR, Inc. | | | 261 | | | | 0.59 | % | | | 606 | |
Dolby Laboratories, Inc. — Class A | | | 277 | | | | 0.49 | % | | | 116 | |
Costco Wholesale Corp. | | | 14 | | | | 0.13 | % | | | 112 | |
Brunswick Corp. | | | 165 | | | | 0.26 | % | | | 51 | |
Genuine Parts Co. | | | 177 | | | | 0.45 | % | | | (60 | ) |
MSC Industrial Direct Company, Inc. — Class A | | | 123 | | | | 0.21 | % | | | (359 | ) |
Gentex Corp. | | | 1,286 | | | | 0.88 | % | | | (1,147 | ) |
General Motors Co. | | | 429 | | | | 0.34 | % | | | (2,329 | ) |
Mohawk Industries, Inc. | | | 77 | | | | 0.20 | % | | | (2,859 | ) |
Allison Transmission Holdings, Inc. | | | 653 | | | | 0.61 | % | | | (4,057 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 19,619 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Chevron Corp. | | | 68 | | | | 0.13 | % | | | (2,650 | ) |
Exxon Mobil Corp. | | | 154 | | | | 0.14 | % | | | (4,826 | ) |
Total Energy | | | | | | | | | | | (7,476 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Amazon.com, Inc. | | | 11 | | | | 0.92 | % | | | 13,065 | |
Alphabet, Inc. — Class C | | | 24 | | | | 0.94 | % | | | 9,235 | |
Facebook, Inc. — Class A | | | 71 | | | | 0.50 | % | | | 6,314 | |
Comcast Corp. — Class A | | | 357 | | | | 0.44 | % | | | 2,476 | |
Verizon Communications, Inc. | | | 727 | | | | 1.15 | % | | | 1,934 | |
T-Mobile US, Inc. | | | 244 | | | | 0.74 | % | | | 1,009 | |
Netflix, Inc. | | | 13 | | | | 0.17 | % | | | 939 | |
VeriSign, Inc. | | | 69 | | | | 0.38 | % | | | 235 | |
eBay, Inc. | | | 285 | | | | 0.40 | % | | | 200 | |
Motorola Solutions, Inc. | | | 103 | | | | 0.43 | % | | | 184 | |
Walt Disney Co. | | | 60 | | | | 0.20 | % | | | (293 | ) |
Viavi Solutions, Inc. | | | 2,497 | | | | 0.78 | % | | | (1,222 | ) |
Juniper Networks, Inc. | | | 1,247 | | | | 0.71 | % | | | (1,443 | ) |
Yelp, Inc. — Class A | | | 314 | | | | 0.17 | % | | | (1,783 | ) |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Sirius XM Holdings, Inc. | | | 2,002 | | | | 0.29 | % | | $ | (1,788 | ) |
Ciena Corp. | | | 306 | | | | 0.32 | % | | | (2,405 | ) |
Cisco Systems, Inc. | | | 986 | | | | 1.03 | % | | | (3,790 | ) |
AT&T, Inc. | | | 1,106 | | | | 0.84 | % | | | (6,730 | ) |
Omnicom Group, Inc. | | | 497 | | | | 0.66 | % | | | (12,435 | ) |
Total Communications | | | | | | | | | | | 3,702 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
WEC Energy Group, Inc. | | | 251 | | | | 0.65 | % | | | 763 | |
Dominion Energy, Inc. | | | 302 | | | | 0.63 | % | | | 612 | |
Ameren Corp. | | | 190 | | | | 0.40 | % | | | 586 | |
UGI Corp. | | | 368 | | | | 0.32 | % | | | 258 | |
CenterPoint Energy, Inc. | | | 648 | | | | 0.33 | % | | | 156 | |
Consolidated Edison, Inc. | | | 263 | | | | 0.54 | % | | | 45 | |
NextEra Energy, Inc. | | | 44 | | | | 0.33 | % | | | (137 | ) |
OGE Energy Corp. | | | 472 | | | | 0.38 | % | | | (462 | ) |
Southern Co. | | | 359 | | | | 0.52 | % | | | (528 | ) |
Public Service Enterprise Group, Inc. | | | 591 | | | | 0.86 | % | | | (562 | ) |
Entergy Corp. | | | 129 | | | | 0.34 | % | | | (646 | ) |
Pinnacle West Capital Corp. | | | 155 | | | | 0.31 | % | | | (719 | ) |
Alliant Energy Corp. | | | 245 | | | | 0.34 | % | | | (808 | ) |
Southwest Gas Holdings, Inc. | | | 123 | | | | 0.21 | % | | | (1,352 | ) |
IDACORP, Inc. | | | 143 | | | | 0.30 | % | | | (1,740 | ) |
Avista Corp. | | | 222 | | | | 0.20 | % | | | (1,940 | ) |
NiSource, Inc. | | | 719 | | | | 0.42 | % | | | (2,223 | ) |
National Fuel Gas Co. | | | 280 | | | | 0.30 | % | | | (2,236 | ) |
NorthWestern Corp. | | | 258 | | | | 0.33 | % | | | (2,370 | ) |
PPL Corp. | | | 1,114 | | | | 0.81 | % | | | (2,850 | ) |
ONE Gas, Inc. | | | 231 | | | | 0.42 | % | | | (3,048 | ) |
Evergy, Inc. | | | 609 | | | | 0.82 | % | | | (5,144 | ) |
Exelon Corp. | | | 820 | | | | 0.78 | % | | | (5,233 | ) |
Portland General Electric Co. | | | 435 | | | | 0.41 | % | | | (7,240 | ) |
Total Utilities | | | | | | | | | | | (36,818 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Arconic Corp. | | | 1 | | | | 0.00 | % | | | (3 | ) |
DuPont de Nemours, Inc. | | | 21 | | | | 0.03 | % | | | (7 | ) |
Dow, Inc. | | | 158 | | | | 0.20 | % | | | (77 | ) |
Domtar Corp. | | | 282 | | | | 0.20 | % | | | (437 | ) |
Total Basic Materials | | | | | | | | | | | (524 | ) |
Total GS Equity Long Custom Basket | | | | | | | 41,321 | |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
UDR, Inc. | | | 1,299 | | | | (0.82 | )% | | | 18,248 | |
Kilroy Realty Corp. | | | 924 | | | | (0.92 | )% | | | 12,818 | |
Acadia Realty Trust | | | 2,407 | | | | (0.48 | )% | | | 12,321 | |
Realty Income Corp. | | | 1,266 | | | | (1.47 | )% | | | 12,288 | |
Valley National Bancorp | | | 3,320 | | | | (0.43 | )% | | | 10,954 | |
First Midwest Bancorp, Inc. | | | 2,329 | | | | (0.48 | )% | | | 10,595 | |
JBG SMITH Properties | | | 1,543 | | | | (0.79 | )% | | | 10,061 | |
Alleghany Corp. | | | 164 | | | | (1.63 | )% | | | 7,549 | |
Fulton Financial Corp. | | | 3,217 | | | | (0.57 | )% | | | 7,345 | |
Brookline Bancorp, Inc. | | | 3,943 | | | | (0.65 | )% | | | 7,323 | |
First Financial Bankshares, Inc. | | | 1,311 | | | | (0.70 | )% | | | 6,434 | |
Southside Bancshares, Inc. | | | 1,210 | | | | (0.56 | )% | | | 6,214 | |
Medical Properties Trust, Inc. | | | 2,631 | | | | (0.88 | )% | | | 5,412 | |
Global Net Lease, Inc. | | | 1,959 | | | | (0.59 | )% | | | 4,733 | |
Agree Realty Corp. | | | 1,813 | | | | (2.20 | )% | | | 3,518 | |
Loews Corp. | | | 927 | | | | (0.61 | )% | | | 3,299 | |
TFS Financial Corp. | | | 1,747 | | | | (0.49 | )% | | | 2,679 | |
Healthpeak Properties, Inc. | | | 1,216 | | | | (0.63 | )% | | | 1,657 | |
CyrusOne, Inc. | | | 479 | | | | (0.64 | )% | | | 225 | |
American Tower Corp. — Class A | | | 64 | | | | (0.29 | )% | | | (267 | ) |
Rayonier, Inc. | | | 1,098 | | | | (0.55 | )% | | | (425 | ) |
Prologis, Inc. | | | 492 | | | | (0.94 | )% | | | (1,272 | ) |
Alexandria Real Estate Equities, Inc. | | | 336 | | | | (1.02 | )% | | | (1,766 | ) |
Healthcare Trust of America, Inc. — Class A | | | 1,889 | | | | (0.94 | )% | | | (2,242 | ) |
James River Group Holdings Ltd. | | | 803 | | | | (0.68 | )% | | | (2,318 | ) |
Crown Castle International Corp. | | | 202 | | | | (0.64 | )% | | | (3,198 | ) |
SBA Communications Corp. | | | 62 | | | | (0.38 | )% | | | (3,233 | ) |
First Republic Bank | | | 477 | | | | (0.99 | )% | | | (3,275 | ) |
EastGroup Properties, Inc. | | | 349 | | | | (0.86 | )% | | | (3,792 | ) |
STAG Industrial, Inc. | | | 1,009 | | | | (0.59 | )% | | | (4,440 | ) |
Sun Communities, Inc. | | | 476 | | | | (1.28 | )% | | | (5,236 | ) |
QTS Realty Trust, Inc. — Class A | | | 588 | | | | (0.71 | )% | | | (5,506 | ) |
Equinix, Inc. | | | 43 | | | | (0.62 | )% | | | (6,828 | ) |
Terreno Realty Corp. | | | 941 | | | | (0.98 | )% | | | (7,212 | ) |
Rexford Industrial Realty, Inc. | | | 1,704 | | | | (1.49 | )% | | | (10,278 | ) |
Total Financial | | | | | | | | | | | 82,385 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
California Water Service Group | | | 1,102 | | | | (0.91 | )% | | | 8,249 | |
American States Water Co. | | | 211 | | | | (0.30 | )% | | | 3,717 | |
American Water Works Company, Inc. | | | 149 | | | | (0.41 | )% | | | (1,235 | ) |
Total Utilities | | | | | | | | | | | 10,731 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Snap, Inc. — Class A | | | 1,189 | | | | (0.59 | )% | | | (525 | ) |
Zendesk, Inc. | | | 344 | | | | (0.67 | )% | | | (653 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Liberty Broadband Corp. — Class C | | | 688 | | | | (1.87 | )% | | $ | (5,212 | ) |
Q2 Holdings, Inc. | | | 385 | | | | (0.67 | )% | | | (5,589 | ) |
Okta, Inc. | | | 91 | | | | (0.37 | )% | | | (5,898 | ) |
Anaplan, Inc. | | | 372 | | | | (0.44 | )% | | | (8,504 | ) |
Total Communications | | | | | | | | | | | (26,381 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ashland Global Holdings, Inc. | | | 706 | | | | (0.95 | )% | | | 1,689 | |
Axalta Coating Systems Ltd. | | | 970 | | | | (0.41 | )% | | | 204 | |
United States Steel Corp. | | | 5,242 | | | | (0.73 | )% | | | (253 | ) |
Nucor Corp. | | | 909 | | | | (0.78 | )% | | | (420 | ) |
Newmont Corp. | | | 434 | | | | (0.52 | )% | | | (858 | ) |
Balchem Corp. | | | 859 | | | | (1.60 | )% | | | (1,146 | ) |
PPG Industries, Inc. | | | 237 | | | | (0.55 | )% | | | (1,879 | ) |
Ecolab, Inc. | | | 97 | | | | (0.37 | )% | | | (2,372 | ) |
Celanese Corp. — Class A | | | 480 | | | | (0.98 | )% | | | (3,532 | ) |
Linde plc | | | 375 | | | | (1.70 | )% | | | (10,392 | ) |
Albemarle Corp. | | | 623 | | | | (1.06 | )% | | | (14,371 | ) |
Freeport-McMoRan, Inc. | | | 2,513 | | | | (0.75 | )% | | | (16,528 | ) |
RPM International, Inc. | | | 1,087 | | | | (1.72 | )% | | | (18,901 | ) |
Air Products & Chemicals, Inc. | | | 324 | | | | (1.84 | )% | | | (19,582 | ) |
Quaker Chemical Corp. | | | 451 | | | | (1.54 | )% | | | (19,678 | ) |
Total Basic Materials | | | | | | | | | | | (108,019 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Exponent, Inc. | | | 824 | | | | (1.13 | )% | | | 3,772 | |
US Ecology, Inc. | | | 741 | | | | (0.46 | )% | | | 3,584 | |
AptarGroup, Inc. | | | 330 | | | | (0.71 | )% | | | 866 | |
Waste Management, Inc. | | | 297 | | | | (0.64 | )% | | | (67 | ) |
Ingersoll Rand, Inc. | | | 845 | | | | (0.57 | )% | | | (85 | ) |
TransDigm Group, Inc. | | | 62 | | | | (0.56 | )% | | | (344 | ) |
HEICO Corp. | | | 215 | | | | (0.43 | )% | | | (935 | ) |
ESCO Technologies, Inc. | | | 338 | | | | (0.52 | )% | | | (1,347 | ) |
Crown Holdings, Inc. | | | 385 | | | | (0.56 | )% | | | (2,072 | ) |
Silgan Holdings, Inc. | | | 655 | | | | (0.46 | )% | | | (2,507 | ) |
Martin Marietta Materials, Inc. | | | 153 | | | | (0.69 | )% | | | (4,964 | ) |
Eagle Materials, Inc. | | | 493 | | | | (0.81 | )% | | | (5,789 | ) |
Tetra Tech, Inc. | | | 694 | | | | (1.26 | )% | | | (6,526 | ) |
Vulcan Materials Co. | | | 353 | | | | (0.91 | )% | | | (8,287 | ) |
Ball Corp. | | | 710 | | | | (1.12 | )% | | | (9,173 | ) |
Casella Waste Systems, Inc. — Class A | | | 989 | | | | (1.05 | )% | | | (9,534 | ) |
Total Industrial | | | | | | | | | | | (43,408 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 2,464 | | | | (0.53 | )% | | | 1,125 | |
Five Below, Inc. | | | 179 | | | | (0.43 | )% | | | 393 | |
Hilton Worldwide Holdings, Inc. | | | 358 | | | | (0.58 | )% | | | 128 | |
Delta Air Lines, Inc. | | | 938 | | | | (0.55 | )% | | | (179 | ) |
TJX Companies, Inc. | | | 901 | | | | (0.96 | )% | | | (195 | ) |
Planet Fitness, Inc. — Class A | | | 256 | | | | (0.30 | )% | | | (395 | ) |
Live Nation Entertainment, Inc. | | | 691 | | | | (0.71 | )% | | | (1,222 | ) |
Ross Stores, Inc. | | | 660 | | | | (1.17 | )% | | | (2,317 | ) |
Southwest Airlines Co. | | | 676 | | | | (0.48 | )% | | | (3,129 | ) |
Copart, Inc. | | | 520 | | | | (1.04 | )% | | | (4,111 | ) |
Burlington Stores, Inc. | | | 223 | | | | (0.88 | )% | | | (4,459 | ) |
Scotts Miracle-Gro Co. — Class A | | | 254 | | | | (0.74 | )% | | | (7,430 | ) |
NIKE, Inc. — Class B | | | 327 | | | | (0.78 | )% | | | (8,306 | ) |
Starbucks Corp. | | | 829 | | | | (1.37 | )% | | | (8,481 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (38,578 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Phillips 66 | | | 1,353 | | | | (1.34 | )% | | | 15,812 | |
National Oilwell Varco, Inc. | | | 3,156 | | | | (0.54 | )% | | | 7,453 | |
Devon Energy Corp. | | | 7,511 | | | | (1.35 | )% | | | 5,418 | |
Concho Resources, Inc. | | | 678 | | | | (0.57 | )% | | | 4,250 | |
Hess Corp. | | | 1,039 | | | | (0.81 | )% | | | 4,069 | |
EOG Resources, Inc. | | | 1,280 | | | | (0.88 | )% | | | 2,168 | |
Schlumberger Ltd. | | | 1,769 | | | | (0.52 | )% | | | 1,504 | |
Williams Companies, Inc. | | | 1,511 | | | | (0.57 | )% | | | 1,273 | |
ConocoPhillips | | | 1,102 | | | | (0.69 | )% | | | 614 | |
Parsley Energy, Inc. — Class A | | | 3,296 | | | | (0.59 | )% | | | (441 | ) |
Total Energy | | | | | | | | | | | 42,120 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
IHS Markit Ltd. | | | 778 | | | | (1.16 | )% | | | 2,169 | |
Equifax, Inc. | | | 472 | | | | (1.41 | )% | | | 1,095 | |
DexCom, Inc. | | | 39 | | | | (0.31 | )% | | | 902 | |
WD-40 Co. | | | 120 | | | | (0.43 | )% | | | 629 | |
PayPal Holdings, Inc. | | | 83 | | | | (0.31 | )% | | | 63 | |
Cooper Companies, Inc. | | | 112 | | | | (0.72 | )% | | | 16 | |
CoStar Group, Inc. | | | 51 | | | | (0.82 | )% | | | (910 | ) |
Rollins, Inc. | | | 823 | | | | (0.85 | )% | | | (1,215 | ) |
Estee Lauder Companies, Inc. — Class A | | | 110 | | | | (0.46 | )% | | | (2,000 | ) |
Verisk Analytics, Inc. — Class A | | | 497 | | | | (1.76 | )% | | | (3,860 | ) |
Avery Dennison Corp. | | | 241 | | | | (0.59 | )% | | | (4,669 | ) |
Avalara, Inc. | | | 153 | | | | (0.37 | )% | | | (6,844 | ) |
Global Payments, Inc. | | | 489 | | | | (1.66 | )% | | | (7,824 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (22,448 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Appfolio, Inc. — Class A | | | 108 | | | | (0.29 | )% | | | 480 | |
Varonis Systems, Inc. | | | 298 | | | | (0.66 | )% | | | (8 | ) |
