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, 2021 - March 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
3.31.2022
Rydex Funds Annual Report
Sector Funds |
Banking Fund | | |
Basic Materials Fund | | |
Biotechnology Fund | | |
Consumer Products Fund | | |
Electronics Fund | | |
Energy Fund | | |
Energy Services Fund | | |
Financial Services Fund | | |
Health Care Fund | | |
Internet Fund | | |
Leisure Fund | | |
Precious Metals Fund | | |
Real Estate Fund | | |
Retailing Fund | | |
Technology Fund | | |
Telecommunications Fund | | |
Transportation Fund | | |
Utilities Fund | | |
GuggenheimInvestments.com | RSECF-ANN-0322x0323 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 10 |
BASIC MATERIALS FUND | 18 |
BIOTECHNOLOGY FUND | 26 |
CONSUMER PRODUCTS FUND | 34 |
ELECTRONICS FUND | 42 |
ENERGY FUND | 50 |
ENERGY SERVICES FUND | 58 |
FINANCIAL SERVICES FUND | 66 |
HEALTH CARE FUND | 75 |
INTERNET FUND | 83 |
LEISURE FUND | 91 |
PRECIOUS METALS FUND | 99 |
REAL ESTATE FUND | 107 |
RETAILING FUND | 116 |
TECHNOLOGY FUND | 124 |
TELECOMMUNICATIONS FUND | 133 |
TRANSPORTATION FUND | 141 |
UTILITIES FUND | 149 |
NOTES TO FINANCIAL STATEMENTS | 157 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 170 |
OTHER INFORMATION | 171 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 173 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 179 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for Rydex Sector Funds (the “Fund” or “Funds”). This report covers performance for the 12-month period ended March 31, 2022.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2022
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.
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 funds’ 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 ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the 12 months ended March 31, 2022, the Standard & Poor’s 500® (“S&P 500® ”) Index returned 15.65%, with gains faltering over the last few months amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the 12-month period ended March 31, 2022, the S&P 500® Index* returned 15.65%, as noted above. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 1.16%. The return of the MSCI Emerging Markets Index* was -11.37%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -4.15% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -0.66%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.06% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg 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 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 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
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, and 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 ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2021 and ending March 31, 2022.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Banking Fund | | | | | |
Investor Class | 1.36% | (0.94%) | $ 1,000.00 | $ 990.60 | $ 6.75 |
A-Class | 1.61% | (1.08%) | 1,000.00 | 989.20 | 7.98 |
C-Class | 2.36% | (1.44%) | 1,000.00 | 985.60 | 11.68 |
H-Class | 1.60% | (1.06%) | 1,000.00 | 989.40 | 7.94 |
Basic Materials Fund | | | | | |
Investor Class | 1.36% | 16.62% | 1,000.00 | 1,166.20 | 7.34 |
A-Class | 1.61% | 16.48% | 1,000.00 | 1,164.80 | 8.69 |
C-Class | 2.36% | 16.05% | 1,000.00 | 1,160.50 | 12.71 |
H-Class | 1.61% | 16.49% | 1,000.00 | 1,164.90 | 8.69 |
Biotechnology Fund | | | | | |
Investor Class | 1.36% | (12.56%) | 1,000.00 | 874.40 | 6.36 |
A-Class | 1.61% | (12.68%) | 1,000.00 | 873.20 | 7.52 |
C-Class | 2.36% | (13.00%) | 1,000.00 | 870.00 | 11.00 |
H-Class | 1.61% | (12.66%) | 1,000.00 | 873.40 | 7.52 |
Consumer Products Fund | | | | | |
Investor Class | 1.36% | 7.75% | 1,000.00 | 1,077.50 | 7.04 |
A-Class | 1.61% | 7.62% | 1,000.00 | 1,076.20 | 8.33 |
C-Class | 2.36% | 7.24% | 1,000.00 | 1,072.40 | 12.19 |
H-Class | 1.61% | 7.63% | 1,000.00 | 1,076.30 | 8.33 |
Electronics Fund | | | | | |
Investor Class | 1.36% | 6.62% | 1,000.00 | 1,066.20 | 7.01 |
A-Class | 1.61% | 6.49% | 1,000.00 | 1,064.90 | 8.29 |
C-Class | 2.36% | 6.08% | 1,000.00 | 1,060.80 | 12.13 |
H-Class | 1.61% | 6.48% | 1,000.00 | 1,064.80 | 8.29 |
Energy Fund | | | | | |
Investor Class | 1.36% | 39.88% | 1,000.00 | 1,398.80 | 8.13 |
A-Class | 1.61% | 39.70% | 1,000.00 | 1,397.00 | 9.62 |
C-Class | 2.36% | 39.18% | 1,000.00 | 1,391.80 | 14.07 |
H-Class | 1.61% | 39.70% | 1,000.00 | 1,397.00 | 9.62 |
Energy Services Fund | | | | | |
Investor Class | 1.36% | 33.06% | 1,000.00 | 1,330.60 | 7.90 |
A-Class | 1.62% | 32.89% | 1,000.00 | 1,328.90 | 9.41 |
C-Class | 2.36% | 32.40% | 1,000.00 | 1,324.00 | 13.67 |
H-Class | 1.63% | 32.89% | 1,000.00 | 1,328.90 | 9.46 |
Financial Services Fund | | | | | |
Investor Class | 1.36% | 4.03% | 1,000.00 | 1,040.30 | 6.92 |
A-Class | 1.61% | 3.90% | 1,000.00 | 1,039.00 | 8.18 |
C-Class | 2.36% | 3.50% | 1,000.00 | 1,035.00 | 11.97 |
H-Class | 1.62% | 3.91% | 1,000.00 | 1,039.10 | 8.24 |
Health Care Fund | | | | | |
Investor Class | 1.35% | (1.04%) | 1,000.00 | 989.60 | 6.70 |
A-Class | 1.61% | (1.14%) | 1,000.00 | 988.60 | 7.98 |
C-Class | 2.36% | (1.52%) | 1,000.00 | 984.80 | 11.68 |
H-Class | 1.61% | (1.11%) | 1,000.00 | 988.90 | 7.98 |
6 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Internet Fund | | | | | |
Investor Class | 1.36% | (23.30%) | $ 1,000.00 | $ 767.00 | $ 5.99 |
A-Class | 1.61% | (23.40%) | 1,000.00 | 766.00 | 7.09 |
C-Class | 2.36% | (23.69%) | 1,000.00 | 763.10 | 10.37 |
H-Class | 1.61% | (23.40%) | 1,000.00 | 766.00 | 7.09 |
Leisure Fund | | | | | |
Investor Class | 1.36% | (12.21%) | 1,000.00 | 877.90 | 6.37 |
A-Class | 1.61% | (12.32%) | 1,000.00 | 876.80 | 7.53 |
C-Class | 2.36% | (12.65%) | 1,000.00 | 873.50 | 11.02 |
H-Class | 1.61% | (12.31%) | 1,000.00 | 876.90 | 7.53 |
Precious Metals Fund | | | | | |
Investor Class | 1.26% | 31.31% | 1,000.00 | 1,313.10 | 7.27 |
A-Class | 1.51% | 31.16% | 1,000.00 | 1,311.60 | 8.70 |
C-Class | 2.26% | 30.67% | 1,000.00 | 1,306.70 | 13.00 |
H-Class | 1.51% | 31.15% | 1,000.00 | 1,311.50 | 8.70 |
Real Estate Fund | | | | | |
A-Class | 1.61% | 6.13% | 1,000.00 | 1,061.30 | 8.27 |
C-Class | 2.36% | 5.74% | 1,000.00 | 1,057.40 | 12.11 |
H-Class | 1.62% | 6.15% | 1,000.00 | 1,061.50 | 8.33 |
Retailing Fund | | | | | |
Investor Class | 1.36% | (10.46%) | 1,000.00 | 895.40 | 6.43 |
A-Class | 1.61% | (10.55%) | 1,000.00 | 894.50 | 7.60 |
C-Class | 2.36% | (10.90%) | 1,000.00 | 891.00 | 11.13 |
H-Class | 1.60% | (10.55%) | 1,000.00 | 894.50 | 7.56 |
Technology Fund | | | | | |
Investor Class | 1.35% | (6.81%) | 1,000.00 | 931.90 | 6.50 |
A-Class | 1.61% | (6.92%) | 1,000.00 | 930.80 | 7.75 |
C-Class | 2.36% | (7.27%) | 1,000.00 | 927.30 | 11.34 |
H-Class | 1.60% | (6.93%) | 1,000.00 | 930.70 | 7.70 |
Telecommunications Fund | | | | | |
Investor Class | 1.37% | (6.34%) | 1,000.00 | 936.60 | 6.61 |
A-Class | 1.62% | (6.43%) | 1,000.00 | 935.70 | 7.82 |
C-Class | 2.37% | (6.79%) | 1,000.00 | 932.10 | 11.42 |
H-Class | 1.62% | (6.43%) | 1,000.00 | 935.70 | 7.82 |
Transportation Fund | | | | | |
Investor Class | 1.36% | 3.71% | 1,000.00 | 1,037.10 | 6.91 |
A-Class | 1.61% | 3.57% | 1,000.00 | 1,035.70 | 8.17 |
C-Class | 2.36% | 3.19% | 1,000.00 | 1,031.90 | 11.96 |
H-Class | 1.61% | 3.58% | 1,000.00 | 1,035.80 | 8.17 |
Utilities Fund | | | | | |
Investor Class | 1.37% | 17.59% | 1,000.00 | 1,175.90 | 7.43 |
A-Class | 1.61% | 17.48% | 1,000.00 | 1,174.80 | 8.73 |
C-Class | 2.36% | 17.00% | 1,000.00 | 1,170.00 | 12.77 |
H-Class | 1.62% | 17.45% | 1,000.00 | 1,174.50 | 8.78 |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Banking Fund | | | | | |
Investor Class | 1.36% | 5.00% | $ 1,000.00 | $ 1,018.15 | $ 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.60% | 5.00% | 1,000.00 | 1,016.95 | 8.05 |
Basic Materials Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Biotechnology Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Consumer Products Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Electronics Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Energy Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Energy Services Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.80 | 8.20 |
Financial Services Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
Health Care Fund | | | | | |
Investor Class | 1.35% | 5.00% | 1,000.00 | 1,018.20 | 6.79 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Internet Fund | | | | | |
Investor Class | 1.36% | 5.00% | $ 1,000.00 | $ 1,018.15 | $ 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Leisure Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Precious Metals Fund | | | | | |
Investor Class | 1.26% | 5.00% | 1,000.00 | 1,018.65 | 6.34 |
A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
Real Estate Fund | | | | | |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
Retailing Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.60% | 5.00% | 1,000.00 | 1,016.95 | 8.05 |
Technology Fund | | | | | |
Investor Class | 1.35% | 5.00% | 1,000.00 | 1,018.20 | 6.79 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.60% | 5.00% | 1,000.00 | 1,016.95 | 8.05 |
Telecommunications Fund | | | | | |
Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
C-Class | 2.37% | 5.00% | 1,000.00 | 1,013.11 | 11.89 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
Transportation Fund | | | | | |
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Utilities Fund | | | | | |
Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
For the one-year period ended March 31, 2022, Banking Fund Investor Class returned 4.62%, compared with 14.69% for the S&P 500 Financials Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were regional banks, diversified banks, and asset management & custody banks. The only industry detracting from return was thrifts & mortgage finance.
Wells Fargo & Co., First Horizon Corp., and Bank of America Corp. contributed the most to the Fund’s return for the period. Citigroup, Inc., First Citizens BancShares, Inc. - Class A, and JPMorgan Chase & Co. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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% |
Wells Fargo & Co. | 3.9% |
Citigroup, Inc. | 3.2% |
U.S. Bancorp | 2.8% |
PNC Financial Services Group, Inc. | 2.8% |
Truist Financial Corp. | 2.8% |
Capital One Financial Corp. | 2.4% |
Bank of New York Mellon Corp. | 2.0% |
Apollo Global Management, Inc. | 2.0% |
Top Ten Total | 30.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 4.62% | 6.73% | 8.89% |
A-Class Shares | 4.36% | 6.36% | 8.57% |
A-Class Shares with sales charge‡ | (0.59%) | 5.33% | 8.04% |
C-Class Shares | 3.58% | 5.57% | 7.76% |
C-Class Shares with CDSC§ | 2.58% | 5.57% | 7.76% |
H-Class Shares** | 4.38% | 6.36% | 8.50% |
S&P 500 Financials Index | 14.69% | 12.36% | 13.86% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
BANKING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Banks - 90.1% |
JPMorgan Chase & Co. | | | 3,958 | | | $ | 539,555 | |
Bank of America Corp. | | | 12,799 | | | | 527,575 | |
Wells Fargo & Co. | | | 10,616 | | | | 514,451 | |
Citigroup, Inc. | | | 7,989 | | | | 426,613 | |
U.S. Bancorp | | | 6,950 | | | | 369,392 | |
PNC Financial Services Group, Inc. | | | 1,992 | | | | 367,424 | |
Truist Financial Corp. | | | 6,400 | | | | 362,880 | |
Bank of New York Mellon Corp. | | | 5,356 | | | | 265,818 | |
State Street Corp. | | | 2,759 | | | | 240,364 | |
SVB Financial Group* | | | 429 | | | | 240,004 | |
First Republic Bank | | | 1,380 | | | | 223,698 | |
Fifth Third Bancorp | | | 5,127 | | | | 220,666 | |
Northern Trust Corp. | | | 1,804 | | | | 210,076 | |
M&T Bank Corp. | | | 1,140 | | | | 193,230 | |
Huntington Bancshares, Inc. | | | 13,118 | | | | 191,785 | |
Regions Financial Corp. | | | 8,544 | | | | 190,189 | |
KeyCorp | | | 8,402 | | | | 188,037 | |
Citizens Financial Group, Inc. | | | 3,920 | | | | 177,694 | |
Signature Bank | | | 575 | | | | 168,757 | |
First Horizon Corp. | | | 6,640 | | | | 155,974 | |
ICICI Bank Ltd. ADR | | | 8,067 | | | | 152,789 | |
Toronto-Dominion Bank | | | 1,823 | | | | 144,783 | |
Royal Bank of Canada | | | 1,300 | | | | 143,351 | |
Comerica, Inc. | | | 1,574 | | | | 142,337 | |
HDFC Bank Ltd. ADR | | | 2,307 | | | | 141,488 | |
East West Bancorp, Inc. | | | 1,769 | | | | 139,786 | |
HSBC Holdings plc ADR1 | | | 4,072 | | | | 139,344 | |
UBS Group AG1 | | | 6,998 | | | | 136,741 | |
Bank of Nova Scotia | | | 1,902 | | | | 136,411 | |
Webster Financial Corp. | | | 2,367 | | | | 132,836 | |
Bank of Montreal | | | 1,117 | | | | 131,772 | |
Deutsche Bank AG1 | | | 10,364 | | | | 131,105 | |
Zions Bancorp North America | | | 1,988 | | | | 130,333 | |
Popular, Inc. | | | 1,575 | | | | 128,740 | |
First Citizens BancShares, Inc. — Class A | | | 193 | | | | 128,461 | |
Cullen/Frost Bankers, Inc. | | | 915 | | | | 126,645 | |
Commerce Bancshares, Inc. | | | 1,763 | | | | 126,213 | |
Western Alliance Bancorporation | | | 1,492 | | | | 123,567 | |
Canadian Imperial Bank of Commerce | | | 1,009 | | | | 122,785 | |
Synovus Financial Corp. | | | 2,300 | | | | 112,700 | |
Pinnacle Financial Partners, Inc. | | | 1,198 | | | | 110,312 | |
Prosperity Bancshares, Inc. | | | 1,530 | | | | 106,151 | |
First Financial Bankshares, Inc. | | | 2,380 | | | | 105,006 | |
BOK Financial Corp. | | | 1,106 | �� | | | 103,909 | |
SouthState Corp. | | | 1,254 | | | | 102,314 | |
Cadence Bank | | | 3,406 | | | | 99,660 | |
ServisFirst Bancshares, Inc. | | | 1,043 | | | | 99,387 | |
Bank OZK | | | 2,298 | | | | 98,125 | |
Valley National Bancorp | | | 7,495 | | | | 97,585 | |
Glacier Bancorp, Inc. | | | 1,936 | | | | 97,342 | |
Silvergate Capital Corp. — Class A* | | | 645 | | | | 97,118 | |
Wintrust Financial Corp. | | | 1,038 | | | | 96,461 | |
PacWest Bancorp | | | 2,155 | | | | 92,945 | |
United Bankshares, Inc. | | | 2,646 | | | | 92,292 | |
UMB Financial Corp. | | | 941 | | | | 91,428 | |
Old National Bancorp | | | 5,487 | | | | 89,877 | |
Hancock Whitney Corp. | | | 1,707 | | | | 89,020 | |
FNB Corp. | | | 7,014 | | | | 87,324 | |
Eastern Bankshares, Inc. | | | 3,972 | | | | 85,557 | |
Umpqua Holdings Corp. | | | 4,438 | | | | 83,701 | |
First Interstate BancSystem, Inc. — Class A | | | 2,256 | | | | 82,953 | |
BankUnited, Inc. | | | 1,887 | | | | 82,953 | |
Independent Bank Corp. | | | 1,013 | | | | 82,752 | |
Community Bank System, Inc. | | | 1,179 | | | | 82,707 | |
Home BancShares, Inc. | | | 3,607 | | | | 81,518 | |
First Hawaiian, Inc. | | | 2,854 | | | | 79,598 | |
United Community Banks, Inc. | | | 2,267 | | | | 78,892 | |
Bank of Hawaii Corp. | | | 930 | | | | 78,046 | |
CVB Financial Corp. | | | 3,343 | | | | 77,591 | |
Associated Banc-Corp. | | | 3,409 | | | | 77,589 | |
Cathay General Bancorp | | | 1,711 | | | | 76,567 | |
Ameris Bancorp | | | 1,635 | | | | 71,744 | |
Simmons First National Corp. — Class A | | | 2,702 | | | | 70,846 | |
Atlantic Union Bankshares Corp. | | | 1,873 | | | | 68,720 | |
Texas Capital Bancshares, Inc.* | | | 1,198 | | | | 68,657 | |
Fulton Financial Corp. | | | 4,105 | | | | 68,225 | |
Columbia Banking System, Inc. | | | 2,051 | | | | 66,186 | |
Hilltop Holdings, Inc. | | | 2,174 | | | | 63,916 | |
Triumph Bancorp, Inc.* | | | 658 | | | | 61,865 | |
Customers Bancorp, Inc.* | | | 1,005 | | | | 52,401 | |
Total Banks | | | | | | | 11,845,609 | |
| | | | | | | | | |
Diversified Financial Services - 4.3% |
Capital One Financial Corp. | | | 2,353 | | | | 308,926 | |
Apollo Global Management, Inc. | | | 4,177 | | | | 258,932 | |
Total Diversified Financial Services | | | | | | | 567,858 | |
| | | | | | | | | |
Savings & Loans - 2.8% |
People’s United Financial, Inc. | | | 6,060 | | | | 121,139 | |
New York Community Bancorp, Inc. | | | 8,723 | | | | 93,511 | |
Investors Bancorp, Inc. | | | 5,301 | | | | 79,144 | |
Pacific Premier Bancorp, Inc. | | | 2,157 | | | | 76,250 | |
Total Savings & Loans | | | | | | | 370,044 | |
| | | | | | | | | |
Insurance - 2.6% |
Equitable Holdings, Inc. | | | 4,757 | | | | 147,039 | |
Voya Financial, Inc. | | | 1,727 | | | | 114,586 | |
Jackson Financial, Inc. — Class A | | | 1,917 | | | | 84,789 | |
Total Insurance | | | | | | | 346,414 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,395,072) | | | | | | | 13,129,925 | |
| | | | | | | | | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
BANKING FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 43,940 | | | $ | 43,940 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 16,923 | | | | 16,923 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 4,400 | | | | 4,400 | |
Total Repurchase Agreements | | | | |
(Cost $65,263) | | | | | | | 65,263 | |
| | | | | | | | | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 245,364 | | | $ | 245,364 | |
Total Securities Lending Collateral | | | | |
(Cost $245,364) | | | | | | | 245,364 | |
| | | | | | | | | |
Total Investments - 102.2% | | | | |
(Cost $8,705,699) | | $ | 13,440,552 | |
Other Assets & Liabilities, net - (2.2)% | | | (285,183 | ) |
Total Net Assets - 100.0% | | $ | 13,155,369 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 13,129,925 | | | $ | — | | | $ | — | | | $ | 13,129,925 | |
Repurchase Agreements | | | — | | | | 65,263 | | | | — | | | | 65,263 | |
Securities Lending Collateral | | | 245,364 | | | | — | | | | — | | | | 245,364 | |
Total Assets | | $ | 13,375,289 | | | $ | 65,263 | | | $ | — | | | $ | 13,440,552 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $237,299 of securities loaned (cost $8,640,436) | | $ | 13,375,289 | |
Repurchase agreements, at value (cost $65,263) | | | 65,263 | |
Receivables: |
Dividends | | | 27,436 | |
Fund shares sold | | | 1,500 | |
Foreign tax reclaims | | | 226 | |
Securities lending income | | | 39 | |
Total assets | | | 13,469,753 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 245,364 | |
Fund shares redeemed | | | 31,108 | |
Management fees | | | 10,293 | |
Transfer agent and administrative fees | | | 3,257 | |
Distribution and service fees | | | 3,243 | |
Portfolio accounting fees | | | 1,211 | |
Trustees’ fees* | | | 291 | |
Miscellaneous | | | 19,617 | |
Total liabilities | | | 314,384 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 13,155,369 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 21,127,105 | |
Total distributable earnings (loss) | | | (7,971,736 | ) |
Net assets | | $ | 13,155,369 | |
| | | | | |
Investor Class: |
Net assets | | $ | 4,238,799 | |
Capital shares outstanding | | | 42,534 | |
Net asset value per share | | $ | 99.66 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,591,058 | |
Capital shares outstanding | | | 51,514 | |
Net asset value per share | | $ | 89.12 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 93.56 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,009,744 | |
Capital shares outstanding | | | 26,005 | |
Net asset value per share | | $ | 77.28 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,315,768 | |
Capital shares outstanding | | | 26,723 | |
Net asset value per share | | $ | 86.66 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $12,760) | | $ | 798,162 | |
Interest | | | 77 | |
Income from securities lending, net | | | 1,034 | |
Total investment income | | | 799,273 | |
| | | | | |
Expenses: |
Management fees | | | 286,858 | |
Distribution and service fees: |
A-Class | | | 11,582 | |
C-Class | | | 18,169 | |
H-Class | | | 11,300 | |
Transfer agent and administrative fees | | | 93,658 | |
Portfolio accounting fees | | | 33,748 | |
Professional fees | | | 15,038 | |
Custodian fees | | | 4,570 | |
Trustees’ fees* | | | 3,802 | |
Line of credit fees | | | 46 | |
Miscellaneous | | | 19,820 | |
Total expenses | | | 498,591 | |
Net investment income | | | 300,682 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 394,136 | |
Net realized gain | | | 394,136 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (606,233 | ) |
Net change in unrealized appreciation (depreciation) | | | (606,233 | ) |
Net realized and unrealized loss | | | (212,097 | ) |
Net increase in net assets resulting from operations | | $ | 88,585 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 300,682 | | | $ | 173,043 | |
Net realized gain (loss) on investments | | | 394,136 | | | | (10,139,015 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (606,233 | ) | | | 16,178,865 | |
Net increase in net assets resulting from operations | | | 88,585 | | | | 6,212,893 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (95,987 | ) | | | (123,639 | ) |
A-Class | | | (22,759 | ) | | | (109,741 | ) |
C-Class | | | (11,775 | ) | | | (28,038 | ) |
H-Class | | | (42,522 | ) | | | (12,149 | ) |
Total distributions to shareholders | | | (173,043 | ) | | | (273,567 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 183,255,069 | | | | 100,467,394 | |
A-Class | | | 3,587,616 | | | | 776,718 | |
C-Class | | | 2,706,835 | | | | 1,445,210 | |
H-Class | | | 20,206,275 | | | | 6,995,067 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 95,654 | | | | 120,914 | |
A-Class | | | 22,623 | | | | 106,076 | |
C-Class | | | 11,756 | | | | 27,016 | |
H-Class | | | 42,504 | | | | 12,065 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (187,860,624 | ) | | | (111,860,093 | ) |
A-Class | | | (3,226,427 | ) | | | (1,524,259 | ) |
C-Class | | | (1,555,949 | ) | | | (1,789,662 | ) |
H-Class | | | (22,615,331 | ) | | | (3,368,112 | ) |
Net decrease from capital share transactions | | | (5,329,999 | ) | | | (8,591,666 | ) |
Net decrease in net assets | | | (5,414,457 | ) | | | (2,652,340 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 18,569,826 | | | | 21,222,166 | |
End of year | | $ | 13,155,369 | | | $ | 18,569,826 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,795,247 | | | | 1,395,191 | |
A-Class | | | 38,825 | | | | 10,123 | |
C-Class | | | 33,608 | | | | 25,920 | |
H-Class | | | 227,308 | | | | 102,619 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 921 | | | | 1,596 | |
A-Class | | | 243 | | | | 1,560 | |
C-Class | | | 146 | | | | 453 | |
H-Class | | | 470 | | | | 182 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,847,955 | ) | | | (1,640,247 | ) |
A-Class | | | (34,722 | ) | | | (23,881 | ) |
C-Class | | | (19,633 | ) | | | (32,869 | ) |
H-Class | | | (256,166 | ) | | | (51,236 | ) |
Net decrease in shares | | | (61,708 | ) | | | (210,589 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 95.71 | | | $ | 51.83 | | | $ | 74.58 | | | $ | 86.27 | | | $ | 76.86 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.03 | | | | 1.25 | | | | 1.14 | | | | .81 | | | | .60 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.42 | | | | 44.89 | | | | (23.38 | ) | | | (10.92 | ) | | | 9.12 | |
Total from investment operations | | | 4.45 | | | | 46.14 | | | | (22.24 | ) | | | (10.11 | ) | | | 9.72 | |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Total distributions | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 99.66 | | | $ | 95.71 | | | $ | 51.83 | | | $ | 74.58 | | | $ | 86.27 | |
|
Total Return | | | 4.62 | % | | | 90.06 | % | | | (30.08 | %) | | | (11.63 | %) | | | 12.63 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,239 | | | $ | 9,027 | | | $ | 17,507 | | | $ | 5,997 | | | $ | 26,209 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.02 | % | | | 1.79 | % | | | 1.47 | % | | | 0.97 | % | | | 0.73 | % |
Total expenses | | | 1.36 | % | | | 1.43 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 501 | % | | | 799 | % | | | 360 | % | | | 633 | % | | | 772 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 85.85 | | | $ | 46.98 | | | $ | 67.81 | | | $ | 78.80 | | | $ | 70.41 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .71 | | | | 1.02 | | | | .87 | | | | .57 | | | | .37 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.06 | | | | 40.11 | | | | (21.19 | ) | | | (9.98 | ) | | | 8.33 | |
Total from investment operations | | | 3.77 | | | | 41.13 | | | | (20.32 | ) | | | (9.41 | ) | | | 8.70 | |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Total distributions | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 89.12 | | | $ | 85.85 | | | $ | 46.98 | | | $ | 67.81 | | | $ | 78.80 | |
|
Total Returnb | | | 4.36 | % | | | 88.72 | % | | | (30.25 | %) | | | (11.85 | %) | | | 12.37 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,591 | | | $ | 4,050 | | | $ | 2,789 | | | $ | 4,849 | | | $ | 4,076 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.77 | % | | | 1.67 | % | | | 1.23 | % | | | 0.76 | % | | | 0.50 | % |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 501 | % | | | 799 | % | | | 360 | % | | | 633 | % | | | 772 | % |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 75.07 | | | $ | 41.57 | | | $ | 60.51 | | | $ | 71.05 | | | $ | 63.98 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .03 | | | | .49 | | | | .31 | | | | (.05 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.68 | | | | 35.27 | | | | (18.74 | ) | | | (8.91 | ) | | | 7.55 | |
Total from investment operations | | | 2.71 | | | | 35.76 | | | | (18.43 | ) | | | (8.96 | ) | | | 7.38 | |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Total distributions | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 77.28 | | | $ | 75.07 | | | $ | 41.57 | | | $ | 60.51 | | | $ | 71.05 | |
|
Total Returnb | | | 3.58 | % | | | 87.34 | % | | | (30.78 | %) | | | (12.51 | %) | | | 11.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,010 | | | $ | 892 | | | $ | 764 | | | $ | 1,284 | | | $ | 4,079 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.03 | % | | | 0.93 | % | | | 0.49 | % | | | (0.07 | %) | | | (0.25 | %) |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 501 | % | | | 799 | % | | | 360 | % | | | 633 | % | | | 772 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 83.48 | | | $ | 45.73 | | | $ | 66.00 | | | $ | 76.78 | | | $ | 68.61 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .63 | | | | .85 | | | | .74 | | | | .45 | | | | .39 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.05 | | | | 39.16 | | | | (20.50 | ) | | | (9.65 | ) | | | 8.09 | |
Total from investment operations | | | 3.68 | | | | 40.01 | | | | (19.76 | ) | | | (9.20 | ) | | | 8.48 | |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Total distributions | | | (.50 | ) | | | (2.26 | ) | | | (.51 | ) | | | (1.58 | ) | | | (.31 | ) |
Net asset value, end of period | | $ | 86.66 | | | $ | 83.48 | | | $ | 45.73 | | | $ | 66.00 | | | $ | 76.78 | |
|
Total Return | | | 4.38 | % | | | 88.66 | % | | | (30.24 | %) | | | (11.89 | %) | | | 12.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,316 | | | $ | 4,601 | | | $ | 162 | | | $ | 1,531 | | | $ | 14,220 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.71 | % | | | 1.15 | % | | | 1.02 | % | | | 0.60 | % | | | 0.52 | % |
Total expenses | | | 1.60 | % | | | 1.63 | % | | | 1.74 | % | | | 1.70 | % | | | 1.62 | % |
Portfolio turnover rate | | | 501 | % | | | 799 | % | | | 360 | % | | | 633 | % | | | 772 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals, and other basic building and manufacturing materials (“Basic Materials Companies”).
For the one-year period ended March 31, 2022, Basic Materials Fund Investor Class returned 16.72%, compared with 13.92% for the S&P 500 Materials Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were steel, fertilizers & agricultural chemicals, and diversified metals & mining. The industries detracting the most from return were silver and specialty chemicals.
Mosaic Co., Alcoa Corp., and Nucor Corp. contributed the most to the Fund’s return for the period. Scotts Miracle-Gro Co. - Class A, Amyris, Inc., and Ecolab, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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) |
Freeport-McMoRan, Inc. | 3.0% |
Newmont Corp. | 3.0% |
Sherwin-Williams Co. | 2.9% |
Air Products and Chemicals, Inc. | 2.8% |
Ecolab, Inc. | 2.5% |
Dow, Inc. | 2.5% |
Nucor Corp. | 2.4% |
Corteva, Inc. | 2.3% |
DuPont de Nemours, Inc. | 2.1% |
International Flavors & Fragrances, Inc. | 2.1% |
Top Ten Total | 25.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
18 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 16.72% | 12.32% | 7.72% |
A-Class Shares | 16.43% | 12.04% | 7.45% |
A-Class Shares with sales charge‡ | 10.90% | 10.96% | 6.93% |
C-Class Shares | 15.57% | 11.20% | 6.65% |
C-Class Shares with CDSC§ | 14.57% | 11.20% | 6.65% |
H-Class Shares** | 16.42% | 12.04% | 7.36% |
S&P 500 Materials Index | 13.92% | 13.28% | 11.35% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class share and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.2% |
| | | | | | | | | |
Chemicals - 44.4% |
Sherwin-Williams Co. | | | 8,412 | | | $ | 2,099,803 | |
Air Products and Chemicals, Inc. | | | 8,092 | | | | 2,022,272 | |
Ecolab, Inc. | | | 10,509 | | | | 1,855,469 | |
Dow, Inc. | | | 28,540 | | | | 1,818,569 | |
DuPont de Nemours, Inc. | | | 21,157 | | | | 1,556,732 | |
International Flavors & Fragrances, Inc. | | | 11,468 | | | | 1,506,092 | |
LyondellBasell Industries N.V. — Class A | | | 14,593 | | | | 1,500,452 | |
PPG Industries, Inc. | | | 10,919 | | | | 1,431,153 | |
Linde plc | | | 4,404 | | | | 1,406,770 | |
Mosaic Co. | | | 20,852 | | | | 1,386,658 | |
Albemarle Corp. | | | 6,245 | | | | 1,381,082 | |
CF Industries Holdings, Inc. | | | 13,017 | | | | 1,341,532 | |
FMC Corp. | | | 8,224 | | | | 1,082,032 | |
Westlake Corp. | | | 8,419 | | | | 1,038,905 | |
Celanese Corp. — Class A | | | 7,036 | | | | 1,005,233 | |
Eastman Chemical Co. | | | 8,932 | | | | 1,000,920 | |
Nutrien Ltd. | | | 8,377 | | | | 871,124 | |
RPM International, Inc. | | | 10,252 | | | | 834,923 | |
Olin Corp. | | | 13,635 | | | | 712,838 | |
Huntsman Corp. | | | 18,802 | | | | 705,263 | |
Ashland Global Holdings, Inc. | | | 6,356 | | | | 625,494 | |
Valvoline, Inc. | | | 19,469 | | | | 614,442 | |
Axalta Coating Systems Ltd.* | | | 24,359 | | | | 598,744 | |
Element Solutions, Inc. | | | 27,088 | | | | 593,227 | |
Chemours Co. | | | 18,830 | | | | 592,768 | |
Balchem Corp. | | | 3,952 | | | | 540,238 | |
Cabot Corp. | | | 7,265 | | | | 496,999 | |
Sensient Technologies Corp. | | | 5,834 | | | | 489,764 | |
HB Fuller Co. | | | 7,175 | | | | 474,052 | |
Ingevity Corp.* | | | 6,279 | | | | 402,296 | |
Trinseo plc | | | 7,043 | | | | 337,501 | |
Total Chemicals | | | | | | | 32,323,347 | |
| | | | | | | | | |
Mining - 18.6% |
Freeport-McMoRan, Inc. | | | 44,738 | | | | 2,225,268 | |
Newmont Corp. | | | 27,172 | | | | 2,158,815 | |
Alcoa Corp. | | | 12,648 | | | | 1,138,700 | |
BHP Group Ltd. ADR1 | | | 14,191 | | | | 1,096,255 | |
Rio Tinto plc ADR1 | | | 12,690 | | | | 1,020,276 | |
MP Materials Corp.* | | | 15,989 | | | | 916,809 | |
Royal Gold, Inc. | | | 5,730 | | | | 809,534 | |
Teck Resources Ltd. — Class B | | | 19,608 | | | | 791,967 | |
Agnico Eagle Mines Ltd. | | | 11,607 | | | | 710,813 | |
Franco-Nevada Corp. | | | 4,244 | | | | 677,003 | |
Wheaton Precious Metals Corp. | | | 13,878 | | | | 660,315 | |
Livent Corp.* | | | 20,782 | | | | 541,787 | |
Arconic Corp.* | | | 16,670 | | | | 427,086 | |
Compass Minerals International, Inc. | | | 6,160 | | | | 386,786 | |
Total Mining | | | | | | | 13,561,414 | |
| | | | | | | | | |
Packaging & Containers - 12.0% |
Ball Corp. | | | 15,454 | | | | 1,390,860 | |
Crown Holdings, Inc. | | | 8,168 | | | | 1,021,735 | |
Packaging Corporation of America | | | 6,286 | | | | 981,307 | |
Westrock Co. | | | 19,024 | | | | 894,699 | |
Sealed Air Corp. | | | 12,100 | | | | 810,216 | |
AptarGroup, Inc. | | | 6,119 | | | | 718,982 | |
Berry Global Group, Inc.* | | | 12,280 | | | | 711,749 | |
Sonoco Products Co. | | | 10,586 | | | | 662,260 | |
Graphic Packaging Holding Co. | | | 31,840 | | | | 638,074 | |
Silgan Holdings, Inc. | | | 12,795 | | | | 591,513 | |
O-I Glass, Inc.* | | | 26,790 | | | | 353,092 | |
Total Packaging & Containers | | | | | | | 8,774,487 | |
| | | | | | | | | |
Iron & Steel - 10.3% |
Nucor Corp. | | | 11,565 | | | | 1,719,137 | |
Cleveland-Cliffs, Inc.* | | | 36,027 | | | | 1,160,430 | |
Steel Dynamics, Inc. | | | 12,899 | | | | 1,076,164 | |
United States Steel Corp. | | | 22,851 | | | | 862,397 | |
Reliance Steel & Aluminum Co. | | | 4,674 | | | | 856,978 | |
ArcelorMittal S.A.1 | | | 22,595 | | | | 723,266 | |
Commercial Metals Co. | | | 14,086 | | | | 586,259 | |
Allegheny Technologies, Inc.* | | | 18,011 | | | | 483,415 | |
Total Iron & Steel | | | | | | | 7,468,046 | |
| | | | | | | | | |
Building Materials - 6.6% |
Vulcan Materials Co. | | | 7,016 | | | | 1,288,839 | |
Martin Marietta Materials, Inc. | | | 3,327 | | | | 1,280,529 | |
MDU Resources Group, Inc. | | | 22,858 | | | | 609,166 | |
Eagle Materials, Inc. | | | 4,501 | | | | 577,749 | |
Louisiana-Pacific Corp. | | | 8,953 | | | | 556,160 | |
Summit Materials, Inc. — Class A* | | | 15,871 | | | | 492,953 | |
Total Building Materials | | | | | | | 4,805,396 | |
| | | | | | | | | |
Biotechnology - 2.4% |
Corteva, Inc. | | | 29,867 | | | | 1,716,755 | |
| | | | | | | | | |
Forest Products & Paper - 1.5% |
International Paper Co. | | | 23,622 | | | | 1,090,155 | |
| | | | | | | | | |
Household Products & Housewares - 1.3% |
Avery Dennison Corp. | | | 5,640 | | | | 981,191 | |
| | | | | | | | | |
Housewares - 0.9% |
Scotts Miracle-Gro Co. — Class A | | | 5,299 | | | | 651,565 | |
| | | | | | | | | |
Distribution & Wholesale - 0.7% |
Avient Corp. | | | 10,752 | | | | 516,096 | |
| | | | | | | | | |
Coal - 0.5% |
Warrior Met Coal, Inc. | | | 9,898 | | | | 367,314 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $48,837,024) | | | | | | | 72,255,766 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.7% |
VanEck Junior Gold Miners ETF | | | 10,328 | | | | 484,073 | |
Total Exchange-Traded Funds | | | | |
(Cost $443,979) | | | | | | | 484,073 | |
| | | | | | | | | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
BASIC MATERIALS FUND | |
| | | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 375,948 | | | $ | 375,948 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 144,798 | | | | 144,798 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 37,648 | | | | 37,648 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $558,394) | | | | | | | 558,394 | |
| | | Shares | | | Value | |
| SECURITIES LENDING COLLATERAL†,3 - 2.5% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 1,843,680 | | | $ | 1,843,680 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,843,680) | | | | | | | 1,843,680 | |
| | | | | | | | | |
| Total Investments - 103.2% | | | | | | | | |
| (Cost $51,683,077) | | | | | | $ | 75,141,913 | |
| Other Assets & Liabilities, net - (3.2)% | | | | | | | (2,319,063 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 72,822,850 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 72,255,766 | | | $ | — | | | $ | — | | | $ | 72,255,766 | |
Exchange-Traded Funds | | | 484,073 | | | | — | | | | — | | | | 484,073 | |
Repurchase Agreements | | | — | | | | 558,394 | | | | — | | | | 558,394 | |
Securities Lending Collateral | | | 1,843,680 | | | | — | | | | — | | | | 1,843,680 | |
Total Assets | | $ | 74,583,519 | | | $ | 558,394 | | | $ | — | | | $ | 75,141,913 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $1,783,072 of securities loaned (cost $51,124,683) | | $ | 74,583,519 | |
Repurchase agreements, at value (cost $558,394) | | | 558,394 | |
Cash | | | 9,432 | |
Receivables: |
Dividends | | | 111,406 | |
Fund shares sold | | | 24,040 | |
Securities lending income | | | 281 | |
Total assets | | | 75,287,072 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,843,680 | |
Fund shares redeemed | | | 381,390 | |
Deferred foreign capital gain taxes | | | 130,382 | |
Management fees | | | 42,731 | |
Transfer agent and administrative fees | | | 13,523 | |
Distribution and service fees | | | 5,706 | |
Portfolio accounting fees | | | 5,027 | |
Trustees’ fees* | | | 607 | |
Miscellaneous | | | 41,176 | |
Total liabilities | | | 2,464,222 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 72,822,850 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 55,192,217 | |
Total distributable earnings (loss) | | | 17,630,633 | |
Net assets | | $ | 72,822,850 | |
| | | | | |
Investor Class: |
Net assets | | $ | 51,058,461 | |
Capital shares outstanding | | | 569,021 | |
Net asset value per share | | $ | 89.73 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,505,565 | |
Capital shares outstanding | | | 90,722 | |
Net asset value per share | | $ | 82.73 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 86.86 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,838,779 | |
Capital shares outstanding | | | 54,747 | |
Net asset value per share | | $ | 70.12 | |
| | | | | |
H-Class: |
Net assets | | $ | 10,420,045 | |
Capital shares outstanding | | | 130,339 | |
Net asset value per share | | $ | 79.95 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $13,515) | | $ | 1,281,944 | |
Interest | | | 191 | |
Income from securities lending, net | | | 6,610 | |
Total investment income | | | 1,288,745 | |
| | | | | |
Expenses: |
Management fees | | | 524,550 | |
Distribution and service fees: |
A-Class | | | 17,680 | |
C-Class | | | 36,893 | |
H-Class | | | 11,233 | |
Transfer agent and administrative fees | | | 171,625 | |
Portfolio accounting fees | | | 61,711 | |
Professional fees | | | 25,178 | |
Custodian fees | | | 8,256 | |
Trustees’ fees* | | | 7,528 | |
Line of credit fees | | | 108 | |
Miscellaneous | | | 38,720 | |
Total expenses | | | 903,482 | |
Net investment income | | | 385,263 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (2,243,305 | ) |
Net realized loss | | | (2,243,305 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 5,809,127 | |
Net change in unrealized appreciation (depreciation) | | | 5,809,127 | |
Net realized and unrealized gain | | | 3,565,822 | |
Net increase in net assets resulting from operations | | $ | 3,951,085 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 385,263 | | | $ | 207,203 | |
Net realized gain (loss) on investments | | | (2,243,305 | ) | | | 2,888,261 | |
Net change in unrealized appreciation (depreciation) on investments | | | 5,809,127 | | | | 18,305,356 | |
Net increase in net assets resulting from operations | | | 3,951,085 | | | | 21,400,820 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (696,616 | ) | | | (971,597 | ) |
A-Class | | | (157,685 | ) | | | (108,312 | ) |
C-Class | | | (91,602 | ) | | | (69,007 | ) |
H-Class | | | (47,177 | ) | | | (111,942 | ) |
Total distributions to shareholders | | | (993,080 | ) | | | (1,260,858 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 98,263,058 | | | | 64,177,984 | |
A-Class | | | 3,669,874 | | | | 2,021,511 | |
C-Class | | | 2,842,962 | | | | 1,944,229 | |
H-Class | | | 35,636,504 | | | | 4,011,677 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 684,258 | | | | 960,891 | |
A-Class | | | 150,033 | | | | 104,132 | |
C-Class | | | 91,209 | | | | 68,486 | |
H-Class | | | 46,331 | | | | 111,869 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (88,653,849 | ) | | | (55,658,771 | ) |
A-Class | | | (2,737,559 | ) | | | (1,861,864 | ) |
C-Class | | | (1,982,115 | ) | | | (2,232,010 | ) |
H-Class | | | (26,499,643 | ) | | | (4,064,114 | ) |
Net increase from capital share transactions | | | 21,511,063 | | | | 9,584,020 | |
Net increase in net assets | | | 24,469,068 | | | | 29,723,982 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 48,353,782 | | | | 18,629,800 | |
End of year | | $ | 72,822,850 | | | $ | 48,353,782 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,137,647 | | | | 1,007,217 | |
A-Class | | | 47,399 | | | | 31,548 | |
C-Class | | | 42,753 | | | | 37,998 | |
H-Class | | | 450,413 | | | | 72,683 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 8,171 | | | | 13,676 | |
A-Class | | | 1,942 | | | | 1,600 | |
C-Class | | | 1,390 | | | | 1,225 | |
H-Class | | | 620 | | | | 1,777 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,063,116 | ) | | | (848,607 | ) |
A-Class | | | (35,795 | ) | | | (31,218 | ) |
C-Class | | | (30,147 | ) | | | (43,144 | ) |
H-Class | | | (350,741 | ) | | | (66,030 | ) |
Net increase in shares | | | 210,536 | | | | 178,725 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 78.37 | | | $ | 42.39 | | | $ | 58.04 | | | $ | 60.37 | | | $ | 55.71 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .60 | | | | .43 | | | | .43 | | | | .35 | | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | 12.39 | | | | 37.12 | | | | (13.42 | ) | | | (1.85 | ) | | | 4.80 | |
Total from investment operations | | | 12.99 | | | | 37.55 | | | | (12.99 | ) | | | (1.50 | ) | | | 4.91 | |
Less distributions from: |
Net investment income | | | — | | | | (.54 | ) | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) |
Net realized gains | | | (1.63 | ) | | | (1.03 | ) | | | (1.76 | ) | | | (.59 | ) | | | — | |
Total distributions | | | (1.63 | ) | | | (1.57 | ) | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) |
Net asset value, end of period | | $ | 89.73 | | | $ | 78.37 | | | $ | 42.39 | | | $ | 58.04 | | | $ | 60.37 | |
|
Total Return | | | 16.72 | % | | | 89.00 | % | | | (23.61 | %) | | | (2.36 | %) | | | 8.81 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 51,058 | | | $ | 38,112 | | | $ | 13,313 | | | $ | 26,704 | | | $ | 51,589 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.71 | % | | | 0.67 | % | | | 0.74 | % | | | 0.59 | % | | | 0.18 | % |
Total expensesb | | | 1.36 | % | | | 1.43 | % | | | 1.48 | % | | | 1.47 | % | | | 1.38 | % |
Portfolio turnover rate | | | 169 | % | | | 162 | % | | | 67 | % | | | 247 | % | | | 257 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 72.55 | | | $ | 39.41 | | | $ | 54.27 | | | $ | 56.66 | | | $ | 52.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .35 | | | | .25 | | | | .26 | | | | .25 | | | | (.01 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 11.46 | | | | 34.46 | | | | (12.46 | ) | | | (1.81 | ) | | | 4.50 | |
Total from investment operations | | | 11.81 | | | | 34.71 | | | | (12.20 | ) | | | (1.56 | ) | | | 4.49 | |
Less distributions from: |
Net investment income | | | — | | | | (.54 | ) | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) |
Net realized gains | | | (1.63 | ) | | | (1.03 | ) | | | (1.76 | ) | | | (.59 | ) | | | — | |
Total distributions | | | (1.63 | ) | | | (1.57 | ) | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) |
Net asset value, end of period | | $ | 82.73 | | | $ | 72.55 | | | $ | 39.41 | | | $ | 54.27 | | | $ | 56.66 | |
|
Total Returnc | | | 16.43 | % | | | 88.52 | % | | | (23.80 | %) | | | (2.60 | %) | | | 8.56 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,506 | | | $ | 5,599 | | | $ | 2,966 | | | $ | 6,810 | | | $ | 9,070 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.45 | % | | | 0.44 | % | | | 0.48 | % | | | 0.45 | % | | | (0.02 | %) |
Total expensesb | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 169 | % | | | 162 | % | | | 67 | % | | | 247 | % | | | 257 | % |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.18 | | | $ | 34.17 | | | $ | 47.73 | | | $ | 50.32 | | | $ | 46.93 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.18 | ) | | | (.17 | ) | | | (.11 | ) | | | (.21 | ) | | | (.38 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 9.75 | | | | 29.75 | | | | (10.79 | ) | | | (1.55 | ) | | | 4.02 | |
Total from investment operations | | | 9.57 | | | | 29.58 | | | | (10.90 | ) | | | (1.76 | ) | | | 3.64 | |
Less distributions from: |
Net investment income | | | — | | | | (.54 | ) | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) |
Net realized gains | | | (1.63 | ) | | | (1.03 | ) | | | (1.76 | ) | | | (.59 | ) | | | — | |
Total distributions | | | (1.63 | ) | | | (1.57 | ) | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) |
Net asset value, end of period | | $ | 70.12 | | | $ | 62.18 | | | $ | 34.17 | | | $ | 47.73 | | | $ | 50.32 | |
|
Total Returnc | | | 15.57 | % | | | 87.07 | % | | | (24.35 | %) | | | (3.35 | %) | | | 7.75 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,839 | | | $ | 2,534 | | | $ | 1,526 | | | $ | 2,930 | | | $ | 5,494 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.27 | %) | | | (0.34 | %) | | | (0.23 | %) | | | (0.42 | %) | | | (0.75 | %) |
Total expensesb | | | 2.36 | % | | | 2.44 | % | | | 2.47 | % | | | 2.47 | % | | | 2.38 | % |
Portfolio turnover rate | | | 169 | % | | | 162 | % | | | 67 | % | | | 247 | % | | | 257 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.17 | | | $ | 38.15 | | | $ | 52.62 | | | $ | 54.95 | | | $ | 50.84 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .56 | | | | .19 | | | | .27 | | | | .12 | | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.85 | | | | 33.40 | | | | (12.08 | ) | | | (1.62 | ) | | | 4.41 | |
Total from investment operations | | | 11.41 | | | | 33.59 | | | | (11.81 | ) | | | (1.50 | ) | | | 4.36 | |
Less distributions from: |
Net investment income | | | — | | | | (.54 | ) | | | (.90 | ) | | | (.24 | ) | | | (.25 | ) |
Net realized gains | | | (1.63 | ) | | | (1.03 | ) | | | (1.76 | ) | | | (.59 | ) | | | — | |
Total distributions | | | (1.63 | ) | | | (1.57 | ) | | | (2.66 | ) | | | (.83 | ) | | | (.25 | ) |
Net asset value, end of period | | $ | 79.95 | | | $ | 70.17 | | | $ | 38.15 | | | $ | 52.62 | | | $ | 54.95 | |
|
Total Return | | | 16.42 | % | | | 88.51 | % | | | (23.81 | %) | | | (2.59 | %) | | | 8.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,420 | | | $ | 2,108 | | | $ | 825 | | | $ | 1,424 | | | $ | 9,220 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.73 | % | | | 0.33 | % | | | 0.51 | % | | | 0.21 | % | | | (0.09 | %) |
Total expensesb | | | 1.60 | % | | | 1.68 | % | | | 1.72 | % | | | 1.71 | % | | | 1.62 | % |
Portfolio turnover rate | | | 169 | % | | | 162 | % | | | 67 | % | | | 247 | % | | | 257 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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”).
For the one-year period ended March 31, 2022, Biotechnology Fund Investor Class returned -6.81%, compared with 19.10% for the S&P 500 Health Care Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were fertilizers & agricultural chemicals and pharmaceuticals. The industries detracting the most from return were biotechnology, life sciences tools & services, and health care services.
AbbVie, Inc., Moderna, Inc., and Regeneron Pharmaceuticals, Inc. contributed the most to the Fund’s return for the period. BridgeBio Pharma, Inc., Guardant Health, Inc., and Exact Sciences Corp. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 1, 1998 |
Ten Largest Holdings (% of Total Net Assets) |
AbbVie, Inc. | 8.5% |
Amgen, Inc. | 5.8% |
Regeneron Pharmaceuticals, Inc. | 4.7% |
Gilead Sciences, Inc. | 4.3% |
Vertex Pharmaceuticals, Inc. | 4.1% |
Moderna, Inc. | 3.8% |
Illumina, Inc. | 3.7% |
Corteva, Inc. | 3.2% |
Biogen, Inc. | 2.7% |
Seagen, Inc. | 2.5% |
Top Ten Total | 43.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
26 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (6.81%) | 8.03% | 12.86% |
A-Class Shares | (7.04%) | 7.76% | 12.58% |
A-Class Shares with sales charge‡ | (11.46%) | 6.72% | 12.04% |
C-Class Shares | (7.74%) | 6.96% | 11.74% |
C-Class Shares with CDSC§ | (8.46%) | 6.96% | 11.74% |
H-Class Shares** | (7.04%) | 7.76% | 12.49% |
S&P 500 Health Care Index | 19.10% | 15.10% | 15.87% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
BIOTECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| | | | | | | | | |
Biotechnology - 71.9% |
Amgen, Inc. | | | 37,236 | | | $ | 9,004,410 | |
Regeneron Pharmaceuticals, Inc.* | | | 10,403 | | | | 7,265,663 | |
Gilead Sciences, Inc. | | | 112,110 | | | | 6,664,940 | |
Vertex Pharmaceuticals, Inc.* | | | 24,261 | | | | 6,331,393 | |
Moderna, Inc.* | | | 34,621 | | | | 5,963,813 | |
Illumina, Inc.* | | | 16,281 | | | | 5,688,581 | |
Corteva, Inc. | | | 87,699 | | | | 5,040,939 | |
Biogen, Inc.* | | | 20,112 | | | | 4,235,587 | |
Seagen, Inc.* | | | 26,999 | | | | 3,889,206 | |
Horizon Therapeutics plc* | | | 35,328 | | | | 3,716,859 | |
Royalty Pharma plc — Class A | | | 93,870 | | | | 3,657,175 | |
Alnylam Pharmaceuticals, Inc.* | | | 20,460 | | | | 3,340,913 | |
Incyte Corp.* | | | 41,060 | | | | 3,260,985 | |
BioNTech SE ADR* | | | 18,791 | | | | 3,204,993 | |
BioMarin Pharmaceutical, Inc.* | | | 35,776 | | | | 2,758,330 | |
United Therapeutics Corp.* | | | 11,910 | | | | 2,136,773 | |
Exelixis, Inc.* | | | 93,638 | | | | 2,122,773 | |
Biohaven Pharmaceutical Holding Company Ltd.* | | | 17,879 | | | | 2,119,913 | |
Guardant Health, Inc.* | | | 31,778 | | | | 2,104,975 | |
Halozyme Therapeutics, Inc.* | | | 46,517 | | | | 1,855,098 | |
Ionis Pharmaceuticals, Inc.* | | | 48,116 | | | | 1,782,217 | |
Ultragenyx Pharmaceutical, Inc.* | | | 23,626 | | | | 1,715,720 | |
Novavax, Inc.*,1 | | | 23,280 | | | | 1,714,572 | |
Apellis Pharmaceuticals, Inc.* | | | 33,144 | | | | 1,684,047 | |
Arrowhead Pharmaceuticals, Inc.* | | | 35,997 | | | | 1,655,502 | |
Mirati Therapeutics, Inc.* | | | 19,359 | | | | 1,591,697 | |
Denali Therapeutics, Inc.* | | | 46,795 | | | | 1,505,395 | |
Fate Therapeutics, Inc.* | | | 38,701 | | | | 1,500,438 | |
Blueprint Medicines Corp.* | | | 23,360 | | | | 1,492,237 | |
Beam Therapeutics, Inc.* | | | 24,695 | | | | 1,415,024 | |
CRISPR Therapeutics AG* | | | 21,887 | | | | 1,373,847 | |
BioCryst Pharmaceuticals, Inc.* | | | 82,177 | | | | 1,336,198 | |
Iovance Biotherapeutics, Inc.* | | | 79,525 | | | | 1,324,091 | |
Emergent BioSolutions, Inc.* | | | 27,034 | | | | 1,110,016 | |
Veracyte, Inc.* | | | 37,809 | | | | 1,042,394 | |
ChemoCentryx, Inc.* | | | 40,002 | | | | 1,002,850 | |
Editas Medicine, Inc.* | | | 47,563 | | | | 904,648 | |
Cassava Sciences, Inc.*,1 | | | 24,135 | | | | 896,374 | |
TG Therapeutics, Inc.* | | | 92,130 | | | | 876,156 | |
NeoGenomics, Inc.* | | | 65,307 | | | | 793,480 | |
Total Biotechnology | | | | | | | 111,080,222 | |
| | | | | | | | | |
Pharmaceuticals - 17.9% |
AbbVie, Inc. | | | 80,819 | | | | 13,101,568 | |
AstraZeneca plc ADR | | | 47,291 | | | | 3,137,285 | |
Viatris, Inc. | | | 253,652 | | | | 2,759,734 | |
Neurocrine Biosciences, Inc.* | | | 24,201 | | | | 2,268,844 | |
Sarepta Therapeutics, Inc.* | | | 25,520 | | | | 1,993,622 | |
Intellia Therapeutics, Inc.* | | | 24,036 | | | | 1,746,696 | |
Jazz Pharmaceuticals plc* | | | 10,613 | | | | 1,652,125 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 85,112 | | | | 1,070,709 | |
Total Pharmaceuticals | | | | | | | 27,730,583 | |
| | | | | | | | | |
Healthcare-Products - 5.3% |
Bio-Techne Corp. | | | 7,820 | | | | 3,386,373 | |
Exact Sciences Corp.* | | | 39,234 | | | | 2,743,241 | |
CareDx, Inc.* | | | 29,035 | | | | 1,074,005 | |
Pacific Biosciences of California, Inc.*,1 | | | 105,311 | | | | 958,330 | |
Total Healthcare-Products | | | | | | | 8,161,949 | |
| | | | | | | | | |
Healthcare-Services - 4.6% |
Syneos Health, Inc.* | | | 26,963 | | | | 2,182,655 | |
ICON plc* | | | 8,637 | | | | 2,100,691 | |
Medpace Holdings, Inc.* | | | 11,164 | | | | 1,826,318 | |
Invitae Corp.* | | | 123,173 | | | | 981,689 | |
Total Healthcare-Services | | | | | | | 7,091,353 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $89,527,785) | | | | | | | 154,064,107 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 540,526 | | | | 540,526 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 208,186 | | | | 208,186 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 54,129 | | | | 54,129 | |
Total Repurchase Agreements | | | | |
(Cost $802,841) | | | | | | | 802,841 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 1,479,660 | | | | 1,479,660 | |
Total Securities Lending Collateral | | | | |
(Cost $1,479,660) | | | | | | | 1,479,660 | |
| | | | | | | | | |
Total Investments - 101.2% | | | | |
(Cost $91,810,286) | | $ | 156,346,608 | |
Other Assets & Liabilities, net - (1.2)% | | | (1,779,924 | ) |
Total Net Assets - 100.0% | | $ | 154,566,684 | |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 154,064,107 | | | $ | — | | | $ | — | | | $ | 154,064,107 | |
Repurchase Agreements | | | — | | | | 802,841 | | | | — | | | | 802,841 | |
Securities Lending Collateral | | | 1,479,660 | | | | — | | | | — | | | | 1,479,660 | |
Total Assets | | $ | 155,543,767 | | | $ | 802,841 | | | $ | — | | | $ | 156,346,608 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $1,404,778 of securities loaned (cost $91,007,445) | | $ | 155,543,767 | |
Repurchase agreements, at value (cost $802,841) | | | 802,841 | |
Receivables: |
Fund shares sold | | | 247,725 | |
Securities lending income | | | 9,056 | |
Total assets | | | 156,603,389 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,479,660 | |
Fund shares redeemed | | | 265,394 | |
Management fees | | | 106,045 | |
Transfer agent and administrative fees | | | 33,560 | |
Portfolio accounting fees | | | 12,476 | |
Distribution and service fees | | | 8,413 | |
Trustees’ fees* | | | 1,909 | |
Miscellaneous | | | 129,248 | |
Total liabilities | | | 2,036,705 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 154,566,684 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 93,809,010 | |
Total distributable earnings (loss) | | | 60,757,674 | |
Net assets | | $ | 154,566,684 | |
| | | | | |
Investor Class: |
Net assets | | $ | 122,776,913 | |
Capital shares outstanding | | | 1,675,087 | |
Net asset value per share | | $ | 73.30 | |
| | | | | |
A-Class: |
Net assets | | $ | 19,263,468 | |
Capital shares outstanding | | | 301,070 | |
Net asset value per share | | $ | 63.98 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 67.17 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,174,324 | |
Capital shares outstanding | | | 62,056 | |
Net asset value per share | | $ | 51.15 | |
| | | | | |
H-Class: |
Net assets | | $ | 9,351,979 | |
Capital shares outstanding | | | 153,084 | |
Net asset value per share | | $ | 61.09 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $589) | | $ | 1,411,293 | |
Interest | | | 374 | |
Income from securities lending, net | | | 49,352 | |
Total investment income | | | 1,461,019 | |
| | | | | |
Expenses: |
Management fees | | | 1,565,902 | |
Distribution and service fees: |
A-Class | | | 56,778 | |
C-Class | | | 56,202 | |
H-Class | | | 24,222 | |
Transfer agent and administrative fees | | | 514,571 | |
Portfolio accounting fees | | | 184,222 | |
Professional fees | | | 64,597 | |
Trustees’ fees* | | | 26,685 | |
Custodian fees | | | 24,663 | |
Line of credit fees | | | 158 | |
Miscellaneous | | | 118,732 | |
Total expenses | | | 2,636,732 | |
Net investment loss | | | (1,175,713 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 12,588,668 | |
Net realized gain | | | 12,588,668 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (22,670,440 | ) |
Net change in unrealized appreciation (depreciation) | | | (22,670,440 | ) |
Net realized and unrealized loss | | | (10,081,772 | ) |
Net decrease in net assets resulting from operations | | $ | (11,257,485 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (1,175,713 | ) | | $ | (1,506,644 | ) |
Net realized gain on investments | | | 12,588,668 | | | | 57,826,713 | |
Net change in unrealized appreciation (depreciation) on investments | | | (22,670,440 | ) | | | 17,394,425 | |
Net increase (decrease) in net assets resulting from operations | | | (11,257,485 | ) | | | 73,714,494 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (23,744,351 | ) | | | (10,571,202 | ) |
A-Class | | | (4,221,623 | ) | | | (1,608,477 | ) |
C-Class | | | (1,013,611 | ) | | | (858,269 | ) |
H-Class | | | (2,107,725 | ) | | | (793,961 | ) |
Total distributions to shareholders | | | (31,087,310 | ) | | | (13,831,909 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 55,644,687 | | | | 165,834,078 | |
A-Class | | | 4,868,126 | | | | 9,368,554 | |
C-Class | | | 994,793 | | | | 2,502,770 | |
H-Class | | | 11,528,352 | | | | 30,314,058 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 22,672,327 | | | | 10,088,167 | |
A-Class | | | 4,154,552 | | | | 1,579,336 | |
C-Class | | | 984,202 | | | | 836,153 | |
H-Class | | | 2,103,907 | | | | 793,092 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (74,858,687 | ) | | | (193,107,505 | ) |
A-Class | | | (6,337,911 | ) | | | (7,656,810 | ) |
C-Class | | | (5,855,149 | ) | | | (6,166,624 | ) |
H-Class | | | (10,595,896 | ) | | | (36,476,360 | ) |
Net increase (decrease) from capital share transactions | | | 5,303,303 | | | | (22,091,091 | ) |
Net increase (decrease) in net assets | | | (37,041,492 | ) | | | 37,791,494 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 191,608,176 | | | | 153,816,682 | |
End of year | | $ | 154,566,684 | | | $ | 191,608,176 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 619,547 | | | | 1,912,201 | |
A-Class | | | 59,701 | | | | 117,161 | |
C-Class | | | 14,874 | | | | 35,098 | |
H-Class | | | 149,625 | | | | 433,558 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 280,633 | | | | 107,584 | |
A-Class | | | 58,863 | | | | 18,788 | |
C-Class | | | 17,401 | | | | 11,787 | |
H-Class | | | 31,220 | | | | 9,797 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (836,763 | ) | | | (2,111,884 | ) |
A-Class | | | (82,507 | ) | | | (95,286 | ) |
C-Class | | | (86,166 | ) | | | (86,567 | ) |
H-Class | | | (145,705 | ) | | | (458,828 | ) |
Net increase (decrease) in shares | | | 80,723 | | | | (106,591 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 94.01 | | | $ | 71.72 | | | $ | 83.02 | | | $ | 87.17 | | | $ | 79.72 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.52 | ) | | | (.58 | ) | | | (.44 | ) | | | (.68 | ) | | | (.62 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.42 | ) | | | 29.82 | | | | (7.26 | ) | | | 6.42 | | | | 12.77 | |
Total from investment operations | | | (4.94 | ) | | | 29.24 | | | | (7.70 | ) | | | 5.74 | | | | 12.15 | |
Less distributions from: |
Net realized gains | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Total distributions | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Net asset value, end of period | | $ | 73.30 | | | $ | 94.01 | | | $ | 71.72 | | | $ | 83.02 | | | $ | 87.17 | |
|
Total Return | | | (6.81 | %) | | | 40.80 | % | | | (9.91 | %) | | | 7.94 | % | | | 15.34 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 122,777 | | | $ | 151,506 | | | $ | 122,194 | | | $ | 177,344 | | | $ | 210,564 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.56 | %) | | | (0.62 | %) | | | (0.56 | %) | | | (0.79 | %) | | | (0.70 | %) |
Total expenses | | | 1.36 | % | | | 1.45 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % |
Portfolio turnover rate | | | 65 | % | | | 115 | % | | | 64 | % | | | 100 | % | | | 105 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 84.21 | | | $ | 64.92 | | | $ | 75.66 | | | $ | 80.55 | | | $ | 74.16 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.65 | ) | | | (.73 | ) | | | (.57 | ) | | | (.82 | ) | | | (.76 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.81 | ) | | | 26.97 | | | | (6.57 | ) | | | 5.82 | | | | 11.85 | |
Total from investment operations | | | (4.46 | ) | | | 26.24 | | | | (7.14 | ) | | | 5.00 | | | | 11.09 | |
Less distributions from: |
Net realized gains | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Total distributions | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Net asset value, end of period | | $ | 63.98 | | | $ | 84.21 | | | $ | 64.92 | | | $ | 75.66 | | | $ | 80.55 | |
|
Total Returnb | | | (7.04 | %) | | | 40.44 | % | | | (10.14 | %) | | | 7.68 | % | | | 15.04 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 19,263 | | | $ | 22,317 | | | $ | 14,565 | | | $ | 23,199 | | | $ | 27,370 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.80 | %) | | | (0.87 | %) | | | (0.80 | %) | | | (1.04 | %) | | | (0.93 | %) |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.71 | % | | | 1.62 | % |
Portfolio turnover rate | | | 65 | % | | | 115 | % | | | 64 | % | | | 100 | % | | | 105 | % |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.90 | | | $ | 55.85 | | | $ | 66.05 | | | $ | 72.14 | | | $ | 67.34 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.09 | ) | | | (1.15 | ) | | | (.97 | ) | | | (1.27 | ) | | | (1.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.89 | ) | | | 23.15 | | | | (5.63 | ) | | | 5.07 | | | | 10.75 | |
Total from investment operations | | | (3.98 | ) | | | 22.00 | | | | (6.60 | ) | | | 3.80 | | | | 9.50 | |
Less distributions from: |
Net realized gains | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Total distributions | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Net asset value, end of period | | $ | 51.15 | | | $ | 70.90 | | | $ | 55.85 | | | $ | 66.05 | | | $ | 72.14 | |
|
Total Returnb | | | (7.74 | %) | | | 39.39 | % | | | (10.80 | %) | | | 6.87 | % | | | 14.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,174 | | | $ | 8,221 | | | $ | 8,692 | | | $ | 14,248 | | | $ | 20,104 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.58 | %) | | | (1.61 | %) | | | (1.56 | %) | | | (1.79 | %) | | | (1.70 | %) |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.48 | % | | | 2.46 | % | | | 2.37 | % |
Portfolio turnover rate | | | 65 | % | | | 115 | % | | | 64 | % | | | 100 | % | | | 105 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 81.10 | | | $ | 62.70 | | | $ | 73.18 | | | $ | 78.26 | | | $ | 72.16 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.64 | ) | | | (.66 | ) | | | (.59 | ) | | | (.82 | ) | | | (.69 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.60 | ) | | | 26.01 | | | | (6.29 | ) | | | 5.63 | | | | 11.49 | |
Total from investment operations | | | (4.24 | ) | | | 25.35 | | | | (6.88 | ) | | | 4.81 | | | | 10.80 | |
Less distributions from: |
Net realized gains | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Total distributions | | | (15.77 | ) | | | (6.95 | ) | | | (3.60 | ) | | | (9.89 | ) | | | (4.70 | ) |
Net asset value, end of period | | $ | 61.09 | | | $ | 81.10 | | | $ | 62.70 | | | $ | 73.18 | | | $ | 78.26 | |
|
Total Return | | | (7.04 | %) | | | 40.45 | % | | | (10.12 | %) | | | 7.66 | % | | | 15.04 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,352 | | | $ | 9,565 | | | $ | 8,365 | | | $ | 13,315 | | | $ | 19,905 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.82 | %) | | | (0.83 | %) | | | (0.85 | %) | | | (1.06 | %) | | | (0.87 | %) |
Total expenses | | | 1.61 | % | | | 1.72 | % | | | 1.73 | % | | | 1.71 | % | | | 1.62 | % |
Portfolio turnover rate | | | 65 | % | | | 115 | % | | | 64 | % | | | 100 | % | | | 105 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
For the one-year period ended March 31, 2022, Consumer Products Fund Investor Class returned 4.89%, compared with 16.10% for the S&P 500 Consumer Staples Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were soft drinks, agricultural products, and food retail. The industries detracting the most from return were brewers and personal products.
Archer-Daniels-Midland Co., PepsiCo, Inc., and Coca-Cola Co. contributed the most to the Fund’s return for the period. Boston Beer Co, Inc. - Class A, Beyond Meat, Inc., and Clorox Co. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 6.7% |
Coca-Cola Co. | 5.8% |
PepsiCo, Inc. | 5.4% |
Philip Morris International, Inc. | 4.2% |
Altria Group, Inc. | 3.4% |
Estee Lauder Companies, Inc. — Class A | 3.4% |
Mondelez International, Inc. — Class A | 3.2% |
Colgate-Palmolive Co. | 2.8% |
Archer-Daniels-Midland Co. | 2.6% |
Keurig Dr Pepper, Inc. | 2.6% |
Top Ten Total | 40.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
34 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 4.89% | 6.36% | 9.35% |
A-Class Shares | 4.65% | 6.10% | 9.08% |
A-Class Shares with sales charge‡ | (0.33%) | 5.07% | 8.55% |
C-Class Shares | 3.87% | 5.31% | 8.26% |
C-Class Shares with CDSC§ | 3.02% | 5.31% | 8.26% |
H-Class Shares** | 4.65% | 6.09% | 8.99% |
S&P 500 Consumer Staples Index | 16.10% | 10.16% | 11.52% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Food - 36.2% |
Mondelez International, Inc. — Class A | | | 44,598 | | | $ | 2,799,862 | |
Kraft Heinz Co. | | | 54,125 | | | | 2,131,984 | |
Hershey Co. | | | 9,540 | | | | 2,066,650 | |
Kroger Co. | | | 35,047 | | | | 2,010,646 | |
General Mills, Inc. | | | 29,563 | | | | 2,002,006 | |
Sysco Corp. | | | 23,519 | | | | 1,920,326 | |
Tyson Foods, Inc. — Class A | | | 19,158 | | | | 1,717,132 | |
Hormel Foods Corp. | | | 31,440 | | | | 1,620,418 | |
McCormick & Company, Inc. | | | 15,880 | | | | 1,584,824 | |
Kellogg Co. | | | 22,462 | | | | 1,448,574 | |
Conagra Brands, Inc. | | | 36,957 | | | | 1,240,646 | |
J M Smucker Co. | | | 8,682 | | | | 1,175,630 | |
Albertsons Companies, Inc. — Class A | | | 35,213 | | | | 1,170,832 | |
Campbell Soup Co. | | | 25,448 | | | | 1,134,217 | |
Lamb Weston Holdings, Inc. | | | 15,306 | | | | 916,982 | |
US Foods Holding Corp.* | | | 22,765 | | | | 856,647 | |
Performance Food Group Co.* | | | 15,979 | | | | 813,491 | |
Ingredion, Inc. | | | 8,424 | | | | 734,152 | |
Flowers Foods, Inc. | | | 27,212 | | | | 699,621 | |
Post Holdings, Inc.* | | | 9,045 | | | | 626,457 | |
Sanderson Farms, Inc. | | | 3,331 | | | | 624,529 | |
Sprouts Farmers Market, Inc.* | | | 18,065 | | | | 577,719 | |
Grocery Outlet Holding Corp.* | | | 16,384 | | | | 537,068 | |
Hain Celestial Group, Inc.* | | | 15,385 | | | | 529,244 | |
TreeHouse Foods, Inc.* | | | 12,206 | | | | 393,766 | |
Total Food | | | | | | | 31,333,423 | |
| | | | | | | | | |
Beverages - 25.8% |
Coca-Cola Co. | | | 81,055 | | | | 5,025,410 | |
PepsiCo, Inc. | | | 27,841 | | | | 4,660,027 | |
Keurig Dr Pepper, Inc. | | | 58,241 | | | | 2,207,334 | |
Constellation Brands, Inc. — Class A | | | 8,740 | | | | 2,012,997 | |
Monster Beverage Corp.* | | | 24,488 | | | | 1,956,591 | |
Brown-Forman Corp. — Class B | | | 25,507 | | | | 1,709,479 | |
Molson Coors Beverage Co. — Class B | | | 19,197 | | | | 1,024,736 | |
Coca-Cola Europacific Partners plc | | | 17,386 | | | | 845,133 | |
Anheuser-Busch InBev S.A. ADR1 | | | 13,600 | | | | 816,816 | |
Fomento Economico Mexicano SAB de CV ADR1 | | | 8,665 | | | | 717,895 | |
Boston Beer Company, Inc. — Class A* | | | 1,678 | | | | 651,853 | |
BRC, Inc. — Class A* | | | 31,066 | | | | 648,347 | |
Total Beverages | | | | | | | 22,276,618 | |
| | | | | | | | | |
Agriculture - 14.0% |
Philip Morris International, Inc. | | | 38,312 | | | | 3,599,029 | |
Altria Group, Inc. | | | 56,581 | | | | 2,956,357 | |
Archer-Daniels-Midland Co. | | | 25,116 | | | | 2,266,970 | |
Bunge Ltd. | | | 11,258 | | | | 1,247,499 | |
Darling Ingredients, Inc.* | | | 13,696 | | | | 1,100,885 | |
British American Tobacco plc ADR | | | 21,143 | | | | 891,389 | |
Total Agriculture | | | | | | | 12,062,129 | |
| | | | | | | | | |
Cosmetics & Personal Care - 13.4% |
Procter & Gamble Co. | | | 37,992 | | | | 5,805,178 | |
Estee Lauder Companies, Inc. — Class A | | | 10,667 | | | | 2,904,838 | |
Colgate-Palmolive Co. | | | 31,777 | | | | 2,409,650 | |
Beauty Health Co.* | | | 26,930 | | | | 454,578 | |
Total Cosmetics & Personal Care | | | | | | | 11,574,244 | |
| | | | | | | | | |
Household Products & Housewares - 6.1% |
Kimberly-Clark Corp. | | | 15,767 | | | | 1,941,864 | |
Church & Dwight Company, Inc. | | | 15,135 | | | | 1,504,116 | |
Clorox Co. | | | 9,136 | | | | 1,270,178 | |
Spectrum Brands Holdings, Inc. | | | 6,189 | | | | 549,088 | |
Total Household Products & Housewares | | | | | | | 5,265,246 | |
| | | | | | | | | |
Retail - 2.2% |
Casey’s General Stores, Inc. | | | 4,179 | | | | 828,152 | |
Freshpet, Inc.* | | | 6,006 | | | | 616,456 | |
Nu Skin Enterprises, Inc. — Class A | | | 9,702 | | | | 464,532 | |
Total Retail | | | | | | | 1,909,140 | |
| | | | | | | | | |
Pharmaceuticals - 1.2% |
Herbalife Nutrition Ltd.* | | | 17,074 | | | | 518,367 | |
BellRing Brands, Inc.* | | | 22,154 | | | | 511,314 | |
Total Pharmaceuticals | | | | | | | 1,029,681 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.5% |
Energizer Holdings, Inc. | | | 14,366 | | | | 441,898 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $41,366,550) | | | | | | | 85,892,379 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.4% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 250,469 | | | | 250,469 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 96,470 | | | | 96,470 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 25,082 | | | | 25,082 | |
Total Repurchase Agreements | | | | |
(Cost $372,021) | | | | | | | 372,021 | |
| | | | | | | | | |
36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 0.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 678,095 | | | $ | 678,095 | |
Total Securities Lending Collateral | | | | |
(Cost $678,095) | | | | | | | 678,095 | |
| | | | | | | | | |
Total Investments - 100.6% | | | | |
(Cost $42,416,666) | | $ | 86,942,495 | |
Other Assets & Liabilities, net - (0.6)% | | | (489,616 | ) |
Total Net Assets - 100.0% | | $ | 86,452,879 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 85,892,379 | | | $ | — | | | $ | — | | | $ | 85,892,379 | |
Repurchase Agreements | | | — | | | | 372,021 | | | | — | | | | 372,021 | |
Securities Lending Collateral | | | 678,095 | | | | — | | | | — | | | | 678,095 | |
Total Assets | | $ | 86,570,474 | | | $ | 372,021 | | | $ | — | | | $ | 86,942,495 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $649,893 of securities loaned (cost $42,044,645) | | $ | 86,570,474 | |
Repurchase agreements, at value (cost $372,021) | | | 372,021 | |
Receivables: |
Fund shares sold | | | 885,769 | |
Dividends | | | 217,524 | |
Foreign tax reclaims | | | 1,389 | |
Securities lending income | | | 972 | |
Total assets | | | 88,048,149 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 678,095 | |
Securities purchased | | | 582,307 | |
Fund shares redeemed | | | 163,313 | |
Management fees | | | 63,483 | |
Transfer agent and administrative fees | | | 20,091 | |
Distribution and service fees | | | 8,151 | |
Portfolio accounting fees | | | 7,469 | |
Trustees’ fees* | | | 1,053 | |
Miscellaneous | | | 71,308 | |
Total liabilities | | | 1,595,270 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 86,452,879 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 43,255,562 | |
Total distributable earnings (loss) | | | 43,197,317 | |
Net assets | | $ | 86,452,879 | |
| | | | | |
Investor Class: |
Net assets | | $ | 67,612,381 | |
Capital shares outstanding | | | 1,117,041 | |
Net asset value per share | | $ | 60.53 | |
| | | | | |
A-Class: |
Net assets | | $ | 9,819,940 | |
Capital shares outstanding | | | 185,116 | |
Net asset value per share | | $ | 53.05 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 55.70 | |
| | | | | |
C-Class: |
Net assets | | $ | 6,578,048 | |
Capital shares outstanding | | | 159,913 | |
Net asset value per share | | $ | 41.14 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,442,510 | |
Capital shares outstanding | | | 48,591 | |
Net asset value per share | | $ | 50.27 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $116) | | $ | 2,318,289 | |
Interest | | | 196 | |
Income from securities lending, net | | | 4,743 | |
Total investment income | | | 2,323,228 | |
| | | | | |
Expenses: |
Management fees | | | 835,158 | |
Distribution and service fees: |
A-Class | | | 26,386 | |
C-Class | | | 76,987 | |
H-Class | | | 13,533 | |
Transfer agent and administrative fees | | | 274,628 | |
Portfolio accounting fees | | | 98,253 | |
Professional fees | | | 34,290 | |
Trustees’ fees* | | | 14,477 | |
Custodian fees | | | 13,273 | |
Line of credit fees | | | 302 | |
Miscellaneous | | | 63,994 | |
Total expenses | | | 1,451,281 | |
Net investment income | | | 871,947 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 14,373,645 | |
Net realized gain | | | 14,373,645 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (11,356,625 | ) |
Net change in unrealized appreciation (depreciation) | | | (11,356,625 | ) |
Net realized and unrealized gain | | | 3,017,020 | |
Net increase in net assets resulting from operations | | $ | 3,888,967 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 871,947 | | | $ | 1,197,694 | |
Net realized gain on investments | | | 14,373,645 | | | | 15,927,348 | |
Net change in unrealized appreciation (depreciation) on investments | | | (11,356,625 | ) | | | 19,705,957 | |
Net increase in net assets resulting from operations | | | 3,888,967 | | | | 36,830,999 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (8,985,729 | ) | | | (6,829,808 | ) |
A-Class | | | (1,536,855 | ) | | | (786,012 | ) |
C-Class | | | (1,275,508 | ) | | | (1,107,873 | ) |
H-Class | | | (846,731 | ) | | | (499,115 | ) |
Total distributions to shareholders | | | (12,644,823 | ) | | | (9,222,808 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 73,605,684 | | | | 42,509,338 | |
A-Class | | | 1,912,283 | | | | 2,320,729 | |
C-Class | | | 1,052,146 | | | | 618,758 | |
H-Class | | | 3,640,736 | | | | 1,759,714 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 8,768,762 | | | | 6,697,877 | |
A-Class | | | 1,516,110 | | | | 776,293 | |
C-Class | | | 1,249,393 | | | | 1,079,765 | |
H-Class | | | 846,351 | | | | 498,891 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (91,846,100 | ) | | | (68,469,059 | ) |
A-Class | | | (3,272,082 | ) | | | (3,076,742 | ) |
C-Class | | | (3,751,701 | ) | | | (4,446,663 | ) |
H-Class | | | (6,921,884 | ) | | | (2,018,656 | ) |
Net decrease from capital share transactions | | | (13,200,302 | ) | | | (21,749,755 | ) |
Net increase (decrease) in net assets | | | (21,956,158 | ) | | | 5,858,436 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 108,409,037 | | | | 102,550,601 | |
End of year | | $ | 86,452,879 | | | $ | 108,409,037 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,163,888 | | | | 710,047 | |
A-Class | | | 32,676 | | | | 41,057 | |
C-Class | | | 22,369 | | | | 13,217 | |
H-Class | | | 69,300 | | | | 33,333 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 151,551 | | | | 106,130 | |
A-Class | | | 29,874 | | | | 13,730 | |
C-Class | | | 31,670 | | | | 23,377 | |
H-Class | | | 17,599 | | | | 9,235 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,442,836 | ) | | | (1,082,594 | ) |
A-Class | | | (57,436 | ) | | | (53,578 | ) |
C-Class | | | (79,717 | ) | | | (95,913 | ) |
H-Class | | | (136,464 | ) | | | (37,693 | ) |
Net decrease in shares | | | (197,526 | ) | | | (319,652 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 66.72 | | | $ | 52.88 | | | $ | 59.56 | | | $ | 61.08 | | | $ | 66.06 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .66 | | | | .70 | | | | .72 | | | | .92 | | | | .56 | |
Net gain (loss) on investments (realized and unrealized) | | | 2.18 | | | | 18.44 | | | | (5.71 | ) | | | 1.40 | | | | (.37 | ) |
Total from investment operations | | | 2.84 | | | | 19.14 | | | | (4.99 | ) | | | 2.32 | | | | .19 | |
Less distributions from: |
Net investment income | | | (.62 | ) | | | (.73 | ) | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) |
Net realized gains | | | (8.41 | ) | | | (4.57 | ) | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) |
Total distributions | | | (9.03 | ) | | | (5.30 | ) | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) |
Net asset value, end of period | | $ | 60.53 | | | $ | 66.72 | | | $ | 52.88 | | | $ | 59.56 | | | $ | 61.08 | |
|
Total Return | | | 4.89 | % | | | 36.78 | % | | | (8.81 | %) | | | 4.09 | % | | | (0.04 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 67,612 | | | $ | 83,023 | | | $ | 79,890 | | | $ | 142,633 | | | $ | 152,717 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.01 | % | | | 1.12 | % | | | 1.17 | % | | | 1.56 | % | | | 0.86 | % |
Total expenses | | | 1.36 | % | | | 1.45 | % | | | 1.47 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 60 | % | | | 38 | % | | | 59 | % | | | 84 | % | | | 80 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 59.72 | | | $ | 47.88 | | | $ | 54.21 | | | $ | 56.08 | | | $ | 61.21 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .44 | | | | .50 | | | | .51 | | | | .69 | | | | .36 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.92 | | | | 16.64 | | | | (5.15 | ) | | | 1.28 | | | | (.32 | ) |
Total from investment operations | | | 2.36 | | | | 17.14 | | | | (4.64 | ) | | | 1.97 | | | | .04 | |
Less distributions from: |
Net investment income | | | (.62 | ) | | | (.73 | ) | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) |
Net realized gains | | | (8.41 | ) | | | (4.57 | ) | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) |
Total distributions | | | (9.03 | ) | | | (5.30 | ) | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) |
Net asset value, end of period | | $ | 53.05 | | | $ | 59.72 | | | $ | 47.88 | | | $ | 54.21 | | | $ | 56.08 | |
|
Total Returnb | | | 4.65 | % | | | 36.43 | % | | | (9.04 | %) | | | 3.82 | % | | | (0.28 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,820 | | | $ | 10,751 | | | $ | 8,561 | | | $ | 13,659 | | | $ | 25,698 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.76 | % | | | 0.89 | % | | | 0.92 | % | | | 1.28 | % | | | 0.60 | % |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 60 | % | | | 38 | % | | | 59 | % | | | 84 | % | | | 80 | % |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.68 | | | $ | 40.08 | | | $ | 45.98 | | | $ | 48.50 | | | $ | 54.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | — | | | | .06 | | | | .08 | | | | .28 | | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.49 | | | | 13.84 | | | | (4.29 | ) | | | 1.04 | | | | (.26 | ) |
Total from investment operations | | | 1.49 | | | | 13.90 | | | | (4.21 | ) | | | 1.32 | | | | (.33 | ) |
Less distributions from: |
Net investment income | | | (.62 | ) | | | (.73 | ) | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) |
Net realized gains | | | (8.41 | ) | | | (4.57 | ) | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) |
Total distributions | | | (9.03 | ) | | | (5.30 | ) | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) |
Net asset value, end of period | | $ | 41.14 | | | $ | 48.68 | | | $ | 40.08 | | | $ | 45.98 | | | $ | 48.50 | |
|
Total Returnb | | | 3.87 | % | | | 35.40 | % | | | (9.73 | %) | | | 3.06 | % | | | (1.02 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,578 | | | $ | 9,035 | | | $ | 9,816 | | | $ | 14,976 | | | $ | 23,531 | |
Ratios to average net assets: |
Net investment income (loss) | | | — | | | | 0.12 | % | | | 0.16 | % | | | 0.60 | % | | | (0.13 | %) |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 60 | % | | | 38 | % | | | 59 | % | | | 84 | % | | | 80 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.06 | | | $ | 45.93 | | | $ | 52.07 | | | $ | 54.02 | | | $ | 59.15 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .38 | | | | .49 | | | | .46 | | | | .69 | | | | .38 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.86 | | | | 15.94 | | | | (4.91 | ) | | | 1.20 | | | | (.34 | ) |
Total from investment operations | | | 2.24 | | | | 16.43 | | | | (4.45 | ) | | | 1.89 | | | | .04 | |
Less distributions from: |
Net investment income | | | (.62 | ) | | | (.73 | ) | | | (.77 | ) | | | (.80 | ) | | | (.44 | ) |
Net realized gains | | | (8.41 | ) | | | (4.57 | ) | | | (.92 | ) | | | (3.04 | ) | | | (4.73 | ) |
Total distributions | | | (9.03 | ) | | | (5.30 | ) | | | (1.69 | ) | | | (3.84 | ) | | | (5.17 | ) |
Net asset value, end of period | | $ | 50.27 | | | $ | 57.06 | | | $ | 45.93 | | | $ | 52.07 | | | $ | 54.02 | |
|
Total Return | | | 4.65 | % | | | 36.43 | % | | | (9.05 | %) | | | 3.84 | % | | | (0.32 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,443 | | | $ | 5,601 | | | $ | 4,284 | | | $ | 10,118 | | | $ | 10,788 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.68 | % | | | 0.90 | % | | | 0.86 | % | | | 1.32 | % | | | 0.65 | % |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 60 | % | | | 38 | % | | | 59 | % | | | 84 | % | | | 80 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
ELECTRONICS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
For the one-year period ended March 31, 2022, Electronics Fund Investor Class returned 11.63%, compared with 20.90% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were semiconductors and semiconductor equipment. No industry detracted from return for the period.