Tyler Technologies, Inc. | | | 45 | | | | (0.30 | )% | | | (36 | ) |
Pegasystems, Inc. | | | 257 | | | | (0.59 | )% | | | (831 | ) |
Atlassian Corporation plc — Class A | | | 105 | | | | (0.36 | )% | | | (865 | ) |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Splunk, Inc. | | | 168 | | | | (0.60 | )% | | $ | (1,303 | ) |
Smartsheet, Inc. — Class A | | | 313 | | | | (0.29 | )% | | | (1,742 | ) |
Fiserv, Inc. | | | 788 | | | | (1.55 | )% | | | (2,540 | ) |
Coupa Software, Inc. | | | 57 | | | | (0.30 | )% | | | (3,738 | ) |
Workiva, Inc. | | | 269 | | | | (0.29 | )% | | | (3,964 | ) |
Veeva Systems, Inc. — Class A | | | 57 | | | | (0.31 | )% | | | (5,028 | ) |
HubSpot, Inc. | | | 66 | | | | (0.37 | )% | | | (7,471 | ) |
salesforce.com, Inc. | | | 156 | | | | (0.75 | )% | | | (7,866 | ) |
Zscaler, Inc. | | | 138 | | | | (0.37 | )% | | | (8,883 | ) |
Fidelity National Information Services, Inc. | | | 577 | | | | (1.63 | )% | | | (10,717 | ) |
Total Technology | | | | | | | | | | | (54,512 | ) |
Total GS Equity Short Custom Basket | | | | | | | (158,110 | ) |
| | | | | | | | | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Industrial | | | | | | | | | | | | |
Caterpillar, Inc. | | | 236 | | | | 0.93 | % | | | 6,357 | |
Snap-on, Inc. | | | 191 | | | | 0.75 | % | | | 5,332 | |
TE Connectivity Ltd. | | | 258 | | | | 0.67 | % | | | 4,027 | |
Owens Corning | | | 169 | | | | 0.31 | % | | | 3,746 | |
Regal Beloit Corp. | | | 126 | | | | 0.31 | % | | | 2,852 | |
Westrock Co. | | | 221 | | | | 0.20 | % | | | 2,259 | |
Garmin Ltd. | | | 137 | | | | 0.35 | % | | | 1,524 | |
Schneider National, Inc. — Class B | | | 398 | | | | 0.26 | % | | | 1,508 | |
Lincoln Electric Holdings, Inc. | | | 183 | | | | 0.45 | % | | | 1,365 | |
Timken Co. | | | 245 | | | | 0.35 | % | | | 1,304 | |
Union Pacific Corp. | | | 25 | | | | 0.13 | % | | | 1,197 | |
Illinois Tool Works, Inc. | | | 87 | | | | 0.45 | % | | | 976 | |
Eaton Corporation plc | | | 122 | | | | 0.33 | % | | | 730 | |
A O Smith Corp. | | | 163 | | | | 0.23 | % | | | 681 | |
AGCO Corp. | | | 263 | | | | 0.52 | % | | | 637 | |
3M Co. | | | 46 | | | | 0.20 | % | | | 498 | |
Arrow Electronics, Inc. | | | 105 | | | | 0.22 | % | | | 411 | |
United Parcel Service, Inc. — Class B | | | 30 | | | | 0.13 | % | | | 312 | |
Acuity Brands, Inc. | | | 98 | | | | 0.27 | % | | | 267 | |
Agilent Technologies, Inc. | | | 76 | | | | 0.20 | % | | | 212 | |
Emerson Electric Co. | | | 225 | | | | 0.39 | % | | | 209 | |
Lennox International, Inc. | | | 30 | | | | 0.22 | % | | | 189 | |
Allegion plc | | | 88 | | | | 0.23 | % | | | 127 | |
Hubbell, Inc. | | | 241 | | | | 0.88 | % | | | 100 | |
Trane Technologies plc | | | 70 | | | | 0.23 | % | | | 22 | |
Pentair plc | | | 188 | | | | 0.23 | % | | | (6 | ) |
Dover Corp. | | | 79 | | | | 0.23 | % | | | (18 | ) |
Energizer Holdings, Inc. | | | 245 | | | | 0.26 | % | | | (101 | ) |
Lockheed Martin Corp. | | | 41 | | | | 0.42 | % | | | (177 | ) |
ITT, Inc. | | | 224 | | | | 0.35 | % | | | (243 | ) |
Raytheon Technologies Corp. | | | 125 | | | | 0.19 | % | | | (261 | ) |
National Instruments Corp. | | | 252 | | | | 0.24 | % | | | (318 | ) |
Vishay Intertechnology, Inc. | | | 1,216 | | | | 0.50 | % | | | (350 | ) |
Oshkosh Corp. | | | 225 | | | | 0.44 | % | | | (527 | ) |
Masco Corp. | | | 589 | | | | 0.86 | % | | | (992 | ) |
Waters Corp. | | | 119 | | | | 0.62 | % | | | (2,300 | ) |
Terex Corp. | | | 553 | | | | 0.28 | % | | | (4,391 | ) |
Total Industrial | | | | | | | | | | | 27,158 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amgen, Inc. | | | 138 | | | | 0.92 | % | | | 7,254 | |
McKesson Corp. | | | 227 | | | | 0.89 | % | | | 6,283 | |
Procter & Gamble Co. | | | 280 | | | | 1.04 | % | | | 5,955 | |
Rent-A-Center, Inc. | | | 414 | | | | 0.33 | % | | | 4,573 | |
Eli Lilly & Co. | | | 156 | | | | 0.61 | % | | | 4,102 | |
United Rentals, Inc. | | | 111 | | | | 0.52 | % | | | 3,963 | |
Johnson & Johnson | | | 280 | | | | 1.11 | % | | | 3,297 | |
Thermo Fisher Scientific, Inc. | | | 14 | | | | 0.16 | % | | | 1,945 | |
Kimberly-Clark Corp. | | | 217 | | | | 0.85 | % | | | 1,927 | |
JM Smucker Co. | | | 221 | | | | 0.68 | % | | | 1,880 | |
Abbott Laboratories | | | 60 | | | | 0.17 | % | | | 1,806 | |
Medtronic plc | | | 122 | | | | 0.34 | % | | | 1,667 | |
UnitedHealth Group, Inc. | | | 87 | | | | 0.72 | % | | | 1,616 | |
Kellogg Co. | | | 404 | | | | 0.69 | % | | | 1,436 | |
Mondelez International, Inc. — Class A | | | 314 | | | | 0.48 | % | | | 1,399 | |
Colgate-Palmolive Co. | | | 422 | | | | 0.87 | % | | | 1,320 | |
STERIS plc | | | 59 | | | | 0.28 | % | | | 1,305 | |
Monster Beverage Corp. | | | 297 | | | | 0.63 | % | | | 1,256 | |
Automatic Data Processing, Inc. | | | 225 | | | | 0.84 | % | | | 1,175 | |
CVS Health Corp. | | | 226 | | | | 0.35 | % | | | 1,175 | |
Jazz Pharmaceuticals plc | | | 120 | | | | 0.46 | % | | | 1,074 | |
Alexion Pharmaceuticals, Inc. | | | 69 | | | | 0.21 | % | | | 809 | |
Merck & Company, Inc. | | | 434 | | | | 0.96 | % | | | 762 | |
PepsiCo, Inc. | | | 38 | | | | 0.14 | % | | | 635 | |
Anthem, Inc. | | | 41 | | | | 0.29 | % | | | 469 | |
Molina Healthcare, Inc. | | | 53 | | | | 0.26 | % | | | 353 | |
Conagra Brands, Inc. | | | 290 | | | | 0.28 | % | | | 336 | |
Prestige Consumer Healthcare, Inc. | | | 215 | | | | 0.21 | % | | | 303 | |
Danaher Corp. | | | 24 | | | | 0.14 | % | | | 208 | |
DaVita, Inc. | | | 173 | | | | 0.39 | % | | | 153 | |
Quanta Services, Inc. | | | 245 | | | | 0.34 | % | | | 149 | |
General Mills, Inc. | | | 541 | | | | 0.89 | % | | | 130 | |
Constellation Brands, Inc. — Class A | | | 54 | | | | 0.27 | % | | | 61 | |
Church & Dwight Company, Inc. | | | 185 | | | | 0.46 | % | | | 22 | |
USANA Health Sciences, Inc. | | | 97 | | | | 0.19 | % | | | (105 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Bristol-Myers Squibb Co. | | | 218 | | | | 0.35 | % | | $ | (125 | ) |
Pfizer, Inc. | | | 590 | | | | 0.58 | % | | | (143 | ) |
Coca-Cola Co. | | | 107 | | | | 0.14 | % | | | (178 | ) |
Regeneron Pharmaceuticals, Inc. | | | 21 | | | | 0.31 | % | | | (310 | ) |
Hologic, Inc. | | | 117 | | | | 0.21 | % | | | (318 | ) |
Campbell Soup Co. | | | 580 | | | | 0.75 | % | | | (595 | ) |
Cardinal Health, Inc. | | | 649 | | | | 0.81 | % | | | (659 | ) |
Incyte Corp. | | | 87 | | | | 0.21 | % | | | (718 | ) |
Post Holdings, Inc. | | | 124 | | | | 0.28 | % | | | (801 | ) |
Euronet Worldwide, Inc. | | | 89 | | | | 0.22 | % | | | (868 | ) |
Illumina, Inc. | | | 27 | | | | 0.22 | % | | | (1,000 | ) |
Alkermes plc | | | 486 | | | | 0.21 | % | | | (1,016 | ) |
Hill-Rom Holdings, Inc. | | | 96 | | | | 0.21 | % | | | (1,049 | ) |
Cigna Corp. | | | 64 | | | | 0.29 | % | | | (1,057 | ) |
Tyson Foods, Inc. — Class A | | | 291 | | | | 0.46 | % | | | (1,174 | ) |
Ionis Pharmaceuticals, Inc. | | | 192 | | | | 0.24 | % | | | (1,481 | ) |
Kraft Heinz Co. | | | 699 | | | | 0.56 | % | | | (1,493 | ) |
United Therapeutics Corp. | | | 144 | | | | 0.39 | % | | | (1,496 | ) |
Altria Group, Inc. | | | 708 | | | | 0.73 | % | | | (1,771 | ) |
TreeHouse Foods, Inc. | | | 274 | | | | 0.30 | % | | | (1,898 | ) |
Biogen, Inc. | | | 68 | | | | 0.51 | % | | | (2,027 | ) |
Innoviva, Inc. | | | 819 | | | | 0.23 | % | | | (2,088 | ) |
Philip Morris International, Inc. | | | 374 | | | | 0.75 | % | | | (2,563 | ) |
John B Sanfilippo & Son, Inc. | | | 188 | | | | 0.38 | % | | | (2,910 | ) |
Ingredion, Inc. | | | 241 | | | | 0.49 | % | | | (3,209 | ) |
Gilead Sciences, Inc. | | | 332 | | | | 0.56 | % | | | (3,661 | ) |
Molson Coors Beverage Co. — Class B | | | 994 | | | | 0.89 | % | | | (12,273 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 13,812 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Waddell & Reed Financial, Inc. — Class A | | | 644 | | | | 0.25 | % | | | 1,388 | |
Berkshire Hathaway, Inc. — Class B | | | 114 | | | | 0.65 | % | | | 1,176 | |
Visa, Inc. — Class A | | | 50 | | | | 0.27 | % | | | 1,051 | |
CBRE Group, Inc. — Class A | | | 293 | | | | 0.37 | % | | | 904 | |
Mastercard, Inc. — Class A | | | 26 | | | | 0.23 | % | | | 782 | |
PNC Financial Services Group, Inc. | | | 95 | | | | 0.28 | % | | | 449 | |
Western Union Co. | | | 891 | | | | 0.51 | % | | | 336 | |
American Express Co. | | | 52 | | | | 0.14 | % | | | 189 | |
Synchrony Financial | | | 340 | | | | 0.24 | % | | | 86 | |
Aon plc — Class A | | | 37 | | | | 0.20 | % | | | 85 | |
Aflac, Inc. | | | 371 | | | | 0.36 | % | | | 74 | |
U.S. Bancorp | | | 141 | | | | 0.13 | % | | | 56 | |
JPMorgan Chase & Co. | | | 214 | | | | 0.55 | % | | | (340 | ) |
Ameriprise Financial, Inc. | | | 85 | | | | 0.35 | % | | | (528 | ) |
M&T Bank Corp. | | | 66 | | | | 0.16 | % | | | (862 | ) |
Hartford Financial Services Group, Inc. | | | 426 | | | | 0.42 | % | | | (1,368 | ) |
Bank of America Corp. | | | 630 | | | | 0.40 | % | | | (1,591 | ) |
Wells Fargo & Co. | | | 213 | | | | 0.13 | % | | | (1,651 | ) |
Allstate Corp. | | | 418 | | | | 1.05 | % | | | (2,673 | ) |
Travelers Companies, Inc. | | | 174 | | | | 0.50 | % | | | (2,806 | ) |
MetLife, Inc. | | | 1,030 | | | | 1.02 | % | | | (3,591 | ) |
Piedmont Office Realty Trust, Inc. — Class A | | | 1,276 | | | | 0.46 | % | | | (5,039 | ) |
Kennedy-Wilson Holdings, Inc. | | | 1,065 | | | | 0.41 | % | | | (5,526 | ) |
Highwoods Properties, Inc. | | | 724 | | | | 0.65 | % | | | (5,742 | ) |
Boston Properties, Inc. | | | 302 | | | | 0.65 | % | | | (5,749 | ) |
Equity Residential | | | 635 | | | | 0.87 | % | | | (7,610 | ) |
Total Financial | | | | | | | | | | | (38,500 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
WEC Energy Group, Inc. | | | 251 | | | | 0.65 | % | | | 764 | |
Dominion Energy, Inc. | | | 302 | | | | 0.63 | % | | | 603 | |
Ameren Corp. | | | 190 | | | | 0.40 | % | | | 589 | |
UGI Corp. | | | 368 | | | | 0.32 | % | | | 257 | |
CenterPoint Energy, Inc. | | | 648 | | | | 0.33 | % | | | 156 | |
Consolidated Edison, Inc. | | | 263 | | | | 0.54 | % | | | 67 | |
NextEra Energy, Inc. | | | 44 | | | | 0.33 | % | | | (149 | ) |
Southern Co. | | | 359 | | | | 0.52 | % | | | (365 | ) |
OGE Energy Corp. | | | 472 | | | | 0.38 | % | | | (459 | ) |
Public Service Enterprise Group, Inc. | | | 591 | | | | 0.86 | % | | | (557 | ) |
Entergy Corp. | | | 129 | | | | 0.34 | % | | | (629 | ) |
Pinnacle West Capital Corp. | | | 155 | | | | 0.31 | % | | | (709 | ) |
Alliant Energy Corp. | | | 245 | | | | 0.34 | % | | | (796 | ) |
Southwest Gas Holdings, Inc. | | | 123 | | | | 0.21 | % | | | (1,374 | ) |
IDACORP, Inc. | | | 143 | | | | 0.30 | % | | | (1,721 | ) |
Avista Corp. | | | 222 | | | | 0.20 | % | | | (1,958 | ) |
NiSource, Inc. | | | 719 | | | | 0.42 | % | | | (2,224 | ) |
NorthWestern Corp. | | | 258 | | | | 0.33 | % | | | (2,379 | ) |
ONE Gas, Inc. | | | 231 | | | | 0.42 | % | | | (3,094 | ) |
National Fuel Gas Co. | | | 280 | | | | 0.30 | % | | | (3,224 | ) |
PPL Corp. | | | 1,114 | | | | 0.81 | % | | | (4,241 | ) |
Evergy, Inc. | | | 609 | | | | 0.82 | % | | | (5,117 | ) |
Exelon Corp. | | | 820 | | | | 0.78 | % | | | (5,253 | ) |
Portland General Electric Co. | | | 435 | | | | 0.41 | % | | | (6,768 | ) |
Total Utilities | | | | | | | | | | | (38,581 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 434 | | | | 1.34 | % | | | 27,768 | |
Microsoft Corp. | | | 244 | | | | 1.37 | % | | | 19,239 | |
QUALCOMM, Inc. | | | 203 | | | | 0.64 | % | | | 8,416 | |
Texas Instruments, Inc. | | | 210 | | | | 0.80 | % | | | 4,172 | |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
CDK Global, Inc. | | | 434 | | | | 0.50 | % | | $ | 2,641 | |
Synaptics, Inc. | | | 110 | | | | 0.24 | % | | | 2,293 | |
Oracle Corp. | | | 322 | | | | 0.51 | % | | | 2,145 | |
Adobe, Inc. | | | 15 | | | | 0.20 | % | | | 2,037 | |
HP, Inc. | | | 451 | | | | 0.23 | % | | | 1,587 | |
Applied Materials, Inc. | | | 171 | | | | 0.27 | % | | | 1,134 | |
Cerner Corp. | | | 489 | | | | 0.94 | % | | | 825 | |
NetApp, Inc. | | | 538 | | | | 0.63 | % | | | 755 | |
KLA Corp. | | | 101 | | | | 0.52 | % | | | 531 | |
Cirrus Logic, Inc. | | | 148 | | | | 0.27 | % | | | 482 | |
Microchip Technology, Inc. | | | 105 | | | | 0.29 | % | | | 342 | |
Intuit, Inc. | | | 16 | | | | 0.14 | % | | | 318 | |
Broadcom, Inc. | | | 14 | | | | 0.14 | % | | | 94 | |
SS&C Technologies Holdings, Inc. | | | 501 | | | | 0.81 | % | | | (106 | ) |
Accenture plc — Class A | | | 21 | | | | 0.13 | % | | | (109 | ) |
Zebra Technologies Corp. — Class A | | | 72 | | | | 0.48 | % | | | (669 | ) |
Kulicke & Soffa Industries, Inc. | | | 352 | | | | 0.21 | % | | | (778 | ) |
Seagate Technology plc | | | 526 | | | | 0.69 | % | | | (1,395 | ) |
International Business Machines Corp. | | | 339 | | | | 1.10 | % | | | (1,671 | ) |
Teradata Corp. | | | 392 | | | | 0.24 | % | | | (1,781 | ) |
Intel Corp. | | | 584 | | | | 0.80 | % | | | (2,882 | ) |
Total Technology | | | | | | | | | | | 65,388 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Amazon.com, Inc. | | | 11 | | | | 0.92 | % | | | 13,222 | |
Alphabet, Inc. — Class C | | | 24 | | | | 0.94 | % | | | 7,512 | |
Facebook, Inc. — Class A | | | 71 | | | | 0.49 | % | | | 6,410 | |