NVIDIA Corp., Broadcom, Inc., and Advanced Micro Devices, Inc. contributed the most to the Fund’s return for the period. Intel Corp., Micron Technology, Inc., and Skyworks Solutions, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 10.4% |
Broadcom, Inc. | 6.3% |
Intel Corp. | 5.6% |
Texas Instruments, Inc. | 5.1% |
QUALCOMM, Inc. | 5.0% |
Advanced Micro Devices, Inc. | 4.9% |
Applied Materials, Inc. | 4.1% |
Analog Devices, Inc. | 3.6% |
Micron Technology, Inc. | 3.4% |
Lam Research Corp. | 3.3% |
Top Ten Total | 51.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
42 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 11.63% | 26.28% | 20.45% |
A-Class Shares | 11.35% | 25.97% | 20.15% |
A-Class Shares with sales charge‡ | 6.06% | 24.75% | 19.57% |
C-Class Shares | 10.51% | 25.03% | 19.24% |
C-Class Shares with CDSC§ | 9.51% | 25.03% | 19.24% |
H-Class Shares** | 11.35% | 25.96% | 20.03% |
S&P 500 Information Technology Index | 20.90% | 26.81% | 20.57% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
ELECTRONICS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.9% |
| | | | | | | | | |
Semiconductors - 92.2% |
NVIDIA Corp. | | | 27,959 | | | $ | 7,628,893 | |
Broadcom, Inc. | | | 7,321 | | | | 4,609,887 | |
Intel Corp. | | | 82,781 | | | | 4,102,626 | |
Texas Instruments, Inc. | | | 20,446 | | | | 3,751,432 | |
QUALCOMM, Inc. | | | 24,213 | | | | 3,700,231 | |
Advanced Micro Devices, Inc.* | | | 33,037 | | | | 3,612,265 | |
Applied Materials, Inc. | | | 22,960 | | | | 3,026,128 | |
Analog Devices, Inc. | | | 16,016 | | | | 2,645,523 | |
Micron Technology, Inc. | | | 32,453 | | | | 2,527,764 | |
Lam Research Corp. | | | 4,565 | | | | 2,454,190 | |
Marvell Technology, Inc. | | | 30,972 | | | | 2,221,002 | |
KLA Corp. | | | 5,768 | | | | 2,111,434 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 18,131 | | | | 1,890,338 | |
Microchip Technology, Inc. | | | 24,128 | | | | 1,812,978 | |
NXP Semiconductor N.V. | | | 9,343 | | | | 1,729,202 | |
ASML Holding N.V. — Class G | | | 2,272 | | | | 1,517,537 | |
ON Semiconductor Corp.* | | | 23,537 | | | | 1,473,651 | |
Monolithic Power Systems, Inc. | | | 2,870 | | | | 1,393,902 | |
Skyworks Solutions, Inc. | | | 9,828 | | | | 1,309,876 | |
Teradyne, Inc. | | | 10,369 | | | | 1,225,927 | |
Entegris, Inc. | | | 8,760 | | | | 1,149,838 | |
Wolfspeed, Inc.* | | | 9,714 | | | | 1,106,036 | |
STMicroelectronics N.V. — Class Y | | | 24,121 | | | | 1,042,510 | |
Qorvo, Inc.* | | | 8,154 | | | | 1,011,911 | |
Lattice Semiconductor Corp.* | | | 13,474 | | | | 821,240 | |
MKS Instruments, Inc. | | | 5,313 | | | | 796,950 | |
Synaptics, Inc.* | | | 3,625 | | | | 723,187 | |
Silicon Laboratories, Inc.* | | | 4,494 | | | | 674,999 | |
Azenta, Inc. | | | 8,111 | | | | 672,240 | |
Power Integrations, Inc. | | | 7,136 | | | | 661,364 | |
CMC Materials, Inc. | | | 3,504 | | | | 649,642 | |
SiTime Corp.* | | | 2,578 | | | | 638,880 | |
Amkor Technology, Inc. | | | 29,035 | | | | 630,640 | |
Cirrus Logic, Inc.* | | | 7,292 | | | | 618,289 | |
Semtech Corp.* | | | 8,653 | | | | 599,999 | |
MaxLinear, Inc. — Class A* | | | 10,162 | | | | 592,953 | |
Ambarella, Inc.* | | | 5,427 | | | | 569,401 | |
Total Semiconductors | | | | | | | 67,704,865 | |
| | | | | | | | | |
Energy-Alternate Sources - 5.4% |
Enphase Energy, Inc.* | | | 7,570 | | | | 1,527,474 | |
SolarEdge Technologies, Inc.* | | | 3,219 | | | | 1,037,709 | |
First Solar, Inc.* | | | 10,397 | | | | 870,645 | |
SunPower Corp. — Class A*,1 | | | 25,759 | | | | 553,303 | |
Total Energy-Alternate Sources | | | | | | | 3,989,131 | |
| | | | | | | | | |
Chemicals - 1.2% |
Daqo New Energy Corp. ADR* | | | 21,343 | | | | 881,893 | |
| | | | | | | | | |
Electrical Components & Equipment - 1.1% |
Universal Display Corp. | | | 4,878 | | | | 814,382 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $49,867,825) | | | | | | | 73,390,271 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.4% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 182,733 | | | $ | 182,733 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 70,381 | | | | 70,381 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 18,299 | | | | 18,299 | |
Total Repurchase Agreements | | | | |
(Cost $271,413) | | | | | | | 271,413 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 372,101 | | | | 372,101 | |
Total Securities Lending Collateral | | | | |
(Cost $372,101) | | | | | | | 372,101 | |
| | | | | | | | | |
Total Investments - 100.8% | | | | |
(Cost $50,511,339) | | $ | 74,033,785 | |
Other Assets & Liabilities, net - (0.8)% | | | (579,286 | ) |
Total Net Assets - 100.0% | | $ | 73,454,499 | |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
ELECTRONICS FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 73,390,271 | | | $ | — | | | $ | — | | | $ | 73,390,271 | |
Repurchase Agreements | | | — | | | | 271,413 | | | | — | | | | 271,413 | |
Securities Lending Collateral | | | 372,101 | | | | — | | | | — | | | | 372,101 | |
Total Assets | | $ | 73,762,372 | | | $ | 271,413 | | | $ | — | | | $ | 74,033,785 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $371,754 of securities loaned (cost $50,239,926) | | $ | 73,762,372 | |
Repurchase agreements, at value (cost $271,413) | | | 271,413 | |
Receivables: |
Fund shares sold | | | 82,809 | |
Dividends | | | 22,852 | |
Securities lending income | | | 126 | |
Total assets | | | 74,139,572 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 372,101 | |
Fund shares redeemed | | | 186,560 | |
Management fees | | | 50,156 | |
Transfer agent and administrative fees | | | 15,873 | |
Portfolio accounting fees | | | 5,901 | |
Distribution and service fees | | | 3,396 | |
Trustees’ fees* | | | 740 | |
Miscellaneous | | | 50,346 | |
Total liabilities | | | 685,073 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 73,454,499 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 56,744,099 | |
Total distributable earnings (loss) | | | 16,710,400 | |
Net assets | | $ | 73,454,499 | |
| | | | | |
Investor Class: |
Net assets | | $ | 60,737,860 | |
Capital shares outstanding | | | 199,432 | |
Net asset value per share | | $ | 304.55 | |
| | | | | |
A-Class: |
Net assets | | $ | 8,827,434 | |
Capital shares outstanding | | | 31,708 | |
Net asset value per share | | $ | 278.40 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 292.28 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,837,738 | |
Capital shares outstanding | | | 7,678 | |
Net asset value per share | | $ | 239.35 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,051,467 | |
Capital shares outstanding | | | 7,605 | |
Net asset value per share | | $ | 269.75 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,855) | | $ | 520,683 | |
Interest | | | 182 | |
Income from securities lending, net | | | 2,753 | |
Total investment income | | | 523,618 | |
| | | | | |
Expenses: |
Management fees | | | 528,943 | |
Distribution and service fees: |
A-Class | | | 16,176 | |
C-Class | | | 26,093 | |
H-Class | | | 8,827 | |
Transfer agent and administrative fees | | | 173,344 | |
Portfolio accounting fees | | | 62,228 | |
Professional fees | | | 27,784 | |
Trustees’ fees* | | | 8,499 | |
Custodian fees | | | 8,403 | |
Miscellaneous | | | 36,340 | |
Total expenses | | | 896,637 | |
Net investment loss | | | (373,019 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (71,238 | ) |
Net realized loss | | | (71,238 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (4,976,021 | ) |
Net change in unrealized appreciation (depreciation) | | | (4,976,021 | ) |
Net realized and unrealized loss | | | (5,047,259 | ) |
Net decrease in net assets resulting from operations | | $ | (5,420,278 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (373,019 | ) | | $ | (210,756 | ) |
Net realized gain (loss) on investments | | | (71,238 | ) | | | 10,332,689 | |
Net change in unrealized appreciation (depreciation) on investments | | | (4,976,021 | ) | | | 22,759,187 | |
Net increase (decrease) in net assets resulting from operations | | | (5,420,278 | ) | | | 32,881,120 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (2,283,199 | ) | | | (623,279 | ) |
A-Class | | | (397,140 | ) | | | (93,075 | ) |
C-Class | | | (114,035 | ) | | | (77,886 | ) |
H-Class | | | (182,571 | ) | | | (152,305 | ) |
Total distributions to shareholders | | | (2,976,945 | ) | | | (946,545 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 182,248,214 | | | | 83,520,706 | |
A-Class | | | 12,659,571 | | | | 1,981,697 | |
C-Class | | | 1,789,573 | | | | 3,886,515 | |
H-Class | | | 26,552,857 | | | | 12,738,105 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 2,241,300 | | | | 604,864 | |
A-Class | | | 395,788 | | | | 92,127 | |
C-Class | | | 113,652 | | | | 77,190 | |
H-Class | | | 182,550 | | | | 152,296 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (171,070,528 | ) | | | (92,624,886 | ) |
A-Class | | | (8,523,286 | ) | | | (1,453,618 | ) |
C-Class | | | (3,204,867 | ) | | | (4,323,708 | ) |
H-Class | | | (33,383,135 | ) | | | (9,332,257 | ) |
Net increase (decrease) from capital share transactions | | | 10,001,689 | | | | (4,680,969 | ) |
Net increase in net assets | | | 1,604,466 | | | | 27,253,606 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 71,850,033 | | | | 44,596,427 | |
End of year | | $ | 73,454,499 | | | $ | 71,850,033 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 563,688 | | | | 383,605 | |
A-Class | | | 41,690 | | | | 10,825 | |
C-Class | | | 7,357 | | | | 24,885 | |
H-Class | | | 94,680 | | | | 57,798 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 6,380 | | | | 2,448 | |
A-Class | | | 1,232 | | | | 405 | |
C-Class | | | 410 | | | | 389 | |
H-Class | | | 586 | | | | 691 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (566,974 | ) | | | (470,379 | ) |
A-Class | | | (31,123 | ) | | | (8,003 | ) |
C-Class | | | (13,331 | ) | | | (27,240 | ) |
H-Class | | | (121,028 | ) | | | (42,485 | ) |
Net decrease in shares | | | (16,433 | ) | | | (67,061 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 281.78 | | | $ | 137.65 | | | $ | 126.31 | | | $ | 136.98 | | | $ | 110.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.59 | ) | | | (.71 | ) | | | — | b | | | .27 | | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 35.88 | | | | 150.08 | | | | 11.35 | | | | (.29 | ) | | | 27.15 | |
Total from investment operations | | | 34.29 | | | | 149.37 | | | | 11.35 | | | | (.02 | ) | | | 27.04 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) |
Net realized gains | | | (11.52 | ) | | | (5.24 | ) | | | — | | | | (10.65 | ) | | | — | |
Total distributions | | | (11.52 | ) | | | (5.24 | ) | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 304.55 | | | $ | 281.78 | | | $ | 137.65 | | | $ | 126.31 | | | $ | 136.98 | |
|
Total Return | | | 11.63 | % | | | 109.05 | % | | | 8.99 | % | | | 1.35 | % | | | 24.59 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 60,738 | | | $ | 55,324 | | | $ | 38,634 | | | $ | 18,642 | | | $ | 54,505 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.51 | %) | | | (0.33 | %) | | | — | d | | | 0.21 | % | | | (0.08 | %) |
Total expenses | | | 1.36 | % | | | 1.44 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 281 | % | | | 163 | % | | | 265 | % | | | 521 | % | | | 457 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 259.00 | | | $ | 127.06 | | | $ | 116.88 | | | $ | 127.98 | | | $ | 103.03 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.15 | ) | | | (1.15 | ) | | | (.31 | ) | | | (.03 | ) | | | (.33 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 33.07 | | | | 138.33 | | | | 10.50 | | | | (.42 | ) | | | 25.34 | |
Total from investment operations | | | 30.92 | | | | 137.18 | | | | 10.19 | | | | (.45 | ) | | | 25.01 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) |
Net realized gains | | | (11.52 | ) | | | (5.24 | ) | | | — | | | | (10.65 | ) | | | — | |
Total distributions | | | (11.52 | ) | | | (5.24 | ) | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 278.40 | | | $ | 259.00 | | | $ | 127.06 | | | $ | 116.88 | | | $ | 127.98 | |
|
Total Returnc | | | 11.35 | % | | | 108.53 | % | | | 8.72 | % | | | 1.10 | % | | | 24.29 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,827 | | | $ | 5,156 | | | $ | 2,120 | | | $ | 3,908 | | | $ | 3,122 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.76 | %) | | | (0.58 | %) | | | (0.23 | %) | | | (0.02 | %) | | | (0.29 | %) |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 281 | % | | | 163 | % | | | 265 | % | | | 521 | % | | | 457 | % |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 225.59 | | | $ | 111.87 | | | $ | 103.69 | | | $ | 115.77 | | | $ | 93.90 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.58 | ) | | | (2.32 | ) | | | (1.14 | ) | | | (.91 | ) | | | (1.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 28.86 | | | | 121.28 | | | | 9.33 | | | | (.52 | ) | | | 23.07 | |
Total from investment operations | | | 25.28 | | | | 118.96 | | | | 8.19 | | | | (1.43 | ) | | | 21.93 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) |
Net realized gains | | | (11.52 | ) | | | (5.24 | ) | | | — | | | | (10.65 | ) | | | — | |
Total distributions | | | (11.52 | ) | | | (5.24 | ) | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 239.35 | | | $ | 225.59 | | | $ | 111.87 | | | $ | 103.69 | | | $ | 115.77 | |
|
Total Returnc | | | 10.51 | % | | | 106.98 | % | | | 7.91 | % | | | 0.34 | % | | | 23.36 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,838 | | | $ | 2,987 | | | $ | 1,701 | | | $ | 1,317 | | | $ | 2,855 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.48 | %) | | | (1.34 | %) | | | (0.96 | %) | | | (0.83 | %) | | | (1.07 | %) |
Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % |
Portfolio turnover rate | | | 281 | % | | | 163 | % | | | 265 | % | | | 521 | % | | | 457 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 251.22 | | | $ | 123.34 | | | $ | 113.47 | | | $ | 124.62 | | | $ | 100.33 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.32 | ) | | | (1.23 | ) | | | (.30 | ) | | | (.54 | ) | | | (.41 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 32.37 | | | | 134.35 | | | | 10.18 | | | | .04 | e | | | 24.76 | |
Total from investment operations | | | 30.05 | | | | 133.12 | | | | 9.88 | | | | (.50 | ) | | | 24.35 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | (.06 | ) |
Net realized gains | | | (11.52 | ) | | | (5.24 | ) | | | — | | | | (10.65 | ) | | | — | |
Total distributions | | | (11.52 | ) | | | (5.24 | ) | | | (.01 | ) | | | (10.65 | ) | | | (.06 | ) |
Net asset value, end of period | | $ | 269.75 | | | $ | 251.22 | | | $ | 123.34 | | | $ | 113.47 | | | $ | 124.62 | |
|
Total Return | | | 11.35 | % | | | 108.53 | % | | | 8.72 | % | | | 1.08 | % | | | 24.29 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,051 | | | $ | 8,383 | | | $ | 2,142 | | | $ | 3,686 | | | $ | 31,109 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.85 | %) | | | (0.60 | %) | | | (0.22 | %) | | | (0.45 | %) | | | (0.36 | %) |
Total expenses | | | 1.60 | % | | | 1.67 | % | | | 1.73 | % | | | 1.68 | % | | | 1.63 | % |
Portfolio turnover rate | | | 281 | % | | | 163 | % | | | 265 | % | | | 521 | % | | | 457 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Less than 0.01 of (0.01%). |
e | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal, and alternative sources of energy (“Energy Companies”).
For the one-year period ended March 31, 2022, Energy Fund Investor Class returned 57.65%, compared with 64.30% for the S&P 500 Energy Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were oil & gas exploration & production, integrated oil & gas, and oil & gas storage & transmission. The industries detracting the most were electrical components & equipment, heavy electrical equipment, and semiconductors.
Exxon Mobil Corp., ConocoPhillips, and Chevron Corp. contributed the most to the Fund’s return for the period. Texas Pacific Land Corp., Sunrun, Inc., and TPI Composites, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | April 21, 1998 |
A-Class | September 1, 2004 |
C-Class | April 19, 2001 |
H-Class | May 5, 1998 |
Ten Largest Holdings (% of Total Net Assets) |
Exxon Mobil Corp. | 6.2% |
Chevron Corp. | 5.8% |
ConocoPhillips | 3.8% |
EOG Resources, Inc. | 2.7% |
Schlumberger N.V. | 2.6% |
Pioneer Natural Resources Co. | 2.5% |
Occidental Petroleum Corp. | 2.4% |
Marathon Petroleum Corp. | 2.4% |
Kinder Morgan, Inc. | 2.2% |
Valero Energy Corp. | 2.2% |
Top Ten Total | 32.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
50 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 57.65% | 1.34% | (1.09%) |
A-Class Shares | 57.25% | 1.09% | (1.32%) |
A-Class Shares with sales charge‡ | 49.79% | 0.11% | (1.81%) |
C-Class Shares | 56.07% | 0.33% | (2.08%) |
C-Class Shares with CDSC§ | 55.07% | 0.33% | (2.08%) |
H-Class Shares** | 57.25% | 1.06% | (1.44%) |
S&P 500 Energy Index | 64.30% | 6.73% | 4.20% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
ENERGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.2% |
| | | | | | | | | |
Oil & Gas - 65.9% |
Exxon Mobil Corp. | | | 49,187 | | | $ | 4,062,354 | |
Chevron Corp. | | | 23,242 | | | | 3,784,495 | |
ConocoPhillips | | | 24,502 | | | | 2,450,200 | |
EOG Resources, Inc. | | | 14,651 | | | | 1,746,839 | |
Pioneer Natural Resources Co. | | | 6,553 | | | | 1,638,447 | |
Occidental Petroleum Corp. | | | 28,100 | | | | 1,594,394 | |
Marathon Petroleum Corp. | | | 18,074 | | | | 1,545,327 | |
Valero Energy Corp. | | | 14,037 | | | | 1,425,317 | |
Devon Energy Corp. | | | 23,669 | | | | 1,399,548 | |
Phillips 66 | | | 15,241 | | | | 1,316,670 | |
Hess Corp. | | | 11,493 | | | | 1,230,211 | |
Petroleo Brasileiro S.A. ADR | | | 81,369 | | | | 1,204,261 | |
Coterra Energy, Inc. — Class A | | | 38,885 | | | | 1,048,728 | |
Diamondback Energy, Inc. | | | 7,591 | | | | 1,040,574 | |
Continental Resources, Inc. | | | 16,177 | | | | 992,135 | |
Marathon Oil Corp. | | | 38,645 | | | | 970,376 | |
BP plc ADR | | | 30,679 | | | | 901,963 | |
Shell plc ADR | | | 15,570 | | | | 855,260 | |
Equities Corp. | | | 24,836 | | | | 854,607 | |
APA Corp. | | | 20,368 | | | | 841,809 | |
Ovintiv, Inc. | | | 15,427 | | | | 834,138 | |
Chesapeake Energy Corp. | | | 8,187 | | | | 712,269 | |
Texas Pacific Land Corp. | | | 492 | | | | 665,238 | |
Range Resources Corp.* | | | 21,167 | | | | 643,054 | |
Suncor Energy, Inc. | | | 19,347 | | | | 630,519 | |
PDC Energy, Inc. | | | 7,638 | | | | 555,130 | |
HF Sinclair Corp.* | | | 13,763 | | | | 548,456 | |
Murphy Oil Corp. | | | 13,120 | | | | 529,917 | |
Matador Resources Co. | | | 9,871 | | | | 522,966 | |
Canadian Natural Resources Ltd. | | | 8,365 | | | | 518,463 | |
Magnolia Oil & Gas Corp. — Class A | | | 21,160 | | | | 500,434 | |
Civitas Resources, Inc. | | | 7,871 | | | | 469,977 | |
SM Energy Co. | | | 11,998 | | | | 467,322 | |
Helmerich & Payne, Inc. | | | 10,671 | | | | 456,505 | |
Equinor ASA ADR | | | 12,141 | | | | 455,409 | |
CNX Resources Corp.* | | | 21,767 | | | | 451,012 | |
Denbury, Inc.* | | | 5,467 | | | | 429,542 | |
Callon Petroleum Co.* | | | 6,911 | | | | 408,302 | |
California Resources Corp. | | | 8,699 | | | | 389,106 | |
PBF Energy, Inc. — Class A* | | | 15,939 | | | | 388,433 | |
CVR Energy, Inc. | | | 14,396 | | | | 367,674 | |
Oasis Petroleum, Inc. | | | 2,331 | | | | 341,025 | |
Northern Oil and Gas, Inc. | | | 11,320 | | | | 319,111 | |
Delek US Holdings, Inc.* | | | 13,316 | | | | 282,566 | |
Laredo Petroleum, Inc.* | | | 3,310 | | | | 261,953 | |
Total Oil & Gas | | | | | | | 43,052,036 | |
| | | | | | | | | |
Pipelines - 13.3% |
Kinder Morgan, Inc. | | | 75,920 | | | | 1,435,647 | |
Williams Companies, Inc. | | | 41,132 | | | | 1,374,220 | |
Cheniere Energy, Inc. | | | 9,146 | | | | 1,268,093 | |
ONEOK, Inc. | | | 16,797 | | | | 1,186,372 | |
Targa Resources Corp. | | | 11,904 | | | | 898,395 | |
Enbridge, Inc. | | | 17,839 | | | | 822,199 | |
New Fortress Energy, Inc. | | | 17,021 | | | | 725,265 | |
TC Energy Corp. | | | 9,540 | | | | 538,247 | |
DT Midstream, Inc. | | | 8,634 | | | | 468,481 | |
Total Pipelines | | | | | | | 8,716,919 | |
| | | | | | | | | |
Oil & Gas Services - 8.3% |
Schlumberger N.V. | | | 41,090 | | | | 1,697,428 | |
Baker Hughes Co. | | | 37,166 | | | | 1,353,214 | |
Halliburton Co. | | | 34,390 | | | | 1,302,349 | |
NOV, Inc. | | | 30,703 | | | | 602,086 | |
ChampionX Corp. | | | 18,948 | | | | 463,847 | |
Total Oil & Gas Services | | | | | | | 5,418,924 | |
| | | | | | | | | |
Energy-Alternate Sources - 7.7% |
Enphase Energy, Inc.* | | | 5,379 | | | | 1,085,375 | |
Plug Power, Inc.* | | | 31,844 | | | | 911,057 | |
SolarEdge Technologies, Inc.* | | | 2,266 | | | | 730,490 | |
First Solar, Inc.* | | | 7,381 | | | | 618,085 | |
Sunrun, Inc.* | | | 16,839 | | | | 511,400 | |
SunPower Corp. — Class A*,1 | | | 18,280 | | | | 392,654 | |
Renewable Energy Group, Inc.* | | | 5,803 | | | | 351,952 | |
Green Plains, Inc.* | | | 8,395 | | | | 260,329 | |
TPI Composites, Inc.* | | | 10,100 | | | | 142,006 | |
Total Energy-Alternate Sources | | | | | | | 5,003,348 | |
| | | | | | | | | |
Retail - 1.1% |
Murphy USA, Inc. | | | 2,301 | | | | 460,108 | |
World Fuel Services Corp. | | | 9,575 | | | | 258,908 | |
Total Retail | | | | | | | 719,016 | |
| | | | | | | | | |
Coal - 1.1% |
Peabody Energy Corp.* | | | 16,833 | | | | 412,914 | |
Arch Resources, Inc. | | | 2,130 | | | | 292,619 | |
Total Coal | | | | | | | 705,533 | |
| | | | | | | | | |
Mining - 0.9% |
Cameco Corp. | | | 20,851 | | | | 606,764 | |
| | | | | | | | | |
Machinery-Diversified - 0.7% |
Cactus, Inc. — Class A | | | 8,168 | | | | 463,452 | |
| | | | | | | | | |
Electric - 0.6% |
Ameresco, Inc. — Class A* | | | 5,266 | | | | 418,647 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.6% |
EnerSys | | | 4,682 | | | | 349,137 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $37,065,257) | | | | | | | 65,453,776 | |
| | | | | | | | | |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
ENERGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 310,402 | | | $ | 310,402 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 119,553 | | | | 119,553 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 31,084 | | | | 31,084 | |
Total Repurchase Agreements | | | | |
(Cost $461,039) | | | | | | | 461,039 | |
| | | | | | | | | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 272,642 | | | $ | 272,642 | |
Total Securities Lending Collateral | | | | |
(Cost $272,642) | | | | | | | 272,642 | |
| | | | | | | | | |
Total Investments - 101.3% | | | | |
(Cost $37,798,938) | | $ | 66,187,457 | |
Other Assets & Liabilities, net - (1.3)% | | | (841,655 | ) |
Total Net Assets - 100.0% | | $ | 65,345,802 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 65,453,776 | | | $ | — | | | $ | — | | | $ | 65,453,776 | |
Repurchase Agreements | | | — | | | | 461,039 | | | | — | | | | 461,039 | |
Securities Lending Collateral | | | 272,642 | | | | — | | | | — | | | | 272,642 | |
Total Assets | | $ | 65,726,418 | | | $ | 461,039 | | | $ | — | | | $ | 66,187,457 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $272,388 of securities loaned (cost $37,337,899) | | $ | 65,726,418 | |
Repurchase agreements, at value (cost $461,039) | | | 461,039 | |
Receivables: |
Fund shares sold | | | 139,992 | |
Dividends | | | 39,998 | |
Securities lending income | | | 89 | |
Total assets | | | 66,367,536 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 629,510 | |
Return of securities lending collateral | | | 272,642 | |
Management fees | | | 48,148 | |
Transfer agent and administrative fees | | | 15,237 | |
Portfolio accounting fees | | | 5,664 | |
Distribution and service fees | | | 2,633 | |
Trustees’ fees* | | | 695 | |
Miscellaneous | | | 47,205 | |
Total liabilities | | | 1,021,734 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 65,345,802 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 65,504,114 | |
Total distributable earnings (loss) | | | (158,312 | ) |
Net assets | | $ | 65,345,802 | |
| | | | | |
Investor Class: |
Net assets | | $ | 57,612,326 | |
Capital shares outstanding | | | 240,096 | |
Net asset value per share | | $ | 239.96 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,014,660 | |
Capital shares outstanding | | | 18,121 | |
Net asset value per share | | $ | 221.55 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 232.60 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,639,844 | |
Capital shares outstanding | | | 8,658 | |
Net asset value per share | | $ | 189.40 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,078,972 | |
Capital shares outstanding | | | 9,701 | |
Net asset value per share | | $ | 214.30 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $20,063) | | $ | 2,090,453 | |
Interest | | | 151 | |
Income from securities lending, net | | | 3,032 | |
Total investment income | | | 2,093,636 | |
| | | | | |
Expenses: |
Management fees | | | 531,983 | |
Distribution and service fees: |
A-Class | | | 7,225 | |
C-Class | | | 10,976 | |
H-Class | | | 6,674 | |
Transfer agent and administrative fees | | | 173,372 | |
Portfolio accounting fees | | | 62,586 | |
Professional fees | | | 29,822 | |
Custodian fees | | | 8,295 | |
Trustees’ fees* | | | 6,831 | |
Line of credit fees | | | 49 | |
Miscellaneous | | | 37,606 | |
Total expenses | | | 875,419 | |
Net investment income | | | 1,218,217 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 4,094,283 | |
Net realized gain | | | 4,094,283 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 20,769,850 | |
Net change in unrealized appreciation (depreciation) | | | 20,769,850 | |
Net realized and unrealized gain | | | 24,864,133 | |
Net increase in net assets resulting from operations | | $ | 26,082,350 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,218,217 | | | $ | 306,823 | |
Net realized gain (loss) on investments | | | 4,094,283 | | | | (1,453,340 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 20,769,850 | | | | 7,203,790 | |
Net increase in net assets resulting from operations | | | 26,082,350 | | | | 6,057,273 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (272,328 | ) | | | (213,265 | ) |
A-Class | | | (17,226 | ) | | | (38,158 | ) |
C-Class | | | (6,906 | ) | | | (19,851 | ) |
H-Class | | | (10,363 | ) | | | (20,784 | ) |
Total distributions to shareholders | | | (306,823 | ) | | | (292,058 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 271,052,529 | | | | 150,630,160 | |
A-Class | | | 3,727,225 | | | | 8,452,916 | |
C-Class | | | 1,587,379 | | | | 882,168 | |
H-Class | | | 12,987,251 | | | | 6,045,215 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 270,767 | | | | 209,206 | |
A-Class | | | 16,329 | | | | 36,489 | |
C-Class | | | 6,696 | | | | 19,168 | |
H-Class | | | 9,780 | | | | 20,784 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (255,335,090 | ) | | | (141,096,481 | ) |
A-Class | | | (3,172,125 | ) | | | (8,000,632 | ) |
C-Class | | | (1,219,353 | ) | | | (964,963 | ) |
H-Class | | | (13,119,025 | ) | | | (5,521,324 | ) |
Net increase from capital share transactions | | | 16,812,363 | | | | 10,712,706 | |
Net increase in net assets | | | 42,587,890 | | | | 16,477,921 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 22,757,912 | | | | 6,279,991 | |
End of year | | $ | 65,345,802 | | | $ | 22,757,912 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,425,959 | | | | 1,183,818 | |
A-Class | | | 20,617 | | | | 62,484 | |
C-Class | | | 10,787 | | | | 9,451 | |
H-Class | | | 81,073 | | | | 52,998 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 1,455 | | | | 1,689 | |
A-Class | | | 95 | | | | 318 | |
C-Class | | | 45 | | | | 193 | |
H-Class | | | 59 | | | | 187 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,306,447 | ) | | | (1,117,957 | ) |
A-Class | | | (18,225 | ) | | | (60,130 | ) |
C-Class | | | (8,287 | ) | | | (10,057 | ) |
H-Class | | | (82,948 | ) | | | (50,445 | ) |
Net increase in shares | | | 124,183 | | | | 72,549 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 152.94 | | | $ | 81.74 | | | $ | 204.01 | | | $ | 223.24 | | | $ | 236.20 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 3.62 | | | | 1.44 | | | | 2.91 | | | | 1.05 | | | | 1.83 | |
Net gain (loss) on investments (realized and unrealized) | | | 84.29 | | | | 72.59 | | | | (123.74 | ) | | | (18.87 | ) | | | (13.11 | ) |
Total from investment operations | | | 87.91 | | | | 74.03 | | | | (120.83 | ) | | | (17.82 | ) | | | (11.28 | ) |
Less distributions from: |
Net investment income | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Total distributions | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Net asset value, end of period | | $ | 239.96 | | | $ | 152.94 | | | $ | 81.74 | | | $ | 204.01 | | | $ | 223.24 | |
|
Total Return | | | 57.65 | % | | | 91.43 | % | | | (59.61 | %) | | | (7.94 | %) | | | (4.78 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 57,612 | | | $ | 18,220 | | | $ | 4,216 | | | $ | 16,172 | | | $ | 37,253 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.90 | % | | | 2.02 | % | | | 1.65 | % | | | 0.46 | % | | | 0.82 | % |
Total expenses | | | 1.36 | % | | | 1.42 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % |
Portfolio turnover rate | | | 382 | % | | | 939 | % | | | 428 | % | | | 525 | % | | | 954 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 141.62 | | | $ | 76.01 | | | $ | 190.30 | | | $ | 208.85 | | | $ | 221.57 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 2.67 | | | | 1.00 | | | | 2.46 | | | | .63 | | | | 1.62 | |
Net gain (loss) on investments (realized and unrealized) | | | 78.15 | | | | 67.44 | | | | (115.31 | ) | | | (17.77 | ) | | | (12.66 | ) |
Total from investment operations | | | 80.82 | | | | 68.44 | | | | (112.85 | ) | | | (17.14 | ) | | | (11.04 | ) |
Less distributions from: |
Net investment income | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Total distributions | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Net asset value, end of period | | $ | 221.55 | | | $ | 141.62 | | | $ | 76.01 | | | $ | 190.30 | | | $ | 208.85 | |
|
Total Returnb | | | 57.25 | % | | | 90.89 | % | | | (59.69 | %) | | | (8.16 | %) | | | (4.99 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,015 | | | $ | 2,214 | | | $ | 985 | | | $ | 3,369 | | | $ | 3,111 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.60 | % | | | 1.60 | % | | | 1.50 | % | | | 0.33 | % | | | 0.78 | % |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 382 | % | | | 939 | % | | | 428 | % | | | 525 | % | | | 954 | % |
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.07 | | | $ | 66.27 | | | $ | 167.39 | | | $ | 185.28 | | | $ | 198.29 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.32 | | | | .56 | | | | 1.08 | | | | (1.08 | ) | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 66.90 | | | | 58.07 | | | | (100.76 | ) | | | (15.40 | ) | | | (11.30 | ) |
Total from investment operations | | | 68.22 | | | | 58.63 | | | | (99.68 | ) | | | (16.48 | ) | | | (11.33 | ) |
Less distributions from: |
Net investment income | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Total distributions | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Net asset value, end of period | | $ | 189.40 | | | $ | 122.07 | | | $ | 66.27 | | | $ | 167.39 | | | $ | 185.28 | |
|
Total Returnb | | | 56.07 | % | | | 89.48 | % | | | (60.01 | %) | | | (8.83 | %) | | | (5.73 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,640 | | | $ | 746 | | | $ | 432 | | | $ | 1,637 | | | $ | 3,721 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.91 | % | | | 1.05 | % | | | 0.76 | % | | | (0.56 | %) | | | (0.02 | %) |
Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % |
Portfolio turnover rate | | | 382 | % | | | 939 | % | | | 428 | % | | | 525 | % | | | 954 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 137.02 | | | $ | 73.61 | | | $ | 184.50 | | | $ | 202.54 | | | $ | 215.03 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 2.80 | | | | 1.06 | | | | 1.92 | | | | 1.20 | | | | 2.97 | |
Net gain (loss) on investments (realized and unrealized) | | | 75.37 | | | | 65.18 | | | | (111.37 | ) | | | (17.83 | ) | | | (13.78 | ) |
Total from investment operations | | | 78.17 | | | | 66.24 | | | | (109.45 | ) | | | (16.63 | ) | | | (10.81 | ) |
Less distributions from: |
Net investment income | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Total distributions | | | (.89 | ) | | | (2.83 | ) | | | (1.44 | ) | | | (1.41 | ) | | | (1.68 | ) |
Net asset value, end of period | | $ | 214.30 | | | $ | 137.02 | | | $ | 73.61 | | | $ | 184.50 | | | $ | 202.54 | |
|
Total Return | | | 57.25 | % | | | 90.87 | % | | | (59.73 | %) | | | (8.16 | %) | | | (5.03 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,079 | | | $ | 1,578 | | | $ | 646 | | | $ | 824 | | | $ | 1,480 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.73 | % | | | 1.60 | % | | | 1.25 | % | | | 0.54 | % | | | 1.50 | % |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % |
Portfolio turnover rate | | | 382 | % | | | 939 | % | | | 428 | % | | | 525 | % | | | 954 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Reverse share split — Per share amounts for the years presented through March 31, 2020 have been restated to reflect a 1:3 reverse share split effective August 10, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
For the one-year period ended March 31, 2022, Energy Services Fund Investor Class returned 37.44%, compared with 64.30% for the S&P 500 Energy Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were oil & gas equipment & services, oil & gas drilling, and trading companies & distributors. The industries contributing the least were electrical components & equipment and construction & engineering.
Schlumberger N.V., Baker Hughes Co. and Halliburton Co. contributed the most to the Fund’s return for the period. Sunrun, Inc., DMC Global, Inc., and National Energy Services Reunited Corp. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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 N.V. | 12.0% |
Baker Hughes Co. | 9.6% |
Halliburton Co. | 9.2% |
NOV, Inc. | 4.3% |
SolarEdge Technologies, Inc. | 4.1% |
Sunrun, Inc. | 3.7% |
Cactus, Inc. — Class A | 3.4% |
Helmerich & Payne, Inc. | 3.3% |
ChampionX Corp. | 3.3% |
Valaris Ltd. | 3.2% |
Top Ten Total | 56.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
58 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 37.44% | (13.00%) | (10.72%) |
A-Class Shares | 37.09% | (13.22%) | (10.94%) |
A-Class Shares with sales charge‡ | 30.58% | (14.07%) | (11.37%) |
C-Class Shares | 36.07% | (13.86%) | (11.61%) |
C-Class Shares with CDSC§ | 35.07% | (13.86%) | (11.61%) |
H-Class Shares** | 37.09% | (13.21%) | (11.03%) |
S&P 500 Energy Index | 64.30% | 6.73% | 4.20% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
ENERGY SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Oil & Gas Services - 70.6% |
Schlumberger N.V. | | | 64,856 | | | $ | 2,679,201 | |
Baker Hughes Co. | | | 58,672 | | | | 2,136,248 | |
Halliburton Co. | | | 54,249 | | | | 2,054,410 | |
NOV, Inc. | | | 48,453 | | | | 950,163 | |
ChampionX Corp. | | | 29,825 | | | | 730,116 | |
Liberty Oilfield Services, Inc. — Class A* | | | 39,294 | | | | 582,337 | |
TechnipFMC plc* | | | 70,509 | | | | 546,445 | |
Weatherford International plc* | | | 16,036 | | | | 533,999 | |
Expro Group Holdings N.V.* | | | 28,352 | | | | 504,099 | |
Core Laboratories N.V. | | | 13,470 | | | | 426,056 | |
US Silica Holdings, Inc.* | | | 22,715 | | | | 423,862 | |
ProPetro Holding Corp.* | | | 29,934 | | | | 416,981 | |
Archrock, Inc. | | | 44,181 | | | | 407,791 | |
Oceaneering International, Inc.* | | | 26,864 | | | | 407,258 | |
Dril-Quip, Inc.* | | | 10,614 | | | | 396,433 | |
NOW, Inc.* | | | 34,373 | | | | 379,134 | |
Bristow Group, Inc.* | | | 9,178 | | | | 340,320 | |
Tidewater, Inc.* | | | 15,271 | | | | 331,992 | |
MRC Global, Inc.* | | | 27,717 | | | | 330,109 | |
National Energy Services Reunited Corp.* | | | 34,711 | | | | 291,572 | |
DMC Global, Inc.* | | | 7,929 | | | | 241,834 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 21,102 | | | | 238,242 | |
Oil States International, Inc.* | | | 32,732 | | | | 227,487 | |
Matrix Service Co.* | | | 18,505 | | | | 152,111 | |
Total Oil & Gas Services | | | | | | | 15,728,200 | |
| | | | | | | | | |
Oil & Gas - 13.5% |
Helmerich & Payne, Inc. | | | 17,354 | | | | 742,404 | |
Valaris Ltd.* | | | 13,650 | | | | 709,390 | |
Patterson-UTI Energy, Inc. | | | 40,174 | | | | 621,894 | |
Noble Corp.* | | | 15,099 | | | | 529,220 | |
Nabors Industries Ltd.* | | | 2,663 | | | | 406,693 | |
Total Oil & Gas | | | | | | | 3,009,601 | |
| | | | | | | | | |
Energy-Alternate Sources - 7.8% |
SolarEdge Technologies, Inc.* | | | 2,810 | | | | 905,860 | |
Sunrun, Inc.* | | | 27,384 | | | | 831,652 | |
Total Energy-Alternate Sources | | | | | | | 1,737,512 | |
| | | | | | | | | |
Machinery-Diversified - 3.4% |
Cactus, Inc. — Class A | | | 13,275 | | | $ | 753,223 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 2.6% |
Tenaris S.A. ADR | | | 19,326 | | | | 581,133 | |
| | | | | | | | | |
Retail - 1.6% |
Aspen Aerogels, Inc.* | | | 10,410 | | | | 358,937 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $14,028,183) | | | | | | | 22,168,606 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.6% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 93,312 | | | | 93,312 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 35,940 | | | | 35,940 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 9,344 | | | | 9,344 | |
Total Repurchase Agreements | | | | |
(Cost $138,596) | | | | | | | 138,596 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $14,166,779) | | $ | 22,307,202 | |
Other Assets & Liabilities, net - (0.1)% | | | (24,803 | ) |
Total Net Assets - 100.0% | | $ | 22,282,399 | |
* | 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. |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
ENERGY SERVICES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 22,168,606 | | | $ | — | | | $ | — | | | $ | 22,168,606 | |
Repurchase Agreements | | | — | | | | 138,596 | | | | — | | | | 138,596 | |
Total Assets | | $ | 22,168,606 | | | $ | 138,596 | | | $ | — | | | $ | 22,307,202 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $14,028,183) | | $ | 22,168,606 | |
Repurchase agreements, at value (cost $138,596) | | | 138,596 | |
Receivables: |
Fund shares sold | | | 606,084 | |
Dividends | | | 9,457 | |
Securities lending income | | | 54 | |
Total assets | | | 22,922,797 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 567,260 | |
Fund shares redeemed | | | 30,017 | |
Management fees | | | 16,517 | |
Transfer agent and administrative fees | | | 5,227 | |
Distribution and service fees | | | 3,458 | |
Portfolio accounting fees | | | 1,943 | |
Trustees’ fees* | | | 232 | |
Miscellaneous | | | 15,744 | |
Total liabilities | | | 640,398 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 22,282,399 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 50,561,021 | |
Total distributable earnings (loss) | | | (28,278,622 | ) |
Net assets | | $ | 22,282,399 | |
| | | | | |
Investor Class: |
Net assets | | $ | 9,375,976 | |
Capital shares outstanding | | | 40,435 | |
Net asset value per share | | $ | 231.88 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,035,584 | |
Capital shares outstanding | | | 4,811 | |
Net asset value per share | | $ | 215.25 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 225.98 | |
| | | | | |
C-Class: |
Net assets | | $ | 813,921 | |
Capital shares outstanding | | | 4,369 | |
Net asset value per share | | $ | 186.29 | |
| | | | | |
H-Class: |
Net assets | | $ | 11,056,918 | |
Capital shares outstanding | | | 53,009 | |
Net asset value per share | | $ | 208.59 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $113) | | $ | 263,838 | |
Interest | | | 65 | |
Income from securities lending, net | | | 277 | |
Total investment income | | | 264,180 | |
| | | | | |
Expenses: |
Management fees | | | 217,741 | |
Distribution and service fees: |
A-Class | | | 1,973 | |
C-Class | | | 9,308 | |
H-Class | | | 9,276 | |
Transfer agent and administrative fees | | | 70,940 | |
Portfolio accounting fees | | | 25,616 | |
Professional fees | | | 11,188 | |
Custodian fees | | | 3,492 | |
Trustees’ fees* | | | 2,601 | |
Line of credit fees | | | 48 | |
Miscellaneous | | | 16,525 | |
Total expenses | | | 368,708 | |
Net investment loss | | | (104,528 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,221,184 | |
Net realized gain | | | 2,221,184 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 5,378,720 | |
Net change in unrealized appreciation (depreciation) | | | 5,378,720 | |
Net realized and unrealized gain | | | 7,559,904 | |
Net increase in net assets resulting from operations | | $ | 7,495,376 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (104,528 | ) | | $ | 31,147 | |
Net realized gain (loss) on investments | | | 2,221,184 | | | | (2,872,726 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 5,378,720 | | | | 4,839,953 | |
Net increase in net assets resulting from operations | | | 7,495,376 | | | | 1,998,374 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (21,872 | ) | | | (58,239 | ) |
A-Class | | | (1,886 | ) | | | (7,763 | ) |
C-Class | | | (4,576 | ) | | | (5,500 | ) |
H-Class | | | (2,813 | ) | | | (13,320 | ) |
Total distributions to shareholders | | | (31,147 | ) | | | (84,822 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 77,176,798 | | | | 30,897,142 | |
A-Class | | | 2,199,033 | | | | 1,084,574 | |
C-Class | | | 1,637,269 | | | | 749,587 | |
H-Class | | | 21,796,874 | | | | 11,467,298 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 21,449 | | | | 57,067 | |
A-Class | | | 1,851 | | | | 7,098 | |
C-Class | | | 4,576 | | | | 5,499 | |
H-Class | | | 2,791 | | | | 13,320 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (77,547,416 | ) | | | (29,134,887 | ) |
A-Class | | | (1,974,352 | ) | | | (973,357 | ) |
C-Class | | | (1,542,259 | ) | | | (682,420 | ) |
H-Class | | | (13,505,610 | ) | | | (11,270,764 | ) |
Net increase from capital share transactions | | | 8,271,004 | | | | 2,220,157 | |
Net increase in net assets | | | 15,735,233 | | | | 4,133,709 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 6,547,166 | | | | 2,413,457 | |
End of year | | $ | 22,282,399 | | | $ | 6,547,166 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 430,685 | | | | 241,060 | |
A-Class | | | 12,542 | | | | 9,335 | |
C-Class | | | 11,060 | | | | 7,226 | |
H-Class | | | 128,869 | | | | 82,664 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 123 | | | | 388 | |
A-Class | | | 11 | | | | 52 | |
C-Class | | | 32 | | | | 46 | |
H-Class | | | 18 | | | | 100 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (418,168 | ) | | | (233,553 | ) |
A-Class | | | (12,036 | ) | | | (7,803 | ) |
C-Class | | | (10,209 | ) | | | (6,885 | ) |
H-Class | | | (80,393 | ) | | | (85,965 | ) |
Net increase in shares | | | 62,534 | | | | 6,665 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 169.20 | | | $ | 75.50 | | | $ | 281.99 | | | $ | 378.02 | | | $ | 483.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.63 | ) | | | .20 | | | | 2.40 | | | | .15 | | | | 8.85 | d |
Net gain (loss) on investments (realized and unrealized) | | | 63.81 | | | | 95.34 | | | | (208.59 | ) | | | (92.88 | ) | | | (110.66 | ) |
Total from investment operations | | | 63.18 | | | | 95.54 | | | | (206.19 | ) | | | (92.73 | ) | | | (101.81 | ) |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Total distributions | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Net asset value, end of period | | $ | 231.88 | | | $ | 169.20 | | | $ | 75.50 | | | $ | 281.99 | | | $ | 378.02 | |
|
Total Return | | | 37.44 | % | | | 127.06 | % | | | (73.21 | %) | | | (24.43 | %) | | | (21.11 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,376 | | | $ | 4,703 | | | $ | 1,502 | | | $ | 6,896 | | | $ | 8,181 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.35 | %) | | | 0.82 | % | | | 1.11 | % | | | 0.06 | % | | | 2.19 | %e |
Total expenses | | | 1.36 | % | | | 1.42 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 290 | % | | | 770 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 157.49 | | | $ | 70.51 | | | $ | 264.03 | | | $ | 355.19 | | | $ | 455.88 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.04 | ) | | | .19 | | | | 1.95 | | | | 1.80 | | | | 9.00 | d |
Net gain (loss) on investments (realized and unrealized) | | | 59.30 | | | | 88.63 | | | | (195.17 | ) | | | (89.66 | ) | | | (105.94 | ) |
Total from investment operations | | | 58.26 | | | | 88.82 | | | | (193.22 | ) | | | (87.86 | ) | | | (96.94 | ) |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Total distributions | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Net asset value, end of period | | $ | 215.25 | | | $ | 157.49 | | | $ | 70.51 | | | $ | 264.03 | | | $ | 355.19 | |
|
Total Returnb | | | 37.09 | % | | | 126.39 | % | | | (73.26 | %) | | | (24.65 | %) | | | (21.31 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,036 | | | $ | 676 | | | $ | 191 | | | $ | 829 | | | $ | 811 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.61 | %) | | | 0.87 | % | | | 0.94 | % | | | 0.60 | % | | | 2.37 | %e |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.73 | % | | | 1.73 | % | | | 1.63 | % |
Portfolio turnover rate | | | 290 | % | | | 770 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % |
64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 137.36 | | | $ | 62.08 | | | $ | 234.26 | | | $ | 317.99 | | | $ | 411.65 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.02 | ) | | | (.01 | ) | | | .30 | | | | (2.55 | ) | | | 5.70 | d |
Net gain (loss) on investments (realized and unrealized) | | | 51.45 | | | | 77.13 | | | | (172.18 | ) | | | (77.88 | ) | | | (95.61 | ) |
Total from investment operations | | | 49.43 | | | | 77.12 | | | | (171.88 | ) | | | (80.43 | ) | | | (89.91 | ) |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Total distributions | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Net asset value, end of period | | $ | 186.29 | | | $ | 137.36 | | | $ | 62.08 | | | $ | 234.26 | | | $ | 317.99 | |
|
Total Returnb | | | 36.07 | % | | | 124.62 | % | | | (73.46 | %) | | | 25.17 | % | | | (21.89 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 814 | | | $ | 479 | | | $ | 192 | | | $ | 826 | | | $ | 1,836 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.37 | %) | | | (0.03 | %) | | | 0.20 | % | | | (0.84 | %) | | | 1.66 | %e |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.48 | % | | | 2.45 | % | | | 2.38 | % |
Portfolio turnover rate | | | 290 | % | | | 770 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 152.63 | | | $ | 68.37 | | | $ | 255.45 | | | $ | 343.95 | | | $ | 442.11 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.75 | ) | | | .02 | | | | 1.65 | | | | .45 | | | | 2.85 | d |
Net gain (loss) on investments (realized and unrealized) | | | 57.21 | | | | 86.08 | | | | (188.43 | ) | | | (85.65 | ) | | | (97.26 | ) |
Total from investment operations | | | 56.46 | | | | 86.10 | | | | (186.78 | ) | | | (85.20 | ) | | | (94.41 | ) |
Less distributions from: |
Net investment income | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Total distributions | | | (.50 | ) | | | (1.84 | ) | | | (.30 | ) | | | (3.30 | ) | | | (3.75 | ) |
Net asset value, end of period | | $ | 208.59 | | | $ | 152.63 | | | $ | 68.37 | | | $ | 255.45 | | | $ | 343.95 | |
|
Total Return | | | 37.09 | % | | | 126.23 | % | | | (73.19 | %) | | | (24.67 | %) | | | (21.40 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,057 | | | $ | 689 | | | $ | 528 | | | $ | 6,395 | | | $ | 15,754 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.43 | %) | | | 0.11 | % | | | 0.77 | % | | | 0.15 | % | | | 0.76 | %e |
Total expenses | | | 1.62 | % | | | 1.68 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % |
Portfolio turnover rate | | | 290 | % | | | 770 | % | | | 810 | % | | | 1,453 | % | | | 1,824 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Reverse share split — Per share amounts for the years presented through March 31, 2020 have been restated to reflect a 1:15 reverse share split effective August 10, 2020. |
d | 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. |
e | 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 ANNUAL REPORT | 65 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
For the one-year period ended March 31, 2022, Financial Services Fund Investor Class returned 15.72%, compared with 14.69% for the S&P 500 Financials Index. The broader S&P 500 Index returned 15.65%.
Specialized REITs, asset management & custody banks, and residential REITs contributed the most to return. Thrift & mortgage finance and mortgage REITs detracted the most from return.
Berkshire Hathaway, Inc. - Class B, Blackstone, Inc. - Class A, and Prologis, Inc. contributed the most to the Fund’s return for the period. Futu Holdings Ltd. - Class A ADR, Citigroup, Inc., and Rocket Companies, Inc. - Class A detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 2.3% |
Bank of America Corp. | 2.1% |
Wells Fargo & Co. | 1.5% |
Blackstone, Inc. — Class A | 1.5% |
S&P Global, Inc. | 1.4% |
American Express Co. | 1.4% |
Charles Schwab Corp. | 1.4% |
Morgan Stanley | 1.4% |
Prologis, Inc. | 1.3% |
Top Ten Total | 17.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
66 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 15.72% | 10.82% | 11.08% |
A-Class Shares | 15.42% | 10.54% | 10.81% |
A-Class Shares with sales charge‡ | 9.94% | 9.47% | 10.27% |
C-Class Shares | 14.55% | 9.72% | 9.98% |
C-Class Shares with CDSC§ | 13.55% | 9.72% | 9.98% |
H-Class Shares** | 15.47% | 10.55% | 10.72% |
S&P 500 Financials Index | 14.69% | 12.36% | 13.86% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.9% |
| | | | | | | | | |
REITs - 28.9% |
Prologis, Inc. | | | 3,956 | | | $ | 638,815 | |
American Tower Corp. — Class A | | | 2,499 | | | | 627,799 | |
Crown Castle International Corp. | | | 2,876 | | | | 530,910 | |
Public Storage | | | 1,274 | | | | 497,217 | |
Equinix, Inc. | | | 644 | | | | 477,603 | |
Welltower, Inc. | | | 4,044 | | | | 388,790 | |
Realty Income Corp. | | | 5,462 | | | | 378,517 | |
Digital Realty Trust, Inc. | | | 2,658 | | | | 376,904 | |
Simon Property Group, Inc. | | | 2,862 | | | | 376,525 | |
SBA Communications Corp. | | | 1,046 | | | | 359,929 | |
AvalonBay Communities, Inc. | | | 1,376 | | | | 341,757 | |
Equity Residential | | | 3,748 | | | | 337,020 | |
Alexandria Real Estate Equities, Inc. | | | 1,666 | | | | 335,282 | |
Extra Space Storage, Inc. | | | 1,506 | | | | 309,634 | |
Weyerhaeuser Co. | | | 7,975 | | | | 302,252 | |
Ventas, Inc. | | | 4,755 | | | | 293,669 | |
Invitation Homes, Inc. | | | 7,104 | | | | 285,439 | |
Mid-America Apartment Communities, Inc. | | | 1,351 | | | | 282,967 | |
Duke Realty Corp. | | | 4,789 | | | | 278,049 | |
Essex Property Trust, Inc. | | | 790 | | | | 272,929 | |
VICI Properties, Inc. | | | 9,505 | | | | 270,512 | |
Boston Properties, Inc. | | | 2,044 | | | | 263,267 | |
Sun Communities, Inc. | | | 1,477 | | | | 258,903 | |
Healthpeak Properties, Inc. | | | 7,307 | | | | 250,849 | |
UDR, Inc. | | | 4,310 | | | | 247,265 | |
Camden Property Trust | | | 1,434 | | | | 238,331 | |
WP Carey, Inc. | | | 2,837 | | | | 229,343 | |
Kimco Realty Corp. | | | 9,234 | | | | 228,080 | |
American Homes 4 Rent — Class A | | | 5,462 | | | | 218,644 | |
Equity LifeStyle Properties, Inc. | | | 2,857 | | | | 218,503 | |
Host Hotels & Resorts, Inc. | | | 11,017 | | | | 214,060 | |
Medical Properties Trust, Inc. | | | 10,043 | | | | 212,309 | |
Regency Centers Corp. | | | 2,925 | | | | 208,669 | |
Rexford Industrial Realty, Inc. | | | 2,731 | | | | 203,705 | |
Life Storage, Inc. | | | 1,439 | | | | 202,079 | |
Gaming and Leisure Properties, Inc. | | | 4,290 | | | | 201,330 | |
CubeSmart | | | 3,855 | | | | 200,576 | |
Lamar Advertising Co. — Class A | | | 1,719 | | | | 199,713 | |
Federal Realty Investment Trust | | | 1,487 | | | | 181,518 | |
Kilroy Realty Corp. | | | 2,290 | | | | 175,002 | |
Vornado Realty Trust | | | 3,763 | | | | 170,539 | |
First Industrial Realty Trust, Inc. | | | 2,716 | | | | 168,148 | |
National Retail Properties, Inc. | | | 3,714 | | | | 166,907 | |
STORE Capital Corp. | | | 5,612 | | | | 164,039 | |
Omega Healthcare Investors, Inc. | | | 5,244 | | | | 163,403 | |
American Campus Communities, Inc. | | | 2,915 | | | | 163,153 | |
Brixmor Property Group, Inc. | | | 6,305 | | | | 162,732 | |
Americold Realty Trust | | | 5,709 | | | | 159,167 | |
Healthcare Trust of America, Inc. — Class A | | | 4,973 | | | | 155,854 | |
AGNC Investment Corp. | | | 11,563 | | | | 151,475 | |
Spirit Realty Capital, Inc. | | | 3,055 | | | | 140,591 | |
SL Green Realty Corp. | | | 1,622 | | | | 131,674 | |
Agree Realty Corp. | | | 1,918 | | | | 127,278 | |
Park Hotels & Resorts, Inc. | | | 6,324 | | | | 123,508 | |
Total REITs | | | | | | | 14,263,133 | |
| | | | | | | | | |
Banks - 24.3% |
JPMorgan Chase & Co. | | | 8,247 | | | | 1,124,231 | |
Bank of America Corp. | | | 24,672 | | | | 1,016,980 | |
Wells Fargo & Co. | | | 15,438 | | | | 748,126 | |
Morgan Stanley | | | 7,801 | | | | 681,807 | |
Goldman Sachs Group, Inc. | | | 1,826 | | | | 602,763 | |
Citigroup, Inc. | | | 10,595 | | | | 565,773 | |
U.S. Bancorp | | | 9,220 | | | | 490,043 | |
PNC Financial Services Group, Inc. | | | 2,639 | | | | 486,764 | |
Truist Financial Corp. | | | 8,489 | | | | 481,326 | |
Bank of New York Mellon Corp. | | | 7,104 | | | | 352,572 | |
State Street Corp. | | | 3,661 | | | | 318,946 | |
SVB Financial Group* | | | 568 | | | | 317,768 | |
First Republic Bank | | | 1,831 | | | | 296,805 | |
Fifth Third Bancorp | | | 6,799 | | | | 292,629 | |
Northern Trust Corp. | | | 2,392 | | | | 278,548 | |
ICICI Bank Ltd. ADR | | | 14,594 | | | | 276,410 | |
Royal Bank of Canada | | | 2,334 | | | | 257,370 | |
M&T Bank Corp. | | | 1,511 | | | | 256,115 | |
Huntington Bancshares, Inc. | | | 17,398 | | | | 254,359 | |
HDFC Bank Ltd. ADR | | | 4,121 | | | | 252,741 | |
Regions Financial Corp. | | | 11,331 | | | | 252,228 | |
KeyCorp | | | 11,142 | | | | 249,358 | |
Bank of Nova Scotia | | | 3,389 | | | | 243,059 | |
Citizens Financial Group, Inc. | | | 5,196 | | | | 235,535 | |
Signature Bank | | | 775 | | | | 227,455 | |
First Horizon Corp. | | | 8,808 | | | | 206,900 | |
Comerica, Inc. | | | 2,087 | | | | 188,727 | |
East West Bancorp, Inc. | | | 2,349 | | | | 185,618 | |
Webster Financial Corp. | | | 3,137 | | | | 176,048 | |
Zions Bancorp North America | | | 2,639 | | | | 173,013 | |
Western Alliance Bancorporation | | | 1,981 | | | | 164,066 | |
Synovus Financial Corp. | | | 3,050 | | | | 149,450 | |
Silvergate Capital Corp. — Class A* | | | 867 | | | | 130,544 | |
Atlantic Union Bankshares Corp. | | | 2,484 | | | | 91,138 | |
Total Banks | | | | | | | 12,025,215 | |
| | | | | | | | | |
Insurance - 21.6% |
Berkshire Hathaway, Inc. — Class B* | | | 4,653 | | | | 1,642,090 | |
Marsh & McLennan Companies, Inc. | | | 3,229 | | | | 550,286 | |
Aon plc — Class A | | | 1,511 | | | | 492,027 | |
Progressive Corp. | | | 4,310 | | | | 491,297 | |
Chubb Ltd. | | | 2,145 | | | | 458,816 | |
MetLife, Inc. | | | 6,276 | | | | 441,077 | |
Willis Towers Watson plc | | | 1,835 | | | | 433,464 | |
American International Group, Inc. | | | 6,668 | | | | 418,550 | |
Travelers Companies, Inc. | | | 2,126 | | | | 388,484 | |
Prudential Financial, Inc. | | | 3,254 | | | | 384,525 | |
Allstate Corp. | | | 2,716 | | | | 376,193 | |
Aflac, Inc. | | | 5,815 | | | | 374,428 | |
Arthur J Gallagher & Co. | | | 2,039 | | | | 356,009 | |
Hartford Financial Services Group, Inc. | | | 3,932 | | | | 282,357 | |
Cincinnati Financial Corp. | | | 2,024 | | | | 275,183 | |
Brown & Brown, Inc. | | | 3,724 | | | | 269,134 | |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
RenaissanceRe Holdings Ltd. | | | 1,695 | | | $ | 268,674 | |
Markel Corp.* | | | 177 | | | | 261,117 | |
Principal Financial Group, Inc. | | | 3,482 | | | | 255,614 | |
Loews Corp. | | | 3,597 | | | | 233,158 | |
Fidelity National Financial, Inc. | | | 4,329 | | | | 211,428 | |
American Financial Group, Inc. | | | 1,410 | | | | 205,324 | |
Equitable Holdings, Inc. | | | 6,305 | | | | 194,888 | |
Lincoln National Corp. | | | 2,866 | | | | 187,322 | |
Assurant, Inc. | | | 1,022 | | | | 185,830 | |
Globe Life, Inc. | | | 1,806 | | | | 181,684 | |
Old Republic International Corp. | | | 6,242 | | | | 161,481 | |
Reinsurance Group of America, Inc. — Class A | | | 1,453 | | | | 159,045 | |
Voya Financial, Inc. | | | 2,290 | | | | 151,942 | |
First American Financial Corp. | | | 2,310 | | | | 149,734 | |
Unum Group | | | 4,683 | | | | 147,561 | |
MGIC Investment Corp. | | | 8,523 | | | | 115,487 | |
Total Insurance | | | | | | | 10,704,209 | |
| | | | | | | | | |
Diversified Financial Services - 15.7% |
American Express Co. | | | 3,695 | | | | 690,965 | |
Charles Schwab Corp. | | | 8,144 | | | | 686,621 | |
BlackRock, Inc. — Class A | | | 824 | | | | 629,676 | |
CME Group, Inc. — Class A | | | 2,179 | | | | 518,297 | |
Intercontinental Exchange, Inc. | | | 3,753 | | | | 495,846 | |
Capital One Financial Corp. | | | 3,118 | | | | 409,362 | |
Coinbase Global, Inc. — Class A* | | | 1,956 | | | | 371,366 | |
Apollo Global Management, Inc. | | | 5,539 | | | | 343,363 | |
T. Rowe Price Group, Inc. | | | 2,242 | | | | 338,968 | |
Ameriprise Financial, Inc. | | | 1,090 | | | | 327,392 | |
Nasdaq, Inc. | | | 1,758 | | | | 313,276 | |
Discover Financial Services | | | 2,833 | | | | 312,168 | |
Synchrony Financial | | | 6,649 | | | | 231,452 | |
LPL Financial Holdings, Inc. | | | 1,197 | | | | 218,668 | |
Ally Financial, Inc. | | | 4,934 | | | | 214,530 | |
Franklin Resources, Inc. | | | 7,622 | | | | 212,806 | |
Cboe Global Markets, Inc. | | | 1,748 | | | | 200,006 | |
Invesco Ltd. | | | 8,295 | | | | 191,283 | |
SoFi Technologies, Inc.*,1 | | | 18,401 | | | | 173,889 | |
Upstart Holdings, Inc.*,1 | | | 1,545 | | | | 168,544 | |
Jefferies Financial Group, Inc. | | | 4,862 | | | | 159,717 | |
Stifel Financial Corp. | | | 2,228 | | | | 151,281 | |
OneMain Holdings, Inc. | | | 3,036 | | | | 143,937 | |
SLM Corp. | | | 6,992 | | | | 128,373 | |
Evercore, Inc. — Class A | | | 1,027 | | | | 114,326 | |
Total Diversified Financial Services | | | | | | | 7,746,112 | |
| | | | | | | | | |
Private Equity - 3.9% |
Blackstone, Inc. — Class A | | | 5,699 | | | | 723,431 | |
KKR & Company, Inc. — Class A | | | 7,050 | | | | 412,214 | |
Ares Management Corp. — Class A | | | 3,497 | | | | 284,061 | |
Brookfield Asset Management, Inc. — Class A | | | 4,484 | | | | 253,660 | |
Carlyle Group, Inc. | | | 4,973 | | | | 243,229 | |
Total Private Equity | | | | | | | 1,916,595 | |
| | | | | | | | | |
Commercial Services - 2.8% |
S&P Global, Inc. | | | 1,724 | | | | 707,150 | |
Moody’s Corp. | | | 1,380 | | | | 465,626 | |
MarketAxess Holdings, Inc. | | | 582 | | | | 197,996 | |
Total Commercial Services | | | | | | | 1,370,772 | |
| | | | | | | | | |
Software - 0.7% |
MSCI, Inc. — Class A | | | 727 | | | | 365,594 | |
| | | | | | | | | |
Savings & Loans - 0.6% |
People’s United Financial, Inc. | | | 8,033 | | | | 160,580 | |
New York Community Bancorp, Inc. | | | 11,568 | | | | 124,009 | |
Total Savings & Loans | | | | | | | 284,589 | |
| | | | | | | | | |
Media - 0.4% |
FactSet Research Systems, Inc. | | | 539 | | | | 234,007 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $40,091,817) | | | | | | | 48,910,226 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.0% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 334,619 | | | | 334,619 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 128,880 | | | | 128,880 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 33,509 | | | | 33,509 | |
Total Repurchase Agreements | | | | |
(Cost $497,008) | | | | | | | 497,008 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 177,610 | | | | 177,610 | |
Total Securities Lending Collateral | | | | |
(Cost $177,610) | | | | | | | 177,610 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $40,766,435) | | $ | 49,584,844 | |
Other Assets & Liabilities, net - (0.3)% | | | (166,297 | ) |
Total Net Assets - 100.0% | | $ | 49,418,547 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 48,910,226 | | | $ | — | | | $ | — | | | $ | 48,910,226 | |
Repurchase Agreements | | | — | | | | 497,008 | | | | — | | | | 497,008 | |
Securities Lending Collateral | | | 177,610 | | | | — | | | | — | | | | 177,610 | |
Total Assets | | $ | 49,087,836 | | | $ | 497,008 | | | $ | — | | | $ | 49,584,844 | |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $167,501 of securities loaned (cost $40,269,427) | | $ | 49,087,836 | |
Repurchase agreements, at value (cost $497,008) | | | 497,008 | |
Cash | | | 579 | |
Receivables: |
Dividends | | | 60,945 | |
Fund shares sold | | | 25,417 | |
Foreign tax reclaims | | | 299 | |
Securities lending income | | | 18 | |
Total assets | | | 49,672,102 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 177,610 | |
Management fees | | | 22,948 | |
Fund shares redeemed | | | 9,858 | |
Transfer agent and administrative fees | | | 7,262 | |
Portfolio accounting fees | | | 2,700 | |
Distribution and service fees | | | 2,640 | |
Trustees’ fees* | | | 444 | |
Miscellaneous | | | 30,093 | |
Total liabilities | | | 253,555 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 49,418,547 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 43,582,873 | |
Total distributable earnings (loss) | | | 5,835,674 | |
Net assets | | $ | 49,418,547 | |
| | | | | |
Investor Class: |
Net assets | | $ | 32,003,789 | |
Capital shares outstanding | | | 313,931 | |
Net asset value per share | | $ | 101.95 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,276,038 | |
Capital shares outstanding | | | 34,653 | |
Net asset value per share | | $ | 94.54 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 99.25 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,215,889 | |
Capital shares outstanding | | | 14,986 | |
Net asset value per share | | $ | 81.13 | |
| | | | | |
H-Class: |
Net assets | | $ | 12,922,831 | |
Capital shares outstanding | | | 141,040 | |
Net asset value per share | | $ | 91.63 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $3,048) | | $ | 835,553 | |
Interest | | | 105 | |
Income from securities lending, net | | | 1,002 | |
Total investment income | | | 836,660 | |
| | | | | |
Expenses: |
Management fees | | | 357,176 | |
Distribution and service fees: |
A-Class | | | 9,294 | |
C-Class | | | 12,049 | |
H-Class | | | 7,116 | |
Transfer agent and administrative fees | | | 116,275 | |
Portfolio accounting fees | | | 42,020 | |
Professional fees | | | 17,766 | |
Custodian fees | | | 5,602 | |
Trustees’ fees* | | | 4,382 | |
Line of credit fees | | | 12 | |
Miscellaneous | | | 26,913 | |
Total expenses | | | 598,605 | |
Net investment income | | | 238,055 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,954,354 | |
Net realized gain | | | 1,954,354 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,680,516 | |
Net change in unrealized appreciation (depreciation) | | | 1,680,516 | |
Net realized and unrealized gain | | | 3,634,870 | |
Net increase in net assets resulting from operations | | $ | 3,872,925 | |
* | 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 ANNUAL REPORT | 71 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 238,055 | | | $ | 169,939 | |
Net realized gain on investments | | | 1,954,354 | | | | 19,848 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,680,516 | | | | 6,560,465 | |
Net increase in net assets resulting from operations | | | 3,872,925 | | | | 6,750,252 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (389,940 | ) | | | — | |
A-Class | | | (31,773 | ) | | | — | |
C-Class | | | (13,689 | ) | | | — | |
H-Class | | | (5,359 | ) | | | — | |
Total distributions to shareholders | | | (440,761 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 160,477,130 | | | | 62,886,989 | |
A-Class | | | 2,553,393 | | | | 1,669,156 | |
C-Class | | | 1,448,795 | | | | 1,791,284 | |
H-Class | | | 31,611,881 | | | | 3,147,059 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 386,572 | | | | — | |
A-Class | | | 31,719 | | | | — | |
C-Class | | | 13,339 | | | | — | |
H-Class | | | 5,286 | | | | — | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (164,261,323 | ) | | | (36,775,287 | ) |
A-Class | | | (2,592,746 | ) | | | (7,580,564 | ) |
C-Class | | | (1,418,493 | ) | | | (1,699,737 | ) |
H-Class | | | (21,662,739 | ) | | | (757,798 | ) |
Net increase from capital share transactions | | | 6,592,814 | | | | 22,681,102 | |
Net increase in net assets | | | 10,024,978 | | | | 29,431,354 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 39,393,569 | | | | 9,962,215 | |
End of year | | $ | 49,418,547 | | | $ | 39,393,569 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 1,575,301 | | | | 841,230 | |
A-Class | | | 28,036 | | | | 27,662 | |
C-Class | | | 18,147 | | | | 30,564 | |
H-Class | | | 340,539 | | | | 40,856 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 3,696 | | | | — | |
A-Class | | | 327 | | | | — | |
C-Class | | | 160 | | | | — | |
H-Class | | | 56 | | | | — | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,628,946 | ) | | | (531,516 | ) |
A-Class | | | (27,345 | ) | | | (106,444 | ) |
C-Class | | | (17,792 | ) | | | (30,403 | ) |
H-Class | | | (240,129 | ) | | | (12,616 | ) |
Net increase in shares | | | 52,050 | | | | 259,333 | |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 88.84 | | | $ | 54.80 | | | $ | 68.68 | | | $ | 72.17 | | | $ | 65.14 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .64 | | | | .88 | | | | .83 | | | | .53 | | | | .61 | |
Net gain (loss) on investments (realized and unrealized) | | | 13.35 | | | | 33.16 | | | | (14.39 | ) | | | (.86 | )d | | | 6.79 | |
Total from investment operations | | | 13.99 | | | | 34.04 | | | | (13.56 | ) | | | (.33 | ) | | | 7.40 | |
Less distributions from: |
Net investment income | | | (.34 | ) | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) |
Net realized gains | | | (.54 | ) | | | — | | | | — | | | | (2.27 | ) | | | — | |
Total distributions | | | (.88 | ) | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 101.95 | | | $ | 88.84 | | | $ | 54.80 | | | $ | 68.68 | | | $ | 72.17 | |
|
Total Return | | | 15.72 | % | | | 62.12 | % | | | (19.88 | %) | | | (0.14 | %) | | | 11.37 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,004 | | | $ | 32,328 | | | $ | 2,968 | | | $ | 4,978 | | | $ | 25,183 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.63 | % | | | 1.19 | % | | | 1.12 | % | | | 0.74 | % | | | 0.89 | % |
Total expenses | | | 1.36 | % | | | 1.41 | % | | | 1.48 | % | | | 1.45 | % | | | 1.38 | % |
Portfolio turnover rate | | | 406 | % | | | 246 | % | | | 249 | % | | | 410 | % | | | 347 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 82.65 | | | $ | 51.10 | | | $ | 64.22 | | | $ | 67.88 | | | $ | 61.44 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .36 | | | | .55 | | | | .54 | | | | .37 | | | | .53 | |
Net gain (loss) on investments (realized and unrealized) | | | 12.41 | | | | 31.00 | | | | (13.34 | ) | | | (.87 | )d | | | 6.28 | |
Total from investment operations | | | 12.77 | | | | 31.55 | | | | (12.80 | ) | | | (.50 | ) | | | 6.81 | |
Less distributions from: |
Net investment income | | | (.34 | ) | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) |
Net realized gains | | | (.54 | ) | | | — | | | | — | | | | (2.27 | ) | | | — | |
Total distributions | | | (.88 | ) | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 94.54 | | | $ | 82.65 | | | $ | 51.10 | | | $ | 64.22 | | | $ | 67.88 | |
|
Total Returnb | | | 15.42 | % | | | 61.74 | % | | | (20.07 | %) | | | (0.41 | %) | | | 11.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,276 | | | $ | 2,780 | | | $ | 5,745 | | | $ | 7,602 | | | $ | 8,293 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.39 | % | | | 0.86 | % | | | 0.78 | % | | | 0.55 | % | | | 0.81 | % |
Total expenses | | | 1.61 | % | | | 1.70 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 406 | % | | | 246 | % | | | 249 | % | | | 410 | % | | | 347 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.57 | | | $ | 44.59 | | | $ | 56.49 | | | $ | 60.56 | | | $ | 55.26 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.28 | ) | | | (.03 | ) | | | .01 | | | | (.16 | ) | | | — | c |
Net gain (loss) on investments (realized and unrealized) | | | 10.72 | | | | 27.01 | | | | (11.59 | ) | | | (.75 | )d | | | 5.67 | |
Total from investment operations | | | 10.44 | | | | 26.98 | | | | (11.58 | ) | | | (.91 | ) | | | 5.67 | |
Less distributions from: |
Net investment income | | | (.34 | ) | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) |
Net realized gains | | | (.54 | ) | | | — | | | | — | | | | (2.27 | ) | | | — | |
Total distributions | | | (.88 | ) | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 81.13 | | | $ | 71.57 | | | $ | 44.59 | | | $ | 56.49 | | | $ | 60.56 | |
|
Total Returnb | | | 14.55 | % | | | 60.51 | % | | | (20.66 | %) | | | (1.15 | %) | | | 10.27 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,216 | | | $ | 1,036 | | | $ | 638 | | | $ | 985 | | | $ | 2,218 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.35 | %) | | | (0.06 | %) | | | 0.02 | % | | | (0.27 | %) | | | — | e |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 406 | % | | | 246 | % | | | 249 | % | | | 410 | % | | | 347 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 80.10 | | | $ | 49.53 | | | $ | 62.26 | | | $ | 65.93 | | | $ | 59.67 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .41 | | | | .68 | | | | .54 | | | | .03 | | | | .46 | |
Net gain (loss) on investments (realized and unrealized) | | | 12.00 | | | | 29.89 | | | | (12.95 | ) | | | (.54 | )d | | | 6.17 | |
Total from investment operations | | | 12.41 | | | | 30.57 | | | | (12.41 | ) | | | (.51 | ) | | | 6.63 | |
Less distributions from: |
Net investment income | | | (.34 | ) | | | — | | | | (.32 | ) | | | (.89 | ) | | | (.37 | ) |
Net realized gains | | | (.54 | ) | | | — | | | | — | | | | (2.27 | ) | | | — | |
Total distributions | | | (.88 | ) | | | — | | | | (.32 | ) | | | (3.16 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 91.63 | | | $ | 80.10 | | | $ | 49.53 | | | $ | 62.26 | | | $ | 65.93 | |
|
Total Return | | | 15.47 | % | | | 61.72 | % | | | (20.08 | %) | | | (0.42 | %) | | | 11.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,923 | | | $ | 3,250 | | | $ | 611 | | | $ | 1,606 | | | $ | 3,014 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.45 | % | | | 1.07 | % | | | 0.81 | % | | | 0.05 | % | | | 0.72 | % |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.72 | % | | | 1.73 | % | | | 1.63 | % |
Portfolio turnover rate | | | 406 | % | | | 246 | % | | | 249 | % | | | 410 | % | | | 347 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Less than $0.01 per share. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net gain on investments for the year because of the sales and purchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
e | Less than 0.01% or (0.01%). |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
For the one-year period ended March 31, 2022, Health Care Fund Investor Class returned 9.40%, compared with 19.10% for the S&P 500 Health Care Index. The broader S&P 500 Index returned 15.65%.
The industries contributing the most to return were pharmaceuticals, health care equipment, and managed health care. The industries contributing the least were health care technology and health care supplies.