Comcast Corp. — Class A | | | 357 | | | | 0.44 | % | | | 2,469 | |
T-Mobile US, Inc. | | | 244 | | | | 0.74 | % | | | 990 | |
Netflix, Inc. | | | 13 | | | | 0.17 | % | | | 961 | |
eBay, Inc. | | | 285 | | | | 0.40 | % | | | 242 | |
VeriSign, Inc. | | | 69 | | | | 0.38 | % | | | 224 | |
Motorola Solutions, Inc. | | | 103 | | | | 0.43 | % | | | 154 | |
Walt Disney Co. | | | 60 | | | | 0.20 | % | | | (314 | ) |
Verizon Communications, Inc. | | | 727 | | | | 1.15 | % | | | (679 | ) |
Viavi Solutions, Inc. | | | 2,497 | | | | 0.78 | % | | | (1,062 | ) |
Juniper Networks, Inc. | | | 1,247 | | | | 0.71 | % | | | (1,479 | ) |
Sirius XM Holdings, Inc. | | | 2,002 | | | | 0.29 | % | | | (1,767 | ) |
Yelp, Inc. — Class A | | | 314 | | | | 0.17 | % | | | (1,854 | ) |
Ciena Corp. | | | 306 | | | | 0.32 | % | | | (2,404 | ) |
Cisco Systems, Inc. | | | 986 | | | | 1.03 | % | | | (3,673 | ) |
AT&T, Inc. | | | 1,106 | | | | 0.84 | % | | | (6,291 | ) |
Omnicom Group, Inc. | | | 497 | | | | 0.65 | % | | | (11,666 | ) |
Total Communications | | | | | | | | | | | 995 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Cummins, Inc. | | | 153 | | | | 0.86 | % | | | 8,423 | |
Autoliv, Inc. | | | 423 | | | | 0.82 | % | | | 4,524 | |
Hanesbrands, Inc. | | | 626 | | | | 0.26 | % | | | 4,073 | |
Whirlpool Corp. | | | 83 | | | | 0.41 | % | | | 2,783 | |
Home Depot, Inc. | | | 29 | | | | 0.21 | % | | | 2,403 | |
Gentherm, Inc. | | | 521 | | | | 0.57 | % | | | 2,166 | |
Lear Corp. | | | 120 | | | | 0.35 | % | | | 1,404 | |
Lowe’s Companies, Inc. | | | 46 | | | | 0.20 | % | | | 1,385 | |
Walmart, Inc. | | | 67 | | | | 0.25 | % | | | 948 | |
McDonald’s Corp. | | | 23 | | | | 0.13 | % | | | 831 | |
Best Buy Company, Inc. | | | 284 | | | | 0.84 | % | | | 775 | |
PulteGroup, Inc. | | | 344 | | | | 0.42 | % | | | 677 | |
PACCAR, Inc. | | | 261 | | | | 0.59 | % | | | 626 | |
Costco Wholesale Corp. | | | 14 | | | | 0.13 | % | | | 133 | |
Dolby Laboratories, Inc. — Class A | | | 277 | | | | 0.49 | % | | | 108 | |
Brunswick Corp. | | | 165 | | | | 0.26 | % | | | 35 | |
Genuine Parts Co. | | | 177 | | | | 0.45 | % | | | (85 | ) |
MSC Industrial Direct Company, Inc. — Class A | | | 123 | | | | 0.21 | % | | | (349 | ) |
Gentex Corp. | | | 1,286 | | | | 0.88 | % | | | (1,160 | ) |
General Motors Co. | | | 429 | | | | 0.34 | % | | | (2,277 | ) |
Mohawk Industries, Inc. | | | 77 | | | | 0.20 | % | | | (2,896 | ) |
Allison Transmission Holdings, Inc. | | | 653 | | | | 0.61 | % | | | (4,544 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 19,983 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Arconic Corp. | | | 1 | | | | 0.00 | % | | | (3 | ) |
DuPont de Nemours, Inc. | | | 21 | | | | 0.03 | % | | | (4 | ) |
Dow, Inc. | | | 158 | | | | 0.20 | % | | | (99 | ) |
Domtar Corp. | | | 282 | | | | 0.20 | % | | | (629 | ) |
Total Basic Materials | | | | | | | | | | | (735 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Chevron Corp. | | | 68 | | | | 0.13 | % | | | (2,667 | ) |
Exxon Mobil Corp. | | | 154 | | | | 0.14 | % | | | (4,813 | ) |
Total Energy | | | | | | | | | | | (7,480 | ) |
Total MS Equity Long Custom Basket | | | | | | | 42,040 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ashland Global Holdings, Inc. | | | 706 | | | | (0.92 | )% | | | 1,537 | |
Axalta Coating Systems Ltd. | | | 970 | | | | (0.40 | )% | | | 128 | |
United States Steel Corp. | | | 5,242 | | | | (0.71 | )% | | | (226 | ) |
Nucor Corp. | | | 909 | | | | (0.75 | )% | | | (409 | ) |
Newmont Corp. | | | 434 | | | | (0.51 | )% | | | (877 | ) |
PPG Industries, Inc. | | | 237 | | | | (0.53 | )% | | | (2,095 | ) |
Ecolab, Inc. | | | 97 | | | | (0.36 | )% | | | (2,277 | ) |
Celanese Corp. — Class A | | | 480 | | | | (0.95 | )% | | | (3,500 | ) |
Balchem Corp. | | | 859 | | | | (1.54 | )% | | | (4,351 | ) |
Linde plc | | | 375 | | | | (1.64 | )% | | | (10,488 | ) |
Albemarle Corp. | | | 623 | | | | (1.02 | )% | | | (14,269 | ) |
Freeport-McMoRan, Inc. | | | 2,513 | | | | (0.72 | )% | | | (16,489 | ) |
RPM International, Inc. | | | 1,087 | | | | (1.66 | )% | | | (17,169 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Quaker Chemical Corp. | | | 451 | | | | (1.49 | )% | | $ | (19,436 | ) |
Air Products & Chemicals, Inc. | | | 324 | | | | (1.78 | )% | | | (19,493 | ) |
Total Basic Materials | | | | | | | | | | | (109,414 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
UDR, Inc. | | | 1,299 | | | | (0.78 | )% | | | 17,932 | |
Kilroy Realty Corp. | | | 924 | | | | (0.88 | )% | | | 12,937 | |
Acadia Realty Trust | | | 2,407 | | | | (0.47 | )% | | | 12,431 | |
Realty Income Corp. | | | 1,266 | | | | (1.42 | )% | | | 11,659 | |
First Midwest Bancorp, Inc. | | | 2,329 | | | | (0.46 | )% | | | 10,370 | |
JBG SMITH Properties | | | 1,543 | | | | (0.76 | )% | | | 10,072 | |
Valley National Bancorp | | | 3,320 | | | | (0.42 | )% | | | 9,228 | |
Fulton Financial Corp. | | | 3,217 | | | | (0.55 | )% | | | 7,510 | |
Brookline Bancorp, Inc. | | | 3,943 | | | | (0.63 | )% | | | 7,346 | |
Agree Realty Corp. | | | 1,813 | | | | (2.12 | )% | | | 7,315 | |
Alleghany Corp. | | | 164 | | | | (1.57 | )% | | | 7,250 | |
First Financial Bankshares, Inc. | | | 1,311 | | | | (0.67 | )% | | | 6,430 | |
Southside Bancshares, Inc. | | | 1,210 | | | | (0.54 | )% | | | 6,329 | |
Medical Properties Trust, Inc. | | | 2,631 | | | | (0.85 | )% | | | 5,412 | |
Global Net Lease, Inc. | | | 1,959 | | | | (0.57 | )% | | | 4,737 | |
Loews Corp. | | | 927 | | | | (0.59 | )% | | | 3,310 | |
Americold Realty Trust | | | 1,710 | | | | (1.13 | )% | | | 3,286 | |
TFS Financial Corp. | | | 1,747 | | | | (0.47 | )% | | | 2,703 | |
Healthpeak Properties, Inc. | | | 1,216 | | | | (0.61 | )% | | | 1,664 | |
QTS Realty Trust, Inc. — Class A | | | 588 | | | | (0.68 | )% | | | 931 | |
CyrusOne, Inc. | | | 479 | | | | (0.62 | )% | | | 327 | |
American Tower Corp. — Class A | | | 64 | | | | (0.28 | )% | | | (277 | ) |
Rayonier, Inc. | | | 1,098 | | | | (0.53 | )% | | | (467 | ) |
Prologis, Inc. | | | 492 | | | | (0.91 | )% | | | (1,364 | ) |
Alexandria Real Estate Equities, Inc. | | | 336 | | | | (0.99 | )% | | | (1,827 | ) |
Healthcare Trust of America, Inc. — Class A | | | 1,889 | | | | (0.90 | )% | | | (2,181 | ) |
James River Group Holdings Ltd. | | | 803 | | | | (0.66 | )% | | | (2,290 | ) |
Crown Castle International Corp. | | | 202 | | | | (0.62 | )% | | | (3,166 | ) |
SBA Communications Corp. | | | 62 | | | | (0.36 | )% | | | (3,233 | ) |
First Republic Bank | | | 477 | | | | (0.96 | )% | | | (3,417 | ) |
STAG Industrial, Inc. | | | 1,009 | | | | (0.57 | )% | | | (4,340 | ) |
EastGroup Properties, Inc. | | | 349 | | | | (0.83 | )% | | | (4,411 | ) |
Goldman Sachs Group, Inc. | | | 604 | | | | (2.24 | )% | | | (6,732 | ) |
Equinix, Inc. | | | 43 | | | | (0.60 | )% | | | (8,429 | ) |
Sun Communities, Inc. | | | 476 | | | | (1.23 | )% | | | (9,673 | ) |
Terreno Realty Corp. | | | 941 | | | | (0.95 | )% | | | (12,050 | ) |
Rexford Industrial Realty, Inc. | | | 1,704 | | | | (1.44 | )% | | | (16,500 | ) |
Total Financial | | | | | | | | | | | 68,822 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
California Water Service Group | | | 1,102 | | | | (0.88 | )% | | | 8,171 | |
American States Water Co. | | | 211 | | | | (0.29 | )% | | | 3,723 | |
American Water Works Company, Inc. | | | 149 | | | | (0.40 | )% | | | (1,223 | ) |
Total Utilities | | | | | | | | | | | 10,671 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Zendesk, Inc. | | | 344 | | | | (0.65 | )% | | | (735 | ) |
Snap, Inc. — Class A | | | 1,189 | | | | (0.57 | )% | | | (880 | ) |
Liberty Broadband Corp. — Class C | | | 688 | | | | (1.81 | )% | | | (5,256 | ) |
Okta, Inc. | | | 91 | | | | (0.36 | )% | | | (6,100 | ) |
Q2 Holdings, Inc. | | | 385 | | | | (0.65 | )% | | | (6,468 | ) |
Anaplan, Inc. | | | 372 | | | | (0.43 | )% | | | (8,446 | ) |
Total Communications | | | | | | | | | | | (27,885 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 2,464 | | | | (0.51 | )% | | | 1,022 | |
Five Below, Inc. | | | 179 | | | | (0.42 | )% | | | 383 | |
Hilton Worldwide Holdings, Inc. | | | 358 | | | | (0.56 | )% | | | 69 | |
TJX Companies, Inc. | | | 901 | | | | (0.92 | )% | | | (233 | ) |
Delta Air Lines, Inc. | | | 938 | | | | (0.53 | )% | | | (285 | ) |
Planet Fitness, Inc. — Class A | | | 256 | | | | (0.29 | )% | | | (402 | ) |
Live Nation Entertainment, Inc. | | | 691 | | | | (0.69 | )% | | | (1,287 | ) |
Ross Stores, Inc. | | | 660 | | | | (1.13 | )% | | | (2,392 | ) |
Southwest Airlines Co. | | | 676 | | | | (0.47 | )% | | | (3,144 | ) |
Copart, Inc. | | | 520 | | | | (1.01 | )% | | | (4,104 | ) |
Burlington Stores, Inc. | | | 223 | | | | (0.85 | )% | | | (4,251 | ) |
Scotts Miracle-Gro Co. — Class A | | | 254 | | | | (0.72 | )% | | | (7,460 | ) |
NIKE, Inc. — Class B | | | 327 | | | | (0.76 | )% | | | (8,281 | ) |
Starbucks Corp. | | | 829 | | | | (1.31 | )% | | | (8,439 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (38,804 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Phillips 66 | | | 1,353 | | | | (1.29 | )% | | | 15,933 | |
National Oilwell Varco, Inc. | | | 3,156 | | | | (0.53 | )% | | | 7,478 | |
Devon Energy Corp. | | | 7,511 | | | | (1.31 | )% | | | 5,281 | |
Concho Resources, Inc. | | | 678 | | | | (0.55 | )% | | | 4,209 | |
Hess Corp. | | | 1,039 | | | | (0.78 | )% | | | 4,076 | |
EOG Resources, Inc. | | | 1,280 | | | | (0.85 | )% | | | 2,150 | |
Schlumberger Ltd. | | | 1,769 | | | | (0.51 | )% | | | 1,529 | |
Williams Companies, Inc. | | | 1,511 | | | | (0.55 | )% | | | 1,288 | |
ConocoPhillips | | | 1,102 | | | | (0.67 | )% | | | 629 | |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Parsley Energy, Inc. — Class A | | | 3,296 | | | | (0.57 | )% | | $ | (464 | ) |
Total Energy | | | | | | | | | | | 42,109 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Exponent, Inc. | | | 824 | | | | (1.09 | )% | | | 3,769 | |
US Ecology, Inc. | | | 741 | | | | (0.45 | )% | | | 3,599 | |
AptarGroup, Inc. | | | 330 | | | | (0.69 | )% | | | 837 | |
Waste Management, Inc. | | | 297 | | | | (0.62 | )% | | | (94 | ) |
Ingersoll Rand, Inc. | | | 845 | | | | (0.55 | )% | | | (133 | ) |
TransDigm Group, Inc. | | | 62 | | | | (0.54 | )% | | | (614 | ) |
HEICO Corp. | | | 215 | | | | (0.41 | )% | | | (989 | ) |
ESCO Technologies, Inc. | | | 338 | | | | (0.50 | )% | | | (1,263 | ) |
Crown Holdings, Inc. | | | 385 | | | | (0.54 | )% | | | (2,055 | ) |
Silgan Holdings, Inc. | | | 655 | | | | (0.44 | )% | | | (2,484 | ) |
Martin Marietta Materials, Inc. | | | 153 | | | | (0.66 | )% | | | (4,951 | ) |
Eagle Materials, Inc. | | | 493 | | | | (0.78 | )% | | | (5,802 | ) |
Tetra Tech, Inc. | | | 694 | | | | (1.22 | )% | | | (6,428 | ) |
Vulcan Materials Co. | | | 353 | | | | (0.88 | )% | | | (8,228 | ) |
Ball Corp. | | | 710 | | | | (1.09 | )% | | | (9,343 | ) |
Casella Waste Systems, Inc. — Class A | | | 989 | | | | (1.03 | )% | | | (9,494 | ) |
Total Industrial | | | | | | | | | | | (43,673 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Appfolio, Inc. — Class A | | | 108 | | | | (0.28 | )% | | | 483 | |
Tyler Technologies, Inc. | | | 45 | | | | (0.29 | )% | | | (66 | ) |
Varonis Systems, Inc. | | | 298 | | | | (0.63 | )% | | | (130 | ) |
Atlassian Corporation plc — Class A | | | 105 | | | | (0.35 | )% | | | (794 | ) |
Pegasystems, Inc. | | | 257 | | | | (0.57 | )% | | | (833 | ) |
Splunk, Inc. | | | 168 | | | | (0.58 | )% | | | (1,306 | ) |
Smartsheet, Inc. — Class A | | | 313 | | | | (0.28 | )% | | | (1,748 | ) |
Fiserv, Inc. | | | 788 | | | | (1.50 | )% | | | (2,422 | ) |
Coupa Software, Inc. | | | 57 | | | | (0.29 | )% | | | (3,753 | ) |
Workiva, Inc. | | | 269 | | | | (0.28 | )% | | | (3,928 | ) |
Veeva Systems, Inc. — Class A | | | 57 | | | | (0.30 | )% | | | (5,236 | ) |
salesforce.com, Inc. | | | 156 | | | | (0.72 | )% | | | (7,733 | ) |
HubSpot, Inc. | | | 66 | | | | (0.36 | )% | | | (8,158 | ) |
Zscaler, Inc. | | | 138 | | | | (0.36 | )% | | | (8,887 | ) |
Fidelity National Information Services, Inc. | | | 577 | | | | (1.57 | )% | | | (10,644 | ) |
Total Technology | | | | | | | | | | | (55,155 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
IHS Markit Ltd. | | | 778 | | | | (1.12 | )% | | | 2,199 | |
Equifax, Inc. | | | 472 | | | | (1.36 | )% | | | 1,146 | |
DexCom, Inc. | | | 39 | | | | (0.30 | )% | | | 1,127 | |
WD-40 Co. | | | 120 | | | | (0.42 | )% | | | 670 | |
PayPal Holdings, Inc. | | | 83 | | | | (0.30 | )% | | | 125 | |
Cooper Companies, Inc. | | | 112 | | | | (0.70 | )% | | | (157 | ) |
CoStar Group, Inc. | | | 51 | | | | (0.80 | )% | | | (851 | ) |
Rollins, Inc. | | | 824 | | | | (0.82 | )% | | | (1,355 | ) |
Estee Lauder Companies, Inc. — Class A | | | 110 | | | | (0.44 | )% | | | (1,994 | ) |
Verisk Analytics, Inc. — Class A | | | 497 | | | | (1.70 | )% | | | (3,862 | ) |
Avery Dennison Corp. | | | 241 | | | | (0.57 | )% | | | (4,612 | ) |
Global Payments, Inc. | | | 489 | | | | (1.60 | )% | | | (7,786 | ) |
Avalara, Inc. | | | 153 | | | | (0.36 | )% | | | (8,060 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (23,410 | ) |