AbbVie, Inc., Eli Lilly & Co., and UnitedHealth Group, Inc., contributed the most to the Fund’s return for the period. Teladoc Health, Inc., Invitae Corp., and 10X Genomics, Inc. - Class A detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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) |
UnitedHealth Group, Inc. | 3.3% |
Johnson & Johnson | 3.3% |
AbbVie, Inc. | 2.6% |
Eli Lilly & Co. | 2.5% |
Pfizer, Inc. | 2.5% |
Thermo Fisher Scientific, Inc. | 2.3% |
Merck & Company, Inc. | 2.2% |
Danaher Corp. | 2.2% |
Abbott Laboratories | 2.1% |
Medtronic plc | 2.0% |
Top Ten Total | 25.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 9.40% | 13.30% | 13.61% |
A-Class Shares | 9.14% | 13.01% | 13.32% |
A-Class Shares with sales charge‡ | 3.97% | 11.92% | 12.77% |
C-Class Shares | 8.34% | 12.18% | 12.49% |
C-Class Shares with CDSC§ | 7.34% | 12.18% | 12.49% |
H-Class Shares** | 9.14% | 13.02% | 13.24% |
S&P 500 Health Care Index | 19.10% | 15.10% | 15.87% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 20, 215, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
76 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Healthcare-Products - 31.4% |
Thermo Fisher Scientific, Inc. | | | 1,726 | | | $ | 1,019,462 | |
Danaher Corp. | | | 3,311 | | | | 971,216 | |
Abbott Laboratories | | | 7,960 | | | | 942,146 | |
Medtronic plc | | | 7,759 | | | | 860,861 | |
Intuitive Surgical, Inc.* | | | 2,343 | | | | 706,836 | |
Stryker Corp. | | | 2,471 | | | | 660,622 | |
Edwards Lifesciences Corp.* | | | 4,896 | | | | 576,357 | |
Boston Scientific Corp.* | | | 11,756 | | | | 520,673 | |
IDEXX Laboratories, Inc.* | | | 826 | | | | 451,872 | |
Baxter International, Inc. | | | 5,258 | | | | 407,705 | |
Align Technology, Inc.* | | | 874 | | | | 381,064 | |
ResMed, Inc. | | | 1,547 | | | | 375,163 | |
West Pharmaceutical Services, Inc. | | | 891 | | | | 365,943 | |
Zimmer Biomet Holdings, Inc. | | | 2,706 | | | | 346,097 | |
STERIS plc | | | 1,372 | | | | 331,708 | |
PerkinElmer, Inc. | | | 1,730 | | | | 301,816 | |
Cooper Companies, Inc. | | | 711 | | | | 296,906 | |
Hologic, Inc.* | | | 3,856 | | | | 296,218 | |
Avantor, Inc.* | | | 8,684 | | | | 293,693 | |
Waters Corp.* | | | 887 | | | | 275,316 | |
Teleflex, Inc. | | | 767 | | | | 272,155 | |
Bio-Techne Corp. | | | 622 | | | | 269,351 | |
ABIOMED, Inc.* | | | 813 | | | | 269,298 | |
Insulet Corp.* | | | 970 | | | | 258,398 | |
Exact Sciences Corp.* | | | 3,404 | | | | 238,008 | |
Henry Schein, Inc.* | | | 2,634 | | | | 229,658 | |
Dentsply Sirona, Inc. | | | 4,376 | | | | 215,387 | |
Repligen Corp.* | | | 1,134 | | | | 213,294 | |
10X Genomics, Inc. — Class A* | | | 2,625 | | | | 199,684 | |
Bruker Corp. | | | 3,068 | | | | 197,272 | |
Envista Holdings Corp.* | | | 3,741 | | | | 182,224 | |
Inspire Medical Systems, Inc.* | | | 703 | | | | 180,453 | |
Tandem Diabetes Care, Inc.* | | | 1,547 | | | | 179,901 | |
Masimo Corp.* | | | 1,227 | | | | 178,578 | |
Quidel Corp.* | | | 1,279 | | | | 143,836 | |
Natera, Inc.* | | | 3,209 | | | | 130,542 | |
Nevro Corp.* | | | 1,487 | | | | 107,555 | |
Total Healthcare-Products | | | | | | | 13,847,268 | |
| | | | | | | | | |
Pharmaceuticals - 30.6% |
Johnson & Johnson | | | 8,147 | | | | 1,443,893 | |
AbbVie, Inc. | | | 7,030 | | | | 1,139,633 | |
Eli Lilly & Co. | | | 3,869 | | | | 1,107,966 | |
Pfizer, Inc. | | | 21,389 | | | | 1,107,309 | |
Merck & Company, Inc. | | | 11,922 | | | | 978,200 | |
Bristol-Myers Squibb Co. | | | 11,692 | | | | 853,867 | |
CVS Health Corp. | | | 7,307 | | | | 739,541 | |
Zoetis, Inc. | | | 3,251 | | | | 613,106 | |
Becton Dickinson and Co. | | | 2,173 | | | | 578,018 | |
Cigna Corp. | | | 2,407 | | | | 576,741 | |
Dexcom, Inc.* | | | 959 | | | | 490,624 | |
McKesson Corp. | | | 1,496 | | | | 457,970 | |
AstraZeneca plc ADR | | | 6,064 | | | | 402,286 | |
AmerisourceBergen Corp. — Class A | | | 2,471 | | | | 382,288 | |
GlaxoSmithKline plc ADR | | | 7,495 | | | | 326,482 | |
Novartis AG ADR | | | 3,651 | | | | 320,375 | |
Perrigo Company plc | | | 7,064 | | | | 271,469 | |
Cardinal Health, Inc. | | | 4,751 | | | | 269,382 | |
Jazz Pharmaceuticals plc* | | | 1,713 | | | | 266,663 | |
Viatris, Inc. | | | 22,067 | | | | 240,089 | |
Elanco Animal Health, Inc.* | | | 8,684 | | | | 226,566 | |
Neurocrine Biosciences, Inc.* | | | 2,109 | | | | 197,719 | |
Bausch Health Companies, Inc.* | | | 8,053 | | | | 184,011 | |
Sarepta Therapeutics, Inc.* | | | 2,224 | | | | 173,739 | |
Intellia Therapeutics, Inc.* | | | 2,092 | | | | 152,026 | |
Total Pharmaceuticals | | | | | | | 13,499,963 | |
| | | | | | | | | |
Healthcare-Services - 17.0% |
UnitedHealth Group, Inc. | | | 2,872 | | | | 1,464,634 | |
Anthem, Inc. | | | 1,491 | | | | 732,409 | |
HCA Healthcare, Inc. | | | 2,228 | | | | 558,381 | |
Humana, Inc. | | | 1,112 | | | | 483,909 | |
Centene Corp.* | | | 5,373 | | | | 452,353 | |
IQVIA Holdings, Inc.* | | | 1,922 | | | | 444,386 | |
Laboratory Corporation of America Holdings* | | | 1,215 | | | | 320,347 | |
ICON plc* | | | 1,270 | | | | 308,889 | |
Catalent, Inc.* | | | 2,672 | | | | 296,325 | |
Molina Healthcare, Inc.* | | | 878 | | | | 292,892 | |
Quest Diagnostics, Inc. | | | 1,896 | | | | 259,487 | |
Charles River Laboratories International, Inc.* | | | 882 | | | | 250,462 | |
Teladoc Health, Inc.*,1 | | | 3,217 | | | | 232,042 | |
DaVita, Inc.* | | | 1,917 | | | | 216,832 | |
Universal Health Services, Inc. — Class B | | | 1,474 | | | | 213,656 | |
Tenet Healthcare Corp.* | | | 2,309 | | | | 198,482 | |
Syneos Health, Inc.* | | | 2,347 | | | | 189,990 | |
Oak Street Health, Inc.*,1 | | | 6,800 | | | | 182,784 | |
Encompass Health Corp. | | | 2,484 | | | | 176,637 | |
Amedisys, Inc.* | | | 938 | | | | 161,608 | |
Invitae Corp.* | | | 10,716 | | | | 85,406 | |
Total Healthcare-Services | | | | | | | 7,521,911 | |
| | | | | | | | | |
Biotechnology - 16.5% |
Amgen, Inc. | | | 3,238 | | | | 783,013 | |
Gilead Sciences, Inc. | | | 9,745 | | | | 579,340 | |
Regeneron Pharmaceuticals, Inc.* | | | 826 | | | | 576,895 | |
Vertex Pharmaceuticals, Inc.* | | | 2,109 | | | | 550,386 | |
Moderna, Inc.* | | | 3,013 | | | | 519,019 | |
Illumina, Inc.* | | | 1,419 | | | | 495,799 | |
BioNTech SE ADR* | | | 2,356 | | | | 401,839 | |
Biogen, Inc.* | | | 1,747 | | | | 367,918 | |
Seagen, Inc.* | | | 2,343 | | | | 337,509 | |
Horizon Therapeutics plc* | | | 3,077 | | | | 323,731 | |
Royalty Pharma plc — Class A | | | 8,164 | | | | 318,069 | |
Alnylam Pharmaceuticals, Inc.* | | | 1,781 | | | | 290,820 | |
Incyte Corp.* | | | 3,566 | | | | 283,212 | |
BioMarin Pharmaceutical, Inc.* | | | 3,106 | | | | 239,473 | |
United Therapeutics Corp.* | | | 1,027 | | | | 184,254 | |
Biohaven Pharmaceutical Holding Company Ltd.* | | | 1,551 | | | | 183,902 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
Guardant Health, Inc.* | | | 2,766 | | | $ | 183,220 | |
Novavax, Inc.*,1 | | | 2,024 | | | | 149,068 | |
Apellis Pharmaceuticals, Inc.* | | | 2,889 | | | | 146,790 | |
Mirati Therapeutics, Inc.* | | | 1,687 | | | | 138,705 | |
Fate Therapeutics, Inc.* | | | 3,370 | | | | 130,655 | |
Cassava Sciences, Inc.*,1 | | | 2,096 | | | | 77,845 | |
Total Biotechnology | | | | | | | 7,261,462 | |
| | | | | | | | | |
Software - 2.1% |
Veeva Systems, Inc. — Class A* | | | 1,849 | | | | 392,838 | |
Cerner Corp. | | | 3,698 | | | | 345,985 | |
Doximity, Inc. — Class A* | | | 4,077 | | | | 212,371 | |
Total Software | | | | | | | 951,194 | |
| | | | | | | | | |
Electronics - 1.7% |
Agilent Technologies, Inc. | | | 3,060 | | | | 404,930 | |
Mettler-Toledo International, Inc.* | | | 264 | | | | 362,522 | |
Total Electronics | | | | | | | 767,452 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $31,432,889) | | | | | | | 43,849,250 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 195,120 | | | $ | 195,120 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 75,152 | | | | 75,152 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 19,539 | | | | 19,539 | |
Total Repurchase Agreements | | | | |
(Cost $289,811) | | | | | | | 289,811 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.6% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 245,935 | | | | 245,935 | |
Total Securities Lending Collateral | | | | |
(Cost $245,935) | | | | | | | 245,935 | |
| | | | | | | | | |
Total Investments - 100.6% | | | | |
(Cost $31,968,635) | | $ | 44,384,996 | |
Other Assets & Liabilities, net - (0.6)% | | | (261,582 | ) |
Total Net Assets - 100.0% | | $ | 44,123,414 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 43,849,250 | | | $ | — | | | $ | — | | | $ | 43,849,250 | |
Repurchase Agreements | | | — | | | | 289,811 | | | | — | | | | 289,811 | |
Securities Lending Collateral | | | 245,935 | | | | — | | | | — | | | | 245,935 | |
Total Assets | | $ | 44,095,185 | | | $ | 289,811 | | | $ | — | | | $ | 44,384,996 | |
78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $236,943 of securities loaned (cost $31,678,824) | | $ | 44,095,185 | |
Repurchase agreements, at value (cost $289,811) | | | 289,811 | |
Receivables: |
Fund shares sold | | | 31,195 | |
Dividends | | | 30,203 | |
Foreign tax reclaims | | | 5,706 | |
Securities lending income | | | 668 | |
Total assets | | | 44,452,768 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 245,935 | |
Management fees | | | 24,850 | |
Fund shares redeemed | | | 12,196 | |
Transfer agent and administrative fees | | | 7,864 | |
Distribution and service fees | | | 4,147 | |
Portfolio accounting fees | | | 2,923 | |
Trustees’ fees* | | | 456 | |
Miscellaneous | | | 30,983 | |
Total liabilities | | | 329,354 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 44,123,414 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 34,690,448 | |
Total distributable earnings (loss) | | | 9,432,966 | |
Net assets | | $ | 44,123,414 | |
| | | | | |
Investor Class: |
Net assets | | $ | 25,477,537 | |
Capital shares outstanding | | | 613,161 | |
Net asset value per share | | $ | 41.55 | |
| | | | | |
A-Class: |
Net assets | | $ | 5,650,126 | |
Capital shares outstanding | | | 153,503 | |
Net asset value per share | | $ | 36.81 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 38.65 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,698,730 | |
Capital shares outstanding | | | 89,980 | |
Net asset value per share | | $ | 29.99 | |
| | | | | |
H-Class: |
Net assets | | $ | 10,297,021 | |
Capital shares outstanding | | | 292,064 | |
Net asset value per share | | $ | 35.26 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $16,922) | | $ | 482,322 | |
Interest | | | 112 | |
Income from securities lending, net | | | 3,251 | |
Total investment income | | | 485,685 | |
| | | | | |
Expenses: |
Management fees | | | 383,277 | |
Distribution and service fees: |
A-Class | | | 15,165 | |
C-Class | | | 31,426 | |
H-Class | | | 6,780 | |
Transfer agent and administrative fees | | | 124,862 | |
Portfolio accounting fees | | | 45,091 | |
Professional fees | | | 10,835 | |
Custodian fees | | | 6,013 | |
Trustees’ fees* | | | 5,008 | |
Line of credit fees | | | 39 | |
Miscellaneous | | | 35,810 | |
Total expenses | | | 664,306 | |
Net investment loss | | | (178,621 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,658,607 | |
Net realized gain | | | 1,658,607 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,963,044 | |
Net change in unrealized appreciation (depreciation) | | | 1,963,044 | |
Net realized and unrealized gain | | | 3,621,651 | |
Net increase in net assets resulting from operations | | $ | 3,443,030 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (178,621 | ) | | $ | (282,261 | ) |
Net realized gain on investments | | | 1,658,607 | | | | 15,084,375 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,963,044 | | | | 7,068,877 | |
Net increase in net assets resulting from operations | | | 3,443,030 | | | | 21,870,991 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (1,915,427 | ) | | | (2,418,155 | ) |
A-Class | | | (231,621 | ) | | | (491,504 | ) |
C-Class | | | (134,836 | ) | | | (364,380 | ) |
H-Class | | | (67,981 | ) | | | (176,167 | ) |
Total distributions to shareholders | | | (2,349,865 | ) | | | (3,450,206 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 100,610,633 | | | | 115,717,597 | |
A-Class | | | 1,324,336 | | | | 1,911,924 | |
C-Class | | | 1,488,382 | | | | 2,607,889 | |
H-Class | | | 25,350,018 | | | | 23,504,676 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 1,897,246 | | | | 2,326,814 | |
A-Class | | | 228,894 | | | | 479,893 | |
C-Class | | | 132,840 | | | | 360,081 | |
H-Class | | | 67,915 | | | | 175,978 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (98,580,907 | ) | | | (122,447,090 | ) |
A-Class | | | (1,755,296 | ) | | | (1,528,377 | ) |
C-Class | | | (2,206,368 | ) | | | (3,342,165 | ) |
H-Class | | | (16,839,371 | ) | | | (26,736,481 | ) |
Net increase (decrease) from capital share transactions | | | 11,718,322 | | | | (6,969,261 | ) |
Net increase in net assets | | | 12,811,487 | | | | 11,451,524 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 31,311,927 | | | | 19,860,403 | |
End of year | | $ | 44,123,414 | | | $ | 31,311,927 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,332,052 | | | | 3,315,058 | |
A-Class | | | 34,856 | | | | 58,179 | |
C-Class | | | 47,899 | | | | 93,160 | |
H-Class | | | 693,002 | | | | 859,426 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 44,640 | | | | 61,589 | |
A-Class | | | 6,075 | | | | 14,232 | |
C-Class | | | 4,315 | | | | 12,878 | |
H-Class | | | 1,882 | | | | 5,440 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (2,294,346 | ) | | | (3,255,748 | ) |
A-Class | | | (46,738 | ) | | | (45,053 | ) |
C-Class | | | (70,909 | ) | | | (119,131 | ) |
H-Class | | | (455,241 | ) | | | (851,233 | ) |
Net increase in shares | | | 297,487 | | | | 148,797 | |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.24 | | | $ | 30.27 | | | $ | 32.03 | | | $ | 28.88 | | | $ | 27.82 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.12 | ) | | | (.15 | ) | | | (.06 | ) | | | (.13 | ) | | | (.13 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.84 | | | | 12.50 | | | | (1.70 | ) | | | 3.78 | | | | 3.82 | |
Total from investment operations | | | 3.72 | | | | 12.35 | | | | (1.76 | ) | | | 3.65 | | | | 3.69 | |
Less distributions from: |
Net realized gains | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Total distributions | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Net asset value, end of period | | $ | 41.55 | | | $ | 39.24 | | | $ | 30.27 | | | $ | 32.03 | | | $ | 28.88 | |
|
Total Return | | | 9.40 | % | | | 41.24 | % | | | (5.49 | %) | | | 12.75 | % | | | 13.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 25,478 | | | $ | 20,831 | | | $ | 12,408 | | | $ | 64,185 | | | $ | 67,542 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.29 | %) | | | (0.41 | %) | | | (0.19 | %) | | | (0.42 | %) | | | (0.43 | %) |
Total expenses | | | 1.35 | % | | | 1.46 | % | | | 1.47 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 238 | % | | | 256 | % | | | 248 | % | | | 341 | % | | | 394 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.99 | | | $ | 27.33 | | | $ | 29.00 | | | $ | 26.26 | | | $ | 25.56 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.19 | ) | | | (.21 | ) | | | (.12 | ) | | | (.19 | ) | | | (.19 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.42 | | | | 11.25 | | | | (1.55 | ) | | | 3.43 | | | | 3.52 | |
Total from investment operations | | | 3.23 | | | | 11.04 | | | | (1.67 | ) | | | 3.24 | | | | 3.33 | |
Less distributions from: |
Net realized gains | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Total distributions | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Net asset value, end of period | | $ | 36.81 | | | $ | 34.99 | | | $ | 27.33 | | | $ | 29.00 | | | $ | 26.26 | |
|
Total Returnb | | | 9.14 | % | | | 40.87 | % | | | (5.76 | %) | | | 12.46 | % | | | 13.14 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,650 | | | $ | 5,575 | | | $ | 3,606 | | | $ | 4,865 | | | $ | 3,102 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.50 | %) | | | (0.63 | %) | | | (0.43 | %) | | | (0.68 | %) | | | (0.69 | %) |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 238 | % | | | 256 | % | | | 248 | % | | | 341 | % | | | 394 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.95 | | | $ | 23.21 | | | $ | 24.81 | | | $ | 22.69 | | | $ | 22.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.39 | ) | | | (.40 | ) | | | (.30 | ) | | | (.35 | ) | | | (.34 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.84 | | | | 9.52 | | | | (1.30 | ) | | | 2.97 | | | | 3.08 | |
Total from investment operations | | | 2.45 | | | | 9.12 | | | | (1.60 | ) | | | 2.62 | | | | 2.74 | |
Less distributions from: |
Net realized gains | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Total distributions | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Net asset value, end of period | | $ | 29.99 | | | $ | 28.95 | | | $ | 23.21 | | | $ | 24.81 | | | $ | 22.69 | |
|
Total Returnb | | | 8.34 | % | | | 39.82 | % | | | (6.45 | %) | | | 11.68 | % | | | 12.24 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,699 | | | $ | 3,147 | | | $ | 2,826 | | | $ | 4,340 | | | $ | 4,940 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.26 | %) | | | (1.39 | %) | | | (1.20 | %) | | | (1.42 | %) | | | (1.42 | %) |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 238 | % | | | 256 | % | | | 248 | % | | | 341 | % | | | 394 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 33.57 | | | $ | 26.31 | | | $ | 27.91 | | | $ | 25.29 | | | $ | 24.72 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.17 | ) | | | (.21 | ) | | | (.13 | ) | | | (.18 | ) | | | (.21 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.27 | | | | 10.85 | | | | (1.47 | ) | | | 3.30 | | | | 3.41 | |
Total from investment operations | | | 3.10 | | | | 10.64 | | | | (1.60 | ) | | | 3.12 | | | | 3.20 | |
Less distributions from: |
Net realized gains | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Total distributions | | | (1.41 | ) | | | (3.38 | ) | | | — | | | | (.50 | ) | | | (2.63 | ) |
Net asset value, end of period | | $ | 35.26 | | | $ | 33.57 | | | $ | 26.31 | | | $ | 27.91 | | | $ | 25.29 | |
|
Total Return | | | 9.14 | % | | | 40.93 | % | | | (5.73 | %) | | | 12.46 | % | | | 13.06 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,297 | | | $ | 1,760 | | | $ | 1,021 | | | $ | 7,871 | | | $ | 5,225 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.46 | %) | | | (0.68 | %) | | | (0.45 | %) | | | (0.66 | %) | | | (0.77 | %) |
Total expenses | | | 1.61 | % | | | 1.76 | % | | | 1.72 | % | | | 1.73 | % | | | 1.64 | % |
Portfolio turnover rate | | | 238 | % | | | 256 | % | | | 248 | % | | | 341 | % | | | 394 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
For the one-year period ended March 31, 2022, Internet Fund Investor Class returned -23.48%, compared with 20.90% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 15.65%.
Communications equipment and hotels, resorts & cruise lines contributed the most to return for the period. Internet & direct marketing retail, interactive media & services, and application software detracted the most from return.
Alphabet, Inc. - Class A, Arista Networks, Inc., and Amazon.com, Inc. contributed the most to the Fund’s return for the period. Alibaba Group Holding Ltd. ADR, Meta Platforms, Inc. - Class A, and PayPal Holdings, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | April 6, 2000 |
A-Class | September 1, 2004 |
C-Class | April 19, 2001 |
H-Class | April 6, 2000 |
Ten Largest Holdings (% of Total Net Assets) |
Alphabet, Inc. — Class A | 7.9% |
Amazon.com, Inc. | 7.6% |
Meta Platforms, Inc. — Class A | 4.6% |
Cisco Systems, Inc. | 2.8% |
Adobe, Inc. | 2.7% |
salesforce.com, Inc. | 2.7% |
Netflix, Inc. | 2.4% |
PayPal Holdings, Inc. | 2.1% |
Airbnb, Inc. — Class A | 2.0% |
Booking Holdings, Inc. | 1.8% |
Top Ten Total | 36.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 83 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (23.48%) | 13.32% | 13.80% |
A-Class Shares | (23.67%) | 13.04% | 13.52% |
A-Class Shares with sales charge‡ | (27.30%) | 11.94% | 12.97% |
C-Class Shares | (24.24%) | 12.20% | 12.67% |
C-Class Shares with CDSC§ | (24.78%) | 12.20% | 12.67% |
H-Class Shares** | (23.67%) | 13.04% | 13.42% |
S&P 500 Information Technology Index | 20.90% | 26.81% | 20.57% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
84 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INTERNET FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.1% |
| | | | | | | | | |
Internet - 56.1% |
Alphabet, Inc. — Class A* | | | 422 | | | $ | 1,173,730 | |
Amazon.com, Inc.* | | | 345 | | | | 1,124,683 | |
Meta Platforms, Inc. — Class A* | | | 3,061 | | | | 680,644 | |
Netflix, Inc.* | | | 942 | | | | 352,864 | |
Airbnb, Inc. — Class A* | | | 1,683 | | | | 289,072 | |
Booking Holdings, Inc.* | | | 115 | | | | 270,072 | |
Alibaba Group Holding Ltd. ADR* | | | 2,164 | | | | 235,443 | |
Uber Technologies, Inc.* | | | 6,380 | | | | 227,638 | |
Snap, Inc. — Class A* | | | 5,803 | | | | 208,850 | |
DoorDash, Inc. — Class A* | | | 1,588 | | | | 186,098 | |
Sea Ltd. ADR* | | | 1,441 | | | | 172,617 | |
eBay, Inc. | | | 2,802 | | | | 160,443 | |
Match Group, Inc.* | | | 1,475 | | | | 160,392 | |
Twitter, Inc.* | | | 4,019 | | | | 155,495 | |
Shopify, Inc. — Class A* | | | 224 | | | | 151,415 | |
Expedia Group, Inc.* | | | 764 | | | | 149,492 | |
MercadoLibre, Inc.* | | | 120 | | | | 142,738 | |
VeriSign, Inc.* | | | 626 | | | | 139,260 | |
Okta, Inc.* | | | 845 | | | | 127,561 | |
JD.com, Inc. ADR* | | | 2,120 | | | | 122,684 | |
Baidu, Inc. ADR* | | | 876 | | | | 115,895 | |
Roku, Inc.* | | | 881 | | | | 110,363 | |
Spotify Technology S.A.* | | | 707 | | | | 106,771 | |
Pinterest, Inc. — Class A* | | | 4,337 | | | | 106,734 | |
Chewy, Inc. — Class A*,1 | | | 2,610 | | | | 106,436 | |
GoDaddy, Inc. — Class A* | | | 1,263 | | | | 105,713 | |
Etsy, Inc.* | | | 811 | | | | 100,791 | |
F5, Inc.* | | | 475 | | | | 99,251 | |
Anaplan, Inc.* | | | 1,517 | | | | 98,681 | |
Lyft, Inc. — Class A* | | | 2,541 | | | | 97,574 | |
Pinduoduo, Inc. ADR* | | | 2,402 | | | | 96,344 | |
Zillow Group, Inc. — Class C* | | | 1,843 | | | | 90,841 | |
Zillow Group, Inc. — Class A* | �� | | 1,880 | | | | 90,672 | |
Wayfair, Inc. — Class A* | | | 786 | | | | 87,073 | |
IAC* | | | 804 | | | | 80,625 | |
Wix.com Ltd.* | | | 762 | | | | 79,599 | |
Farfetch Ltd. — Class A* | | | 4,925 | | | | 74,466 | |
Coupang, Inc.* | | | 4,099 | | | | 72,470 | |
Trip.com Group Ltd. ADR* | | | 3,066 | | | | 70,886 | |
Bumble, Inc. — Class A* | | | 2,204 | | | | 63,872 | |
Revolve Group, Inc.* | | | 1,039 | | | | 55,784 | |
TripAdvisor, Inc.* | | | 1,956 | | | | 53,047 | |
Vimeo, Inc.* | | | 3,101 | | | | 36,840 | |
Overstock.com, Inc.* | | | 786 | | | | 34,588 | |
Stitch Fix, Inc. — Class A* | | | 2,574 | | | | 25,920 | |
Total Internet | | | | | | | 8,292,427 | |
| | | | | | | | | |
Software - 29.7% |
Adobe, Inc.* | | | 870 | | | | 396,389 | |
salesforce.com, Inc.* | | | 1,847 | | | | 392,155 | |
Snowflake, Inc. — Class A* | | | 996 | | | | 228,213 | |
Activision Blizzard, Inc. | | | 2,712 | | | | 217,258 | |
Workday, Inc. — Class A* | | | 897 | | | | 214,796 | |
Datadog, Inc. — Class A* | | | 1,270 | | | | 192,367 | |
Cloudflare, Inc. — Class A* | | | 1,512 | | | | 180,986 | |
Zoom Video Communications, Inc. — Class A* | | | 1,388 | | | | 162,715 | |
Electronic Arts, Inc. | | | 1,283 | | | | 162,312 | |
Veeva Systems, Inc. — Class A* | | | 762 | | | | 161,895 | |
MongoDB, Inc.* | | | 355 | | | | 157,474 | |
Twilio, Inc. — Class A* | | | 916 | | | | 150,966 | |
Citrix Systems, Inc.* | | | 1,439 | | | | 145,195 | |
ROBLOX Corp. — Class A* | | | 3,098 | | | | 143,252 | |
DocuSign, Inc.* | | | 1,277 | | | | 136,792 | |
ZoomInfo Technologies, Inc. — Class A* | | | 2,191 | | | | 130,890 | |
HubSpot, Inc.* | | | 267 | | | | 126,809 | |
Akamai Technologies, Inc.* | | | 1,017 | | | | 121,420 | |
Take-Two Interactive Software, Inc.* | | | 744 | | | | 114,383 | |
NetEase, Inc. ADR | | | 940 | | | | 84,309 | |
Dropbox, Inc. — Class A* | | | 3,580 | | | | 83,235 | |
Coupa Software, Inc.* | | | 804 | | | | 81,710 | |
Smartsheet, Inc. — Class A* | | | 1,434 | | | | 78,555 | |
Five9, Inc.* | | | 708 | | | | 78,163 | |
Nutanix, Inc. — Class A* | | | 2,562 | | | | 68,713 | |
DigitalOcean Holdings, Inc.* | | | 1,170 | | | | 67,684 | |
Bilibili, Inc. ADR*,1 | | | 2,474 | | | | 63,285 | |
Box, Inc. — Class A* | | | 2,034 | | | | 59,108 | |
New Relic, Inc.* | | | 868 | | | | 58,052 | |
Ziff Davis, Inc.* | | | 578 | | | | 55,939 | |
Fastly, Inc. — Class A* | | | 2,357 | | | | 40,965 | |
BigCommerce Holdings, Inc.* | | | 1,534 | | | | 33,610 | |
Total Software | | | | | | | 4,389,595 | |
| | | | | | | | | |
Telecommunications - 7.2% |
Cisco Systems, Inc. | | | 7,423 | | | | 413,906 | |
Arista Networks, Inc.* | | | 1,340 | | | | 186,233 | |
Motorola Solutions, Inc. | | | 738 | | | | 178,744 | |
Juniper Networks, Inc. | | | 2,657 | | | | 98,734 | |
Ciena Corp.* | | | 1,380 | | | | 83,669 | |
Switch, Inc. — Class A | | | 2,556 | | | | 78,776 | |
CommScope Holding Company, Inc.* | | | 4,179 | | | | 32,931 | |
Total Telecommunications | | | | | | | 1,072,993 | |
| | | | | | | | | |
Commercial Services - 4.2% |
PayPal Holdings, Inc.* | | | 2,732 | | | | 315,956 | |
CoStar Group, Inc.* | | | 2,189 | | | | 145,809 | |
Paylocity Holding Corp.* | | | 443 | | | | 91,156 | |
Chegg, Inc.* | | | 1,746 | | | | 63,345 | |
Total Commercial Services | | | | | | | 616,266 | |
| | | | | | | | | |
Healthcare-Services - 0.6% |
Teladoc Health, Inc.* | | | 1,327 | | | | 95,716 | |
| | | | | | | | | |
Entertainment - 0.5% |
DraftKings, Inc. — Class A* | | | 3,819 | | | | 74,356 | |
| | | | | | | | | |
Computers - 0.5% |
Lumentum Holdings, Inc.* | | | 753 | | | | 73,493 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
INTERNET FUND | |
| | Shares | | | Value | |
Real Estate - 0.3% |
Redfin Corp.* | | | 1,971 | | | $ | 35,557 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,969,277) | | | | | | | 14,650,403 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 50,691 | | | | 50,691 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 19,524 | | | | 19,524 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 5,076 | | | | 5,076 | |
Total Repurchase Agreements | | | | |
(Cost $75,291) | | | | | | | 75,291 | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 139,414 | | | $ | 139,414 | |
Total Securities Lending Collateral | | | | |
(Cost $139,414) | | | | | | | 139,414 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $10,183,982) | | $ | 14,865,108 | |
Other Assets & Liabilities, net - (0.5)% | | | (79,174 | ) |
Total Net Assets - 100.0% | | $ | 14,785,934 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 14,650,403 | | | $ | — | | | $ | — | | | $ | 14,650,403 | |
Repurchase Agreements | | | — | | | | 75,291 | | | | — | | | | 75,291 | |
Securities Lending Collateral | | | 139,414 | | | | — | | | | — | | | | 139,414 | |
Total Assets | | $ | 14,789,817 | | | $ | 75,291 | | | $ | — | | | $ | 14,865,108 | |
��
86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $127,257 of securities loaned (cost $10,108,691) | | $ | 14,789,817 | |
Repurchase agreements, at value (cost $75,291) | | | 75,291 | |
Receivables: |
Fund shares sold | | | 99,925 | |
Dividends | | | 623 | |
Securities lending income | | | 24 | |
Total assets | | | 14,965,680 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 4 | |
Payable for: |
Return of securities lending collateral | | | 139,414 | |
Management fees | | | 10,845 | |
Fund shares redeemed | | | 3,840 | |
Transfer agent and administrative fees | | | 3,432 | |
Distribution and service fees | | | 2,846 | |
Portfolio accounting fees | | | 1,276 | |
Trustees’ fees* | | | 265 | |
Miscellaneous | | | 17,824 | |
Total liabilities | | | 179,746 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 14,785,934 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,383,706 | |
Total distributable earnings (loss) | | | 2,402,228 | |
Net assets | | $ | 14,785,934 | |
| | | | | |
Investor Class: |
Net assets | | $ | 8,777,358 | |
Capital shares outstanding | | | 75,934 | |
Net asset value per share | | $ | 115.59 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,239,859 | |
Capital shares outstanding | | | 21,676 | |
Net asset value per share | | $ | 103.33 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 108.48 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,821,323 | |
Capital shares outstanding | | | 34,571 | |
Net asset value per share | | $ | 81.61 | |
| | | | | |
H-Class: |
Net assets | | $ | 947,394 | |
Capital shares outstanding | | | 9,613 | |
Net asset value per share | | $ | 98.55 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,400) | | $ | 42,415 | |
Interest | | | 61 | |
Income from securities lending, net | | | 1,241 | |
Total investment income | | | 43,717 | |
| | | | | |
Expenses: |
Management fees | | | 214,231 | |
Distribution and service fees: |
A-Class | | | 7,065 | |
C-Class | | | 39,425 | |
H-Class | | | 2,674 | |
Transfer agent and administrative fees | | | 71,051 | |
Portfolio accounting fees | | | 25,204 | |
Professional fees | | | 13,163 | |
Trustees’ fees* | | | 4,669 | |
Custodian fees | | | 3,632 | |
Line of credit fees | | | 46 | |
Miscellaneous | | | 9,801 | |
Total expenses | | | 390,961 | |
Net investment loss | | | (347,244 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 5,510,850 | |
Net realized gain | | | 5,510,850 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (10,323,033 | ) |
Net change in unrealized appreciation (depreciation) | | | (10,323,033 | ) |
Net realized and unrealized loss | | | (4,812,183 | ) |
Net decrease in net assets resulting from operations | | $ | (5,159,427 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (347,244 | ) | | $ | (625,990 | ) |
Net realized gain on investments | | | 5,510,850 | | | | 14,063,069 | |
Net change in unrealized appreciation (depreciation) on investments | | | (10,323,033 | ) | | | 11,989,124 | |
Net increase (decrease) in net assets resulting from operations | | | (5,159,427 | ) | | | 25,426,203 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (3,618,087 | ) | | | — | |
A-Class | | | (711,899 | ) | | | — | |
C-Class | | | (1,201,881 | ) | | | — | |
H-Class | | | (228,096 | ) | | | — | |
Total distributions to shareholders | | | (5,759,963 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 33,557,065 | | | | 92,264,221 | |
A-Class | | | 1,317,749 | | | | 1,068,843 | |
C-Class | | | 2,769,422 | | | | 3,618,645 | |
H-Class | | | 2,396,750 | | | | 25,459,994 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 3,533,333 | | | | — | |
A-Class | | | 695,882 | | | | — | |
C-Class | | | 1,201,881 | | | | — | |
H-Class | | | 227,805 | | | | — | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (46,602,020 | ) | | | (93,997,468 | ) |
A-Class | | | (1,316,969 | ) | | | (1,630,302 | ) |
C-Class | | | (3,088,978 | ) | | | (3,287,545 | ) |
H-Class | | | (2,242,167 | ) | | | (31,224,635 | ) |
Net decrease from capital share transactions | | | (7,550,247 | ) | | | (7,728,247 | ) |
Net increase (decrease) in net assets | | | (18,469,637 | ) | | | 17,697,956 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 33,255,571 | | | | 15,557,615 | |
End of year | | $ | 14,785,934 | | | $ | 33,255,571 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 191,201 | | | | 586,376 | |
A-Class | | | 9,664 | | | | 7,156 | |
C-Class | | | 20,635 | | | | 29,471 | |
H-Class | | | 14,943 | | | | 242,330 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 24,112 | | | | — | |
A-Class | | | 5,308 | | | | — | |
C-Class | | | 11,581 | | | | — | |
H-Class | | | 1,822 | | | | — | |
Shares redeemed | | | | | | | | |
Investor Class | | | (267,776 | ) | | | (560,050 | ) |
A-Class | | | (9,698 | ) | | | (11,977 | ) |
C-Class | | | (24,678 | ) | | | (25,736 | ) |
H-Class | | | (13,293 | ) | | | (244,993 | ) |
Net increase (decrease) in shares | | | (36,179 | ) | | | 22,577 | |
88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 195.59 | | | $ | 105.23 | | | $ | 118.80 | | | $ | 124.80 | | | $ | 95.33 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.11 | ) | | | (2.03 | ) | | | (1.30 | ) | | | (1.29 | ) | | | (.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (34.69 | ) | | | 92.39 | | | | (8.17 | ) | | | 10.79 | | | | 30.27 | |
Total from investment operations | | | (36.80 | ) | | | 90.36 | | | | (9.47 | ) | | | 9.50 | | | | 29.47 | |
Less distributions from: |
Net realized gains | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Total distributions | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Net asset value, end of period | | $ | 115.59 | | | $ | 195.59 | | | $ | 105.23 | | | $ | 118.80 | | | $ | 124.80 | |
|
Total Return | | | (23.48 | %) | | | 85.87 | % | | | (8.25 | %) | | | 9.39 | % | | | 30.91 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,777 | | | $ | 25,113 | | | $ | 10,741 | | | $ | 15,484 | | | $ | 40,843 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.18 | %) | | | (1.21 | %) | | | (1.08 | %) | | | (1.00 | %) | | | (0.71 | %) |
Total expenses | | | 1.36 | % | | | 1.44 | % | | | 1.47 | % | | | 1.45 | % | | | 1.38 | % |
Portfolio turnover rate | | | 150 | % | | | 284 | % | | | 359 | % | | | 349 | % | | | 305 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 179.98 | | | $ | 97.07 | | | $ | 110.18 | | | $ | 117.20 | | | $ | 89.75 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.28 | ) | | | (2.22 | ) | | | (1.32 | ) | | | (1.46 | ) | | | (1.01 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (31.17 | ) | | | 85.13 | | | | (7.69 | ) | | | 9.94 | | | | 28.46 | |
Total from investment operations | | | (33.45 | ) | | | 82.91 | | | | (9.01 | ) | | | 8.48 | | | | 27.45 | |
Less distributions from: |
Net realized gains | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Total distributions | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Net asset value, end of period | | $ | 103.33 | | | $ | 179.98 | | | $ | 97.07 | | | $ | 110.18 | | | $ | 117.20 | |
|
Total Returnb | | | (23.67 | %) | | | 85.41 | % | | | (8.48 | %) | | | 9.13 | % | | | 30.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,240 | | | $ | 2,952 | | | $ | 2,060 | | | $ | 2,054 | | | $ | 3,393 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | (1.45 | %) | | | (1.20 | %) | | | (1.27 | %) | | | (0.96 | %) |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 150 | % | | | 284 | % | | | 359 | % | | | 349 | % | | | 305 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 89 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 152.56 | | | $ | 82.90 | | | $ | 95.40 | | | $ | 104.40 | | | $ | 80.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.89 | ) | | | (2.91 | ) | | | (1.96 | ) | | | (2.08 | ) | | | (1.60 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (24.86 | ) | | | 72.57 | | | | (6.44 | ) | | | 8.58 | | | | 25.45 | |
Total from investment operations | | | (27.75 | ) | | | 69.66 | | | | (8.40 | ) | | | 6.50 | | | | 23.85 | |
Less distributions from: |
Net realized gains | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Total distributions | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Net asset value, end of period | | $ | 81.61 | | | $ | 152.56 | | | $ | 82.90 | | | $ | 95.40 | | | $ | 104.40 | |
|
Total Returnb | | | (24.24 | %) | | | 84.03 | % | | | (9.16 | %) | | | 8.31 | % | | | 29.61 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,821 | | | $ | 4,124 | | | $ | 1,931 | | | $ | 3,047 | | | $ | 2,967 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.19 | %) | | | (2.21 | %) | | | (2.06 | %) | | | (2.01 | %) | | | (1.70 | %) |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 150 | % | | | 284 | % | | | 359 | % | | | 349 | % | | | 305 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 173.71 | | | $ | 93.70 | | | $ | 106.51 | | | $ | 113.84 | | | $ | 87.18 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.23 | ) | | | (1.75 | ) | | | (1.41 | ) | | | (1.51 | ) | | | (1.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (29.73 | ) | | | 81.76 | | | | (7.30 | ) | | | 9.68 | | | | 27.73 | |
Total from investment operations | | | (31.96 | ) | | | 80.01 | | | | (8.71 | ) | | | 8.17 | | | | 26.66 | |
Less distributions from: |
Net realized gains | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Total distributions | | | (43.20 | ) | | | — | | | | (4.10 | ) | | | (15.50 | ) | | | — | |
Net asset value, end of period | | $ | 98.55 | | | $ | 173.71 | | | $ | 93.70 | | | $ | 106.51 | | | $ | 113.84 | |
|
Total Return | | | (23.67 | %) | | | 85.39 | % | | | (8.49 | %) | | | 9.12 | % | | | 30.59 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 947 | | | $ | 1,067 | | | $ | 825 | | | $ | 9,880 | | | $ | 28,889 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.45 | %) | | | (1.42 | %) | | | (1.30 | %) | | | (1.27 | %) | | | (1.04 | %) |
Total expenses | | | 1.61 | % | | | 1.76 | % | | | 1.71 | % | | | 1.70 | % | | | 1.63 | % |
Portfolio turnover rate | | | 150 | % | | | 284 | % | | | 359 | % | | | 349 | % | | | 305 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
For the one-year period ended March 31, 2022, Leisure Fund Investor Class returned -15.52%, compared with 9.79% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 15.65%.
Hotels, resorts & cruise lines; tobacco, and broadcasting contributed the most to return for the period. Movies & entertainment, interactive home entertainment, and casinos & gaming detracted the most from return.
Live Nation Entertainment, Inc., McDonald’s Corp., and Hilton Worldwide Holdings, Inc. contributed the most to the Fund’s return for the period. Bilibili, Inc. ADR, Walt Disney Co., and Netflix, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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) |
Walt Disney Co. | 3.7% |
Comcast Corp. — Class A | 3.5% |
McDonald’s Corp. | 3.3% |
Netflix, Inc. | 3.1% |
Philip Morris International, Inc. | 2.9% |
Airbnb, Inc. — Class A | 2.6% |
Starbucks Corp. | 2.4% |
Charter Communications, Inc. — Class A | 2.4% |
Altria Group, Inc. | 2.4% |
Booking Holdings, Inc. | 2.4% |
Top Ten Total | 28.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 91 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (15.52%) | 6.60% | 10.64% |
A-Class Shares | (15.72%) | 6.33% | 10.36% |
A-Class Shares with sales charge‡ | (19.73%) | 5.30% | 9.82% |
C-Class Shares | (16.35%) | 5.54% | 9.54% |
C-Class Shares with CDSC§ | (17.12%) | 5.54% | 9.54% |
H-Class Shares** | (15.72%) | 6.33% | 10.27% |
S&P 500 Consumer Discretionary Index | 9.79% | 17.16% | 16.70% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
92 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
LEISURE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Media - 19.6% |
Walt Disney Co.* | | | 3,415 | | | $ | 468,401 | |
Comcast Corp. — Class A | | | 9,379 | | | | 439,125 | |
Charter Communications, Inc. — Class A* | | | 560 | | | | 305,491 | |
Paramount Global — Class B | | | 3,988 | | | | 150,786 | |
Liberty Broadband Corp. — Class C* | | | 1,037 | | | | 140,327 | |
Fox Corp. — Class A | | | 3,449 | | | | 136,063 | |
DISH Network Corp. — Class A* | | | 3,870 | | | | 122,485 | |
Discovery, Inc. — Class A*,1 | | | 4,808 | | | | 119,815 | |
News Corp. — Class A | | | 4,933 | | | | 109,266 | |
Cable One, Inc. | | | 61 | | | | 89,319 | |
New York Times Co. — Class A | | | 1,809 | | | | 82,925 | |
Nexstar Media Group, Inc. — Class A | | | 436 | | | | 82,177 | |
Altice USA, Inc. — Class A* | | | 5,985 | | | | 74,693 | |
TEGNA, Inc. | | | 2,997 | | | | 67,133 | |
World Wrestling Entertainment, Inc. — Class A1 | | | 1,061 | | | | 66,249 | |
Total Media | | | | | | | 2,454,255 | |
| | | | | | | | | |
Retail - 16.9% |
McDonald’s Corp. | | | 1,666 | | | | 411,968 | |
Starbucks Corp. | | | 3,375 | | | | 307,024 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 126 | | | | 199,336 | |
Yum! Brands, Inc. | | | 1,453 | | | | 172,224 | |
Darden Restaurants, Inc. | | | 927 | | | | 123,245 | |
Yum China Holdings, Inc. | | | 2,825 | | | | 117,350 | |
Domino’s Pizza, Inc. | | | 279 | | | | 113,556 | |
Restaurant Brands International, Inc. | | | 1,644 | | | | 95,993 | |
Texas Roadhouse, Inc. — Class A | | | 853 | | | | 71,422 | |
Wendy’s Co. | | | 3,170 | | | | 69,645 | |
Jack in the Box, Inc. | | | 688 | | | | 64,266 | |
Papa John’s International, Inc. | | | 560 | | | | 58,957 | |
Wingstop, Inc. | | | 449 | | | | 52,690 | |
Shake Shack, Inc. — Class A* | | | 726 | | | | 49,295 | |
Cracker Barrel Old Country Store, Inc. | | | 406 | | | | 48,204 | |
Dave & Buster’s Entertainment, Inc.* | | | 979 | | | | 48,069 | |
Cheesecake Factory, Inc.* | | | 1,092 | | | | 43,451 | |
Bloomin’ Brands, Inc. | | | 1,850 | | | | 40,589 | |
Brinker International, Inc.* | | | 1,035 | | | | 39,496 | |
Total Retail | | | | | | | 2,126,780 | |
| | | | | | | | | |
Internet - 14.4% |
Netflix, Inc.* | | | 1,042 | | | | 390,323 | |
Airbnb, Inc. — Class A* | | | 1,865 | | | | 320,332 | |
Booking Holdings, Inc.* | | | 126 | | | | 295,905 | |
Sea Ltd. ADR* | | | 2,060 | | | | 246,767 | |
Expedia Group, Inc.* | | | 847 | | | | 165,733 | |
Spotify Technology S.A.* | | | 1,068 | | | | 161,289 | |
Roku, Inc.* | | | 974 | | | | 122,013 | |
Trip.com Group Ltd. ADR* | | | 4,823 | | | | 111,508 | |
Total Internet | | | | | | | 1,813,870 | |
| | | | | | | | | |
Entertainment - 11.2% |
Live Nation Entertainment, Inc.* | | | 1,350 | | | | 158,814 | |
Warner Music Group Corp. — Class A | | | 3,612 | | | | 136,714 | |
AMC Entertainment Holdings, Inc. — Class A*,1 | | | 5,420 | | | | 133,549 | |
Caesars Entertainment, Inc.* | | | 1,524 | | | | 117,896 | |
Vail Resorts, Inc. | | | 358 | | | | 93,177 | |
Churchill Downs, Inc. | | | 386 | | | | 85,607 | |
DraftKings, Inc. — Class A*,1 | | | 4,229 | | | | 82,338 | |
Marriott Vacations Worldwide Corp. | | | 484 | | | | 76,327 | |
Penn National Gaming, Inc.* | | | 1,797 | | | | 76,229 | |
SeaWorld Entertainment, Inc.* | | | 1,000 | | | | 74,440 | |
Red Rock Resorts, Inc. — Class A | | | 1,414 | | | | 68,664 | |
Scientific Games Corp. — Class A* | | | 1,165 | | | | 68,444 | |
Madison Square Garden Sports Corp. — Class A* | | | 356 | | | | 63,852 | |
International Game Technology plc | | | 2,547 | | | | 62,860 | |
Six Flags Entertainment Corp.* | | | 1,314 | | | | 57,159 | |
Cinemark Holdings, Inc.* | | | 2,536 | | | | 43,822 | |
Total Entertainment | | | | | | | 1,399,892 | |
| | | | | | | | | |
Lodging - 10.2% |
Marriott International, Inc. — Class A* | | | 1,290 | | | | 226,717 | |
Hilton Worldwide Holdings, Inc.* | | | 1,270 | | | | 192,710 | |
Las Vegas Sands Corp.* | | | 4,126 | | | | 160,378 | |
MGM Resorts International | | | 3,002 | | | | 125,904 | |
Hyatt Hotels Corp. — Class A* | | | 1,013 | | | | 96,691 | |
Wynn Resorts Ltd.* | | | 1,139 | | | | 90,824 | |
Choice Hotels International, Inc. | | | 581 | | | | 82,362 | |
Wyndham Hotels & Resorts, Inc. | | | 972 | | | | 82,319 | |
Boyd Gaming Corp. | | | 1,190 | | | | 78,278 | |
Hilton Grand Vacations, Inc.* | | | 1,405 | | | | 73,074 | |
Travel + Leisure Co. | | | 1,133 | | | | 65,646 | |
Total Lodging | | | | | | | 1,274,903 | |
| | | | | | | | | |
Leisure Time - 7.8% |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 7,816 | | | | 171,014 | |
Royal Caribbean Cruises Ltd.* | | | 1,719 | | | | 144,018 | |
Carnival Corp.* | | | 7,026 | | | | 142,066 | |
Peloton Interactive, Inc. — Class A* | | | 3,545 | | | | 93,659 | |
Planet Fitness, Inc. — Class A* | | | 958 | | | | 80,932 | |
Polaris, Inc. | | | 711 | | | | 74,882 | |
Harley-Davidson, Inc. | | | 1,851 | | | | 72,929 | |
Brunswick Corp. | | | 866 | | | | 70,051 | |
YETI Holdings, Inc.* | | | 1,141 | | | | 68,437 | |
Callaway Golf Co.* | | | 2,530 | | | | 59,253 | |
Total Leisure Time | | | | | | | 977,241 | |
| | | | | | | | | |
Software - 6.2% |
Activision Blizzard, Inc. | | | 3,002 | | | | 240,490 | |
Electronic Arts, Inc. | | | 1,421 | | | | 179,771 | |
NetEase, Inc. ADR | | | 1,435 | | | | 128,705 | |
Take-Two Interactive Software, Inc.* | | | 824 | | | | 126,682 | |
Bilibili, Inc. ADR*,1 | | | 3,918 | | | | 100,222 | |
Total Software | | | | | | | 775,870 | |
| | | | | | | | | |
Agriculture - 6.1% |
Philip Morris International, Inc. | | | 3,858 | | | | 362,421 | |
Altria Group, Inc. | | | 5,695 | | | | 297,564 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
LEISURE FUND | |
| | Shares | | | Value | |
British American Tobacco plc ADR | | | 2,409 | | | $ | 101,563 | |
Total Agriculture | | | | | | | 761,548 | |
| | | | | | | | | |
Beverages - 5.1% |
Constellation Brands, Inc. — Class A | | | 880 | | | | 202,682 | |
Brown-Forman Corp. — Class B | | | 2,567 | | | | 172,040 | |
Molson Coors Beverage Co. — Class B | | | 1,932 | | | | 103,130 | |
Anheuser-Busch InBev S.A. ADR1 | | | 1,591 | | | | 95,555 | |
Boston Beer Company, Inc. — Class A* | | | 170 | | | | 66,040 | |
Total Beverages | | | | | | | 639,447 | |
| | | | | | | | | |
Toys, Games & Hobbies - 1.4% |
Hasbro, Inc. | | | 1,173 | | | | 96,092 | |
Mattel, Inc.* | | | 3,637 | | | | 80,778 | |
Total Toys, Games & Hobbies | | | | | | | 176,870 | |
| | | | | | | | | |
Food Service - 0.7% |
Aramark | | | 2,503 | | | | 94,113 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,412,902) | | | | | | | 12,494,789 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.2% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 19,316 | | | $ | 19,316 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 7,440 | | | | 7,440 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 1,934 | | | | 1,934 | |
Total Repurchase Agreements | | | | |
(Cost $28,690) | | | | | | | 28,690 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 4.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 536,101 | | | | 536,101 | |
Total Securities Lending Collateral | | | | |
(Cost $536,101) | | | | | | | 536,101 | |
| | | | | | | | | |
Total Investments - 104.1% | | | | |
(Cost $8,977,693) | | $ | 13,059,580 | |
Other Assets & Liabilities, net - (4.1)% | | | (520,346 | ) |
Total Net Assets - 100.0% | | $ | 12,539,234 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 12,494,789 | | | $ | — | | | $ | — | | | $ | 12,494,789 | |
Repurchase Agreements | | | — | | | | 28,690 | | | | — | | | | 28,690 | |
Securities Lending Collateral | | | 536,101 | | | | — | | | | — | | | | 536,101 | |
Total Assets | | $ | 13,030,890 | | | $ | 28,690 | | | $ | — | | | $ | 13,059,580 | |
94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $511,315 of securities loaned (cost $8,949,003) | | $ | 13,030,890 | |
Repurchase agreements, at value (cost $28,690) | | | 28,690 | |
Receivables: |
Fund shares sold | | | 37,452 | |
Dividends | | | 18,197 | |
Securities lending income | | | 77 | |
Total assets | | | 13,115,306 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 4 | |
Payable for: |
Return of securities lending collateral | | | 536,101 | |
Management fees | | | 10,707 | |
Fund shares redeemed | | | 4,488 | |
Transfer agent and administrative fees | | | 3,388 | |
Distribution and service fees | | | 1,803 | |
Portfolio accounting fees | | | 1,260 | |
Trustees’ fees* | | | 269 | |
Miscellaneous | | | 18,052 | |
Total liabilities | | | 576,072 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 12,539,234 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 10,011,640 | |
Total distributable earnings (loss) | | | 2,527,594 | |
Net assets | | $ | 12,539,234 | |
| | | | | |
Investor Class: |
Net assets | | $ | 5,574,315 | |
Capital shares outstanding | | | 69,445 | |
Net asset value per share | | $ | 80.27 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,351,484 | |
Capital shares outstanding | | | 60,024 | |
Net asset value per share | | $ | 72.50 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 76.12 | |
| | | | | |
C-Class: |
Net assets | | $ | 590,853 | |
Capital shares outstanding | | | 9,539 | |
Net asset value per share | | $ | 61.94 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,022,582 | |
Capital shares outstanding | | | 28,788 | |
Net asset value per share | | $ | 70.26 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,468) | | $ | 213,056 | |
Interest | | | 51 | |
Income from securities lending, net | | | 3,442 | |
Total investment income | | | 216,549 | |
| | | | | |
Expenses: |
Management fees | | | 198,049 | |
Distribution and service fees: | | | | |
A-Class | | | 10,529 | |
C-Class | | | 7,961 | |
H-Class | | | 6,371 | |
Transfer agent and administrative fees | | | 66,557 | |
Portfolio accounting fees | | | 23,299 | |
Professional fees | | | 17,256 | |
Trustees’ fees* | | | 5,694 | |
Custodian fees | | | 3,503 | |
Line of credit fees | | | 79 | |
Miscellaneous | | | 1,789 | |
Total expenses | | | 341,087 | |
Net investment loss | | | (124,538 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,298,853 | |
Net realized gain | | | 1,298,853 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (5,130,237 | ) |
Net change in unrealized appreciation (depreciation) | | | (5,130,237 | ) |
Net realized and unrealized loss | | | (3,831,384 | ) |
Net decrease in net assets resulting from operations | | $ | (3,955,922 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (124,538 | ) | | $ | (92,755 | ) |
Net realized gain on investments | | | 1,298,853 | | | | 1,161,961 | |
Net change in unrealized appreciation (depreciation) on investments | | | (5,130,237 | ) | | | 9,340,921 | |
Net increase (decrease) in net assets resulting from operations | | | (3,955,922 | ) | | | 10,410,127 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (604,040 | ) | | | — | |
A-Class | | | (255,000 | ) | | | — | |
C-Class | | | (53,089 | ) | | | — | |
H-Class | | | (133,042 | ) | | | — | |
Total distributions to shareholders | | | (1,045,171 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 39,154,029 | | | | 59,053,794 | |
A-Class | | | 2,799,506 | | | | 3,714,091 | |
C-Class | | | 90,769 | | | | 440,559 | |
H-Class | | | 842,058 | | | | 5,697,588 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 578,089 | | | | — | |
A-Class | | | 199,062 | | | | — | |
C-Class | | | 53,089 | | | | — | |
H-Class | | | 132,002 | | | | — | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (71,651,581 | ) | | | (28,790,117 | ) |
A-Class | | | (1,987,920 | ) | | | (1,430,431 | ) |
C-Class | | | (316,244 | ) | | | (322,704 | ) |
H-Class | | | (5,174,501 | ) | | | (980,605 | ) |
Net increase (decrease) from capital share transactions | | | (35,281,642 | ) | | | 37,382,175 | |
Net increase (decrease) in net assets | | | (40,282,735 | ) | | | 47,792,302 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 52,821,969 | | | | 5,029,667 | |
End of year | | $ | 12,539,234 | | | $ | 52,821,969 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 406,062 | | | | 743,762 | |
A-Class | | | 33,160 | | | | 48,208 | |
C-Class | | | 1,250 | | | | 7,182 | |
H-Class | | | 10,170 | | | | 67,082 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 6,639 | | | | — | |
A-Class | | | 2,529 | | | | — | |
C-Class | | | 788 | | | | — | |
H-Class | | | 1,731 | | | | — | |
Shares redeemed | | | | | | | | |
Investor Class | | | (749,384 | ) | | | (391,183 | ) |
A-Class | | | (22,325 | ) | | | (18,411 | ) |
C-Class | | | (4,268 | ) | | | (4,799 | ) |
H-Class | | | (56,958 | ) | | | (14,000 | ) |
Net increase (decrease) in shares | | | (370,606 | ) | | | 437,841 | |
96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 100.94 | | | $ | 53.01 | | | $ | 68.98 | | | $ | 71.23 | | | $ | 70.95 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.44 | ) | | | (.34 | ) | | | .08 | | | | .32 | | | | .36 | |
Net gain (loss) on investments (realized and unrealized) | | | (14.80 | ) | | | 48.27 | | | | (15.86 | ) | | | 2.18 | | | | 4.48 | |
Total from investment operations | | | (15.24 | ) | | | 47.93 | | | | (15.78 | ) | | | 2.50 | | | | 4.84 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) |
Net realized gains | | | (5.43 | ) | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) |
Total distributions | | | (5.43 | ) | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) |
Net asset value, end of period | | $ | 80.27 | | | $ | 100.94 | | | $ | 53.01 | | | $ | 68.98 | | | $ | 71.23 | |
|
Total Return | | | (15.52 | %) | | | 90.42 | % | | | (22.96 | %) | | | 4.06 | % | | | 6.71 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,574 | | | $ | 40,995 | | | $ | 2,839 | | | $ | 11,739 | | | $ | 14,625 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.45 | %) | | | (0.39 | %) | | | 0.11 | % | | | 0.45 | % | | | 0.49 | % |
Total expenses | | | 1.36 | % | | | 1.41 | % | | | 1.48 | % | | | 1.46 | % | | | 1.38 | % |
Portfolio turnover rate | | | 168 | % | | | 144 | % | | | 369 | % | | | 323 | % | | | 442 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 91.96 | | | $ | 48.41 | | | $ | 63.17 | | | $ | 65.82 | | | $ | 66.03 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.51 | ) | | | (.41 | ) | | | .01 | | | | .11 | | | | .17 | |
Net gain (loss) on investments (realized and unrealized) | | | (13.52 | ) | | | 43.96 | | | | (14.58 | ) | | | 1.99 | | | | 4.18 | |
Total from investment operations | | | (14.03 | ) | | | 43.55 | | | | (14.57 | ) | | | 2.10 | | | | 4.35 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) |
Net realized gains | | | (5.43 | ) | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) |
Total distributions | | | (5.43 | ) | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) |
Net asset value, end of period | | $ | 72.50 | | | $ | 91.96 | | | $ | 48.41 | | | $ | 63.17 | | | $ | 65.82 | |
|
Total Returnb | | | (15.72 | %) | | | 89.96 | % | | | (23.15 | %) | | | 3.79 | % | | | 6.46 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,351 | | | $ | 4,291 | | | $ | 816 | | | $ | 1,192 | | | $ | 3,371 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.59 | %) | | | (0.56 | %) | | | 0.02 | % | | | 0.17 | % | | | 0.24 | % |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 168 | % | | | 144 | % | | | 369 | % | | | 323 | % | | | 442 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 80.01 | | | $ | 42.44 | | | $ | 55.82 | | | $ | 59.16 | | | $ | 60.23 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.04 | ) | | | (.87 | ) | | | (.42 | ) | | | (.32 | ) | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (11.60 | ) | | | 38.44 | | | | (12.77 | ) | | | 1.73 | | | | 3.85 | |
Total from investment operations | | | (12.64 | ) | | | 37.57 | | | | (13.19 | ) | | | 1.41 | | | | 3.49 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) |
Net realized gains | | | (5.43 | ) | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) |
Total distributions | | | (5.43 | ) | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) |
Net asset value, end of period | | $ | 61.94 | | | $ | 80.01 | | | $ | 42.44 | | | $ | 55.82 | | | $ | 59.16 | |
|
Total Returnb | | | (16.35 | %) | | | 88.52 | % | | | (23.73 | %) | | | 3.03 | % | | | 5.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 591 | | | $ | 942 | | | $ | 398 | | | $ | 798 | | | $ | 1,311 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.38 | %) | | | (1.36 | %) | | | (0.74 | %) | | | (0.56 | %) | | | (0.58 | %) |
Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 168 | % | | | 144 | % | | | 369 | % | | | 323 | % | | | 442 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.30 | | | $ | 47.01 | | | $ | 61.36 | | | $ | 64.06 | | | $ | 64.38 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.59 | ) | | | (.40 | ) | | | (.01 | ) | | | (.29 | ) | | | .07 | |
Net gain (loss) on investments (realized and unrealized) | | | (13.02 | ) | | | 42.69 | | | | (14.15 | ) | | | 2.34 | | | | 4.17 | |
Total from investment operations | | | (13.61 | ) | | | 42.29 | | | | (14.16 | ) | | | 2.05 | | | | 4.24 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | (.52 | ) | | | (1.64 | ) |
Net realized gains | | | (5.43 | ) | | | — | | | | — | | | | (4.23 | ) | | | (2.92 | ) |
Total distributions | | | (5.43 | ) | | | — | | | | (.19 | ) | | | (4.75 | ) | | | (4.56 | ) |
Net asset value, end of period | | $ | 70.26 | | | $ | 89.30 | | | $ | 47.01 | | | $ | 61.36 | | | $ | 64.06 | |
|
Total Return | | | (15.72 | %) | | | 89.96 | % | | | (23.17 | %) | | | 3.81 | % | | | 6.45 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,023 | | | $ | 6,594 | | | $ | 976 | | | $ | 1,055 | | | $ | 1,910 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.69 | %) | | | (0.55 | %) | | | (0.01 | %) | | | (0.45 | %) | | | 0.10 | % |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.72 | % | | | 1.69 | % | | | 1.63 | % |
Portfolio turnover rate | | | 168 | % | | | 144 | % | | | 369 | % | | | 323 | % | | | 442 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).
For the one-year period ended March 31, 2022, Precious Metals Fund Investor Class returned 15.84%, compared with 13.92% for the S&P 500 Materials Index. The broader S&P 500 Index returned 15.65%.
The gold industry was the leading contributor to return, followed by the copper industry and the precious metals & minerals segment. The silver industry was the only detractor from return.
Freeport-McMoRan, Inc., Newmont Corp., and Gold Fields Ltd. ADR contributed the most to the Fund’s return for the period. Gatos Silver, Inc., Coeur Mining, Inc., and Fortuna Silver Mines, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | December 1, 1993 |
A-Class | September 1, 2004 |
C-Class | April 27, 2001 |
H-Class | August 1, 2003 |
Ten Largest Holdings (% of Total Net Assets) |
Freeport-McMoRan, Inc. | 9.3% |
Newmont Corp. | 9.0% |
Barrick Gold Corp. | 7.3% |
Franco-Nevada Corp. | 6.1% |
Agnico Eagle Mines Ltd. | 5.8% |
Wheaton Precious Metals Corp. | 5.0% |
Gold Fields Ltd. ADR | 4.0% |
VanEck Junior Gold Miners ETF | 3.9% |
Sibanye Stillwater Ltd. ADR | 3.6% |
AngloGold Ashanti Ltd. ADR | 3.5% |
Top Ten Total | 57.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 15.84% | 12.86% | (0.34%) |
A-Class Shares | 15.57% | 12.58% | (0.59%) |
A-Class Shares with sales charge‡ | 10.07% | 11.48% | (1.08%) |
C-Class Shares | 14.70% | 11.73% | (1.32%) |
C-Class Shares with CDSC§ | 13.70% | 11.73% | (1.32%) |
H-Class Shares** | 15.57% | 12.55% | (0.68%) |
S&P 500 Materials Index | 13.92% | 13.28% | 11.35% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
100 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
PRECIOUS METALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 95.6% |
| | | | | | | | | |
Mining - 95.6% |
Freeport-McMoRan, Inc. | | | 150,950 | | | $ | 7,508,256 | |
Newmont Corp. | | | 91,685 | | | | 7,284,373 | |
Barrick Gold Corp. | | | 240,477 | | | | 5,898,901 | |
Franco-Nevada Corp. | | | 30,781 | | | | 4,910,185 | |
Agnico Eagle Mines Ltd. | | | 76,255 | | | | 4,669,856 | |
Wheaton Precious Metals Corp. | | | 85,103 | | | | 4,049,201 | |
Gold Fields Ltd. ADR | | | 209,257 | | | | 3,235,113 | |
Sibanye Stillwater Ltd. ADR1 | | | 178,303 | | | | 2,893,858 | |
AngloGold Ashanti Ltd. ADR1 | | | 118,435 | | | | 2,805,725 | |
Royal Gold, Inc. | | | 19,329 | | | | 2,730,801 | |
Kinross Gold Corp. | | | 409,587 | | | | 2,408,372 | |
Pan American Silver Corp. | | | 76,561 | | | | 2,090,115 | |
Yamana Gold, Inc. | | | 371,165 | | | | 2,071,101 | |
B2Gold Corp. | | | 434,257 | | | | 1,993,240 | |
SSR Mining, Inc. | | | 89,991 | | | | 1,957,304 | |
Hecla Mining Co. | | | 250,840 | | | | 1,648,019 | |
Alamos Gold, Inc. — Class A | | | 191,090 | | | | 1,608,978 | |
First Majestic Silver Corp.1 | | | 120,365 | | | | 1,584,004 | |
Harmony Gold Mining Company Ltd. ADR | | | 311,877 | | | | 1,568,741 | |
Equinox Gold Corp.* | | | 174,075 | | | | 1,439,600 | |
Novagold Resources, Inc.* | | | 183,873 | | | | 1,421,338 | |
Eldorado Gold Corp.* | | | 113,697 | | | | 1,274,543 | |
Osisko Gold Royalties Ltd.1 | | | 94,925 | | | | 1,252,061 | |
IAMGOLD Corp.* | | | 339,717 | | | | 1,182,215 | |
Sandstorm Gold Ltd. | | | 135,888 | | | | 1,097,975 | |
Seabridge Gold, Inc.* | | | 57,931 | | | | 1,071,724 | |
MAG Silver Corp.* | | | 65,736 | | | | 1,062,951 | |
SilverCrest Metals, Inc.* | | | 111,241 | | | | 991,157 | |
Coeur Mining, Inc.* | | | 204,346 | | | | 909,340 | |
Fortuna Silver Mines, Inc.* | | | 228,632 | | | | 871,088 | |
Endeavour Silver Corp.* | | | 171,902 | | | | 799,344 | |
Silvercorp Metals, Inc. | | | 188,469 | | | | 682,258 | |
Gatos Silver, Inc.* | | | 100,628 | | | | 434,713 | |
Total Mining | | | | | | | 77,406,450 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $37,079,600) | | | | | | | 77,406,450 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 4.0% |
VanEck Junior Gold Miners ETF | | | 67,938 | | | | 3,184,254 | |
Total Exchange-Traded Funds | | | | |
(Cost $2,031,409) | | | | | | | 3,184,254 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 502,349 | | | | 502,349 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 193,482 | | | | 193,482 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 50,305 | | | | 50,305 | |
Total Repurchase Agreements | | | | |
(Cost $746,136) | | | | | | | 746,136 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 6.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 5,142,622 | | | | 5,142,622 | |
Total Securities Lending Collateral | | | | |
(Cost $5,142,622) | | | | | | | 5,142,622 | |
| | | | | | | | | |
Total Investments - 106.8% | | | | |
(Cost $44,999,767) | | $ | 86,479,462 | |
Other Assets & Liabilities, net - (6.8)% | | | (5,487,469 | ) |
Total Net Assets - 100.0% | | $ | 80,991,993 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
PRECIOUS METALS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 77,406,450 | | | $ | — | | | $ | — | | | $ | 77,406,450 | |
Exchange-Traded Funds | | | 3,184,254 | | | | — | | | | — | | | | 3,184,254 | |
Repurchase Agreements | | | — | | | | 746,136 | | | | — | | | | 746,136 | |
Securities Lending Collateral | | | 5,142,622 | | | | — | | | | — | | | | 5,142,622 | |
Total Assets | | $ | 85,733,326 | | | $ | 746,136 | | | $ | — | | | $ | 86,479,462 | |
102 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $5,009,254 of securities loaned (cost $44,253,631) | | $ | 85,733,326 | |
Repurchase agreements, at value (cost $746,136) | | | 746,136 | |
Cash | | | 11,864 | |
Receivables: |
Securities sold | | | 860,403 | |
Fund shares sold | | | 328,939 | |
Dividends | | | 123,157 | |
Foreign tax reclaims | | | 8,906 | |
Securities lending income | | | 1,538 | |
Total assets | | | 87,814,269 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 5,142,622 | |
Fund shares redeemed | | | 1,250,857 | |
Deferred foreign capital gain taxes | | | 276,532 | |
Management fees | | | 50,877 | |
Transfer agent and administrative fees | | | 18,248 | |
Portfolio accounting fees | | | 6,783 | |
Distribution and service fees | | | 5,082 | |
Trustees’ fees* | | | 1,039 | |
Miscellaneous | | | 70,236 | |
Total liabilities | | | 6,822,276 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 80,991,993 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 98,657,636 | |
Total distributable earnings (loss) | | | (17,665,643 | ) |
Net assets | | $ | 80,991,993 | |
| | | | | |
Investor Class: |
Net assets | | $ | 63,069,351 | |
Capital shares outstanding | | | 1,314,424 | |
Net asset value per share | | $ | 47.98 | |
| | | | | |
A-Class: |
Net assets | | $ | 11,663,775 | |
Capital shares outstanding | | | 258,670 | |
Net asset value per share | | $ | 45.09 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 47.34 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,231,308 | |
Capital shares outstanding | | | 60,709 | |
Net asset value per share | | $ | 36.75 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,027,559 | |
Capital shares outstanding | | | 92,670 | |
Net asset value per share | | $ | 43.46 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $192,735) | | $ | 1,655,597 | |
Interest | | | 361 | |
Income from securities lending, net | | | 21,364 | |
Total investment income | | | 1,677,322 | |
| | | | | |
Expenses: |
Management fees | | | 783,076 | |
Distribution and service fees: |
A-Class | | | 29,019 | |
C-Class | | | 19,683 | |
H-Class | | | 7,733 | |
Transfer agent and administrative fees | | | 292,064 | |
Portfolio accounting fees | | | 104,409 | |
Professional fees | | | 39,718 | |
Trustees’ fees* | | | 15,619 | |
Custodian fees | | | 14,112 | |
Line of credit fees | | | 13 | |
Miscellaneous | | | 62,116 | |
Total expenses | | | 1,367,562 | |
Net investment income | | | 309,760 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,746,087 | |
Foreign currency transactions | | | (12 | ) |
Net realized gain | | | 3,746,075 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,859,641 | |
Net change in unrealized appreciation (depreciation) | | | 1,859,641 | |
Net realized and unrealized gain | | | 5,605,716 | |
Net increase in net assets resulting from operations | | $ | 5,915,476 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 103 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 309,760 | | | $ | (236,377 | ) |
Net realized gain on investments | | | 3,746,075 | | | | 6,223,636 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,859,641 | | | | 30,242,553 | |
Net increase in net assets resulting from operations | | | 5,915,476 | | | | 36,229,812 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (3,105,533 | ) | | | (1,200,774 | ) |
A-Class | | | (668,292 | ) | | | (206,906 | ) |
C-Class | | | (140,070 | ) | | | (35,529 | ) |
H-Class | | | (205,249 | ) | | | (36,834 | ) |
Total distributions to shareholders | | | (4,119,144 | ) | | | (1,480,043 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 216,991,201 | | | | 482,894,542 | |
A-Class | | | 5,539,280 | | | | 6,970,513 | |
C-Class | | | 1,644,325 | | | | 3,134,511 | |
H-Class | | | 5,141,960 | | | | 6,011,134 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 3,031,103 | | | | 1,180,105 | |
A-Class | | | 649,293 | | | | 203,578 | |
C-Class | | | 139,867 | | | | 35,407 | |
H-Class | | | 205,225 | | | | 36,758 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (244,117,050 | ) | | | (467,241,477 | ) |
A-Class | | | (14,933,428 | ) | | | (9,178,031 | ) |
C-Class | | | (1,728,053 | ) | | | (3,852,490 | ) |
H-Class | | | (4,056,692 | ) | | | (6,727,483 | ) |
Net increase (decrease) from capital share transactions | | | (31,492,969 | ) | | | 13,467,067 | |
Net increase (decrease) in net assets | | | (29,696,637 | ) | | | 48,216,836 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 110,688,630 | | | | 62,471,794 | |
End of year | | $ | 80,991,993 | | | $ | 110,688,630 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 4,884,543 | | | | 10,711,760 | |
A-Class | | | 127,654 | | | | 163,822 | |
C-Class | | | 44,922 | | | | 86,046 | |
H-Class | | | 124,267 | | | | 152,479 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 78,607 | | | | 25,806 | |
A-Class | | | 17,902 | | | | 4,704 | |
C-Class | | | 4,721 | | | | 979 | |
H-Class | | | 5,870 | | | | 879 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (5,620,212 | ) | | | (10,507,387 | ) |
A-Class | | | (336,488 | ) | | | (228,144 | ) |
C-Class | | | (48,786 | ) | | | (106,823 | ) |
H-Class | | | (102,502 | ) | | | (163,616 | ) |
Net increase (decrease) in shares | | | (819,502 | ) | | | 140,505 | |
104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.22 | | | $ | 26.50 | | | $ | 26.14 | | | $ | 27.07 | | | $ | 30.82 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .16 | | | | (.06 | ) | | | (.12 | ) | | | (.12 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.21 | | | | 18.28 | | | | 1.23 | d | | | (.48 | ) | | | (1.96 | ) |
Total from investment operations | | | 6.37 | | | | 18.22 | | | | 1.11 | | | | (.60 | ) | | | (2.13 | ) |
Less distributions from: |
Net investment income | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Total distributions | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Net asset value, end of period | | $ | 47.98 | | | $ | 44.22 | | | $ | 26.50 | | | $ | 26.14 | | | $ | 27.07 | |
|
Total Return | | | 15.84 | % | | | 68.71 | % | | | 3.65 | % | | | (2.08 | %) | | | (6.98 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 63,069 | | | $ | 87,174 | | | $ | 46,153 | | | $ | 33,724 | | | $ | 33,968 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.35 | % | | | (0.13 | %) | | | (0.40 | %) | | | (0.47 | %) | | | (0.57 | %) |
Total expensesb | | | 1.26 | % | | | 1.34 | % | | | 1.38 | % | | | 1.39 | % | | | 1.28 | % |
Portfolio turnover rate | | | 114 | % | | | 281 | % | | | 277 | % | | | 571 | % | | | 630 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.82 | | | $ | 25.14 | | | $ | 24.89 | | | $ | 25.85 | | | $ | 29.59 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .04 | | | | (.17 | ) | | | (.19 | ) | | | (.17 | ) | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.84 | | | | 17.35 | | | | 1.19 | d | | | (.46 | ) | | | (1.90 | ) |
Total from investment operations | | | 5.88 | | | | 17.18 | | | | 1.00 | | | | (.63 | ) | | | (2.12 | ) |
Less distributions from: |
Net investment income | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Total distributions | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Net asset value, end of period | | $ | 45.09 | | | $ | 41.82 | | | $ | 25.14 | | | $ | 24.89 | | | $ | 25.85 | |
|
Total Returnc | | | 15.57 | % | | | 68.28 | % | | | 3.39 | % | | | (2.30 | %) | | | (7.24 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,664 | | | $ | 18,801 | | | $ | 12,803 | | | $ | 14,222 | | | $ | 12,781 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.08 | % | | | (0.41 | %) | | | (0.67 | %) | | | (0.73 | %) | | | (0.79 | %) |
Total expensesb | | | 1.51 | % | | | 1.59 | % | | | 1.63 | % | | | 1.64 | % | | | 1.53 | % |
Portfolio turnover rate | | | 114 | % | | | 281 | % | | | 277 | % | | | 571 | % | | | 630 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.86 | | | $ | 21.16 | | | $ | 21.19 | | | $ | 22.24 | | | $ | 25.89 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.21 | ) | | | (.43 | ) | | | (.35 | ) | | | (.32 | ) | | | (.39 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.71 | | | | 14.63 | | | | 1.07 | d | | | (.40 | ) | | | (1.64 | ) |
Total from investment operations | | | 4.50 | | | | 14.20 | | | | .72 | | | | (.72 | ) | | | (2.03 | ) |
Less distributions from: |
Net investment income | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Total distributions | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Net asset value, end of period | | $ | 36.75 | | | $ | 34.86 | | | $ | 21.16 | | | $ | 21.19 | | | $ | 22.24 | |
|
Total Returnc | | | 14.70 | % | | | 67.04 | % | | | 2.65 | % | | | (3.08 | %) | | | (7.95 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,231 | | | $ | 2,086 | | | $ | 1,686 | | | $ | 2,412 | | | $ | 6,697 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.59 | %) | | | (1.20 | %) | | | (1.41 | %) | | | (1.53 | %) | | | (1.56 | %) |
Total expensesb | | | 2.26 | % | | | 2.35 | % | | | 2.38 | % | | | 2.37 | % | | | 2.28 | % |
Portfolio turnover rate | | | 114 | % | | | 281 | % | | | 277 | % | | | 571 | % | | | 630 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 40.41 | | | $ | 24.30 | | | $ | 24.06 | | | $ | 25.02 | | | $ | 28.73 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .08 | | | | (.25 | ) | | | (.22 | ) | | | (.18 | ) | | | (.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.58 | | | | 16.86 | | | | 1.21 | d | | | (.45 | ) | | | (1.84 | ) |
Total from investment operations | | | 5.66 | | | | 16.61 | | | | .99 | | | | (.63 | ) | | | (2.09 | ) |
Less distributions from: |
Net investment income | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Total distributions | | | (2.61 | ) | | | (.50 | ) | | | (.75 | ) | | | (.33 | ) | | | (1.62 | ) |
Net asset value, end of period | | $ | 43.46 | | | $ | 40.41 | | | $ | 24.30 | | | $ | 24.06 | | | $ | 25.02 | |
|
Total Return | | | 15.57 | % | | | 68.30 | % | | | 3.46 | % | | | (2.33 | %) | | | (7.36 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,028 | | | $ | 2,628 | | | $ | 1,830 | | | $ | 2,630 | | | $ | 2,239 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.20 | % | | | (0.59 | %) | | | (0.78 | %) | | | (0.78 | %) | | | (0.92 | %) |
Total expensesb | | | 1.51 | % | | | 1.60 | % | | | 1.63 | % | | | 1.63 | % | | | 1.53 | % |
Portfolio turnover rate | | | 114 | % | | | 281 | % | | | 277 | % | | | 571 | % | | | 630 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
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 agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of investments of the Fund. |
106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
For the one-year period ended March 31, 2022, Real Estate Fund H-Class returned 16.37%, compared with 26.20% for the MSCI U.S. REIT Index. The broader S&P 500 Index returned 15.65%.
Specialized REITs, residential REITs, and industrial REITs contributed the most to return for the period. Real estate services and interactive media & services detracted the most from return.
Prologis, Inc., Public Storage, and Extra Space Storage, Inc. contributed the most to the Fund’s return for the period. Opendoor Technologies, Inc., KE Holdings, Inc. - Class A ADR, and Redfin Corp. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Prologis, Inc. | 2.9% |
American Tower Corp. — Class A | 2.9% |
Crown Castle International Corp. | 2.4% |
Public Storage | 2.3% |
Equinix, Inc. | 2.2% |
Welltower, Inc. | 1.8% |
Realty Income Corp. | 1.7% |
Digital Realty Trust, Inc. | 1.7% |
Simon Property Group, Inc. | 1.7% |
SBA Communications Corp. | 1.7% |
Top Ten Total | 21.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 16.36% | 7.38% | 7.49% |
A-Class Shares with sales charge‡ | 10.83% | 6.34% | 6.97% |
C-Class Shares | 16.37% | 6.74% | 6.76% |
C-Class Shares with CDSC§ | 15.37% | 6.74% | 6.76% |
H-Class Shares | 16.37% | 7.40% | 7.48% |
MSCI U.S. REIT Index | 26.20% | 9.65% | 9.74% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on H-Class shares and A-Class shares only; performance for C-Class shares will vary due to differences in fee structures. The graphs are based on H-Class shares and A-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
108 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
REITs - 91.7% |
REITs-Diversified - 24.4% |
American Tower Corp. — Class A | | | 4,340 | | | $ | 1,090,295 | |
Crown Castle International Corp. | | | 4,991 | | | | 921,339 | |
Equinix, Inc. | | | 1,127 | | | | 835,806 | |
Digital Realty Trust, Inc. | | | 4,612 | | | | 653,982 | |
SBA Communications Corp. | | | 1,816 | | | | 624,886 | |
Weyerhaeuser Co. | | | 13,847 | | | | 524,801 | |
Duke Realty Corp. | | | 8,308 | | | | 482,362 | |
VICI Properties, Inc. | | | 16,497 | | | | 469,505 | |
WP Carey, Inc. | | | 4,925 | | | | 398,137 | |
Gaming and Leisure Properties, Inc. | | | 7,447 | | | | 349,488 | |
Lamar Advertising Co. — Class A | | | 2,986 | | | | 346,913 | |
Vornado Realty Trust | | | 6,530 | | | | 295,940 | |
National Storage Affiliates Trust | | | 4,509 | | | | 282,985 | |
Rayonier, Inc. | | | 6,000 | | | | 246,720 | |
New Residential Investment Corp. | | | 20,881 | | | | 229,273 | |
PS Business Parks, Inc. | | | 1,300 | | | | 218,504 | |
EPR Properties | | | 3,813 | | | | 208,609 | |
Outfront Media, Inc. | | | 7,281 | | | | 206,999 | |
Broadstone Net Lease, Inc. | | | 8,731 | | | | 190,161 | |
Uniti Group, Inc. | | | 13,546 | | | | 186,393 | |
PotlatchDeltic Corp. | | | 3,504 | | | | 184,766 | |
National Health Investors, Inc. | | | 2,830 | | | | 166,998 | |
Washington Real Estate Investment Trust | | | 5,992 | | | | 152,796 | |
Total REITs-Diversified | | | | | | | 9,267,658 | |
| | | | | | | | | |
REITs-Apartments - 12.3% |
AvalonBay Communities, Inc. | | | 2,389 | | | | 593,356 | |
Equity Residential | | | 6,507 | | | | 585,109 | |
Invitation Homes, Inc. | | | 12,334 | | | | 495,580 | |
Mid-America Apartment Communities, Inc. | | | 2,348 | | | | 491,789 | |
Essex Property Trust, Inc. | | | 1,362 | | | | 470,544 | |
UDR, Inc. | | | 7,480 | | | | 429,128 | |
Camden Property Trust | | | 2,488 | | | | 413,506 | |
American Homes 4 Rent — Class A | | | 9,486 | | | | 379,725 | |
Apartment Income REIT Corp. | | | 5,430 | | | | 290,288 | |
American Campus Communities, Inc. | | | 5,064 | | | | 283,432 | |
Independence Realty Trust, Inc. | | | 9,268 | | | | 245,046 | |
Total REITs-Apartments | | | | | | | 4,677,503 | |
| | | | | | | | | |
REITs-Office Property - 9.0% |
Alexandria Real Estate Equities, Inc. | | | 2,889 | | | | 581,411 | |
Boston Properties, Inc. | | | 3,549 | | | | 457,111 | |
Kilroy Realty Corp. | | | 3,979 | | | | 304,075 | |
Cousins Properties, Inc. | | | 6,165 | | | | 248,388 | |
Douglas Emmett, Inc. | | | 7,373 | | | | 246,406 | |
SL Green Realty Corp. | | | 2,819 | | | | 228,846 | |
Highwoods Properties, Inc. | | | 4,888 | | | | 223,577 | |
LXP Industrial Trust | | | 13,651 | | | | 214,321 | |
Hudson Pacific Properties, Inc. | | | 7,491 | | | | 207,875 | |
JBG SMITH Properties | | | 6,680 | | | | 195,190 | |
Corporate Office Properties Trust | | | 6,404 | | | | 182,770 | |
Equity Commonwealth* | | | 6,397 | | | | 180,459 | |
Brandywine Realty Trust | | | 11,219 | | | | 158,637 | |
Total REITs-Office Property | | | | | | | 3,429,066 | |
| | | | | | | | | |
REITs-Health Care - 8.7% |
Welltower, Inc. | | | 7,015 | | | | 674,422 | |
Ventas, Inc. | | | 8,252 | | | | 509,643 | |
Healthpeak Properties, Inc. | | | 12,684 | | | | 435,442 | |
Medical Properties Trust, Inc. | | | 17,435 | | | | 368,576 | |
Omega Healthcare Investors, Inc. | | | 9,102 | | | | 283,618 | |
Healthcare Trust of America, Inc. — Class A | | | 8,635 | | | | 270,621 | |
Healthcare Realty Trust, Inc. | | | 7,487 | | | | 205,743 | |
Physicians Realty Trust | | | 11,568 | | | | 202,903 | |
Sabra Health Care REIT, Inc. | | | 12,779 | | | | 190,279 | |
CareTrust REIT, Inc. | | | 7,307 | | | | 141,025 | |
Total REITs-Health Care | | | | | | | 3,282,272 | |
| | | | | | | | | |
REITs-Warehouse/Industries - 8.1% |
Prologis, Inc. | | | 6,868 | | | | 1,109,045 | |
Rexford Industrial Realty, Inc. | | | 4,741 | | | | 353,631 | |
EastGroup Properties, Inc. | | | 1,457 | | | | 296,179 | |
First Industrial Realty Trust, Inc. | | | 4,715 | | | | 291,906 | |
Americold Realty Trust | | | 9,909 | | | | 276,263 | |
STAG Industrial, Inc. | | | 6,613 | | | | 273,448 | |
Terreno Realty Corp. | | | 3,276 | | | | 242,588 | |
Innovative Industrial Properties, Inc. | | | 1,123 | | | | 230,664 | |
Total REITs-Warehouse/Industries | | | | | | | 3,073,724 | |
| | | | | | | | | |
REITs-Storage - 6.6% |
Public Storage | | | 2,208 | | | | 861,738 | |
Extra Space Storage, Inc. | | | 2,613 | | | | 537,233 | |
Iron Mountain, Inc. | | | 7,664 | | | | 424,662 | |
Life Storage, Inc. | | | 2,499 | | | | 350,935 | |
CubeSmart | | | 6,691 | | | | 348,133 | |
Total REITs-Storage | | | | | | | 2,522,701 | |
| | | | | | | | | |
REITs-Shopping Centers - 5.5% |
Kimco Realty Corp. | | | 16,030 | | | | 395,941 | |
Regency Centers Corp. | | | 5,072 | | | | 361,836 | |
Federal Realty Investment Trust | | | 2,576 | | | | 314,452 | |
Brixmor Property Group, Inc. | | | 10,946 | | | | 282,516 | |
Kite Realty Group Trust | | | 9,960 | | | | 226,789 | |
SITE Centers Corp. | | | 11,542 | | | | 192,867 | |
Retail Opportunity Investments Corp. | | | 8,035 | | | | 155,799 | |
Acadia Realty Trust | | | 6,489 | | | | 140,617 | |
Total REITs-Shopping Centers | | | | | | | 2,070,817 | |
| | | | | | | | | |
REITs-Single Tenant - 5.0% |
Realty Income Corp. | | | 9,478 | | | | 656,825 | |
National Retail Properties, Inc. | | | 6,449 | | | | 289,818 | |
STORE Capital Corp. | | | 9,743 | | | | 284,788 | |
Spirit Realty Capital, Inc. | | | 5,304 | | | | 244,090 | |
Agree Realty Corp. | | | 3,328 | | | | 220,846 | |
Essential Properties Realty Trust, Inc. | | | 7,155 | | | | 181,021 | |
Total REITs-Single Tenant | | | | | | | 1,877,388 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
REITs-Hotels - 4.9% |
Host Hotels & Resorts, Inc. | | | 19,125 | | | $ | 371,599 | |
MGM Growth Properties LLC — Class A | | | 8,447 | | | | 326,899 | |
Ryman Hospitality Properties, Inc.* | | | 2,433 | | | | 225,709 | |
Park Hotels & Resorts, Inc. | | | 10,976 | | | | 214,361 | |
Apple Hospitality REIT, Inc. | | | 11,178 | | | | 200,869 | |
Pebblebrook Hotel Trust | | | 7,252 | | | | 177,529 | |
Sunstone Hotel Investors, Inc.* | | | 13,733 | | | | 161,775 | |
RLJ Lodging Trust | | | 10,715 | | | | 150,867 | |
Total REITs-Hotels | | | | | | | 1,829,608 | |
| | | | | | | | | |
REITs-Mortgage - 2.8% |
Starwood Property Trust, Inc. | | | 11,347 | | | | 274,257 | |
AGNC Investment Corp. | | | 20,075 | | | | 262,982 | |
Blackstone Mortgage Trust, Inc. — Class A | | | 7,288 | | | | 231,685 | |
Chimera Investment Corp. | | | 13,917 | | | | 167,561 | |
Arbor Realty Trust, Inc. | | | 9,787 | | | | 166,966 | |
Total REITs-Mortgage | | | | | | | 1,103,451 | |
| | | | | | | | | |
REITs-Regional Malls - 2.2% |
Simon Property Group, Inc. | | | 4,965 | | | | 653,195 | |
Macerich Co. | | | 11,841 | | | | 185,193 | |
Total REITs-Regional Malls | | | | | | | 838,388 | |
| | | | | | | | | |
REITs-Manufactured Homes - 2.2% |
Sun Communities, Inc. | | | 2,558 | | | | 448,392 | |
Equity LifeStyle Properties, Inc. | | | 4,958 | | | | 379,188 | |
Total REITs-Manufactured Homes | | | | | | | 827,580 | |
| | | | | | | | | |
Total REITs | | | | | | | 34,800,156 | |
| | | | | | | | | |
Real Estate - 4.6% |
Real Estate Management/Services - 4.0% |
CBRE Group, Inc. — Class A* | | | 5,941 | | | | 543,720 | |
Jones Lang LaSalle, Inc.* | | | 1,402 | | | | 335,723 | |
Cushman & Wakefield plc* | | | 10,303 | | | | 211,315 | |
eXp World Holdings, Inc. | | | 7,454 | | | | 157,801 | |
Redfin Corp.* | | | 7,248 | | | | 130,754 | |
Realogy Holdings Corp.* | | | 8,300 | | | | 130,144 | |
Total Real Estate Management/Services | | | | | | | 1,509,457 | |
| | | | | | | | | |
Real Estate Operations/Development - 0.6% |
Howard Hughes Corp.* | | | 2,345 | | | $ | 242,965 | |
Total Real Estate | | | | | | | 1,752,422 | |
| | | | | | | | | |
Internet - 2.4% |
E-Commerce/Services - 2.4% |
Zillow Group, Inc. — Class C* | | | 6,769 | | | | 333,644 | |
Zillow Group, Inc. — Class A* | | | 6,908 | | | | 333,173 | |
Opendoor Technologies, Inc.* | | | 27,130 | | | | 234,674 | |
Total E-Commerce/Services | | | | | | | 901,491 | |
| | | | | | | | | |
Total Internet | | | | | | | 901,491 | |
| | | | | | | | | |
Diversified Financial Services - 0.6% |
Finance-Commercial - 0.6% |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 4,295 | | | | 203,712 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $36,616,206) | | | | | | | 37,657,781 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 138,567 | | | | 138,567 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 53,370 | | | | 53,370 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 13,876 | | | | 13,876 | |
Total Repurchase Agreements | | | | |
(Cost $205,813) | | | | | | | 205,813 | |
| | | | | | | | | |
Total Investments - 99.8% | | | | |
(Cost $36,822,019) | | $ | 37,863,594 | |
Other Assets & Liabilities, net - 0.2% | | | 90,535 | |
Total Net Assets - 100.0% | | $ | 37,954,129 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
110 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
REAL ESTATE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 37,657,781 | | | $ | — | | | $ | — | | | $ | 37,657,781 | |
Repurchase Agreements | | | — | | | | 205,813 | | | | — | | | | 205,813 | |
Total Assets | | $ | 37,657,781 | | | $ | 205,813 | | | $ | — | | | $ | 37,863,594 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $36,616,206) | | $ | 37,657,781 | |
Repurchase agreements, at value (cost $205,813) | | | 205,813 | |
Receivables: |
Dividends | | | 125,340 | |
Fund shares sold | | | 24,969 | |
Securities lending income | | | 10 | |
Total assets | | | 38,013,913 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 23,446 | |
Transfer agent and administrative fees | | | 7,420 | |
Distribution and service fees | | | 7,059 | |
Registration fees | | | 4,529 | |
Professional fees | | | 4,298 | |
Fund shares redeemed | | | 3,000 | |
Portfolio accounting fees | | | 2,758 | |
Trustees’ fees* | | | 233 | |
Miscellaneous | | | 7,041 | |
Total liabilities | | | 59,784 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 37,954,129 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 43,461,206 | |
Total distributable earnings (loss) | | | (5,507,077 | ) |
Net assets | | $ | 37,954,129 | |
| | | | | |
A-Class: |
Net assets | | $ | 988,471 | |
Capital shares outstanding | | | 20,862 | |
Net asset value per share | | $ | 47.38 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 49.74 | |
| | | | | |
C-Class: |
Net assets | | $ | 322,427 | |
Capital shares outstanding | | | 8,081 | |
Net asset value per share | | $ | 39.90 | |
| | | | | |
H-Class: |
Net assets | | $ | 36,643,231 | |
Capital shares outstanding | | | 775,049 | |
Net asset value per share | | $ | 47.28 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $90) | | $ | 406,287 | |
Interest | | | 55 | |
Income from securities lending, net | | | 115 | |
Total investment income | | | 406,457 | |
| | | | | |
Expenses: |
Management fees | | | 164,293 | |
Distribution and service fees: |
A-Class | | | 3,219 | |
C-Class | | | 3,606 | |
H-Class | | | 44,201 | |
Transfer agent and administrative fees | | | 53,458 | |
Portfolio accounting fees | | | 19,328 | |
Professional fees | | | 8,710 | |
Custodian fees | | | 2,498 | |
Trustees’ fees* | | | 1,950 | |
Line of credit fees | | | 108 | |
Miscellaneous | | | 13,468 | |
Total expenses | | | 314,839 | |
Net investment income | | | 91,618 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 619,426 | |
Net realized gain | | | 619,426 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (457,288 | ) |
Net change in unrealized appreciation (depreciation) | | | (457,288 | ) |
Net realized and unrealized gain | | | 162,138 | |
Net increase in net assets resulting from operations | | $ | 253,756 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 91,618 | | | $ | 30,821 | |
Net realized gain (loss) on investments | | | 619,426 | | | | (748,419 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (457,288 | ) | | | 1,922,770 | |
Net increase in net assets resulting from operations | | | 253,756 | | | | 1,205,172 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (5,211 | ) | | | (50,366 | ) |
C-Class | | | (2,182 | ) | | | (24,613 | ) |
H-Class | | | (23,428 | ) | | | (186,432 | ) |
Total distributions to shareholders | | | (30,821 | ) | | | (261,411 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,255,390 | | | | 504,083 | |
C-Class | | | 1,993,174 | | | | 967,844 | |
H-Class | | | 105,144,231 | | | | 34,310,786 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 5,210 | | | | 48,806 | |
C-Class | | | 2,159 | | | | 24,496 | |
H-Class | | | 23,098 | | | | 174,245 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,474,054 | ) | | | (499,509 | ) |
C-Class | | | (1,890,888 | ) | | | (1,309,690 | ) |
H-Class | | | (79,477,226 | ) | | | (26,510,129 | ) |
Net increase from capital share transactions | | | 25,581,094 | | | | 7,710,932 | |
Net increase in net assets | | | 25,804,029 | | | | 8,654,693 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 12,150,100 | | | | 3,495,407 | |
End of year | | $ | 37,954,129 | | | $ | 12,150,100 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 26,940 | | | | 12,731 | |
C-Class | | | 51,462 | | | | 30,808 | |
H-Class | | | 2,235,816 | | | | 917,563 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 109 | | | | 1,334 | |
C-Class | | | 53 | | | | 793 | |
H-Class | | | 483 | | | | 4,775 | |
Shares redeemed | | | | | | | | |
A-Class | | | (31,856 | ) | | | (13,846 | ) |
C-Class | | | (49,079 | ) | | | (42,183 | ) |
H-Class | | | (1,728,710 | ) | | | (729,458 | ) |
Net increase in shares | | | 505,218 | | | | 182,517 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 40.87 | | | $ | 30.70 | | | $ | 41.24 | | | $ | 35.92 | | | $ | 37.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .21 | | | | .32 | | | | .56 | | | | .46 | | | | .65 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.48 | | | | 13.33 | | | | (10.37 | ) | | | 5.12 | c | | | (2.08 | ) |
Total from investment operations | | | 6.69 | | | | 13.65 | | | | (9.81 | ) | | | 5.58 | | | | (1.43 | ) |
Less distributions from: |
Net investment income | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Total distributions | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Net asset value, end of period | | $ | 47.38 | | | $ | 40.87 | | | $ | 30.70 | | | $ | 41.24 | | | $ | 35.92 | |
|
Total Returnb | | | 16.36 | % | | | 45.79 | % | | | (24.28 | %) | | | 15.58 | % | | | (3.85 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 988 | | | $ | 1,049 | | | $ | 781 | | | $ | 658 | | | $ | 486 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.46 | % | | | 0.87 | % | | | 1.33 | % | | | 1.18 | % | | | 1.69 | % |
Total expenses | | | 1.61 | % | | | 1.70 | % | | | 1.72 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 380 | % | | | 499 | % | | | 539 | % | | | 877 | % | | | 1,010 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.44 | | | $ | 26.48 | | | $ | 35.94 | | | $ | 31.57 | | | $ | 33.28 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.09 | ) | | | (.03 | ) | | | .26 | | | | .31 | | | | .29 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.73 | | | | 11.47 | | | | (8.99 | ) | | | 4.32 | c | | | (1.80 | ) |
Total from investment operations | | | 5.64 | | | | 11.44 | | | | (8.73 | ) | | | 4.63 | | | | (1.51 | ) |
Less distributions from: |
Net investment income | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Total distributions | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Net asset value, end of period | | $ | 39.90 | | | $ | 34.44 | | | $ | 26.48 | | | $ | 35.94 | | | $ | 31.57 | |
|
Total Returnb | | | 16.37 | % | | | 44.71 | % | | | (24.86 | %) | | | 14.72 | % | | | (4.56 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 322 | | | $ | 194 | | | $ | 430 | | | $ | 702 | | | $ | 993 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.22 | %) | | | (0.09 | %) | | | 0.71 | % | | | 0.94 | % | | | 0.86 | % |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 380 | % | | | 499 | % | | | 539 | % | | | 877 | % | | | 1,010 | % |
114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 40.78 | | | $ | 30.63 | | | $ | 41.14 | | | $ | 35.82 | | | $ | 37.45 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .22 | | | | .23 | | | | .55 | | | | .65 | | | | .92 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.46 | | | | 13.40 | | | | (10.33 | ) | | | 4.93 | c | | | (2.35 | ) |
Total from investment operations | | | 6.68 | | | | 13.63 | | | | (9.78 | ) | | | 5.58 | | | | (1.43 | ) |
Less distributions from: |
Net investment income | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Total distributions | | | (.18 | ) | | | (3.48 | ) | | | (.73 | ) | | | (.26 | ) | | | (.20 | ) |
Net asset value, end of period | | $ | 47.28 | | | $ | 40.78 | | | $ | 30.63 | | | $ | 41.14 | | | $ | 35.82 | |
|
Total Return | | | 16.37 | % | | | 45.83 | % | | | (24.27 | %) | | | 15.63 | % | | | (3.86 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 36,643 | | | $ | 10,907 | | | $ | 2,284 | | | $ | 18,436 | | | $ | 8,800 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.49 | % | | | 0.60 | % | | | 1.30 | % | | | 1.69 | % | | | 2.43 | % |
Total expenses | | | 1.62 | % | | | 1.66 | % | | | 1.72 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 380 | % | | | 499 | % | | | 539 | % | | | 877 | % | | | 1,010 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | 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 ANNUAL REPORT | 115 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations, and other companies involved in selling products to consumers (“Retailing Companies”).
For the one-year period ended March 31, 2022, Retailing Fund Investor Class returned -10.94%, compared with 9.79% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 15.65%.
Hypermarkets & super centers, specialty stores, and general merchandise stores contributed the most to return for the period. Internet & direct marketing retail and apparel retail detracted the most from return.
Costco Wholesale Corp., Amazon.com, Inc., and AutoZone, Inc. contributed the most to the Fund’s return for the period. Alibaba Group Holding Ltd. ADR, Pinduoduo, Inc. ADR, and Wayfair, Inc. - Class A detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 12.0% |
Walmart, Inc. | 6.0% |
Home Depot, Inc. | 4.9% |
Costco Wholesale Corp. | 4.8% |
Lowe’s Companies, Inc. | 3.2% |
Booking Holdings, Inc. | 2.9% |
Target Corp. | 2.9% |
Alibaba Group Holding Ltd. ADR | 2.7% |
TJX Companies, Inc. | 2.4% |
Dollar General Corp. | 2.2% |
Top Ten Total | 44.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
116 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (10.94%) | 13.72% | 11.31% |
A-Class Shares | (11.17%) | 13.45% | 11.06% |
A-Class Shares with sales charge‡ | (15.39%) | 12.35% | 10.51% |
C-Class Shares | (11.84%) | 12.59% | 10.22% |
C-Class Shares with CDSC§ | (12.63%) | 12.59% | 10.22% |
H-Class Shares** | (11.18%) | 13.44% | 11.00% |
S&P 500 Consumer Discretionary Index | 9.79% | 17.16% | 16.70% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graph are based on Investor Class and A-Class shares only; performance for C-Class and H-Class will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
RETAILING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
RETAIL - 61.0% |
Walmart, Inc. | | | 4,359 | | | $ | 649,142 | |
Home Depot, Inc. | | | 1,761 | | | | 527,120 | |
Costco Wholesale Corp. | | | 898 | | | | 517,113 | |
Lowe’s Companies, Inc. | | | 1,694 | | | | 342,510 | |
Target Corp. | | | 1,457 | | | | 309,205 | |
TJX Companies, Inc. | | | 4,321 | | | | 261,766 | |
Dollar General Corp. | | | 1,044 | | | | 232,426 | |
O’Reilly Automotive, Inc.* | | | 305 | | | | 208,913 | |
AutoZone, Inc.* | | | 101 | | | | 206,503 | |
Dollar Tree, Inc.* | | | 1,209 | | | | 193,621 | |
Walgreens Boots Alliance, Inc. | | | 4,287 | | | | 191,929 | |
Ross Stores, Inc. | | | 1,918 | | | | 173,502 | |
Tractor Supply Co. | | | 702 | | | | 163,826 | |
GameStop Corp. — Class A* | | | 911 | | | | 151,754 | |
Ulta Beauty, Inc.* | | | 366 | | | | 145,748 | |
Best Buy Company, Inc. | | | 1,557 | | | | 141,531 | |
Genuine Parts Co. | | | 1,034 | | | | 130,305 | |
CarMax, Inc.* | | | 1,245 | | | | 120,118 | |
Advance Auto Parts, Inc. | | | 535 | | | | 110,724 | |
Bath & Body Works, Inc. | | | 2,252 | | | | 107,646 | |
Burlington Stores, Inc.* | | | 572 | | | | 104,201 | |
Williams-Sonoma, Inc. | | | 680 | | | | 98,600 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 1,449 | | | | 97,967 | |
Five Below, Inc.* | | | 581 | | | | 92,013 | |
Carvana Co.* | | | 770 | | | | 91,853 | |
Dick’s Sporting Goods, Inc.1 | | | 881 | | | | 88,118 | |
Lithia Motors, Inc. — Class A | | | 292 | | | | 87,635 | |
Kohl’s Corp. | | | 1,366 | | | | 82,588 | |
Floor & Decor Holdings, Inc. — Class A* | | | 1,013 | | | | 82,053 | |
RH* | | | 241 | | | | 78,588 | |
Macy’s, Inc. | | | 3,170 | | | | 77,221 | |
AutoNation, Inc.* | | | 711 | | | | 70,801 | |
Nordstrom, Inc. | | | 2,449 | | | | 66,392 | |
Gap, Inc. | | | 4,714 | | | | 66,373 | |
Victoria’s Secret & Co.* | | | 1,257 | | | | 64,559 | |
Academy Sports & Outdoors, Inc. | | | 1,555 | | | | 61,267 | |
Signet Jewelers Ltd. | | | 791 | | | | 57,506 | |
Asbury Automotive Group, Inc.* | | | 338 | | | | 54,148 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 1,203 | | | | 51,681 | |
Foot Locker, Inc. | | | 1,742 | | | | 51,668 | |
American Eagle Outfitters, Inc.1 | | | 2,934 | | | | 49,291 | |
Bed Bath & Beyond, Inc.* | | | 2,071 | | | | 46,660 | |
Abercrombie & Fitch Co. — Class A* | | | 1,309 | | | | 41,875 | |
Big Lots, Inc. | | | 898 | | | | 31,071 | |
Total Retail | | | | | | | 6,579,531 | |
| | | | | | | | | |
INTERNET - 36.0% |
Amazon.com, Inc.* | | | 397 | | | | 1,294,200 | |
Booking Holdings, Inc.* | | | 132 | | | | 309,995 | |
Alibaba Group Holding Ltd. ADR* | | | 2,725 | | | | 296,480 | |
DoorDash, Inc. — Class A* | | | 1,834 | | | | 214,927 | |
MercadoLibre, Inc.* | �� | | 163 | | | | 193,885 | |
eBay, Inc. | | | 3,238 | | | | 185,408 | |
Expedia Group, Inc.* | | | 884 | | | | 172,972 | |
JD.com, Inc. ADR* | | | 2,849 | | | | 164,872 | |
Pinduoduo, Inc. ADR* | | | 3,391 | | | | 136,013 | |
Chewy, Inc. — Class A*,1 | | | 3,016 | | | | 122,993 | |
Etsy, Inc.* | | | 937 | | | | 116,450 | |
Farfetch Ltd. — Class A* | | | 7,661 | | | | 115,834 | |
Fiverr International Ltd.* | | | 1,451 | | | | 110,378 | |
Coupang, Inc.* | | | 6,215 | | | | 109,881 | |
Trip.com Group Ltd. ADR* | | | 4,692 | | | | 108,479 | |
Wayfair, Inc. — Class A* | | | 910 | | | | 100,810 | |
Revolve Group, Inc.* | | | 1,199 | | | | 64,374 | |
Overstock.com, Inc.* | | | 908 | | | | 39,957 | |
Stitch Fix, Inc. — Class A* | | | 2,976 | | | | 29,968 | |
Total Internet | | | | | | | 3,887,876 | |
| | | | | | | | | |
DISTRIBUTION & WHOLESALE - 2.2% |
Pool Corp. | | | 287 | | | | 121,358 | |
LKQ Corp. | | | 2,409 | | | | 109,393 | |
Total Distribution & Wholesale | | | | | | | 230,751 | |
| | | | | | | | | |
APPAREL - 0.4% |
Urban Outfitters, Inc.* | | | 1,866 | | | | 46,855 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $7,246,654) | | | | | | | 10,745,013 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 45,223 | | | | 45,223 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 17,418 | | | | 17,418 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 4,529 | | | | 4,529 | |
Total Repurchase Agreements | | | | |
(Cost $67,170) | | | | | | | 67,170 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 200,591 | | | | 200,591 | |
Total Securities Lending Collateral | | | | |
(Cost $200,591) | | | | | | | 200,591 | |
| | | | | | | | | |
Total Investments - 102.1% | | | | |
(Cost $7,514,415) | | $ | 11,012,774 | |
Other Assets & Liabilities, net - (2.1)% | | | (228,467 | ) |
Total Net Assets - 100.0% | | $ | 10,784,307 | |
118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 10,745,013 | | | $ | — | | | $ | — | | | $ | 10,745,013 | |
Repurchase Agreements | | | — | | | | 67,170 | | | | — | | | | 67,170 | |
Securities Lending Collateral | | | 200,591 | | | | — | | | | — | | | | 200,591 | |
Total Assets | | $ | 10,945,604 | | | $ | 67,170 | | | $ | — | | | $ | 11,012,774 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 119 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $187,697 of securities loaned (cost $7,447,245) | | $ | 10,945,604 | |
Repurchase agreements, at value (cost $67,170) | | | 67,170 | |
Receivables: |
Dividends | | | 6,879 | |
Fund shares sold | | | 1,209 | |
Securities lending income | | | 211 | |
Total assets | | | 11,021,073 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 200,591 | |
Fund shares redeemed | | | 9,647 | |
Management fees | | | 7,661 | |
Transfer agent and administrative fees | | | 2,424 | |
Portfolio accounting fees | | | 901 | |
Distribution and service fees | | | 720 | |
Trustees’ fees* | | | 217 | |
Miscellaneous | | | 14,605 | |
Total liabilities | | | 236,766 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 10,784,307 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,287,092 | |
Total distributable earnings (loss) | | | 1,497,215 | |
Net assets | | $ | 10,784,307 | |
| | | | | |
Investor Class: |
Net assets | | $ | 7,998,450 | |
Capital shares outstanding | | | 171,078 | |
Net asset value per share | | $ | 46.75 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,916,768 | |
Capital shares outstanding | | | 43,924 | |
Net asset value per share | | $ | 43.64 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 45.82 | |
| | | | | |
C-Class: |
Net assets | | $ | 196,231 | |
Capital shares outstanding | | | 5,286 | |
Net asset value per share | | $ | 37.12 | |
| | | | | |
H-Class: |
Net assets | | $ | 672,858 | |
Capital shares outstanding | | | 15,845 | |
Net asset value per share | | $ | 42.47 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,341) | | $ | 179,030 | |
Interest | | | 54 | |
Income from securities lending, net | | | 9,230 | |
Total investment income | | | 188,314 | |
| | | | | |
Expenses: |
Management fees | | | 192,800 | |
Distribution and service fees: |
A-Class | | | 5,742 | |
C-Class | | | 2,678 | |
H-Class | | | 5,076 | |
Transfer agent and administrative fees | | | 63,664 | |
Portfolio accounting fees | | | 22,682 | |
Professional fees | | | 8,956 | |
Trustees’ fees* | | | 3,706 | |
Custodian fees | | | 3,243 | |
Line of credit fees | | | 20 | |
Miscellaneous | | | 12,446 | |
Total expenses | | | 321,013 | |
Net investment loss | | | (132,699 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,524,827 | |
Net realized gain | | | 2,524,827 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (5,159,945 | ) |
Net change in unrealized appreciation (depreciation) | | | (5,159,945 | ) |
Net realized and unrealized loss | | | (2,635,118 | ) |
Net decrease in net assets resulting from operations | | $ | (2,767,817 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
120 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (132,699 | ) | | $ | (157,928 | ) |
Net realized gain on investments | | | 2,524,827 | | | | 4,923,049 | |
Net change in unrealized appreciation (depreciation) on investments | | | (5,159,945 | ) | | | 8,792,473 | |
Net increase (decrease) in net assets resulting from operations | | | (2,767,817 | ) | | | 13,557,594 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (1,612,470 | ) | | | — | |
A-Class | | | (213,357 | ) | | | — | |
C-Class | | | (22,834 | ) | | | — | |
H-Class | | | (473,408 | ) | | | — | |
Total distributions to shareholders | | | (2,322,069 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 45,076,650 | | | | 79,357,647 | |
A-Class | | | 525,857 | | | | 1,348,128 | |
C-Class | | | 618,446 | | | | 1,002,664 | |
H-Class | | | 9,728,366 | | | | 9,281,648 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 1,563,324 | | | | — | |
A-Class | | | 210,780 | | | | — | |
C-Class | | | 22,735 | | | | — | |
H-Class | | | 469,256 | | | | — | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (59,860,085 | ) | | | (69,048,353 | ) |
A-Class | | | (486,502 | ) | | | (417,961 | ) |
C-Class | | | (689,188 | ) | | | (1,175,354 | ) |
H-Class | | | (9,380,698 | ) | | | (10,177,931 | ) |
Net increase (decrease) from capital share transactions | | | (12,201,059 | ) | | | 10,170,488 | |
Net increase (decrease) in net assets | | | (17,290,945 | ) | | | 23,728,082 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 28,075,252 | | | | 4,347,170 | |
End of year | | $ | 10,784,307 | | | $ | 28,075,252 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 771,559 | | | | 1,758,892 | |
A-Class | | | 9,898 | | | | 32,086 | |
C-Class | | | 13,293 | | | | 24,969 | |
H-Class | | | 180,659 | | | | 230,718 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 28,934 | | | | — | |
A-Class | | | 4,176 | | | | — | |
C-Class | | | 528 | | | | — | |
H-Class | | | 9,553 | | | | — | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,066,923 | ) | | | (1,437,219 | ) |
A-Class | | | (9,829 | ) | | | (9,294 | ) |
C-Class | | | (14,834 | ) | | | (28,400 | ) |
H-Class | | | (186,979 | ) | | | (231,204 | ) |
Net increase (decrease) in shares | | | (259,965 | ) | | | 340,548 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.11 | | | $ | 28.62 | | | $ | 33.46 | | | $ | 30.17 | | | $ | 26.78 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.30 | ) | | | (.25 | ) | | | (.06 | ) | | | (.02 | ) | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | (5.31 | ) | | | 28.74 | | | | (4.78 | ) | | | 3.35 | | | | 3.28 | |
Total from investment operations | | | (5.61 | ) | | | 28.49 | | | | (4.84 | ) | | | 3.33 | | | | 3.39 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | |
Net realized gains | | | (4.75 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | (4.75 | ) | | | — | | | | — | | | | (.04 | ) | | | — | |
Net asset value, end of period | | $ | 46.75 | | | $ | 57.11 | | | $ | 28.62 | | | $ | 33.46 | | | $ | 30.17 | |
|
Total Return | | | (10.94 | %) | | | 99.55 | % | | | (14.47 | %) | | | 11.06 | % | | | 12.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,998 | | | $ | 24,987 | | | $ | 3,316 | | | $ | 22,748 | | | $ | 19,876 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.53 | %) | | | (0.52 | %) | | | (0.17 | %) | | | (0.07 | %) | | | 0.40 | % |
Total expenses | | | 1.36 | % | | | 1.43 | % | | | 1.47 | % | | | 1.45 | % | | | 1.37 | % |
Portfolio turnover rate | | | 214 | % | | | 270 | % | | | 228 | % | | | 314 | % | | | 1,306 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 53.75 | | | $ | 27.00 | | | $ | 31.64 | | | $ | 28.60 | | | $ | 25.44 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.42 | ) | | | (.38 | ) | | | (.13 | ) | | | (.05 | ) | | | — | b |
Net gain (loss) on investments (realized and unrealized) | | | (4.94 | ) | | | 27.13 | | | | (4.51 | ) | | | 3.13 | | | | 3.16 | |
Total from investment operations | | | (5.36 | ) | | | 26.75 | | | | (4.64 | ) | | | 3.08 | | | | 3.16 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | |
Net realized gains | | | (4.75 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | (4.75 | ) | | | — | | | | — | | | | (.04 | ) | | | — | |
Net asset value, end of period | | $ | 43.64 | | | $ | 53.75 | | | $ | 27.00 | | | $ | 31.64 | | | $ | 28.60 | |
|
Total Returnc | | | (11.17 | %) | | | 99.07 | % | | | (14.66 | %) | | | 10.80 | % | | | 12.42 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,917 | | | $ | 2,133 | | | $ | 456 | | | $ | 5,806 | | | $ | 1,260 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.79 | %) | | | (0.83 | %) | | | (0.42 | %) | | | (0.16 | %) | | | — | d |
Total expenses | | | 1.61 | % | | | 1.67 | % | | | 1.72 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 214 | % | | | 270 | % | | | 228 | % | | | 314 | % | | | 1,306 | % |
122 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.74 | | | $ | 23.67 | | | $ | 27.95 | | | $ | 25.46 | | | $ | 22.83 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.70 | ) | | | (.62 | ) | | | (.33 | ) | | | (.31 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.17 | ) | | | 23.69 | | | | (3.95 | ) | | | 2.84 | | | | 2.80 | |
Total from investment operations | | | (4.87 | ) | | | 23.07 | | | | (4.28 | ) | | | 2.53 | | | | 2.63 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | |
Net realized gains | | | (4.75 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | (4.75 | ) | | | — | | | | — | | | | (.04 | ) | | | — | |
Net asset value, end of period | | $ | 37.12 | | | $ | 46.74 | | | $ | 23.67 | | | $ | 27.95 | | | $ | 25.46 | |
|
Total Returnc | | | (11.84 | %) | | | 97.47 | % | | | (15.31 | %) | | | 9.97 | % | | | 11.52 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 196 | | | $ | 294 | | | $ | 230 | | | $ | 468 | | | $ | 603 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.54 | %) | | | (1.65 | %) | | | (1.16 | %) | | | (1.15 | %) | | | (0.71 | %) |
Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 214 | % | | | 270 | % | | | 228 | % | | | 314 | % | | | 1,306 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.44 | | | $ | 26.35 | | | $ | 30.87 | | | $ | 27.91 | | | $ | 24.83 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.38 | ) | | | (.39 | ) | | | (.20 | ) | | | (.11 | ) | | | .05 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.84 | ) | | | 26.48 | | | | (4.32 | ) | | | 3.11 | | | | 3.03 | |
Total from investment operations | | | (5.22 | ) | | | 26.09 | | | | (4.52 | ) | | | 3.00 | | | | 3.08 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | |
Net realized gains | | | (4.75 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | (4.75 | ) | | | — | | | | — | | | | (.04 | ) | | | — | |
Net asset value, end of period | | $ | 42.47 | | | $ | 52.44 | | | $ | 26.35 | | | $ | 30.87 | | | $ | 27.91 | |
|
Total Return | | | (11.18 | %) | | | 99.01 | % | | | (14.64 | %) | | | 10.81 | % | | | 12.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 673 | | | $ | 661 | | | $ | 345 | | | $ | 6,265 | | | $ | 5,079 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.73 | %) | | | (0.91 | %) | | | (0.64 | %) | | | (0.37 | %) | | | 0.18 | % |
Total expenses | | | 1.60 | % | | | 1.69 | % | | | 1.72 | % | | | 1.70 | % | | | 1.62 | % |
Portfolio turnover rate | | | 214 | % | | | 270 | % | | | 228 | % | | | 314 | % | | | 1,306 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Less than 0.01% or (0.01%). |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 123 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware, and peripherals companies (“Technology Companies”).
For the one-year period ended March 31, 2022, Technology Fund Investor Class returned 1.94%, compared with 20.90% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 15.65%.
Systems software, semiconductors, and technology hardware storage & peripherals contributed the most to return for the period. Interactive home entertainment, data processing & outsourced services, and application software detracted the most from return.
NVIDIA Corp., Apple, Inc., and Microsoft Corp. contributed the most to the Fund’s return for the period. Paypal Holdings, Inc., Zoom Video Communications, Inc. - Class A, and Meta Platforms, Inc. - Class A detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 5.4% |
Microsoft Corp. | 4.7% |
Alphabet, Inc. — Class A | 4.3% |
NVIDIA Corp. | 2.6% |
Meta Platforms, Inc. — Class A | 2.4% |
Visa, Inc. — Class A | 2.2% |
Mastercard, Inc. — Class A | 1.9% |
Broadcom, Inc. | 1.6% |
Oracle Corp. | 1.5% |
Cisco Systems, Inc. | 1.5% |
Top Ten Total | 28.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
124 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 1.94% | 21.18% | 16.47% |
A-Class Shares | 1.69% | 20.88% | 16.17% |
A-Class Shares with sales charge‡ | (3.14%) | 19.70% | 15.61% |
C-Class Shares | 0.92% | 19.97% | 15.31% |
C-Class Shares with CDSC§ | (0.01%) | 19.97% | 15.31% |
H-Class Shares** | 1.68% | 20.87% | 16.08% |
S&P 500 Information Technology Index | 20.90% | 26.81% | 20.57% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 125 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
SOFTWARE - 35.2% |
Microsoft Corp. | | | 7,115 | | | $ | 2,193,626 | |
Oracle Corp. | | | 8,281 | | | | 685,087 | |
Adobe, Inc.* | | | 1,466 | | | | 667,939 | |
salesforce.com, Inc.* | | | 3,111 | | | | 660,528 | |
Intuit, Inc. | | | 1,117 | | | | 537,098 | |
ServiceNow, Inc.* | | | 851 | | | | 473,913 | |
Snowflake, Inc. — Class A* | | | 1,680 | | | | 384,938 | |
Fiserv, Inc.* | | | 3,683 | | | | 373,456 | |
Fidelity National Information Services, Inc. | | | 3,617 | | | | 363,219 | |
Workday, Inc. — Class A* | | | 1,510 | | | | 361,585 | |
Activision Blizzard, Inc. | | | 4,491 | | | | 359,774 | |
Citrix Systems, Inc.* | | | 3,448 | | | | 347,903 | |
Synopsys, Inc.* | | | 1,012 | | | | 337,269 | |
Paychex, Inc. | | | 2,443 | | | | 333,396 | |
Datadog, Inc. — Class A* | | | 2,138 | | | | 323,843 | |
VMware, Inc. — Class A | | | 2,771 | | | | 315,534 | |
Cadence Design Systems, Inc.* | | | 1,915 | | | | 314,941 | |
Autodesk, Inc.* | | | 1,453 | | | | 311,451 | |
Cloudflare, Inc. — Class A* | | | 2,544 | | | | 304,517 | |
Atlassian Corporation plc — Class A* | | | 999 | | | | 293,536 | |
Zoom Video Communications, Inc. — Class A* | | | 2,339 | | | | 274,201 | |
Electronic Arts, Inc. | | | 2,160 | | | | 273,262 | |
MongoDB, Inc.* | | | 598 | | | | 265,267 | |
Twilio, Inc. — Class A* | | | 1,540 | | | | 253,807 | |
Unity Software, Inc.* | | | 2,496 | | | | 247,628 | |
Palantir Technologies, Inc. — Class A* | | | 17,900 | | | | 245,767 | |
Splunk, Inc.* | | | 1,641 | | | | 243,869 | |
ANSYS, Inc.* | | | 755 | | | | 239,826 | |
DocuSign, Inc.* | | | 2,151 | | | | 230,415 | |
NetEase, Inc. ADR | | | 2,566 | | | | 230,145 | |
Bill.com Holdings, Inc.* | | | 986 | | | | 223,615 | |
ZoomInfo Technologies, Inc. — Class A* | | | 3,691 | | | | 220,500 | |
HubSpot, Inc.* | | | 449 | | | | 213,248 | |
Akamai Technologies, Inc.* | | | 1,715 | | | | 204,754 | |
Tyler Technologies, Inc.* | | | 454 | | | | 201,980 | |
SS&C Technologies Holdings, Inc. | | | 2,627 | | | | 197,078 | |
Broadridge Financial Solutions, Inc. | | | 1,257 | | | | 195,727 | |
Take-Two Interactive Software, Inc.* | | | 1,252 | | | | 192,482 | |
Jack Henry & Associates, Inc. | | | 894 | | | | 176,163 | |
Dynatrace, Inc.* | | | 3,630 | | | | 170,973 | |
PTC, Inc.* | | | 1,470 | | | | 158,348 | |
Fair Isaac Corp.* | | | 336 | | | | 156,731 | |
RingCentral, Inc. — Class A* | | | 1,326 | | | | 155,420 | |
Ceridian HCM Holding, Inc.* | | | 2,203 | | | | 150,597 | |
Avalara, Inc.* | | | 1,414 | | | | 140,707 | |
Dropbox, Inc. — Class A* | | | 5,925 | | | | 137,756 | |
Coupa Software, Inc.* | | | 1,353 | | | | 137,505 | |
Elastic N.V.* | | | 1,518 | | | | 135,026 | |
Five9, Inc.* | | | 1,196 | | | | 132,038 | |
UiPath, Inc. — Class A* | | | 5,866 | | | | 126,647 | |
Asana, Inc. — Class A*,1 | | | 3,111 | | | | 124,347 | |
MicroStrategy, Inc. — Class A*,1 | | | 227 | | | | 110,395 | |
Digital Turbine, Inc.* | | | 2,138 | | | | 93,666 | |
Fastly, Inc. — Class A* | | | 3,970 | | | | 68,999 | |
Total Software | �� | | | | | | 16,272,442 | |
| | | | | | | | | |
SEMICONDUCTORS - 20.3% |
NVIDIA Corp. | | | 4,413 | | | | 1,204,131 | |
Broadcom, Inc. | | | 1,178 | | | | 741,763 | |
Intel Corp. | | | 13,075 | | | | 647,997 | |
Texas Instruments, Inc. | | | 3,285 | | | | 602,732 | |
QUALCOMM, Inc. | | | 3,818 | | | | 583,467 | |
Advanced Micro Devices, Inc.* | | | 5,215 | | | | 570,208 | |
Applied Materials, Inc. | | | 3,687 | | | | 485,947 | |
Analog Devices, Inc. | | | 2,574 | | | | 425,173 | |
Micron Technology, Inc. | | | 5,123 | | | | 399,030 | |
Lam Research Corp. | | | 733 | | | | 394,068 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 3,395 | | | | 353,963 | |
Marvell Technology, Inc. | | | 4,890 | | | | 350,662 | |
KLA Corp. | | | 925 | | | | 338,606 | |
NXP Semiconductor N.V. | | | 1,776 | | | | 328,702 | |
ASML Holding N.V. — Class G | | | 445 | | | | 297,229 | |
Microchip Technology, Inc. | | | 3,805 | | | | 285,908 | |
ON Semiconductor Corp.* | | | 3,709 | | | | 232,221 | |
Monolithic Power Systems, Inc. | | | 462 | | | | 224,384 | |
Skyworks Solutions, Inc. | | | 1,579 | | | | 210,449 | |
Teradyne, Inc. | | | 1,667 | | | | 197,089 | |
Entegris, Inc. | | | 1,405 | | | | 184,420 | |
Wolfspeed, Inc.* | | | 1,562 | | | | 177,849 | |
Qorvo, Inc.* | | | 1,309 | | | | 162,447 | |
Total Semiconductors | | | | | | | 9,398,445 | |
| | | | | | | | | |
INTERNET - 14.8% |
Alphabet, Inc. — Class A* | | | 711 | | | | 1,977,540 | |
Meta Platforms, Inc. — Class A* | | | 5,062 | | | | 1,125,586 | |
Palo Alto Networks, Inc.* | | | 606 | | | | 377,241 | |
Snap, Inc. — Class A* | | | 9,606 | | | | 345,720 | |
Sea Ltd. ADR* | | | 2,880 | | | | 344,995 | |
Shopify, Inc. — Class A* | | | 476 | | | | 321,757 | |
Match Group, Inc.* | | | 2,483 | | | | 270,001 | |
Twitter, Inc.* | | | 6,655 | | | | 257,482 | |
Baidu, Inc. ADR* | | | 1,915 | | | | 253,355 | |
VeriSign, Inc.* | | | 1,056 | | | | 234,918 | |
CDW Corp. | | | 1,278 | | | | 228,621 | |
Okta, Inc.* | | | 1,422 | | | | 214,665 | |
NortonLifeLock, Inc. | | | 7,235 | | | | 191,872 | |
Zendesk, Inc.* | | | 1,497 | | | | 180,074 | |
GoDaddy, Inc. — Class A* | | | 2,125 | | | | 177,863 | |
Pinterest, Inc. — Class A* | | | 7,178 | | | | 176,651 | |
F5, Inc.* | | | 798 | | | | 166,742 | |
Total Internet | | | | | | | 6,845,083 | |
| | | | | | | | | |
COMPUTERS - 13.6% |
Apple, Inc. | | | 14,228 | | | | 2,484,351 | |
International Business Machines Corp. | | | 3,770 | | | | 490,175 | |
Accenture plc — Class A | | | 1,270 | | | | 428,282 | |
Crowdstrike Holdings, Inc. — Class A* | | | 1,593 | | | | 361,739 | |
Fortinet, Inc.* | | | 1,043 | | | | 356,435 | |
126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
Cognizant Technology Solutions Corp. — Class A | | �� | 3,482 | | | $ | 312,231 | |
Zscaler, Inc.* | | | 1,169 | | | | 282,056 | |
HP, Inc. | | | 7,640 | | | | 277,332 | |
Dell Technologies, Inc. — Class C | | | 5,474 | | | | 274,740 | |
Infosys Ltd. ADR | | | 9,098 | | | | 226,449 | |
Check Point Software Technologies Ltd.* | | | 1,614 | | | | 223,152 | |
Seagate Technology Holdings plc | | | 2,234 | | | | 200,837 | |
NetApp, Inc. | | | 2,312 | | | | 191,896 | |
Western Digital Corp.* | | | 3,608 | | | | 179,137 | |
Total Computers | | | | | | | 6,288,812 | |
| | | | | | | | | |
COMMERCIAL SERVICES - 4.4% |
PayPal Holdings, Inc.* | | | 4,526 | | | | 523,432 | |
Automatic Data Processing, Inc. | | | 2,042 | | | | 464,637 | |
Block, Inc. — Class A* | | | 3,059 | | | | 414,800 | |
Global Payments, Inc. | | | 2,068 | | | | 282,985 | |
FleetCor Technologies, Inc.* | | | 820 | | | | 204,229 | |
Marathon Digital Holdings, Inc.*,1 | | | 2,880 | | | | 80,496 | |
Riot Blockchain, Inc.*,1 | | | 3,691 | | | | 78,139 | |
Total Commercial Services | | | | | | | 2,048,718 | |
| | | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES - 4.0% |
Visa, Inc. — Class A | | | 4,500 | | | | 997,965 | |
Mastercard, Inc. — Class A | | | 2,408 | | | | 860,571 | |
Total Diversified Financial Services | | | | | | | 1,858,536 | |
| | | | | | | | | |
TELECOMMUNICATIONS - 3.0% |
Cisco Systems, Inc. | | | 12,284 | | | | 684,956 | |
Arista Networks, Inc.* | | | 2,256 | | | | 313,539 | |
Corning, Inc. | | | 6,727 | | | | 248,293 | |
Juniper Networks, Inc. | | | 4,400 | | | | 163,504 | |
Total Telecommunications | | | | | | | 1,410,292 | |
| | | | | | | | | |
ELECTRONCIS - 1.7% |
Amphenol Corp. — Class A | | | 3,975 | | | | 299,516 | |
TE Connectivity Ltd. | | | 2,251 | | | | 294,836 | |
Trimble, Inc.* | | | 2,744 | | | | 197,952 | |
Total Electronics | | | | | | | 792,304 | |
| | | | | | | | | |
ENERGY-ALTERNATE SOURCES - 1.3% |
Enphase Energy, Inc.* | | | 1,217 | | | | 245,566 | |
SolarEdge Technologies, Inc.* | | | 681 | | | | 219,534 | |
First Solar, Inc.* | | | 1,671 | | | | 139,930 | |
Total Energy-Alternate Sources | | | | | | | 605,030 | |
| | | | | | | | | |
ADVERTISING - 0.6% |
Trade Desk, Inc. — Class A* | | | 3,892 | | | $ | 269,521 | |
| | | | | | | | | |
OFFICE & BUSINESS EQUIPMENT - 0.5% |
Zebra Technologies Corp. — Class A* | | | 519 | | | | 214,710 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $20,784,761) | | | | | | | 46,003,893 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 236,082 | | | | 236,082 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 90,928 | | | | 90,928 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 23,642 | | | | 23,642 | |
Total Repurchase Agreements | | | | |
(Cost $350,652) | | | | | | | 350,652 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.6% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 285,710 | | | | 285,710 | |
Total Securities Lending Collateral | | | | |
(Cost $285,710) | | | | | | | 285,710 | |
| | | | | | | | | |
Total Investments - 100.8% | | | | |
(Cost $21,421,123) | | $ | 46,640,255 | |
Other Assets & Liabilities, net - (0.8)% | | | (388,335 | ) |
Total Net Assets - 100.0% | | $ | 46,251,920 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
TECHNOLOGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 46,003,893 | | | $ | — | | | $ | — | | | $ | 46,003,893 | |
Repurchase Agreements | | | — | | | | 350,652 | | | | — | | | | 350,652 | |
Securities Lending Collateral | | | 285,710 | | | | — | | | | — | | | | 285,710 | |
Total Assets | | $ | 46,289,603 | | | $ | 350,652 | | | $ | — | | | $ | 46,640,255 | |
128 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $268,227 of securities loaned (cost $21,070,471) | | $ | 46,289,603 | |
Repurchase agreements, at value (cost $350,652) | | | 350,652 | |
Receivables: |
Fund shares sold | | | 14,099 | |
Dividends | | | 11,310 | |
Foreign tax reclaims | | | 1,107 | |
Securities lending income | | | 45 | |
Total assets | | | 46,666,816 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 7 | |
Payable for: |
Return of securities lending collateral | | | 285,710 | |
Management fees | | | 32,341 | |
Fund shares redeemed | | | 23,281 | |
Transfer agent and administrative fees | | | 10,235 | |
Distribution and service fees | | | 5,462 | |
Portfolio accounting fees | | | 3,805 | |
Trustees’ fees* | | | 787 | |
Miscellaneous | | | 53,268 | |
Total liabilities | | | 414,896 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 46,251,920 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 22,503,099 | |
Total distributable earnings (loss) | | | 23,748,821 | |
Net assets | | $ | 46,251,920 | |
| | | | | |
Investor Class: |
Net assets | | $ | 32,397,438 | |
Capital shares outstanding | | | 191,894 | |
Net asset value per share | | $ | 168.83 | |
| | | | | |
A-Class: |
Net assets | | $ | 8,305,130 | |
Capital shares outstanding | | | 53,801 | |
Net asset value per share | | $ | 154.37 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 162.07 | |
| | | | | |
C-Class: |
Net assets | | $ | 4,194,198 | |
Capital shares outstanding | | | 31,565 | |
Net asset value per share | | $ | 132.87 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,355,154 | |
Capital shares outstanding | | | 9,000 | |
Net asset value per share | | $ | 150.57 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,438) | | $ | 547,944 | |
Interest | | | 202 | |
Income from securities lending, net | | | 7,459 | |
Total investment income | | | 555,605 | |
| | | | | |
Expenses: |
Management fees | | | 706,478 | |
Distribution and service fees: |
A-Class | | | 25,522 | |
C-Class | | | 57,383 | |
H-Class | | | 9,187 | |
Transfer agent and administrative fees | | | 230,217 | |
Portfolio accounting fees | | | 83,114 | |
Professional fees | | | 28,445 | |
Custodian fees | | | 10,938 | |
Trustees’ fees* | | | 9,095 | |
Line of credit fees | | | 131 | |
Miscellaneous | | | 58,592 | |
Total expenses | | | 1,219,102 | |
Net investment loss | | | (663,497 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 5,398,768 | |
Net realized gain | | | 5,398,768 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (5,462,357 | ) |
Net change in unrealized appreciation (depreciation) | | | (5,462,357 | ) |
Net realized and unrealized loss | | | (63,589 | ) |
Net decrease in net assets resulting from operations | | $ | (727,086 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 129 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (663,497 | ) | | $ | (496,354 | ) |
Net realized gain on investments | | | 5,398,768 | | | | 16,704,253 | |
Net change in unrealized appreciation (depreciation) on investments | | | (5,462,357 | ) | | | 17,934,029 | |
Net increase (decrease) in net assets resulting from operations | | | (727,086 | ) | | | 34,141,928 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (5,271,090 | ) | | | (626,479 | ) |
A-Class | | | (749,357 | ) | | | (157,334 | ) |
C-Class | | | (484,634 | ) | | | (128,380 | ) |
H-Class | | | (335,654 | ) | | | (148,326 | ) |
Total distributions to shareholders | | | (6,840,735 | ) | | | (1,060,519 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 128,824,175 | | | | 100,514,105 | |
A-Class | | | 4,914,961 | | | | 2,394,726 | |
C-Class | | | 1,805,589 | | | | 4,172,637 | |
H-Class | | | 18,247,940 | | | | 27,010,757 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 5,171,883 | | | | 611,649 | |
A-Class | | | 744,507 | | | | 153,794 | |
C-Class | | | 478,382 | | | | 127,649 | |
H-Class | | | 329,788 | | | | 147,540 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (130,640,622 | ) | | | (108,748,503 | ) |
A-Class | | | (6,078,463 | ) | | | (2,845,095 | ) |
C-Class | | | (3,986,263 | ) | | | (4,736,046 | ) |
H-Class | | | (18,691,520 | ) | | | (34,928,240 | ) |
Net increase (decrease) from capital share transactions | | | 1,120,357 | | | | (16,125,027 | ) |
Net increase (decrease) in net assets | | | (6,447,464 | ) | | | 16,956,382 | |
| | | | | | | �� | | |
Net assets: | | | | | | | | |
Beginning of year | | | 52,699,384 | | | | 35,743,002 | |
End of year | | $ | 46,251,920 | | | $ | 52,699,384 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 662,261 | | | | 695,815 | |
A-Class | | | 27,216 | | | | 17,600 | |
C-Class | | | 11,711 | | | | 36,933 | |
H-Class | | | 107,303 | | | | 255,121 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 26,718 | | | | 3,684 | |
A-Class | | | 4,203 | | | | 1,004 | |
C-Class | | | 3,131 | | | | 947 | |
H-Class | | | 1,909 | | | | 985 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (697,221 | ) | | | (730,778 | ) |
A-Class | | | (33,687 | ) | | | (19,880 | ) |
C-Class | | | (26,488 | ) | | | (40,831 | ) |
H-Class | | | (111,036 | ) | | | (283,151 | ) |
Net decrease in shares | | | (23,980 | ) | | | (62,551 | ) |
130 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 177.69 | | | $ | 100.21 | | | $ | 101.77 | | | $ | 94.62 | | | $ | 75.45 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.32 | ) | | | (.96 | ) | | | (.22 | ) | | | (.31 | ) | | | (.29 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.56 | | | | 81.24 | | | | (.80 | ) | | | 11.99 | | | | 20.66 | |
Total from investment operations | | | 5.24 | | | | 80.28 | | | | (1.02 | ) | | | 11.68 | | | | 20.37 | |
Less distributions from: |
Net realized gains | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Total distributions | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Net asset value, end of period | | $ | 168.83 | | | $ | 177.69 | | | $ | 100.21 | | | $ | 101.77 | | | $ | 94.62 | |
|
Total Return | | | 1.94 | % | | | 80.31 | % | | | (1.06 | %) | | | 13.05 | % | | | 27.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,397 | | | $ | 35,562 | | | $ | 23,190 | | | $ | 60,972 | | | $ | 76,820 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.68 | %) | | | (0.65 | %) | | | (0.20 | %) | | | (0.32 | %) | | | (0.34 | %) |
Total expenses | | | 1.36 | % | | | 1.44 | % | | | 1.47 | % | | | 1.46 | % | | | 1.37 | % |
Portfolio turnover rate | | | 175 | % | | | 195 | % | | | 165 | % | | | 255 | % | | | 270 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 163.90 | | | $ | 92.79 | | | $ | 94.51 | | | $ | 88.40 | | | $ | 70.74 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.68 | ) | | | (1.24 | ) | | | (.41 | ) | | | (.49 | ) | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.25 | | | | 75.15 | | | | (.77 | ) | | | 11.13 | | | | 19.31 | |
Total from investment operations | | | 4.57 | | | | 73.91 | | | | (1.18 | ) | | | 10.64 | | | | 18.86 | |
Less distributions from: |
Net realized gains | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Total distributions | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Net asset value, end of period | | $ | 154.37 | | | $ | 163.90 | | | $ | 92.79 | | | $ | 94.51 | | | $ | 88.40 | |
|
Total Returnb | | | 1.69 | % | | | 79.86 | % | | | (1.31 | %) | | | 12.77 | % | | | 26.77 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,305 | | | $ | 9,190 | | | $ | 5,321 | | | $ | 6,007 | | | $ | 5,033 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.96 | %) | | | (0.90 | %) | | | (0.40 | %) | | | (0.54 | %) | | | (0.56 | %) |
Total expenses | | | 1.61 | % | | | 1.69 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 175 | % | | | 195 | % | | | 165 | % | | | 255 | % | | | 270 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 131 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 143.81 | | | $ | 82.23 | | | $ | 84.44 | | | $ | 80.06 | | | $ | 64.64 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.60 | ) | | | (2.01 | ) | | | (1.06 | ) | | | (1.10 | ) | | | (1.02 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.76 | | | | 66.39 | | | | (.61 | ) | | | 10.01 | | | | 17.64 | |
Total from investment operations | | | 3.16 | | | | 64.38 | | | | (1.67 | ) | | | 8.91 | | | | 16.62 | |
Less distributions from: |
Net realized gains | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Total distributions | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Net asset value, end of period | | $ | 132.87 | | | $ | 143.81 | | | $ | 82.23 | | | $ | 84.44 | | | $ | 80.06 | |
|
Total Returnb | | | 0.92 | % | | | 78.52 | % | | | (2.05 | %) | | | 11.93 | % | | | 25.85 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,194 | | | $ | 6,214 | | | $ | 3,796 | | | $ | 5,586 | | | $ | 6,409 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.70 | %) | | | (1.65 | %) | | | (1.17 | %) | | | (1.33 | %) | | | (1.37 | %) |
Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 175 | % | | | 195 | % | | | 165 | % | | | 255 | % | | | 270 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 160.17 | | | $ | 90.72 | | | $ | 92.40 | | | $ | 86.54 | | | $ | 69.27 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.62 | ) | | | (1.01 | ) | | | (.47 | ) | | | (.64 | ) | | | (.46 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.12 | | | | 73.26 | | | | (.67 | ) | | | 11.03 | | | | 18.93 | |
Total from investment operations | | | 4.50 | | | | 72.25 | | | | (1.14 | ) | | | 10.39 | | | | 18.47 | |
Less distributions from: |
Net realized gains | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Total distributions | | | (14.10 | ) | | | (2.80 | ) | | | (.54 | ) | | | (4.53 | ) | | | (1.20 | ) |
Net asset value, end of period | | $ | 150.57 | | | $ | 160.17 | | | $ | 90.72 | | | $ | 92.40 | | | $ | 86.54 | |
|
Total Return | | | 1.68 | % | | | 79.85 | % | | | (1.30 | %) | | | 12.76 | % | | | 26.78 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,355 | | | $ | 1,734 | | | $ | 3,435 | | | $ | 12,846 | | | $ | 40,149 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.93 | %) | | | (0.83 | %) | | | (0.47 | %) | | | (0.71 | %) | | | (0.58 | %) |
Total expenses | | | 1.60 | % | | | 1.74 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % |
Portfolio turnover rate | | | 175 | % | | | 195 | % | | | 165 | % | | | 255 | % | | | 270 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
For the one-year period ended March 31, 2022, Telecommunications Fund Investor Class returned -4.36%, compared with -0.93% for the S&P 500 Telecommunication Services Index. The broader S&P 500 Index returned 15.65%.
Communications equipment and wireless telecommunication services alternative carriers contributed the most to return for the period. Cable & satellite, movies & entertainment, and integrated telecommunication services detracted the most from return.
Arista Networks, Inc., Motorola Solutions, Inc., and Cisco Systems, Inc. contributed the most to the Fund’s return for the period. Roku, Inc., Altice USA, Inc. - Class A, and AT&T, Inc. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 8.6% |
Comcast Corp. — Class A | 8.2% |
AT&T, Inc. | 7.8% |
Cisco Systems, Inc. | 7.5% |
T-Mobile US, Inc. | 7.5% |
Charter Communications, Inc. — Class A | 5.5% |
Arista Networks, Inc. | 4.1% |
Motorola Solutions, Inc. | 3.9% |
Liberty Broadband Corp. — Class C | 2.8% |
Ubiquiti, Inc. | 2.6% |
Top Ten Total | 58.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 133 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (4.36%) | 4.29% | 4.86% |
A-Class Shares | (4.59%) | 4.04% | 4.59% |
A-Class Shares with sales charge‡ | (9.13%) | 3.03% | 4.09% |
C-Class Shares | (5.30%) | 3.26% | 3.87% |
C-Class Shares with CDSC§ | (6.25%) | 3.26% | 3.87% |
H-Class Shares** | (4.60%) | 4.08% | 4.52% |
S&P 500 Telecommunication Services Index | (0.93%) | 9.58% | 9.93% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunication Services Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
134 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
TELECOMMUNICATIONS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.7% |
| | | | | | | | | |
TELECOMMUNICATIONS - 67.9% |
Verizon Communications, Inc. | | | 2,711 | | | $ | 138,098 | |
AT&T, Inc. | | | 5,296 | | | | 125,144 | |
Cisco Systems, Inc. | | | 2,170 | | | | 120,999 | |
T-Mobile US, Inc.* | | | 941 | | | | 120,777 | |
Arista Networks, Inc.* | | | 470 | | | | 65,321 | |
Motorola Solutions, Inc. | | | 259 | | | | 62,730 | |
Ubiquiti, Inc. | | | 142 | | | | 41,345 | |
Juniper Networks, Inc. | | | 933 | | | | 34,670 | |
Lumen Technologies, Inc. | | | 2,936 | | | | 33,089 | |
Ciena Corp.* | | | 484 | | | | 29,345 | |
Frontier Communications Parent, Inc.* | | | 892 | | | | 24,682 | |
Vonage Holdings Corp.* | | | 1,076 | | | | 21,832 | |
Iridium Communications, Inc.* | | | 530 | | | | 21,370 | |
BCE, Inc. | | | 329 | | | | 18,246 | |
Viavi Solutions, Inc.* | | | 1,132 | | | | 18,203 | |
Vodafone Group plc ADR1 | | | 1,072 | | | | 17,817 | |
America Movil SAB de CV — Class L ADR | | | 832 | | | | 17,597 | |
Viasat, Inc.* | | | 357 | | | | 17,422 | |
Nice Ltd. ADR* | | | 78 | | | | 17,082 | |
TELUS Corp. | | | 603 | | | | 15,762 | |
Rogers Communications, Inc. — Class B | | | 272 | | | | 15,436 | |
Calix, Inc.* | | | 351 | | | | 15,061 | |
Plantronics, Inc.* | | | 376 | | | | 14,814 | |
Gogo, Inc.* | | | 757 | | | | 14,428 | |
Telephone & Data Systems, Inc. | | | 741 | | | | 13,990 | |
EchoStar Corp. — Class A* | | | 550 | | | | 13,387 | |
InterDigital, Inc. | | | 207 | | | | 13,207 | |
Extreme Networks, Inc.* | | | 999 | | | | 12,198 | |
CommScope Holding Company, Inc.* | | | 1,467 | | | | 11,560 | |
NETGEAR, Inc.* | | | 327 | | | | 8,070 | |
Total Telecommunications | | | | | | | 1,093,682 | |
| | | | | | | | | |
MEDIA - 24.0% |
Comcast Corp. — Class A | | | 2,831 | | | | 132,547 | |
Charter Communications, Inc. — Class A* | | | 161 | | | | 87,829 | |
Liberty Broadband Corp. — Class C* | | | 328 | | | | 44,385 | |
DISH Network Corp. — Class A* | | | 1,227 | | | | 38,834 | |
Cable One, Inc. | | | 19 | | | | 27,821 | |
Altice USA, Inc. — Class A* | | | 1,897 | | | | 23,675 | |
Liberty Global plc — Class C* | | | 687 | | | | 17,800 | |
Liberty Latin America Ltd. — Class C* | | | 1,455 | | | | 13,953 | |
Total Media | | | | | | | 386,844 | |
| | | | | | | | | |
INTERNET - 5.7% |
Roku, Inc.* | | | 309 | | | | 38,708 | |
F5, Inc.* | | | 166 | | | | 34,686 | |
Cogent Communications Holdings, Inc. | | | 263 | | | | 17,450 | |
Total Internet | | | | | | | 90,844 | |
| | | | | | | | | |
COMPUTERS - 2.5% |
Lumentum Holdings, Inc.* | | | 264 | | | | 25,767 | |
NetScout Systems, Inc.* | | | 454 | | | | 14,564 | |
Total Computers | | | | | | | 40,331 | |
| | | | | | | | | |
SOFTWARE - 0.6% |
Bandwidth, Inc. — Class A* | | | 270 | | | | 8,745 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,258,096) | | | | | | | 1,620,446 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.6% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 17,399 | | | | 17,399 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 6,701 | | | | 6,701 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 1,743 | | | | 1,743 | |
Total Repurchase Agreements | | | | |
(Cost $25,843) | | | | | | | 25,843 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 2.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 34,569 | | | | 34,569 | |
Total Securities Lending Collateral | | | | |
(Cost $34,569) | | | | | | | 34,569 | |
| | | | | | | | | |
Total Investments - 104.4% | | | | |
(Cost $1,318,508) | | $ | 1,680,858 | |
Other Assets & Liabilities, net - (4.4)% | | | (70,965 | ) |
Total Net Assets - 100.0% | | $ | 1,609,893 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
TELECOMMUNICATIONS FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,620,446 | | | $ | — | | | $ | — | | | $ | 1,620,446 | |
Repurchase Agreements | | | — | | | | 25,843 | | | | — | | | | 25,843 | |
Securities Lending Collateral | | | 34,569 | | | | — | | | | — | | | | 34,569 | |
Total Assets | | $ | 1,655,015 | | | $ | 25,843 | | | $ | — | | | $ | 1,680,858 | |
136 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $33,306 of securities loaned (cost $1,292,665) | | $ | 1,655,015 | |
Repurchase agreements, at value (cost $25,843) | | | 25,843 | |
Receivables: |
Securities sold | | | 2,556,317 | |
Fund shares sold | | | 5,880 | |
Dividends | | | 2,063 | |
Securities lending income | | | 22 | |
Total assets | | | 4,245,140 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 2,593,350 | |
Return of securities lending collateral | | | 34,569 | |
Management fees | | | 3,006 | |
Transfer agent and administrative fees | | | 951 | |
Portfolio accounting fees | | | 354 | |
Distribution and service fees | | | 209 | |
Trustees’ fees* | | | 41 | |
Miscellaneous | | | 2,767 | |
Total liabilities | | | 2,635,247 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 1,609,893 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,708,077 | |
Total distributable earnings (loss) | | | (2,098,184 | ) |
Net assets | | $ | 1,609,893 | |
| | | | | |
Investor Class: |
Net assets | | $ | 997,094 | |
Capital shares outstanding | | | 18,684 | |
Net asset value per share | | $ | 53.37 | |
| | | | | |
A-Class: |
Net assets | | $ | 367,617 | |
Capital shares outstanding | | | 7,611 | |
Net asset value per share | | $ | 48.30 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 50.71 | |
| | | | | |
C-Class: |
Net assets | | $ | 121,588 | |
Capital shares outstanding | | | 2,933 | |
Net asset value per share | | $ | 41.46 | |
| | | | | |
H-Class: |
Net assets | | $ | 123,594 | |
Capital shares outstanding | | | 2,630 | |
Net asset value per share | | $ | 47.00 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $951) | | $ | 86,488 | |
Interest | | | 9 | |
Income from securities lending, net | | | 83 | |
Total investment income | | | 86,580 | |
| | | | | |
Expenses: |
Management fees | | | 30,903 | |
Distribution and service fees: |
A-Class | | | 1,186 | |
C-Class | | | 1,362 | |
H-Class | | | 543 | |
Transfer agent and administrative fees | | | 10,043 | |
Portfolio accounting fees | | | 3,636 | |
Professional fees | | | 796 | |
Custodian fees | | | 652 | |
Trustees’ fees* | | | 363 | |
Line of credit fees | | | 11 | |
Miscellaneous | | | 3,166 | |
Total expenses | | | 52,661 | |
Net investment income | | | 33,919 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (261,486 | ) |
Net realized loss | | | (261,486 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (123,214 | ) |
Net change in unrealized appreciation (depreciation) | | | (123,214 | ) |
Net realized and unrealized loss | | | (384,700 | ) |
Net decrease in net assets resulting from operations | | $ | (350,781 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 137 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 33,919 | | | $ | 51,834 | |
Net realized gain (loss) on investments | | | (261,486 | ) | | | 452,744 | |
Net change in unrealized appreciation (depreciation) on investments | | | (123,214 | ) | | | 577,545 | |
Net increase (decrease) in net assets resulting from operations | | | (350,781 | ) | | | 1,082,123 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (18,236 | ) | | | (33,285 | ) |
A-Class | | | (2,203 | ) | | | (11,456 | ) |
C-Class | | | (508 | ) | | | (5,894 | ) |
H-Class | | | (777 | ) | | | (2,961 | ) |
Total distributions to shareholders | | | (21,724 | ) | | | (53,596 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 18,735,820 | | | | 11,143,082 | |
A-Class | | | 252,897 | | | | 215,071 | |
C-Class | | | 817,878 | | | | 1,114,484 | |
H-Class | | | 546,575 | | | | 179,033 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 18,195 | | | | 32,851 | |
A-Class | | | 2,164 | | | | 9,865 | |
C-Class | | | 502 | | | | 5,868 | |
H-Class | | | 777 | | | | 2,961 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (19,179,624 | ) | | | (13,224,675 | ) |
A-Class | | | (324,472 | ) | | | (325,159 | ) |
C-Class | | | (883,979 | ) | | | (1,087,947 | ) |
H-Class | | | (677,054 | ) | | | (71,584 | ) |
Net decrease from capital share transactions | | | (690,321 | ) | | | (2,006,150 | ) |
Net decrease in net assets | | | (1,062,826 | ) | | | (977,623 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 2,672,719 | | | | 3,650,342 | |
End of year | | $ | 1,609,893 | | | $ | 2,672,719 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 330,065 | | | | 222,275 | |
A-Class | | | 4,983 | | | | 4,543 | |
C-Class | | | 18,056 | | | | 28,170 | |
H-Class | | | 11,043 | | | | 3,760 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 329 | | | | 622 | |
A-Class | | | 43 | | | | 205 | |
C-Class | | | 12 | | | | 141 | |
H-Class | | | 16 | | | | 63 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (343,349 | ) | | | (260,351 | ) |
A-Class | | | (6,599 | ) | | | (6,878 | ) |
C-Class | | | (19,404 | ) | | | (27,407 | ) |
H-Class | | | (13,372 | ) | | | (1,601 | ) |
Net decrease in shares | | | (18,177 | ) | | | (36,458 | ) |
138 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 56.03 | | | $ | 43.19 | | | $ | 50.17 | | | $ | 47.66 | | | $ | 47.95 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .58 | | | | .66 | | | | .69 | | | | .46 | | | | .43 | |
Net gain (loss) on investments (realized and unrealized) | | | (3.00 | ) | | | 13.33 | | | | (5.91 | ) | | | 2.17 | c | | | 1.17 | |
Total from investment operations | | | (2.42 | ) | | | 13.99 | | | | (5.22 | ) | | | 2.63 | | | | 1.60 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.10 | ) | | | — | |
Total distributions | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) |
Net asset value, end of period | | $ | 53.37 | | | $ | 56.03 | | | $ | 43.19 | | | $ | 50.17 | | | $ | 47.66 | |
|
Total Return | | | (4.36 | %) | | | 32.55 | % | | | (10.74 | %) | | | 5.52 | % | | | 3.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 997 | | | $ | 1,773 | | | $ | 2,984 | | | $ | 2,989 | | | $ | 1,309 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.02 | % | | | 1.33 | % | | | 1.38 | % | | | 0.94 | % | | | 0.89 | % |
Total expenses | | | 1.36 | % | | | 1.46 | % | | | 1.48 | % | | | 1.47 | % | | | 1.38 | % |
Portfolio turnover rate | | | 551 | % | | | 344 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 50.87 | | | $ | 39.40 | | | $ | 46.03 | | | $ | 43.84 | | | $ | 44.39 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .37 | | | | .41 | | | | .31 | | | | .43 | | | | .20 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.70 | ) | | | 12.21 | | | | (5.18 | ) | | | 1.88 | c | | | 1.14 | |
Total from investment operations | | | (2.33 | ) | | | 12.62 | | | | (4.87 | ) | | | 2.31 | | | | 1.34 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.10 | ) | | | — | |
Total distributions | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) |
Net asset value, end of period | | $ | 48.30 | | | $ | 50.87 | | | $ | 39.40 | | | $ | 46.03 | | | $ | 43.84 | |
|
Total Returnb | | | (4.59 | %) | | | 32.20 | % | | | (10.95 | %) | | | 5.27 | % | | | 3.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 368 | | | $ | 467 | | | $ | 446 | | | $ | 508 | | | $ | 448 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.71 | % | | | 0.90 | % | | | 0.69 | % | | | 0.96 | % | | | 0.45 | % |
Total expenses | | | 1.61 | % | | | 1.70 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 551 | % | | | 344 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 139 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.03 | | | $ | 34.47 | | | $ | 40.81 | | | $ | 39.17 | | | $ | 40.14 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.01 | ) | | | .01 | | | | .04 | | | | .06 | | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.32 | ) | | | 10.70 | | | | (4.62 | ) | | | 1.70 | c | | | 1.01 | |
Total from investment operations | | | (2.33 | ) | | | 10.71 | | | | (4.58 | ) | | | 1.76 | | | | .92 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.10 | ) | | | — | |
Total distributions | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) |
Net asset value, end of period | | $ | 41.46 | | | $ | 44.03 | | | $ | 34.47 | | | $ | 40.81 | | | $ | 39.17 | |
|
Total Returnb | | | (5.30 | %) | | | 31.22 | % | | | (11.62 | %) | | | 4.49 | % | | | 2.30 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 122 | | | $ | 188 | | | $ | 116 | | | $ | 251 | | | $ | 368 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.02 | % | | | 0.03 | % | | | 0.10 | % | | | 0.15 | % | | | (0.22 | %) |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 551 | % | | | 344 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 49.50 | | | $ | 38.36 | | | $ | 44.88 | | | $ | 42.66 | | | $ | 43.21 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 0.44 | | | | .28 | | | | .44 | | | | 1.16 | | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.70 | ) | | | 12.01 | | | | (5.20 | ) | | | 1.18 | c | | | 1.40 | |
Total from investment operations | | | (2.26 | ) | | | 12.29 | | | | (4.76 | ) | | | 2.34 | | | | 1.34 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.02 | ) | | | (1.89 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.10 | ) | | | — | |
Total distributions | | | (.24 | ) | | | (1.15 | ) | | | (1.76 | ) | | | (.12 | ) | | | (1.89 | ) |
Net asset value, end of period | | $ | 47.00 | | | $ | 49.50 | | | $ | 38.36 | | | $ | 44.88 | | | $ | 42.66 | |
|
Total Return | | | (4.60 | %) | | | 32.24 | % | | | (10.98 | %) | | | 5.51 | % | | | 3.07 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 124 | | | $ | 245 | | | $ | 104 | | | $ | 334 | | | $ | 140 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.86 | % | | | 0.61 | % | | | 0.99 | % | | | 2.73 | % | | | (0.14 | %) |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.73 | % | | | 1.74 | % | | | 1.63 | % |
Portfolio turnover rate | | | 551 | % | | | 344 | % | | | 561 | % | | | 2,115 | % | | | 1,455 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | 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. |
140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
For the one-year period ended March 31, 2022, Transportation Fund Investor Class returned -0.71%, compared with 6.14% for the S&P 500 Industrials Index. The broader S&P 500 Index returned 15.65%.
Railroads, marine, and auto manufacturers contributed the most to return for the period. The only industry to detract from return was auto parts & equipment.
Tesla, Inc., Avis Budget Group, Inc., and United Parcel Service, Inc. - Class B contributed the most to the Fund’s return for the period. Uber Technologies, Inc., NIO, Inc. ADR, and QuantumScape Corp. - Class A detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 14.3% |
United Parcel Service, Inc. — Class B | 5.2% |
Union Pacific Corp. | 4.5% |
CSX Corp. | 3.5% |
Norfolk Southern Corp. | 3.2% |
Uber Technologies, Inc. | 3.2% |
General Motors Co. | 3.0% |
FedEx Corp. | 3.0% |
Lucid Group, Inc. | 2.5% |
Old Dominion Freight Line, Inc. | 2.1% |
Top Ten Total | 44.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 141 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (0.71%) | 12.83% | 13.85% |
A-Class Shares | (0.95%) | 12.54% | 13.57% |
A-Class Shares with sales charge‡ | (5.65%) | 11.45% | 13.02% |
C-Class Shares | (1.68%) | 11.71% | 12.72% |
C-Class Shares with CDSC§ | (2.53%) | 11.71% | 12.72% |
H-Class Shares** | (0.94%) | 12.53% | 13.47% |
S&P 500 Industrials Index | 6.14% | 11.27% | 12.71% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
142 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
TRANSPORTATION - 38.8% |
United Parcel Service, Inc. — Class B | | | 4,888 | | | $ | 1,048,280 | |
Union Pacific Corp. | | | 3,320 | | | | 907,057 | |
CSX Corp. | | | 19,185 | | | | 718,478 | |
Norfolk Southern Corp. | | | 2,308 | | | | 658,288 | |
FedEx Corp. | | | 2,636 | | | | 609,944 | |
Old Dominion Freight Line, Inc. | | | 1,449 | | | | 432,787 | |
J.B. Hunt Transport Services, Inc. | | | 1,648 | | | | 330,902 | |
Expeditors International of Washington, Inc. | | | 3,119 | | | | 321,756 | |
CH Robinson Worldwide, Inc. | | | 2,748 | | | | 295,987 | |
Canadian Pacific Railway Ltd. | | | 3,380 | | | | 278,985 | |
Canadian National Railway Co. | | | 1,799 | | | | 241,318 | |
XPO Logistics, Inc.* | | | 2,982 | | | | 217,090 | |
Knight-Swift Transportation Holdings, Inc. | | | 4,142 | | | | 209,005 | |
ZTO Express Cayman, Inc. ADR | | | 8,341 | | | | 208,525 | |
ZIM Integrated Shipping Services Ltd. | | | 2,504 | | | | 182,066 | |
Landstar System, Inc. | | | 1,185 | | | | 178,734 | |
Saia, Inc.* | | | 732 | | | | 178,476 | |
Matson, Inc. | | | 1,469 | | | | 177,191 | |
Kirby Corp.* | | | 2,342 | | | | 169,069 | |
Ryder System, Inc. | | | 1,969 | | | | 156,201 | |
Atlas Air Worldwide Holdings, Inc.* | | | 1,471 | | | | 127,050 | |
Werner Enterprises, Inc. | | | 2,980 | | | | 122,180 | |
ArcBest Corp. | | | 1,262 | | | | 101,591 | |
Total Transportation | | | | | | | 7,870,960 | |
| | | | | | | | | |
AUTO MAUFACTURERS - 26.3% |
Tesla, Inc.* | | | 2,697 | | | | 2,906,287 | |
General Motors Co.* | | | 14,041 | | | | 614,153 | |
Lucid Group, Inc.*,1 | | | 20,083 | | | | 510,108 | |
NIO, Inc. ADR* | | | 13,272 | | | | 279,376 | |
Li Auto, Inc. ADR* | | | 9,075 | | | | 234,226 | |
Ferrari N.V. | | | 1,014 | | | | 221,143 | |
Toyota Motor Corp. ADR1 | | | 1,170 | | | | 210,893 | |
Stellantis N.V. | | | 12,247 | | | | 199,259 | |
Fisker, Inc.*,1 | | | 12,135 | | | | 156,541 | |
Total Auto Manufacturers | | | | | | | 5,331,986 | |
| | | | | | | | | |
AUTO PARTS & EQUIPMENT - 11.3% |
Aptiv plc* | | | 2,527 | | | | 302,507 | |
BorgWarner, Inc. | | | 6,105 | | | | 237,485 | |
Magna International, Inc. | | | 3,509 | | | | 225,664 | |
Lear Corp. | | | 1,527 | | | | 217,735 | |
Gentex Corp. | | | 6,978 | | | | 203,548 | |
Autoliv, Inc. | | | 2,625 | | | | 200,655 | |
Luminar Technologies, Inc.*,1 | | | 12,090 | | | | 188,967 | |
Fox Factory Holding Corp.* | | | 1,578 | | | | 154,565 | |
Adient plc* | | | 3,779 | | | | 154,070 | |
Goodyear Tire & Rubber Co.* | | | 10,755 | | | | 153,689 | |
Visteon Corp.* | | | 1,191 | | | | 129,974 | |
Dana, Inc. | | | 6,841 | | | | 120,196 | |
Total Auto Parts & Equipment | | | | | | | 2,289,055 | |
| | | | | | | | | |
AIRLINES - 11.1% |
Southwest Airlines Co.* | | | 9,110 | | | | 417,238 | |
Delta Air Lines, Inc.* | | | 10,065 | | | | 398,272 | |
United Airlines Holdings, Inc.* | | | 6,720 | | | | 311,539 | |
American Airlines Group, Inc.* | | | 15,189 | | | | 277,199 | |
Alaska Air Group, Inc.* | | | 3,673 | | | | 213,071 | |
Copa Holdings S.A. — Class A* | | | 2,545 | | | | 212,864 | |
JetBlue Airways Corp.* | | | 11,299 | | | | 168,920 | |
Allegiant Travel Co. — Class A* | | | 824 | | | | 133,809 | |
Spirit Airlines, Inc.* | | | 5,335 | | | | 116,677 | |
Total Airlines | | | | | | | 2,249,589 | |
| | | | | | | | | |
COMMERCIAL SERVICES - 4.7% |
AMERCO | | | 439 | | | | 262,056 | |
Avis Budget Group, Inc.* | | | 986 | | | | 259,614 | |
Hertz Global Holdings, Inc.* | | | 10,299 | | | | 228,123 | |
GXO Logistics, Inc.* | | | 2,988 | | | | 213,164 | |
Total Commercial Services | | | | | | | 962,957 | |
| | | | | | | | | |
INTERNET - 4.6% |
Uber Technologies, Inc.* | | | 18,418 | | | | 657,154 | |
Lyft, Inc. — Class A* | | | 7,337 | | | | 281,741 | |
Total Internet | | | | | | | 938,895 | |
| | | | | | | | | |
HOME BUILDERS - 1.8% |
Thor Industries, Inc. | | | 2,015 | | | | 158,581 | |
LCI Industries | | | 1,129 | | | | 117,201 | |
Winnebago Industries, Inc. | | | 1,845 | | | | 99,685 | |
Total Home Builders | | | | | | | 375,467 | |
| | | | | | | | | |
LEISURE TIME - 0.9% |
Harley-Davidson, Inc. | | | 4,828 | | | | 190,223 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $11,215,296) | | | | | | | 20,209,132 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.2% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 31,973 | | | | 31,973 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 12,315 | | | | 12,315 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 3,202 | | | | 3,202 | |
Total Repurchase Agreements | | | | |
(Cost $47,490) | | | | | | | 47,490 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 143 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 4.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 882,934 | | | $ | 882,934 | |
Total Securities Lending Collateral | | | | |
(Cost $882,934) | | | | | | | 882,934 | |
| | | | | | | | | |
Total Investments - 104.0% | | | | |
(Cost $12,145,720) | | $ | 21,139,556 | |
Other Assets & Liabilities, net - (4.1)% | | | (830,120 | ) |
Total Net Assets - 100.0% | | $ | 20,309,436 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 20,209,132 | | | $ | — | | | $ | — | | | $ | 20,209,132 | |
Repurchase Agreements | | | — | | | | 47,490 | | | | — | | | | 47,490 | |
Securities Lending Collateral | | | 882,934 | | | | — | | | | — | | | | 882,934 | |
Total Assets | | $ | 21,092,066 | | | $ | 47,490 | | | $ | — | | | $ | 21,139,556 | |
144 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $840,579 of securities loaned (cost $12,098,230) | | $ | 21,092,066 | |
Repurchase agreements, at value (cost $47,490) | | | 47,490 | |
Cash | | | 987 | |
Receivables: |
Securities sold | | | 1,176,042 | |
Dividends | | | 37,137 | |
Securities lending income | | | 2,275 | |
Fund shares sold | | | 1,411 | |
Foreign tax reclaims | | | 117 | |
Total assets | | | 22,357,525 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 1,113,852 | |
Return of securities lending collateral | | | 882,934 | |
Management fees | | | 14,448 | |
Transfer agent and administrative fees | | | 4,572 | |
Distribution and service fees | | | 3,087 | |
Portfolio accounting fees | | | 1,700 | |
Trustees’ fees* | | | 403 | |
Miscellaneous | | | 27,093 | |
Total liabilities | | | 2,048,089 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 20,309,436 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,021,422 | |
Total distributable earnings (loss) | | | 8,288,014 | |
Net assets | | $ | 20,309,436 | |
| | | | | |
Investor Class: |
Net assets | | $ | 10,813,600 | |
Capital shares outstanding | | | 144,755 | |
Net asset value per share | | $ | 74.70 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,123,264 | |
Capital shares outstanding | | | 107,384 | |
Net asset value per share | | $ | 66.33 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 69.64 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,772,309 | |
Capital shares outstanding | | | 30,985 | |
Net asset value per share | | $ | 57.20 | |
| | | | | |
H-Class: |
Net assets | | $ | 600,263 | |
Capital shares outstanding | | | 9,399 | |
Net asset value per share | | $ | 63.86 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $16,032) | | $ | 496,044 | |
Interest | | | 82 | |
Income from securities lending, net | | | 31,935 | |
Total investment income | | | 528,061 | |
| | | | | |
Expenses: |
Management fees | | | 311,337 | |
Distribution and service fees: |
A-Class | | | 18,344 | |
C-Class | | | 19,974 | |
H-Class | | | 2,399 | |
Transfer agent and administrative fees | | | 104,103 | |
Portfolio accounting fees | | | 36,628 | |
Professional fees | | | 22,898 | |
Trustees’ fees* | | | 8,136 | |
Custodian fees | | | 5,318 | |
Line of credit fees | | | 15 | |
Miscellaneous | | | 7,946 | |
Total expenses | | | 537,098 | |
Net investment loss | | | (9,037 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 12,704,185 | |
Net realized gain | | | 12,704,185 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (13,331,695 | ) |
Net change in unrealized appreciation (depreciation) | | | (13,331,695 | ) |
Net realized and unrealized loss | | | (627,510 | ) |
Net decrease in net assets resulting from operations | | $ | (636,547 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 145 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (9,037 | ) | | $ | (141,047 | ) |
Net realized gain on investments | | | 12,704,185 | | | | 2,044,541 | |
Net change in unrealized appreciation (depreciation) on investments | | | (13,331,695 | ) | | | 22,930,104 | |
Net increase (decrease) in net assets resulting from operations | | | (636,547 | ) | | | 24,833,598 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (2,599,261 | ) | | | — | |
A-Class | | | (941,795 | ) | | | — | |
C-Class | | | (291,957 | ) | | | — | |
H-Class | | | (113,602 | ) | | | — | |
Total distributions to shareholders | | | (3,946,615 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 65,922,298 | | | | 122,795,894 | |
A-Class | | | 4,644,701 | | | | 6,706,823 | |
C-Class | | | 873,754 | | | | 1,739,055 | |
H-Class | | | 3,301,957 | | | | 3,126,338 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 2,571,516 | | | | — | |
A-Class | | | 925,836 | | | | — | |
C-Class | | | 285,407 | | | | — | |
H-Class | | | 111,276 | | | | — | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (120,031,069 | ) | | | (80,971,211 | ) |
A-Class | | | (5,145,587 | ) | | | (3,846,052 | ) |
C-Class | | | (994,687 | ) | | | (1,281,133 | ) |
H-Class | | | (3,762,803 | ) | | | (2,910,829 | ) |
Net increase (decrease) from capital share transactions | | | (51,297,401 | ) | | | 45,358,885 | |
Net increase (decrease) in net assets | | | (55,880,563 | ) | | | 70,192,483 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 76,189,999 | | | | 5,997,516 | |
End of year | | $ | 20,309,436 | | | $ | 76,189,999 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 775,527 | | | | 1,966,468 | |
A-Class | | | 61,397 | | | | 113,534 | |
C-Class | | | 13,034 | | | | 36,253 | |
H-Class | | | 43,975 | | | | 59,463 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 31,921 | | | | — | |
A-Class | | | 12,932 | | | | — | |
C-Class | | | 4,613 | | | | — | |
H-Class | | | 1,615 | | | | — | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,437,306 | ) | | | (1,279,662 | ) |
A-Class | | | (69,348 | ) | | | (63,091 | ) |
C-Class | | | (15,704 | ) | | | (28,171 | ) |
H-Class | | | (52,096 | ) | | | (53,494 | ) |
Net increase (decrease) in shares | | | (629,440 | ) | | | 751,300 | |
146 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 84.28 | | | $ | 37.39 | | | $ | 50.08 | | | $ | 59.10 | | | $ | 53.52 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .04 | | | | (.20 | ) | | | .30 | | | | .09 | | | | (.04 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .07 | | | | 47.09 | | | | (11.07 | ) | | | (4.02 | ) | | | 6.85 | |
Total from investment operations | | | .11 | | | | 46.89 | | | | (10.77 | ) | | | (3.93 | ) | | | 6.81 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.15 | ) | | | — | | | | — | |
Net realized gains | | | (9.69 | ) | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) |
Total distributions | | | (9.69 | ) | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) |
Net asset value, end of period | | $ | 74.70 | | | $ | 84.28 | | | $ | 37.39 | | | $ | 50.08 | | | $ | 59.10 | |
|
Total Return | | | (0.71 | %) | | | 125.41 | % | | | (22.59 | %) | | | (6.33 | %) | | | 12.67 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,814 | | | $ | 65,281 | | | $ | 3,283 | | | $ | 7,994 | | | $ | 16,603 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.05 | % | | | (0.29 | %) | | | 0.58 | % | | | 0.16 | % | | | (0.07 | %) |
Total expenses | | | 1.35 | % | | | 1.41 | % | | | 1.48 | % | | | 1.46 | % | | | 1.37 | % |
Portfolio turnover rate | | | 162 | % | | | 205 | % | | | 483 | % | | | 476 | % | | | 483 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 76.03 | | | $ | 33.82 | | | $ | 45.58 | | | $ | 54.43 | | | $ | 49.50 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.04 | ) | | | (.34 | ) | | | .17 | | | | (.01 | ) | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .03 | | | | 42.55 | | | | (10.01 | ) | | | (3.75 | ) | | | 6.23 | |
Total from investment operations | | | (.01 | ) | | | 42.21 | | | | (9.84 | ) | | | (3.76 | ) | | | 6.16 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.15 | ) | | | — | | | | — | |
Net realized gains | | | (9.69 | ) | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) |
Total distributions | | | (9.69 | ) | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) |
Net asset value, end of period | | $ | 66.33 | | | $ | 76.03 | | | $ | 33.82 | | | $ | 45.58 | | | $ | 54.43 | |
|
Total Returnb | | | (0.95 | %) | | | 124.81 | % | | | (22.78 | %) | | | (6.57 | %) | | | 12.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,123 | | | $ | 7,785 | | | $ | 1,757 | | | $ | 3,166 | | | $ | 5,760 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.05 | %) | | | (0.59 | %) | | | 0.37 | % | | | (0.03 | %) | | | (0.12 | %) |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 162 | % | | | 205 | % | | | 483 | % | | | 476 | % | | | 483 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 147 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 67.28 | | | $ | 30.15 | | | $ | 41.14 | | | $ | 50.04 | | | $ | 45.93 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.52 | ) | | | (.67 | ) | | | (.18 | ) | | | (.41 | ) | | | (.43 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .13 | | | | 37.80 | | | | (8.89 | ) | | | (3.40 | ) | | | 5.77 | |
Total from investment operations | | | (.39 | ) | | | 37.13 | | | | (9.07 | ) | | | (3.81 | ) | | | 5.34 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.15 | ) | | | — | | | | — | |
Net realized gains | | | (9.69 | ) | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) |
Total distributions | | | (9.69 | ) | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) |
Net asset value, end of period | | $ | 57.20 | | | $ | 67.28 | | | $ | 30.15 | | | $ | 41.14 | | | $ | 50.04 | |
|
Total Returnb | | | (1.68 | %) | | | 123.15 | % | | | (23.37 | %) | | | (7.27 | %) | | | 11.56 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,772 | | | $ | 1,954 | | | $ | 632 | | | $ | 1,477 | | | $ | 2,560 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.80 | %) | | | (1.33 | %) | | | (0.43 | %) | | | (0.87 | %) | | | (0.87 | %) |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 162 | % | | | 205 | % | | | 483 | % | | | 476 | % | | | 483 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 73.53 | | | $ | 32.70 | | | $ | 44.14 | | | $ | 52.90 | | | $ | 48.15 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.25 | ) | | | (.32 | ) | | | (.02 | ) | | | (.02 | ) | | | (.13 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .27 | | | | 41.15 | | | | (9.50 | ) | | | (3.65 | ) | | | 6.11 | |
Total from investment operations | | | .02 | | | | 40.83 | | | | (9.52 | ) | | | (3.67 | ) | | | 5.98 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.15 | ) | | | — | | | | — | |
Net realized gains | | | (9.69 | ) | | | — | | | | (1.77 | ) | | | (5.09 | ) | | | (1.23 | ) |
Total distributions | | | (9.69 | ) | | | — | | | | (1.92 | ) | | | (5.09 | ) | | | (1.23 | ) |
Net asset value, end of period | | $ | 63.86 | | | $ | 73.53 | | | $ | 32.70 | | | $ | 44.14 | | | $ | 52.90 | |
|
Total Return | | | (0.94 | %) | | | 124.86 | % | | | (22.78 | %) | | | (6.61 | %) | | | 12.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 600 | | | $ | 1,169 | | | $ | 325 | | | $ | 455 | | | $ | 1,929 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.35 | %) | | | (0.56 | %) | | | (0.03 | %) | | | (0.04 | %) | | | (0.24 | %) |
Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.72 | % | | | 1.69 | % | | | 1.63 | % |
Portfolio turnover rate | | | 162 | % | | | 205 | % | | | 483 | % | | | 476 | % | | | 483 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
148 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
For the one-year period ended March 31, 2022, Utilities Fund Investor Class returned 16.53%, compared with 19.93% for the S&P 500 Utilities Index. The broader S&P 500 Index returned 15.65%.