Total MS Equity Short Custom Basket | | | | | | | (176,739 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as equity custom basket swap collateral at September 30, 2020. |
2 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | GS — Goldman Sachs International |
| | MS — Morgan Stanley Capital Services LLC |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
LONG SHORT EQUITY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 15,285,551 | | | $ | — | | | $ | — | | | $ | 15,285,551 | |
Money Market Fund | | | 433,776 | | | | — | | | | — | | | | 433,776 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 83,361 | | | | — | | | | 83,361 | |
Total Assets | | $ | 15,719,327 | | | $ | 83,361 | | | $ | — | | | $ | 15,802,688 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 334,849 | | | $ | — | | | $ | 334,849 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $15,121,644) | | $ | 15,719,327 | |
Cash | | | 422 | |
Unrealized appreciation on OTC swap agreements | | | 83,361 | |
Receivables: |
Dividends | | | 24,805 | |
Fund shares sold | | | 220 | |
Total assets | | | 15,828,135 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 334,849 | |
Payable for: |
Swap settlement | | | 37,008 | |
Management fees | | | 11,471 | |
Transfer agent and administrative fees | | | 3,428 | |
Distribution and service fees | | | 3,043 | |
Portfolio accounting fees | | | 1,275 | |
Trustees’ fees* | | | 279 | |
Miscellaneous | | | 19,690 | |
Total liabilities | | | 411,043 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 15,417,092 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 19,405,140 | |
Total distributable earnings (loss) | | | (3,988,048 | ) |
Net assets | | $ | 15,417,092 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,329,598 | |
Capital shares outstanding | | | 456,855 | |
Net asset value per share | | $ | 16.04 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 16.84 | |
| | | | | |
C-Class: |
Net assets | | $ | 427,846 | |
Capital shares outstanding | | | 30,503 | |
Net asset value per share | | $ | 14.03 | |
| | | | | |
P-Class: |
Net assets | | $ | 5,683,981 | |
Capital shares outstanding | | | 353,145 | |
Net asset value per share | | $ | 16.10 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 1,975,667 | |
Capital shares outstanding | | | 119,889 | |
Net asset value per share | | $ | 16.48 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends | | $ | 192,673 | |
Interest | | | 66 | |
Income from securities lending, net | | | 3 | |
Total investment income | | | 192,742 | |
| | | | | |
Expenses: |
Management fees | | | 70,207 | |
Distribution and service fees: |
A-Class | | | 9,293 | |
C-Class | | | 2,301 | |
P-Class | | | 7,143 | |
Transfer agent and administrative fees | | | 22,258 | |
Registration fees | | | 8,587 | |
Portfolio accounting fees | | | 7,803 | |
Professional fees | | | 5,648 | |
Custodian fees | | | 1,141 | |
Trustees’ fees* | | | 377 | |
Miscellaneous | | | 4,361 | |
Total expenses | | | 139,119 | |
Net investment income | | | 53,623 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 23,447 | |
Swap agreements | | | (1,180,414 | ) |
Net realized loss | | | (1,156,967 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,965,167 | |
Swap agreements | | | 111,492 | |
Net change in unrealized appreciation (depreciation) | | | 3,076,659 | |
Net realized and unrealized gain | | | 1,919,692 | |
Net increase in net assets resulting from operations | | $ | 1,973,315 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 53,623 | | | $ | 113,222 | |
Net realized gain (loss) on investments | | | (1,156,967 | ) | | | 1,100,712 | |
Net change in unrealized appreciation (depreciation) on investments | | | 3,076,659 | | | | (3,461,630 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,973,315 | | | | (2,247,696 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (68,033 | ) |
P-Class | | | — | | | | (66,392 | ) |
Institutional Class | | | — | | | | (19,220 | ) |
Total distributions to shareholders | | | — | | | | (153,645 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 82,935 | | | | 577,147 | |
C-Class | | | 6,200 | | | | 7,950 | |
P-Class | | | 36,958 | | | | 323,678 | |
Institutional Class | | | 131,129 | | | | 835,323 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 67,459 | |
P-Class | | | — | | | | 61,922 | |
Institutional Class | | | — | | | | 19,220 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (716,102 | ) | | | (2,659,455 | ) |
C-Class | | | (205,300 | ) | | | (754,681 | ) |
P-Class | | | (441,751 | ) | | | (3,414,692 | ) |
Institutional Class | | | (201,539 | ) | | | (798,573 | ) |
Net decrease from capital share transactions | | | (1,307,470 | ) | | | (5,734,702 | ) |
Net increase (decrease) in net assets | | | 665,845 | | | | (8,136,043 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 14,751,247 | | | | 22,887,290 | |
End of period | | $ | 15,417,092 | | | $ | 14,751,247 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 5,491 | | | | 36,834 | |
C-Class | | | 445 | | | | 575 | |
P-Class | | | 2,329 | | | | 20,296 | |
Institutional Class | | | 8,585 | | | | 51,644 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 4,146 | |
P-Class | | | — | | | | 3,794 | |
Institutional Class | | | — | | | | 1,152 | |
Shares redeemed | | | | | | | | |
A-Class | | | (45,838 | ) | | | (169,933 | ) |
C-Class | | | (15,675 | ) | | | (55,084 | ) |
P-Class | | | (28,256 | ) | | | (217,505 | ) |
Institutional Class | | | (12,563 | ) | | | (50,497 | ) |
Net decrease in shares | | | (85,482 | ) | | | (374,578 | ) |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.12 | | | $ | 16.20 | | | $ | 17.41 | | | $ | 15.80 | | | $ | 15.26 | | | $ | 16.16 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .05 | | | | .09 | | | | .10 | | | | — | c | | | (.09 | ) | | | (.10 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.87 | | | | (2.04 | ) | | | (1.02 | ) | | | 1.61 | | | | .63 | | | | (.80 | ) |
Total from investment operations | | | 1.92 | | | | (1.95 | ) | | | (.92 | ) | | | 1.61 | | | | .54 | | | | (.90 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.13 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.29 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.13 | ) | | | (.29 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 16.04 | | | $ | 14.12 | | | $ | 16.20 | | | $ | 17.41 | | | $ | 15.80 | | | $ | 15.26 | |
|
Total Returnd | | | 13.60 | % | | | (12.15 | %) | | | (5.31 | %) | | | 10.19 | % | | | 3.54 | % | | | (5.57 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,330 | | | $ | 7,021 | | | $ | 10,143 | | | $ | 4,012 | | | $ | 4,615 | | | $ | 10,803 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.68 | % | | | 0.58 | % | | | 0.58 | % | | | 0.01 | % | | | (0.59 | %) | | | (0.66 | %) |
Total expensese,f | | | 1.79 | % | | | 1.78 | % | | | 1.78 | % | | | 1.77 | % | | | 2.25 | % | | | 2.53 | % |
Portfolio turnover rate | | | 109 | % | | | 119 | % | | | 170 | % | | | 328 | % | | | 223 | % | | | 224 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 12.39 | | | $ | 14.21 | | | $ | 15.43 | | | $ | 14.11 | | | $ | 13.72 | | | $ | 14.64 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.01 | ) | | | (.02 | ) | | | (.07 | ) | | | (.11 | ) | | | (.18 | ) | | | (.21 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.65 | | | | (1.80 | ) | | | (.86 | ) | | | 1.43 | | | | .57 | | | | (.71 | ) |
Total from investment operations | | | 1.64 | | | | (1.82 | ) | | | (.93 | ) | | | 1.32 | | | | .39 | | | | (.92 | ) |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | (.29 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.29 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 14.03 | | | $ | 12.39 | | | $ | 14.21 | | | $ | 15.43 | | | $ | 14.11 | | | $ | 13.72 | |
|
Total Returnd | | | 13.24 | % | | | (12.81 | %) | | | (6.00 | %) | | | 9.36 | % | | | 2.77 | % | | | (6.28 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 428 | | | $ | 567 | | | $ | 1,424 | | | $ | 11,394 | | | $ | 13,235 | | | $ | 16,760 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.11 | %) | | | (0.18 | %) | | | (0.43 | %) | | | (0.74 | %) | | | (1.30 | %) | | | (1.45 | %) |
Total expensese,f | | | 2.55 | % | | | 2.53 | % | | | 2.50 | % | | | 2.52 | % | | | 2.98 | % | | | 3.24 | % |
Portfolio turnover rate | | | 109 | % | | | 119 | % | | | 170 | % | | | 328 | % | | | 223 | % | | | 224 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.17 | | | $ | 16.25 | | | $ | 17.47 | | | $ | 15.86 | | | $ | 15.31 | | | $ | 16.21 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .05 | | | | .09 | | | | .08 | | | | — | c | | | (.09 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.88 | | | | (2.04 | ) | | | (1.01 | ) | | | 1.61 | | | | .64 | | | | (.79 | ) |
Total from investment operations | | | 1.93 | | | | (1.95 | ) | | | (.93 | ) | | | 1.61 | | | | .55 | | | | (.90 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.13 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.29 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.13 | ) | | | (.29 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 16.10 | | | $ | 14.17 | | | $ | 16.25 | | | $ | 17.47 | | | $ | 15.86 | | | $ | 15.31 | |
|
Total Return | | | 13.62 | % | | | (12.17 | %) | | | (5.35 | %) | | | 10.15 | % | | | 3.53 | % | | | (5.55 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,684 | | | $ | 5,370 | | | $ | 9,303 | | | $ | 12,614 | | | $ | 13,779 | | | $ | 23,477 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.68 | % | | | 0.57 | % | | | 0.47 | % | | | 0.01 | % | | | (0.58 | %) | | | (0.67 | %) |
Total expensese,f | | | 1.79 | % | | | 1.78 | % | | | 1.77 | % | | | 1.76 | % | | | 2.24 | % | | | 2.50 | % |
Portfolio turnover rate | | | 109 | % | | | 119 | % | | | 170 | % | | | 328 | % | | | 223 | % | | | 224 | % |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.49 | | | $ | 16.60 | | | $ | 17.79 | | | $ | 16.11 | | | $ | 15.50 | | | $ | 16.38 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .07 | | | | .14 | | | | .12 | | | | .05 | | | | (.03 | ) | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.92 | | | | (2.10 | ) | | | (1.02 | ) | | | 1.63 | | | | .64 | | | | (.83 | ) |
Total from investment operations | | | 1.99 | | | | (1.96 | ) | | | (.90 | ) | | | 1.68 | | | | .61 | | | | (.88 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (.29 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.15 | ) | | | (.29 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 16.48 | | | $ | 14.49 | | | $ | 16.60 | | | $ | 17.79 | | | $ | 16.11 | | | $ | 15.50 | |
|
Total Return | | | 13.73 | % | | | (11.96 | %) | | | (5.08 | %) | | | 10.43 | % | | | 3.94 | % | | | (5.37 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,976 | | | $ | 1,794 | | | $ | 2,018 | | | $ | 2,722 | | | $ | 1,990 | | | $ | 525 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.93 | % | | | 0.85 | % | | | 0.72 | % | | | 0.31 | % | | | (0.20 | %) | | | (0.29 | %) |
Total expensese,f | | | 1.54 | % | | | 1.53 | % | | | 1.51 | % | | | 1.50 | % | | | 1.96 | % | | | 2.27 | % |
Portfolio turnover rate | | | 109 | % | | | 119 | % | | | 170 | % | | | 328 | % | | | 223 | % | | | 224 | % |
a | Unaudited figures for the period ended September 30, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Excluding interest and dividend expense related to short sales, the operating expense ratios for the years or periods presented was as follows: |
| | | 09/30/20a | 03/31/20 | 03/31/19 | 03/31/18 | 03/31/17 | 03/31/16 |
| | A-Class | 1.79% | 1.78% | 1.78% | 1.68% | 1.67% | 1.66% |
| | C-Class | 2.55% | 2.53% | 2.50% | 2.44% | 2.42% | 2.41% |
| | P-Class | 1.79% | 1.78% | 1.77% | 1.69% | 1.67% | 1.66% |
| | Institutional Class | 1.54% | 1.53% | 1.51% | 1.43% | 1.43% | 1.41% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
COUNTRY DIVERSIFICATION
Country | | % of Long-Term
Investments | |
China | | | 30.7 | % |
Taiwan, Province of China | | | 22.5 | % |
Cayman Islands | | | 17.7 | % |
India | | | 11.0 | % |
Brazil | | | 8.7 | % |
Republic of Korea | | | 3.2 | % |
Mexico | | | 2.2 | % |
Other | | | 4.0 | % |
Total Long-Term Investments | | | 100.0 | % |
Inception Dates: |
A-Class | October 29, 2010 |
C-Class | October 29, 2010 |
H-Class | October 29, 2010 |
Ten Largest Holdings (% of Total Net Assets) |
Alibaba Group Holding Ltd. ADR | 4.1% |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 3.9% |
JD.com, Inc. ADR | 0.9% |
HDFC Bank Ltd. ADR | 0.9% |
Infosys Ltd. ADR | 0.7% |
NetEase, Inc. ADR | 0.5% |
Vale S.A. ADR | 0.5% |
China Mobile Ltd. ADR | 0.5% |
Baidu, Inc. ADR | 0.5% |
TAL Education Group ADR | 0.4% |
Top Ten Total | 12.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2020 |
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | Since
Inception
(10/29/10) |
A-Class Shares | 88.15% | 36.72% | 17.35% | (3.06%) |
A-Class Shares with sales charge‡ | 79.20% | 30.22% | 16.21% | (3.54%) |
C-Class Shares | 87.44% | 35.71% | 16.46% | (3.65%) |
C-Class Shares with CDSC§ | 86.44% | 34.71% | 16.46% | (3.65%) |
H-Class Shares | 88.12% | 36.66% | 17.33% | (3.06%) |
BNY Mellon Emerging Markets 50 ADR Index | 41.20% | 23.75% | 13.02% | 2.55% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.43% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
EMERGING MARKETS 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 18.7% |
| | | | | | | | | |
Communications - 7.6% |
Alibaba Group Holding Ltd. ADR* | | | 604 | | | $ | 177,564 | |
JD.com, Inc. ADR* | | | 528 | | | | 40,978 | |
China Mobile Ltd. ADR | | | 660 | | | | 21,226 | |
Baidu, Inc. ADR* | | | 163 | | | | 20,634 | |
Pinduoduo, Inc. ADR* | | | 202 | | | | 14,978 | |
America Movil SAB de CV — Class L ADR | | | 704 | | | | 8,793 | |
Trip.com Group Ltd. ADR* | | | 273 | | | | 8,501 | |
Chunghwa Telecom Company Ltd. ADR | | | 227 | | | | 8,224 | |
Telekomunikasi Indonesia Persero Tbk PT ADR | | | 284 | | | | 4,933 | |
SK Telecom Company Ltd. ADR | | | 213 | | | | 4,775 | |
GDS Holdings Ltd. ADR* | | | 55 | | | | 4,501 | |
iQIYI, Inc. ADR* | | | 164 | | | | 3,703 | |
Tencent Music Entertainment Group ADR* | | | 248 | | | | 3,663 | |
Vipshop Holdings Ltd. ADR* | | | 229 | | | | 3,582 | |
Autohome, Inc. ADR | | | 34 | | | | 3,264 | |
Total Communications | | | | | | | 329,319 | |
| | | | | | | | | |
Technology - 5.4% |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 2,079 | | | | 168,544 | |
Infosys Ltd. ADR | | | 2,205 | | | | 30,451 | |
NetEase, Inc. ADR | | | 48 | | | | 21,824 | |
United Microelectronics Corp. ADR | | | 1,357 | | | | 6,500 | |
Wipro Ltd. ADR | | | 887 | | | | 4,169 | |
ASE Technology Holding Company Ltd. ADR | | | 1,010 | | | | 4,121 | |
Total Technology | | | | | | | 235,609 | |
| | | | | | | | | |
Financial - 2.0% |
HDFC Bank Ltd. ADR* | | | 745 | | | | 37,220 | |
ICICI Bank Ltd. ADR* | | | 1,523 | | | | 14,971 | |
China Life Insurance Company Ltd. ADR1 | | | 888 | | | | 10,052 | |
Banco Bradesco S.A. ADR | | | 2,648 | | | | 9,083 | |
KB Financial Group, Inc. ADR | | | 233 | | | | 7,484 | |
Shinhan Financial Group Company Ltd. ADR | | | 271 | | | | 6,225 | |
Total Financial | | | | | | | 85,035 | |
| | | | | | | | | |
Consumer, Non-cyclical - 1.4% |
TAL Education Group ADR* | | | 239 | | | | 18,174 | |
New Oriental Education & Technology Group, Inc. ADR* | | | 82 | | | | 12,259 | |
BeiGene Ltd. ADR* | | | 23 | | | | 6,588 | |
Fomento Economico Mexicano SAB de CV ADR | | | 111 | | | | 6,237 | |
Ambev S.A. ADR | | | 2,630 | | | | 5,944 | |
Dr Reddy’s Laboratories Ltd. ADR | | | 72 | | | | 5,008 | |
Natura & Company Holding S.A. ADR | | | 213 | | | | 3,879 | |
Total Consumer, Non-cyclical | | | | | | | 58,089 | |
| | | | | | | | | |
Basic Materials - 1.1% |
Vale S.A. ADR | | | 2,051 | | | | 21,700 | |
POSCO ADR | | | 192 | | | | 8,037 | |
AngloGold Ashanti Ltd. ADR | | | 249 | | | | 6,569 | |
Gold Fields Ltd. ADR | | | 527 | | | | 6,477 | |
Sibanye Stillwater Ltd. ADR | | | 330 | | | | 3,676 | |
Suzano S.A. ADR*,1 | | | 333 | | | | 2,720 | |
Total Basic Materials | | | | | | | 49,179 | |
| | | | | | | | | |
Energy - 0.6% |
CNOOC Ltd. ADR | | | 96 | | | | 9,221 | |
Petroleo Brasileiro S.A. ADR | | | 1,110 | | | | 7,903 | |
China Petroleum & Chemical Corp. ADR | | | 152 | | | | 6,150 | |
PetroChina Company Ltd. ADR | | | 126 | | | | 3,709 | |
Total Energy | | | | | | | 26,983 | |
| | | | | | | | | |
Consumer, Cyclical - 0.3% |
NIO, Inc. ADR* | | | 637 | | | | 13,517 | |
| | | | | | | | | |
Industrial - 0.2% |
ZTO Express Cayman, Inc. ADR | | | 228 | | | | 6,822 | |
Cemex SAB de CV ADR | | | 902 | | | | 3,427 | |
Total Industrial | | | | | | | 10,249 | |
| | | | | | | | | |
Utilities - 0.1% |
Enel Americas S.A. ADR | | | 336 | | | | 2,171 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $538,365) | | | | | | | 810,151 | |
| | | | | | | | | |
PREFERRED STOCKS† - 0.5% |
Financial - 0.3% |
Itau Unibanco Holding S.A. ADR | | | 2,893 | | | | 11,514 | |
| | | | | | | | | |
Energy - 0.2% |
Petroleo Brasileiro S.A. ADR | | | 1,371 | | | | 9,652 | |
Total Preferred Stocks | | | | |
(Cost $29,773) | | | | | | | 21,166 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 0.1% |
U.S. Treasury Bills |
0.08% due 10/15/202,3 | | $ | 6,000 | | | | 6,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $5,999) | | | | | | | 6,000 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 151.3% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/205 | | | 3,662,464 | | | | 3,662,464 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/205 | | | 1,524,419 | | | | 1,524,419 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/205 | | | 1,387,222 | | | | 1,387,222 | |
Total Repurchase Agreements | | | | |
(Cost $6,574,105) | | | | | | | 6,574,105 | |
| | | | | | | | | |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2020 |
EMERGING MARKETS 2x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 0.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.05%7 | | | 9,776 | | | $ | 9,776 | |
Total Securities Lending Collateral | | | | |
(Cost $9,776) | | | | | | | 9,776 | |
| | | | | | | | | |
Total Investments - 170.8% | | | | |
(Cost $7,158,018) | | $ | 7,421,198 | |
Other Assets & Liabilities, net - (70.8)% | | | (3,075,039 | ) |
Total Net Assets - 100.0% | | $ | 4,346,159 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
MSCI Emerging Markets Index Futures Contracts | | | 5 | | | | Dec 2020 | | | $ | 272,100 | | | $ | 3,487 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | 0.74% (1 Month USD LIBOR + 0.60%) | At Maturity | | | 11/18/20 | | | | 978 | | | $ | 2,926,273 | | | $ | 96,582 | |
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | 0.65% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 11/19/20 | | | | 1,540 | | | | 4,608,760 | | | | 93,705 | |
| | | | | | | | | | | | | | $ | 7,535,033 | | | $ | 190,287 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at September 30, 2020 — See Note 7. |
2 | All or a portion of this security is pledged as futures collateral at September 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of September 30, 2020. |
| | ADR — American Depositary Receipt |
| | LIBOR — London Interbank Offered Rate |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
EMERGING MARKETS 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | | $ | 810,151 | | | $ | — | | | $ | — | | | $ | 810,151 | |
Preferred Stocks | | | 21,166 | | | | — | | | | — | | | | 21,166 | |
U.S. Treasury Bills | | | — | | | | 6,000 | | | | — | | | | 6,000 | |
Repurchase Agreements | | | — | | | | 6,574,105 | | | | — | | | | 6,574,105 | |
Securities Lending Collateral | | | 9,776 | | | | — | | | | — | | | | 9,776 | |
Equity Futures Contracts** | | | 3,487 | | | | — | | | | — | | | | 3,487 | |
Equity Index Swap Agreements** | | | — | | | | 190,287 | | | | — | | | | 190,287 | |
Total Assets | | $ | 844,580 | | | $ | 6,770,392 | | | $ | — | | | $ | 7,614,972 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value - including $9,573 of securities loaned (cost $583,913) | | $ | 847,093 | |
Repurchase agreements, at value (cost $6,574,105) | | | 6,574,105 | |
Segregated cash with broker | | | 16,300 | |
Unrealized appreciation on OTC swap agreements | | | 190,287 | |
Receivables: |
Fund shares sold | | | 182,314 | |
Swap settlement | | | 136,192 | |
Variation margin on futures contracts | | | 3,457 | |
Dividends | | | 2,790 | |
Foreign tax reclaims | | | 462 | |
Interest | | | 11 | |
Securities lending income | | | 5 | |
Total assets | | | 7,953,016 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 3,582,144 | |
Return of securities lending collateral | | | 9,776 | |
Management fees | | | 3,485 | |
Distribution and service fees | | | 1,211 | |
Transfer agent and administrative fees | | | 1,042 | |
Portfolio accounting fees | | | 581 | |
Trustees’ fees* | | | 67 | |
Miscellaneous | | | 8,551 | |
Total liabilities | | | 3,606,857 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 4,346,159 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 17,159,830 | |
Total distributable earnings (loss) | | | (12,813,671 | ) |
Net assets | | $ | 4,346,159 | |
| | | | | |
A-Class: |
Net assets | | $ | 792,031 | |
Capital shares outstanding | | | 9,505 | |
Net asset value per share | | $ | 83.33 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 87.49 | |
| | | | | |
C-Class: |
Net assets | | $ | 401,304 | |
Capital shares outstanding | | | 5,123 | |
Net asset value per share | | $ | 78.33 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,152,824 | |
Capital shares outstanding | | | 37,838 | |
Net asset value per share | | $ | 83.32 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,715) | | $ | 16,122 | |
Interest | | | 918 | |
Income from securities lending, net | | | 51 | |
Total investment income | | | 17,091 | |
| | | | | |
Expenses: |
Management fees | | | 17,466 | |
Distribution and service fees: |
A-Class | | | 960 | |
C-Class | | | 1,415 | |
H-Class | | | 3,540 | |
Transfer agent and administrative fees | | | 5,473 | |
Portfolio accounting fees | | | 2,912 | |
Registration fees | | | 2,136 | |
Professional fees | | | 1,331 | |
Custodian fees | | | 272 | |
Trustees’ fees* | | | 91 | |
Prime broker interest expense | | | 2 | |
Miscellaneous | | | 1,589 | |
Total expenses | | | 37,187 | |
Net investment loss | | | (20,096 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 958 | |
Swap agreements | | | 1,571,063 | |
Futures contracts | | | 37,727 | |
Net realized gain | | | 1,609,748 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 234,031 | |
Swap agreements | | | 292,732 | |
Futures contracts | | | 3,380 | |
Net change in unrealized appreciation (depreciation) | | | 530,143 | |
Net realized and unrealized gain | | | 2,139,891 | |
Net increase in net assets resulting from operations | | $ | 2,119,795 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (20,096 | ) | | $ | (2,403 | ) |
Net realized gain (loss) on investments | | | 1,609,748 | | | | (3,827,042 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 530,143 | | | | (1,110,916 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,119,795 | | | | (4,940,361 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (7,524 | ) |
C-Class | | | — | | | | (1,845 | ) |
H-Class | | | — | | | | (35,229 | ) |
Total distributions to shareholders | | | — | | | | (44,598 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 331,968 | | | | 903,892 | |
C-Class | | | 161,838 | | | | 1,815,669 | |
H-Class | | | 50,584,353 | | | | 214,239,492 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 7,503 | |
C-Class | | | — | | | | 1,805 | |
H-Class | | | — | | | | 34,340 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (598,275 | ) | | | (2,144,611 | ) |
C-Class | | | (80,959 | ) | | | (1,980,620 | ) |
H-Class | | | (50,425,147 | ) | | | (214,946,228 | ) |
Net decrease from capital share transactions | | | (26,222 | ) | | | (2,068,758 | ) |
Net increase (decrease) in net assets | | | 2,093,573 | | | | (7,053,717 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,252,586 | | | | 9,306,303 | |
End of period | | $ | 4,346,159 | | | $ | 2,252,586 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 5,122 | | | | 14,019 | |
C-Class | | | 2,736 | | | | 27,838 | |
H-Class | | | 766,996 | | | | 3,178,461 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 93 | |
C-Class | | | — | | | | 24 | |
H-Class | | | — | | | | 426 | |
Shares redeemed | | | | | | | | |
A-Class | | | (9,787 | ) | | | (31,579 | ) |
C-Class | | | (1,473 | ) | | | (30,269 | ) |
H-Class | | | (762,203 | ) | | | (3,239,286 | ) |
Net increase (decrease) in shares | | | 1,391 | | | | (80,273 | ) |
36 | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.20 | | | $ | 60.99 | | | $ | 44.79 | | | $ | 60.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.23 | ) | | | .17 | | | | .40 | | | | (.24 | ) | | | (.48 | ) | | | (.23 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 39.27 | | | | (26.42 | ) | | | (16.58 | ) | | | 26.45 | | | | 16.68 | | | | (14.83 | ) |
Total from investment operations | | | 39.04 | | | | (26.25 | ) | | | (16.18 | ) | | | 26.21 | | | | 16.20 | | | | (15.06 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Total distributions | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Net asset value, end of period | | $ | 83.33 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.20 | | | $ | 60.99 | | | $ | 44.79 | |
|
Total Returnc | | | 88.15 | % | | | (37.27 | %) | | | (18.56 | %) | | | 42.97 | % | | | 36.17 | % | | | (24.84 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 792 | | | $ | 628 | | | $ | 2,247 | | | $ | 3,187 | | | $ | 628 | | | $ | 3,988 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.71 | %) | | | 0.25 | % | | | 0.54 | % | | | (0.30 | %) | | | (0.96 | %) | | | (0.48 | %) |
Total expenses | | | 1.87 | % | | | 1.86 | % | | | 1.84 | % | | | 1.76 | % | | | 1.76 | % | | | 1.75 | % |
Portfolio turnover rate | | | 11 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.79 | | | $ | 67.53 | | | $ | 83.55 | | | $ | 58.90 | | | $ | 43.56 | | | $ | 59.37 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.50 | ) | | | (.28 | ) | | | (.22 | ) | | | (.61 | ) | | | (.79 | ) | | | (.74 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 37.04 | | | | (24.98 | ) | | | (15.80 | ) | | | 25.26 | | | | 16.13 | | | | (14.42 | ) |