Electric utilities, multi-utilities, and gas utilities contributed the most to return for the period. Renewable electricity was the only industry to detract from return.
Exelon Corp., NextEra Energy, Inc., AES Corp., and Sempra Energy contributed the most to the Fund’s return for the period. Sunnova Energy International, Inc., MDU Resources Group, Inc., and NorthWestern Corp. detracted the most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
Investor Class | 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. | 5.9% |
Duke Energy Corp. | 4.3% |
Southern Co. | 4.1% |
Dominion Energy, Inc. | 3.9% |
Sempra Energy | 3.4% |
American Electric Power Company, Inc. | 3.3% |
Exelon Corp. | 3.2% |
Xcel Energy, Inc. | 2.9% |
Public Service Enterprise Group, Inc. | 2.7% |
Consolidated Edison, Inc. | 2.7% |
Top Ten Total | 36.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 149 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 16.53% | 8.47% | 9.55% |
A-Class Shares | 16.24% | 8.20% | 9.27% |
A-Class Shares with sales charge‡ | 10.72% | 7.15% | 8.74% |
C-Class Shares | 15.37% | 7.39% | 8.46% |
C-Class Shares with CDSC§ | 14.37% | 7.39% | 8.46% |
H-Class Shares** | 16.23% | 8.19% | 9.18% |
S&P 500 Utilities Index | 19.93% | 11.42% | 11.76% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported return. The graphs are based on Investor Class shares and A-Class shares only; performance of C-Class and H-Class shares will vary due to differences in fee structures. |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
150 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
UTILITIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
ELECTRIC - 83.9% |
NextEra Energy, Inc. | | | 43,427 | | | $ | 3,678,701 | |
Duke Energy Corp. | | | 24,141 | | | | 2,695,584 | |
Southern Co. | | | 35,163 | | | | 2,549,669 | |
Dominion Energy, Inc. | | | 28,344 | | | | 2,408,390 | |
Sempra Energy | | | 12,798 | | | | 2,151,600 | |
American Electric Power Company, Inc. | | | 20,684 | | | | 2,063,643 | |
Exelon Corp. | | | 42,587 | | | | 2,028,419 | |
Xcel Energy, Inc. | | | 25,218 | | | | 1,819,983 | |
Public Service Enterprise Group, Inc. | | | 24,289 | | | | 1,700,230 | |
Consolidated Edison, Inc. | | | 17,830 | | | | 1,688,144 | |
WEC Energy Group, Inc. | | | 16,309 | | | | 1,627,801 | |
Eversource Energy | | | 18,097 | | | | 1,595,974 | |
Edison International | | | 21,370 | | | | 1,498,037 | |
FirstEnergy Corp. | | | 32,316 | | | | 1,482,012 | |
DTE Energy Co. | | | 10,999 | | | | 1,454,178 | |
Ameren Corp. | | | 15,267 | | | | 1,431,434 | |
Entergy Corp. | | | 12,147 | | | | 1,418,162 | |
PG&E Corp.* | | | 113,623 | | | | 1,356,659 | |
PPL Corp. | | | 46,843 | | | | 1,337,836 | |
CMS Energy Corp. | | | 18,760 | | | | 1,312,074 | |
CenterPoint Energy, Inc. | | | 41,716 | | | | 1,278,178 | |
Constellation Energy Corp. | | | 22,436 | | | | 1,262,025 | |
AES Corp. | | | 48,151 | | | | 1,238,925 | |
Avangrid, Inc. | | | 26,248 | | | | 1,226,832 | |
Evergy, Inc. | | | 16,759 | | | | 1,145,310 | |
Alliant Energy Corp. | | | 18,185 | | | | 1,136,199 | |
Vistra Corp. | | | 39,585 | | | | 920,351 | |
Pinnacle West Capital Corp. | | | 11,011 | | | | 859,959 | |
NRG Energy, Inc. | | | 22,122 | | | | 848,600 | |
OGE Energy Corp. | | | 20,287 | | | | 827,304 | |
IDACORP, Inc. | | | 6,038 | | | | 696,544 | |
Black Hills Corp. | | | 8,548 | | | | 658,367 | |
Portland General Electric Co. | | | 11,484 | | | | 633,343 | |
Ormat Technologies, Inc. | | | 7,554 | | | | 618,144 | |
Hawaiian Electric Industries, Inc. | | | 14,450 | | | | 611,379 | |
PNM Resources, Inc. | | | 12,254 | | | | 584,148 | |
Avista Corp. | | | 11,324 | | | | 511,279 | |
Total Electric | | | | | | | 52,355,417 | |
| | | | | | | | | |
GAS - 10.7% |
Atmos Energy Corp. | | | 9,708 | | | | 1,160,009 | |
NiSource, Inc. | | | 32,653 | | | | 1,038,365 | |
UGI Corp. | | | 21,512 | | | | 779,165 | |
National Fuel Gas Co. | | | 10,348 | | | | 710,907 | |
ONE Gas, Inc. | | | 7,234 | | | | 638,328 | |
New Jersey Resources Corp. | | | 13,242 | | | | 607,278 | |
Southwest Gas Holdings, Inc. | | | 7,731 | | | | 605,260 | |
South Jersey Industries, Inc. | | | 16,392 | | | | 566,344 | |
Spire, Inc. | | | 7,885 | | | | 565,828 | |
Total Gas | | | | | | | 6,671,484 | |
| | | | | | | | | |
WATER - 4.2% |
American Water Works Company, Inc. | | | 9,631 | | | | 1,594,219 | |
Essential Utilities, Inc. | | | 20,701 | | | | 1,058,442 | |
Total Water | | | | | | | 2,652,661 | |
| | | | | | | | | |
ENERGY-ALTERNATE SOURCES - 0.7% |
Sunnova Energy International, Inc.* | | | 19,026 | | | | 438,740 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $53,325,044) | | | | | | | 62,118,302 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 207,540 | | | | 207,540 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 79,935 | | | | 79,935 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 20,783 | | | | 20,783 | |
Total Repurchase Agreements | | | | |
(Cost $308,258) | | | | | | | 308,258 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $53,633,302) | | $ | 62,426,560 | |
Other Assets & Liabilities, net - 0.0% | | | 1,551 | |
Total Net Assets - 100.0% | | $ | 62,428,111 | |
* | 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 ANNUAL REPORT | 151 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
UTILITIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 62,118,302 | | | $ | — | | | $ | — | | | $ | 62,118,302 | |
Repurchase Agreements | | | — | | | | 308,258 | | | | — | | | | 308,258 | |
Total Assets | | $ | 62,118,302 | | | $ | 308,258 | | | $ | — | | | $ | 62,426,560 | |
152 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $53,325,044) | | $ | 62,118,302 | |
Repurchase agreements, at value (cost $308,258) | | | 308,258 | |
Receivables: |
Securities sold | | | 2,835,363 | |
Dividends | | | 109,849 | |
Fund shares sold | | | 45,408 | |
Securities lending income | | | 37 | |
Total assets | | | 65,417,217 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 2,894,345 | |
Management fees | | | 42,878 | |
Transfer agent and administrative fees | | | 13,570 | |
Portfolio accounting fees | | | 5,044 | |
Distribution and service fees | | | 2,833 | |
Trustees’ fees* | | | 440 | |
Miscellaneous | | | 29,996 | |
Total liabilities | | | 2,989,106 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 62,428,111 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 56,872,477 | |
Total distributable earnings (loss) | | | 5,555,634 | |
Net assets | | $ | 62,428,111 | |
| | | | | |
Investor Class: |
Net assets | | $ | 52,202,094 | |
Capital shares outstanding | | | 960,233 | |
Net asset value per share | | $ | 54.36 | |
| | | | | |
A-Class: |
Net assets | | $ | 6,521,682 | |
Capital shares outstanding | | | 132,182 | |
Net asset value per share | | $ | 49.34 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 51.80 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,556,099 | |
Capital shares outstanding | | | 39,027 | |
Net asset value per share | | $ | 39.87 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,148,236 | |
Capital shares outstanding | | | 45,339 | |
Net asset value per share | | $ | 47.38 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 1,067,196 | |
Interest | | | 88 | |
Income from securities lending, net | | | 109 | |
Total investment income | | | 1,067,393 | |
| | | | | |
Expenses: |
Management fees | | | 312,091 | |
Distribution and service fees: |
A-Class | | | 15,011 | |
C-Class | | | 20,260 | |
H-Class | | | 2,565 | |
Transfer agent and administrative fees | | | 101,883 | |
Portfolio accounting fees | | | 36,716 | |
Professional fees | | | 11,215 | |
Custodian fees | | | 4,794 | |
Trustees’ fees* | | | 4,277 | |
Line of credit fees | | | 95 | |
Miscellaneous | | | 29,188 | |
Total expenses | | | 538,095 | |
Net investment income | | | 529,298 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,270,350 | |
Net realized gain | | | 2,270,350 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,887,244 | |
Net change in unrealized appreciation (depreciation) | | | 2,887,244 | |
Net realized and unrealized gain | | | 5,157,594 | |
Net increase in net assets resulting from operations | | $ | 5,686,892 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 153 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 529,298 | | | $ | 570,750 | |
Net realized gain on investments | | | 2,270,350 | | | | 189,416 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,887,244 | | | | 5,182,811 | |
Net increase in net assets resulting from operations | | | 5,686,892 | | | | 5,942,977 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (294,760 | ) | | | (523,813 | ) |
A-Class | | | (191,801 | ) | | | (93,655 | ) |
C-Class | | | (62,632 | ) | | | (122,577 | ) |
H-Class | | | (21,557 | ) | | | (17,476 | ) |
Total distributions to shareholders | | | (570,750 | ) | | | (757,521 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 101,172,481 | | | | 70,298,851 | |
A-Class | | | 2,017,009 | | | | 2,254,597 | |
C-Class | | | 856,521 | | | | 1,628,826 | |
H-Class | | | 4,062,430 | | | | 662,559 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 291,544 | | | | 520,135 | |
A-Class | | | 188,057 | | | | 90,597 | |
C-Class | | | 61,761 | | | | 119,470 | |
H-Class | | | 21,557 | | | | 17,423 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (74,433,668 | ) | | | (87,712,328 | ) |
A-Class | | | (1,831,147 | ) | | | (1,773,796 | ) |
C-Class | | | (2,199,328 | ) | | | (4,696,303 | ) |
H-Class | | | (2,758,591 | ) | | | (2,549,969 | ) |
Net increase (decrease) from capital share transactions | | | 27,448,626 | | | | (21,139,938 | ) |
Net increase (decrease) in net assets | | | 32,564,768 | | | | (15,954,482 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 29,863,343 | | | | 45,817,825 | |
End of year | | $ | 62,428,111 | | | $ | 29,863,343 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,008,545 | | | | 1,543,484 | |
A-Class | | | 44,679 | | | | 53,928 | |
C-Class | | | 23,248 | | | | 47,899 | |
H-Class | | | 91,371 | | | | 16,939 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 5,866 | | | | 11,394 | |
A-Class | | | 4,166 | | | | 2,174 | |
C-Class | | | 1,689 | | | | 3,488 | |
H-Class | | | 497 | | | | 435 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (1,494,438 | ) | | | (1,929,734 | ) |
A-Class | | | (40,151 | ) | | | (42,912 | ) |
C-Class | | | (59,744 | ) | | | (137,703 | ) |
H-Class | | | (63,644 | ) | | | (66,113 | ) |
Net increase (decrease) in shares | | | 522,084 | | | | (496,721 | ) |
154 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.92 | | | $ | 41.80 | | | $ | 46.23 | | | $ | 39.03 | | | $ | 39.34 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .77 | | | | .76 | | | | .74 | | | | .77 | | | | .68 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.02 | | | | 6.37 | | | | (4.72 | ) | | | 6.43 | | | | .06 | |
Total from investment operations | | | 7.79 | | | | 7.13 | | | | (3.98 | ) | | | 7.20 | | | | .74 | |
Less distributions from: |
Net investment income | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (.53 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.52 | ) |
Total distributions | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (1.05 | ) |
Net asset value, end of period | | $ | 54.36 | | | $ | 47.92 | | | $ | 41.80 | | | $ | 46.23 | | | $ | 39.03 | |
|
Total Return | | | 16.53 | % | | | 17.17 | % | | | (8.74 | %) | | | 18.45 | % | | | 1.72 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 52,202 | | | $ | 21,099 | | | $ | 34,073 | | | $ | 105,443 | | | $ | 9,006 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.55 | % | | | 1.68 | % | | | 1.53 | % | | | 1.80 | % | | | 1.67 | % |
Total expenses | | | 1.36 | % | | | 1.45 | % | | | 1.48 | % | | | 1.48 | % | | | 1.38 | % |
Portfolio turnover rate | | | 175 | % | | | 156 | % | | | 169 | % | | | 390 | % | | | 452 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.72 | | | $ | 38.30 | | | $ | 42.50 | | | $ | 35.97 | | | $ | 36.43 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .57 | | | | .57 | | | | .57 | | | | .47 | | | | .54 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.40 | | | | 5.86 | | | | (4.32 | ) | | | 6.06 | | | | .05 | |
Total from investment operations | | | 6.97 | | | | 6.43 | | | | (3.75 | ) | | | 6.53 | | | | .59 | |
Less distributions from: |
Net investment income | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (.53 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.52 | ) |
Total distributions | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (1.05 | ) |
Net asset value, end of period | | $ | 49.34 | | | $ | 43.72 | | | $ | 38.30 | | | $ | 42.50 | | | $ | 35.97 | |
|
Total Returnb | | | 16.24 | % | | | 16.91 | % | | | (8.96 | %) | | | 18.15 | % | | | 1.45 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,522 | | | $ | 5,399 | | | $ | 4,225 | | | $ | 5,633 | | | $ | 3,482 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.26 | % | | | 1.39 | % | | | 1.29 | % | | | 1.21 | % | | | 1.43 | % |
Total expenses | | | 1.61 | % | | | 1.70 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 175 | % | | | 156 | % | | | 169 | % | | | 390 | % | | | 452 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 155 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 35.84 | | | $ | 31.80 | | | $ | 35.63 | | | $ | 30.39 | | | $ | 31.15 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .18 | | | | .21 | | | | .21 | | | | .26 | | | | .25 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.20 | | | | 4.84 | | | | (3.59 | ) | | | 4.98 | | | | .04 | |
Total from investment operations | | | 5.38 | | | | 5.05 | | | | (3.38 | ) | | | 5.24 | | | | .29 | |
Less distributions from: |
Net investment income | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (.53 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.52 | ) |
Total distributions | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (1.05 | ) |
Net asset value, end of period | | $ | 39.87 | | | $ | 35.84 | | | $ | 31.80 | | | $ | 35.63 | | | $ | 30.39 | |
|
Total Returnb | | | 15.37 | % | | | 16.02 | % | | | (9.65 | %) | | | 17.24 | % | | | 0.69 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,556 | | | $ | 2,646 | | | $ | 5,093 | | | $ | 6,489 | | | $ | 6,526 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.48 | % | | | 0.61 | % | | | 0.57 | % | | | 0.79 | % | | | 0.78 | % |
Total expenses | | | 2.36 | % | | | 2.45 | % | | | 2.47 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 175 | % | | | 156 | % | | | 169 | % | | | 390 | % | | | 452 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 42.04 | | | $ | 36.86 | | | $ | 40.92 | | | $ | 34.64 | | | $ | 35.12 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .63 | | | | .42 | | | | .50 | | | | .57 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.06 | | | | 5.77 | | | | (4.11 | ) | | | 5.71 | | | | .26 | |
Total from investment operations | | | 6.69 | | | | 6.19 | | | | (3.61 | ) | | | 6.28 | | | | .57 | |
Less distributions from: |
Net investment income | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (.53 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.52 | ) |
Total distributions | | | (1.35 | ) | | | (1.01 | ) | | | (.45 | ) | | | — | | | | (1.05 | ) |
Net asset value, end of period | | $ | 47.38 | | | $ | 42.04 | | | $ | 36.86 | | | $ | 40.92 | | | $ | 34.64 | |
|
Total Return | | | 16.23 | % | | | 16.92 | % | | | (8.97 | %) | | | 18.13 | % | | | 1.44 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,148 | | | $ | 719 | | | $ | 2,427 | | | $ | 6,033 | | | $ | 810 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.45 | % | | | 1.08 | % | | | 1.18 | % | | | 1.51 | % | | | 0.85 | % |
Total expenses | | | 1.61 | % | | | 1.72 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % |
Portfolio turnover rate | | | 175 | % | | | 156 | % | | | 169 | % | | | 390 | % | | | 452 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
156 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (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 March 31, 2022, 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 March 31, 2022, 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.
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
| | THE RYDEX FUNDS ANNUAL REPORT | 157 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
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 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 March 31, 2022, 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
158 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 0.33% at March 31, 2022.
(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 | % |
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
| | THE RYDEX FUNDS ANNUAL REPORT | 159 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 year ended March 31, 2022, GFD retained sales charges of $136,076 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended March 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Banking Fund | | $ | 173,043 | | | $ | — | | | $ | 173,043 | |
Basic Materials Fund | | | 993,080 | | | | — | | | | 993,080 | |
Biotechnology Fund | | | 20,768,447 | | | | 10,318,863 | | | | 31,087,310 | |
Consumer Products Fund | | | 2,026,650 | | | | 10,618,173 | | | | 12,644,823 | |
Electronics Fund | | | 2,818,384 | | | | 158,561 | | | | 2,976,945 | |
Energy Fund | | | 306,823 | | | | — | | | | 306,823 | |
Energy Services Fund | | | 31,147 | | | | — | | | | 31,147 | |
Financial Services Fund | | | 440,761 | | | | — | | | | 440,761 | |
Health Care Fund | | | 2,349,865 | | | | — | | | | 2,349,865 | |
Internet Fund | | | 5,759,963 | | | | — | | | | 5,759,963 | |
Leisure Fund | | | 1,045,171 | | | | — | | | | 1,045,171 | |
Precious Metals Fund | | | 4,119,144 | | | | — | | | | 4,119,144 | |
Real Estate Fund | | | 30,821 | | | | — | | | | 30,821 | |
Retailing Fund | | | 2,322,069 | | | | — | | | | 2,322,069 | |
Technology Fund | | | 6,840,735 | | | | — | | | | 6,840,735 | |
Telecommunications Fund | | | 21,724 | | | | — | | | | 21,724 | |
Transportation Fund | | | 3,946,615 | | | | — | | | | 3,946,615 | |
Utilities Fund | | | 570,750 | | | | — | | | | 570,750 | |
160 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 31, 2021 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Banking Fund | | $ | 273,567 | | | $ | — | | | $ | 273,567 | |
Basic Materials Fund | | | 836,677 | | | | 424,181 | | | | 1,260,858 | |
Biotechnology Fund | | | 530,216 | | | | 13,301,693 | | | | 13,831,909 | |
Consumer Products Fund | | | 2,597,990 | | | | 6,624,818 | | | | 9,222,808 | |
Electronics Fund | | | — | | | | 946,545 | | | | 946,545 | |
Energy Fund | | | 292,058 | | | | — | | | | 292,058 | |
Energy Services Fund | | | 84,822 | | | | — | | | | 84,822 | |
Financial Services Fund | | | — | | | | — | | | | — | |
Health Care Fund | | | 3,450,206 | | | | — | | | | 3,450,206 | |
Internet Fund | | | — | | | | — | | | | — | |
Leisure Fund | | | — | | | | — | | | | — | |
Precious Metals Fund | | | 1,480,043 | | | | — | | | | 1,480,043 | |
Real Estate Fund | | | 261,411 | | | | — | | | | 261,411 | |
Retailing Fund | | | — | | | | — | | | | — | |
Technology Fund | | | — | | | | 1,060,519 | | | | 1,060,519 | |
Telecommunications Fund | | | 53,596 | | | | — | | | | 53,596 | |
Transportation Fund | | | — | | | | — | | | | — | |
Utilities Fund | | | 757,521 | | | | — | | | | 757,521 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of March 31, 2022 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net
Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
Banking Fund | | $ | 300,682 | | | $ | — | | | $ | 1,098,091 | | | $ | (9,370,509 | ) | | $ | — | | | $ | (7,971,736 | ) |
Basic Materials Fund | | | 643,252 | | | | — | | | | 19,315,897 | | | | (2,198,134 | ) | | | (130,382 | ) | | | 17,630,633 | |
Biotechnology Fund | | | — | | | | 1,800,501 | | | | 59,126,987 | | | | (169,814 | ) | | | — | | | | 60,757,674 | |
Consumer Products Fund | | | 1,075,410 | | | | 2,827,956 | | | | 39,293,951 | | | | — | | | | — | | | | 43,197,317 | |
Electronics Fund | | | — | | | | — | | | | 16,710,400 | | | | — | | | | — | | | | 16,710,400 | |
Energy Fund | | | 1,218,217 | | | | — | | | | 13,889,814 | | | | (15,266,343 | ) | | | — | | | | (158,312 | ) |
Energy Services Fund | | | — | | | | — | | | | 1,121,008 | | | | (29,399,630 | ) | | | — | | | | (28,278,622 | ) |
Financial Services Fund | | | 1,815,093 | | | | — | | | | 4,020,581 | | | | — | | | | — | | | | 5,835,674 | |
Health Care Fund | | | — | | | | — | | | | 9,432,966 | | | | — | | | | — | | | | 9,432,966 | |
Internet Fund | | | — | | | | — | | | | 2,468,942 | | | | (66,714 | ) | | | — | | | | 2,402,228 | |
Leisure Fund | | | — | | | | — | | | | 2,527,594 | | | | — | | | | — | | | | 2,527,594 | |
Precious Metals Fund | | | 3,735,884 | | | | — | | | | 15,387,498 | | | | (36,512,493 | ) | | | (276,532 | ) | | | (17,665,643 | ) |
Real Estate Fund | | | 91,618 | | | | — | | | | (1,004,851 | ) | | | (4,593,844 | ) | | | — | | | | (5,507,077 | ) |
Retailing Fund | | | — | | | | — | | | | 1,517,618 | | | | (20,403 | ) | | | — | | | | 1,497,215 | |
Technology Fund | | | — | | | | 1,435,074 | | | | 22,527,957 | | | | (214,210 | ) | | | — | | | | 23,748,821 | |
Telecommunications Fund | | | 17,443 | | | | — | | | | (104,809 | ) | | | (2,010,818 | ) | | | — | | | | (2,098,184 | ) |
Transportation Fund | | | 1,112,898 | | | | — | | | | 7,175,116 | | | | — | | | | — | | | | 8,288,014 | |
Utilities Fund | | | 506,813 | | | | — | | | | 5,048,821 | | | | — | | | | — | | | | 5,555,634 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 161 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of March 31, 2022, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | Total |
| | | | | | | | | | | Capital Loss |
| Fund | | Short-Term | | Long-Term | | Carryforward |
Banking Fund | | $ | (8,161,786 | ) | | $ | (1,208,723 | ) | | $ | (9,370,509 | ) |
Basic Materials Fund | | | (2,198,134 | ) | | | — | | | | (2,198,134 | ) |
Energy Fund | | | — | | | | (15,266,343 | ) | | | (15,266,343 | ) |
Energy Services Fund | | | (16,236,945 | ) | | | (13,100,859 | ) | | | (29,337,804 | ) |
Precious Metals Fund | | | (3,801,646 | ) | | | (32,710,847 | ) | | | (36,512,493 | ) |
Real Estate Fund | | | (2,191,473 | ) | | | (2,402,371 | ) | | | (4,593,844 | ) |
Telecommunications Fund | | | (1,541,230 | ) | | | (469,588 | ) | | | (2,010,818 | ) |
For the year ended March 31, 2022, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Banking Fund | | $ | 924,191 | |
Energy Fund | | | 6,626,209 | |
Energy Services Fund | | | 1,878,140 | |
Real Estate Fund | | | 1,731,716 | |
Utilities Fund | | | 1,020,244 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, certain corporate actions, return of capital distributions, and foreign capital gains taxes. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 31, 2022 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Biotechnology Fund | | $ | 9,779,058 | | | $ | (9,779,058 | ) |
Consumer Products Fund | | | 5,770,520 | | | | (5,770,520 | ) |
Electronics Fund | | | 2,355,864 | | | | (2,355,864 | ) |
Energy Services Fund | | | (42,702 | ) | | | 42,702 | |
Financial Services Fund | | | 3,372,516 | | | | (3,372,516 | ) |
Health Care Fund | | | 1,689,130 | | | | (1,689,130 | ) |
Internet Fund | | | 4,870,335 | | | | (4,870,335 | ) |
Leisure Fund | | | 1,677,616 | | | | (1,677,616 | ) |
Retailing Fund | | | 2,563,726 | | | | (2,563,726 | ) |
Technology Fund | | | 4,304,458 | | | | (4,304,458 | ) |
Transportation Fund | | | 8,181,178 | | | | (8,181,178 | ) |
Utilities Fund | | | 1,090,600 | | | | (1,090,600 | ) |
162 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 | | $ | 12,342,461 | | | $ | 1,153,961 | | | $ | (55,870 | ) | | $ | 1,098,091 | |
Basic Materials Fund | | | 55,826,016 | | | | 19,442,138 | | | | (126,241 | ) | | | 19,315,897 | |
Biotechnology Fund | | | 97,219,621 | | | | 71,804,256 | | | | (12,677,269 | ) | | | 59,126,987 | |
Consumer Products Fund | | | 47,648,544 | | | | 39,567,774 | | | | (273,823 | ) | | | 39,293,951 | |
Electronics Fund | | | 57,323,385 | | | | 16,917,997 | | | | (207,597 | ) | | | 16,710,400 | |
Energy Fund | | | 52,297,643 | | | | 13,895,319 | | | | (5,505 | ) | | | 13,889,814 | |
Energy Services Fund | | | 21,186,194 | | | | 1,200,804 | | | | (79,796 | ) | | | 1,121,008 | |
Financial Services Fund | | | 45,564,263 | | | | 4,114,475 | | | | (93,894 | ) | | | 4,020,581 | |
Health Care Fund | | | 34,952,030 | | | | 9,997,231 | | | | (564,265 | ) | | | 9,432,966 | |
Internet Fund | | | 12,396,166 | | | | 3,657,208 | | | | (1,188,266 | ) | | | 2,468,942 | |
Leisure Fund | | | 10,531,986 | | | | 2,630,517 | | | | (102,923 | ) | | | 2,527,594 | |
Precious Metals Fund | | | 71,091,964 | | | | 16,019,946 | | | | (632,448 | ) | | | 15,387,498 | |
Real Estate Fund | | | 38,868,445 | | | | 271,616 | | | | (1,276,467 | ) | | | (1,004,851 | ) |
Retailing Fund | | | 9,495,156 | | | | 1,861,735 | | | | (344,117 | ) | | | 1,517,618 | |
Technology Fund | | | 24,112,298 | | | | 23,384,751 | | | | (856,794 | ) | | | 22,527,957 | |
Telecommunications Fund | | | 1,785,667 | | | | — | | | | (104,809 | ) | | | (104,809 | ) |
Transportation Fund | | | 13,964,440 | | | | 7,303,095 | | | | (127,979 | ) | | | 7,175,116 | |
Utilities Fund | | | 57,377,739 | | | | 5,131,376 | | | | (82,555 | ) | | | 5,048,821 | |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until April 1, 2022:
Fund | | Ordinary | | | Capital | |
Biotechnology Fund | | $ | (169,814 | ) | | $ | — | |
Energy Services Fund | | | (61,826 | ) | | | — | |
Internet Fund | | | (66,714 | ) | | | — | |
Retailing Fund | | | (20,403 | ) | | | — | |
Technology Fund | | | (214,210 | ) | | | — | |
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 RYDEX FUNDS ANNUAL REPORT | 163 |
NOTES TO FINANCIAL STATEMENTS (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 – Securities Transactions
For the year ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
Fund | | Purchases | | | Sales | |
Banking Fund | | $ | 159,648,127 | | | $ | 164,757,502 | |
Basic Materials Fund | | | 123,893,921 | | | | 102,852,755 | |
Biotechnology Fund | | | 119,758,476 | | | | 146,078,837 | |
Consumer Products Fund | | | 58,672,235 | | | | 83,634,848 | |
Electronics Fund | | | 179,304,307 | | | | 172,336,080 | |
Energy Fund | | | 248,325,454 | | | | 230,271,307 | |
Energy Services Fund | | | 78,758,419 | | | | 70,637,820 | |
Financial Services Fund | | | 173,243,529 | | | | 166,984,405 | |
Health Care Fund | | | 115,344,598 | | | | 106,387,908 | |
Internet Fund | | | 37,609,055 | | | | 51,094,277 | |
Leisure Fund | | | 40,449,130 | | | | 76,738,389 | |
Precious Metals Fund | | | 117,789,277 | | | | 152,893,412 | |
Real Estate Fund | | | 96,129,293 | | | | 70,470,883 | |
Retailing Fund | | | 47,588,271 | | | | 62,085,509 | |
Technology Fund | | | 138,260,969 | | | | 144,542,454 | |
Telecommunications Fund | | | 18,042,612 | | | | 18,695,746 | |
Transportation Fund | | | 60,194,662 | | | | 115,060,153 | |
Utilities Fund | | | 91,612,250 | | | | 64,242,720 | |
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 year ended March 31, 2022, 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 | | $ | 15,937,657 | | | $ | 17,155,113 | | | $ | 828,097 | |
Basic Materials Fund | | | 14,763,241 | | | | 4,473,474 | | | | (184,246 | ) |
Biotechnology Fund | | | 2,972,465 | | | | 9,689,396 | | | | 711,491 | |
Consumer Products Fund | | | 6,067,294 | | | | 9,948,310 | | | | 2,539,190 | |
Electronics Fund | | | 16,985,372 | | | | 21,684,133 | | | | 678,611 | |
Energy Fund | | | 25,714,750 | | | | 12,953,893 | | | | 523,834 | |
Energy Services Fund | | | 5,312,007 | | | | 5,615,834 | | | | 205,121 | |
Financial Services Fund | | | 24,454,589 | | | | 25,937,552 | | | | 883,978 | |
Health Care Fund | | | 9,691,174 | | | | 7,472,510 | | | | 74,861 | |
Internet Fund | | | 5,394,079 | | | | 6,728,163 | | | | 591,310 | |
Leisure Fund | | | 2,430,142 | | | | 15,999,323 | | | | 904,659 | |
Precious Metals Fund | | | 6,229,189 | | | | 7,290,434 | | | | 251,712 | |
Real Estate Fund | | | 14,527,814 | | | | 5,290,445 | | | | 132,259 | |
Retailing Fund | | | 6,570,969 | | | | 11,352,352 | | | | 896,167 | |
Technology Fund | | | 15,234,441 | | | | 21,228,665 | | | | 684,512 | |
Telecommunications Fund | | | 2,538,252 | | | | 2,568,831 | | | | (40,029 | ) |
Transportation Fund | | | 5,202,363 | | | | 15,333,901 | | | | 2,131,510 | |
Utilities Fund | | | 5,197,802 | | | | 4,724,478 | | | | 77,589 | |
164 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At March 31, 2022, 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 Bond | | | | | | | | |
0.28% | | | | | | | | | | 2.38% | | | | | | | | |
Due 04/01/22 | | $ | 151,286,307 | | | $ | 151,287,484 | | | 05/15/51 | | $ | 155,999,600 | | | $ | 154,312,098 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.25% | | | | | | | | | | 1.25% | | | | | | | | |
Due 04/01/22 | | | 58,268,731 | | | | 58,269,135 | | | 04/30/28 | | | 63,485,700 | | | | 59,434,112 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.24% | | | | | | | | | | 0.13% | | | | | | | | |
Due 04/01/22 | | | 15,149,870 | | | | 15,149,971 | | | 01/15/30 | | | 14,626,728 | | | | 15,452,970 | |
| | | | | | | | | | | | | | | | | | | |
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 165 |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
Banking Fund | | $ | 237,299 | | | $ | (237,299 | ) | | $ | — | | | | $ | 245,364 | | | $ | — | | | $ | 245,364 | |
Basic Materials Fund | | | 1,783,072 | | | | (1,783,072 | ) | | | — | | | | | 1,843,680 | | | | — | | | | 1,843,680 | |
Biotechnology Fund | | | 1,404,778 | | | | (1,404,778 | ) | | | — | | | | | 1,479,660 | | | | — | | | | 1,479,660 | |
Consumer Products Fund | | | 649,893 | | | | (649,893 | ) | | | — | | | | | 678,095 | | | | — | | | | 678,095 | |
Electronics Fund | | | 371,754 | | | | (371,754 | ) | | | — | | | | | 372,101 | | | | — | | | | 372,101 | |
Energy Fund | | | 272,388 | | | | (272,388 | ) | | | — | | | | | 272,642 | | | | — | | | | 272,642 | |
Financial Services Fund | | | 167,501 | | | | (167,501 | ) | | | — | | | | | 177,610 | | | | — | | | | 177,610 | |
Health Care Fund | | | 236,943 | | | | (236,943 | ) | | | — | | | | | 245,935 | | | | — | | | | 245,935 | |
Internet Fund | | | 127,257 | | | | (127,257 | ) | | | — | | | | | 139,414 | | | | — | | | | 139,414 | |
Leisure Fund | | | 511,315 | | | | (511,315 | ) | | | — | | | | | 536,101 | | | | — | | | | 536,101 | |
Precious Metals Fund | | | 5,009,254 | | | | (5,009,254 | ) | | | — | | | | | 5,142,622 | | | | — | | | | 5,142,622 | |
Retailing Fund | | | 187,697 | | | | (187,697 | ) | | | — | | | | | 200,591 | | | | — | | | | 200,591 | |
Technology Fund | | | 268,227 | | | | (268,227 | ) | | | — | | | | | 285,710 | | | | — | | | | 285,710 | |
Telecommunications Fund | | | 33,306 | | | | (33,306 | ) | | | — | | | | | 34,569 | | | | — | | | | 34,569 | |
Transportation Fund | | | 840,579 | | | | (840,579 | ) | | | — | | | | | 882,934 | | | | — | | | | 882,934 | |
(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 $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.26% for the year ended March 31, 2022. The Funds did not have any borrowings outstanding under this agreement at March 31, 2022.
166 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The average daily balances borrowed for the year ended March 31, 2022, were as follows:
Fund | | Average Daily Balance | |
Banking Fund | | $ | 3,649 | |
Basic Materials Fund | | | 8,518 | |
Biotechnology Fund | | | 12,504 | |
Consumer Products Fund | | | 23,849 | |
Electronics Fund | | | 299 | |
Energy Fund | | | 3,866 | |
Energy Services Fund | | | 3,814 | |
Financial Services Fund | | | 973 | |
Health Care Fund | | | 3,047 | |
Internet Fund | | | 3,614 | |
Leisure Fund | | | 6,216 | |
Precious Metals Fund | | | 1,022 | |
Real Estate Fund | | | 8,496 | |
Retailing Fund | | | 1,545 | |
Technology Fund | | | 10,315 | |
Telecommunications Fund | | | 841 | |
Transportation Fund | | | 1,186 | |
Utilities Fund | | | 7,512 | |
Note 9 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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.
| | THE RYDEX FUNDS ANNUAL REPORT | 167 |
NOTES TO FINANCIAL STATEMENTS (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, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. On March 12, 2021, the Solicitor General filed an amicus brief recommending that certiorari be denied. Plaintiffs filed a supplemental brief in response to the Solicitor General’s amicus brief on March 31, 2021, and Defendants filed a supplemental brief on April 1, 2021. The Court denied the petition for certiorari on April 19, 2021.
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. On August 20, 2021, the Second Circuit affirmed the District Court’s orders: (1) dismissing the intentional fraudulent conveyance claims against the shareholder-defendants; and (2) denying the plaintiff leave to amend the complaint to add a constructive fraudulent conveyance claim against the shareholder-defendants. Plaintiff filed a petition for rehearing en banc on September 3, 2021. On October 7, 2021, the Second Circuit denied the petition. On January 5, 2022, Plaintiff filed a petition for certiorari in the U.S. Supreme Court. That petition was denied on February 22, 2022.
168 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (concluded) |
As a result of the dismissals above, there are no longer claims pending against Rydex Series Funds related to the Tribune LBO.
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.
Note 10 – COVID-19 and Other Market Risks.
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Note 11 – 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 169 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (collectively referred to as the “Funds”), (eighteen of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eighteen of the funds constituting Rydex Series Funds) at March 31, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 26, 2022
170 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
Precious Metals Fund intends to designate $192,735 of foreign tax withholding on foreign source income of $1,847,969.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 31, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | | Qualified
Dividend
Income | | | Dividend
Received
Deduction | | | Qualified
Interest
Income | | | Qualified
Short-Term
Capital Gain | |
Banking Fund | | | 100.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % |
Basic Materials Fund | | | 36.45 | % | | | 17.83 | % | | | 0.01 | % | | | 100.00 | % |
Biotechnology Fund | | | 7.72 | % | | | 6.27 | % | | | 0.00 | % | | | 100.00 | % |
Consumer Products Fund | | | 100.00 | % | | | 93.43 | % | | | 0.00 | % | | | 100.00 | % |
Electronics Fund | | | 18.50 | % | | | 11.06 | % | | | 0.00 | % | | | 100.00 | % |
Energy Fund | | | 100.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % |
Energy Services Fund | | | 100.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % |
Financial Services Fund | | | 39.33 | % | | | 36.41 | % | | | 0.00 | % | | | 100.00 | % |
Health Care Fund | | | 4.73 | % | | | 3.43 | % | | | 0.00 | % | | | 100.00 | % |
Internet Fund | | | 0.93 | % | | | 0.67 | % | | | 0.00 | % | | | 100.00 | % |
Leisure Fund | | | 13.16 | % | | | 12.26 | % | | | 0.00 | % | | | 100.00 | % |
Precious Metals Fund | | | 26.84 | % | | | 12.86 | % | | | 0.00 | % | | | 0.00 | % |
Real Estate Fund | | | 30.72 | % | | | 0.00 | % | | | 0.01 | % | | | 0.00 | % |
Retailing Fund | | | 4.93 | % | | | 3.80 | % | | | 0.00 | % | | | 100.00 | % |
Technology Fund | | | 6.73 | % | | | 5.83 | % | | | 0.00 | % | | | 100.00 | % |
Telecommunications Fund | | | 100.00 | % | | | 100.00 | % | | | 0.01 | % | | | 0.00 | % |
Transportation Fund | | | 10.98 | % | | | 7.07 | % | | | 0.00 | % | | | 100.00 | % |
Utilities Fund | | | 100.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % |
With respect to the taxable year ended March 31, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term capital
gain, using proceeds
from shareholder
redemptions: | |
Biotechnology Fund | | $ | 10,318,863 | | | $ | 10,718,109 | |
Consumer Products Fund | | | 10,618,173 | | | | 5,770,520 | |
Electronics Fund | | | 158,561 | | | | 2,728,883 | |
Financial Services Fund | | | — | | | | 803,134 | |
Health Care Fund | | | — | | | | 725,183 | |
Internet Fund | | | — | | | | 5,227,929 | |
Leisure Fund | | | — | | | | 1,255,670 | |
Retailing Fund | | | — | | | | 2,675,209 | |
Technology Fund | | | — | | | | 4,753,745 | |
Transportation Fund | | | — | | | | 4,555,895 | |
Utilities Fund | | | — | | | | 1,026,690 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 171 |
OTHER INFORMATION (Unaudited)(concluded) |
Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentage of the Fund’s ordinary income and short-term capital gain distributions, if any, for the purposes of the Section 199A deduction was 69.25% for Real Estate Fund.
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
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 may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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.
172 | THE RYDEX FUNDS ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge, upon request, 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 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 173 |
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 | | |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
174 | THE RYDEX FUNDS 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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 175 |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active 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. |
176 | THE RYDEX FUNDS 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 President of Mutual Funds Boards, 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); Managing 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 (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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 177 |
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: Director, 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. |
178 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | THE RYDEX FUNDS ANNUAL REPORT | 179 |
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
180 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
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 ANNUAL REPORT | 181 |
3.31.2022
Rydex Funds Annual Report
Domestic Equity Funds |
Nova Fund |
S&P 500® Fund |
Inverse S&P 500® Strategy Fund |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund |
Inverse NASDAQ-100® Strategy Fund |
Mid-Cap 1.5x Strategy Fund |
Inverse Mid-Cap Strategy Fund |
Russell 2000® 1.5x Strategy Fund |
Russell 2000® Fund |
Inverse Russell 2000® Strategy Fund |
Dow Jones Industrial Average® Fund |
Fixed Income Funds |
Government Long Bond 1.2x Strategy Fund |
Inverse Government Long Bond Strategy Fund |
High Yield Strategy Fund |
Inverse High Yield Strategy Fund |
Money Market Fund |
U.S. Government Money Market Fund |
GuggenheimInvestments.com | RBENF-ANN-0322x0323 |
| | |
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 | 26 |
INVERSE S&P 500® STRATEGY FUND | 39 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | 48 |
INVERSE NASDAQ-100® STRATEGY FUND | 58 |
MID-CAP 1.5x STRATEGY FUND | 67 |
INVERSE MID-CAP STRATEGY FUND | 81 |
RUSSELL 2000® 1.5x STRATEGY FUND | 90 |
RUSSELL 2000® FUND | 118 |
INVERSE RUSSELL 2000® STRATEGY FUND | 145 |
DOW JONES INDUSTRIAL AVERAGE® FUND | 154 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 163 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 172 |
HIGH YIELD STRATEGY FUND | 184 |
INVERSE HIGH YIELD STRATEGY FUND | 195 |
U.S. GOVERNMENT MONEY MARKET FUND | 204 |
NOTES TO FINANCIAL STATEMENTS | 210 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 232 |
OTHER INFORMATION | 233 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 235 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 241 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the 12-month period ended March 31, 2022.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2022
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.
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 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 ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the 12 months ended March 31, 2022, the Standard & Poor’s 500® (“S&P 500® ”) Index returned 15.65%, with gains faltering over the last few months amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the 12-month period ended March 31, 2022, the S&P 500® Index* returned 15.65%, as noted above. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 1.16%. The return of the MSCI Emerging Markets Index* was -11.37%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -4.15% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -0.66%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.06% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg 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 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 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 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.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
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 ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
6 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2021 and ending March 31, 2022.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Nova Fund | | | | | |
Investor Class | 1.23% | 7.03% | $ 1,000.00 | $ 1,070.30 | $ 6.35 |
A-Class | 1.48% | 6.90% | 1,000.00 | 1,069.00 | 7.63 |
C-Class | 2.23% | 6.51% | 1,000.00 | 1,065.10 | 11.48 |
H-Class | 1.48% | 6.88% | 1,000.00 | 1,068.80 | 7.63 |
S&P 500® Fund | | | | | |
A-Class | 1.56% | 5.10% | 1,000.00 | 1,051.00 | 7.98 |
C-Class | 2.31% | 4.72% | 1,000.00 | 1,047.20 | 11.79 |
H-Class | 1.56% | 5.10% | 1,000.00 | 1,051.00 | 7.98 |
Inverse S&P 500® Strategy Fund | | | | | |
Investor Class | 1.39% | (7.64%) | 1,000.00 | 923.60 | 6.67 |
A-Class | 1.64% | (7.79%) | 1,000.00 | 922.10 | 7.86 |
C-Class | 2.39% | (8.11%) | 1,000.00 | 918.90 | 11.43 |
H-Class | 1.64% | (7.75%) | 1,000.00 | 922.50 | 7.86 |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
A-Class | 1.33% | (0.40%) | 1,000.00 | 996.00 | 6.62 |
C-Class | 2.07% | (0.78%) | 1,000.00 | 992.20 | 10.28 |
H-Class | 1.34% | (0.42%) | 1,000.00 | 995.80 | 6.67 |
Inverse NASDAQ-100® Strategy Fund | | | | | |
Investor Class | 1.46% | (5.15%) | 1,000.00 | 948.50 | 7.09 |
A-Class | 1.68% | (5.31%) | 1,000.00 | 946.90 | 8.15 |
C-Class | 2.44% | (5.67%) | 1,000.00 | 943.30 | 11.82 |
H-Class | 1.72% | (5.25%) | 1,000.00 | 947.50 | 8.35 |
Mid Cap 1.5x Strategy Fund | | | | | |
A-Class | 1.65% | 2.07% | 1,000.00 | 1,020.70 | 8.31 |
C-Class | 2.40% | 1.69% | 1,000.00 | 1,016.90 | 12.07 |
H-Class | 1.65% | 2.07% | 1,000.00 | 1,020.70 | 8.31 |
Inverse Mid-Cap Strategy Fund | | | | | |
A-Class | 1.62% | (6.19%) | 1,000.00 | 938.10 | 7.83 |
C-Class | 2.24% | (6.39%) | 1,000.00 | 936.10 | 10.81 |
H-Class | 1.63% | (6.16%) | 1,000.00 | 938.40 | 7.88 |
Russell 2000® 1.5x Strategy Fund | | | | | |
A-Class | 1.68% | (10.24%) | 1,000.00 | 897.60 | 7.95 |
C-Class | 2.43% | (10.59%) | 1,000.00 | 894.10 | 11.48 |
H-Class | 1.69% | (10.25%) | 1,000.00 | 897.50 | 7.99 |
Russell 2000® Fund | | | | | |
A-Class | 1.60% | (6.28%) | 1,000.00 | 937.20 | 7.73 |
C-Class | 2.36% | (6.67%) | 1,000.00 | 933.30 | 11.38 |
H-Class | 1.61% | (6.28%) | 1,000.00 | 937.20 | 7.78 |
Inverse Russell 2000® Strategy Fund | | | | | |
A-Class | 1.67% | 1.62% | 1,000.00 | 1,016.20 | 8.39 |
C-Class | 2.40% | 1.26% | 1,000.00 | 1,012.60 | 12.04 |
H-Class | 1.68% | 1.62% | 1,000.00 | 1,016.20 | 8.44 |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Dow Jones Industrial Average® Fund | | | | | |
A-Class | 1.52% | 2.35% | $ 1,000.00 | $ 1,023.50 | $ 7.67 |
C-Class | 2.27% | 1.96% | 1,000.00 | 1,019.60 | 11.43 |
H-Class | 1.52% | 2.35% | 1,000.00 | 1,023.50 | 7.67 |
Government Long Bond 1.2x Strategy Fund | | | | | |
Investor Class | 0.95% | (10.22%) | 1,000.00 | 897.80 | 4.49 |
A-Class | 1.20% | (10.34%) | 1,000.00 | 896.60 | 5.67 |
C-Class | 1.94% | (10.69%) | 1,000.00 | 893.10 | 9.16 |
H-Class | 1.20% | (10.31%) | 1,000.00 | 896.90 | 5.68 |
Inverse Government Long Bond Strategy Fund | | | | |
Investor Class | 3.39% | 4.97% | 1,000.00 | 1,049.70 | 17.32 |
A-Class | 3.61% | 4.84% | 1,000.00 | 1,048.40 | 18.44 |
C-Class | 4.39% | 4.45% | 1,000.00 | 1,044.50 | 22.38 |
H-Class | 3.67% | 4.84% | 1,000.00 | 1,048.40 | 18.74 |
High Yield Strategy Fund | | | | | |
A-Class | 1.49% | (6.57%) | 1,000.00 | 934.30 | 7.19 |
C-Class | 2.24% | (6.92%) | 1,000.00 | 930.80 | 10.78 |
H-Class | 1.49% | (6.56%) | 1,000.00 | 934.40 | 7.19 |
Inverse High Yield Strategy Fund | | | | | |
A-Class | 1.49% | 4.12% | 1,000.00 | 1,041.20 | 7.58 |
C-Class | 2.24% | 4.37% | 1,000.00 | 1,043.70 | 11.41 |
H-Class | 1.52% | 4.80% | 1,000.00 | 1,048.00 | 7.76 |
U.S. Government Money Market Fund | 0.18% | 0.00% | 1,000.00 | 1,000.00 | 0.90 |
| | | | | | |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Nova Fund | | | | | |
Investor Class | 1.23% | 5.00% | $ 1,000.00 | $ 1,018.80 | $ 6.19 |
A-Class | 1.48% | 5.00% | 1,000.00 | 1,017.55 | 7.44 |
C-Class | 2.23% | 5.00% | 1,000.00 | 1,013.81 | 11.20 |
H-Class | 1.48% | 5.00% | 1,000.00 | 1,017.55 | 7.44 |
S&P 500® Fund | | | | | |
A-Class | 1.56% | 5.00% | 1,000.00 | 1,017.15 | 7.85 |
C-Class | 2.31% | 5.00% | 1,000.00 | 1,013.41 | 11.60 |
H-Class | 1.56% | 5.00% | 1,000.00 | 1,017.15 | 7.85 |
Inverse S&P 500® Strategy Fund | | | | | |
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.00 | 6.99 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.75 | 8.25 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.01 | 11.99 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.75 | 8.25 |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
A-Class | 1.33% | 5.00% | 1,000.00 | 1,018.30 | 6.69 |
C-Class | 2.07% | 5.00% | 1,000.00 | 1,014.61 | 10.40 |
H-Class | 1.34% | 5.00% | 1,000.00 | 1,018.25 | 6.74 |
Inverse NASDAQ-100® Strategy Fund | | | | | |
Investor Class | 1.46% | 5.00% | 1,000.00 | 1,017.65 | 7.34 |
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
C-Class | 2.44% | 5.00% | 1,000.00 | 1,012.76 | 12.24 |
H-Class | 1.72% | 5.00% | 1,000.00 | 1,016.36 | 8.65 |
Mid-Cap 1.5x Strategy Fund | | | | | |
A-Class | 1.65% | 5.00% | 1,000.00 | 1,016.70 | 8.30 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,012.96 | 12.04 |
H-Class | 1.65% | 5.00% | 1,000.00 | 1,016.70 | 8.30 |
Inverse Mid-Cap Strategy Fund | | | | | |
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
C-Class | 2.24% | 5.00% | 1,000.00 | 1,013.76 | 11.25 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.80 | 8.20 |
Russell 2000® 1.5x Strategy Fund | | | | | |
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
C-Class | 2.43% | 5.00% | 1,000.00 | 1,012.81 | 12.19 |
H-Class | 1.69% | 5.00% | 1,000.00 | 1,016.50 | 8.50 |
Russell 2000® Fund | | | | | |
A-Class | 1.60% | 5.00% | 1,000.00 | 1,016.95 | 8.05 |
C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
Inverse Russell 2000® Strategy Fund | | | | | |
A-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,012.96 | 12.04 |
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Dow Jones Industrial Average® Fund | | | | | |
A-Class | 1.52% | 5.00% | $ 1,000.00 | $ 1,017.35 | $ 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
Government Long Bond 1.2x Strategy Fund | | | | | |
Investor Class | 0.95% | 5.00% | 1,000.00 | 1,020.19 | 4.78 |
A-Class | 1.20% | 5.00% | 1,000.00 | 1,018.95 | 6.04 |
C-Class | 1.94% | 5.00% | 1,000.00 | 1,015.26 | 9.75 |
H-Class | 1.20% | 5.00% | 1,000.00 | 1,018.95 | 6.04 |
Inverse Government Long Bond Strategy Fund | | | | |
Investor Class | 3.39% | 5.00% | 1,000.00 | 1,008.03 | 16.97 |
A-Class | 3.61% | 5.00% | 1,000.00 | 1,006.93 | 18.06 |
C-Class | 4.39% | 5.00% | 1,000.00 | 1,003.04 | 21.92 |
H-Class | 3.67% | 5.00% | 1,000.00 | 1,006.63 | 18.36 |
High Yield Strategy Fund | | | | | |
A-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
C-Class | 2.24% | 5.00% | 1,000.00 | 1,013.76 | 11.25 |
H-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
Inverse High Yield Strategy Fund | | | | | |
A-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
C-Class | 2.24% | 5.00% | 1,000.00 | 1,013.76 | 11.25 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
U.S. Government Money Market Fund | 0.18% | 5.00% | 1,000.00 | 1,024.03 | 0.91 |
| | | | | | |
1 | This ratio represents annualized Net Expense, which includes interest expense related to securities sold short. Excluding short interest expense, the operating ratio of the Inverse Government Long Bond Strategy Fund would be 1.40%, 1.64%, 2.39% and 1.64% for Investor Class, A-Class, C-Class, and H-Class, respectively. Excludes expenses of the underlying funds in which the Funds invests, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. Nova Fund Investor Class returned 20.83%, while the S&P 500 Index returned 15.65% over the same time period.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Health Care, and Financials.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc. - Class - A, PayPal Holdings, Inc., and Walt Disney Co.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
12 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
Investor Class | July 12, 1993 |
A-Class | March 31, 2004 |
C-Class | March 14, 2001 |
H-Class | September 18, 2014 |
Cumulative Fund Performance*
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 5.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.4% |
Microsoft Corp. | 4.7% |
Amazon.com, Inc. | 2.9% |
Tesla, Inc. | 1.8% |
Alphabet, Inc. — Class A | 1.7% |
Guggenheim Strategy Fund II | 1.6% |
Alphabet, Inc. — Class C | 1.6% |
NVIDIA Corp. | 1.4% |
Berkshire Hathaway, Inc. — Class B | 1.3% |
Top Ten Total | 27.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 20.83% | 19.95% | 18.92% |
A-Class Shares | 20.54% | 19.65% | 18.64% |
A-Class Shares with sales charge‡ | 14.81% | 18.49% | 18.06% |
C-Class Shares | 19.64% | 18.79% | 17.75% |
C-Class Shares with CDSC§ | 18.64% | 18.79% | 17.75% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | 20.51% | 19.68% | 16.47% |
S&P 500 Index | 15.65% | 15.99% | 13.54% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
NOVA FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 76.9% |
| | | | | | | | | |
Technology - 18.8% |
Apple, Inc. | | | 138,376 | | | $ | 24,161,833 | |
Microsoft Corp. | | | 66,914 | | | | 20,630,255 | |
NVIDIA Corp. | | | 22,314 | | | | 6,088,598 | |
Broadcom, Inc. | | | 3,685 | | | | 2,320,371 | |
Adobe, Inc.* | | | 4,210 | | | | 1,918,160 | |
Accenture plc — Class A | | | 5,641 | | | | 1,902,314 | |
salesforce.com, Inc.* | | | 8,792 | | | | 1,866,717 | |
Intel Corp. | | | 36,344 | | | | 1,801,208 | |
Advanced Micro Devices, Inc.* | | | 14,591 | | | | 1,595,380 | |
QUALCOMM, Inc. | | | 10,059 | | | | 1,537,216 | |
Texas Instruments, Inc. | | | 8,243 | | | | 1,512,426 | |
Intuit, Inc. | | | 2,527 | | | | 1,215,083 | |
Oracle Corp. | | | 14,063 | | | | 1,163,432 | |
Applied Materials, Inc. | | | 7,926 | | | | 1,044,647 | |
International Business Machines Corp. | | | 8,004 | | | | 1,040,680 | |
ServiceNow, Inc.* | | | 1,785 | | | | 994,049 | |
Micron Technology, Inc. | | | 9,995 | | | | 778,510 | |
Analog Devices, Inc. | | | 4,689 | | | | 774,529 | |
Lam Research Corp. | | | 1,246 | | | | 669,862 | |
Activision Blizzard, Inc. | | | 6,953 | | | | 557,005 | |
Fidelity National Information Services, Inc. | | | 5,435 | | | | 545,783 | |
Fiserv, Inc.* | | | 5,304 | | | | 537,826 | |
KLA Corp. | | | 1,345 | | | | 492,351 | |
Synopsys, Inc.* | | | 1,371 | | | | 456,913 | |
Roper Technologies, Inc. | | | 941 | | | | 444,368 | |
NXP Semiconductor N.V. | | | 2,374 | | | | 439,380 | |
Autodesk, Inc.* | | | 1,964 | | | | 420,983 | |
Cognizant Technology Solutions Corp. — Class A | | | 4,688 | | | | 420,373 | |
Fortinet, Inc.* | | | 1,211 | | | | 413,847 | |
Cadence Design Systems, Inc.* | | | 2,474 | | | | 406,874 | |
Paychex, Inc. | | | 2,866 | | | | 391,123 | |
Microchip Technology, Inc. | | | 4,962 | | | | 372,845 | |
MSCI, Inc. — Class A | | | 725 | | | | 364,588 | |
HP, Inc. | | | 9,664 | | | | 350,803 | |
Electronic Arts, Inc. | | | 2,511 | | | | 317,667 | |
ANSYS, Inc.* | | | 779 | | | | 247,449 | |
Cerner Corp. | | | 2,626 | | | | 245,689 | |
Zebra Technologies Corp. — Class A* | | | 474 | | | | 196,094 | |
Skyworks Solutions, Inc. | | | 1,464 | | | | 195,122 | |
Hewlett Packard Enterprise Co. | | | 11,545 | | | | 192,917 | |
Monolithic Power Systems, Inc. | | | 388 | | | | 188,444 | |
Akamai Technologies, Inc.* | | | 1,451 | | | | 173,235 | |
Teradyne, Inc. | | | 1,455 | | | | 172,025 | |
NetApp, Inc. | | | 1,984 | | | | 164,672 | |
Tyler Technologies, Inc.* | | | 367 | | | | 163,275 | |
Broadridge Financial Solutions, Inc. | | | 1,042 | | | | 162,250 | |
Seagate Technology Holdings plc | | | 1,798 | | | | 161,640 | |
Take-Two Interactive Software, Inc.* | | | 1,031 | | | | 158,506 | |
EPAM Systems, Inc.* | | | 506 | | | | 150,085 | |
Paycom Software, Inc.* | | | 430 | | | | 148,943 | |
Western Digital Corp.* | | | 2,793 | | | | 138,673 | |
Leidos Holdings, Inc. | | | 1,253 | | | | 135,349 | |
Jack Henry & Associates, Inc. | | | 650 | | | | 128,082 | |
Qorvo, Inc.* | | | 968 | | | | 120,129 | |
Citrix Systems, Inc.* | | | 1,113 | | | | 112,302 | |
PTC, Inc.* | | | 939 | | | | 101,149 | |
Ceridian HCM Holding, Inc.* | | | 1,221 | | | | 83,467 | |
DXC Technology Co.* | | | 2,182 | | | | 71,199 | |
IPG Photonics Corp.* | | | 319 | | | | 35,013 | |
Total Technology | | | | | | | 83,593,708 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.5% |
UnitedHealth Group, Inc. | | | 8,406 | | | | 4,286,808 | |
Johnson & Johnson | | | 23,497 | | | | 4,164,373 | |
Procter & Gamble Co. | | | 21,395 | | | | 3,269,156 | |
Pfizer, Inc. | | | 50,097 | | | | 2,593,522 | |
AbbVie, Inc. | | | 15,779 | | | | 2,557,934 | |
Coca-Cola Co. | | | 34,697 | | | | 2,151,214 | |
Thermo Fisher Scientific, Inc. | | | 3,517 | | | | 2,077,316 | |
PepsiCo, Inc. | | | 12,348 | | | | 2,066,808 | |
Eli Lilly & Co. | | | 7,087 | | | | 2,029,504 | |
Abbott Laboratories | | | 15,783 | | | | 1,868,076 | |
Merck & Company, Inc. | | | 22,545 | | | | 1,849,817 | |
Danaher Corp. | | | 5,680 | | | | 1,666,114 | |
Bristol-Myers Squibb Co. | | | 19,455 | | | | 1,420,799 | |
Medtronic plc | | | 12,001 | | | | 1,331,511 | |
Philip Morris International, Inc. | | | 13,833 | | | | 1,299,472 | |
S&P Global, Inc. | | | 3,162 | | | | 1,296,820 | |
Amgen, Inc. | | | 5,027 | | | | 1,215,629 | |
PayPal Holdings, Inc.* | | | 10,398 | | | | 1,202,529 | |
CVS Health Corp. | | | 11,715 | | | | 1,185,675 | |
Anthem, Inc. | | | 2,166 | | | | 1,063,983 | |
Intuitive Surgical, Inc.* | | | 3,193 | | | | 963,264 | |
Automatic Data Processing, Inc. | | | 3,749 | | | | 853,047 | |
Altria Group, Inc. | | | 16,273 | | | | 850,264 | |
Stryker Corp. | | | 2,997 | | | | 801,248 | |
Zoetis, Inc. | | | 4,224 | | | | 796,604 | |
Mondelez International, Inc. — Class A | | | 12,392 | | | | 777,970 | |
Cigna Corp. | | | 2,882 | | | | 690,556 | |
Becton Dickinson and Co. | | | 2,542 | | | | 676,172 | |
Gilead Sciences, Inc. | | | 11,196 | | | | 665,602 | |
Regeneron Pharmaceuticals, Inc.* | | | 953 | | | | 665,594 | |
Edwards Lifesciences Corp.* | | | 5,573 | | | | 656,054 | |
Vertex Pharmaceuticals, Inc.* | | | 2,272 | | | | 592,924 | |
Colgate-Palmolive Co. | | | 7,523 | | | | 570,469 | |
Estee Lauder Companies, Inc. — Class A | | | 2,074 | | | | 564,792 | |
Boston Scientific Corp.* | | | 12,719 | | | | 563,325 | |
Moderna, Inc.* | | | 3,149 | | | | 542,447 | |
HCA Healthcare, Inc. | | | 2,138 | | | | 535,826 | |
Humana, Inc. | | | 1,147 | | | | 499,140 | |
Illumina, Inc.* | | | 1,395 | | | | 487,413 | |
Moody’s Corp. | | | 1,444 | | | | 487,220 | |
Archer-Daniels-Midland Co. | | | 4,994 | | | | 450,759 | |
Dexcom, Inc.* | | | 865 | | | | 442,534 | |
Centene Corp.* | | | 5,208 | | | | 438,462 | |
IDEXX Laboratories, Inc.* | | | 757 | | | | 414,124 | |
McKesson Corp. | | | 1,338 | | | | 409,602 | |
IQVIA Holdings, Inc.* | | | 1,706 | | | | 394,444 | |
Corteva, Inc. | | | 6,489 | | | | 372,988 | |
Kimberly-Clark Corp. | | | 3,007 | | | | 370,342 | |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NOVA FUND | |
| | Shares | | | Value | |
Sysco Corp. | | | 4,529 | | | $ | 369,793 | |
General Mills, Inc. | | | 5,384 | | | | 364,605 | |
Global Payments, Inc. | | | 2,542 | | | | 347,847 | |
Baxter International, Inc. | | | 4,469 | | | | 346,526 | |
Kroger Co. | | | 5,972 | | | | 342,614 | |
Constellation Brands, Inc. — Class A | | | 1,467 | | | | 337,879 | |
Cintas Corp. | | | 787 | | | | 334,782 | |
ResMed, Inc. | | | 1,305 | | | | 316,476 | |
Verisk Analytics, Inc. — Class A | | | 1,439 | | | | 308,852 | |
Align Technology, Inc.* | | | 655 | | | | 285,580 | |
Hershey Co. | | | 1,299 | | | | 281,402 | |
Biogen, Inc.* | | | 1,312 | | | | 276,307 | |
West Pharmaceutical Services, Inc. | | | 662 | | | | 271,890 | |
Monster Beverage Corp.* | | | 3,353 | | | | 267,905 | |
Equifax, Inc. | | | 1,089 | | | | 258,202 | |
Kraft Heinz Co. | | | 6,337 | | | | 249,614 | |
Zimmer Biomet Holdings, Inc. | | | 1,865 | | | | 238,534 | |
Tyson Foods, Inc. — Class A | | | 2,610 | | | | 233,934 | |
United Rentals, Inc.* | | | 646 | | | | 229,466 | |
McCormick & Company, Inc. | | | 2,229 | | | | 222,454 | |
Laboratory Corporation of America Holdings* | | | 831 | | | | 219,101 | |
Gartner, Inc.* | | | 734 | | | | 218,336 | |
STERIS plc | | | 894 | | | | 216,142 | |
Church & Dwight Company, Inc. | | | 2,160 | | | | 214,661 | |
AmerisourceBergen Corp. — Class A | | | 1,345 | | | | 208,085 | |
PerkinElmer, Inc. | | | 1,126 | | | | 196,442 | |
Cooper Companies, Inc. | | | 441 | | | | 184,157 | |
FleetCor Technologies, Inc.* | | | 726 | | | | 180,817 | |
Catalent, Inc.* | | | 1,599 | | | | 177,329 | |
Molina Healthcare, Inc.* | | | 521 | | | | 173,800 | |
Hologic, Inc.* | | | 2,232 | | | | 171,462 | |
Waters Corp.* | | | 545 | | | | 169,163 | |
Quanta Services, Inc. | | | 1,273 | | | | 167,539 | |
Clorox Co. | | | 1,099 | | | | 152,794 | |
Bio-Techne Corp. | | | 351 | | | | 151,997 | |
Teleflex, Inc. | | | 418 | | | | 148,319 | |
Kellogg Co. | | | 2,284 | | | | 147,295 | |
Quest Diagnostics, Inc. | | | 1,062 | | | | 145,345 | |
Conagra Brands, Inc. | | | 4,282 | | | | 143,747 | |
Cardinal Health, Inc. | | | 2,473 | | | | 140,219 | |
ABIOMED, Inc.* | | | 406 | | | | 134,483 | |
Incyte Corp.* | | | 1,679 | | | | 133,346 | |
J M Smucker Co. | | | 967 | | | | 130,941 | |
Hormel Foods Corp. | | | 2,518 | | | | 129,778 | |
Avery Dennison Corp. | | | 739 | | | | 128,564 | |
Charles River Laboratories International, Inc.* | | | 450 | | | | 127,786 | |
Viatris, Inc. | | | 10,794 | | | | 117,439 | |
MarketAxess Holdings, Inc. | | | 339 | | | | 115,328 | |
Robert Half International, Inc. | | | 977 | | | | 111,554 | |
Brown-Forman Corp. — Class B | | | 1,631 | | | | 109,310 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 193 | | | | 108,704 | |
Henry Schein, Inc.* | | | 1,238 | | | | 107,941 | |
Dentsply Sirona, Inc. | | | 1,951 | | | | 96,028 | |
Universal Health Services, Inc. — Class B | | | 654 | | | | 94,797 | |
Molson Coors Beverage Co. — Class B | | | 1,682 | | | | 89,785 | |
Nielsen Holdings plc | | | 3,203 | | | | 87,250 | |
Campbell Soup Co. | | | 1,805 | | | | 80,449 | |
Organon & Co. | | | 2,263 | | | | 79,047 | |
Lamb Weston Holdings, Inc. | | | 1,296 | | | | 77,643 | |
Rollins, Inc. | | | 2,020 | | | | 70,801 | |
DaVita, Inc.* | | | 550 | | | | 62,211 | |
Total Consumer, Non-cyclical | | | | | | | 68,734,843 | |
| | | | | | | | | |
Financial - 11.4% |
Berkshire Hathaway, Inc. — Class B* | | | 16,346 | | | | 5,768,667 | |
JPMorgan Chase & Co. | | | 26,378 | | | | 3,595,849 | |
Visa, Inc. — Class A | | | 14,802 | | | | 3,282,639 | |
Mastercard, Inc. — Class A | | | 7,703 | | | | 2,752,898 | |
Bank of America Corp. | | | 63,447 | | | | 2,615,285 | |
Wells Fargo & Co. | | | 34,682 | | | | 1,680,690 | |
Charles Schwab Corp. | | | 13,418 | | | | 1,131,272 | |
Morgan Stanley | | | 12,653 | | | | 1,105,872 | |
Prologis, Inc. REIT | | | 6,605 | | | | 1,066,575 | |
American Express Co. | | | 5,490 | | | | 1,026,630 | |
American Tower Corp. — Class A REIT | | | 4,065 | | | | 1,021,209 | |
Goldman Sachs Group, Inc. | | | 3,030 | | | | 1,000,203 | |
BlackRock, Inc. — Class A | | | 1,273 | | | | 972,788 | |
Citigroup, Inc. | | | 17,712 | | | | 945,821 | |
Chubb Ltd. | | | 3,845 | | | | 822,445 | |
Marsh & McLennan Companies, Inc. | | | 4,506 | | | | 767,913 | |
CME Group, Inc. — Class A | | | 3,208 | | | | 763,055 | |
Crown Castle International Corp. REIT | | | 3,858 | | | | 712,187 | |
PNC Financial Services Group, Inc. | | | 3,749 | | | | 691,503 | |
Truist Financial Corp. | | | 11,914 | | | | 675,524 | |
Intercontinental Exchange, Inc. | | | 5,015 | | | | 662,582 | |
U.S. Bancorp | | | 12,053 | | | | 640,617 | |
Aon plc — Class A | | | 1,917 | | | | 624,233 | |
Equinix, Inc. REIT | | | 804 | | | | 596,263 | |
Progressive Corp. | | | 5,217 | | | | 594,686 | |
Public Storage REIT | | | 1,362 | | | | 531,561 | |
Capital One Financial Corp. | | | 3,695 | | | | 485,117 | |
American International Group, Inc. | | | 7,411 | | | | 465,188 | |
MetLife, Inc. | | | 6,264 | | | | 440,234 | |
Prudential Financial, Inc. | | | 3,374 | | | | 398,706 | |
Travelers Companies, Inc. | | | 2,153 | | | | 393,418 | |
Simon Property Group, Inc. REIT | | | 2,933 | | | | 385,865 | |
Welltower, Inc. REIT | | | 3,885 | | | | 373,504 | |
Digital Realty Trust, Inc. REIT | | | 2,533 | | | | 359,179 | |
Realty Income Corp. REIT | | | 5,051 | | | | 350,034 | |
Allstate Corp. | | | 2,504 | | | | 346,829 | |
Aflac, Inc. | | | 5,355 | | | | 344,808 | |
SBA Communications Corp. REIT | | | 971 | | | | 334,121 | |
Bank of New York Mellon Corp. | | | 6,604 | | | | 327,757 | |
Arthur J Gallagher & Co. | | | 1,861 | | | | 324,931 | |
AvalonBay Communities, Inc. REIT | | | 1,248 | | | | 309,966 | |
T. Rowe Price Group, Inc. | | | 2,046 | | | | 309,335 | |
Ameriprise Financial, Inc. | | | 990 | | | | 297,356 | |
SVB Financial Group* | | | 524 | | | | 293,152 | |
State Street Corp. | | | 3,267 | | | | 284,621 | |
Discover Financial Services | | | 2,571 | | | | 283,298 | |
Equity Residential REIT | | | 3,050 | | | | 274,256 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NOVA FUND | |
| | Shares | | | Value | |
CBRE Group, Inc. — Class A* | | | 2,987 | | | $ | 273,370 | |
Fifth Third Bancorp | | | 6,103 | | | | 262,673 | |
Alexandria Real Estate Equities, Inc. REIT | | | 1,300 | | | | 261,625 | |
First Republic Bank | | | 1,600 | | | | 259,360 | |
Willis Towers Watson plc | | | 1,090 | | | | 257,480 | |
Weyerhaeuser Co. REIT | | | 6,670 | | | | 252,793 | |
Extra Space Storage, Inc. REIT | | | 1,195 | | | | 245,692 | |
Ventas, Inc. REIT | | | 3,563 | | | | 220,051 | |
Northern Trust Corp. | | | 1,854 | | | | 215,898 | |
Mid-America Apartment Communities, Inc. REIT | | | 1,029 | | | | 215,524 | |
Hartford Financial Services Group, Inc. | | | 2,989 | | | | 214,640 | |
Essex Property Trust, Inc. REIT | | | 583 | | | | 201,415 | |
Duke Realty Corp. REIT | | | 3,400 | | | | 197,404 | |
M&T Bank Corp. | | | 1,150 | | | | 194,925 | |
Huntington Bancshares, Inc. | | | 12,832 | | | | 187,604 | |
Regions Financial Corp. | | | 8,408 | | | | 187,162 | |
Nasdaq, Inc. | | | 1,045 | | | | 186,219 | |
KeyCorp | | | 8,290 | | | | 185,530 | |
Raymond James Financial, Inc. | | | 1,668 | | | | 183,330 | |
Cincinnati Financial Corp. | | | 1,338 | | | | 181,914 | |
Citizens Financial Group, Inc. | | | 3,804 | | | | 172,435 | |
Healthpeak Properties, Inc. REIT | | | 4,814 | | | | 165,265 | |
Signature Bank | | | 561 | | | | 164,648 | |
Boston Properties, Inc. REIT | | | 1,269 | | | | 163,447 | |
Synchrony Financial | | | 4,653 | | | | 161,971 | |
Principal Financial Group, Inc. | | | 2,168 | | | | 159,153 | |
UDR, Inc. REIT | | | 2,669 | | | | 153,121 | |
Brown & Brown, Inc. | | | 2,093 | | | | 151,261 | |
Iron Mountain, Inc. REIT | | | 2,585 | | | | 143,235 | |
Kimco Realty Corp. REIT | | | 5,505 | | | | 135,974 | |
W R Berkley Corp. | | | 1,871 | | | | 124,557 | |
Host Hotels & Resorts, Inc. REIT | | | 6,373 | | | | 123,827 | |
Loews Corp. | | | 1,751 | | | | 113,500 | |
Cboe Global Markets, Inc. | | | 952 | | | | 108,928 | |
Everest Re Group Ltd. | | | 352 | | | | 106,086 | |
Comerica, Inc. | | | 1,167 | | | | 105,532 | |
Regency Centers Corp. REIT | | | 1,375 | | | | 98,093 | |
Lincoln National Corp. | | | 1,487 | | | | 97,190 | |
Assurant, Inc. | | | 509 | | | | 92,551 | |
Zions Bancorp North America | | | 1,354 | | | | 88,768 | |
Globe Life, Inc. | | | 829 | | | | 83,397 | |
Federal Realty Investment Trust REIT | | | 632 | | | | 77,148 | |
People’s United Financial, Inc. | | | 3,820 | | | | 76,362 | |
Invesco Ltd. | | | 3,046 | | | | 70,241 | |
Franklin Resources, Inc. | | | 2,510 | | | | 70,079 | |
Vornado Realty Trust REIT | | | 1,420 | | | | 64,354 | |
Total Financial | | | | | | | 50,886,374 | |
| | | | | | | | | |
Communications - 11.0% |
Amazon.com, Inc.* | | | 3,906 | | | | 12,733,365 | |
Alphabet, Inc. — Class A* | | | 2,685 | | | | 7,467,925 | |
Alphabet, Inc. — Class C* | | | 2,479 | | | | 6,923,822 | |
Meta Platforms, Inc. — Class A* | | | 20,610 | | | | 4,582,840 | |
Walt Disney Co.* | | | 16,250 | | | | 2,228,850 | |
Cisco Systems, Inc. | | | 37,644 | | | | 2,099,029 | |
Verizon Communications, Inc. | | | 37,469 | | | | 1,908,671 | |
Comcast Corp. — Class A | | | 40,377 | | | | 1,890,451 | |
AT&T, Inc. | | | 63,738 | | | | 1,506,129 | |
Netflix, Inc.* | | | 3,963 | | | | 1,484,500 | |
Booking Holdings, Inc.* | | | 367 | | | | 861,881 | |
T-Mobile US, Inc.* | | | 5,240 | | | | 672,554 | |
Charter Communications, Inc. — Class A* | | | 1,064 | | | | 580,433 | |
Motorola Solutions, Inc. | | | 1,507 | | | | 364,995 | |
eBay, Inc. | | | 5,587 | | | | 319,912 | |
Arista Networks, Inc.* | | | 2,002 | | | | 278,238 | |
Twitter, Inc.* | | | 7,137 | | | | 276,130 | |
Match Group, Inc.* | | | 2,527 | | | | 274,786 | |
Expedia Group, Inc.* | | | 1,341 | | | | 262,393 | |
Corning, Inc. | | | 6,667 | | | | 246,079 | |
CDW Corp. | | | 1,211 | | | | 216,636 | |
Paramount Global — Class B | | | 5,416 | | | | 204,779 | |
VeriSign, Inc.* | | | 863 | | | | 191,983 | |
Omnicom Group, Inc. | | | 1,866 | | | | 158,386 | |
FactSet Research Systems, Inc. | | | 337 | | | | 146,308 | |
Etsy, Inc.* | | | 1,132 | | | | 140,685 | |
NortonLifeLock, Inc. | | | 5,193 | | | | 137,718 | |
Interpublic Group of Companies, Inc. | | | 3,513 | | | | 124,536 | |
F5, Inc.* | | | 542 | | | | 113,251 | |
Fox Corp. — Class A | | | 2,819 | | | | 111,210 | |
Juniper Networks, Inc. | | | 2,903 | | | | 107,876 | |
Lumen Technologies, Inc. | | | 8,225 | | | | 92,696 | |
News Corp. — Class A | | | 3,489 | | | | 77,281 | |
DISH Network Corp. — Class A* | | | 2,230 | | | | 70,579 | |
Discovery, Inc. — Class C* | | | 2,711 | | | | 67,694 | |
Fox Corp. — Class B | | | 1,302 | | | | 47,237 | |
Discovery, Inc. — Class A*,1 | | | 1,513 | | | | 37,704 | |
News Corp. — Class B | | | 1,081 | | | | 24,344 | |
Total Communications | | | | | | | 49,033,886 | |
| | | | | | | | | |
Consumer, Cyclical - 7.5% |
Tesla, Inc.* | | | 7,472 | | | | 8,051,827 | |
Home Depot, Inc. | | | 9,320 | | | | 2,789,756 | |
Costco Wholesale Corp. | | | 3,958 | | | | 2,279,214 | |
Walmart, Inc. | | | 12,627 | | | | 1,880,413 | |
McDonald’s Corp. | | | 6,669 | | | | 1,649,110 | |
NIKE, Inc. — Class B | | | 11,391 | | | | 1,532,773 | |
Lowe’s Companies, Inc. | | | 6,014 | | | | 1,215,971 | |
Starbucks Corp. | | | 10,267 | | | | 933,989 | |
Target Corp. | | | 4,276 | | | | 907,453 | |
TJX Companies, Inc. | | | 10,647 | | | | 644,995 | |
Ford Motor Co. | | | 35,107 | | | | 593,659 | |
General Motors Co.* | | | 12,970 | | | | 567,308 | |
Dollar General Corp. | | | 2,068 | | | | 460,399 | |
Marriott International, Inc. — Class A* | | | 2,442 | | | | 429,182 | |
O’Reilly Automotive, Inc.* | | | 601 | | | | 411,661 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 252 | | | | 398,672 | |
Hilton Worldwide Holdings, Inc.* | | | 2,488 | | | | 377,529 | |
AutoZone, Inc.* | | | 184 | | | | 376,203 | |
Dollar Tree, Inc.* | | | 2,009 | | | | 321,741 | |
Yum! Brands, Inc. | | | 2,579 | | | | 305,689 | |
Fastenal Co. | | | 5,137 | | | | 305,138 | |
Aptiv plc* | | | 2,415 | | | | 289,100 | |
Walgreens Boots Alliance, Inc. | | | 6,395 | | | | 286,304 | |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NOVA FUND | |
| | Shares | | | Value | |
Ross Stores, Inc. | | | 3,154 | | | $ | 285,311 | |
PACCAR, Inc. | | | 3,100 | | | | 273,017 | |
Cummins, Inc. | | | 1,271 | | | | 260,695 | |
Southwest Airlines Co.* | | | 5,287 | | | | 242,145 | |
Copart, Inc.* | | | 1,905 | | | | 239,020 | |
Tractor Supply Co. | | | 1,017 | | | | 237,337 | |
Delta Air Lines, Inc.* | | | 5,712 | | | | 226,024 | |
DR Horton, Inc. | | | 2,879 | | | | 214,514 | |
WW Grainger, Inc. | | | 387 | | | | 199,611 | |
Ulta Beauty, Inc.* | | | 483 | | | | 192,340 | |
Lennar Corp. — Class A | | | 2,333 | | | | 189,370 | |
Best Buy Company, Inc. | | | 1,933 | | | | 175,710 | |
Royal Caribbean Cruises Ltd.* | | | 2,001 | | | | 167,644 | |
VF Corp. | | | 2,881 | | | | 163,814 | |
Genuine Parts Co. | | | 1,271 | | | | 160,171 | |
Darden Restaurants, Inc. | | | 1,141 | | | | 151,696 | |
Pool Corp. | | | 358 | | | | 151,380 | |
Caesars Entertainment, Inc.* | | | 1,908 | | | | 147,603 | |
Carnival Corp.* | | | 7,219 | | | | 145,968 | |
Live Nation Entertainment, Inc.* | | | 1,206 | | | | 141,874 | |
MGM Resorts International | | | 3,362 | | | | 141,002 | |
CarMax, Inc.* | | | 1,444 | | | | 139,317 | |
United Airlines Holdings, Inc.* | | | 2,890 | | | | 133,980 | |
Domino’s Pizza, Inc. | | | 325 | | | | 132,278 | |
NVR, Inc.* | | | 29 | | | | 129,551 | |
Las Vegas Sands Corp.* | | | 3,069 | | | | 119,292 | |
Advance Auto Parts, Inc. | | | 557 | | | | 115,277 | |
Bath & Body Works, Inc. | | | 2,300 | | | | 109,940 | |
LKQ Corp. | | | 2,394 | | | | 108,712 | |
American Airlines Group, Inc.* | | | 5,781 | | | | 105,503 | |
Hasbro, Inc. | | | 1,157 | | | | 94,781 | |
PulteGroup, Inc. | | | 2,220 | | | | 93,018 | |
Whirlpool Corp. | | | 527 | | | | 91,055 | |
Tapestry, Inc. | | | 2,356 | | | | 87,525 | |
BorgWarner, Inc. | | | 2,141 | | | | 83,285 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 3,722 | | | | 81,437 | |
Wynn Resorts Ltd.* | | | 939 | | | | 74,876 | |
Newell Brands, Inc. | | | 3,379 | | | | 72,344 | |
Alaska Air Group, Inc.* | | | 1,125 | | | | 65,261 | |
Penn National Gaming, Inc.* | | | 1,483 | | | | 62,909 | |
PVH Corp. | | | 625 | | | | 47,881 | |
Ralph Lauren Corp. — Class A | | | 413 | | | | 46,851 | |
Under Armour, Inc. — Class C* | | | 1,920 | | | | 29,875 | |
Under Armour, Inc. — Class A* | | | 1,684 | | | | 28,662 | |
Total Consumer, Cyclical | | | | | | | 33,167,942 | |
| | | | | | | | | |
Industrial - 5.9% |
Union Pacific Corp. | | | 5,685 | | | | 1,553,199 | |
United Parcel Service, Inc. — Class B | | | 6,508 | | | | 1,395,706 | |
Raytheon Technologies Corp. | | | 13,320 | | | | 1,319,612 | |
Honeywell International, Inc. | | | 6,122 | | | | 1,191,219 | |
Caterpillar, Inc. | | | 4,829 | | | | 1,075,998 | |
Deere & Co. | | | 2,504 | | | | 1,040,312 | |
Lockheed Martin Corp. | | | 2,164 | | | | 955,190 | |
Boeing Co.* | | | 4,891 | | | | 936,627 | |
General Electric Co. | | | 9,812 | | | | 897,798 | |
3M Co. | | | 5,097 | | | | 758,841 | |
CSX Corp. | | | 19,796 | | | | 741,360 | |
Norfolk Southern Corp. | | | 2,141 | | | | 610,656 | |
Northrop Grumman Corp. | | | 1,310 | | | | 585,858 | |
Waste Management, Inc. | | | 3,435 | | | | 544,448 | |
Eaton Corporation plc | | | 3,558 | | | | 539,962 | |
Illinois Tool Works, Inc. | | | 2,549 | | | | 533,761 | |
Emerson Electric Co. | | | 5,302 | | | | 519,861 | |
FedEx Corp. | | | 2,176 | | | | 503,505 | |
General Dynamics Corp. | | | 2,058 | | | | 496,348 | |
L3Harris Technologies, Inc. | | | 1,751 | | | | 435,071 | |
Johnson Controls International plc | | | 6,271 | | | | 411,189 | |
Amphenol Corp. — Class A | | | 5,346 | | | | 402,821 | |
TE Connectivity Ltd. | | | 2,906 | | | | 380,628 | |
Agilent Technologies, Inc. | | | 2,681 | | | | 354,776 | |
Carrier Global Corp. | | | 7,636 | | | | 350,263 | |
Parker-Hannifin Corp. | | | 1,147 | | | | 325,473 | |
Trane Technologies plc | | | 2,085 | | | | 318,380 | |
TransDigm Group, Inc.* | | | 470 | | | | 306,224 | |
Otis Worldwide Corp. | | | 3,793 | | | | 291,871 | |
Rockwell Automation, Inc. | | | 1,037 | | | | 290,391 | |
Mettler-Toledo International, Inc.* | | | 205 | | | | 281,504 | |
AMETEK, Inc. | | | 2,065 | | | | 275,017 | |
Ball Corp. | | | 2,891 | | | | 260,190 | |
Keysight Technologies, Inc.* | | | 1,634 | | | | 258,123 | |
Old Dominion Freight Line, Inc. | | | 831 | | | | 248,203 | |
Republic Services, Inc. — Class A | | | 1,864 | | | | 246,980 | |
Vulcan Materials Co. | | | 1,185 | | | | 217,685 | |
Martin Marietta Materials, Inc. | | | 557 | | | | 214,384 | |
Stanley Black & Decker, Inc. | | | 1,455 | | | | 203,394 | |
Dover Corp. | | | 1,285 | | | | 201,616 | |
Teledyne Technologies, Inc.* | | | 416 | | | | 196,614 | |
Fortive Corp. | | | 3,201 | | | | 195,037 | |
Ingersoll Rand, Inc. | | | 3,639 | | | | 183,224 | |
Generac Holdings, Inc.* | | | 563 | | | | 167,357 | |
Trimble, Inc.* | | | 2,240 | | | | 161,593 | |
Garmin Ltd. | | | 1,357 | | | | 160,954 | |
Westinghouse Air Brake Technologies Corp. | | | 1,668 | | | | 160,411 | |
Jacobs Engineering Group, Inc. | | | 1,154 | | | | 159,033 | |
Expeditors International of Washington, Inc. | | | 1,512 | | | | 155,978 | |
Amcor plc | | | 13,511 | | | | 153,080 | |
J.B. Hunt Transport Services, Inc. | | | 750 | | | | 150,592 | |
Textron, Inc. | | | 1,967 | | | | 146,305 | |
Xylem, Inc. | | | 1,610 | | | | 137,269 | |
Packaging Corporation of America | | | 848 | | | | 132,381 | |
IDEX Corp. | | | 679 | | | | 130,185 | |
CH Robinson Worldwide, Inc. | | | 1,160 | | | | 124,943 | |
Howmet Aerospace, Inc. | | | 3,389 | | | | 121,801 | |
Westrock Co. | | | 2,350 | | | | 110,520 | |
Nordson Corp. | | | 483 | | | | 109,680 | |
Masco Corp. | | | 2,141 | | | | 109,191 | |
Snap-on, Inc. | | | 477 | | | | 98,014 | |
Fortune Brands Home & Security, Inc. | | | 1,211 | | | | 89,953 | |
Sealed Air Corp. | | | 1,323 | | | | 88,588 | |
Allegion plc | | | 801 | | | | 87,934 | |
Pentair plc | | | 1,477 | | | | 80,068 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NOVA FUND | |
| | Shares | | | Value | �� |
A O Smith Corp. | | | 1,173 | | | $ | 74,943 | |
Huntington Ingalls Industries, Inc. | | | 358 | | | | 71,400 | |
Mohawk Industries, Inc.* | | | 490 | | | | 60,858 | |
Total Industrial | | | | | | | 26,092,350 | |
| | | | | | | | | |
Energy - 3.1% |
Exxon Mobil Corp. | | | 37,786 | | | | 3,120,746 | |
Chevron Corp. | | | 17,205 | | | | 2,801,490 | |
ConocoPhillips | | | 11,623 | | | | 1,162,300 | |
EOG Resources, Inc. | | | 5,222 | | | | 622,619 | |
Schlumberger N.V. | | | 12,526 | | | | 517,449 | |
Pioneer Natural Resources Co. | | | 2,027 | | | | 506,811 | |
Occidental Petroleum Corp. | | | 7,920 | | | | 449,381 | |
Marathon Petroleum Corp. | | | 5,168 | | | | 441,864 | |
Valero Energy Corp. | | | 3,649 | | | | 370,519 | |
Williams Companies, Inc. | | | 10,845 | | | | 362,331 | |
Phillips 66 | | | 4,176 | | | | 360,765 | |
Devon Energy Corp. | | | 5,620 | | | | 332,311 | |
Kinder Morgan, Inc. | | | 17,405 | | | | 329,129 | |
Halliburton Co. | | | 8,020 | | | | 303,717 | |
Baker Hughes Co. | | | 8,084 | | | | 294,339 | |
ONEOK, Inc. | | | 3,980 | | | | 281,107 | |
Hess Corp. | | | 2,460 | | | | 263,318 | |
Enphase Energy, Inc.* | | | 1,195 | | | | 241,127 | |
Diamondback Energy, Inc. | | | 1,520 | | | | 208,362 | |
Coterra Energy, Inc. — Class A | | | 7,262 | | | | 195,856 | |
Marathon Oil Corp. | | | 6,949 | | | | 174,489 | |
SolarEdge Technologies, Inc.* | | | 469 | | | | 151,192 | |
APA Corp. | | | 3,242 | | | | 133,992 | |
Total Energy | | | | | | | 13,625,214 | |
| | | | | | | | | |
Utilities - 2.1% |
NextEra Energy, Inc. | | | 17,513 | | | | 1,483,526 | |
Duke Energy Corp. | | | 6,866 | | | | 766,658 | |
Southern Co. | | | 9,459 | | | | 685,872 | |
Dominion Energy, Inc. | | | 7,230 | | | | 614,333 | |
Sempra Energy | | | 2,851 | | | | 479,310 | |
American Electric Power Company, Inc. | | | 4,496 | | | | 448,566 | |
Exelon Corp. | | | 8,743 | | | | 416,429 | |
Xcel Energy, Inc. | | | 4,809 | | | | 347,066 | |
Public Service Enterprise Group, Inc. | | | 4,513 | | | | 315,910 | |
Consolidated Edison, Inc. | | | 3,158 | | | | 298,999 | |
WEC Energy Group, Inc. | | | 2,815 | | | | 280,965 | |
Eversource Energy | | | 3,069 | | | | 270,655 | |
American Water Works Company, Inc. | | | 1,620 | | | | 268,159 | |
Edison International | | | 3,391 | | | | 237,709 | |
FirstEnergy Corp. | | | 5,090 | | | | 233,427 | |
DTE Energy Co. | | | 1,729 | | | | 228,591 | |
Ameren Corp. | | | 2,299 | | | | 215,554 | |
Entergy Corp. | | | 1,794 | | | | 209,450 | |
PPL Corp. | | | 6,700 | | | | 191,352 | |
CMS Energy Corp. | | | 2,587 | | | | 180,935 | |
CenterPoint Energy, Inc. | | | 5,613 | | | | 171,982 | |
Constellation Energy Corp. | | | 2,915 | | | | 163,969 | |
AES Corp. | | | 5,951 | | | | 153,119 | |
Atmos Energy Corp. | | | 1,209 | | | | 144,463 | |
Evergy, Inc. | | | 2,047 | | | | 139,892 | |
Alliant Energy Corp. | | | 2,235 | | | | 139,643 | |
NiSource, Inc. | | | 3,506 | | | | 111,491 | |
NRG Energy, Inc. | | | 2,185 | | | | 83,817 | |
Pinnacle West Capital Corp. | | | 1,007 | | | | 78,647 | |
Total Utilities | | | | | | | 9,360,489 | |
| | | | | | | | | |
Basic Materials - 1.6% |
Linde plc | | | 4,575 | | | | 1,461,392 | |
Freeport-McMoRan, Inc. | | | 13,103 | | | | 651,743 | |
Newmont Corp. | | | 7,118 | | | | 565,525 | |
Sherwin-Williams Co. | | | 2,153 | | | | 537,432 | |
Air Products and Chemicals, Inc. | | | 1,979 | | | | 494,572 | |
Dow, Inc. | | | 6,567 | | | | 418,449 | |
Ecolab, Inc. | | | 2,225 | | | | 392,846 | |
Nucor Corp. | | | 2,428 | | | | 360,922 | |
DuPont de Nemours, Inc. | | | 4,578 | | | | 336,849 | |
International Flavors & Fragrances, Inc. | | | 2,272 | | | | 298,382 | |
PPG Industries, Inc. | | | 2,119 | | | | 277,737 | |
LyondellBasell Industries N.V. — Class A | | | 2,346 | | | | 241,216 | |
Albemarle Corp. | | | 1,044 | | | | 230,881 | |
Mosaic Co. | | | 3,307 | | | | 219,915 | |
CF Industries Holdings, Inc. | | | 1,915 | | | | 197,360 | |
International Paper Co. | | | 3,456 | | | | 159,495 | |
FMC Corp. | | | 1,131 | | | | 148,806 | |
Celanese Corp. — Class A | | | 964 | | | | 137,727 | |
Eastman Chemical Co. | | | 1,151 | | | | 128,981 | |
Total Basic Materials | | | | | | | 7,260,230 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $345,539,019) | | | | | | | 341,755,036 | |
| | | | | | | | | |
MUTUAL FUNDS† - 7.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 2,434,889 | | | | 23,837,568 | |
Guggenheim Strategy Fund II2 | | | 287,239 | | | | 7,051,713 | |
Guggenheim Strategy Fund III2 | | | 184,563 | | | | 4,547,624 | |
Total Mutual Funds | | | | |
(Cost $35,881,080) | | | | | | | 35,436,905 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 3.5% |
U.S. Treasury Bills |
0.09% due 06/02/223,4 | | $ | 13,400,000 | | | | 13,392,465 | |
0.12% due 05/05/224,5 | | | 1,581,000 | | | | 1,580,779 | |
0.22% due 06/02/224 | | | 500,000 | | | | 499,719 | |
Total U.S. Treasury Bills | | | | |
(Cost $15,478,603) | | | | | | | 15,472,963 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 2.3% |
Federal Farm Credit Bank |
0.10% due 04/01/224 | | | 10,000,000 | | | | 10,000,000 | |
Total Federal Agency Discount Notes | | | | |
(Cost $10,000,000) | | | | | | | 10,000,000 | |
| | | | | | | | | |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NOVA FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,7 - 9.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | $ | 27,670,253 | | | $ | 27,670,253 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 10,657,346 | | | | 10,657,346 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 2,770,910 | | | | 2,770,910 | |
Total Repurchase Agreements | | | | |
(Cost $41,098,509) | | | | | | | 41,098,509 | |
| | | | | | | | | |
| | Shares | | |
| |
SECURITIES LENDING COLLATERAL†,7 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%8 | | | 8,114 | | | | 8,114 | |
Total Securities Lending Collateral | | | | |
(Cost $8,114) | | | | | | | 8,114 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $448,005,325) | | $ | 443,771,527 | |
Other Assets & Liabilities, net - 0.1% | | | 432,805 | |
Total Net Assets - 100.0% | | $ | 444,204,332 | |
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 | | | 226 | | | | Jun 2022 | | | $ | 51,163,575 | | | $ | 1,146,335 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | S&P 500 Index | Pay | 0.72% (U.S. Secured Overnight Financing Rate + 0.45%) | | | At Maturity | | | | 04/13/22 | | | | 22,647 | | | $ | 102,599,558 | | | $ | 1,269,844 | |
BNP Paribas | S&P 500 Index | Pay | 0.93% (Federal Funds Rate + 0.60%) | | | At Maturity | | | | 04/14/22 | | | | 653 | | | | 2,959,097 | | | | 117,886 | |
Goldman Sachs International | S&P 500 Index | Pay | 0.78% (Federal Funds Rate + 0.45%) | | | At Maturity | | | | 04/14/22 | | | | 37,041 | | | | 167,812,420 | | | | (988,376 | ) |
| | | | | | | | | | | | | | | | | | $ | 273,371,075 | | | $ | 399,354 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
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 March 31, 2022. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
NOVA FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 341,755,036 | | | $ | — | | | $ | — | | | $ | 341,755,036 | |
Mutual Funds | | | 35,436,905 | | | | — | | | | — | | | | 35,436,905 | |
U.S. Treasury Bills | | | — | | | | 15,472,963 | | | | — | | | | 15,472,963 | |
Federal Agency Discount Notes | | | — | | | | 10,000,000 | | | | — | | | | 10,000,000 | |
Repurchase Agreements | | | — | | | | 41,098,509 | | | | — | | | | 41,098,509 | |
Securities Lending Collateral | | | 8,114 | | | | — | | | | — | | | | 8,114 | |
Equity Futures Contracts** | | | 1,146,335 | | | | — | | | | — | | | | 1,146,335 | |
Equity Index Swap Agreements** | | | — | | | | 1,387,730 | | | | — | | | | 1,387,730 | |
Total Assets | | $ | 378,346,390 | | | $ | 67,959,202 | | | $ | — | | | $ | 446,305,592 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 988,376 | | | $ | — | | | $ | 988,376 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 10,697,596 | | | $ | — | | | $ | (3,500,000 | ) | | $ | (431 | ) | | $ | (145,452 | ) | | $ | 7,051,713 | | | | 287,239 | | | $ | 135,807 | |
Guggenheim Strategy Fund III | | | 4,639,905 | | | | — | | | | — | | | | — | | | | (92,281 | ) | | | 4,547,624 | | | | 184,563 | | | | 71,772 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 19,255,008 | | | | 5,000,000 | | | | — | | | | — | | | | (417,440 | ) | | | 23,837,568 | | | | 2,434,889 | | | | 220,624 | |
| | | $ | 34,592,509 | | | $ | 5,000,000 | | | $ | (3,500,000 | ) | | $ | (431 | ) | | $ | (655,173 | ) | | $ | 35,436,905 | | | | | | | $ | 428,203 | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value - including $8,019 of securities loaned (cost $371,025,736) | | $ | 367,236,113 | |
Investments in affiliated issuers, at value (cost $35,881,080) | | | 35,436,905 | |
Repurchase agreements, at value (cost $41,098,509) | | | 41,098,509 | |
Cash | | | 1,614 | |
Segregated cash with broker | | | 1,271,157 | |
Unrealized appreciation on OTC swap agreements | | | 1,387,730 | |
Receivables: |
Securities sold | | | 5,909,248 | |
Swap settlement | | | 5,311,028 | |
Fund shares sold | | | 2,205,129 | |
Dividends | | | 98,401 | |
Interest | | | 308 | |
Securities lending income | | | 2 | |
Total assets | | | 459,956,144 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 9,870,000 | |
Unrealized depreciation on OTC swap agreements | | | 988,376 | |
Payable for: |
Fund shares redeemed | | | 3,641,117 | |
Variation margin on futures contracts | | | 807,978 | |
Management fees | | | 105,906 | |
Transfer agent and administrative fees | | | 39,686 | |
Portfolio accounting fees | | | 14,001 | |
Return of securities lending collateral | | | 8,114 | |
Distribution and service fees | | | 7,881 | |
Trustees’ fees* | | | 3,547 | |
Miscellaneous | | | 265,206 | |
Total liabilities | | | 15,751,812 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 444,204,332 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 475,835,272 | |
Total distributable earnings (loss) | | | (31,630,940 | ) |
Net assets | | $ | 444,204,332 | |
| | | | | |
Investor Class: |
Net assets | | $ | 380,170,130 | |
Capital shares outstanding | | | 2,854,884 | |
Net asset value per share | | $ | 133.16 | |
| | | | | |
A-Class: |
Net assets | | $ | 21,403,097 | |
Capital shares outstanding | | | 175,972 | |
Net asset value per share | | $ | 121.63 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 127.70 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,928,966 | |
Capital shares outstanding | | | 18,622 | |
Net asset value per share | | $ | 103.59 | |
| | | | | |
H-Class: |
Net assets | | $ | 40,702,139 | |
Capital shares outstanding | | | 334,367 | |
Net asset value per share | | $ | 121.73 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $585) | | $ | 3,756,077 | |
Dividends from securities of affiliated issuers | | | 428,203 | |
Interest | | | 18,899 | |
Income from securities lending, net | | | 189 | |
Total investment income | | | 4,203,368 | |
| | | | | |
Expenses: |
Management fees | | | 2,824,225 | |
Distribution and service fees: |
A-Class | | | 56,921 | |
C-Class | | | 31,435 | |
H-Class | | | 102,997 | |
Transfer agent and administrative fees | | | 1,050,772 | |
Portfolio accounting fees | | | 336,691 | |
Professional fees | | | 167,245 | |
Trustees’ fees* | | | 52,291 | |
Custodian fees | | | 49,983 | |
Interest expense | | | 1,905 | |
Line of credit fees | | | 242 | |
Miscellaneous | | | 217,450 | |
Total expenses | | | 4,892,157 | |
Less: |
Expenses waived by Adviser | | | (59,538 | ) |
Net expenses | | | 4,832,619 | |
Net investment loss | | | (629,251 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | 57,772,344 | |
Investments in affiliated issuers | | | (431 | ) |
Swap agreements | | | 27,418,412 | |
Futures contracts | | | (911,179 | ) |
Net realized gain | | | 84,279,146 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (38,494,960 | ) |
Investments in affiliated issuers | | | (655,173 | ) |
Swap agreements | | | (670,594 | ) |
Futures contracts | | | 1,127,820 | |
Net change in unrealized appreciation (depreciation) | | | (38,692,907 | ) |
Net realized and unrealized gain | | | 45,586,239 | |
Net increase in net assets resulting from operations | | $ | 44,956,988 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (629,251 | ) | | $ | (47,445 | ) |
Net realized gain on investments | | | 84,279,146 | | | | 112,959,122 | |
Net change in unrealized appreciation (depreciation) on investments | | | (38,692,907 | ) | | | 37,756,712 | |
Net increase in net assets resulting from operations | | | 44,956,988 | | | | 150,668,389 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (16,129,299 | ) | | | (1,491,578 | ) |
A-Class | | | (2,007,645 | ) | | | (113,091 | ) |
C-Class | | | (359,771 | ) | | | (25,544 | ) |
H-Class | | | (1,804,671 | ) | | | (282,790 | ) |
Total distributions to shareholders | | | (20,301,386 | ) | | | (1,913,003 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 3,662,606,295 | | | | 1,819,212,195 | |
A-Class | | | 160,211,360 | | | | 91,209,558 | |
C-Class | | | 203,281 | | | | 135,213 | |
H-Class | | | 578,940,049 | | | | 388,284,290 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 13,036,966 | | | | 1,356,726 | |
A-Class | | | 1,944,061 | | | | 110,585 | |
C-Class | | | 350,819 | | | | 25,096 | |
H-Class | | | 1,804,671 | | | | 282,790 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (3,642,219,061 | ) | | | (1,645,409,127 | ) |
A-Class | | | (159,461,992 | ) | | | (89,125,245 | ) |
C-Class | | | (2,524,068 | ) | | | (2,253,309 | ) |
H-Class | | | (597,412,425 | ) | | | (363,214,241 | ) |
Net increase from capital share transactions | | | 17,479,956 | | | | 200,614,531 | |
Net increase in net assets | | | 42,135,558 | | | | 349,369,917 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 402,068,774 | | | | 52,698,857 | |
End of year | | $ | 444,204,332 | | | $ | 402,068,774 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 26,990,584 | | | | 19,353,964 | |
A-Class | | | 1,276,479 | | | | 1,009,467 | |
C-Class | | | 1,925 | | | | 1,947 | |
H-Class | | | 4,583,468 | | | | 4,730,952 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 92,962 | | | | 12,683 | |
A-Class | | | 15,167 | | | | 1,119 | |
C-Class | | | 3,206 | | | | 291 | |
H-Class | | | 14,065 | | | | 2,860 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (26,935,753 | ) | | | (17,254,830 | ) |
A-Class | | | (1,282,864 | ) | | | (969,642 | ) |
C-Class | | | (23,392 | ) | | | (29,742 | ) |
H-Class | | | (4,745,096 | ) | | | (4,320,709 | ) |
Net increase (decrease) in shares | | | (9,249 | ) | | | 2,538,360 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 120.51 | | | $ | 63.62 | | | $ | 76.83 | | | $ | 69.63 | | | $ | 60.14 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.16 | ) | | | .05 | | | | .61 | | | | .48 | | | | .40 | |
Net gain (loss) on investments (realized and unrealized) | | | 25.92 | | | | 57.43 | | | | (13.82 | ) | | | 6.72 | | | | 10.50 | |
Total from investment operations | | | 25.76 | | | | 57.48 | | | | (13.21 | ) | | | 7.20 | | | | 10.90 | |
Less distributions from: |
Net investment income | | | — | | | | (.59 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | (13.11 | ) | | | — | | | | — | | | | — | | | | (1.39 | ) |
Total distributions | | | (13.11 | ) | | | (.59 | ) | | | — | | | | — | | | | (1.41 | ) |
Net asset value, end of period | | $ | 133.16 | | | $ | 120.51 | | | $ | 63.62 | | | $ | 76.83 | | | $ | 69.63 | |
|
Total Return | | | 20.83 | % | | | 90.46 | % | | | (17.19 | %) | | | 10.34 | % | | | 18.09 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 380,170 | | | $ | 326,237 | | | $ | 37,874 | | | $ | 242,831 | | | $ | 451,764 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.12 | %) | | | 0.05 | % | | | 0.71 | % | | | 0.65 | % | | | 0.58 | % |
Total expensesb | | | 1.25 | % | | | 1.33 | % | | | 1.37 | % | | | 1.35 | % | | | 1.26 | % |
Net expensesc | | | 1.23 | % | | | 1.32 | % | | | 1.36 | % | | | 1.35 | % | | | 1.26 | % |
Portfolio turnover rate | | | 1,027 | % | | | 785 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 111.23 | | | $ | 58.89 | | | $ | 71.28 | | | $ | 64.72 | | | $ | 56.18 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.45 | ) | | | (.18 | ) | | | .40 | | | | .28 | | | | .25 | |
Net gain (loss) on investments (realized and unrealized) | | | 23.96 | | | | 53.11 | | | | (12.79 | ) | | | 6.28 | | | | 9.70 | |
Total from investment operations | | | 23.51 | | | | 52.93 | | | | (12.39 | ) | | | 6.56 | | | | 9.95 | |
Less distributions from: |
Net investment income | | | — | | | | (.59 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | (13.11 | ) | | | — | | | | — | | | | — | | | | (1.39 | ) |
Total distributions | | | (13.11 | ) | | | (.59 | ) | | | — | | | | — | | | | (1.41 | ) |
Net asset value, end of period | | $ | 121.63 | | | $ | 111.23 | | | $ | 58.89 | | | $ | 71.28 | | | $ | 64.72 | |
|
Total Returnd | | | 20.54 | % | | | 90.00 | % | | | (17.38 | %) | | | 10.14 | % | | | 17.68 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 21,403 | | | $ | 18,596 | | | $ | 7,435 | | | $ | 26,022 | | | $ | 35,094 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.35 | %) | | | (0.20 | %) | | | 0.52 | % | | | 0.41 | % | | | 0.39 | % |
Total expensesb | | | 1.50 | % | | | 1.59 | % | | | 1.62 | % | | | 1.60 | % | | | 1.51 | % |
Net expensesc | | | 1.48 | % | | | 1.58 | % | | | 1.61 | % | | | 1.60 | % | | | 1.51 | % |
Portfolio turnover rate | | | 1,027 | % | | | 785 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 96.96 | | | $ | 51.77 | | | $ | 63.15 | | | $ | 57.77 | | | $ | 50.57 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.19 | ) | | | (.74 | ) | | | (.22 | ) | | | (.20 | ) | | | (.27 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 20.93 | | | | 46.52 | | | | (11.16 | ) | | | 5.58 | | | | 8.88 | |
Total from investment operations | | | 19.74 | | | | 45.78 | | | | (11.38 | ) | | | 5.38 | | | | 8.61 | |
Less distributions from: |
Net investment income | | | — | | | | (.59 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | (13.11 | ) | | | — | | | | — | | | | — | | | | (1.39 | ) |
Total distributions | | | (13.11 | ) | | | (.59 | ) | | | — | | | | — | | | | (1.41 | ) |
Net asset value, end of period | | $ | 103.59 | | | $ | 96.96 | | | $ | 51.77 | | | $ | 63.15 | | | $ | 57.77 | |
|
Total Returnd | | | 19.64 | % | | | 88.56 | % | | | (18.02 | %) | | | 9.31 | % | | | 17.01 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,929 | | | $ | 3,576 | | | $ | 3,333 | | | $ | 4,165 | | | $ | 9,952 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.09 | %) | | | (0.97 | %) | | | (0.32 | %) | | | (0.33 | %) | | | (0.48 | %) |
Total expensesb | | | 2.25 | % | | | 2.35 | % | | | 2.38 | % | | | 2.35 | % | | | 2.28 | % |
Net expensesc | | | 2.23 | % | | | 2.33 | % | | | 2.37 | % | | | 2.35 | % | | | 2.28 | % |
Portfolio turnover rate | | | 1,027 | % | | | 785 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 111.34 | | | $ | 58.94 | | | $ | 71.35 | | | $ | 64.80 | | | $ | 56.15 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.48 | ) | | | (.18 | ) | | | .36 | | | | .30 | | | | .19 | |
Net gain (loss) on investments (realized and unrealized) | | | 23.98 | | | | 53.17 | | | | (12.77 | ) | | | 6.25 | | | | 9.87 | |
Total from investment operations | | | 23.50 | | | | 52.99 | | | | (12.41 | ) | | | 6.55 | | | | 10.06 | |
Less distributions from: |
Net investment income | | | — | | | | (.59 | ) | | | — | | | | — | | | | (.02 | ) |
Net realized gains | | | (13.11 | ) | | | — | | | | — | | | | — | | | | (1.39 | ) |
Total distributions | | | (13.11 | ) | | | (.59 | ) | | | — | | | | — | | | | (1.41 | ) |
Net asset value, end of period | | $ | 121.73 | | | $ | 111.34 | | | $ | 58.94 | | | $ | 71.35 | | | $ | 64.80 | |
|
Total Return | | | 20.51 | % | | | 90.03 | % | | | (17.39 | %) | | | 10.11 | % | | | 17.88 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 40,702 | | | $ | 53,660 | | | $ | 4,057 | | | $ | 49,090 | | | $ | 28,985 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.37 | %) | | | (0.20 | %) | | | 0.46 | % | | | 0.44 | % | | | 0.30 | % |
Total expensesb | | | 1.50 | % | | | 1.59 | % | | | 1.62 | % | | | 1.61 | % | | | 1.52 | % |
Net expensesc | | | 1.48 | % | | | 1.58 | % | | | 1.61 | % | | | 1.61 | % | | | 1.52 | % |
Portfolio turnover rate | | | 1,027 | % | | | 785 | % | | | 690 | % | | | 1,078 | % | | | 2,067 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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”).
For the one-year period ended March 31, 2022, S&P 500® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the S&P 500® Index. S&P 500® Fund H-Class returned 13.84%, while the S&P 500® Index returned 15.65%.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Health Care, and Financials.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc. - Class A, PayPal Holdings, Inc., and Walt Disney Co.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 6.7% |
Microsoft Corp. | 5.8% |
Amazon.com, Inc. | 3.5% |
Tesla, Inc. | 2.2% |
Alphabet, Inc. — Class A | 2.1% |
Alphabet, Inc. — Class C | 1.9% |
NVIDIA Corp. | 1.7% |
Berkshire Hathaway, Inc. — Class B | 1.6% |
Meta Platforms, Inc. — Class A | 1.3% |
UnitedHealth Group, Inc. | 1.2% |
Top Ten Total | 28.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
26 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 13.82% | 14.02% | 12.72% |
A-Class Shares with sales charge‡ | 8.41% | 12.92% | 12.17% |
C-Class Shares | 12.99% | 13.17% | 11.88% |
C-Class Shares with CDSC§ | 11.99% | 13.17% | 11.88% |
H-Class Shares | 13.84% | 14.02% | 12.72% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only: performance for C-Class shares will vary due to difference in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 95.2% |
| | | | | | | | | |
Technology - 23.3% |
Apple, Inc. | | | 61,362 | | | $ | 10,714,419 | |
Microsoft Corp. | | | 29,671 | | | | 9,147,866 | |
NVIDIA Corp. | | | 9,895 | | | | 2,699,950 | |
Broadcom, Inc. | | | 1,634 | | | | 1,028,897 | |
Adobe, Inc.* | | | 1,867 | | | | 850,642 | |
Accenture plc — Class A | | | 2,501 | | | | 843,412 | |
salesforce.com, Inc.* | | | 3,899 | | | | 827,836 | |
Intel Corp. | | | 16,117 | | | | 798,758 | |
Advanced Micro Devices, Inc.* | | | 6,471 | | | | 707,539 | |
QUALCOMM, Inc. | | | 4,461 | | | | 681,730 | |
Texas Instruments, Inc. | | | 3,656 | | | | 670,803 | |
Intuit, Inc. | | | 1,121 | | | | 539,022 | |
Oracle Corp. | | | 6,236 | | | | 515,904 | |
Applied Materials, Inc. | | | 3,515 | | | | 463,277 | |
International Business Machines Corp. | | | 3,550 | | | | 461,571 | |
ServiceNow, Inc.* | | | 792 | | | | 441,057 | |
Micron Technology, Inc. | | | 4,431 | | | | 345,131 | |
Analog Devices, Inc. | | | 2,079 | | | | 343,409 | |
Lam Research Corp. | | | 552 | | | | 296,761 | |
Activision Blizzard, Inc. | | | 3,084 | | | | 247,059 | |
Fidelity National Information Services, Inc. | | | 2,410 | | | | 242,012 | |
Fiserv, Inc.* | | | 2,352 | | | | 238,493 | |
KLA Corp. | | | 596 | | | | 218,172 | |
Synopsys, Inc.* | | | 607 | | | | 202,295 | |
Roper Technologies, Inc. | | | 418 | | | | 197,392 | |
NXP Semiconductor N.V. | | | 1,052 | | | | 194,704 | |
Autodesk, Inc.* | | | 871 | | | | 186,699 | |
Cognizant Technology Solutions Corp. — Class A | | | 2,079 | | | | 186,424 | |
Fortinet, Inc.* | | | 537 | | | | 183,514 | |
Cadence Design Systems, Inc.* | | | 1,097 | | | | 180,413 | |
Paychex, Inc. | | | 1,271 | | | | 173,453 | |
Microchip Technology, Inc. | | | 2,201 | | | | 165,383 | |
MSCI, Inc. — Class A | | | 322 | | | | 161,927 | |
HP, Inc. | | | 4,285 | | | | 155,546 | |
Electronic Arts, Inc. | | | 1,113 | | | | 140,806 | |
ANSYS, Inc.* | | | 345 | | | | 109,589 | |
Cerner Corp. | | | 1,164 | | | | 108,904 | |
Zebra Technologies Corp. — Class A* | | | 210 | | | | 86,877 | |
Skyworks Solutions, Inc. | | | 649 | | | | 86,499 | |
Hewlett Packard Enterprise Co. | | | 5,119 | | | | 85,539 | |
Monolithic Power Systems, Inc. | | | 171 | | | | 83,051 | |
Akamai Technologies, Inc.* | | | 643 | | | | 76,768 | |
Teradyne, Inc. | | | 645 | | | | 76,258 | |
NetApp, Inc. | | | 879 | | | | 72,957 | |
Tyler Technologies, Inc.* | | | 162 | | | | 72,072 | |
Broadridge Financial Solutions, Inc. | | | 462 | | | | 71,938 | |
Seagate Technology Holdings plc | | | 797 | | | | 71,650 | |
Take-Two Interactive Software, Inc.* | | | 457 | | | | 70,259 | |
EPAM Systems, Inc.* | | | 225 | | | | 66,737 | |
Paycom Software, Inc.* | | | 191 | | | | 66,159 | |
Western Digital Corp.* | | | 1,238 | | | | 61,467 | |
Leidos Holdings, Inc. | | | 555 | | | | 59,951 | |
Jack Henry & Associates, Inc. | | | 288 | | | | 56,750 | |
Qorvo, Inc.* | | | 429 | | | | 53,239 | |
Citrix Systems, Inc.* | | | 494 | | | | 49,845 | |
PTC, Inc.* | | | 417 | | | | 44,919 | |
Ceridian HCM Holding, Inc.* | | | 541 | | | | 36,983 | |
DXC Technology Co.* | | | 968 | | | | 31,586 | |
IPG Photonics Corp.* | | | 141 | | | | 15,476 | |
Total Technology | | | | | | | 37,067,749 | |
| | | | | | | | | |
Consumer, Non-cyclical - 19.1% |
UnitedHealth Group, Inc. | | | 3,728 | | | | 1,901,168 | |
Johnson & Johnson | | | 10,420 | | | | 1,846,737 | |
Procter & Gamble Co. | | | 9,487 | | | | 1,449,614 | |
Pfizer, Inc. | | | 22,216 | | | | 1,150,122 | |
AbbVie, Inc. | | | 6,998 | | | | 1,134,446 | |
Coca-Cola Co. | | | 15,387 | | | | 953,994 | |
Thermo Fisher Scientific, Inc. | | | 1,560 | | | | 921,414 | |
PepsiCo, Inc. | | | 5,476 | | | | 916,573 | |
Eli Lilly & Co. | | | 3,142 | | | | 899,774 | |
Abbott Laboratories | | | 6,999 | | | | 828,402 | |
Merck & Company, Inc. | | | 9,998 | | | | 820,336 | |
Danaher Corp. | | | 2,518 | | | | 738,605 | |
Bristol-Myers Squibb Co. | | | 8,627 | | | | 630,030 | |
Medtronic plc | | | 5,321 | | | | 590,365 | |
Philip Morris International, Inc. | | | 6,134 | | | | 576,228 | |
S&P Global, Inc. | | | 1,403 | | | | 575,473 | |
Amgen, Inc. | | | 2,229 | | | | 539,017 | |
PayPal Holdings, Inc.* | | | 4,611 | | | | 533,262 | |
CVS Health Corp. | | | 5,195 | | | | 525,786 | |
Anthem, Inc. | | | 961 | | | | 472,062 | |
Intuitive Surgical, Inc.* | | | 1,416 | | | | 427,179 | |
Automatic Data Processing, Inc. | | | 1,663 | | | | 378,399 | |
Altria Group, Inc. | | | 7,216 | | | | 377,036 | |
Stryker Corp. | | | 1,328 | | | | 355,041 | |
Zoetis, Inc. | | | 1,873 | | | | 353,229 | |
Mondelez International, Inc. — Class A | | | 5,495 | | | | 344,976 | |
Cigna Corp. | | | 1,278 | | | | 306,222 | |
Becton Dickinson and Co. | | | 1,127 | | | | 299,782 | |
Gilead Sciences, Inc. | | | 4,965 | | | | 295,169 | |
Regeneron Pharmaceuticals, Inc.* | | | 422 | | | | 294,733 | |
Edwards Lifesciences Corp.* | | | 2,471 | | | | 290,886 | |
Vertex Pharmaceuticals, Inc.* | | | 1,008 | | | | 263,058 | |
Colgate-Palmolive Co. | | | 3,336 | | | | 252,969 | |
Estee Lauder Companies, Inc. — Class A | | | 920 | | | | 250,534 | |
Boston Scientific Corp.* | | | 5,640 | | | | 249,796 | |
Moderna, Inc.* | | | 1,396 | | | | 240,475 | |
HCA Healthcare, Inc. | | | 947 | | | | 237,337 | |
Humana, Inc. | | | 509 | | | | 221,501 | |
Moody’s Corp. | | | 640 | | | | 215,943 | |
Illumina, Inc.* | | | 618 | | | | 215,929 | |
Archer-Daniels-Midland Co. | | | 2,215 | | | | 199,926 | |
Dexcom, Inc.* | | | 384 | | | | 196,454 | |
Centene Corp.* | | | 2,309 | | | | 194,395 | |
IDEXX Laboratories, Inc.* | | | 336 | | | | 183,812 | |
McKesson Corp. | | | 593 | | | | 181,535 | |
IQVIA Holdings, Inc.* | | | 756 | | | | 174,795 | |
Corteva, Inc. | | | 2,877 | | | | 165,370 | |
Kimberly-Clark Corp. | | | 1,333 | | | | 164,172 | |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
Sysco Corp. | | | 2,009 | | | $ | 164,035 | |
General Mills, Inc. | | | 2,387 | | | | 161,648 | |
Global Payments, Inc. | | | 1,127 | | | | 154,219 | |
Baxter International, Inc. | | | 1,981 | | | | 153,607 | |
Kroger Co. | | | 2,648 | | | | 151,916 | |
Constellation Brands, Inc. — Class A | | | 650 | | | | 149,708 | |
Cintas Corp. | | | 349 | | | | 148,461 | |
ResMed, Inc. | | | 579 | | | | 140,413 | |
Verisk Analytics, Inc. — Class A | | | 638 | | | | 136,934 | |
Align Technology, Inc.* | | | 290 | | | | 126,440 | |
Hershey Co. | | | 575 | | | | 124,562 | |
Biogen, Inc.* | | | 581 | | | | 122,358 | |
West Pharmaceutical Services, Inc. | | | 293 | | | | 120,338 | |
Monster Beverage Corp.* | | | 1,487 | | | | 118,811 | |
Equifax, Inc. | | | 483 | | | | 114,519 | |
Kraft Heinz Co. | | | 2,809 | | | | 110,647 | |
Zimmer Biomet Holdings, Inc. | | | 827 | | | | 105,773 | |
Tyson Foods, Inc. — Class A | | | 1,157 | | | | 103,702 | |
United Rentals, Inc.* | | | 287 | | | | 101,945 | |
McCormick & Company, Inc. | | | 989 | | | | 98,702 | |
Laboratory Corporation of America Holdings* | | | 368 | | | | 97,027 | |
Gartner, Inc.* | | | 326 | | | | 96,972 | |
STERIS plc | | | 396 | | | | 95,741 | |
Church & Dwight Company, Inc. | | | 958 | | | | 95,206 | |
AmerisourceBergen Corp. — Class A | | | 596 | | | | 92,207 | |
PerkinElmer, Inc. | | | 500 | | | | 87,230 | |
Cooper Companies, Inc. | | | 195 | | | | 81,430 | |
FleetCor Technologies, Inc.* | | | 321 | | | | 79,948 | |
Catalent, Inc.* | | | 708 | | | | 78,517 | |
Molina Healthcare, Inc.* | | | 231 | | | | 77,059 | |
Hologic, Inc.* | | | 989 | | | | 75,975 | |
Waters Corp.* | | | 241 | | | | 74,804 | |
Quanta Services, Inc. | | | 564 | | | | 74,228 | |
Clorox Co. | | | 487 | | | | 67,708 | |
Bio-Techne Corp. | | | 155 | | | | 67,121 | |
Teleflex, Inc. | | | 185 | | | | 65,644 | |
Kellogg Co. | | | 1,012 | | | | 65,264 | |
Quest Diagnostics, Inc. | | | 471 | | | | 64,461 | |
Conagra Brands, Inc. | | | 1,899 | | | | 63,749 | |
Cardinal Health, Inc. | | | 1,097 | | | | 62,200 | |
ABIOMED, Inc.* | | | 180 | | | | 59,623 | |
Incyte Corp.* | | | 745 | | | | 59,168 | |
J M Smucker Co. | | | 429 | | | | 58,091 | |
Hormel Foods Corp. | | | 1,117 | | | | 57,570 | |
Avery Dennison Corp. | | | 328 | | | | 57,062 | |
Charles River Laboratories International, Inc.* | | | 200 | | | | 56,794 | |
Viatris, Inc. | | | 4,787 | | | | 52,083 | |
MarketAxess Holdings, Inc. | | | 151 | | | | 51,370 | |
Robert Half International, Inc. | | | 433 | | | | 49,440 | |
Brown-Forman Corp. — Class B | | | 723 | | | | 48,455 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 86 | | | | 48,438 | |
Henry Schein, Inc.* | | | 549 | | | | 47,867 | |
Dentsply Sirona, Inc. | | | 865 | | | | 42,575 | |
Universal Health Services, Inc. — Class B | | | 289 | | | | 41,891 | |
Molson Coors Beverage Co. — Class B | | | 746 | | | | 39,822 | |
Nielsen Holdings plc | | | 1,420 | | | | 38,681 | |
Campbell Soup Co. | | | 800 | | | | 35,656 | |
Organon & Co. | | | 1,003 | | | | 35,035 | |
Lamb Weston Holdings, Inc. | | | 575 | | | | 34,448 | |
Rollins, Inc. | | | 896 | | | | 31,405 | |
DaVita, Inc.* | | | 244 | | | | 27,599 | |
Total Consumer, Non-cyclical | | | | | | | 30,478,363 | |
| | | | | | | | | |
Financial - 14.2% |
Berkshire Hathaway, Inc. — Class B* | | | 7,249 | | | | 2,558,245 | |
JPMorgan Chase & Co. | | | 11,697 | | | | 1,594,535 | |
Visa, Inc. — Class A | | | 6,564 | | | | 1,455,698 | |
Mastercard, Inc. — Class A | | | 3,416 | | | | 1,220,810 | |
Bank of America Corp. | | | 28,134 | | | | 1,159,683 | |
Wells Fargo & Co. | | | 15,380 | | | | 745,315 | |
Charles Schwab Corp. | | | 5,951 | | | | 501,729 | |
Morgan Stanley | | | 5,611 | | | | 490,401 | |
Prologis, Inc. REIT | | | 2,929 | | | | 472,975 | |
American Express Co. | | | 2,434 | | | | 455,158 | |
American Tower Corp. — Class A REIT | | | 1,802 | | | | 452,698 | |
Goldman Sachs Group, Inc. | | | 1,344 | | | | 443,654 | |
BlackRock, Inc. — Class A | | | 564 | | | | 430,992 | |
Citigroup, Inc. | | | 7,854 | | | | 419,404 | |
Chubb Ltd. | | | 1,704 | | | | 364,486 | |
Marsh & McLennan Companies, Inc. | | | 1,998 | | | | 340,499 | |
CME Group, Inc. — Class A | | | 1,422 | | | | 338,237 | |
Crown Castle International Corp. REIT | | | 1,710 | | | | 315,666 | |
PNC Financial Services Group, Inc. | | | 1,662 | | | | 306,556 | |
Truist Financial Corp. | | | 5,284 | | | | 299,603 | |
Intercontinental Exchange, Inc. | | | 2,223 | | | | 293,703 | |
U.S. Bancorp | | | 5,345 | | | | 284,087 | |
Aon plc — Class A | | | 850 | | | | 276,786 | |
Equinix, Inc. REIT | | | 356 | | | | 264,017 | |
Progressive Corp. | | | 2,313 | | | | 263,659 | |
Public Storage REIT | | | 603 | | | | 235,339 | |
Capital One Financial Corp. | | | 1,638 | | | | 215,053 | |
American International Group, Inc. | | | 3,286 | | | | 206,262 | |
MetLife, Inc. | | | 2,777 | | | | 195,168 | |
Prudential Financial, Inc. | | | 1,496 | | | | 176,782 | |
Travelers Companies, Inc. | | | 954 | | | | 174,324 | |
Simon Property Group, Inc. REIT | | | 1,301 | | | | 171,160 | |
Welltower, Inc. REIT | | | 1,723 | | | | 165,649 | |
Digital Realty Trust, Inc. REIT | | | 1,123 | | | | 159,241 | |
Realty Income Corp. REIT | | | 2,239 | | | | 155,163 | |
Allstate Corp. | | | 1,111 | | | | 153,885 | |
Aflac, Inc. | | | 2,375 | | | | 152,926 | |
SBA Communications Corp. REIT | | | 431 | | | | 148,307 | |
Bank of New York Mellon Corp. | | | 2,928 | | | | 145,317 | |
Arthur J Gallagher & Co. | | | 825 | | | | 144,045 | |
AvalonBay Communities, Inc. REIT | | | 553 | | | | 137,349 | |
T. Rowe Price Group, Inc. | | | 907 | | | | 137,129 | |
Ameriprise Financial, Inc. | | | 439 | | | | 131,858 | |
SVB Financial Group* | | | 233 | | | | 130,352 | |
State Street Corp. | | | 1,448 | | | | 126,150 | |
Discover Financial Services | | | 1,139 | | | | 125,507 | |
Equity Residential REIT | | | 1,353 | | | | 121,662 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
CBRE Group, Inc. — Class A* | | | 1,325 | | | $ | 121,264 | |
Fifth Third Bancorp | | | 2,706 | | | | 116,466 | |
Alexandria Real Estate Equities, Inc. REIT | | | 576 | | | | 115,920 | |
First Republic Bank | | | 710 | | | | 115,091 | |
Willis Towers Watson plc | | | 483 | | | | 114,094 | |
Weyerhaeuser Co. REIT | | | 2,958 | | | | 112,108 | |
Extra Space Storage, Inc. REIT | | | 530 | | | | 108,968 | |
Ventas, Inc. REIT | | | 1,579 | | | | 97,519 | |
Northern Trust Corp. | | | 822 | | | | 95,722 | |
Mid-America Apartment Communities, Inc. REIT | | | 457 | | | | 95,719 | |
Hartford Financial Services Group, Inc. | | | 1,326 | | | | 95,220 | |
Essex Property Trust, Inc. REIT | | | 258 | | | | 89,134 | |
Duke Realty Corp. REIT | | | 1,507 | | | | 87,496 | |
M&T Bank Corp. | | | 509 | | | | 86,275 | |
Huntington Bancshares, Inc. | | | 5,691 | | | | 83,202 | |
Regions Financial Corp. | | | 3,728 | | | | 82,985 | |
Nasdaq, Inc. | | | 463 | | | | 82,507 | |
KeyCorp | | | 3,677 | | | | 82,291 | |
Raymond James Financial, Inc. | | | 740 | | | | 81,333 | |
Cincinnati Financial Corp. | | | 593 | | | | 80,624 | |
Citizens Financial Group, Inc. | | | 1,687 | | | | 76,472 | |
Healthpeak Properties, Inc. REIT | | | 2,134 | | | | 73,260 | |
Signature Bank | | | 248 | | | | 72,786 | |
Boston Properties, Inc. REIT | | | 563 | | | | 72,514 | |
Synchrony Financial | | | 2,063 | | | | 71,813 | |
Principal Financial Group, Inc. | | | 962 | | | | 70,620 | |
UDR, Inc. REIT | | | 1,183 | | | | 67,869 | |
Brown & Brown, Inc. | | | 928 | | | | 67,067 | |
Iron Mountain, Inc. REIT | | | 1,146 | | | | 63,500 | |
Kimco Realty Corp. REIT | | | 2,441 | | | | 60,293 | |
W R Berkley Corp. | | | 830 | | | | 55,236 | |
Host Hotels & Resorts, Inc. REIT | | | 2,826 | | | | 54,909 | |
Loews Corp. | | | 776 | | | | 50,300 | |
Cboe Global Markets, Inc. | | | 422 | | | | 48,285 | |
Everest Re Group Ltd. | | | 156 | | | | 47,015 | |
Comerica, Inc. | | | 517 | | | | 46,752 | |
Regency Centers Corp. REIT | | | 610 | | | | 43,517 | |
Lincoln National Corp. | | | 659 | | | | 43,072 | |
Assurant, Inc. | | | 226 | | | | 41,094 | |
Zions Bancorp North America | | | 600 | | | | 39,336 | |
Globe Life, Inc. | | | 368 | | | | 37,021 | |
Federal Realty Investment Trust REIT | | | 280 | | | | 34,180 | |
People’s United Financial, Inc. | | | 1,694 | | | | 33,863 | |
Invesco Ltd. | | | 1,351 | | | | 31,154 | |
Franklin Resources, Inc. | | | 1,113 | | | | 31,075 | |
Vornado Realty Trust REIT | | | 629 | | | | 28,506 | |
Total Financial | | | | | | | 22,562,671 | |
| | | | | | | | | |
Communications - 13.7% |
Amazon.com, Inc.* | | | 1,731 | | | | 5,642,973 | |
Alphabet, Inc. — Class A* | | | 1,190 | | | | 3,309,806 | |
Alphabet, Inc. — Class C* | | | 1,099 | | | | 3,069,496 | |
Meta Platforms, Inc. — Class A* | | | 9,139 | | | | 2,032,148 | |
Walt Disney Co.* | | | 7,206 | | | | 988,375 | |
Cisco Systems, Inc. | | | 16,693 | | | | 930,802 | |
Verizon Communications, Inc. | | | 16,615 | | | | 846,368 | |
Comcast Corp. — Class A | | | 17,905 | | | | 838,312 | |
AT&T, Inc. | | | 28,262 | | | | 667,831 | |
Netflix, Inc.* | | | 1,757 | | | | 658,155 | |
Booking Holdings, Inc.* | | | 162 | | | | 380,449 | |
T-Mobile US, Inc.* | | | 2,324 | | | | 298,285 | |
Charter Communications, Inc. — Class A* | | | 471 | | | | 256,940 | |
Motorola Solutions, Inc. | | | 669 | | | | 162,032 | |
eBay, Inc. | | | 2,478 | | | | 141,890 | |
Arista Networks, Inc.* | | | 888 | | | | 123,414 | |
Twitter, Inc.* | | | 3,164 | | | | 122,415 | |
Match Group, Inc.* | | | 1,120 | | | | 121,789 | |
Expedia Group, Inc.* | | | 594 | | | | 116,228 | |
Corning, Inc. | | | 2,957 | | | | 109,143 | |
CDW Corp. | | | 537 | | | | 96,064 | |
Paramount Global — Class B | | | 2,401 | | | | 90,782 | |
VeriSign, Inc.* | | | 382 | | | | 84,980 | |
Omnicom Group, Inc. | | | 827 | | | | 70,196 | |
FactSet Research Systems, Inc. | | | 150 | | | | 65,122 | |
Etsy, Inc.* | | | 501 | | | | 62,264 | |
NortonLifeLock, Inc. | | | 2,303 | | | | 61,076 | |
Interpublic Group of Companies, Inc. | | | 1,558 | | | | 55,231 | |
F5, Inc.* | | | 240 | | | | 50,148 | |
Fox Corp. — Class A | | | 1,250 | | | | 49,313 | |
Juniper Networks, Inc. | | | 1,287 | | | | 47,825 | |
Lumen Technologies, Inc. | | | 3,647 | | | | 41,102 | |
News Corp. — Class A | | | 1,547 | | | | 34,266 | |
DISH Network Corp. — Class A* | | | 988 | | | | 31,270 | |
Discovery, Inc. — Class C* | | | 1,202 | | | | 30,014 | |
Fox Corp. — Class B | | | 577 | | | | 20,934 | |
Discovery, Inc. — Class A*,1 | | | 671 | | | | 16,721 | |
News Corp. — Class B | | | 479 | | | | 10,787 | |
Total Communications | | | | | | | 21,734,946 | |
| | | | | | | | | |
Consumer, Cyclical - 9.2% |
Tesla, Inc.* | | | 3,313 | | | | 3,570,089 | |
Home Depot, Inc. | | | 4,133 | | | | 1,237,131 | |
Costco Wholesale Corp. | | | 1,755 | | | | 1,010,617 | |
Walmart, Inc. | | | 5,599 | | | | 833,803 | |
McDonald’s Corp. | | | 2,958 | | | | 731,454 | |
NIKE, Inc. — Class B | | | 5,052 | | | | 679,797 | |
Lowe’s Companies, Inc. | | | 2,667 | | | | 539,241 | |
Starbucks Corp. | | | 4,553 | | | | 414,186 | |
Target Corp. | | | 1,896 | | | | 402,369 | |
TJX Companies, Inc. | | | 4,721 | | | | 285,998 | |
Ford Motor Co. | | | 15,568 | | | | 263,255 | |
General Motors Co.* | | | 5,751 | | | | 251,549 | |
Dollar General Corp. | | | 917 | | | | 204,152 | |
Marriott International, Inc. — Class A* | | | 1,083 | | | | 190,337 | |
O’Reilly Automotive, Inc.* | | | 267 | | | | 182,884 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 111 | | | | 175,605 | |
AutoZone, Inc.* | | | 82 | | | | 167,656 | |
Hilton Worldwide Holdings, Inc.* | | | 1,103 | | | | 167,369 | |
Dollar Tree, Inc.* | | | 890 | | | | 142,534 | |
Yum! Brands, Inc. | | | 1,144 | | | | 135,598 | |
Fastenal Co. | | | 2,278 | | | | 135,313 | |
Aptiv plc* | | | 1,071 | | | | 128,209 | |
Walgreens Boots Alliance, Inc. | | | 2,836 | | | | 126,968 | |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
Ross Stores, Inc. | | | 1,398 | | | $ | 126,463 | |
PACCAR, Inc. | | | 1,374 | | | | 121,008 | |
Cummins, Inc. | | | 564 | | | | 115,682 | |
Southwest Airlines Co.* | | | 2,344 | | | | 107,355 | |
Copart, Inc.* | | | 845 | | | | 106,022 | |
Tractor Supply Co. | | | 450 | | | | 105,017 | |
Delta Air Lines, Inc.* | | | 2,533 | | | | 100,231 | |
DR Horton, Inc. | | | 1,276 | | | | 95,075 | |
WW Grainger, Inc. | | | 171 | | | | 88,200 | |
Ulta Beauty, Inc.* | | | 214 | | | | 85,219 | |
Lennar Corp. — Class A | | | 1,034 | | | | 83,930 | |
Best Buy Company, Inc. | | | 857 | | | | 77,901 | |
Royal Caribbean Cruises Ltd.* | | | 888 | | | | 74,397 | |
VF Corp. | | | 1,278 | | | | 72,667 | |
Genuine Parts Co. | | | 564 | | | | 71,075 | |
Darden Restaurants, Inc. | | | 506 | | | | 67,273 | |
Pool Corp. | | | 158 | | | | 66,811 | |
Caesars Entertainment, Inc.* | | | 846 | | | | 65,447 | |
Carnival Corp.* | | | 3,201 | | | | 64,724 | |
Live Nation Entertainment, Inc.* | | | 535 | | | | 62,937 | |
MGM Resorts International | | | 1,491 | | | | 62,533 | |
CarMax, Inc.* | | | 640 | | | | 61,747 | |
United Airlines Holdings, Inc.* | | | 1,282 | | | | 59,433 | |
Domino’s Pizza, Inc. | | | 144 | | | | 58,610 | |
NVR, Inc.* | | | 13 | | | | 58,074 | |
Las Vegas Sands Corp.* | | | 1,361 | | | | 52,902 | |
Advance Auto Parts, Inc. | | | 246 | | | | 50,912 | |
Bath & Body Works, Inc. | | | 1,020 | | | | 48,756 | |
LKQ Corp. | | | 1,061 | | | | 48,180 | |
American Airlines Group, Inc.* | | | 2,564 | | | | 46,793 | |
Hasbro, Inc. | | | 513 | | | | 42,025 | |
PulteGroup, Inc. | | | 984 | | | | 41,230 | |
Whirlpool Corp. | | | 233 | | | | 40,258 | |
Tapestry, Inc. | | | 1,045 | | | | 38,822 | |
BorgWarner, Inc. | | | 949 | | | | 36,916 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 1,650 | | | | 36,102 | |
Wynn Resorts Ltd.* | | | 417 | | | | 33,252 | |
Newell Brands, Inc. | | | 1,499 | | | | 32,093 | |
Alaska Air Group, Inc.* | | | 498 | | | | 28,889 | |
Penn National Gaming, Inc.* | | | 658 | | | | 27,912 | |
PVH Corp. | | | 276 | | | | 21,144 | |
Ralph Lauren Corp. — Class A | | | 183 | | | | 20,759 | |
Under Armour, Inc. — Class C* | | | 851 | | | | 13,242 | |
Under Armour, Inc. — Class A* | | | 747 | | | | 12,714 | |
Total Consumer, Cyclical | | | | | | | 14,706,846 | |
| | | | | | | | | |
Industrial - 7.3% |
Union Pacific Corp. | | | 2,521 | | | | 688,762 | |
United Parcel Service, Inc. — Class B | | | 2,886 | | | | 618,932 | |
Raytheon Technologies Corp. | | | 5,906 | | | | 585,107 | |
Honeywell International, Inc. | | | 2,715 | | | | 528,285 | |
Caterpillar, Inc. | | | 2,141 | | | | 477,058 | |
Deere & Co. | | | 1,110 | | | | 461,160 | |
Lockheed Martin Corp. | | | 959 | | | | 423,303 | |
Boeing Co.* | | | 2,169 | | | | 415,363 | |
General Electric Co. | | | 4,351 | | | | 398,116 | |
3M Co. | | | 2,260 | | | | 336,469 | |
CSX Corp. | | | 8,779 | | | | 328,774 | |
Norfolk Southern Corp. | | | 949 | | | | 270,674 | |
Northrop Grumman Corp. | | | 581 | | | | 259,835 | |
Waste Management, Inc. | | | 1,523 | | | | 241,395 | |
Eaton Corporation plc | | | 1,577 | | | | 239,326 | |
Illinois Tool Works, Inc. | | | 1,131 | | | | 236,831 | |
Emerson Electric Co. | | | 2,350 | | | | 230,417 | |
FedEx Corp. | | | 965 | | | | 223,291 | |
General Dynamics Corp. | | | 912 | | | | 219,956 | |
L3Harris Technologies, Inc. | | | 777 | | | | 193,061 | |
Johnson Controls International plc | | | 2,781 | | | | 182,350 | |
Amphenol Corp. — Class A | | | 2,370 | | | | 178,580 | |
TE Connectivity Ltd. | | | 1,288 | | | | 168,702 | |
Agilent Technologies, Inc. | | | 1,188 | | | | 157,208 | |
Carrier Global Corp. | | | 3,386 | | | | 155,316 | |
Parker-Hannifin Corp. | | | 509 | | | | 144,434 | |
Trane Technologies plc | | | 924 | | | | 141,095 | |
TransDigm Group, Inc.* | | | 209 | | | | 136,172 | |
Otis Worldwide Corp. | | | 1,682 | | | | 129,430 | |
Rockwell Automation, Inc. | | | 460 | | | | 128,814 | |
Mettler-Toledo International, Inc.* | | | 91 | | | | 124,960 | |
AMETEK, Inc. | | | 916 | | | | 121,993 | |
Ball Corp. | | | 1,282 | | | | 115,380 | |
Keysight Technologies, Inc.* | | | 724 | | | | 114,370 | |
Old Dominion Freight Line, Inc. | | | 369 | | | | 110,213 | |
Republic Services, Inc. — Class A | | | 826 | | | | 109,445 | |
Vulcan Materials Co. | | | 525 | | | | 96,443 | |
Martin Marietta Materials, Inc. | | | 246 | | | | 94,683 | |
Stanley Black & Decker, Inc. | | | 645 | | | | 90,165 | |
Dover Corp. | | | 570 | | | | 89,433 | |
Teledyne Technologies, Inc.* | | | 185 | | | | 87,437 | |
Fortive Corp. | | | 1,419 | | | | 86,460 | |
Ingersoll Rand, Inc. | | | 1,613 | | | | 81,214 | |
Generac Holdings, Inc.* | | | 250 | | | | 74,315 | |
Trimble, Inc.* | | | 994 | | | | 71,707 | |
Garmin Ltd. | | | 601 | | | | 71,285 | |
Westinghouse Air Brake Technologies Corp. | | | 739 | | | | 71,070 | |
Jacobs Engineering Group, Inc. | | | 511 | | | | 70,421 | |
Expeditors International of Washington, Inc. | | | 671 | | | | 69,220 | |
Amcor plc | | | 5,992 | | | | 67,889 | |
J.B. Hunt Transport Services, Inc. | | | 333 | | | | 66,863 | |
Textron, Inc. | | | 872 | | | | 64,859 | |
Xylem, Inc. | | | 714 | | | | 60,876 | |
Packaging Corporation of America | | | 376 | | | | 58,697 | |
IDEX Corp. | | | 300 | | | | 57,519 | |
CH Robinson Worldwide, Inc. | | | 515 | | | | 55,471 | |
Howmet Aerospace, Inc. | | | 1,502 | | | | 53,982 | |
Westrock Co. | | | 1,042 | | | | 49,005 | |
Nordson Corp. | | | 214 | | | | 48,595 | |
Masco Corp. | | | 950 | | | | 48,450 | |
Snap-on, Inc. | | | 211 | | | | 43,356 | |
Fortune Brands Home & Security, Inc. | | | 537 | | | | 39,888 | |
Sealed Air Corp. | | | 586 | | | | 39,239 | |
Allegion plc | | | 354 | | | | 38,862 | |
Pentair plc | | | 655 | | | | 35,508 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
A O Smith Corp. | | | 520 | | | $ | 33,223 | |
Huntington Ingalls Industries, Inc. | | | 158 | | | | 31,511 | |
Mohawk Industries, Inc.* | | | 217 | | | | 26,951 | |
Total Industrial | | | | | | | 11,569,174 | |
| | | | | | | | | |
Energy - 3.8% |
Exxon Mobil Corp. | | | 16,757 | | | | 1,383,961 | |
Chevron Corp. | | | 7,630 | | | | 1,242,393 | |
ConocoPhillips | | | 5,154 | | | | 515,400 | |
EOG Resources, Inc. | | | 2,315 | | | | 276,017 | |
Schlumberger N.V. | | | 5,555 | | | | 229,477 | |
Pioneer Natural Resources Co. | | | 899 | | | | 224,777 | |
Occidental Petroleum Corp. | | | 3,512 | | | | 199,271 | |
Marathon Petroleum Corp. | | | 2,291 | | | | 195,880 | |
Valero Energy Corp. | | | 1,618 | | | | 164,292 | |
Williams Companies, Inc. | | | 4,809 | | | | 160,669 | |
Phillips 66 | | | 1,852 | | | | 159,994 | |
Devon Energy Corp. | | | 2,492 | | | | 147,352 | |
Kinder Morgan, Inc. | | | 7,718 | | | | 145,947 | |
Halliburton Co. | | | 3,557 | | | | 134,704 | |
Baker Hughes Co. | | | 3,584 | | | | 130,493 | |
ONEOK, Inc. | | | 1,765 | | | | 124,662 | |
Hess Corp. | | | 1,091 | | | | 116,781 | |
Enphase Energy, Inc.* | | | 530 | | | | 106,943 | |
Diamondback Energy, Inc. | | | 674 | | | | 92,392 | |
Coterra Energy, Inc. — Class A | | | 3,219 | | | | 86,816 | |
Marathon Oil Corp. | | | 3,081 | | | | 77,364 | |
SolarEdge Technologies, Inc.* | | | 208 | | | | 67,053 | |
APA Corp. | | | 1,438 | | | | 59,433 | |
Total Energy | | | | | | | 6,042,071 | |
| | | | | | | | | |
Utilities - 2.6% |
NextEra Energy, Inc. | | | 7,766 | | | | 657,858 | |
Duke Energy Corp. | | | 3,044 | | | | 339,893 | |
Southern Co. | | | 4,195 | | | | 304,179 | |
Dominion Energy, Inc. | | | 3,206 | | | | 272,414 | |
Sempra Energy | | | 1,264 | | | | 212,504 | |
American Electric Power Company, Inc. | | | 1,994 | | | | 198,941 | |
Exelon Corp. | | | 3,877 | | | | 184,662 | |
Xcel Energy, Inc. | | | 2,132 | | | | 153,866 | |
Public Service Enterprise Group, Inc. | | | 2,001 | | | | 140,070 | |
Consolidated Edison, Inc. | | | 1,400 | | | | 132,552 | |
WEC Energy Group, Inc. | | | 1,249 | | | | 124,663 | |
Eversource Energy | | | 1,361 | | | | 120,027 | |
American Water Works Company, Inc. | | | 719 | | | | 119,016 | |
Edison International | | | 1,504 | | | | 105,430 | |
FirstEnergy Corp. | | | 2,257 | | | | 103,506 | |
DTE Energy Co. | | | 767 | | | | 101,405 | |
Ameren Corp. | | | 1,020 | | | | 95,635 | |
Entergy Corp. | | | 795 | | | | 92,816 | |
PPL Corp. | | | 2,971 | | | | 84,852 | |
CMS Energy Corp. | | | 1,147 | | | | 80,221 | |
CenterPoint Energy, Inc. | | | 2,489 | | | | 76,263 | |
Constellation Energy Corp. | | | 1,292 | | | | 72,675 | |
AES Corp. | | | 2,639 | | | | 67,902 | |
Atmos Energy Corp. | | | 536 | | | | 64,047 | |
Evergy, Inc. | | | 907 | | | | 61,984 | |
Alliant Energy Corp. | | | 990 | | | | 61,855 | |
NiSource, Inc. | | | 1,554 | | | | 49,417 | |
NRG Energy, Inc. | | | 969 | | | | 37,171 | |
Pinnacle West Capital Corp. | | | 446 | | | | 34,833 | |
Total Utilities | | | | | | | 4,150,657 | |
| | | | | | | | | |
Basic Materials - 2.0% |
Linde plc | | | 2,029 | | | | 648,123 | |
Freeport-McMoRan, Inc. | | | 5,811 | | | | 289,039 | |
Newmont Corp. | | | 3,156 | | | | 250,744 | |
Sherwin-Williams Co. | | | 954 | | | | 238,138 | |
Air Products and Chemicals, Inc. | | | 877 | | | | 219,171 | |
Dow, Inc. | | | 2,911 | | | | 185,489 | |
Ecolab, Inc. | | | 987 | | | | 174,265 | |
Nucor Corp. | | | 1,077 | | | | 160,096 | |
DuPont de Nemours, Inc. | | | 2,030 | | | | 149,367 | |
International Flavors & Fragrances, Inc. | | | 1,008 | | | | 132,381 | |
PPG Industries, Inc. | | | 940 | | | | 123,206 | |
LyondellBasell Industries N.V. — Class A | | | 1,041 | | | | 107,036 | |
Albemarle Corp. | | | 463 | | | | 102,392 | |
Mosaic Co. | | | 1,466 | | | | 97,489 | |
CF Industries Holdings, Inc. | | | 849 | | | | 87,498 | |
International Paper Co. | | | 1,533 | | | | 70,748 | |
FMC Corp. | | | 502 | | | | 66,048 | |
Celanese Corp. — Class A | | | 428 | | | | 61,148 | |
Eastman Chemical Co. | | | 511 | | | | 57,263 | |
Total Basic Materials | | | | | | | 3,219,641 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $97,294,561) | | | | | | | 151,532,118 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 0.0% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | $ | 61,000 | | | | 60,992 | |
Total U.S. Treasury Bills | | | | |
(Cost $60,993) | | | | | | | 60,992 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 5.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/225 | | | 5,672,590 | | | | 5,672,590 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/225 | | | 2,184,828 | | | | 2,184,828 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/225 | | | 568,055 | | | | 568,055 | |
Total Repurchase Agreements | | | | |
(Cost $8,425,473) | | | | | | | 8,425,473 | |
| | | | | | | | | |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P 500® FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%7 | | | 31,265 | | | $ | 31,265 | |
Total Securities Lending Collateral | | | | |
(Cost $31,265) | | | | | | | 31,265 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $105,812,292) | | $ | 160,049,848 | |
Other Assets & Liabilities, net - (0.5)% | | | (865,683 | ) |
Total Net Assets - 100.0% | | $ | 159,184,165 | |
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 | | | 13 | | | | Jun 2022 | | | $ | 2,943,038 | | | $ | 75,134 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | S&P 500 Index | Pay | 0.72% (U.S. Secured Overnight Financing Rate + 0.45%) | | | At Maturity | | | | 04/13/22 | | | | 159 | | | $ | 718,980 | | | $ | 48,389 | |
BNP Paribas | S&P 500 Index | Pay | 0.93% (Federal Funds Rate + 0.60%) | | | At Maturity | | | | 04/14/22 | | | | 164 | | | | 744,511 | | | | 24,678 | |
Goldman Sachs International | S&P 500 Index | Pay | 0.78% (Federal Funds Rate + 0.45%) | | | At Maturity | | | | 04/14/22 | | | | 699 | | | | 3,167,944 | | | | 19,890 | |
| | | | | | | | | | | | | | | | | | $ | 4,631,435 | | | $ | 92,957 | |
* | 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 March 31, 2022 — See Note 7. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
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 March 31, 2022. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P 500® FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 151,532,118 | | | $ | — | | | $ | — | | | $ | 151,532,118 | |
U.S. Treasury Bills | | | — | | | | 60,992 | | | | — | | | | 60,992 | |
Repurchase Agreements | | | — | | | | 8,425,473 | | | | — | | | | 8,425,473 | |
Securities Lending Collateral | | | 31,265 | | | | — | | | | — | | | | 31,265 | |
Equity Futures Contracts** | | | 75,134 | | | | — | | | | — | | | | 75,134 | |
Equity Index Swap Agreements** | | | — | | | | 92,957 | | | | — | | | | 92,957 | |
Total Assets | | $ | 151,638,517 | | | $ | 8,579,422 | | | $ | — | | | $ | 160,217,939 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $30,831 of securities loaned (cost $97,386,819) | | $ | 151,624,375 | |
Repurchase agreements, at value (cost $8,425,473) | | | 8,425,473 | |
Cash | | | 2,352 | |
Segregated cash with broker | | | 175,315 | |
Unrealized appreciation on OTC swap agreements | | | 92,957 | |
Receivables: |
Fund shares sold | | | 6,755,961 | |
Dividends | | | 86,814 | |
Interest | | | 63 | |
Securities lending income | | | 6 | |
Total assets | | | 167,163,316 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 150,000 | |
Payable for: |
Securities purchased | | | 5,909,248 | |
Fund shares redeemed | | | 1,393,646 | |
Swap settlement | | | 122,638 | |
Management fees | | | 93,187 | |
Variation margin on futures contracts | | | 44,362 | |
Distribution and service fees | | | 37,010 | |
Transfer agent and administrative fees | | | 33,423 | |
Return of securities lending collateral | | | 31,265 | |
Portfolio accounting fees | | | 18,638 | |
Trustees’ fees* | | | 1,935 | |
Miscellaneous | | | 143,799 | |
Total liabilities | | | 7,979,151 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 159,184,165 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 127,551,697 | |
Total distributable earnings (loss) | | | 31,632,468 | |
Net assets | | $ | 159,184,165 | |
| | | | | |
A-Class: |
Net assets | | $ | 18,855,815 | |
Capital shares outstanding | | | 265,970 | |
Net asset value per share | | $ | 70.89 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 74.43 | |
| | | | | |
C-Class: |
Net assets | | $ | 10,272,998 | |
Capital shares outstanding | | | 169,214 | |
Net asset value per share | | $ | 60.71 | |
| | | | | |
H-Class: |
Net assets | | $ | 130,055,352 | |
Capital shares outstanding | | | 1,834,283 | |
Net asset value per share | | $ | 70.90 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $463) | | $ | 2,456,098 | |
Interest | | | 3,468 | |
Income from securities lending, net | | | 130 | |
Total investment income | | | 2,459,696 | |
| | | | | |
Expenses: |
Management fees | | | 1,407,463 | |
Distribution and service fees: |
A-Class | | | 54,964 | |
C-Class | | | 118,633 | |
H-Class | | | 384,536 | |
Transfer agent and administrative fees | | | 521,365 | |
Portfolio accounting fees | | | 281,496 | |
Professional fees | | | 69,298 | |
Custodian fees | | | 24,705 | |
Trustees’ fees* | | | 22,967 | |
Interest expense | | | 20 | |
Miscellaneous | | | 133,119 | |
Total expenses | | | 3,018,566 | |
Net investment loss | | | (558,870 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (57,657 | ) |
Swap agreements | | | 1,496,344 | |
Futures contracts | | | (188,892 | ) |
Net realized gain | | | 1,249,795 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 16,067,865 | |
Swap agreements | | | 50,391 | |
Futures contracts | | | 75,134 | |
Net change in unrealized appreciation (depreciation) | | | 16,193,390 | |
Net realized and unrealized gain | | | 17,443,185 | |
Net increase in net assets resulting from operations | | $ | 16,884,315 | |
* | 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 ANNUAL REPORT | 35 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (558,870 | ) | | $ | (286,741 | ) |
Net realized gain on investments | | | 1,249,795 | | | | 28,856,852 | |
Net change in unrealized appreciation (depreciation) on investments | | | 16,193,390 | | | | 28,537,668 | |
Net increase in net assets resulting from operations | | | 16,884,315 | | | | 57,107,779 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (331,339 | ) | | | (2,097,148 | ) |
C-Class | | | (163,855 | ) | | | (1,988,516 | ) |
H-Class | | | (2,286,541 | ) | | | (17,353,786 | ) |
Total distributions to shareholders | | | (2,781,735 | ) | | | (21,439,450 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 52,642,627 | | | | 81,748,960 | |
C-Class | | | 12,658,121 | | | | 10,752,839 | |
H-Class | | | 919,080,240 | | | | 770,668,766 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 312,707 | | | | 2,020,425 | |
C-Class | | | 145,929 | | | | 1,870,486 | |
H-Class | | | 2,276,597 | | | | 17,262,763 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (55,161,701 | ) | | | (82,637,657 | ) |
C-Class | | | (15,655,773 | ) | | | (12,101,344 | ) |
H-Class | | | (925,522,755 | ) | | | (805,526,433 | ) |
Net decrease from capital share transactions | | | (9,224,008 | ) | | | (15,941,195 | ) |
Net increase in net assets | | | 4,878,572 | | | | 19,727,134 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 154,305,593 | | | | 134,578,459 | |
End of year | | $ | 159,184,165 | | | $ | 154,305,593 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 756,957 | | | | 1,376,150 | |
C-Class | | | 206,893 | | | | 204,841 | |
H-Class | | | 13,170,805 | | | | 13,337,703 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 4,242 | | | | 34,379 | |
C-Class | | | 2,306 | | | | 36,734 | |
H-Class | | | 30,877 | | | | 293,734 | |
Shares redeemed | | | | | | | | |
A-Class | | | (791,006 | ) | | | (1,389,174 | ) |
C-Class | | | (260,813 | ) | | | (237,843 | ) |
H-Class | | | (13,327,429 | ) | | | (14,090,159 | ) |
Net decrease in shares | | | (207,168 | ) | | | (433,635 | ) |
36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.06 | | | $ | 46.64 | | | $ | 51.55 | | | $ | 48.72 | | | $ | 45.52 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.18 | ) | | | (.08 | ) | | | .17 | | | | .15 | | | | .13 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.94 | | | | 24.50 | | | | (4.54 | ) | | | 3.45 | | | | 5.44 | |
Total from investment operations | | | 8.76 | | | | 24.42 | | | | (4.37 | ) | | | 3.60 | | | | 5.57 | |
Less distributions from: |
Net investment income | | | — | | | | (.02 | ) | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) |
Net realized gains | | | (.93 | ) | | | (7.98 | ) | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) |
Total distributions | | | (.93 | ) | | | (8.00 | ) | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) |
Net asset value, end of period | | $ | 70.89 | | | $ | 63.06 | | | $ | 46.64 | | | $ | 51.55 | | | $ | 48.72 | |
|
Total Returnb | | | 13.82 | % | | | 53.64 | % | | | (8.67 | %) | | | 7.59 | % | | | 12.16 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,856 | | | $ | 18,653 | | | $ | 12,798 | | | $ | 20,307 | | | $ | 21,041 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.25 | %) | | | (0.13 | %) | | | 0.31 | % | | | 0.30 | % | | | 0.27 | % |
Total expenses | | | 1.56 | % | | | 1.65 | % | | | 1.68 | % | | | 1.67 | % | | | 1.58 | % |
Portfolio turnover rate | | | 268 | % | | | 284 | % | | | 227 | % | | | 157 | % | | | 151 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 54.52 | | | $ | 41.37 | | | $ | 46.12 | | | $ | 44.00 | | | $ | 41.62 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.60 | ) | | | (.46 | ) | | | (.24 | ) | | | (.20 | ) | | | (.19 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.72 | | | | 21.61 | | | | (3.97 | ) | | | 3.09 | | | | 4.94 | |
Total from investment operations | | | 7.12 | | | | 21.15 | | | | (4.21 | ) | | | 2.89 | | | | 4.75 | |
Less distributions from: |
Net investment income | | | — | | | | (.02 | ) | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) |
Net realized gains | | | (.93 | ) | | | (7.98 | ) | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) |
Total distributions | | | (.93 | ) | | | (8.00 | ) | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) |
Net asset value, end of period | | $ | 60.71 | | | $ | 54.52 | | | $ | 41.37 | | | $ | 46.12 | | | $ | 44.00 | |
|
Total Returnb | | | 12.99 | % | | | 52.49 | % | | | (9.35 | %) | | | 6.78 | % | | | 11.29 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,273 | | | $ | 12,040 | | | $ | 8,981 | | | $ | 14,599 | | | $ | 20,484 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.00 | %) | | | (0.88 | %) | | | (0.50 | %) | | | (0.45 | %) | | | (0.44 | %) |
Total expenses | | | 2.31 | % | | | 2.39 | % | | | 2.43 | % | | | 2.41 | % | | | 2.33 | % |
Portfolio turnover rate | | | 268 | % | | | 284 | % | | | 227 | % | | | 157 | % | | | 151 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.07 | | | $ | 46.64 | | | $ | 51.54 | | | $ | 48.71 | | | $ | 45.51 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.18 | ) | | | (.08 | ) | | | .15 | | | | .16 | | | | .15 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.94 | | | | 24.51 | | | | (4.51 | ) | | | 3.44 | | | | 5.42 | |
Total from investment operations | | | 8.76 | | | | 24.43 | | | | (4.36 | ) | | | 3.60 | | | | 5.57 | |
Less distributions from: |
Net investment income | | | — | | | | (.02 | ) | | | (.12 | ) | | | (.05 | ) | | | (.12 | ) |
Net realized gains | | | (.93 | ) | | | (7.98 | ) | | | (.42 | ) | | | (.72 | ) | | | (2.25 | ) |
Total distributions | | | (.93 | ) | | | (8.00 | ) | | | (.54 | ) | | | (.77 | ) | | | (2.37 | ) |
Net asset value, end of period | | $ | 70.90 | | | $ | 63.07 | | | $ | 46.64 | | | $ | 51.54 | | | $ | 48.71 | |
|
Total Return | | | 13.84 | % | | | 53.64 | % | | | (8.65 | %) | | | 7.59 | % | | | 12.14 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 130,055 | | | $ | 123,613 | | | $ | 112,799 | | | $ | 120,014 | | | $ | 178,533 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.25 | %) | | | (0.13 | %) | | | 0.28 | % | | | 0.32 | % | | | 0.31 | % |
Total expenses | | | 1.56 | % | | | 1.65 | % | | | 1.68 | % | | | 1.66 | % | | | 1.58 | % |
Portfolio turnover rate | | | 268 | % | | | 284 | % | | | 227 | % | | | 157 | % | | | 151 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Inverse S&P 500® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the S&P 500® Index. Inverse S&P 500® Strategy Fund Investor Class returned -16.19%, while the S&P 500® Index returned 15.65% over the same time period.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Health Care, and Financials.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc. - Class A, PayPal Holdings, Inc., and Walt Disney Co.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
Investor Class | January 7, 1994 |
A-Class | March 31, 2004 |
C-Class | March 15, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 12.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.9% |
Total | 20.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (16.19%) | (16.10%) | (14.95%) |
A-Class Shares | (16.40%) | (16.32%) | (15.17%) |
A-Class Shares with sales charge‡ | (20.36%) | (17.13%) | (15.58%) |
C-Class Shares | (17.03%) | (16.94%) | (15.80%) |
C-Class Shares with CDSC§ | (17.86%) | (16.94%) | (15.80%) |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (16.37%) | (16.32%) | (14.37%) |
S&P 500 Index | 15.65% | 15.99% | 13.54% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
40 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE S&P 500® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 20.1% |
Guggenheim Strategy Fund II1 | | | 262,625 | | | $ | 6,447,447 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 426,990 | | | | 4,180,234 | |
Total Mutual Funds | | | | |
(Cost $10,738,043) | | | | | | | 10,627,681 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 41.7% |
Federal Home Loan Bank |
0.14% due 04/01/222 | | $ | 10,000,000 | | | | 10,000,000 | |
0.37% due 05/26/222 | | | 6,000,000 | | | | 5,995,596 | |
0.17% due 04/27/222 | | | 5,000,000 | | | | 4,999,350 | |
0.81% due 09/14/222 | | | 1,000,000 | | | | 996,443 | |
Total Federal Agency Discount Notes | | | | |
(Cost $21,992,223) | | | | | | | 21,991,389 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 16.2% |
Federal Farm Credit Bank |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | | 3,040,000 | | | | 3,041,551 | |
0.77% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/22◊ | | | 3,000,000 | | | | 3,000,321 | |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | | 1,500,000 | | | | 1,499,970 | |
0.32% (U.S. Prime Rate - 3.18%, Rate Floor: 0.00%) due 10/25/22◊ | | | 1,000,000 | | | | 999,913 | |
Total Federal Agency Notes | | | | |
(Cost $8,540,048) | | | | | | | 8,541,755 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.6% |
U.S. Treasury Bills |
0.09% due 06/02/222,3 | | | 300,000 | | | | 299,831 | |
Total U.S. Treasury Bills | | | | |
(Cost $299,954) | | | | | | | 299,831 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 26.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | | 9,354,534 | | | | 9,354,534 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 3,602,949 | | | | 3,602,949 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 936,766 | | | | 936,766 | |
Total Repurchase Agreements | | | | |
(Cost $13,894,249) | | | | | | | 13,894,249 | |
| | | | | | | | | |
Total Investments - 104.9% | | | | |
(Cost $55,464,517) | | $ | 55,354,905 | |
Other Assets & Liabilities, net - (4.9)% | | | (2,590,632 | ) |
Total Net Assets - 100.0% | | $ | 52,764,273 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
BNP Paribas | S&P 500 Index | Receive | 0.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 04/14/22 | | | | 154 | | | $ | 696,378 | | | $ | (27,741 | ) |
Barclays Bank plc | S&P 500 Index | Receive | 0.57% (U.S. Secured Overnight Financing Rate + 0.30%) | | | At Maturity | | | | 04/13/22 | | | | 1,266 | | | | 5,737,708 | | | | (255,657 | ) |
Goldman Sachs International | S&P 500 Index | Receive | 0.68% (Federal Funds Rate + 0.35%) | | | At Maturity | | | | 04/14/22 | | | | 10,235 | | | | 46,369,007 | | | | (1,269,186 | ) |
| | | | | | | | | | | | | | | | | | $ | 52,803,093 | | | $ | (1,552,584 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
4 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 10,627,681 | | | $ | — | | | $ | — | | | $ | 10,627,681 | |
Federal Agency Discount Notes | | | — | | | | 21,991,389 | | | | — | | | | 21,991,389 | |
Federal Agency Notes | | | — | | | | 8,541,755 | | | | — | | | | 8,541,755 | |
U.S. Treasury Bills | | | — | | | | 299,831 | | | | — | | | | 299,831 | |
Repurchase Agreements | | | — | | | | 13,894,249 | | | | — | | | | 13,894,249 | |
Total Assets | | $ | 10,627,681 | | | $ | 44,727,224 | | | $ | — | | | $ | 55,354,905 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 1,552,584 | | | $ | — | | | $ | 1,552,584 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 7,060,175 | | | $ | — | | | $ | (500,000 | ) | | $ | 3,802 | | | $ | (116,530 | ) | | $ | 6,447,447 | | | | 262,625 | | | $ | 95,057 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 5,253,327 | | | | — | | | | (1,000,000 | ) | | | 3,349 | | | | (76,442 | ) | | | 4,180,234 | | | | 426,990 | | | | 43,005 | |
| | | $ | 12,313,502 | | | $ | — | | | $ | (1,500,000 | ) | | $ | 7,151 | | | $ | (192,972 | ) | | $ | 10,627,681 | | | | | | | $ | 138,062 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $30,832,225) | | $ | 30,832,975 | |
Investments in affiliated issuers, at value (cost $10,738,043) | | | 10,627,681 | |
Repurchase agreements, at value (cost $13,894,249) | | | 13,894,249 | |
Segregated cash with broker | | | 500,000 | |
Receivables: |
Fund shares sold | | | 295,230 | |
Dividends | | | 12,659 | |
Interest | | | 6,410 | |
Total assets | | | 56,169,204 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 1,552,584 | |
Payable for: |
Swap settlement | | | 986,549 | |
Fund shares redeemed | | | 764,035 | |
Management fees | | | 41,658 | |
Transfer agent and administrative fees | | | 12,700 | |
Portfolio accounting fees | | | 4,721 | |
Distribution and service fees | | | 1,934 | |
Trustees’ fees* | | | 531 | |
Miscellaneous | | | 40,219 | |
Total liabilities | | | 3,404,931 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 52,764,273 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 319,904,474 | |
Total distributable earnings (loss) | | | (267,140,201 | ) |
Net assets | | $ | 52,764,273 | |
| | | | | |
Investor Class: |
Net assets | | $ | 47,555,439 | |
Capital shares outstanding | | | 1,646,795 | |
Net asset value per share | | $ | 28.88 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,829,277 | |
Capital shares outstanding | | | 69,284 | |
Net asset value per share | | $ | 26.40 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 27.72 | |
| | | | | |
C-Class: |
Net assets | | $ | 761,834 | |
Capital shares outstanding | | | 32,984 | |
Net asset value per share | | $ | 23.10 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,617,723 | |
Capital shares outstanding | | | 99,129 | |
Net asset value per share | | $ | 26.41 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 138,062 | |
Interest | | | 85,531 | |
Total investment income | | | 223,593 | |
| | | | | |
Expenses: |
Management fees | | | 417,663 | |
Distribution and service fees: |
A-Class | | | 4,525 | |
C-Class | | | 8,437 | |
H-Class | | | 3,859 | |
Transfer agent and administrative fees | | | 130,163 | |
Portfolio accounting fees | | | 46,407 | |
Professional fees | | | 21,004 | |
Trustees’ fees* | | | 7,605 | |
Custodian fees | | | 6,296 | |
Interest expense | | | 97 | |
Line of credit fees | | | 31 | |
Miscellaneous | | | 26,528 | |
Total expenses | | | 672,615 | |
Less: |
Expenses waived by Adviser | | | (11,661 | ) |
Net expenses | | | 660,954 | |
Net investment loss | | | (437,361 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 2,757 | |
Investments in affiliated issuers | | | 7,151 | |
Swap agreements | | | (6,811,134 | ) |
Futures contracts | | | (997,487 | ) |
Net realized loss | | | (7,798,713 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (55,587 | ) |
Investments in affiliated issuers | | | (192,972 | ) |
Swap agreements | | | (1,043,583 | ) |
Futures contracts | | | 24,089 | |
Net change in unrealized appreciation (depreciation) | | | (1,268,053 | ) |
Net realized and unrealized loss | | | (9,066,766 | ) |
Net decrease in net assets resulting from operations | | $ | (9,504,127 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (437,361 | ) | | $ | (1,056,314 | ) |
Net realized loss on investments | | | (7,798,713 | ) | | | (48,009,356 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,268,053 | ) | | | (610,739 | ) |
Net decrease in net assets resulting from operations | | | (9,504,127 | ) | | | (49,676,409 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (277,176 | ) |
A-Class | | | — | | | | (9,604 | ) |
C-Class | | | — | | | | (3,226 | ) |
H-Class | | | — | | | | (10,602 | ) |
Total distributions to shareholders | | | — | | | | (300,608 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 68,440,551 | | | | 178,190,566 | |
A-Class | | | 3,806,708 | | | | 12,807,868 | |
C-Class | | | 3,987,812 | | | | 2,841,557 | |
H-Class | | | 26,613,905 | | | | 63,823,950 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 272,737 | |
A-Class | | | — | | | | 9,367 | |
C-Class | | | — | | | | 3,194 | |
H-Class | | | — | | | | 10,599 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (66,318,411 | ) | | | (167,214,983 | ) |
A-Class | | | (3,196,902 | ) | | | (16,491,894 | ) |
C-Class | | | (3,447,814 | ) | | | (6,780,375 | ) |
H-Class | | | (24,476,613 | ) | | | (69,316,249 | ) |
Net increase (decrease) from capital share transactions | | | 5,409,236 | | | | (1,843,663 | ) |
Net decrease in net assets | | | (4,094,891 | ) | | | (51,820,680 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 56,859,164 | | | | 108,679,844 | |
End of year | | $ | 52,764,273 | | | $ | 56,859,164 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 2,252,560 | | | | 3,928,771 | |
A-Class | | | 136,807 | | | | 303,444 | |
C-Class | | | 163,439 | | | | 70,485 | |
H-Class | | | 949,204 | | | | 1,571,175 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 7,211 | |
A-Class | | | — | | | | 270 | |
C-Class | | | — | | | | 104 | |
H-Class | | | — | | | | 305 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (2,170,879 | ) | | | (3,878,838 | ) |
A-Class | | | (116,290 | ) | | | (399,699 | ) |
C-Class | | | (146,568 | ) | | | (191,634 | ) |
H-Class | | | (879,621 | ) | | | (1,711,838 | ) |
Net increase (decrease) in shares | | | 188,652 | | | | (300,244 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
INVERSE S&P 500® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.46 | | | $ | 56.92 | | | $ | 56.77 | | | $ | 61.76 | | | $ | 70.35 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.28 | ) | | | (.47 | ) | | | .31 | | | | .46 | | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.30 | ) | | | (21.84 | ) | | | .26 | | | | (5.45 | ) | | | (8.52 | ) |
Total from investment operations | | | (5.58 | ) | | | (22.31 | ) | | | .57 | | | | (4.99 | ) | | | (8.59 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 28.88 | | | $ | 34.46 | | | $ | 56.92 | | | $ | 56.77 | | | $ | 61.76 | |
|
Total Return | | | (16.19 | %) | | | (39.21 | %) | | | 1.10 | % | | | (8.08 | %) | | | (12.21 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 47,555 | | | $ | 53,937 | | | $ | 85,839 | | | $ | 46,105 | | | $ | 57,342 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.91 | %) | | | (1.12 | %) | | | 0.58 | % | | | 0.78 | % | | | (0.10 | %) |
Total expensesb | | | 1.41 | % | | | 1.51 | % | | | 1.53 | % | | | 1.52 | % | | | 1.43 | % |
Net expensesc | | | 1.39 | % | | | 1.50 | % | | | 1.51 | % | | | 1.51 | % | | | 1.43 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 56 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 31.58 | | | $ | 52.33 | | | $ | 52.36 | | | $ | 57.11 | | | $ | 65.22 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.32 | ) | | | (.56 | ) | | | .21 | | | | .27 | | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.86 | ) | | | (20.04 | ) | | | .18 | | | | (5.02 | ) | | | (7.89 | ) |
Total from investment operations | | | (5.18 | ) | | | (20.60 | ) | | | .39 | | | | (4.75 | ) | | | (8.11 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 26.40 | | | $ | 31.58 | | | $ | 52.33 | | | $ | 52.36 | | | $ | 57.11 | |
|
Total Returnd | | | (16.40 | %) | | | (39.38 | %) | | | 0.85 | % | | | (8.32 | %) | | | (12.43 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,829 | | | $ | 1,540 | | | $ | 7,575 | | | $ | 3,306 | | | $ | 4,637 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | (1.39 | %) | | | 0.43 | % | | | 0.50 | % | | | (0.37 | %) |
Total expensesb | | | 1.66 | % | | | 1.78 | % | | | 1.78 | % | | | 1.76 | % | | | 1.68 | % |
Net expensesc | | | 1.64 | % | | | 1.77 | % | | | 1.76 | % | | | 1.76 | % | | | 1.68 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 56 | % |
46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 27.84 | | | $ | 46.49 | | | $ | 46.92 | | | $ | 51.56 | | | $ | 59.34 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.46 | ) | | | (.80 | ) | | | (.22 | ) | | | (.13 | ) | | | (.63 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.28 | ) | | | (17.70 | ) | | | .21 | | | | (4.51 | ) | | | (7.15 | ) |
Total from investment operations | | | (4.74 | ) | | | (18.50 | ) | | | (.01 | ) | | | (4.64 | ) | | | (7.78 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 23.10 | | | $ | 27.84 | | | $ | 46.49 | | | $ | 46.92 | | | $ | 51.56 | |
|
Total Returnd | | | (17.03 | %) | | | (39.82 | %) | | | 0.09 | % | | | (9.00 | %) | | | (13.11 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 762 | | | $ | 449 | | | $ | 6,376 | | | $ | 2,681 | | | $ | 4,203 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.92 | %) | | | (2.16 | %) | | | (0.51 | %) | | | (0.27 | %) | | | (1.14 | %) |
Total expensesb | | | 2.41 | % | | | 2.54 | % | | | 2.53 | % | | | 2.51 | % | | | 2.43 | % |
Net expensesc | | | 2.39 | % | | | 2.53 | % | | | 2.51 | % | | | 2.51 | % | | | 2.43 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 56 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 31.58 | | | $ | 52.32 | | | $ | 52.35 | | | $ | 57.11 | | | $ | 65.22 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.32 | ) | | | (.56 | ) | | | .17 | | | | .29 | | | | (.27 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.85 | ) | | | (20.03 | ) | | | .22 | | | | (5.05 | ) | | | (7.84 | ) |
Total from investment operations | | | (5.17 | ) | | | (20.59 | ) | | | .39 | | | | (4.76 | ) | | | (8.11 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.15 | ) | | | (.42 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 26.41 | | | $ | 31.58 | | | $ | 52.32 | | | $ | 52.35 | | | $ | 57.11 | |
|
Total Return | | | (16.37 | %) | | | (39.37 | %) | | | 0.85 | % | | | (8.33 | %) | | | (12.43 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,618 | | | $ | 933 | | | $ | 8,890 | | | $ | 6,772 | | | $ | 4,672 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | (1.38 | %) | | | 0.34 | % | | | 0.52 | % | | | (0.45 | %) |
Total expensesb | | | 1.66 | % | | | 1.78 | % | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % |
Net expensesc | | | 1.64 | % | | | 1.76 | % | | | 1.76 | % | | | 1.76 | % | | | 1.69 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 56 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a calendar month basis. The Fund’s current benchmark is 200% of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time different than a full calendar month.