Total from investment operations | | | 36.54 | | | | (25.26 | ) | | | (16.02 | ) | | | 24.65 | | | | 15.34 | | | | (15.16 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Total distributions | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Net asset value, end of period | | $ | 78.33 | | | $ | 41.79 | | | $ | 67.53 | | | $ | 83.55 | | | $ | 58.90 | | | $ | 43.56 | |
|
Total Returnc | | | 87.44 | % | | | (37.73 | %) | | | (19.17 | %) | | | 41.87 | % | | | 35.19 | % | | | (25.48 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 401 | | | $ | 161 | | | $ | 423 | | | $ | 522 | | | $ | 361 | | | $ | 271 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.58 | %) | | | (0.44 | %) | | | (0.33 | %) | | | (0.82 | %) | | | (1.55 | %) | | | (1.49 | %) |
Total expenses | | | 2.62 | % | | | 2.60 | % | | | 2.59 | % | | | 2.56 | % | | | 2.50 | % | | | 2.46 | % |
Portfolio turnover rate | | | 11 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.21 | | | $ | 61.01 | | | $ | 44.84 | | | $ | 60.61 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.36 | ) | | | (.05 | ) | | | .50 | | | | (.25 | ) | | | (.42 | ) | | | (.41 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 39.39 | | | | (26.20 | ) | | | (16.69 | ) | | | 26.45 | | | | 16.59 | | | | (14.71 | ) |
Total from investment operations | | | 39.03 | | | | (26.25 | ) | | | (16.19 | ) | | | 26.20 | | | | 16.17 | | | | (15.12 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Total distributions | | | — | | | | (.48 | ) | | | — | | | | — | | | | — | | | | (.65 | ) |
Net asset value, end of period | | $ | 83.32 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.21 | | | $ | 61.01 | | | $ | 44.84 | |
|
Total Return | | | 88.12 | % | | | (37.27 | %) | | | (18.56 | %) | | | 42.95 | % | | | 36.04 | % | | | (24.88 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,153 | | | $ | 1,464 | | | $ | 6,636 | | | $ | 27,270 | | | $ | 6,698 | | | $ | 13,238 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.07 | %) | | | (0.07 | %) | | | 0.71 | % | | | (0.32 | %) | | | (0.82 | %) | | | (0.76 | %) |
Total expenses | | | 1.87 | % | | | 1.87 | % | | | 1.85 | % | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % |
Portfolio turnover rate | | | 11 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % |
a | Unaudited figures for the period ended September 30, 2020. 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. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | October 29, 2010 |
C-Class | October 29, 2010 |
H-Class | October 29, 2010 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | Since
Inception
(10/29/10) |
A-Class Shares | (56.05%) | (52.34%) | (31.67%) | (18.08%) |
A-Class Shares with sales charge‡ | (58.14%) | (54.60%) | (32.34%) | (18.49%) |
C-Class Shares | (56.15%) | (52.01%) | (32.00%) | (18.09%) |
C-Class Shares with CDSC§ | (56.59%) | (52.48%) | (32.00%) | (18.09%) |
H-Class Shares | (56.05%) | (52.32%) | (31.65%) | (18.14%) |
BNY Mellon Emerging Markets 50 ADR Index | 41.20% | 23.75% | 13.02% | 2.55% |
S&P 500 Index | 31.31% | 15.15% | 14.15% | 13.43% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 101.0% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/202 | | $ | 316,048 | | | $ | 316,048 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 131,548 | | | | 131,548 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/202 | | | 119,709 | | | | 119,709 | |
Total Repurchase Agreements | | | | |
(Cost $567,305) | | | | | | | 567,305 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $567,305) | | $ | 567,305 | |
Other Assets & Liabilities, net - (1.0)% | | | (5,729 | ) |
Total Net Assets - 100.0% | | $ | 561,576 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | (0.35%) (1 Week USD LIBOR - 0.45%) | At Maturity | | | 11/19/20 | | | | 219 | | | $ | 654,649 | | | $ | (8,431 | ) |
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | (0.16%) (1 Month USD LIBOR - 0.30%) | At Maturity | | | 11/18/20 | | | | 156 | | | | 467,370 | | | | (13,158 | ) |
| | | | | | | | | | | | | | $ | 1,122,019 | | | $ | (21,589 | ) |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2020. |
| | ADR — American Depositary Receipt |
| | LIBOR — London Interbank Offered Rate |
| | |
| | See Sector Classification in Other Information section. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2020 (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 | |
Repurchase Agreements | | $ | — | | | $ | 567,305 | | | $ | — | | | $ | 567,305 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 21,589 | | | $ | — | | | $ | 21,589 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Repurchase agreements, at value (cost $567,305) | | $ | 567,305 | |
Segregated cash with broker | | | 10,600 | |
Receivables: |
Fund shares sold | | | 69,473 | |
Total assets | | | 647,378 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 77 | |
Unrealized depreciation on OTC swap agreements | | | 21,589 | |
Payable for: |
Fund shares redeemed | | | 56,292 | |
Swap settlement | | | 3,631 | |
Variation margin on futures contracts | | | 1,740 | |
Management fees | | | 283 | |
Transfer agent and administrative fees | | | 85 | |
Distribution and service fees | | | 83 | |
Portfolio accounting fees | | | 47 | |
Trustees’ fees* | | | 20 | |
Miscellaneous | | | 1,955 | |
Total liabilities | | | 85,802 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 561,576 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 20,315,269 | |
Total distributable earnings (loss) | | | (19,753,693 | ) |
Net assets | | $ | 561,576 | |
| | | | | |
A-Class: |
Net assets | | $ | 43,948 | |
Capital shares outstanding | | | 2,141 | |
Net asset value per share | | $ | 20.53 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 21.55 | |
| | | | | |
C-Class: |
Net assets | | $ | 6,651 | |
Capital shares outstanding | | | 324 | |
Net asset value per share | | $ | 20.53 | |
| | | | | |
H-Class: |
Net assets | | $ | 510,977 | |
Capital shares outstanding | | | 25,066 | |
Net asset value per share | | $ | 20.39 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Interest | | $ | 284 | |
Total investment income | | | 284 | |
| | | | | |
Expenses: |
Management fees | | | 6,272 | |
Distribution and service fees: |
A-Class | | | 90 | |
C-Class | | | 237 | |
H-Class | | | 1,595 | |
Transfer agent and administrative fees | | | 1,992 | |
Portfolio accounting fees | | | 1,046 | |
Registration fees | | | 767 | |
Professional fees | | | 540 | |
Custodian fees | | | 100 | |
Trustees’ fees* | | | 36 | |
Miscellaneous | | | 868 | |
Total expenses | | | 13,543 | |
Net investment loss | | | (13,259 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | (1,351,138 | ) |
Futures contracts | | | (14,365 | ) |
Net realized loss | | | (1,365,503 | ) |
Net change in unrealized appreciation (depreciation) on: |
Swap agreements | | | (23,345 | ) |
Net change in unrealized appreciation (depreciation) | | | (23,345 | ) |
Net realized and unrealized loss | | | (1,388,848 | ) |
Net decrease in net assets resulting from operations | | $ | (1,402,107 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (13,259 | ) | | $ | 1,035 | |
Net realized gain (loss) on investments | | | (1,365,503 | ) | | | 174,492 | |
Net change in unrealized appreciation (depreciation) on investments | | | (23,345 | ) | | | 42,848 | |
Net increase (decrease) in net assets resulting from operations | | | (1,402,107 | ) | | | 218,375 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (74 | ) |
C-Class | | | — | | | | (291 | ) |
H-Class | | | — | | | | (4,157 | ) |
Total distributions to shareholders | | | — | | | | (4,522 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 26,452 | | | | 948,187 | |
C-Class | | | 188,117 | | | | 1,863,277 | |
H-Class | | | 36,467,613 | | | | 52,112,944 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 55 | |
C-Class | | | — | | | | 27 | |
H-Class | | | — | | | | 3,705 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (66,888 | ) | | | (813,060 | ) |
C-Class | | | (235,128 | ) | | | (1,767,237 | ) |
H-Class | | | (35,315,013 | ) | | | (53,439,146 | ) |
Net increase (decrease) from capital share transactions | | | 1,065,153 | | | | (1,091,248 | ) |
Net decrease in net assets | | | (336,954 | ) | | | (877,395 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 898,530 | | | | 1,775,925 | |
End of period | | $ | 561,576 | | | $ | 898,530 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 633 | | | | 22,942 | |
C-Class | | | 6,690 | | | | 51,267 | |
H-Class | | | 1,233,073 | | | | 1,307,127 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 2 | |
C-Class | | | — | | | | 1 | |
H-Class | | | — | | | | 115 | |
Shares redeemed | | | | | | | | |
A-Class | | | (1,629 | ) | | | (20,207 | ) |
C-Class | | | (8,562 | ) | | | (49,157 | ) |
H-Class | | | (1,222,002 | ) | | | (1,336,862 | ) |
Net increase (decrease) in shares | | | 8,203 | | | | (24,772 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.71 | | | $ | 40.57 | | | $ | 39.08 | | | $ | 63.42 | | | $ | 101.83 | | | $ | 101.26 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.28 | ) | | | (.16 | ) | | | .23 | | | | (.28 | ) | | | (1.42 | ) | | | (1.92 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (25.90 | ) | | | 6.64 | | | | 1.26 | e | | | (24.06 | ) | | | (36.99 | ) | | | 2.49 | |
Total from investment operations | | | (26.18 | ) | | | 6.48 | | | | 1.49 | | | | (24.34 | ) | | | (38.41 | ) | | | .57 | |
Less distributions from: |
Net investment income | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 20.53 | | | $ | 46.71 | | | $ | 40.57 | | | $ | 39.08 | | | $ | 63.42 | | | $ | 101.83 | |
|
Total Returnc | | | (56.05 | %) | | | 16.30 | % | | | 3.81 | % | | | (38.35 | %) | | | (37.72 | %) | | | 0.53 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 44 | | | $ | 147 | | | $ | 16 | | | $ | 43 | | | $ | 42 | | | $ | 448 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.83 | %) | | | (0.37 | %) | | | 0.51 | % | | | (0.64 | %) | | | (1.50 | %) | | | (1.59 | %) |
Total expenses | | | 1.88 | % | | | 1.89 | % | | | 1.88 | % | | | 1.76 | % | | | 1.75 | % | | | 1.75 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.82 | | | $ | 40.45 | | | $ | 39.34 | | | $ | 64.21 | | | $ | 103.83 | | | $ | 104.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.48 | ) | | | (.31 | ) | | | (.29 | ) | | | (.74 | ) | | | (1.88 | ) | | | (2.82 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (25.81 | ) | | | 7.02 | | | | 1.40 | e | | | (24.13 | ) | | | (37.74 | ) | | | 2.42 | |
Total from investment operations | | | (26.29 | ) | | | 6.71 | | | | 1.11 | | | | (24.87 | ) | | | (39.62 | ) | | | (.40 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 20.53 | | | $ | 46.82 | | | $ | 40.45 | | | $ | 39.34 | | | $ | 64.21 | | | $ | 103.83 | |
|
Total Returnc | | | (56.15 | %) | | | 16.96 | % | | | 2.82 | % | | | (38.77 | %) | | | (38.17 | %) | | | (0.29 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7 | | | $ | 103 | | | $ | 3 | | | $ | 19 | | | $ | 56 | | | $ | 371 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.63 | %) | | | (1.09 | %) | | | (0.63 | %) | | | (1.46 | %) | | | (2.20 | %) | | | (2.44 | %) |
Total expenses | | | 2.67 | % | | | 2.79 | % | | | 2.53 | % | | | 2.49 | % | | | 2.48 | % | | | 2.50 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.39 | | | $ | 40.27 | | | $ | 38.77 | | | $ | 63.00 | | | $ | 101.28 | | | $ | 100.80 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.31 | ) | | | .07 | | | | .19 | | | | (.30 | ) | | | (1.23 | ) | | | (2.04 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (25.69 | ) | | | 6.39 | | | | 1.31 | e | | | (23.93 | ) | | | (37.05 | ) | | | 2.52 | |
Total from investment operations | | | (26.00 | ) | | | 6.46 | | | | 1.50 | | | | (24.23 | ) | | | (38.28 | ) | | | .48 | |
Less distributions from: |
Net investment income | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.34 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 20.39 | | | $ | 46.39 | | | $ | 40.27 | | | $ | 38.77 | | | $ | 63.00 | | | $ | 101.28 | |
|
Total Return | | | (56.05 | %) | | | 16.40 | % | | | 3.87 | % | | | (38.46 | %) | | | (37.80 | %) | | | 0.48 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 511 | | | $ | 649 | | | $ | 1,756 | | | $ | 743 | | | $ | 890 | | | $ | 26,336 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.88 | %) | | | 0.19 | % | | | 0.42 | % | | | (0.68 | %) | | | (1.46 | %) | | | (1.65 | %) |
Total expenses | | | 1.92 | % | | | 1.87 | % | | | 1.87 | % | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2020. 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 | Reverse share split — Per share amounts for the years presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 31, 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 SEMI-ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2020 |
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 Advisor.
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 investments such as swap agreements and futures contracts.
Average Annual Returns*
Periods Ended September 30, 2020
| 6 Month† | 1 Year | 5 Year | Since
Inception
(10/08/13) |
A-Class Shares | 11.26% | (0.54%) | 4.11% | 1.73% |
A-Class Shares with sales charge‡ | 5.97% | (5.26%) | 3.10% | 1.02% |
C-Class Shares | 10.85% | (1.29%) | 3.25% | 0.90% |
C-Class Shares with CDSC§ | 9.85% | (2.19%) | 3.25% | 0.90% |
H-Class Shares | 11.28% | (0.57%) | 4.08% | 1.66% |
ICE BofA Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index | 14.38% | 0.54% | 5.45% | 4.94% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2020 |
EMERGING MARKETS BOND STRATEGY FUND | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 0.6% |
U.S. Treasury Bills | | | | | | | | |
0.08% due 10/15/201,2 | | $ | 3,000 | | | $ | 3,000 | |
Total U.S. Treasury Bills |
(Cost $3,000) | | | 3,000 | |
| |
REPURCHASE AGREEMENTS††,3 - 80.5% |
J.P. Morgan Securities LLC
issued 09/30/20 at 0.06%
due 10/01/204 | | | 258,763 | | | | 258,763 | |
BofA Securities, Inc.
issued 09/30/20 at 0.06%
due 10/01/204 | | | 107,704 | | | | 107,704 | |
Barclays Capital, Inc.
issued 09/30/20 at 0.06%
due 10/01/204 | | | 98,011 | | | | 98,011 | |
Total Repurchase Agreements | | | | |
(Cost $464,478) | | | | | | | 464,478 | |
| | | | | | | | | |
Total Investments - 81.1% | | | | |
(Cost $467,478) | | $ | 467,478 | |
Other Assets & Liabilities, net - 18.9% | | | 109,240 | |
Total Net Assets - 100.0% | | $ | 576,718 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 10 Year Note Futures Contracts | | | 1 | | | | Dec 2020 | | | $ | 139,500 | | | $ | 113 | |
U.S. Treasury 5 Year Note Futures Contracts | | | 1 | | | | Dec 2020 | | | | 126,000 | | | | 84 | |
| | | | | | | | | | | $ | 265,500 | | | $ | 197 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
| |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid (Received) | | | Unrealized
Appreciation** | |
Barclays Bank plc | ICE | CDX.EM.34.V1 Index | | | 1.00 | % | Quarterly | 12/20/25 | | $ | 500,000 | | | $ | (31,500 | ) | | $ | (31,568 | ) | | $ | 68 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | iShares J.P. Morgan USD Emerging Markets Bond ETF | 0.56% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 10/29/20 | | | | 952 | | | $ | 105,567 | | | $ | 276 | |
Goldman Sachs International | Invesco Emerging Markets Sovereign Debt ETF | 0.66% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 10/29/20 | | | | 4,605 | | | | 124,888 | | | | 230 | |
| | | | | | | | | | | | | | $ | 230,455 | | | $ | 506 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2020 |
EMERGING MARKETS BOND STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 futures collateral at September 30, 2020. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as credit index swap collateral at September 30, 2020. |
| | CDX.EM.34.V1 — Credit Default Swap Emerging Markets Series 34 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | 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 September 30, 2020 (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 | |
U.S. Treasury Bills | | $ | — | | | $ | 3,000 | | | $ | — | | | $ | 3,000 | |
Repurchase Agreements | | | — | | | | 464,478 | | | | — | | | | 464,478 | |
Interest Rate Futures Contracts** | | | 197 | | | | — | | | | — | | | | 197 | |
Credit Default Swap Agreements** | | | — | | | | 68 | | | | — | | | | 68 | |
Credit Index Swap Agreements** | | | — | | | | 506 | | | | — | | | | 506 | |
Total Assets | | $ | 197 | | | $ | 468,052 | | | $ | — | | | $ | 468,249 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS BOND STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2020 |
Assets: |
Investments, at value (cost $3,000) | | $ | 3,000 | |
Repurchase agreements, at value (cost $464,478) | | | 464,478 | |
Segregated cash with broker | | | 100,820 | |
Unrealized appreciation on OTC swap agreements | | | 506 | |
Receivables: |
Fund shares sold | | | 38,132 | |
Swap settlement | | | 3,096 | |
Protection fees on credit default swap agreements | | | 125 | |
Variation margin on credit default swap agreements | | | 1,308 | |
Total assets | | | 611,465 | |
| | | | | |
Liabilities: |
Unamortized upfront premiums received on credit default swap agreements | | | 31,568 | |
Payable for: |
Management fees | | | 465 | |
Variation margin on futures contracts | | | 414 | |
Distribution and service fees | | | 198 | |
Transfer agent and administrative fees | | | 167 | |
Portfolio accounting fees | | | 93 | |
Trustees’ fees* | | | 26 | |
Miscellaneous | | | 1,816 | |
Total liabilities | | | 34,747 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 576,718 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 785,245 | |
Total distributable earnings (loss) | | | (208,527 | ) |
Net assets | | $ | 576,718 | |
| | | | | |
A-Class: |
Net assets | | $ | 34,540 | |
Capital shares outstanding | | | 486 | |
Net asset value per share | | $ | 71.13 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 74.68 | |
| | | | | |
C-Class: |
Net assets | | $ | 67,684 | |
Capital shares outstanding | | | 1,021 | |
Net asset value per share | | $ | 66.31 | |
| | | | | |
H-Class: |
Net assets | | $ | 474,494 | |
Capital shares outstanding | | | 6,715 | |
Net asset value per share | | $ | 70.66 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended September 30, 2020 |
Investment Income: |
Interest | | $ | 84 | |
Total investment income | | | 84 | |
| | | | | |
Expenses: |
Management fees | | | 4,753 | |
Distribution and service fees: |
A-Class | | | 432 | |
C-Class | | | 337 | |
H-Class | | | 1,070 | |
Transfer agent and administrative fees | | | 1,859 | |
Portfolio accounting fees | | | 951 | |
Registration fees | | | 697 | |
Professional fees | | | 546 | |
Custodian fees | | | 101 | |
Trustees’ fees* | | | 38 | |
Miscellaneous | | | 238 | |
Total expenses | | | 11,022 | |
Net investment loss | | | (10,938 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 183 | |
Swap agreements | | | 156,954 | |
Futures contracts | | | 10,432 | |
Net realized gain | | | 167,569 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (5 | ) |
Swap agreements | | | 18,978 | |
Futures contracts | | | (7,061 | ) |
Net change in unrealized appreciation (depreciation) | | | 11,912 | |
Net realized and unrealized gain | | | 179,481 | |
Net increase in net assets resulting from operations | | $ | 168,543 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
EMERGING MARKETS BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
September 30, 2020
(Unaudited) | | | Year Ended
March 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (10,938 | ) | | $ | 12,923 | |
Net realized gain (loss) on investments | | | 167,569 | | | | (34,134 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 11,912 | | | | (47,946 | ) |
Net increase (decrease) in net assets resulting from operations | | | 168,543 | | | | (69,157 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (2,501 | ) |
C-Class | | | — | | | | (5,902 | ) |
H-Class | | | — | | | | (332,227 | ) |
Total distributions to shareholders | | | — | | | | (340,630 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 239,299 | | | | 1,927,596 | |
C-Class | | | — | | | | 145,366 | |
H-Class | | | 3,671,217 | | | | 5,754,621 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 2,501 | |
C-Class | | | — | | | | 5,902 | |
H-Class | | | — | | | | 332,224 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,380,755 | ) | | | (1,529,027 | ) |
C-Class | | | (1,328 | ) | | | (143,144 | ) |
H-Class | | | (3,593,940 | ) | | | (14,659,065 | ) |
Net decrease from capital share transactions | | | (1,065,507 | ) | | | (8,163,026 | ) |
Net decrease in net assets | | | (896,964 | ) | | | (8,572,813 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,473,682 | | | | 10,046,495 | |
End of period | | $ | 576,718 | | | $ | 1,473,682 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 3,551 | | | | 27,204 | |
C-Class | | | — | | | | 2,040 | |
H-Class | | | 53,198 | | | | 76,190 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 35 | |
C-Class | | | — | | | | 87 | |
H-Class | | | — | | | | 4,616 | |
Shares redeemed | | | | | | | | |
A-Class | | | (20,346 | ) | | | (20,116 | ) |
C-Class | | | (19 | ) | | | (1,923 | ) |
H-Class | | | (51,313 | ) | | | (199,774 | ) |
Net decrease in shares | | | (14,929 | ) | | | (111,641 | ) |
50 | THE RYDEX FUNDS SEMI-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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.93 | | | $ | 74.95 | | | $ | 73.42 | | | $ | 71.93 | | | $ | 72.75 | | | $ | 81.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.58 | ) | | | .03 | | | | .10 | | | | (.55 | ) | | | (.91 | ) | | | 1.12 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.78 | | | | (4.86 | ) | | | 1.43 | | | | 2.13 | | | | 3.87 | | | | 2.23 | |
Total from investment operations | | | 7.20 | | | | (4.83 | ) | | | 1.53 | | | | 1.58 | | | | 2.96 | | | | 3.35 | |
Less distributions from: |
Net investment income | | | — | | | | (2.36 | ) | | | — | | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) |
Net realized gains | | | — | | | | (3.83 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
Total distributions | | | — | | | | (6.19 | ) | | | — | | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) |
Net asset value, end of period | | $ | 71.13 | | | $ | 63.93 | | | $ | 74.95 | | | $ | 73.42 | | | $ | 71.93 | | | $ | 72.75 | |
|
Total Returnc | | | 11.26 | % | | | (7.41 | %) | | | 2.08 | % | | | 2.18 | % | | | 4.62 | % | | | 5.13 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 35 | | | $ | 1,105 | | | $ | 761 | | | $ | 116 | | | $ | 113 | | | $ | 259 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.76 | %) | | | 0.03 | % | | | 0.14 | % | | | (0.74 | %) | | | (1.19 | %) | | | 1.59 | % |
Total expenses | | | 1.76 | % | | | 1.68 | % | | | 1.66 | % | | | 1.58 | % | | | 1.58 | % | | | 1.58 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 733 | % | | | 21,555 | % |
C-Class | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 59.82 | | | $ | 71.05 | | | $ | 70.12 | | | $ | 69.22 | | | $ | 70.54 | | | $ | 80.35 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.79 | ) | | | (.46 | ) | | | (.54 | ) | | | (1.06 | ) | | | (1.10 | ) | | | (1.00 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.28 | | | | (4.58 | ) | | | 1.47 | | | | 2.05 | | | | 3.56 | | | | 3.31 | |
Total from investment operations | | | 6.49 | | | | (5.04 | ) | | | .93 | | | | .99 | | | | 2.46 | | | | 2.31 | |
Less distributions from: |
Net investment income | | | — | | | | (2.36 | ) | | | — | | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) |
Net realized gains | | | — | | | | (3.83 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
Total distributions | | | — | | | | (6.19 | ) | | | — | | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) |
Net asset value, end of period | | $ | 66.31 | | | $ | 59.82 | | | $ | 71.05 | | | $ | 70.12 | | | $ | 69.22 | | | $ | 70.54 | |
|
Total Returnc | | | 10.85 | % | | | (8.13 | %) | | | 1.33 | % | | | 1.41 | % | | | 4.09 | % | | | 3.73 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 68 | | | $ | 62 | | | $ | 59 | | | $ | 82 | | | $ | 90 | | | $ | 129 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.43 | %) | | | (0.61 | %) | | | (0.79 | %) | | | (1.49 | %) | | | (1.54 | %) | | | (1.33 | %) |
Total expenses | | | 2.44 | % | | | 2.42 | % | | | 2.37 | % | | | 2.34 | % | | | 2.33 | % | | | 2.32 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 733 | % | | | 21,555 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
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 | | Six Months Ended
September 30, 2020a | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.50 | | | $ | 74.52 | | | $ | 72.98 | | | $ | 71.51 | | | $ | 72.19 | | | $ | 81.18 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.58 | ) | | | .15 | | | | .23 | | | | (.55 | ) | | | (.28 | ) | | | (.44 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.74 | | | | (4.98 | ) | | | 1.31 | | | | 2.11 | | | | 3.38 | | | | 3.57 | |
Total from investment operations | | | 7.16 | | | | (4.83 | ) | | | 1.54 | | | | 1.56 | | | | 3.10 | | | | 3.13 | |
Less distributions from: |
Net investment income | | | — | | | | (2.36 | ) | | | — | | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) |
Net realized gains | | | — | | | | (3.83 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
Total distributions | | | — | | | | (6.19 | ) | | | — | | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) |
Net asset value, end of period | | $ | 70.66 | | | $ | 63.50 | | | $ | 74.52 | | | $ | 72.98 | | | $ | 71.51 | | | $ | 72.19 | |
|
Total Return | | | 11.28 | % | | | (7.45 | %) | | | 2.11 | % | | | 2.19 | % | | | 4.85 | % | | | 4.82 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 474 | | | $ | 307 | | | $ | 9,226 | | | $ | 615 | | | $ | 472 | | | $ | 212 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.66 | %) | | | 0.20 | % | | | 0.32 | % | | | (0.75 | %) | | | (0.38 | %) | | | (0.55 | %) |
Total expenses | | | 1.68 | % | | | 1.67 | % | | | 1.70 | % | | | 1.58 | % | | | 1.54 | % | | | 1.56 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 733 | % | | | 21,555 | % |
a | Unaudited figures for the period ended September 30, 2020. 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 | 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. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2020, the Trust consisted of fifty-two funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Long Short Equity Fund | Non-diversified |
Emerging Markets 2x Strategy Fund | Non-diversified |
Inverse Emerging Markets 2x Strategy Fund | Non-diversified |
Emerging Markets Bond Strategy Fund | Diversified |
At September 30, 2020, A-Class, C-Class, H-Class, P-Class and Institutional Class shares have 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
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 Emerging Markets 2x Strategy Fund, Inverse Emerging Markets 2x Strategy Fund and Emerging Markets Bond Strategy Fund. All other Funds in this report will price at the afternoon NAV. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the September 30, 2020, 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,
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position 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 U.S. Treasury securities, 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 appreciation or depreciation. 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.