For the one-year period ended March 31, 2022, the Monthly Rebalance NASDAQ-100 2X Strategy Fund H-Class returned 23.46%, while the NASDAQ-100 Index returned 14.14%.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Consumer Discretionary, and Consumer Staples.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc. - Class A, PayPal Holdings, Inc., and Netflix, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to compounding, the Fund’s performance generally will not correlate to the performance of the benchmark over periods greater than a full calendar month. For example, the Fund’s compounded returns for periods greater than a full calendar month will be different than the performance of the benchmark over the same period. The effects of compounding on the performance of the Fund will be more pronounced when the underlying index experiences increased volatility, the greater the leverage employed in the Fund, and over longer holding periods. Investors in the Fund should actively monitor and manage their investments to ensure they are consistent with their strategies. The effects of compounding are discussed in more detail on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
48 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | November 28, 2014 |
C-Class | November 28, 2014 |
H-Class | November 28, 2014 |
Cumulative Fund Performance*
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 17.4% |
Guggenheim Strategy Fund II | 8.8% |
Apple, Inc. | 7.5% |
Microsoft Corp. | 6.1% |
Amazon.com, Inc. | 4.4% |
Tesla, Inc. | 2.9% |
NVIDIA Corp. | 2.5% |
Alphabet, Inc. — Class C | 2.3% |
Alphabet, Inc. — Class A | 2.2% |
Meta Platforms, Inc. — Class A | 2.0% |
Top Ten Total | 56.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | Since
Inception
(11/28/14) |
A-Class Shares | 23.48% | 42.40% | 35.50% |
A-Class Shares with sales charge‡ | 17.62% | 41.02% | 34.60% |
C-Class Shares | 22.55% | 41.34% | 34.45% |
C-Class Shares with CDSC§ | 21.55% | 41.34% | 34.45% |
H-Class Shares | 23.46% | 42.38% | 35.93% |
NASDAQ-100 Index | 14.14% | 23.41% | 19.48% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to difference in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 60.0% |
| | | | | | | | | |
Technology - 28.2% |
Apple, Inc. | | | 53,027 | | | $ | 9,259,044 | |
Microsoft Corp. | | | 24,360 | | | | 7,510,432 | |
NVIDIA Corp. | | | 11,432 | | | | 3,119,335 | |
Broadcom, Inc. | | | 2,208 | | | | 1,390,333 | |
Adobe, Inc.* | | | 2,546 | | | | 1,160,009 | |
Intel Corp. | | | 21,951 | | | | 1,087,891 | |
Advanced Micro Devices, Inc.* | | | 8,773 | | | | 959,240 | |
QUALCOMM, Inc. | | | 6,075 | | | | 928,381 | |
Texas Instruments, Inc. | | | 4,979 | | | | 913,547 | |
Intuit, Inc. | | | 1,526 | | | | 733,762 | |
Applied Materials, Inc. | | | 4,762 | | | | 627,632 | |
Micron Technology, Inc. | | | 6,036 | | | | 470,144 | |
Analog Devices, Inc. | | | 2,821 | | | | 465,973 | |
Lam Research Corp. | | | 752 | | | | 404,283 | |
Fiserv, Inc.* | | | 3,516 | | | | 356,522 | |
Activision Blizzard, Inc. | | | 4,201 | | | | 336,542 | |
Marvell Technology, Inc. | | | 4,549 | | | | 326,209 | |
ASML Holding N.V. — Class G | | | 447 | | | | 298,565 | |
KLA Corp. | | | 812 | | | | 297,241 | |
Fortinet, Inc.* | | | 867 | | | | 296,289 | |
Synopsys, Inc.* | | | 825 | | | | 274,948 | |
Paychex, Inc. | | | 1,945 | | | | 265,434 | |
NXP Semiconductor N.V. | | | 1,415 | | | | 261,888 | |
Crowdstrike Holdings, Inc. — Class A* | | | 1,122 | | | | 254,784 | |
Autodesk, Inc.* | | | 1,186 | | | | 254,219 | |
Cognizant Technology Solutions Corp. — Class A | | | 2,828 | | | | 253,587 | |
Workday, Inc. — Class A* | | | 1,057 | | | | 253,109 | |
Cadence Design Systems, Inc.* | | | 1,495 | | | | 245,868 | |
Microchip Technology, Inc. | | | 2,997 | | | | 225,195 | |
Atlassian Corporation plc — Class A* | | | 761 | | | | 223,605 | |
Datadog, Inc. — Class A* | | | 1,425 | | | | 215,845 | |
Electronic Arts, Inc. | | | 1,515 | | | | 191,663 | |
Zscaler, Inc.* | | | 755 | | | | 182,166 | |
Zoom Video Communications, Inc. — Class A* | | | 1,306 | | | | 153,102 | |
ANSYS, Inc.* | | | 470 | | | | 149,295 | |
Splunk, Inc.* | | | 856 | | | | 127,210 | |
Skyworks Solutions, Inc. | | | 884 | | | | 117,819 | |
DocuSign, Inc.* | | | 1,067 | | | | 114,297 | |
NetEase, Inc. ADR | | | 1,129 | | | | 101,260 | |
Total Technology | | | | | | | 34,806,668 | |
| | | | | | | | | |
Communications - 16.9% |
Amazon.com, Inc.* | | | 1,653 | | | | 5,388,697 | |
Alphabet, Inc. — Class C* | | | 1,026 | | | | 2,865,608 | |
Alphabet, Inc. — Class A* | | | 977 | | | | 2,717,379 | |
Meta Platforms, Inc. — Class A* | | | 11,235 | | | | 2,498,215 | |
Cisco Systems, Inc. | | | 22,394 | | | | 1,248,690 | |
Comcast Corp. — Class A | | | 24,387 | | | | 1,141,799 | |
Netflix, Inc.* | | | 2,393 | | | | 896,394 | |
T-Mobile US, Inc.* | | | 6,735 | | | | 864,437 | |
Booking Holdings, Inc.* | | | 220 | | | | 516,659 | |
Charter Communications, Inc. — Class A* | | | 931 | | | | 507,879 | |
Airbnb, Inc. — Class A* | | | 2,001 | | | | 343,692 | |
Palo Alto Networks, Inc.* | | | 531 | | | | 330,553 | |
MercadoLibre, Inc.* | | | 272 | | | | 323,539 | |
JD.com, Inc. ADR* | | | 3,215 | | | | 186,052 | |
eBay, Inc. | | | 3,167 | | | | 181,342 | |
Baidu, Inc. ADR* | | | 1,303 | | | | 172,387 | |
Match Group, Inc.* | | | 1,537 | | | | 167,133 | |
Sirius XM Holdings, Inc.1 | | | 21,283 | | | | 140,894 | |
VeriSign, Inc.* | | | 594 | | | | 132,141 | |
Okta, Inc.* | | | 801 | | | | 120,919 | |
Pinduoduo, Inc. ADR* | | | 2,385 | | | | 95,662 | |
Total Communications | | | | | | | 20,840,071 | |
| | | | | | | | | |
Consumer, Non-cyclical - 6.9% |
PepsiCo, Inc. | | | 7,458 | | | | 1,248,320 | |
PayPal Holdings, Inc.* | | | 6,280 | | | | 726,282 | |
Amgen, Inc. | | | 3,003 | | | | 726,185 | |
Intuitive Surgical, Inc.* | | | 1,928 | | | | 581,639 | |
Automatic Data Processing, Inc. | | | 2,264 | | | | 515,151 | |
Mondelez International, Inc. — Class A | | | 7,483 | | | | 469,783 | |
Gilead Sciences, Inc. | | | 6,759 | | | | 401,823 | |
Regeneron Pharmaceuticals, Inc.* | | | 575 | | | | 401,591 | |
Moderna, Inc.* | | | 2,172 | | | | 374,149 | |
Vertex Pharmaceuticals, Inc.* | | | 1,371 | | | | 357,790 | |
Illumina, Inc.* | | | 846 | | | | 295,592 | |
Keurig Dr Pepper, Inc. | | | 7,645 | | | | 289,745 | |
Dexcom, Inc.* | | | 523 | | | | 267,567 | |
Kraft Heinz Co. | | | 6,597 | | | | 259,856 | |
IDEXX Laboratories, Inc.* | | | 454 | | | | 248,365 | |
Cintas Corp. | | | 558 | | | | 237,368 | |
Monster Beverage Corp.* | | | 2,854 | | | | 228,035 | |
AstraZeneca plc ADR | | | 3,075 | | | | 203,995 | |
Verisk Analytics, Inc. — Class A | | | 869 | | | | 186,513 | |
Align Technology, Inc.* | | | 425 | | | | 185,300 | |
Biogen, Inc.* | | | 792 | | | | 166,795 | |
Seagen, Inc.* | | | 990 | | | | 142,610 | |
Total Consumer, Non-cyclical | | | | | | | 8,514,454 | |
| | | | | | | | | |
Consumer, Cyclical - 6.2% |
Tesla, Inc.* | | | 3,358 | | | | 3,618,581 | |
Costco Wholesale Corp. | | | 2,390 | | | | 1,376,281 | |
Starbucks Corp. | | | 6,201 | | | | 564,105 | |
Marriott International, Inc. — Class A* | | | 1,759 | | | | 309,144 | |
O’Reilly Automotive, Inc.* | | | 359 | | | | 245,901 | |
Lululemon Athletica, Inc.* | | | 665 | | | | 242,878 | |
Lucid Group, Inc.*,1 | | | 8,912 | | | | 226,365 | |
Walgreens Boots Alliance, Inc. | | | 4,654 | | | | 208,360 | |
Dollar Tree, Inc.* | | | 1,213 | | | | 194,262 | |
Fastenal Co. | | | 3,103 | | | | 184,318 | |
Ross Stores, Inc. | | | 1,905 | | | | 172,326 | |
PACCAR, Inc. | | | 1,873 | | | | 164,955 | |
Copart, Inc.* | | | 1,279 | | | | 160,476 | |
Total Consumer, Cyclical | | | | | | | 7,667,952 | |
| | | | | | | | | |
Industrial - 1.1% |
Honeywell International, Inc. | | | 3,697 | | | | 719,362 | |
CSX Corp. | | | 11,824 | | | | 442,809 | |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Old Dominion Freight Line, Inc. | | | 619 | | | $ | 184,883 | |
Total Industrial | | | | | | | 1,347,054 | |
| | | | | | | | | |
Utilities - 0.7% |
American Electric Power Company, Inc. | | | 2,718 | | | | 271,175 | |
Exelon Corp. | | | 5,284 | | | | 251,677 | |
Xcel Energy, Inc. | | | 2,934 | | | | 211,747 | |
Constellation Energy Corp. | | | 1,760 | | | | 99,000 | |
Total Utilities | | | | | | | 833,599 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $71,959,038) | | | | | | | 74,009,798 | |
| | | | | | | | | |
MUTUAL FUNDS† - 26.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 2,184,878 | | | | 21,389,957 | |
Guggenheim Strategy Fund II2 | | | 444,159 | | | | 10,904,111 | |
Total Mutual Funds | | | | |
(Cost $32,517,128) | | | | | | | 32,294,068 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 2.8% |
U.S. Treasury Bills |
0.24% due 06/02/223,4 | | $ | 1,772,000 | | | | 1,771,004 | |
0.12% due 05/05/224,5 | | | 1,590,000 | | | | 1,589,778 | |
Total U.S. Treasury Bills | | | | |
(Cost $3,361,095) | | | | | | | 3,360,782 | |
| |
REPURCHASE AGREEMENTS††,6 - 3.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | | 2,760,848 | | | | 2,760,848 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 1,063,356 | | | | 1,063,356 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 276,472 | | | | 276,472 | |
Total Repurchase Agreements | | | | |
(Cost $4,100,676) | | | | | | | 4,100,676 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%8 | | | 278,215 | | | | 278,215 | |
Total Securities Lending Collateral | | | | |
(Cost $278,215) | | | | | | | 278,215 | |
| | | | | | | | | |
Total Investments - 92.5% | | | | |
(Cost $112,216,152) | | $ | 114,043,539 | |
Other Assets & Liabilities, net - 7.5% | | | 9,302,834 | |
Total Net Assets - 100.0% | | $ | 123,346,373 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 53 | | | | Jun 2022 | | | $ | 15,763,260 | | | $ | 1,320,078 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | NASDAQ-100 Index | Pay | 0.77% (U.S. Secured Overnight Financing Rate + 0.50%) | At Maturity | | | 04/13/22 | | | | 7,023 | | | $ | 104,206,492 | | | $ | 7,686,869 | |
Goldman Sachs International | NASDAQ-100 Index | Pay | 0.88% (Federal Funds Rate + 0.55%) | At Maturity | | | 04/14/22 | | | | 3,138 | | | | 46,570,598 | | | | 785,695 | |
BNP Paribas | NASDAQ-100 Index | Pay | 0.98% (Federal Funds Rate + 0.65%) | At Maturity | | | 04/14/22 | | | | 411 | | | | 6,092,315 | | | | 450,110 | |
| | | | | | | | | | | | | | | | | | $ | 156,869,405 | | | $ | 8,922,674 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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 March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
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 March 31, 2022. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 74,009,798 | | | $ | — | | | $ | — | | | $ | 74,009,798 | |
Mutual Funds | | | 32,294,068 | | | | — | | | | — | | | | 32,294,068 | |
U.S. Treasury Bills | | | — | | | | 3,360,782 | | | | — | | | | 3,360,782 | |
Repurchase Agreements | | | — | | | | 4,100,676 | | | | — | | | | 4,100,676 | |
Securities Lending Collateral | | | 278,215 | | | | — | | | | — | | | | 278,215 | |
Equity Futures Contracts** | | | 1,320,078 | | | | — | | | | — | | | | 1,320,078 | |
Equity Index Swap Agreements** | | | — | | | | 8,922,674 | | | | — | | | | 8,922,674 | |
Total Assets | | $ | 107,902,159 | | | $ | 16,384,132 | | | $ | — | | | $ | 124,286,291 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 10,090,677 | | | $ | 1,000,000 | | | $ | — | | | $ | — | | | $ | (186,566 | ) | | $ | 10,904,111 | | | | 444,159 | | | $ | 145,914 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 21,748,256 | | | | 8,000,000 | | | | (8,000,000 | ) | | | (27,152 | ) | | | (331,147 | ) | | | 21,389,957 | | | | 2,184,878 | | | | 192,833 | |
| | | $ | 31,838,933 | | | $ | 9,000,000 | | | $ | (8,000,000 | ) | | $ | (27,152 | ) | | $ | (517,713 | ) | | $ | 32,294,068 | | | | | | | $ | 338,747 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value - including $260,766 of securities loaned (cost $75,598,348) | | $ | 77,648,795 | |
Investments in affiliated issuers, at value (cost $32,517,128) | | | 32,294,068 | |
Repurchase agreements, at value (cost $4,100,676) | | | 4,100,676 | |
Segregated cash with broker | | | 6,168,000 | |
Unrealized appreciation on OTC swap agreements | | | 8,922,674 | |
Receivables: |
Swap settlement | | | 33,981,470 | |
Fund shares sold | | | 10,693,446 | |
Investment Adviser | | | 59,428 | |
Dividends | | | 50,949 | |
Securities lending income | | | 763 | |
Interest | | | 31 | |
Total assets | | | 173,920,300 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 18 | |
Segregated cash due to broker | | | 45,430,000 | |
Payable for: |
Securities purchased | | | 3,940,487 | |
Return of securities lending collateral | | | 278,215 | |
Variation margin on futures contracts | | | 212,530 | |
Fund shares redeemed | | | 193,482 | |
Management fees | | | 138,581 | |
Transfer agent and administrative fees | | | 42,693 | |
Distribution and service fees | | | 40,578 | |
Portfolio accounting fees | | | 14,941 | |
Trustees’ fees* | | | 3,597 | |
Miscellaneous | | | 278,805 | |
Total liabilities | | | 50,573,927 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 123,346,373 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 153,423,437 | |
Total distributable earnings (loss) | | | (30,077,064 | ) |
Net assets | | $ | 123,346,373 | |
| | | | | |
A-Class: |
Net assets | | $ | 8,375,868 | |
Capital shares outstanding | | | 19,510 | |
Net asset value per share | | $ | 429.31 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 450.72 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,432,817 | |
Capital shares outstanding | | | 3,547 | |
Net asset value per share | | $ | 403.95 | |
| | | | | |
H-Class: |
Net assets | | $ | 113,537,688 | |
Capital shares outstanding | | | 257,892 | |
Net asset value per share | | $ | 440.25 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $2,998) | | $ | 1,985,702 | |
Dividends from securities of affiliated issuers | | | 338,747 | |
Interest | | | 28,008 | |
Income from securities lending, net | | | 11,597 | |
Total investment income | | | 2,364,054 | |
| | | | | |
Expenses: |
Management fees | | | 3,406,099 | |
Distribution and service fees: |
A-Class | | | 19,439 | |
C-Class | | | 19,633 | |
H-Class | | | 921,790 | |
Transfer agent and administrative fees | | | 1,045,745 | |
Portfolio accounting fees | | | 333,112 | |
Professional fees | | | 120,376 | |
Custodian fees | | | 48,846 | |
Trustees’ fees* | | | 37,835 | |
Interest expense | | | 6,287 | |
Line of credit fees | | | 2,608 | |
Miscellaneous | | | 435,640 | |
Total expenses | | | 6,397,410 | |
Less: |
Expenses waived by Adviser | | | (1,333,345 | ) |
Net expenses | | | 5,064,065 | |
Net investment loss | | | (2,700,011 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 8,890,921 | |
Investments in affiliated issuers | | | (27,152 | ) |
Swap agreements | | | 15,622,342 | |
Futures contracts | | | (1,708,197 | ) |
Net realized gain | | | 22,777,914 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (5,613,868 | ) |
Investments in affiliated issuers | | | (517,713 | ) |
Swap agreements | | | 7,376,006 | |
Futures contracts | | | 1,064,700 | |
Net change in unrealized appreciation (depreciation) | | | 2,309,125 | |
Net realized and unrealized gain | | | 25,087,039 | |
Net increase in net assets resulting from operations | | $ | 22,387,028 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (2,700,011 | ) | | $ | (1,693,675 | ) |
Net realized gain on investments | | | 22,777,914 | | | | 188,330,597 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,309,125 | | | | 9,542,041 | |
Net increase in net assets resulting from operations | | | 22,387,028 | | | | 196,178,963 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (193,566 | ) | | | (432,118 | ) |
C-Class | | | (52,927 | ) | | | (107,529 | ) |
H-Class | | | (12,143,000 | ) | | | (18,988,998 | ) |
Total distributions to shareholders | | | (12,389,493 | ) | | | (19,528,645 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 11,112,055 | | | | 9,606,083 | |
C-Class | | | 984,013 | | | | 1,448,846 | |
H-Class | | | 3,520,837,476 | | | | 1,221,379,062 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 178,884 | | | | 339,817 | |
C-Class | | | 47,659 | | | | 102,321 | |
H-Class | | | 12,085,255 | | | | 18,765,952 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (9,230,951 | ) | | | (10,958,122 | ) |
C-Class | | | (1,549,695 | ) | | | (1,479,784 | ) |
H-Class | | | (3,519,147,202 | ) | | | (1,343,395,643 | ) |
Net increase (decrease) from capital share transactions | | | 15,317,494 | | | | (104,191,468 | ) |
Net increase in net assets | | | 25,315,029 | | | | 72,458,850 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 98,031,344 | | | | 25,572,494 | |
End of year | | $ | 123,346,373 | | | $ | 98,031,344 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 24,788 | | | | 36,828 | |
C-Class | | | 2,325 | | | | 5,768 | |
H-Class | | | 8,244,418 | | | | 4,521,174 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 346 | | | | 1,061 | |
C-Class | | | 98 | | | | 336 | |
H-Class | | | 22,788 | | | | 57,156 | |
Shares redeemed | | | | | | | | |
A-Class | | | (21,111 | ) | | | (39,563 | ) |
C-Class | | | (4,065 | ) | | | (4,971 | ) |
H-Class | | | (8,258,466 | ) | | | (4,484,693 | ) |
Net increase in shares | | | 11,121 | | | | 93,096 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 355.42 | | | $ | 141.86 | | | $ | 134.54 | | | $ | 113.31 | | | $ | 79.32 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.11 | ) | | | (1.74 | ) | | | .23 | | | | .25 | | | | (.23 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 88.53 | | | | 233.57 | | | | 7.28 | | | | 20.98 | | | | 34.22 | |
Total from investment operations | | | 85.42 | | | | 231.83 | | | | 7.51 | | | | 21.23 | | | | 33.99 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | — | | | | — | |
Net realized gains | | | (11.53 | ) | | | (18.27 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (11.53 | ) | | | (18.27 | ) | | | (.19 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 429.31 | | | $ | 355.42 | | | $ | 141.86 | | | $ | 134.54 | | | $ | 113.31 | |
|
Total Returnb | | | 23.48 | % | | | 164.83 | % | | | 5.56 | % | | | 18.74 | % | | | 42.85 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,376 | | | $ | 5,504 | | | $ | 2,434 | | | $ | 3,077 | | | $ | 1,990 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.70 | %) | | | (0.60 | %) | | | 0.15 | % | | | 0.19 | % | | | (0.23 | %) |
Total expensesc | | | 1.69 | % | | | 1.77 | % | | | 1.83 | % | | | 1.81 | % | | | 1.71 | % |
Net expensesd,e | | | 1.32 | % | | | 1.33 | % | | | 1.34 | % | | | 1.35 | % | | | 1.35 | % |
Portfolio turnover rate | | | 922 | % | | | 509 | % | | | 990 | % | | | 467 | % | | | 385 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 337.38 | | | $ | 136.06 | | | $ | 130.01 | | | $ | 110.32 | | | $ | 77.79 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (6.08 | ) | | | (3.70 | ) | | | (.83 | ) | | | (.64 | ) | | | (1.00 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 84.18 | | | | 223.29 | | | | 7.07 | | | | 20.33 | | | | 33.53 | |
Total from investment operations | | | 78.10 | | | | 219.59 | | | | 6.24 | | | | 19.69 | | | | 32.53 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | — | | | | — | |
Net realized gains | | | (11.53 | ) | | | (18.27 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (11.53 | ) | | | (18.27 | ) | | | (.19 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 403.95 | | | $ | 337.38 | | | $ | 136.06 | | | $ | 130.01 | | | $ | 110.32 | |
|
Total Returnb | | | 22.55 | % | | | 162.86 | % | | | 4.77 | % | | | 17.85 | % | | | 41.82 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,433 | | | $ | 1,751 | | | $ | 552 | | | $ | 476 | | | $ | 170 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.44 | %) | | | (1.34 | %) | | | (0.55 | %) | | | (0.52 | %) | | | (1.02 | %) |
Total expensesc | | | 2.44 | % | | | 2.52 | % | | | 2.58 | % | | | 2.57 | % | | | 2.46 | % |
Net expensesd,e | | | 2.07 | % | | | 2.08 | % | | | 2.09 | % | | | 2.11 | % | | | 2.10 | % |
Portfolio turnover rate | | | 922 | % | | | 509 | % | | | 990 | % | | | 467 | % | | | 385 | % |
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 364.34 | | | $ | 145.23 | | | $ | 137.80 | | | $ | 116.07 | | | $ | 81.25 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.35 | ) | | | (1.81 | ) | | | .12 | | | | .19 | | | | (.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 90.79 | | | | 239.19 | | | | 7.50 | | | | 21.54 | | | | 35.07 | |
Total from investment operations | | | 87.44 | | | | 237.38 | | | | 7.62 | | | | 21.73 | | | | 34.82 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | — | | | | — | |
Net realized gains | | | (11.53 | ) | | | (18.27 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (11.53 | ) | | | (18.27 | ) | | | (.19 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 440.25 | | | $ | 364.34 | | | $ | 145.23 | | | $ | 137.80 | | | $ | 116.07 | |
|
Total Return | | | 23.46 | % | | | 164.81 | % | | | 5.51 | % | | | 18.72 | % | | | 42.86 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 113,538 | | | $ | 90,776 | | | $ | 22,586 | | | $ | 128,354 | | | $ | 25,304 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.71 | %) | | | (0.60 | %) | | | 0.08 | % | | | 0.15 | % | | | (0.24 | %) |
Total expensesc | | | 1.69 | % | | | 1.77 | % | | | 1.82 | % | | | 1.81 | % | | | 1.71 | % |
Net expensesd,e | | | 1.33 | % | | | 1.33 | % | | | 1.34 | % | | | 1.35 | % | | | 1.35 | % |
Portfolio turnover rate | | | 922 | % | | | 509 | % | | | 990 | % | | | 467 | % | | | 385 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| | | 03/31/22 | 03/31/21 | 03/31/20 | 03/31/19 | 03/29/18 |
| | A-Class | 1.32% | 1.33% | 1.33% | 1.35% | 1.35% |
| | C-Class | 2.06% | 2.08% | 2.08% | 2.10% | 2.10% |
| | H-Class | 1.33% | 1.33% | 1.34% | 1.35% | 1.35% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Inverse NASDAQ-100 Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index. Inverse NASDAQ-100® Strategy Fund Investor Class returned -16.97%, while the NASDAQ-100® Index returned 14.14%.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Consumer Discretionary, and Consumer Staples.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc. - Class A, PayPal Holdings, Inc., and Netflix, Inc.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
58 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
Investor Class | September 3, 1998 |
A-Class | March 31, 2004 |
C-Class | March 7, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 6.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 4.3% |
Total | 10.3% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (16.97%) | (22.37%) | (19.34%) |
A-Class Shares | (17.21%) | (22.57%) | (19.45%) |
A-Class Shares with sales charge‡ | (21.15%) | (23.32%) | (19.84%) |
C-Class Shares | (17.85%) | (23.16%) | (20.17%) |
C-Class Shares with CDSC§ | (18.67%) | (23.16%) | (20.17%) |
NASDAQ-100 Index | 14.14% | 23.41% | 19.68% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (17.16%) | (22.58%) | (19.87%) |
NASDAQ-100 Index | 14.14% | 23.41% | 18.61% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE NASDAQ-100® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 10.3% |
Guggenheim Strategy Fund II1 | | | 49,399 | | | $ | 1,212,754 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 87,169 | | | | 853,381 | |
Total Mutual Funds | | | | |
(Cost $2,033,556) | | | | | | | 2,066,135 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 37.4% |
Federal Home Loan Bank |
0.15% due 04/05/222 | | $ | 4,000,000 | | | | 3,999,933 | |
0.15% due 04/18/222 | | | 3,500,000 | | | | 3,499,736 | |
Total Federal Agency Discount Notes | | | | |
(Cost $7,499,669) | | | | | | | 7,499,669 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 16.1% |
Federal Farm Credit Bank |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | | 2,500,000 | | | | 2,499,950 | |
0.75% (3 Month U.S. Treasury Bill Rate + 0.27%, Rate Floor: 0.00%) due 05/16/22◊ | | | 500,000 | | | | 500,245 | |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | | 240,000 | | | | 240,122 | |
Total Federal Agency Notes | | | | |
(Cost $3,239,880) | | | | | | | 3,240,317 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 10.0% |
U.S. Treasury Notes |
2.00% due 07/31/22 | | | 2,000,000 | | | | 2,008,125 | |
Total U.S. Government Securities | | | | |
(Cost $2,012,571) | | | | | | | 2,008,125 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 2.7% |
U.S. Treasury Bills |
0.09% due 06/02/222,3 | | | 500,000 | | | | 499,719 | |
0.12% due 05/05/222,4 | | | 35,000 | | | | 34,995 | |
Total U.S. Treasury Bills | | | | |
(Cost $534,920) | | | | | | | 534,714 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 74.4% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | | 10,052,887 | | | | 10,052,887 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 3,871,923 | | | | 3,871,923 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 1,006,700 | | | | 1,006,700 | |
Total Repurchase Agreements | | | | |
(Cost $14,931,510) | | | | | | | 14,931,510 | |
| | | | | | | | | |
Total Investments - 150.9% | | | | |
(Cost $30,252,106) | | $ | 30,280,470 | |
Other Assets & Liabilities, net - (50.9)% | | | (10,219,961 | ) |
Total Net Assets - 100.0% | | $ | 20,060,509 | |
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 | | | 1 | | | | Jun 2022 | | | $ | 297,420 | | | $ | (22,787 | ) |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | NASDAQ-100 Index | Receive | 0.62% (U.S. Secured Overnight Financing Rate + 0.35%) | | | At Maturity | | | | 04/13/22 | | | | 129 | | | $ | 1,909,829 | | | $ | (88,727 | ) |
Goldman Sachs International | NASDAQ-100 Index | Receive | 0.58% (Federal Funds Rate + 0.25%) | | | At Maturity | | | | 04/14/22 | | | | 329 | | | | 4,886,677 | | | | (112,301 | ) |
BNP Paribas | NASDAQ-100 Index | Receive | 0.58% (Federal Funds Rate + 0.25%) | | | At Maturity | | | | 04/14/22 | | | | 874 | | | | 12,972,397 | | | | (468,349 | ) |
| | | | | | | | | | | | | | | | | | $ | 19,768,903 | | | $ | (669,377 | ) |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
4 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
5 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 2,066,135 | | | $ | — | | | $ | — | | | $ | 2,066,135 | |
Federal Agency Discount Notes | | | — | | | | 7,499,669 | | | | — | | | | 7,499,669 | |
Federal Agency Notes | | | — | | | | 3,240,317 | | | | — | | | | 3,240,317 | |
U.S. Government Securities | | | — | | | | 2,008,125 | | | | — | | | | 2,008,125 | |
U.S. Treasury Bills | | | — | | | | 534,714 | | | | — | | | | 534,714 | |
Repurchase Agreements | | | — | | | | 14,931,510 | | | | — | | | | 14,931,510 | |
Total Assets | | $ | 2,066,135 | | | $ | 28,214,335 | | | $ | — | | | $ | 30,280,470 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 22,787 | | | $ | — | | | $ | — | | | $ | 22,787 | |
Equity Index Swap Agreements** | | | — | | | | 669,377 | | | | — | | | | 669,377 | |
Total Liabilities | | $ | 22,787 | | | $ | 669,377 | | | $ | — | | | $ | 692,164 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,534,196 | | | $ | — | | | $ | (300,000 | ) | | $ | 4,104 | | | $ | (25,546 | ) | | $ | 1,212,754 | | | | 49,399 | | | $ | 19,742 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,518,853 | | | | — | | | | (650,000 | ) | | | 5,620 | | | | (21,092 | ) | | | 853,381 | | | | 87,169 | | | | 11,188 | |
| | | $ | 3,053,049 | | | $ | — | | | $ | (950,000 | ) | | $ | 9,724 | | | $ | (46,638 | ) | | $ | 2,066,135 | | | | | | | $ | 30,930 | |
62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $13,287,040) | | $ | 13,282,825 | |
Investments in affiliated issuers, at value (cost $2,033,556) | | | 2,066,135 | |
Repurchase agreements, at value (cost $14,931,510) | | | 14,931,510 | |
Segregated cash with broker | | | 170,000 | |
Receivables: |
Fund shares sold | | | 179,200 | |
Interest | | | 7,692 | |
Variation margin on futures contracts | | | 4,010 | |
Dividends | | | 2,442 | |
Total assets | | | 30,643,814 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 669,377 | |
Payable for: |
Swap settlement | | | 9,725,527 | |
Fund shares redeemed | | | 90,008 | |
Management fees | | | 50,459 | |
Transfer agent and administrative fees | | | 15,132 | |
Portfolio accounting fees | | | 5,625 | |
Distribution and service fees | | | 1,547 | |
Trustees’ fees* | | | 315 | |
Miscellaneous | | | 25,315 | |
Total liabilities | | | 10,583,305 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 20,060,509 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 89,263,173 | |
Total distributable earnings (loss) | | | (69,202,664 | ) |
Net assets | | $ | 20,060,509 | |
| | | | | |
Investor Class: |
Net assets | | $ | 14,901,708 | |
Capital shares outstanding | | | 685,880 | |
Net asset value per share | | $ | 21.73 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,885,189 | |
Capital shares outstanding | | | 90,278 | |
Net asset value per share | | $ | 20.88 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 21.92 | |
| | | | | |
C-Class: |
Net assets | | $ | 706,929 | |
Capital shares outstanding | | | 40,832 | |
Net asset value per share | | $ | 17.31 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,566,683 | |
Capital shares outstanding | | | 124,792 | |
Net asset value per share | | $ | 20.57 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 30,930 | |
Interest | | | 20,730 | |
Total investment income | | | 51,660 | |
| | | | | |
Expenses: |
Management fees | | | 202,029 | |
Distribution and service fees: |
A-Class | | | 3,181 | |
C-Class | | | 4,324 | |
H-Class | | | 1,754 | |
Transfer agent and administrative fees | | | 62,828 | |
Portfolio accounting fees | | | 22,447 | |
Professional fees | | | 7,997 | |
Trustees’ fees* | | | 3,508 | |
Custodian fees | | | 3,021 | |
Interest expense | | | 55 | |
Miscellaneous | | | 24,853 | |
Total expenses | | | 335,997 | |
Less: |
Expenses waived by Adviser | | | (3,067 | ) |
Net expenses | | | 332,930 | |
Net investment loss | | | (281,270 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,729 | |
Investments in affiliated issuers | | | 9,724 | |
Swap agreements | | | (10,736,780 | ) |
Futures contracts | | | (1,340,185 | ) |
Net realized loss | | | (12,065,512 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (8,961 | ) |
Investments in affiliated issuers | | | (46,638 | ) |
Swap agreements | | | (1,787,198 | ) |
Futures contracts | | | 22,144 | |
Net change in unrealized appreciation (depreciation) | | | (1,820,653 | ) |
Net realized and unrealized loss | | | (13,886,165 | ) |
Net decrease in net assets resulting from operations | | $ | (14,167,435 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (281,270 | ) | | $ | (384,495 | ) |
Net realized loss on investments | | | (12,065,512 | ) | | | (19,290,991 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,820,653 | ) | | | 1,019,702 | |
Net decrease in net assets resulting from operations | | | (14,167,435 | ) | | | (18,655,784 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (22,226 | ) |
A-Class | | | — | | | | (1,054 | ) |
C-Class | | | — | | | | (91 | ) |
H-Class | | | — | | | | (508 | ) |
Total distributions to shareholders | | | — | | | | (23,879 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 256,389,834 | | | | 144,882,020 | |
A-Class | | | 4,856,561 | | | | 3,667,695 | |
C-Class | | | 940,381 | | | | 193,217 | |
H-Class | | | 4,811,372 | | | | 6,088,524 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 22,181 | |
A-Class | | | — | | | | 1,054 | |
C-Class | | | — | | | | 91 | |
H-Class | | | — | | | | 508 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (253,810,120 | ) | | | (160,545,957 | ) |
A-Class | | | (4,197,327 | ) | | | (2,125,089 | ) |
C-Class | | | (265,042 | ) | | | (281,311 | ) |
H-Class | | | (2,415,101 | ) | | | (5,965,750 | ) |
Net increase (decrease) from capital share transactions | | | 6,310,558 | | | | (14,062,817 | ) |
Net decrease in net assets | | | (7,856,877 | ) | | | (32,742,480 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 27,917,386 | | | | 60,659,866 | |
End of year | | $ | 20,060,509 | | | $ | 27,917,386 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 11,021,776 | | | | 3,947,180 | |
A-Class | | | 221,643 | | | | 119,568 | |
C-Class | | | 52,144 | | | | 7,518 | |
H-Class | | | 225,001 | | | | 185,652 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 785 | |
A-Class | | | — | | | | 39 | |
C-Class | | | — | | | | 4 | |
H-Class | | | — | | | | 19 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (11,330,224 | ) | | | (4,198,573 | ) |
A-Class | | | (190,427 | ) | | | (71,894 | ) |
C-Class | | | (14,793 | ) | | | (10,068 | ) |
H-Class | | | (113,775 | ) | | | (184,954 | ) |
Net decrease in shares | | | (128,655 | ) | | | (204,724 | ) |
64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 26.17 | | | $ | 47.65 | | | $ | 54.72 | | | $ | 63.05 | | | $ | 77.68 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.28 | ) | | | (.40 | ) | | | .09 | | | | .56 | | | | .11 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.16 | ) | | | (21.05 | ) | | | (6.83 | ) | | | (8.89 | ) | | | (14.74 | ) |
Total from investment operations | | | (4.44 | ) | | | (21.45 | ) | | | (6.74 | ) | | | (8.33 | ) | | | (14.63 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 21.73 | | | $ | 26.17 | | | $ | 47.65 | | | $ | 54.72 | | | $ | 63.05 | |
|
Total Return | | | (16.97 | %) | | | (45.03 | %) | | | (12.32 | %) | | | (13.21 | %) | | | (18.83 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 14,902 | | | $ | 26,018 | | | $ | 59,321 | | | $ | 6,473 | | | $ | 5,474 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.22 | %) | | | (1.28 | %) | | | 0.17 | % | | | 0.93 | % | | | 0.16 | % |
Total expensesb | | | 1.46 | % | | | 1.54 | % | | | 1.57 | % | | | 1.56 | % | | | 1.46 | % |
Net expensesc | | | 1.44 | % | | | 1.52 | % | | | 1.54 | % | | | 1.54 | % | | | 1.46 | % |
Portfolio turnover rate | | | 23 | % | | | 37 | % | | | 37 | % | | | 38 | % | | | — | |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.22 | | | $ | 46.04 | | | $ | 53.01 | | | $ | 61.24 | | | $ | 75.63 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.31 | ) | | | (.45 | ) | | | .19 | | | | .41 | | | | (.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.03 | ) | | | (20.34 | ) | | | (6.83 | ) | | | (8.64 | ) | | | (14.31 | ) |
Total from investment operations | | | (4.34 | ) | | | (20.79 | ) | | | (6.64 | ) | | | (8.23 | ) | | | (14.39 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 20.88 | | | $ | 25.22 | | | $ | 46.04 | | | $ | 53.01 | | | $ | 61.24 | |
|
Total Returnd | | | (17.21 | %) | | | (45.17 | %) | | | (12.53 | %) | | | (13.44 | %) | | | (19.03 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,885 | | | $ | 1,489 | | | $ | 523 | | | $ | 835 | | | $ | 1,037 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.41 | %) | | | (1.51 | %) | | | 0.39 | % | | | 0.72 | % | | | (0.12 | %) |
Total expensesb | | | 1.70 | % | | | 1.78 | % | | | 1.81 | % | | | 1.81 | % | | | 1.72 | % |
Net expensesc | | | 1.68 | % | | | 1.76 | % | | | 1.76 | % | | | 1.79 | % | | | 1.72 | % |
Portfolio turnover rate | | | 23 | % | | | 37 | % | | | 37 | % | | | 38 | % | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
INVERSE NASDAQ-100® STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 21.07 | | | $ | 38.76 | | | $ | 45.03 | | | $ | 52.43 | | | $ | 65.23 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.38 | ) | | | (.60 | ) | | | (.17 | ) | | | (.06 | ) | | | (.48 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.38 | ) | | | (17.06 | ) | | | (5.77 | ) | | | (7.34 | ) | | | (12.32 | ) |
Total from investment operations | | | (3.76 | ) | | | (17.66 | ) | | | (5.94 | ) | | | (7.40 | ) | | | (12.80 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 17.31 | | | $ | 21.07 | | | $ | 38.76 | | | $ | 45.03 | | | $ | 52.43 | |
|
Total Returnd | | | (17.85 | %) | | | (45.58 | %) | | | (13.19 | %) | | | (14.11 | %) | | | (19.62 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 707 | | | $ | 73 | | | $ | 234 | | | $ | 128 | | | $ | 881 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.16 | %) | | | (2.26 | %) | | | (0.41 | %) | | | (0.13 | %) | | | (0.84 | %) |
Total expensesb | | | 2.45 | % | | | 2.55 | % | | | 2.57 | % | | | 2.53 | % | | | 2.46 | % |
Net expensesc | | | 2.43 | % | | | 2.54 | % | | | 2.53 | % | | | 2.53 | % | | | 2.46 | % |
Portfolio turnover rate | | | 23 | % | | | 37 | % | | | 37 | % | | | 38 | % | | | — | |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 24.83 | | | $ | 45.36 | | | $ | 52.24 | | | $ | 60.37 | | | $ | 74.56 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.32 | ) | | | (.46 | ) | | | (.02 | ) | | | .37 | | | | .07 | |
Net gain (loss) on investments (realized and unrealized) | | | (3.94 | ) | | | (20.04 | ) | | | (6.53 | ) | | | (8.50 | ) | | | (14.26 | ) |
Total from investment operations | | | (4.26 | ) | | | (20.50 | ) | | | (6.55 | ) | | | (8.13 | ) | | | (14.19 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.03 | ) | | | (.33 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 20.57 | | | $ | 24.83 | | | $ | 45.36 | | | $ | 52.24 | | | $ | 60.37 | |
|
Total Return | | | (17.16 | %) | | | (45.21 | %) | | | (12.54 | %) | | | (13.47 | %) | | | (19.03 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,567 | | | $ | 337 | | | $ | 583 | | | $ | 341 | | | $ | 2,403 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.49 | %) | | | (1.51 | %) | | | (0.05 | %) | | | 0.63 | % | | | 0.11 | % |
Total expensesb | | | 1.72 | % | | | 1.79 | % | | | 1.82 | % | | | 1.81 | % | | | 1.71 | % |
Net expensesc | | | 1.71 | % | | | 1.78 | % | | | 1.79 | % | | | 1.79 | % | | | 1.71 | % |
Portfolio turnover rate | | | 23 | % | | | 37 | % | | | 37 | % | | | 38 | % | | | — | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Total return does not reflect the impact of any applicable sales charges. |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 midcap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Mid-Cap 1.5x Strategy Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index. Mid-Cap 1.5x Strategy Fund H-Class returned 3.49%, while the S&P MidCap 400 Index returned 4.59% over the same period.
The sectors contributing the most to the return of the underlying index for the period were Real Estate, Financials, and Energy. The sectors detracting the most were Consumer Discretionary, Consumer Staples, and Information Technology.
The holdings contributing the most to the return of the underlying index were Avis Budget Group, Inc., Targa Resources Corp., and Alcoa Corp. The holdings detracting the most were Boston Beer Co., Inc. - Class A, Scotts Miracle-Gro Co. - Class A, and Sunrun, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles benefited Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 ANNUAL REPORT | 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | August 20, 2001 |
H-Class | August 16, 2001 |
Cumulative Fund Performance*
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 6.0% |
Guggenheim Strategy Fund II | 1.6% |
Targa Resources Corp. | 0.6% |
Camden Property Trust | 0.5% |
Alcoa Corp. | 0.5% |
Steel Dynamics, Inc. | 0.5% |
Cleveland-Cliffs, Inc. | 0.5% |
Wolfspeed, Inc. | 0.5% |
Cognex Corp. | 0.4% |
Darling Ingredients, Inc. | 0.4% |
Top Ten Total | 11.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 3.49% | 11.67% | 14.50% |
A-Class Shares with sales charge‡ | (1.43%) | 10.59% | 13.95% |
C-Class Shares | 2.71% | 10.84% | 13.65% |
C-Class Shares with CDSC§ | 1.87% | 10.84% | 13.65% |
H-Class Shares | 3.49% | 11.67% | 14.53% |
S&P MidCap 400 Index | 4.59% | 11.10% | 12.20% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
68 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 75.1% |
| | | | | | | | | |
Financial - 18.4% |
Camden Property Trust REIT | | | 482 | | | $ | 80,108 | |
Medical Properties Trust, Inc. REIT | | | 2,813 | | | | 59,467 | |
First Horizon Corp. | | | 2,518 | | | | 59,148 | |
Jones Lang LaSalle, Inc.* | | | 238 | | | | 56,992 | |
Rexford Industrial Realty, Inc. REIT | | | 755 | | | | 56,316 | |
Alleghany Corp.* | | | 65 | | | | 55,055 | |
Life Storage, Inc. REIT | | | 387 | | | | 54,346 | |
East West Bancorp, Inc. | | | 669 | | | | 52,864 | |
Lamar Advertising Co. — Class A REIT | | | 410 | | | | 47,634 | |
Webster Financial Corp. | | | 848 | | | | 47,590 | |
American Financial Group, Inc. | | | 312 | | | | 45,433 | |
Apartment Income REIT Corp. | | | 740 | | | | 39,560 | |
EastGroup Properties, Inc. REIT | | | 192 | | | | 39,030 | |
First Industrial Realty Trust, Inc. REIT | | | 614 | | | | 38,013 | |
Kilroy Realty Corp. REIT | | | 495 | | | | 37,828 | |
Commerce Bancshares, Inc. | | | 521 | | | | 37,298 | |
Cullen/Frost Bankers, Inc. | | | 269 | | | | 37,232 | |
National Retail Properties, Inc. REIT | | | 828 | | | | 37,210 | |
American Campus Communities, Inc. REIT | | | 656 | | | | 36,716 | |
Brixmor Property Group, Inc. REIT | | | 1,404 | | | | 36,237 | |
Omega Healthcare Investors, Inc. REIT | | | 1,126 | | | | 35,086 | |
Old Republic International Corp. | | | 1,346 | | | | 34,821 | |
Western Union Co. | | | 1,856 | | | | 34,782 | |
Reinsurance Group of America, Inc. — Class A | | | 317 | | | | 34,699 | |
STORE Capital Corp. REIT | | | 1,158 | | | | 33,848 | |
Voya Financial, Inc. | | | 509 | | | | 33,772 | |
Synovus Financial Corp. | | | 684 | | | | 33,516 | |
First American Financial Corp. | | | 517 | | | | 33,512 | |
Stifel Financial Corp. | | | 493 | | | | 33,475 | |
Pinnacle Financial Partners, Inc. | | | 359 | | | | 33,057 | |
RenaissanceRe Holdings Ltd. | | | 207 | | | | 32,812 | |
Unum Group | | | 964 | | | | 30,376 | |
Prosperity Bancshares, Inc. | | | 434 | | | | 30,111 | |
Jefferies Financial Group, Inc. | | | 912 | | | | 29,959 | |
SEI Investments Co. | | | 496 | | | | 29,864 | |
Cousins Properties, Inc. REIT | | | 702 | | | | 28,284 | |
Rayonier, Inc. REIT | | | 685 | | | | 28,167 | |
Janus Henderson Group plc | | | 797 | | | | 27,911 | |
Spirit Realty Capital, Inc. REIT | | | 602 | | | | 27,704 | |
Douglas Emmett, Inc. REIT | | | 827 | | | | 27,638 | |
Interactive Brokers Group, Inc. — Class A | | | 412 | | | | 27,155 | |
Affiliated Managers Group, Inc. | | | 192 | | | | 27,063 | |
First Financial Bankshares, Inc. | | | 605 | | | | 26,693 | |
Cadence Bank | | | 888 | | | | 25,983 | |
Valley National Bancorp | | | 1,986 | | | | 25,858 | |
Glacier Bancorp, Inc. | | | 512 | | | | 25,743 | |
Primerica, Inc. | | | 186 | | | | 25,449 | |
Selective Insurance Group, Inc. | | | 284 | | | | 25,378 | |
Hanover Insurance Group, Inc. | | | 168 | | | | 25,119 | |
Wintrust Financial Corp. | | | 269 | | | | 24,998 | |
SL Green Realty Corp. REIT | | | 302 | | | | 24,516 | |
Bank OZK | | | 570 | | | | 24,339 | |
PacWest Bancorp | | | 564 | | | | 24,325 | |
National Storage Affiliates Trust REIT | | | 386 | | | | 24,225 | |
SLM Corp. | | | 1,315 | | | | 24,143 | |
Kite Realty Group Trust REIT | | | 1,032 | | | | 23,499 | |
New York Community Bancorp, Inc. | | | 2,192 | | | | 23,498 | |
Kinsale Capital Group, Inc. | | | 101 | | | | 23,030 | |
Old National Bancorp | | | 1,392 | | | | 22,801 | |
Highwoods Properties, Inc. REIT | | | 495 | | | | 22,641 | |
United Bankshares, Inc. | | | 643 | | | | 22,428 | |
Park Hotels & Resorts, Inc. REIT | | | 1,115 | | | | 21,776 | |
Essent Group Ltd. | | | 521 | | | | 21,470 | |
Hancock Whitney Corp. | | | 410 | | | | 21,381 | |
RLI Corp. | | | 188 | | | | 20,798 | |
Evercore, Inc. — Class A | | | 184 | | | | 20,483 | |
MGIC Investment Corp. | | | 1,510 | | | | 20,461 | |
Hudson Pacific Properties, Inc. REIT | | | 719 | | | | 19,952 | |
FNB Corp. | | | 1,602 | | | | 19,945 | |
UMB Financial Corp. | | | 203 | | | | 19,723 | |
EPR Properties REIT | | | 353 | | | | 19,313 | |
Umpqua Holdings Corp. | | | 1,021 | | | | 19,256 | |
Healthcare Realty Trust, Inc. REIT | | | 695 | | | | 19,099 | |
Brighthouse Financial, Inc.* | | | 367 | | | | 18,959 | |
Physicians Realty Trust REIT | | | 1,038 | | | | 18,207 | |
PotlatchDeltic Corp. REIT | | | 326 | | | | 17,190 | |
Sabra Health Care REIT, Inc. | | | 1,078 | | | | 16,051 | |
Home BancShares, Inc. | | | 710 | | | | 16,046 | |
Associated Banc-Corp. | | | 705 | | | | 16,046 | |
Kemper Corp. | | | 283 | | | | 16,001 | |
Cathay General Bancorp | | | 357 | | | | 15,976 | |
PS Business Parks, Inc. REIT | | | 95 | | | | 15,968 | |
Bank of Hawaii Corp. | | | 190 | | | | 15,945 | |
JBG SMITH Properties REIT | | | 539 | | | | 15,750 | |
Macerich Co. REIT | | | 1,005 | | | | 15,718 | |
Federated Hermes, Inc. — Class B | | | 456 | | | | 15,531 | |
Pebblebrook Hotel Trust REIT | | | 620 | | | | 15,178 | |
Corporate Office Properties Trust REIT | | | 529 | | | | 15,098 | |
CNO Financial Group, Inc. | | | 568 | | | | 14,251 | |
Texas Capital Bancshares, Inc.* | | | 239 | | | | 13,697 | |
Alliance Data Systems Corp. | | | 235 | | | | 13,195 | |
Fulton Financial Corp. | | | 761 | | | | 12,648 | |
Navient Corp. | | | 726 | | | | 12,371 | |
International Bancshares Corp. | | | 251 | | | | 10,595 | |
Washington Federal, Inc. | | | 307 | | | | 10,076 | |
Mercury General Corp. | | | 125 | | | | 6,875 | |
Total Financial | | | | | | | 2,687,384 | |
| | | | | | | | | |
Industrial - 14.8% |
Cognex Corp. | | | 834 | | | | 64,343 | |
Carlisle Companies, Inc. | | | 247 | | | | 60,742 | |
Builders FirstSource, Inc.* | | | 903 | | | | 58,280 | |
Graco, Inc. | | | 802 | | | | 55,915 | |
AECOM | | | 666 | | | | 51,155 | |
Regal Rexnord Corp. | | | 319 | | | | 47,461 | |
Hubbell, Inc. | | | 257 | | | | 47,229 | |
Axon Enterprise, Inc.* | | | 323 | | | | 44,487 | |
Owens Corning | | | 474 | | | | 43,371 | |
Middleby Corp.* | | | 262 | | | | 42,952 | |
AGCO Corp. | | | 290 | | | | 42,349 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Toro Co. | | | 495 | | | $ | 42,318 | |
Tetra Tech, Inc. | | | 255 | | | | 42,060 | |
Jabil, Inc. | | | 676 | | | | 41,729 | |
Lennox International, Inc. | | | 159 | | | | 41,000 | |
Knight-Swift Transportation Holdings, Inc. | | | 782 | | | | 39,460 | |
Lincoln Electric Holdings, Inc. | | | 278 | | | | 38,311 | |
Arrow Electronics, Inc.* | | | 322 | | | | 38,199 | |
Woodward, Inc. | | | 298 | | | | 37,223 | |
AptarGroup, Inc. | | | 310 | | | | 36,425 | |
II-VI, Inc.* | | | 502 | | | | 36,390 | |
Trex Company, Inc.* | | | 543 | | | | 35,474 | |
Universal Display Corp. | | | 204 | | | | 34,058 | |
XPO Logistics, Inc.* | | | 465 | | | | 33,852 | |
Coherent, Inc.* | | | 117 | | | | 31,983 | |
Oshkosh Corp. | | | 315 | | | | 31,705 | |
Acuity Brands, Inc. | | | 165 | | | | 31,234 | |
ITT, Inc. | | | 404 | | | | 30,385 | |
Saia, Inc.* | | | 124 | | | | 30,233 | |
Donaldson Company, Inc. | | | 582 | | | | 30,223 | |
Sonoco Products Co. | | | 463 | | | | 28,965 | |
Littelfuse, Inc. | | | 116 | | | | 28,932 | |
Chart Industries, Inc.*,1 | | | 168 | | | | 28,857 | |
EMCOR Group, Inc. | | | 252 | | | | 28,383 | |
TopBuild Corp.* | | | 156 | | | | 28,297 | |
Curtiss-Wright Corp. | | | 186 | | | | 27,930 | |
nVent Electric plc | | | 793 | | | | 27,580 | |
Landstar System, Inc. | | | 178 | | | | 26,848 | |
Clean Harbors, Inc.* | | | 236 | | | | 26,347 | |
Louisiana-Pacific Corp. | | | 415 | | | | 25,780 | |
Stericycle, Inc.* | | | 434 | | | | 25,571 | |
MDU Resources Group, Inc. | | | 959 | | | | 25,557 | |
Colfax Corp.* | | | 641 | | | | 25,505 | |
Crane Co. | | | 235 | | | | 25,446 | |
National Instruments Corp. | | | 622 | | | | 25,247 | |
MasTec, Inc.* | | | 278 | | | | 24,214 | |
Eagle Materials, Inc. | | | 186 | | | | 23,875 | |
Valmont Industries, Inc. | | | 100 | | | | 23,860 | |
Hexcel Corp. | | | 395 | | | | 23,491 | |
MSA Safety, Inc. | | | 172 | | | | 22,825 | |
Simpson Manufacturing Company, Inc. | | | 205 | | | | 22,353 | |
Flowserve Corp. | | | 614 | | | | 22,043 | |
GATX Corp. | | | 168 | | | | 20,719 | |
Kirby Corp.* | | | 283 | | | | 20,430 | |
Vontier Corp. | | | 797 | | | | 20,236 | |
TD SYNNEX Corp. | | | 195 | | | | 20,126 | |
Ryder System, Inc. | | | 253 | | | | 20,070 | |
Timken Co. | | | 325 | | | | 19,727 | |
Fluor Corp.* | | | 667 | | | | 19,136 | |
Avnet, Inc. | | | 466 | | | | 18,915 | |
Silgan Holdings, Inc. | | | 396 | | | | 18,307 | |
Watts Water Technologies, Inc. — Class A | | | 130 | | | | 18,147 | |
Mercury Systems, Inc.* | | | 268 | | | | 17,272 | |
EnerSys | | | 195 | | | | 14,541 | |
Dycom Industries, Inc.* | | | 142 | | | | 13,527 | |
Trinity Industries, Inc. | | | 386 | | | | 13,263 | |
Vishay Intertechnology, Inc. | | | 626 | | | | 12,270 | |
Belden, Inc. | | | 212 | | | | 11,745 | |
Terex Corp. | | | 329 | | | | 11,732 | |
Werner Enterprises, Inc. | | | 283 | | | | 11,603 | |
Kennametal, Inc. | | | 392 | | | | 11,215 | |
Energizer Holdings, Inc. | | | 309 | | | | 9,505 | |
Greif, Inc. — Class A | | | 125 | | | | 8,133 | |
Worthington Industries, Inc. | | | 154 | | | | 7,917 | |
Vicor Corp.* | | | 101 | | | | 7,126 | |
Total Industrial | | | | | | | 2,154,114 | |
| | | | | | | | | |
Consumer, Non-cyclical - 12.0% |
Darling Ingredients, Inc.* | | | 763 | | | | 61,330 | |
Service Corporation International | | | 778 | | | | 51,208 | |
Avis Budget Group, Inc.* | | | 189 | | | | 49,764 | |
Repligen Corp.* | | | 242 | | | | 45,518 | |
Jazz Pharmaceuticals plc* | | | 290 | | | | 45,144 | |
Tenet Healthcare Corp.* | | | 505 | | | | 43,410 | |
Neurocrine Biosciences, Inc.* | | | 447 | | | | 41,906 | |
Syneos Health, Inc.* | | | 489 | | | | 39,584 | |
Paylocity Holding Corp.* | | | 188 | | | | 38,685 | |
United Therapeutics Corp.* | | | 212 | | | | 38,035 | |
WEX, Inc.* | | | 212 | | | | 37,831 | |
Performance Food Group Co.* | | | 730 | | | | 37,164 | |
Envista Holdings Corp.* | | | 761 | | | | 37,068 | |
Chemed Corp. | | | 73 | | | | 36,978 | |
Penumbra, Inc.* | | | 166 | | | | 36,873 | |
Masimo Corp.* | | | 240 | | | | 34,929 | |
Tandem Diabetes Care, Inc.* | | | 300 | | | | 34,887 | |
Exelixis, Inc.* | | | 1,492 | | | | 33,824 | |
Encompass Health Corp. | | | 469 | | | | 33,351 | |
GXO Logistics, Inc.* | | | 465 | | | | 33,173 | |
Euronet Worldwide, Inc.* | | | 249 | | | | 32,407 | |
Bruker Corp. | | | 479 | | | | 30,800 | |
ASGN, Inc.* | | | 246 | | | | 28,711 | |
Acadia Healthcare Company, Inc.* | | | 425 | | | | 27,850 | |
Globus Medical, Inc. — Class A* | | | 373 | | | | 27,520 | |
Ingredion, Inc. | | | 314 | | | | 27,365 | |
HealthEquity, Inc.* | | | 394 | | | | 26,571 | |
Amedisys, Inc.* | | | 154 | | | | 26,533 | |
Halozyme Therapeutics, Inc.* | | | 664 | | | | 26,480 | |
FTI Consulting, Inc.* | | | 162 | | | | 25,470 | |
LHC Group, Inc.* | | | 149 | | | | 25,121 | |
Perrigo Company plc | | | 631 | | | | 24,250 | |
Flowers Foods, Inc. | | | 937 | | | | 24,090 | |
ManpowerGroup, Inc. | | | 256 | | | | 24,043 | |
Arrowhead Pharmaceuticals, Inc.* | | | 497 | | | | 22,857 | |
Helen of Troy Ltd.* | | | 114 | | | | 22,326 | |
Medpace Holdings, Inc.* | | | 136 | | | | 22,248 | |
Integra LifeSciences Holdings Corp.* | | | 343 | | | | 22,041 | |
ICU Medical, Inc.* | | | 95 | | | | 21,151 | |
LivaNova plc* | | | 251 | | | | 20,539 | |
H&R Block, Inc. | | | 776 | | | | 20,207 | |
Quidel Corp.* | | | 179 | | | | 20,130 | |
Sanderson Farms, Inc. | | | 100 | | | | 18,749 | |
Option Care Health, Inc.* | | | 653 | | | | 18,650 | |
Post Holdings, Inc.* | | | 269 | | | | 18,631 | |
Grand Canyon Education, Inc.* | | | 187 | | | | 18,159 | |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
STAAR Surgical Co.* | | | 224 | | | $ | 17,900 | |
Sabre Corp.* | | | 1,525 | | | | 17,431 | |
Boston Beer Company, Inc. — Class A* | | | 44 | | | | 17,093 | |
Insperity, Inc. | | | 169 | | | | 16,971 | |
Sprouts Farmers Market, Inc.* | | | 529 | | | | 16,918 | |
Progyny, Inc.* | | | 329 | | | | 16,911 | |
R1 RCM, Inc.* | | | 629 | | | | 16,832 | |
Brink’s Co. | | | 232 | | | | 15,776 | |
Neogen Corp.* | | | 508 | | | | 15,667 | |
Haemonetics Corp.* | | | 241 | | | | 15,236 | |
Hain Celestial Group, Inc.* | | | 431 | | | | 14,827 | |
Coty, Inc. — Class A* | | | 1,621 | | | | 14,573 | |
Lancaster Colony Corp. | | | 93 | | | | 13,871 | |
NuVasive, Inc.* | | | 244 | | | | 13,835 | |
Grocery Outlet Holding Corp.* | | | 412 | | | | 13,505 | |
Patterson Companies, Inc. | | | 410 | | | | 13,272 | |
BellRing Brands, Inc.* | | | 527 | | | | 12,163 | |
LiveRamp Holdings, Inc.* | | | 322 | | | | 12,040 | |
Graham Holdings Co. — Class B | | | 19 | | | | 11,618 | |
John Wiley & Sons, Inc. — Class A | | | 205 | | | | 10,871 | |
PROG Holdings, Inc.* | | | 268 | | | | 7,710 | |
Pilgrim’s Pride Corp.* | | | 230 | | | | 5,773 | |
Total Consumer, Non-cyclical | | | | | | | 1,744,354 | |
| | | | | | | | | |
Consumer, Cyclical - 11.5% |
Williams-Sonoma, Inc. | | | 344 | | | | 49,880 | |
GameStop Corp. — Class A* | | | 292 | | | | 48,641 | |
Watsco, Inc. | | | 156 | | | | 47,524 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 641 | | | | 43,338 | |
Lithia Motors, Inc. — Class A | | | 143 | | | | 42,917 | |
Five Below, Inc.* | | | 264 | | | | 41,810 | |
Lear Corp. | | | 281 | | | | 40,068 | |
Kohl’s Corp. | | | 656 | | | | 39,662 | |
Wyndham Hotels & Resorts, Inc. | | | 439 | | | | 37,179 | |
Mattel, Inc.* | | | 1,652 | | | | 36,691 | |
Churchill Downs, Inc. | | | 163 | | | | 36,150 | |
Capri Holdings Ltd.* | | | 696 | | | | 35,768 | |
Deckers Outdoor Corp.* | | | 129 | | | | 35,316 | |
Casey’s General Stores, Inc. | | | 175 | | | | 34,680 | |
Macy’s, Inc. | | | 1,411 | | | | 34,372 | |
Gentex Corp. | | | 1,115 | | | | 32,524 | |
Marriott Vacations Worldwide Corp. | | | 201 | | | | 31,698 | |
Dick’s Sporting Goods, Inc.1 | | | 297 | | | | 29,706 | |
Brunswick Corp. | | | 364 | | | | 29,444 | |
Harley-Davidson, Inc. | | | 726 | | | | 28,604 | |
Polaris, Inc. | | | 269 | | | | 28,331 | |
Texas Roadhouse, Inc. — Class A | | | 329 | | | | 27,547 | |
RH* | | | 83 | | | | 27,065 | |
Scientific Games Corp. — Class A* | | | 456 | | | | 26,790 | |
Univar Solutions, Inc.* | | | 807 | | | | 25,937 | |
Skechers USA, Inc. — Class A* | | | 636 | | | | 25,923 | |
Boyd Gaming Corp. | | | 387 | | | | 25,457 | |
Tempur Sealy International, Inc. | | | 907 | | | | 25,324 | |
Toll Brothers, Inc. | | | 530 | | | | 24,921 | |
YETI Holdings, Inc.* | | | 413 | | | | 24,772 | |
Hanesbrands, Inc. | | | 1,646 | | | | 24,509 | |
IAA, Inc.* | | | 636 | | | | 24,327 | |
Travel + Leisure Co. | | | 407 | | | | 23,581 | |
Scotts Miracle-Gro Co. — Class A | | | 191 | | | | 23,485 | |
JetBlue Airways Corp.* | | | 1,499 | | | | 22,410 | |
Choice Hotels International, Inc. | | | 155 | | | | 21,973 | |
Leggett & Platt, Inc. | | | 629 | | | | 21,889 | |
Murphy USA, Inc. | | | 108 | | | | 21,596 | |
Crocs, Inc.* | | | 278 | | | | 21,239 | |
Avient Corp. | | | 431 | | | | 20,688 | |
Thor Industries, Inc. | | | 262 | | | | 20,619 | |
Fox Factory Holding Corp.* | | | 198 | | | | 19,394 | |
Goodyear Tire & Rubber Co.* | | | 1,324 | | | | 18,920 | |
MSC Industrial Direct Company, Inc. — Class A | | | 222 | | | | 18,917 | |
AutoNation, Inc.* | | | 188 | | | | 18,721 | |
Carter’s, Inc. | | | 200 | | | | 18,398 | |
Wendy’s Co. | | | 832 | | | | 18,279 | |
Adient plc* | | | 447 | | | | 18,224 | |
Victoria’s Secret & Co.* | | | 342 | | | | 17,565 | |
Wingstop, Inc. | | | 141 | | | | 16,546 | |
Papa John’s International, Inc. | | | 153 | | | | 16,108 | |
Six Flags Entertainment Corp.* | | | 365 | | | | 15,877 | |
Taylor Morrison Home Corp. — Class A* | | | 579 | | | | 15,760 | |
Columbia Sportswear Co. | | | 163 | | | | 14,757 | |
Visteon Corp.* | | | 132 | | | | 14,405 | |
Nordstrom, Inc. | | | 526 | | | | 14,260 | |
Gap, Inc. | | | 1,004 | | | | 14,136 | |
FirstCash Holdings, Inc. | | | 190 | | | | 13,365 | |
Cracker Barrel Old Country Store, Inc. | | | 111 | | | | 13,179 | |
KB Home | | | 404 | | | | 13,082 | |
Callaway Golf Co.* | | | 553 | | | | 12,951 | |
MillerKnoll, Inc. | | | 357 | | | | 12,338 | |
Foot Locker, Inc. | | | 412 | | | | 12,220 | |
American Eagle Outfitters, Inc.1 | | | 724 | | | | 12,163 | |
Dana, Inc. | | | 680 | | | | 11,948 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 277 | | | | 11,900 | |
Nu Skin Enterprises, Inc. — Class A | | | 235 | | | | 11,252 | |
Tri Pointe Homes, Inc.* | | | 524 | | | | 10,522 | |
Urban Outfitters, Inc.* | | | 310 | | | | 7,784 | |
Total Consumer, Cyclical | | | | | | | 1,677,326 | |
| | | | | | | | | |
Technology - 6.7% |
Wolfspeed, Inc.* | | | 582 | | | | 66,266 | |
Fair Isaac Corp.* | | | 124 | | | | 57,841 | |
Aspen Technology, Inc.* | | | 314 | | | | 51,926 | |
Manhattan Associates, Inc.* | | | 298 | | | | 41,336 | |
Lattice Semiconductor Corp.* | | | 646 | | | | 39,374 | |
MKS Instruments, Inc. | | | 262 | | | | 39,300 | |
Synaptics, Inc.* | | | 186 | | | | 37,107 | |
KBR, Inc. | | | 661 | | | | 36,176 | |
Genpact Ltd. | | | 804 | | | | 34,982 | |
Concentrix Corp. | | | 202 | | | | 33,645 | |
Lumentum Holdings, Inc.* | | | 341 | | | | 33,282 | |
CACI International, Inc. — Class A* | | | 110 | | | | 33,139 | |
Azenta, Inc. | | | 353 | | | | 29,257 | |
Silicon Laboratories, Inc.* | | | 181 | | | | 27,186 | |
CDK Global, Inc. | | | 551 | | | | 26,823 | |
Power Integrations, Inc. | | | 279 | | | | 25,858 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Teradata Corp.* | | | 512 | | | $ | 25,236 | |
CMC Materials, Inc. | | | 135 | | | | 25,029 | |
NCR Corp.* | | | 622 | | | | 24,998 | |
Science Applications International Corp. | | | 269 | | | | 24,794 | |
Cirrus Logic, Inc.* | | | 270 | | | | 22,893 | |
Sailpoint Technologies Holdings, Inc.* | | | 440 | | | | 22,519 | |
Qualys, Inc.* | | | 158 | | | | 22,501 | |
Ziff Davis, Inc.* | | | 227 | | | | 21,969 | |
Maximus, Inc. | | | 292 | | | | 21,885 | |
Semtech Corp.* | | | 304 | | | | 21,079 | |
Envestnet, Inc.* | | | 258 | | | | 19,206 | |
Digital Turbine, Inc.* | | | 416 | | | | 18,225 | |
SiTime Corp.* | | | 71 | | | | 17,595 | |
ACI Worldwide, Inc.* | | | 554 | | | | 17,445 | |
CommVault Systems, Inc.* | | | 210 | | | | 13,933 | |
Blackbaud, Inc.* | | | 211 | | | | 12,633 | |
Xerox Holdings Corp. | | | 579 | | | | 11,679 | |
Kyndryl Holdings, Inc.* | | | 845 | | | | 11,086 | |
Amkor Technology, Inc. | | | 473 | | | | 10,274 | |
Total Technology | | | | | | | 978,477 | |
| | | | | | | | | |
Basic Materials - 4.3% |
Alcoa Corp. | | | 868 | | | | 78,146 | |
Steel Dynamics, Inc. | | | 889 | | | | 74,169 | |
Cleveland-Cliffs, Inc.* | | | 2,254 | | | | 72,602 | |
Reliance Steel & Aluminum Co. | | | 295 | | | | 54,088 | |
RPM International, Inc. | | | 612 | | | | 49,841 | |
United States Steel Corp. | | | 1,231 | | | | 46,458 | |
Royal Gold, Inc. | | | 309 | | | | 43,656 | |
Olin Corp. | | | 665 | | | | 34,766 | |
Valvoline, Inc. | | | 846 | | | | 26,700 | |
Ashland Global Holdings, Inc. | | | 250 | | | | 24,602 | |
Commercial Metals Co. | | | 573 | | | | 23,848 | |
Chemours Co. | | | 754 | | | | 23,736 | |
Cabot Corp. | | | 267 | | | | 18,265 | |
Sensient Technologies Corp. | | | 198 | | | | 16,622 | |
Ingevity Corp.* | | | 185 | | | | 11,853 | |
NewMarket Corp. | | | 33 | | | | 10,705 | |
Minerals Technologies, Inc. | | | 157 | | | | 10,386 | |
Total Basic Materials | | | | | | | 620,443 | |
| | | | | | | | | |
Energy - 3.2% |
Targa Resources Corp. | | | 1,080 | | | | 81,508 | |
Equities Corp. | | | 1,418 | | | | 48,793 | |
First Solar, Inc.* | | | 466 | | | | 39,023 | |
NOV, Inc. | | | 1,851 | | | | 36,298 | |
Range Resources Corp.* | | | 1,178 | | | | 35,788 | |
PDC Energy, Inc. | | | 459 | | | | 33,360 | |
Sunrun, Inc.* | | | 976 | | | | 29,641 | |
HF Sinclair Corp.* | | | 705 | | | | 28,094 | |
Murphy Oil Corp. | | | 684 | | | | 27,627 | |
DT Midstream, Inc. | | | 456 | | | | 24,743 | |
ChampionX Corp. | | | 953 | | | | 23,329 | |
CNX Resources Corp.* | | | 955 | | | | 19,788 | |
Antero Midstream Corp. | | | 1,531 | | | | 16,642 | |
Equitrans Midstream Corp. | | | 1,917 | | | | 16,179 | |
SunPower Corp. — Class A*,1 | | | 392 | | | | 8,420 | |
Total Energy | | | | | | | 469,233 | |
| | | | | | | | | |
Utilities - 2.5% |
Essential Utilities, Inc. | | | 1,084 | | | | 55,425 | |
OGE Energy Corp. | | | 944 | | | | 38,496 | |
UGI Corp. | | | 989 | | | | 35,822 | |
National Fuel Gas Co. | | | 432 | | | | 29,678 | |
IDACORP, Inc. | | | 238 | | | | 27,456 | |
Southwest Gas Holdings, Inc. | | | 302 | | | | 23,644 | |
Black Hills Corp. | | | 301 | | | | 23,183 | |
ONE Gas, Inc. | | | 253 | | | | 22,325 | |
Hawaiian Electric Industries, Inc. | | | 515 | | | | 21,790 | |
New Jersey Resources Corp. | | | 453 | | | | 20,774 | |
PNM Resources, Inc. | | | 405 | | | | 19,306 | |
Spire, Inc. | | | 244 | | | | 17,509 | |
ALLETE, Inc. | | | 248 | | | | 16,611 | |
NorthWestern Corp. | | | 255 | | | | 15,425 | |
Total Utilities | | | | | | | 367,444 | |
| | | | | | | | | |
Communications - 1.7% |
Ciena Corp.* | | | 730 | | | | 44,260 | |
New York Times Co. — Class A | | | 788 | | | | 36,122 | |
Cable One, Inc. | | | 24 | | | | 35,142 | |
Iridium Communications, Inc.* | | | 624 | | | | 25,159 | |
TEGNA, Inc. | | | 1,043 | | | | 23,363 | |
Mimecast Ltd.* | | | 293 | | | | 23,311 | |
Viasat, Inc.* | | | 351 | | | | 17,129 | |
World Wrestling Entertainment, Inc. — Class A1 | | | 207 | | | | 12,925 | |
TripAdvisor, Inc.* | | | 468 | | | | 12,692 | |
Calix, Inc.* | | | 259 | | | | 11,114 | |
Yelp, Inc. — Class A* | | | 324 | | | | 11,052 | |
Total Communications | | | | | | | 252,269 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $10,097,375) | | | | | | | 10,951,044 | |
| | | | | | | | | |
MUTUAL FUNDS† - 7.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 88,750 | | | | 868,866 | |
Guggenheim Strategy Fund II2 | | | 9,844 | | | | 241,661 | |
Total Mutual Funds | | | | |
(Cost $1,123,598) | | | | | | | 1,110,527 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 5.7% |
U.S. Treasury Bills |
0.09% due 06/02/223,4 | | $ | 750,000 | | | | 749,578 | |
0.12% due 05/05/224,5 | | | 82,000 | | | | 81,989 | |
Total U.S. Treasury Bills | | | | |
(Cost $831,877) | | | | | | | 831,567 | |
| | | | | | | | | |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
MID-CAP 1.5x STRATEGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,6 - 1.7% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | $ | 163,168 | | | $ | 163,168 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 62,845 | | | | 62,845 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 16,340 | | | | 16,340 | |
Total Repurchase Agreements | | | | |
(Cost $242,353) | | | | | | | 242,353 | |
| | | | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%8 | | | 71,069 | | | | 71,069 | |
Total Securities Lending Collateral | | | | |
(Cost $71,069) | | | | | | | 71,069 | |
| | | | | | | | | |
Total Investments - 90.6% | | | | |
(Cost $12,366,272) | | $ | 13,206,560 | |
Other Assets & Liabilities, net - 9.4% | | | 1,367,558 | |
Total Net Assets - 100.0% | | $ | 14,574,118 | |
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 | | | 6 | | | | Jun 2022 | | | $ | 1,612,620 | | | $ | 59,511 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | S&P MidCap 400 Index | Pay | 0.62% (U.S. Secured Overnight Financing Rate + 0.35%) | | | At Maturity | | | | 04/13/22 | | | | 2,658 | | | $ | 7,160,183 | | | $ | 90,528 | |
BNP Paribas | S&P MidCap 400 Index | Pay | 0.78% (Federal Funds Rate + 0.45%) | | | At Maturity | | | | 04/14/22 | | | | 263 | | | | 709,724 | | | | 32,705 | |
Goldman Sachs International | S&P MidCap 400 Index | Pay | 0.73% (Federal Funds Rate + 0.40%) | | | At Maturity | | | | 04/14/22 | | | | 547 | | | | 1,474,036 | | | | (9,204 | ) |
| | | | | | | | | | | | | | | | | | $ | 9,343,943 | | | $ | 114,029 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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 March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
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 March 31, 2022. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 10,951,044 | | | $ | — | | | $ | — | | | $ | 10,951,044 | |
Mutual Funds | | | 1,110,527 | | | | — | | | | — | | | | 1,110,527 | |
U.S. Treasury Bills | | | — | | | | 831,567 | | | | — | | | | 831,567 | |
Repurchase Agreements | | | — | | | | 242,353 | | | | — | | | | 242,353 | |
Securities Lending Collateral | | | 71,069 | | | | — | | | | — | | | | 71,069 | |
Equity Futures Contracts** | | | 59,511 | | | | — | | | | — | | | | 59,511 | |
Equity Index Swap Agreements** | | | — | | | | 123,233 | | | | — | | | | 123,233 | |
Total Assets | | $ | 12,192,151 | | | $ | 1,197,153 | | | $ | — | | | $ | 13,389,304 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 9,204 | | | $ | — | | | $ | 9,204 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,260,878 | | | $ | 100,000 | | | $ | (1,110,000 | ) | | $ | (648 | ) | | $ | (8,569 | ) | | $ | 241,661 | | | | 9,844 | | | $ | 13,208 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,351,937 | | | | 180,000 | | | | (1,650,000 | ) | | | — | | | | (13,071 | ) | | | 868,866 | | | | 88,750 | | | | 10,871 | |
| | | $ | 3,612,815 | | | $ | 280,000 | | | $ | (2,760,000 | ) | | $ | (648 | ) | | $ | (21,640 | ) | | $ | 1,110,527 | | | | | | | $ | 24,079 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value - including $68,174 of securities loaned (cost $11,000,321) | | $ | 11,853,680 | |
Investments in affiliated issuers, at value (cost $1,123,598) | | | 1,110,527 | |
Repurchase agreements, at value (cost $242,353) | | | 242,353 | |
Cash | | | 81 | |
Unrealized appreciation on OTC swap agreements | | | 123,233 | |
Receivables: |
Securities sold | | | 981,574 | |
Fund shares sold | | | 468,255 | |
Swap settlement | | | 359,301 | |
Dividends | | | 12,204 | |
Securities lending income | | | 62 | |
Interest | | | 2 | |
Total assets | | | 15,151,272 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 440,000 | |
Unrealized depreciation on OTC swap agreements | | | 9,204 | |
Payable for: |
Return of securities lending collateral | | | 71,069 | |
Variation margin on futures contracts | | | 24,000 | |
Management fees | | | 10,493 | |
Transfer agent and administrative fees | | | 3,188 | |
Distribution and service fees | | | 3,110 | |
Fund shares redeemed | | | 1,363 | |
Portfolio accounting fees | | | 1,185 | |
Trustees’ fees* | | | 175 | |
Miscellaneous | | | 13,367 | |
Total liabilities | | | 577,154 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 14,574,118 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 14,046,255 | |
Total distributable earnings (loss) | | | 527,863 | |
Net assets | | $ | 14,574,118 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,016,901 | |
Capital shares outstanding | | | 34,765 | |
Net asset value per share | | $ | 115.54 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 121.30 | |
| | | | | |
C-Class: |
Net assets | | $ | 230,630 | |
Capital shares outstanding | | | 2,436 | |
Net asset value per share | | $ | 94.68 | |
| | | | | |
H-Class: |
Net assets | | $ | 10,326,587 | |
Capital shares outstanding | | | 88,969 | |
Net asset value per share | | $ | 116.07 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 156,478 | |
Dividends from securities of affiliated issuers | | | 24,079 | |
Interest | | | 1,027 | |
Income from securities lending, net | | | 137 | |
Total investment income | | | 181,721 | |
| | | | | |
Expenses: |
Management fees | | | 150,939 | |
Distribution and service fees: |
A-Class | | | 10,900 | |
C-Class | | | 3,703 | |
H-Class | | | 30,102 | |
Transfer agent and administrative fees | | | 46,844 | |
Portfolio accounting fees | | | 16,771 | |
Professional fees | | | 6,785 | |
Custodian fees | | | 2,413 | |
Trustees’ fees* | | | 2,403 | |
Interest expense | | | 74 | |
Line of credit fees | | | 53 | |
Miscellaneous | | | 10,656 | |
Total expenses | | | 281,643 | |
Less: |
Expenses waived by Adviser | | | (2,953 | ) |
Net expenses | | | 278,690 | |
Net investment loss | | | (96,969 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | 1,808,087 | |
Investments in affiliated issuers | | | (648 | ) |
Swap agreements | | | 565,296 | |
Futures contracts | | | (3,944 | ) |
Net realized gain | | | 2,368,791 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (2,209,641 | ) |
Investments in affiliated issuers | | | (21,640 | ) |
Swap agreements | | | (158,091 | ) |
Futures contracts | | | 62,218 | |
Net change in unrealized appreciation (depreciation) | | | (2,327,154 | ) |
Net realized and unrealized gain | | | 41,637 | |
Net decrease in net assets resulting from operations | | $ | (55,332 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (96,969 | ) | | $ | (115,010 | ) |
Net realized gain on investments | | | 2,368,791 | | | | 15,185,252 | |
Net change in unrealized appreciation (depreciation) on investments | | | (2,327,154 | ) | | | 3,188,486 | |
Net increase (decrease) in net assets resulting from operations | | | (55,332 | ) | | | 18,258,728 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (726,986 | ) | | | (10,762 | ) |
C-Class | | | (50,174 | ) | | | (3,249 | ) |
H-Class | | | (1,524,994 | ) | | | (75,702 | ) |
Total distributions to shareholders | | | (2,302,154 | ) | | | (89,713 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,340,606 | | | | 2,852,099 | |
C-Class | | | 27,769 | | | | 274,431 | |
H-Class | | | 54,280,706 | | | | 117,613,646 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 721,957 | | | | 10,667 | |
C-Class | | | 46,932 | | | | 3,249 | |
H-Class | | | 1,493,574 | | | | 72,127 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,758,868 | ) | | | (2,938,816 | ) |
C-Class | | | (469,086 | ) | | | (2,613,497 | ) |
H-Class | | | (55,830,752 | ) | | | (124,300,488 | ) |
Net decrease from capital share transactions | | | (147,162 | ) | | | (9,026,582 | ) |
Net increase (decrease) in net assets | | | (2,504,648 | ) | | | 9,142,433 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 17,078,766 | | | | 7,936,333 | |
End of year | | $ | 14,574,118 | | | $ | 17,078,766 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 9,355 | | | | 32,695 | |
C-Class | | | 234 | | | | 2,977 | |
H-Class | | | 416,343 | | | | 1,334,264 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 5,927 | | | | 101 | |
C-Class | | | 469 | | | | 36 | |
H-Class | | | 12,206 | | | | 678 | |
Shares redeemed | | | | | | | | |
A-Class | | | (13,390 | ) | | | (34,729 | ) |
C-Class | | | (4,067 | ) | | | (37,321 | ) |
H-Class | | | (430,872 | ) | | | (1,315,725 | ) |
Net decrease in shares | | | (3,795 | ) | | | (17,024 | ) |
78 | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 131.92 | | | $ | 56.02 | | | $ | 89.82 | | | $ | 90.38 | | | $ | 79.90 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.72 | ) | | | (.68 | ) | | | .37 | | | | .58 | | | | .15 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.46 | | | | 77.00 | | | | (33.98 | ) | | | (.73 | ) | | | 10.83 | |
Total from investment operations | | | 5.74 | | | | 76.32 | | | | (33.61 | ) | | | (.15 | ) | | | 10.98 | |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | (.19 | ) | | | (.11 | ) | | | — | |
Net realized gains | | | (22.12 | ) | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) |
Total distributions | | | (22.12 | ) | | | (.42 | ) | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) |
Net asset value, end of period | | $ | 115.54 | | | $ | 131.92 | | | $ | 56.02 | | | $ | 89.82 | | | $ | 90.38 | |
|
Total Returnb | | | 3.49 | % | | | 136.41 | % | | | (37.52 | %) | | | (0.11 | %) | | | 13.74 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,017 | | | $ | 4,337 | | | $ | 1,950 | | | $ | 3,469 | | | $ | 2,382 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.54 | %) | | | (0.75 | %) | | | 0.40 | % | | | 0.64 | % | | | 0.17 | % |
Total expensesc | | | 1.66 | % | | | 1.75 | % | | | 1.77 | % | | | 1.77 | % | | | 1.67 | % |
Net expensesd | | | 1.65 | % | | | 1.72 | % | | | 1.72 | % | | | 1.75 | % | | | 1.67 | % |
Portfolio turnover rate | | | 159 | % | | | 501 | % | | | 617 | % | | | 721 | % | | | 722 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 112.55 | | | $ | 48.18 | | | $ | 77.86 | | | $ | 78.99 | | | $ | 70.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.48 | ) | | | (1.12 | ) | | | (.27 | ) | | | (.09 | ) | | | (.51 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.73 | | | | 65.91 | | | | (29.22 | ) | | | (.63 | ) | | | 9.58 | |
Total from investment operations | | | 4.25 | | | | 64.79 | | | | (29.49 | ) | | | (.72 | ) | | | 9.07 | |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | (.19 | ) | | | (.11 | ) | | | — | |
Net realized gains | | | (22.12 | ) | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) |
Total distributions | | | (22.12 | ) | | | (.42 | ) | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) |
Net asset value, end of period | | $ | 94.68 | | | $ | 112.55 | | | $ | 48.18 | | | $ | 77.86 | | | $ | 78.99 | |
|
Total Returnb | | | 2.71 | % | | | 134.67 | % | | | (37.98 | %) | | | (0.86 | %) | | | 12.89 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 231 | | | $ | 653 | | | $ | 1,933 | | | $ | 3,722 | | | $ | 5,875 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.31 | %) | | | (1.59 | %) | | | (0.34 | %) | | | (0.12 | %) | | | (0.68 | %) |
Total expensesc | | | 2.41 | % | | | 2.52 | % | | | 2.52 | % | | | 2.51 | % | | | 2.43 | % |
Net expensesd | | | 2.39 | % | | | 2.50 | % | | | 2.47 | % | | | 2.50 | % | | | 2.43 | % |
Portfolio turnover rate | | | 159 | % | | | 501 | % | | | 617 | % | | | 721 | % | | | 722 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
MID-CAP 1.5x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 132.43 | | | $ | 56.24 | | | $ | 90.18 | | | $ | 90.82 | | | $ | 80.23 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.76 | ) | | | (.60 | ) | | | .27 | | | | .42 | | | | .35 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.52 | | | | 77.21 | | | | (34.02 | ) | | | (.65 | ) | | | 10.74 | |
Total from investment operations | | | 5.76 | | | | 76.61 | | | | (33.75 | ) | | | (.23 | ) | | | 11.09 | |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | (.19 | ) | | | (.11 | ) | | | — | |
Net realized gains | | | (22.12 | ) | | | — | | | | — | | | | (.30 | ) | | | (.50 | ) |
Total distributions | | | (22.12 | ) | | | (.42 | ) | | | (.19 | ) | | | (.41 | ) | | | (.50 | ) |
Net asset value, end of period | | $ | 116.07 | | | $ | 132.43 | | | $ | 56.24 | | | $ | 90.18 | | | $ | 90.82 | |
|
Total Return | | | 3.49 | % | | | 136.39 | % | | | (37.52 | %) | | | (0.21 | %) | | | 13.82 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,327 | | | $ | 12,089 | | | $ | 4,054 | | | $ | 14,017 | | | $ | 13,956 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.57 | %) | | | (0.64 | %) | | | 0.28 | % | | | 0.49 | % | | | 0.39 | % |
Total expensesc | | | 1.66 | % | | | 1.74 | % | | | 1.79 | % | | | 1.78 | % | | | 1.66 | % |
Net expensesd | | | 1.65 | % | | | 1.72 | % | | | 1.77 | % | | | 1.77 | % | | | 1.66 | % |
Portfolio turnover rate | | | 159 | % | | | 501 | % | | | 617 | % | | | 721 | % | | | 722 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the year ended March 31, 2022, Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index. Inverse Mid-Cap Strategy Fund H-Class returned -9.47%, while the S&P MidCap 400 Index returned 4.59% over the same period.