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(d) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
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 receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(e) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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 Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2020, 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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 realized gains. The actual amounts of income, return of capital, and realized 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(i) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective 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 0.09% at September 30, 2020.
(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 – 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 amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives 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 Contracts
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.
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 71,628 | | | $ | 22,650 | |
Inverse Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 22,650 | |
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 567,313 | | | | — | |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, 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 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 exchange-traded futures contracts. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 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 an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return or custom basket swaps, 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 if the underlying reference asset declines in value.
The following table represents the Funds’ use and volume of total return and custom basket swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Long Short Equity Fund | Index exposure, Liquidity | | $ | 6,992,418 | | | $ | 11,078,994 | |
Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 7,019,393 | | | | — | |
Inverse Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 2,571,205 | |
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 543,578 | | | | — | |
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 fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or 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. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller 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 amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, 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 a fund is selling credit protection, the default of a third party issuer.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Protection Sold | | | Protection Purchased | |
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | $ | — | | | $ | 969,583 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
| Variation margin on futures contracts | Variation margin on futures contracts |
Credit contracts | Unrealized appreciation on OTC swap agreements | Unamortized upfront premiums received on credit default swap agreements |
| Variation margin on credit default swap agreements | |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2020:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
September 30,
2020 | |
Long Short Equity Fund | | $ | — | | | $ | 83,361 | | | $ | — | | | $ | — | | | $ | 83,361 | |
Emerging Markets 2x Strategy Fund | | | 3,487 | | | | 190,287 | | | | — | | | | — | | | | 193,774 | |
Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 197 | | | | 574 | | | | 771 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
September 30,
2020 | |
Long Short Equity Fund | | $ | — | | | $ | 334,849 | | | $ | — | | | $ | — | | | $ | 334,849 | |
Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 21,589 | | | | — | | | | — | | | | 21,589 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2020:
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 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2020:
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 | | $ | — | | | $ | (1,180,414 | ) | | $ | — | | | $ | — | | | $ | (1,180,414 | ) |
Emerging Markets 2x Strategy Fund | | | 37,727 | | | | 1,571,063 | | | | — | | | | — | | | | 1,608,790 | |
Inverse Emerging Markets 2x Strategy Fund | | | (14,365 | ) | | | (1,351,138 | ) | | | — | | | | — | | | | (1,365,503 | ) |
Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 10,432 | | | | 156,954 | | | | 167,386 | |
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 | | $ | — | | | $ | 111,492 | | | $ | — | | | $ | — | | | $ | 111,492 | |
Emerging Markets 2x Strategy Fund | | | 3,380 | | | | 292,732 | | | | — | | | | — | | | | 296,112 | |
Inverse Emerging Markets 2x Strategy Fund | | | — | | | | (23,345 | ) | | | — | | | | — | | | | (23,345 | ) |
Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | (7,061 | ) | | | 18,978 | | | | 11,917 | |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
Foreign Investments
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.
The 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 Funds.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 rehypothecated 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.
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Long Short Equity Fund | Custom basket swap agreements | | $ | 83,361 | | | $ | — | | | $ | 83,361 | | | $ | (83,361 | ) | | $ | — | | | $ | — | |
Emerging Markets 2x Strategy Fund | Swap equity contracts | | | 190,287 | | | | — | | | | 190,287 | | | | — | | | | — | | | | 190,287 | |
Emerging Markets Bond Strategy Fund | Credit index swap agreements | | | 506 | | | | — | | | | 506 | | | | — | | | | — | | | | 506 | |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Long Short Equity Fund | Custom basket swap agreements | | $ | 334,849 | | | $ | — | | | $ | 334,849 | | | $ | (334,849 | ) | | $ | — | | | $ | — | |
Inverse Emerging Markets 2x Strategy Fund | Swap equity contracts | | | 21,589 | | | | — | | | | 21,589 | | | | (8,431 | ) | | | — | | | | 13,158 | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2020.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Emerging Markets 2x Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 16,300 | | | $ | — | |
Inverse Emerging Markets 2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 10,600 | | | | — | |
Emerging Markets Bond Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 100,820 | | | | — | |
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. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – 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 | % |
Emerging Markets 2x Strategy Fund | | | 0.90 | % |
Inverse Emerging Markets 2x Strategy Fund | | | 0.90 | % |
Emerging Markets Bond Strategy Fund | | | 0.75 | % |
When the aggregate assets of each series of the Trust (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) and each series of Rydex Dynamic Funds equal or exceed $10 billion, the advisory fee rate paid by each individual Fund (excluding the Long Short Equity Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund) will be reduced in accordance with the asset level and breakpoint schedule set forth below.
Fund Assets Under Management | | Fund Asset-Based
Breakpoint Reductions | |
$500 million - $1 billion | | | 0.025 | % |
> $1 billion - $2 billion | | | 0.050 | % |
> $2 billion | | | 0.075 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution Plan applicable to A-Class shares, H-Class shares and P-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 Board has adopted a separate Distribution and Shareholder Services Plan applicable to 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 period ended September 30, 2020, GFD retained sales charges of $79,209 relating to sales of A-Class shares of the Trust.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ 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 September 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.06% | | | | | | | | | | 2.25% | | | | | | | | |
Due 10/01/20 | | $ | 141,998,853 | | | $ | 141,999,090 | | | 10/31/24 | | $ | 132,688,300 | | | $ | 144,838,915 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.06% | | | | | | | | | | 0.63% | | | | | | | | |
Due 10/01/20 | | | 59,103,876 | | | | 59,103,974 | | | 01/15/26 | | | 36,745,360 | | | | 40,558,260 | |
| | | | | | | | | | | U.S. Treasury Floating Rate Note | | | | | | | | |
| | | | | | | | | | | 0.40% | | | | | | | | |
| | | | | | | | | | | 10/31/21 | | | 19,653,100 | | | | 19,727,799 | |
| | | | | | | | | | | | | | 56,398,460 | | | | 60,286,059 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.06% | | | | | | | | | | 1.13% | | | | | | | | |
Due 10/01/20 | | | 53,784,527 | | | | 53,784,616 | | | 08/15/40 | | | 55,927,400 | | | | 54,860,263 | |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of 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
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 September 30, 2020, 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 | |
Emerging Markets 2x Strategy Fund | | $ | 9,573 | | | $ | (9,573 | ) | | $ | — | | | | $ | 9,776 | | | $ | — | | | $ | 9,776 | |
(a) | Actual collateral received by the Fund is generally 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At September 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax Unrealized
Appreciation
(Depreciation) | |
Long Short Equity Fund | | $ | 15,209,268 | | | $ | 1,318,131 | | | $ | (1,059,560 | ) | | $ | 258,571 | |
Emerging Markets 2x Strategy Fund | | | 7,188,201 | | | | 470,084 | | | | (43,313 | ) | | | 426,771 | |
Inverse Emerging Markets 2x Strategy Fund | | | 567,305 | | | | — | | | | (21,589 | ) | | | (21,589 | ) |
Emerging Markets Bond Strategy Fund | | | 467,478 | | | | 771 | | | | — | | | | 771 | |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended September 30, 2020, 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 | | $ | 17,114,497 | | | $ | 16,687,204 | |
Emerging Markets 2x Strategy Fund | | | 81,438 | | | | 78,090 | |
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. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2020, the Funds did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2020. The Funds did not have any borrowings outstanding under this agreement at September 30, 2020.
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-2296 (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.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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. 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. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include the Rydex Series Funds. Defendants filed an opposition to the certiorari petition on August 26, 2020.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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 shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 12 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Series Funds Contracts Review Committee
Rydex Series Funds (the “Trust”) was organized as a Delaware statutory trust on February 10, 1993, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow Jones Industrial Average Fund |
● | Electronics Fund* | ● | Emerging Markets 2x Strategy Fund |
● | Emerging Markets Bond Strategy Fund | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Emerging Markets 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Guggenheim Long Short Equity Fund
(“Long Short Equity Fund”)** | ● | Guggenheim Managed Futures Strategy Fund (“Managed Futures Strategy Fund”)** |
● | Mid-Cap 1.5x Strategy Fund | ● | Monthly Rebalance NASDAQ-100 2x Strategy Fund |
● | Guggenheim Multi-Hedge Strategies Fund
(“Multi-Hedge Strategies Fund”)** | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 Fund |
● | S&P 500 Fund | ● | S&P 500 Pure Growth Fund |
● | S&P 500 Pure Value Fund | ● | S&P MidCap 400 Pure Growth Fund |
● | S&P MidCap 400 Pure Value Fund | ● | S&P SmallCap 600 Pure Growth Fund |
● | S&P SmallCap 600 Pure Value Fund | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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OTHER INFORMATION (Unaudited)(continued) |
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed objective performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, twice-daily pricing for certain Tradable Funds on select trading platforms, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges among like share classes and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for such Funds relative to the applicable benchmark index or Guggenheim-constructed performance benchmark for the five-year, three-year and one-year periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee received a comparison of the tracking error of each Fund’s Class H shares to the tracking error of a peer fund, in each case for the same periods, as applicable. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences. In this connection, the Committee considered the tracking error of each Fund’s Class H shares relative to its applicable benchmark index or Guggenheim-constructed performance benchmark and, for certain Tradable Funds, compared to the tracking error of a peer fund, for the five-year and three-year periods ended December 31, 2019, as applicable, noting the Adviser’s view that such five-year and three-year periods are a reasonable proxy for anticipated levels of tracking error. The Committee considered the Adviser’s commentary explaining the higher levels of tracking error for certain Funds.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to either the Commodities
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OTHER INFORMATION (Unaudited)(continued) |
Strategy Fund or the Emerging Markets Bond Strategy Fund. The Committee considered, for the Commodities Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodity funds and, for the Emerging Markets Bond Strategy Fund, a comparison to a peer group identified in the FUSE report consisting of actively-managed emerging markets bond funds, in each case noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining the underperformance, as applicable, of such Funds’ Class H shares over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the returns of the Multi-Hedge Strategies Fund’s Institutional Class shares ranked in the third quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The returns of the Fund’s Institutional Class shares ranked in the 88th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 62nd percentile.
Managed Futures Strategy Fund: The returns of the Fund’s Institutional Class shares ranked in the 92nd and 34th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the poor performance of the Fund’s previous dedicated trend-following strategy in 2016, during which time trend-following models were routinely hurt by the frequent whipsawing in the market, particularly in commodities. The Committee took into account management’s statement that the Fund changed its underlying investment model in 2017, moving to a more diversified, systematic multi-model system that employs a core-satellite approach, resulting in more competitive performance over the three-year and one-year time periods. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 76th and 28th percentiles, respectively, and that one-year performance ranked in the 43rd percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than variable insurance fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that the contractual advisory fee for each Fund’s Class H shares was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered the net effective management fee and total net expense ratio for each such Fund’s Class H shares as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are higher than those of the comparable peer fund, the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
Multi-Hedge Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (94th percentile) of its peer group. The Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (38th percentile) of its peer group.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(concluded) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year. The Committee took into account that, in June 2018, the Adviser implemented breakpoints for the Tradable Funds, noting that each Fund’s advisory fee would be subject to a uniform fee breakpoint reduction schedule that would take effect once the aggregate assets of the Tradable Funds and the tradable series of Rydex Dynamic Funds exceed $10 billion.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr.(1) (1946) | Trustee | Since 2019 | Current: Retired.
Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley(1) (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present) | 156 | Current: CoreFirst Bank & Trust (2000-present).
Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III(1) (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - continued | | | |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-September 2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the
Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
(1) | Under the Trust’s Independent Trustees Retirement Policy, Messrs. Chubb, Farley and Friedrich are expected to retire in 2021. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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. |
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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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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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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Series Funds (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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Item 2. Code of Ethics.
Not required at this time.
Item 3. Audit Committee Financial Expert.
Not required at this time.
Item 4. Principal Accountant Fees and Services.
Not required at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period 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) Not applicable.
(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.
(a)(3) Not applicable.
(a)(4) Not applicable.
(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/ Brian E. Binder | |
| | Brian E. Binder, President and Chief Executive Officer | |
| | | |
| Date | December 4, 2020 | |
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/ Brian E. Binder | |
| | Brian E. Binder, President and Chief Executive Officer | |
| | | |
| Date | December 4, 2020 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer and Treasurer | |
| | | |
| Date | December 4, 2020 | |
| * | Print the name and title of each signing officer under his or her signature. |