The sectors contributing the most to the return of the underlying index for the period were Real Estate, Financials, and Energy. The sectors detracting the most were Consumer Discretionary, Consumer Staples, and Information Technology.
The holdings contributing the most to the return of the underlying index were Avis Budget Group, Inc., Targa Resources Corp., and Alcoa Corp. The holdings detracting the most were Boston Beer Co., Inc. - Class A, Scotts Miracle-Gro Co. - Class A, and Sunrun, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 ANNUAL REPORT | 81 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 14.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 12.9% |
Total | 27.0% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (9.48%) | (14.06%) | (14.30%) |
A-Class Shares with sales charge‡ | (13.77%) | (14.89%) | (14.71%) |
C-Class Shares | (10.04%) | (14.64%) | (14.92%) |
C-Class Shares with CDSC§ | (10.94%) | (14.64%) | (14.92%) |
H-Class Shares | (9.47%) | (14.04%) | (14.28%) |
S&P MidCap 400 Index | 4.59% | 11.10% | 12.20% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to the differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
82 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE MID-CAP STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 27.0% |
Guggenheim Strategy Fund II1 | | | 2,020 | | | $ | 49,591 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 4,630 | | | | 45,328 | |
Total Mutual Funds | | | | |
(Cost $95,671) | | | | | | | 94,919 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 71.2% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | $ | 168,865 | | | | 168,865 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 65,039 | | | | 65,039 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 16,910 | | | | 16,910 | |
Total Repurchase Agreements | | | | |
(Cost $250,814) | | | | | | | 250,814 | |
| | | | | | | | | |
Total Investments - 98.2% | | | | |
(Cost $346,485) | | $ | 345,733 | |
Other Assets & Liabilities, net - 1.8% | | | 6,362 | |
Total Net Assets - 100.0% | | $ | 352,095 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | S&P MidCap 400 Index | Receive | 0.47% (U.S. Secured Overnight Financing Rate + 0.20%) | | | At Maturity | | | | 04/13/22 | | | | 41 | | | $ | 109,250 | | | $ | (224 | ) |
Goldman Sachs International | S&P MidCap 400 Index | Receive | 0.43% (Federal Funds Rate + 0.10%) | | | At Maturity | | | | 04/14/22 | | | | 66 | | | | 176,439 | | | | (2,443 | ) |
BNP Paribas | S&P MidCap 400 Index | Receive | 0.38% (Federal Funds Rate + 0.05%) | | | At Maturity | | | | 04/14/22 | | | | 23 | | | | 63,076 | | | | (2,906 | ) |
| | | | | | | | | | | | | | | | | | $ | 348,765 | | | $ | (5,573 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
INVERSE MID-CAP 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 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 94,919 | | | $ | — | | | $ | — | | | $ | 94,919 | |
Repurchase Agreements | | | — | | | | 250,814 | | | | — | | | | 250,814 | |
Total Assets | | $ | 94,919 | | | $ | 250,814 | | | $ | — | | | $ | 345,733 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 5,573 | | | $ | — | | | $ | 5,573 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
INVERSE MID-CAP 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 80,483 | | | $ | 15,000 | | | $ | (45,000 | ) | | $ | 205 | | | $ | (1,097 | ) | | $ | 49,591 | | | | 2,020 | | | $ | 897 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 81,121 | | | | 15,000 | | | | (50,000 | ) | | | 120 | | | | (913 | ) | | | 45,328 | | | | 4,630 | | | | 568 | |
| | | $ | 161,604 | | | $ | 30,000 | | | $ | (95,000 | ) | | $ | 325 | | | $ | (2,010 | ) | | $ | 94,919 | | | | | | | $ | 1,465 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in affiliated issuers, at value (cost $95,671) | | $ | 94,919 | |
Repurchase agreements, at value (cost $250,814) | | | 250,814 | |
Receivables: |
Fund shares sold | | | 19,100 | |
Dividends | | | 109 | |
Interest | | | 2 | |
Total assets | | | 364,944 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 5,573 | |
Payable for: |
Swap settlement | | | 6,448 | |
Management fees | | | 220 | |
Transfer agent and administrative fees | | | 68 | |
Distribution and service fees | | | 63 | |
Portfolio accounting fees | | | 26 | |
Trustees’ fees* | | | 6 | |
Miscellaneous | | | 445 | |
Total liabilities | | | 12,849 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 352,095 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,186,252 | |
Total distributable earnings (loss) | | | (5,834,157 | ) |
Net assets | | $ | 352,095 | |
| | | | | |
A-Class: |
Net assets | | $ | 61,006 | |
Capital shares outstanding | | | 1,060 | |
Net asset value per share | | $ | 57.57 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 60.44 | |
| | | | | |
C-Class: |
Net assets | | $ | 124 | |
Capital shares outstanding | | | 2 | |
Net asset value per share | | $ | 50.06 | |
| | | | | |
H-Class: |
Net assets | | $ | 290,965 | |
Capital shares outstanding | | | 5,050 | |
Net asset value per share | | $ | 57.62 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 1,465 | |
Interest | | | 205 | |
Total investment income | | | 1,670 | |
| | | | | |
Expenses: |
Management fees | | | 5,930 | |
Distribution and service fees: |
A-Class | | | 186 | |
C-Class | | | 21 | |
H-Class | | | 1,456 | |
Transfer agent and administrative fees | | | 1,838 | |
Portfolio accounting fees | | | 659 | |
Professional fees | | | 256 | |
Trustees’ fees* | | | 92 | |
Custodian fees | | | 88 | |
Miscellaneous | | | 428 | |
Total expenses | | | 10,954 | |
Less: |
Expenses waived by Adviser | | | (155 | ) |
Net expenses | | | 10,799 | |
Net investment loss | | | (9,129 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | 325 | |
Swap agreements | | | (77,040 | ) |
Net realized loss | | | (76,715 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in affiliated issuers | | | (2,010 | ) |
Swap agreements | | | 3,114 | |
Net change in unrealized appreciation (depreciation) | | | 1,104 | |
Net realized and unrealized loss | | | (75,611 | ) |
Net decrease in net assets resulting from operations | | $ | (84,740 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (9,129 | ) | | $ | (15,298 | ) |
Net realized loss on investments | | | (76,715 | ) | | | (857,649 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,104 | | | | (23,498 | ) |
Net decrease in net assets resulting from operations | | | (84,740 | ) | | | (896,445 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (726 | ) |
C-Class | | | — | | | | (30 | ) |
H-Class | | | — | | | | (4,681 | ) |
Total distributions to shareholders | | | — | | | | (5,437 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 57,437 | | | | 231,753 | |
C-Class | | | 200 | | | | 10,000 | |
H-Class | | | 3,103,693 | | | | 6,299,520 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 726 | |
C-Class | | | — | | | | 30 | |
H-Class | | | — | | | | 4,677 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (86,400 | ) | | | (79,006 | ) |
C-Class | | | (3,081 | ) | | | (4,247 | ) |
H-Class | | | (3,516,728 | ) | | | (6,227,459 | ) |
Net increase (decrease) from capital share transactions | | | (444,879 | ) | | | 235,994 | |
Net decrease in net assets | | | (529,619 | ) | | | (665,888 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 881,714 | | | | 1,547,602 | |
End of year | | $ | 352,095 | | | $ | 881,714 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 947 | | | | 2,034 | |
C-Class | | | 4 | | | | 109 | |
H-Class | | | 52,122 | | | | 67,331 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 10 | |
H-Class | | | — | | | | 62 | |
Shares redeemed | | | | | | | | |
A-Class | | | (1,454 | ) | | | (944 | ) |
C-Class | | | (64 | ) | | | (48 | ) |
H-Class | | | (59,304 | ) | | | (66,785 | ) |
Net increase (decrease) in shares | | | (7,749 | ) | | | 1,769 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020i | | | Year Ended
March 31,
2019i | | | Year Ended
March 29,
2018i | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.60 | | | $ | 127.90 | | | $ | 109.10 | | | $ | 111.55 | | | $ | 124.57 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.75 | ) | | | (.45 | ) | | | .75 | | | | .65 | | | | (.55 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.30 | ) | | | (63.36 | ) | | | 18.85 | e | | | (3.10 | ) | | | (12.47 | ) |
Total from investment operations | | | (6.05 | ) | | | (63.81 | ) | | | 19.60 | | | | (2.45 | ) | | | (13.02 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 57.57 | | | $ | 63.60 | | | $ | 127.90 | | | $ | 109.10 | | | $ | 111.55 | |
|
Total Returnb | | | (9.48 | %) | | | (49.94 | %) | | | 18.13 | % | | | (2.20 | %) | | | (10.47 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 61 | | | $ | 100 | | | $ | 60 | | | $ | 133 | | | $ | 156 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.25 | %) | | | (1.29 | %) | | | 0.68 | % | | | 0.60 | % | | | (0.49 | %) |
Total expensesc | | | 1.66 | % | | | 1.76 | % | | | 1.77 | % | | | 1.77 | % | | | 1.68 | % |
Net expensesd | | | 1.63 | % | | | 1.73 | % | | | 1.70 | % | | | 1.75 | % | | | 1.68 | % |
Portfolio turnover rate | | | 24 | % | | | 42 | % | | | — | | | | 48 | % | | | 37 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020i | | | Year Ended
March 31,
2019i | | | Year Ended
March 29,
2018i | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.65 | | | $ | 112.07 | | | $ | 97.04 | | | $ | 99.70 | | | $ | 112.28 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.10 | ) | | | (.83 | ) | | | — | f | | | (.30 | ) | | | (1.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.49 | ) | | | (55.10 | ) | | | 15.83 | e | | | (2.36 | ) | | | (11.18 | ) |
Total from investment operations | | | (5.59 | ) | | | (55.93 | ) | | | 15.83 | | | | (2.66 | ) | | | (12.58 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 50.06 | | | $ | 55.65 | | | $ | 112.07 | | | $ | 97.04 | | | $ | 99.70 | |
|
Total Returnb | | | (10.04 | %) | | | (50.08 | %) | | | 16.78 | % | | | (2.71 | %) | | | (11.22 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | — | g | | $ | 3 | | | $ | — | g | | $ | — | g | | $ | 2 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.11 | %) | | | (1.95 | %) | | | 0.00 | %h | | | (0.33 | %) | | | (1.30 | %) |
Total expensesc | | | 2.39 | % | | | 2.49 | % | | | 2.63 | % | | | 2.47 | % | | | 2.44 | % |
Net expensesd | | | 2.39 | % | | | 2.46 | % | | | 2.63 | % | | | 2.47 | % | | | 2.44 | % |
Portfolio turnover rate | | | 24 | % | | | 42 | % | | | — | | | | 48 | % | | | 37 | % |
88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020i | | | Year Ended
March 31,
2019i | | | Year Ended
March 29,
2018i | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.65 | | | $ | 128.00 | | | $ | 109.20 | | | $ | 111.46 | | | $ | 124.52 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.84 | ) | | | (.42 | ) | | | .70 | | | | .65 | | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.19 | ) | | | (63.44 | ) | | | 18.90 | e | | | (2.91 | ) | | | (12.61 | ) |
Total from investment operations | | | (6.03 | ) | | | (63.86 | ) | | | 19.60 | | | | (2.26 | ) | | | (13.06 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.49 | ) | | | (.80 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 57.62 | | | $ | 63.65 | | | $ | 128.00 | | | $ | 109.20 | | | $ | 111.46 | |
|
Total Return | | | (9.47 | %) | | | (49.94 | %) | | | 18.11 | % | | | (2.02 | %) | | | (10.48 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 291 | | | $ | 779 | | | $ | 1,488 | | | $ | 769 | | | $ | 509 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.40 | %) | | | (1.38 | %) | | | 0.65 | % | | | 0.61 | % | | | (0.39 | %) |
Total expensesc | | | 1.66 | % | | | 1.77 | % | | | 1.78 | % | | | 1.77 | % | | | 1.68 | % |
Net expensesd | | | 1.64 | % | | | 1.75 | % | | | 1.70 | % | | | 1.75 | % | | | 1.68 | % |
Portfolio turnover rate | | | 24 | % | | | 42 | % | | | — | | | | 48 | % | | | 37 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss 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. |
f | Less than $0.01 per share. |
g | Less than $1,000 in Net Assets. |
h | Less than 0.01%. |
i | Reverse share split — 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 89 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Russell 2000® 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index. Russell 2000® 1.5x Strategy Fund H-Class returned -11.86%, while the Russell 2000 Index returned -5.79% over the same time period.
The sectors contributing the most to the return of the underlying index for the period were Energy, Real Estate, and Utilities. The sectors detracting the most were Health Care, Consumer Discretionary, and Information Technology.
The holdings contributing the most to the return of the underlying index were Avis Budget Group, Inc., Ovintiv, Inc., and Antero Resources Corp. The holdings detracting the most were Invitae Corp., BridgeBio Pharma, Inc., and Redfin Corp.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
90 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | January 23, 2001 |
H-Class | November 1, 2000 |
Cumulative Fund Performance*
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 9.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 9.0% |
Ovintiv, Inc. | 0.4% |
AMC Entertainment Holdings, Inc. — Class A | 0.3% |
Avis Budget Group, Inc. | 0.3% |
BJ’s Wholesale Club Holdings, Inc. | 0.2% |
Chesapeake Energy Corp. | 0.2% |
Tenet Healthcare Corp. | 0.2% |
Tetra Tech, Inc. | 0.2% |
Antero Resources Corp. | 0.2% |
Top Ten Total | 20.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (11.85%) | 9.83% | 12.76% |
A-Class Shares with sales charge‡ | (16.04%) | 8.77% | 12.21% |
C-Class Shares | (12.52%) | 9.01% | 11.92% |
C-Class Shares with CDSC§ | (13.01%) | 9.01% | 11.92% |
H-Class Shares | (11.86%) | 9.79% | 12.74% |
Russell 2000 Index | (5.79%) | 9.74% | 12.63% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 68.6% |
| | | | | | | | | |
Financial - 16.1% |
EastGroup Properties, Inc. REIT | | | 101 | | | $ | 20,531 | |
STAG Industrial, Inc. REIT | | | 442 | | | | 18,277 | |
SouthState Corp. | | | 193 | | | | 15,747 | |
Independence Realty Trust, Inc. REIT | | | 552 | | | | 14,595 | |
First Financial Bankshares, Inc. | | | 327 | | | | 14,427 | |
Glacier Bancorp, Inc. | | | 278 | | | | 13,978 | |
Terreno Realty Corp. REIT | | | 185 | | | | 13,699 | |
Selective Insurance Group, Inc. | | | 149 | | | | 13,315 | |
Cadence Bank | | | 452 | | | | 13,225 | |
Valley National Bancorp | | | 1,007 | | | | 13,111 | |
National Storage Affiliates Trust REIT | | | 203 | | | | 12,740 | |
Blackstone Mortgage Trust, Inc. — Class A REIT | | | 397 | | | | 12,621 | |
Ryman Hospitality Properties, Inc. REIT* | | | 136 | | | | 12,617 | |
Kite Realty Group Trust REIT | | | 546 | | | | 12,432 | |
Kinsale Capital Group, Inc. | | | 54 | | | | 12,313 | |
Innovative Industrial Properties, Inc. REIT | | | 59 | | | | 12,119 | |
Old National Bancorp | | | 737 | | | | 12,072 | |
ServisFirst Bancshares, Inc. | | | 126 | | | | 12,007 | |
United Bankshares, Inc. | | | 331 | | | | 11,545 | |
Agree Realty Corp. REIT | | | 172 | | | | 11,414 | |
Hancock Whitney Corp. | | | 217 | | | | 11,317 | |
Houlihan Lokey, Inc. | | | 128 | | | | 11,238 | |
Essent Group Ltd. | | | 271 | | | | 11,168 | |
RLI Corp. | | | 100 | | | | 11,063 | |
LXP Industrial Trust REIT | | | 700 | | | | 10,990 | |
UMB Financial Corp. | | | 111 | | | | 10,785 | |
Outfront Media, Inc. REIT | | | 366 | | | | 10,405 | |
Silvergate Capital Corp. — Class A* | | | 69 | | | | 10,389 | |
Healthcare Realty Trust, Inc. REIT | | | 370 | | | | 10,168 | |
Radian Group, Inc. | | | 452 | | | | 10,039 | |
Phillips Edison & Company, Inc. REIT | | | 285 | | | | 9,801 | |
Apple Hospitality REIT, Inc. | | | 540 | | | | 9,704 | |
Physicians Realty Trust REIT | | | 552 | | | | 9,682 | |
Walker & Dunlop, Inc. | | | 74 | | | | 9,577 | |
BankUnited, Inc. | | | 214 | | | | 9,407 | |
Community Bank System, Inc. | | | 134 | | | | 9,400 | |
Independent Bank Corp. | | | 115 | | | | 9,394 | |
Eastern Bankshares, Inc. | | | 433 | | | | 9,327 | |
United Community Banks, Inc. | | | 262 | | | | 9,118 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | | | 192 | | | | 9,107 | |
DigitalBridge Group, Inc. REIT* | | | 1,221 | | | | 8,791 | |
PotlatchDeltic Corp. REIT | | | 165 | | | | 8,700 | |
Home BancShares, Inc. | | | 384 | | | | 8,678 | |
Investors Bancorp, Inc. | | | 576 | | | | 8,600 | |
Broadstone Net Lease, Inc. REIT | | | 394 | | | | 8,581 | |
Trupanion, Inc.* | | | 96 | | | | 8,555 | |
Sabra Health Care REIT, Inc. | | | 572 | | | | 8,517 | |
Associated Banc-Corp. | | | 371 | | | | 8,444 | |
Macerich Co. REIT | | | 539 | | | | 8,430 | |
PS Business Parks, Inc. REIT | | | 50 | | | | 8,404 | |
Pacific Premier Bancorp, Inc. | | | 235 | | | | 8,307 | |
American Equity Investment Life Holding Co. | | | 207 | | | | 8,261 | |
Cathay General Bancorp | | | 182 | | | | 8,144 | |
Corporate Office Properties Trust REIT | | | 285 | | | | 8,134 | |
Enstar Group Ltd.* | | | 31 | | | | 8,096 | |
Federated Hermes, Inc. — Class B | | | 237 | | | | 8,072 | |
First Interstate BancSystem, Inc. — Class A | | | 219 | | | | 8,053 | |
Pebblebrook Hotel Trust REIT | | | 327 | | | | 8,005 | |
CVB Financial Corp. | | | 342 | | | | 7,938 | |
Equity Commonwealth REIT* | | | 272 | | | | 7,673 | |
Essential Properties Realty Trust, Inc. REIT | | | 303 | | | | 7,666 | |
WSFS Financial Corp. | | | 162 | | | | 7,552 | |
CNO Financial Group, Inc. | | | 300 | | | | 7,527 | |
Focus Financial Partners, Inc. — Class A* | | | 162 | | | | 7,410 | |
Ameris Bancorp | | | 167 | | | | 7,328 | |
Simmons First National Corp. — Class A | | | 278 | | | | 7,289 | |
SITE Centers Corp. REIT | | | 436 | | | | 7,286 | |
Texas Capital Bancshares, Inc.* | | | 127 | | | | 7,278 | |
Kennedy-Wilson Holdings, Inc. | | | 297 | | | | 7,244 | |
Moelis & Co. — Class A | | | 153 | | | | 7,183 | |
Cushman & Wakefield plc* | | | 350 | | | | 7,178 | |
Chimera Investment Corp. REIT | | | 594 | | | | 7,152 | |
Mr Cooper Group, Inc.* | | | 155 | | | | 7,079 | |
Atlantic Union Bankshares Corp. | | | 192 | | | | 7,044 | |
Uniti Group, Inc. REIT | | | 492 | | | | 6,770 | |
Independent Bank Group, Inc. | | | 95 | | | | 6,760 | |
Hamilton Lane, Inc. — Class A | | | 87 | | | | 6,724 | |
Newmark Group, Inc. — Class A | | | 420 | | | | 6,686 | |
Axos Financial, Inc.* | | | 144 | | | | 6,680 | |
Fulton Financial Corp. | | | 400 | | | | 6,648 | |
First BanCorp | | | 497 | | | | 6,521 | |
National Health Investors, Inc. REIT | | | 110 | | | | 6,491 | |
Sunstone Hotel Investors, Inc. REIT* | | | 549 | | | | 6,467 | |
Navient Corp. | | | 378 | | | | 6,441 | |
Columbia Banking System, Inc. | | | 196 | | | | 6,325 | |
Arbor Realty Trust, Inc. REIT | | | 360 | | | | 6,142 | |
Brandywine Realty Trust REIT | | | 428 | | | | 6,052 | |
First Merchants Corp. | | | 144 | | | | 5,990 | |
RLJ Lodging Trust REIT | | | 418 | | | | 5,885 | |
Retail Opportunity Investments Corp. REIT | | | 299 | | | | 5,798 | |
Artisan Partners Asset Management, Inc. — Class A | | | 147 | | | | 5,785 | |
Piper Sandler Cos. | | | 44 | | | | 5,775 | |
International Bancshares Corp. | | | 135 | | | | 5,698 | |
Flagstar Bancorp, Inc. | | | 132 | | | | 5,597 | |
Urban Edge Properties REIT | | | 292 | | | | 5,577 | |
Triumph Bancorp, Inc.* | | | 59 | | | | 5,547 | |
Xenia Hotels & Resorts, Inc. REIT* | | | 286 | | | | 5,517 | |
Washington Real Estate Investment Trust REIT | | | 214 | | | | 5,457 | |
Cohen & Steers, Inc. | | | 63 | | | | 5,411 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 311 | | | | 5,355 | |
Washington Federal, Inc. | | | 163 | | | | 5,350 | |
First Financial Bancorp | | | 232 | | | | 5,348 | |
DiamondRock Hospitality Co. REIT* | | | 528 | | | | 5,333 | |
92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Four Corners Property Trust, Inc. REIT | | | 194 | | | $ | 5,246 | |
WesBanco, Inc. | | | 151 | | | | 5,188 | |
Paramount Group, Inc. REIT | | | 470 | | | | 5,128 | |
McGrath RentCorp | | | 60 | | | | 5,099 | |
TowneBank | | | 169 | | | | 5,060 | |
NexPoint Residential Trust, Inc. REIT | | | 56 | | | | 5,057 | |
Sandy Spring Bancorp, Inc. | | | 111 | | | | 4,986 | |
Banner Corp. | | | 85 | | | | 4,975 | |
Apollo Commercial Real Estate Finance, Inc. REIT | | | 353 | | | | 4,917 | |
St. Joe Co. | | | 83 | | | | 4,917 | |
PRA Group, Inc.* | | | 108 | | | | 4,869 | |
Seacoast Banking Corporation of Florida | | | 139 | | | | 4,868 | |
Genworth Financial, Inc. — Class A* | | | 1,279 | | | | 4,835 | |
Heartland Financial USA, Inc. | | | 101 | | | | 4,831 | |
Two Harbors Investment Corp. REIT | | | 862 | | | | 4,767 | |
Trustmark Corp. | | | 156 | | | | 4,741 | |
American Assets Trust, Inc. REIT | | | 125 | | | | 4,736 | |
Park National Corp. | | | 36 | | | | 4,730 | |
Acadia Realty Trust REIT | | | 218 | | | | 4,724 | |
Renasant Corp. | | | 141 | | | | 4,716 | |
CareTrust REIT, Inc. | | | 242 | | | | 4,671 | |
Redfin Corp.* | | | 258 | | | | 4,654 | |
Hope Bancorp, Inc. | | | 289 | | | | 4,647 | |
Easterly Government Properties, Inc. REIT | | | 217 | | | | 4,587 | |
Hilltop Holdings, Inc. | | | 155 | | | | 4,557 | |
Veritex Holdings, Inc. | | | 119 | | | | 4,542 | |
Realogy Holdings Corp.* | | | 289 | | | | 4,532 | |
Bank of NT Butterfield & Son Ltd. | | | 126 | | | | 4,521 | |
Eagle Bancorp, Inc. | | | 79 | | | | 4,504 | |
MFA Financial, Inc. REIT | | | 1,114 | | | | 4,489 | |
Lakeland Financial Corp. | | | 61 | | | | 4,453 | |
Provident Financial Services, Inc. | | | 190 | | | | 4,446 | |
Tanger Factory Outlet Centers, Inc. REIT | | | 256 | | | | 4,401 | |
Horace Mann Educators Corp. | | | 105 | | | | 4,392 | |
NMI Holdings, Inc. — Class A* | | | 210 | | | | 4,330 | |
Virtus Investment Partners, Inc. | | | 18 | | | | 4,320 | |
Flywire Corp.* | | | 140 | | | | 4,281 | |
Enterprise Financial Services Corp. | | | 89 | | | | 4,211 | |
Alexander & Baldwin, Inc. REIT | | | 181 | | | | 4,197 | |
PennyMac Financial Services, Inc. | | | 78 | | | | 4,150 | |
Northwest Bancshares, Inc. | | | 307 | | | | 4,148 | |
PennyMac Mortgage Investment Trust REIT | | | 245 | | | | 4,138 | |
Stewart Information Services Corp. | | | 68 | | | | 4,121 | |
Global Net Lease, Inc. REIT | | | 261 | | | | 4,106 | |
Live Oak Bancshares, Inc. | | | 80 | | | | 4,071 | |
Meta Financial Group, Inc. | | | 73 | | | | 4,009 | |
Palomar Holdings, Inc.* | | | 62 | | | | 3,967 | |
iStar, Inc. REIT1 | | | 168 | | | | 3,933 | |
Westamerica BanCorp | | | 65 | | | | 3,932 | |
LendingClub Corp.* | | | 249 | | | | 3,929 | |
Customers Bancorp, Inc.* | | | 75 | | | | 3,910 | |
Encore Capital Group, Inc.* | | | 62 | | | | 3,889 | |
PJT Partners, Inc. — Class A | | | 61 | | | | 3,850 | |
NBT Bancorp, Inc. | | | 106 | | | | 3,830 | |
Veris Residential, Inc. REIT* | | | 220 | | | | 3,826 | |
LTC Properties, Inc. REIT | | | 98 | | | | 3,770 | |
StepStone Group, Inc. — Class A | | | 114 | | | | 3,769 | |
First Commonwealth Financial Corp. | | | 245 | | | | 3,714 | |
Bancorp, Inc.* | | | 131 | | | | 3,711 | |
Industrial Logistics Properties Trust REIT | | | 163 | | | | 3,695 | |
FB Financial Corp. | | | 83 | | | | 3,687 | |
BancFirst Corp. | | | 44 | | | | 3,661 | |
Service Properties Trust REIT | | | 414 | | | | 3,656 | |
Nelnet, Inc. — Class A | | | 43 | | | | 3,655 | |
ProAssurance Corp. | | | 135 | | | | 3,629 | |
American National Group, Inc. | | | 19 | | | | 3,593 | |
First Bancorp | | | 86 | | | | 3,592 | |
B. Riley Financial, Inc. | | | 51 | | | | 3,568 | |
Capitol Federal Financial, Inc. | | | 327 | | | | 3,558 | |
Goosehead Insurance, Inc. — Class A | | | 45 | | | | 3,536 | |
Berkshire Hills Bancorp, Inc. | | | 122 | | | | 3,534 | |
Centerspace REIT | | | 36 | | | | 3,532 | |
Empire State Realty Trust, Inc. — Class A REIT | | | 359 | | | | 3,525 | |
New York Mortgage Trust, Inc. REIT | | | 959 | | | | 3,500 | |
Enova International, Inc.* | | | 92 | | | | 3,493 | |
BGC Partners, Inc. — Class A | | | 790 | | | | 3,476 | |
LendingTree, Inc.* | | | 29 | | | | 3,470 | |
Ladder Capital Corp. — Class A REIT | | | 286 | | | | 3,395 | |
eXp World Holdings, Inc. | | | 157 | | | | 3,324 | |
OFG Bancorp | | | 123 | | | | 3,277 | |
Safety Insurance Group, Inc. | | | 36 | | | | 3,271 | |
First Busey Corp. | | | 129 | | | | 3,269 | |
Preferred Apartment Communities, Inc. — Class A REIT | | | 131 | | | | 3,267 | |
Argo Group International Holdings Ltd. | | | 79 | | | | 3,261 | |
BRP Group, Inc. — Class A* | | | 119 | | | | 3,193 | |
Southside Bancshares, Inc. | | | 78 | | | | 3,185 | |
Stock Yards Bancorp, Inc. | | | 60 | | | | 3,174 | |
Marcus & Millichap, Inc. | | | 60 | | | | 3,161 | |
StoneX Group, Inc.* | | | 42 | | | | 3,118 | |
Office Properties Income Trust REIT | | | 120 | | | | 3,088 | |
OceanFirst Financial Corp. | | | 152 | | | | 3,055 | |
Dime Community Bancshares, Inc. | | | 88 | | | | 3,042 | |
Brookline Bancorp, Inc. | | | 192 | | | | 3,037 | |
First Foundation, Inc. | | | 125 | | | | 3,036 | |
Redwood Trust, Inc. REIT | | | 287 | | | | 3,022 | |
Employers Holdings, Inc. | | | 73 | | | | 2,994 | |
City Holding Co. | | | 38 | | | | 2,991 | |
ConnectOne Bancorp, Inc. | | | 93 | | | | 2,977 | |
Getty Realty Corp. REIT | | | 102 | | | | 2,919 | |
Nicolet Bankshares, Inc.* | | | 31 | | | | 2,901 | |
National Bank Holdings Corp. — Class A | | | 72 | | | | 2,900 | |
RPT Realty REIT | | | 210 | | | | 2,892 | |
Safehold, Inc. REIT | | | 52 | | | | 2,883 | |
S&T Bancorp, Inc. | | | 97 | | | | 2,869 | |
Gladstone Land Corp. REIT | | | 78 | | | | 2,841 | |
Premier Financial Corp. | | | 93 | | | | 2,821 | |
Tompkins Financial Corp. | | | 36 | | | | 2,818 | |
Broadmark Realty Capital, Inc. REIT | | | 323 | | | | 2,794 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Apartment Investment and Management Co. — Class A REIT* | | | 379 | | | $ | 2,774 | |
TriCo Bancshares | | | 69 | | | | 2,762 | |
Banc of California, Inc. | | | 137 | | | | 2,652 | |
UMH Properties, Inc. REIT | | | 106 | | | | 2,607 | |
Preferred Bank/Los Angeles CA | | | 35 | | | | 2,593 | |
Summit Hotel Properties, Inc. REIT* | | | 260 | | | | 2,590 | |
Radius Global Infrastructure, Inc. — Class A* | | | 180 | | | | 2,570 | |
Lakeland Bancorp, Inc. | | | 153 | | | | 2,555 | |
Metropolitan Bank Holding Corp.* | | | 25 | | | | 2,544 | |
Community Healthcare Trust, Inc. REIT | | | 60 | | | | 2,533 | |
Farmer Mac — Class C | | | 23 | | | | 2,495 | |
Necessity Retail REIT, Inc. | | | 311 | | | | 2,460 | |
Global Medical REIT, Inc. | | | 150 | | | | 2,448 | |
TriState Capital Holdings, Inc.* | | | 73 | | | | 2,426 | |
HomeStreet, Inc. | | | 51 | | | | 2,416 | |
Ellington Financial, Inc. REIT | | | 135 | | | | 2,396 | |
Blucora, Inc.* | | | 122 | | | | 2,385 | |
AMERISAFE, Inc. | | | 48 | | | | 2,384 | |
Origin Bancorp, Inc. | | | 56 | | | | 2,368 | |
German American Bancorp, Inc. | | | 62 | | | | 2,355 | |
Heritage Financial Corp. | | | 91 | | | | 2,280 | |
James River Group Holdings Ltd. | | | 92 | | | | 2,276 | |
Ready Capital Corp. REIT | | | 150 | | | | 2,259 | |
Washington Trust Bancorp, Inc. | | | 43 | | | | 2,257 | |
NETSTREIT Corp. REIT | | | 100 | | | | 2,244 | |
QCR Holdings, Inc. | | | 39 | | | | 2,207 | |
Armada Hoffler Properties, Inc. REIT | | | 151 | | | | 2,205 | |
Amerant Bancorp, Inc. | | | 68 | | | | 2,148 | |
Allegiance Bancshares, Inc. | | | 48 | | | | 2,145 | |
Columbia Financial, Inc.* | | | 99 | | | | 2,130 | |
Plymouth Industrial REIT, Inc. | | | 78 | | | | 2,114 | |
Kearny Financial Corp. | | | 164 | | | | 2,112 | |
World Acceptance Corp.* | | | 11 | | | | 2,110 | |
Gladstone Commercial Corp. REIT | | | 93 | | | | 2,048 | |
Peoples Bancorp, Inc. | | | 64 | | | | 2,004 | |
Horizon Bancorp, Inc. | | | 107 | | | | 1,998 | |
1st Source Corp. | | | 43 | | | | 1,989 | |
WisdomTree Investments, Inc. | | | 338 | | | | 1,984 | |
Brightsphere Investment Group, Inc. | | | 81 | | | | 1,964 | |
GEO Group, Inc. REIT* | | | 297 | | | | 1,963 | |
Central Pacific Financial Corp. | | | 70 | | | | 1,953 | |
BrightSpire Capital, Inc. REIT | | | 211 | | | | 1,952 | |
Univest Financial Corp. | | | 72 | | | | 1,927 | |
Universal Health Realty Income Trust REIT | | | 33 | | | | 1,926 | |
Diversified Healthcare Trust REIT | | | 598 | | | | 1,914 | |
Hanmi Financial Corp. | | | 77 | | | | 1,895 | |
City Office REIT, Inc. | | | 107 | | | | 1,890 | |
ARMOUR Residential REIT, Inc.1 | | | 223 | | | | 1,873 | |
MBIA, Inc.* | | | 120 | | | | 1,847 | |
CrossFirst Bankshares, Inc.* | | | 117 | | | | 1,844 | |
KKR Real Estate Finance Trust, Inc. REIT | | | 89 | | | | 1,834 | |
Invesco Mortgage Capital, Inc. REIT | | | 786 | | | | 1,792 | |
Cowen, Inc. — Class A | | | 66 | | | | 1,789 | |
Camden National Corp. | | | 38 | | | | 1,788 | |
TPG RE Finance Trust, Inc. REIT | | | 150 | | | | 1,771 | |
First Bancshares, Inc. | | | 51 | | | | 1,717 | |
Ares Commercial Real Estate Corp. REIT | | | 110 | | | | 1,707 | |
International Money Express, Inc.* | | | 81 | | | | 1,669 | |
SiriusPoint Ltd.* | | | 223 | | | | 1,668 | |
Northfield Bancorp, Inc. | | | 116 | | | | 1,666 | |
Heritage Commerce Corp. | | | 148 | | | | 1,665 | |
Chatham Lodging Trust REIT* | | | 120 | | | | 1,655 | |
HarborOne Bancorp, Inc. | | | 118 | | | | 1,654 | |
Byline Bancorp, Inc. | | | 62 | | | | 1,654 | |
Flushing Financial Corp. | | | 74 | | | | 1,654 | |
United Fire Group, Inc. | | | 53 | | | | 1,647 | |
First Mid Bancshares, Inc. | | | 42 | | | | 1,617 | |
Midland States Bancorp, Inc. | | | 56 | | | | 1,616 | |
Community Trust Bancorp, Inc. | | | 39 | | | | 1,607 | |
Great Southern Bancorp, Inc. | | | 27 | | | | 1,593 | |
Saul Centers, Inc. REIT | | | 30 | | | | 1,581 | |
Granite Point Mortgage Trust, Inc. REIT | | | 142 | | | | 1,579 | |
Peapack-Gladstone Financial Corp. | | | 45 | | | | 1,564 | |
Franklin Street Properties Corp. REIT | | | 265 | | | | 1,563 | |
Whitestone REIT — Class B | | | 116 | | | | 1,537 | |
TrustCo Bank Corporation NY | | | 47 | | | | 1,501 | |
Diamond Hill Investment Group, Inc. | | | 8 | | | | 1,498 | |
Bank of Marin Bancorp | | | 42 | | | | 1,473 | |
Dynex Capital, Inc. REIT1 | | | 90 | | | | 1,458 | |
Cambridge Bancorp | | | 17 | | | | 1,445 | |
CBTX, Inc. | | | 46 | | | | 1,426 | |
Urstadt Biddle Properties, Inc. — Class A REIT | | | 75 | | | | 1,411 | |
Mercantile Bank Corp. | | | 39 | | | | 1,381 | |
Hingham Institution For Savings The | | | 4 | | | | 1,373 | |
Douglas Elliman, Inc. | | | 180 | | | | 1,314 | |
Farmers National Banc Corp. | | | 77 | | | | 1,314 | |
First Financial Corp. | | | 30 | | | | 1,298 | |
Alexander’s, Inc. REIT | | | 5 | | | | 1,281 | |
RE/MAX Holdings, Inc. — Class A | | | 46 | | | | 1,276 | |
National Western Life Group, Inc. — Class A | | | 6 | | | | 1,262 | |
Franklin BSP Realty Trust, Inc. REIT | | | 90 | | | | 1,258 | |
One Liberty Properties, Inc. REIT | | | 40 | | | | 1,232 | |
MidWestOne Financial Group, Inc. | | | 37 | | | | 1,225 | |
Bank First Corp. | | | 17 | | | | 1,224 | |
First Community Bankshares, Inc. | | | 43 | | | | 1,213 | |
Seritage Growth Properties REIT* | | | 94 | | | | 1,190 | |
Ambac Financial Group, Inc.* | | | 114 | | | | 1,186 | |
RMR Group, Inc. — Class A | | | 38 | | | | 1,182 | |
Financial Institutions, Inc. | | | 39 | | | | 1,175 | |
Business First Bancshares, Inc. | | | 48 | | | | 1,168 | |
Metrocity Bankshares, Inc. | | | 49 | | | | 1,151 | |
Independent Bank Corp. | | | 52 | | | | 1,144 | |
Arrow Financial Corp. | | | 35 | | | | 1,135 | |
Carter Bankshares, Inc.* | | | 65 | | | | 1,129 | |
First of Long Island Corp. | | | 58 | | | | 1,129 | |
HomeTrust Bancshares, Inc. | | | 38 | | | | 1,122 | |
Orchid Island Capital, Inc. REIT1 | | | 340 | | | | 1,105 | |
Equity Bancshares, Inc. — Class A | | | 34 | | | | 1,099 | |
94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Coastal Financial Corp.* | | | 24 | | | $ | 1,098 | |
West BanCorp, Inc. | | | 40 | | | | 1,088 | |
MVB Financial Corp. | | | 26 | | | | 1,079 | |
GCM Grosvenor, Inc. — Class A | | | 111 | | | | 1,078 | |
Capstar Financial Holdings, Inc. | | | 51 | | | | 1,075 | |
Waterstone Financial, Inc. | | | 55 | | | | 1,064 | |
Bar Harbor Bankshares | | | 37 | | | | 1,059 | |
CNB Financial Corp. | | | 40 | | | | 1,053 | |
Alerus Financial Corp. | | | 38 | | | | 1,050 | |
Republic Bancorp, Inc. — Class A | | | 23 | | | | 1,034 | |
First Internet Bancorp | | | 24 | | | | 1,032 | |
AssetMark Financial Holdings, Inc.* | | | 46 | | | | 1,024 | |
Indus Realty Trust, Inc. REIT | | | 14 | | | | 1,023 | |
HCI Group, Inc. | | | 15 | | | | 1,023 | |
Old Second Bancorp, Inc. | | | 70 | | | | 1,016 | |
Merchants Bancorp | | | 37 | | | | 1,013 | |
Oppenheimer Holdings, Inc. — Class A | | | 23 | | | | 1,002 | |
CatchMark Timber Trust, Inc. — Class A REIT | | | 122 | | | | 1,000 | |
Southern Missouri Bancorp, Inc. | | | 20 | | | | 999 | |
CTO Realty Growth, Inc. REIT | | | 15 | | | | 995 | |
Farmland Partners, Inc. REIT | | | 72 | | | | 990 | |
FRP Holdings, Inc.* | | | 17 | | | | 983 | |
American National Bankshares, Inc. | | | 26 | | | | 980 | |
Regional Management Corp. | | | 20 | | | | 971 | |
Southern First Bancshares, Inc.* | | | 19 | | | | 966 | |
Mid Penn Bancorp, Inc. | | | 36 | | | | 965 | |
Enterprise Bancorp, Inc. | | | 24 | | | | 963 | |
Citizens & Northern Corp. | | | 39 | | | | 951 | |
Blue Foundry Bancorp* | | | 70 | | | | 948 | |
Selectquote, Inc.* | | | 337 | | | | 940 | |
Universal Insurance Holdings, Inc. | | | 68 | | | | 917 | |
Peoples Financial Services Corp. | | | 18 | | | | 909 | |
Sierra Bancorp | | | 36 | | | | 899 | |
Capital City Bank Group, Inc. | | | 34 | | | | 896 | |
SmartFinancial, Inc. | | | 35 | | | | 895 | |
Civista Bancshares, Inc. | | | 37 | | | | 892 | |
Bridgewater Bancshares, Inc.* | | | 53 | | | | 884 | |
Braemar Hotels & Resorts, Inc. REIT | | | 143 | | | | 884 | |
Five Star Bancorp | | | 31 | | | | 877 | |
Spirit of Texas Bancshares, Inc. | | | 32 | | | | 841 | |
Primis Financial Corp. | | | 60 | | | | 839 | |
Enact Holdings, Inc. | | | 37 | | | | 823 | |
RBB Bancorp | | | 35 | | | | 822 | |
Home Bancorp, Inc. | | | 20 | | | | 816 | |
First Bancorp, Inc. | | | 26 | | | | 782 | |
Sculptor Capital Management, Inc.* | | | 56 | | | | 780 | |
eHealth, Inc.* | | | 62 | | | | 769 | |
Oportun Financial Corp.* | | | 53 | | | | 761 | |
Tiptree, Inc. — Class A | | | 59 | | | | 758 | |
EZCORP, Inc. — Class A* | | | 124 | | | | 749 | |
Hersha Hospitality Trust REIT* | | | 82 | | | | 745 | |
South Plains Financial, Inc. | | | 27 | | | | 718 | |
Summit Financial Group, Inc. | | | 28 | | | | 717 | |
Guaranty Bancshares, Inc. | | | 20 | | | | 700 | |
BRT Apartments Corp. REIT | | | 29 | | | | 695 | |
Curo Group Holdings Corp. | | | 53 | | | | 692 | |
PCSB Financial Corp. | | | 35 | | | | 669 | |
Blue Ridge Bankshares, Inc. | | | 44 | | | | 667 | |
Northrim BanCorp, Inc. | | | 15 | | | | 654 | |
Great Ajax Corp. REIT | | | 55 | | | | 645 | |
Red River Bancshares, Inc. | | | 12 | | | | 635 | |
Atlanticus Holdings Corp.* | | | 12 | | | | 622 | |
Orrstown Financial Services, Inc. | | | 27 | | | | 619 | |
Provident Bancorp, Inc. | | | 38 | | | | 616 | |
Amalgamated Financial Corp. | | | 34 | | | | 611 | |
Investors Title Co. | | | 3 | | | | 610 | |
Macatawa Bank Corp. | | | 66 | | | | 595 | |
AFC Gamma, Inc. REIT | | | 31 | | | | 593 | |
Greenhill & Company, Inc. | | | 38 | | | | 588 | |
Republic First Bancorp, Inc.* | | | 112 | | | | 578 | |
FS Bancorp, Inc. | | | 18 | | | | 558 | |
First Bank/Hamilton NJ | | | 39 | | | | 555 | |
Luther Burbank Corp. | | | 40 | | | | 532 | |
Citizens, Inc.* | | | 125 | | | | 530 | |
Postal Realty Trust, Inc. — Class A REIT | | | 31 | | | | 521 | |
Ocwen Financial Corp.* | | | 21 | | | | 499 | |
Donegal Group, Inc. — Class A | | | 37 | | | | 496 | |
Capital Bancorp, Inc. | | | 21 | | | | 480 | |
Greenlight Capital Re Ltd. — Class A* | | | 66 | | | | 467 | |
Fidelity D&D Bancorp, Inc. | | | 10 | | | | 464 | |
Heritage Insurance Holdings, Inc. | | | 65 | | | | 464 | |
HBT Financial, Inc. | | | 25 | | | | 454 | |
Ashford Hospitality Trust, Inc. REIT* | | | 43 | | | | 439 | |
Legacy Housing Corp.* | | | 20 | | | | 429 | |
Maiden Holdings Ltd.* | | | 175 | | | | 422 | |
NI Holdings, Inc.* | | | 21 | | | | 356 | |
Pzena Investment Management, Inc. — Class A | | | 43 | | | | 345 | |
MetroMile, Inc.* | | | 241 | | | | 318 | |
Crawford & Co. — Class A | | | 41 | | | | 310 | |
Pioneer Bancorp, Inc.* | | | 29 | | | | 305 | |
Angel Oak Mortgage, Inc. REIT | | | 18 | | | | 295 | |
GAMCO Investors, Inc. — Class A | | | 13 | | | | 287 | |
Clipper Realty, Inc. REIT | | | 31 | | | | 281 | |
Velocity Financial, Inc.* | | | 22 | | | | 241 | |
Third Coast Bancshares, Inc.* | | | 9 | | | | 208 | |
Trean Insurance Group, Inc.* | | | 44 | | | | 206 | |
Finance of America Companies, Inc. — Class A* | | | 60 | | | | 182 | |
United Insurance Holdings Corp. | | | 51 | | | | 169 | |
Associated Capital Group, Inc. — Class A | | | 4 | | | | 168 | |
Fathom Holdings, Inc.* | | | 15 | | | | 160 | |
Retail Value, Inc. REIT | | | 44 | | | | 135 | |
Stronghold Digital Mining, Inc. — Class A* | | | 18 | | | | 105 | |
Rafael Holdings, Inc. — Class B* | | | 25 | | | | 63 | |
Home Point Capital, Inc. | | | 18 | | | | 56 | |
Total Financial | | | | | | | 1,605,486 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.0% |
Avis Budget Group, Inc.* | | | 103 | | | | 27,120 | |
Tenet Healthcare Corp.* | | | 265 | | | | 22,779 | |
WillScot Mobile Mini Holdings Corp.* | | | 521 | | | | 20,387 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Performance Food Group Co.* | | | 381 | | | $ | 19,397 | |
Shockwave Medical, Inc.* | | | 85 | | | | 17,626 | |
Inspire Medical Systems, Inc.* | | | 67 | | | | 17,198 | |
Biohaven Pharmaceutical Holding Company Ltd.* | | | 140 | | | | 16,600 | |
ASGN, Inc.* | | | 127 | | | | 14,822 | |
Omnicell, Inc.* | | | 110 | | | | 14,244 | |
Halozyme Therapeutics, Inc.* | | | 347 | | | | 13,838 | |
HealthEquity, Inc.* | | | 205 | | | | 13,825 | |
LHC Group, Inc.* | | | 77 | | | | 12,982 | |
Intellia Therapeutics, Inc.* | | | 175 | | | | 12,717 | |
AMN Healthcare Services, Inc.* | | | 118 | | | | 12,311 | |
Intra-Cellular Therapies, Inc.* | | | 198 | | | | 12,116 | |
Medpace Holdings, Inc.* | | | 73 | | | | 11,942 | |
Ensign Group, Inc. | | | 132 | | | | 11,881 | |
Helen of Troy Ltd.* | | | 60 | | | | 11,750 | |
Triton International Ltd. | | | 167 | | | | 11,720 | |
Arrowhead Pharmaceuticals, Inc.* | | | 254 | | | | 11,681 | |
iRhythm Technologies, Inc.* | | | 74 | | | | 11,653 | |
Option Care Health, Inc.* | | | 398 | | | | 11,367 | |
LivaNova plc* | | | 134 | | | | 10,965 | |
CONMED Corp. | | | 73 | | | | 10,844 | |
API Group Corp.* | | | 506 | | | | 10,641 | |
Alkermes plc* | | | 404 | | | | 10,629 | |
Herc Holdings, Inc. | | | 63 | | | | 10,527 | |
TriNet Group, Inc.* | | | 102 | | | | 10,033 | |
Apellis Pharmaceuticals, Inc.* | | | 196 | | | | 9,959 | |
Sanderson Farms, Inc. | | | 51 | | | | 9,562 | |
STAAR Surgical Co.* | | | 119 | | | | 9,509 | |
Blueprint Medicines Corp.* | | | 147 | | | | 9,390 | |
Lantheus Holdings, Inc.* | | | 169 | | | | 9,347 | |
Insperity, Inc. | | | 91 | | | | 9,138 | |
Sprouts Farmers Market, Inc.* | | | 282 | | | | 9,018 | |
Korn Ferry | | | 135 | | | | 8,767 | |
Merit Medical Systems, Inc.* | | | 129 | | | | 8,581 | |
Pacira BioSciences, Inc.* | | | 111 | | | | 8,472 | |
Neogen Corp.* | | | 272 | | | | 8,388 | |
Progyny, Inc.* | | | 161 | | | | 8,275 | |
Brink’s Co. | | | 120 | | | | 8,160 | |
Simply Good Foods Co.* | | | 213 | | | | 8,083 | |
Haemonetics Corp.* | | | 127 | | | | 8,029 | |
R1 RCM, Inc.* | | | 300 | | | | 8,028 | |
Owens & Minor, Inc. | | | 182 | | | | 8,012 | |
Arvinas, Inc.* | | | 118 | | | | 7,941 | |
Fate Therapeutics, Inc.* | | | 203 | | | | 7,870 | |
Alarm.com Holdings, Inc.* | | | 118 | | | | 7,842 | |
Inari Medical, Inc.* | | | 86 | | | | 7,795 | |
ABM Industries, Inc. | | | 169 | | | | 7,781 | |
Hostess Brands, Inc.* | | | 346 | | | | 7,591 | |
Celsius Holdings, Inc.* | | | 135 | | | | 7,449 | |
Beam Therapeutics, Inc.* | | | 129 | | | | 7,392 | |
NuVasive, Inc.* | | | 130 | | | | 7,371 | |
AtriCure, Inc.* | | | 112 | | | | 7,355 | |
Denali Therapeutics, Inc.* | | | 228 | | | | 7,335 | |
BioCryst Pharmaceuticals, Inc.* | | | 451 | | | | 7,333 | |
Cytokinetics, Inc.* | | | 199 | | | | 7,325 | |
ACADIA Pharmaceuticals, Inc.* | | | 302 | | | | 7,314 | |
Axonics, Inc.* | | | 115 | | | | 7,199 | |
Lancaster Colony Corp. | | | 48 | | | | 7,159 | |
Karuna Therapeutics, Inc.* | | | 56 | | | | 7,100 | |
Patterson Companies, Inc. | | | 215 | | | | 6,960 | |
Insmed, Inc.* | | | 296 | | | | 6,956 | |
Twist Bioscience Corp.* | | | 138 | | | | 6,814 | |
Marathon Digital Holdings, Inc.*,1 | | | 239 | | | | 6,680 | |
Select Medical Holdings Corp. | | | 277 | | | | 6,645 | |
Prestige Consumer Healthcare, Inc.* | | | 125 | | | | 6,618 | |
Integer Holdings Corp.* | | | 82 | | | | 6,607 | |
Glaukos Corp.* | | | 114 | | | | 6,591 | |
BellRing Brands, Inc.* | | | 284 | | | | 6,555 | |
PTC Therapeutics, Inc.* | | | 174 | | | | 6,492 | |
Nevro Corp.* | | | 87 | | | | 6,293 | |
Amicus Therapeutics, Inc.* | | | 663 | | | | 6,279 | |
WD-40 Co. | | | 34 | | | | 6,230 | |
EVERTEC, Inc. | | | 152 | | | | 6,221 | |
LiveRamp Holdings, Inc.* | | | 165 | | | | 6,169 | |
Graham Holdings Co. — Class B | | | 10 | | | | 6,115 | |
Coca-Cola Consolidated, Inc. | | | 12 | | | | 5,962 | |
United Natural Foods, Inc.* | | | 140 | | | | 5,789 | |
J & J Snack Foods Corp. | | | 37 | | | | 5,739 | |
John Wiley & Sons, Inc. — Class A | | | 108 | | | | 5,727 | |
Riot Blockchain, Inc.*,1 | | | 269 | | | | 5,695 | |
Cal-Maine Foods, Inc. | | | 103 | | | | 5,688 | |
Ortho Clinical Diagnostics Holdings plc* | | | 302 | | | | 5,635 | |
Primo Water Corp. | | | 395 | | | | 5,629 | |
Global Blood Therapeutics, Inc.* | | | 155 | | | | 5,369 | |
Relay Therapeutics, Inc.* | | | 175 | | | | 5,238 | |
CBIZ, Inc.* | | | 122 | | | | 5,120 | |
Emergent BioSolutions, Inc.* | | | 123 | | | | 5,050 | |
Myriad Genetics, Inc.* | | | 199 | | | | 5,015 | |
Edgewell Personal Care Co. | | | 136 | | | | 4,987 | |
Medifast, Inc. | | | 29 | | | | 4,953 | |
Corcept Therapeutics, Inc.* | | | 218 | | | | 4,909 | |
IVERIC bio, Inc.* | | | 288 | | | | 4,847 | |
CareDx, Inc.* | | | 127 | | | | 4,698 | |
Surgery Partners, Inc.* | | | 85 | | | | 4,679 | |
Veracyte, Inc.* | | | 169 | | | | 4,659 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 368 | | | | 4,629 | |
Textainer Group Holdings Ltd. | | | 118 | | | | 4,492 | |
MEDNAX, Inc.* | | | 191 | | | | 4,485 | |
Vericel Corp.* | | | 117 | | | | 4,472 | |
Pacific Biosciences of California, Inc.* | | | 490 | | | | 4,459 | |
Covetrus, Inc.* | | | 260 | | | | 4,365 | |
Vector Group Ltd. | | | 361 | | | | 4,346 | |
ICF International, Inc. | | | 46 | | | | 4,330 | |
B&G Foods, Inc.1 | | | 160 | | | | 4,317 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 38 | | | | 4,275 | |
Coursera, Inc.* | | | 183 | | | | 4,216 | |
Zentalis Pharmaceuticals, Inc.* | | | 91 | | | | 4,199 | |
TreeHouse Foods, Inc.* | | | 130 | | | | 4,194 | |
Central Garden & Pet Co. — Class A* | | | 102 | | | | 4,160 | |
Rent-A-Center, Inc. | | | 165 | | | | 4,156 | |
96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
SpringWorks Therapeutics, Inc.* | | | 73 | | | $ | 4,120 | |
PROG Holdings, Inc.* | | | 141 | | | | 4,057 | |
Avanos Medical, Inc.* | | | 121 | | | | 4,053 | |
Inter Parfums, Inc. | | | 46 | | | | 4,050 | |
Strategic Education, Inc. | | | 61 | | | | 4,049 | |
Invitae Corp.* | | | 506 | | | | 4,033 | |
Andersons, Inc. | | | 80 | | | | 4,021 | |
Supernus Pharmaceuticals, Inc.* | | | 123 | | | | 3,975 | |
NanoString Technologies, Inc.* | | | 114 | | | | 3,961 | |
Agios Pharmaceuticals, Inc.* | | | 136 | | | | 3,959 | |
Celldex Therapeutics, Inc.* | | | 115 | | | | 3,917 | |
Vir Biotechnology, Inc.* | | | 151 | | | | 3,884 | |
Multiplan Corp.* | | | 815 | | | | 3,814 | |
Travere Therapeutics, Inc.* | | | 148 | | | | 3,814 | |
REVOLUTION Medicines, Inc.* | | | 149 | | | | 3,801 | |
Beauty Health Co.* | | | 225 | | | | 3,798 | |
Xencor, Inc.* | | | 142 | | | | 3,789 | |
Stride, Inc.* | | | 104 | | | | 3,778 | |
Kforce, Inc. | | | 51 | | | | 3,773 | |
Community Health Systems, Inc.* | | | 313 | | | | 3,715 | |
CorVel Corp.* | | | 22 | | | | 3,706 | |
Adtalem Global Education, Inc.* | | | 124 | | | | 3,684 | |
Green Dot Corp. — Class A* | | | 134 | | | | 3,682 | |
Monro, Inc. | | | 83 | | | | 3,680 | |
Kymera Therapeutics, Inc.* | | | 86 | | | | 3,640 | |
Addus HomeCare Corp.* | | | 39 | | | | 3,638 | |
Arcus Biosciences, Inc.* | | | 115 | | | | 3,629 | |
ModivCare, Inc.* | | | 31 | | | | 3,577 | |
Cerevel Therapeutics Holdings, Inc.* | | | 102 | | | | 3,571 | |
Cassava Sciences, Inc.*,1 | | | 96 | | | | 3,565 | |
Silk Road Medical, Inc.* | | | 86 | | | | 3,551 | |
Universal Corp. | | | 61 | | | | 3,542 | |
Tivity Health, Inc.* | | | 110 | | | | 3,539 | |
NeoGenomics, Inc.* | | | 286 | | | | 3,475 | |
OPKO Health, Inc.* | | | 1,008 | | | | 3,468 | |
Heska Corp.* | | | 25 | | | | 3,457 | |
Revance Therapeutics, Inc.* | | | 176 | | | | 3,432 | |
Enanta Pharmaceuticals, Inc.* | | | 48 | | | | 3,417 | |
ChemoCentryx, Inc.* | | | 136 | | | | 3,410 | |
CoreCivic, Inc.* | | | 303 | | | | 3,385 | |
Amphastar Pharmaceuticals, Inc.* | | | 93 | | | | 3,339 | |
Prothena Corporation plc* | | | 91 | | | | 3,328 | |
Krystal Biotech, Inc.* | | | 50 | | | | 3,327 | |
REGENXBIO, Inc.* | | | 99 | | | | 3,286 | |
Brookdale Senior Living, Inc. — Class A* | | | 466 | | | | 3,285 | |
Editas Medicine, Inc.* | | | 171 | | | | 3,252 | |
Fulgent Genetics, Inc.* | | | 52 | | | | 3,245 | |
Deluxe Corp. | | | 106 | | | | 3,206 | |
Repay Holdings Corp.* | | | 217 | | | | 3,205 | |
US Physical Therapy, Inc. | | | 32 | | | | 3,182 | |
MGP Ingredients, Inc. | | | 37 | | | | 3,167 | |
Krispy Kreme, Inc. | | | 213 | | | | 3,163 | |
elf Beauty, Inc.* | | | 121 | | | | 3,126 | |
Ingles Markets, Inc. — Class A | | | 35 | | | | 3,117 | |
Turning Point Therapeutics, Inc.* | | | 115 | | | | 3,088 | |
TG Therapeutics, Inc.* | | | 324 | | | | 3,081 | |
Avid Bioservices, Inc.* | | | 151 | | | | 3,076 | |
Cutera, Inc.* | | | 44 | | | | 3,036 | |
SpartanNash Co. | | | 90 | | | | 2,969 | |
Laureate Education, Inc. — Class A | | | 249 | | | | 2,951 | |
Weis Markets, Inc. | | | 41 | | | | 2,928 | |
Dynavax Technologies Corp.*,1 | | | 270 | | | | 2,927 | |
Axsome Therapeutics, Inc.* | | | 70 | | | | 2,897 | |
AdaptHealth Corp.* | | | 179 | | | | 2,869 | |
Madrigal Pharmaceuticals, Inc.* | | | 29 | | | | 2,846 | |
Prometheus Biosciences, Inc.* | | | 75 | | | | 2,832 | |
Harmony Biosciences Holdings, Inc.* | | | 58 | | | | 2,822 | |
Cimpress plc* | | | 44 | | | | 2,798 | |
First Advantage Corp.* | | | 138 | | | | 2,786 | |
Meridian Bioscience, Inc.* | | | 107 | | | | 2,778 | |
Evo Payments, Inc. — Class A* | | | 119 | | | | 2,748 | |
Bridgebio Pharma, Inc.* | | | 266 | | | | 2,700 | |
Protagonist Therapeutics, Inc.* | | | 112 | | | | 2,652 | |
Cytek Biosciences, Inc.* | | | 244 | | | | 2,630 | |
Huron Consulting Group, Inc.* | | | 57 | | | | 2,611 | |
FibroGen, Inc.* | | | 216 | | | | 2,596 | |
Chefs’ Warehouse, Inc.* | | | 79 | | | | 2,575 | |
National Beverage Corp. | | | 59 | | | | 2,566 | |
Kura Oncology, Inc.* | | | 159 | | | | 2,557 | |
RadNet, Inc.* | | | 114 | | | | 2,550 | |
Crinetics Pharmaceuticals, Inc.* | | | 116 | | | | 2,546 | |
TrueBlue, Inc.* | | | 88 | | | | 2,542 | |
Castle Biosciences, Inc.* | | | 55 | | | | 2,467 | |
Vaxcyte, Inc.* | | | 102 | | | | 2,463 | |
2U, Inc.* | | | 182 | | | | 2,417 | |
USANA Health Sciences, Inc.* | | | 30 | | | | 2,384 | |
ImmunoGen, Inc.* | | | 498 | | | | 2,370 | |
MoneyGram International, Inc.* | | | 224 | | | | 2,365 | |
C4 Therapeutics, Inc.* | | | 97 | | | | 2,353 | |
Intersect ENT, Inc.* | | | 84 | | | | 2,353 | |
Cerus Corp.* | | | 424 | | | | 2,328 | |
MannKind Corp.* | | | 621 | | | | 2,285 | |
Reata Pharmaceuticals, Inc. — Class A* | | | 69 | | | | 2,260 | |
Quanterix Corp.* | | | 77 | | | | 2,248 | |
Cardiovascular Systems, Inc.* | | | 99 | | | | 2,237 | |
Accolade, Inc.* | | | 126 | | | | 2,213 | |
Natus Medical, Inc.* | | | 84 | | | | 2,208 | |
Aclaris Therapeutics, Inc.* | | | 128 | | | | 2,207 | |
Utz Brands, Inc. | | | 148 | | | | 2,188 | |
Carriage Services, Inc. — Class A | | | 41 | | | | 2,187 | |
LeMaitre Vascular, Inc. | | | 47 | | | | 2,184 | |
National Healthcare Corp. | | | 31 | | | | 2,177 | |
Fresh Del Monte Produce, Inc. | | | 84 | | | | 2,176 | |
Senseonics Holdings, Inc.* | | | 1,091 | | | | 2,149 | |
Atrion Corp. | | | 3 | | | | 2,139 | |
Morphic Holding, Inc.* | | | 53 | | | | 2,128 | |
Keros Therapeutics, Inc.* | | | 39 | | | | 2,121 | |
Innoviva, Inc.* | | | 109 | | | | 2,109 | |
Coherus Biosciences, Inc.* | | | 163 | | | | 2,104 | |
Nuvation Bio, Inc.* | | | 398 | | | | 2,093 | |
Alector, Inc.* | | | 146 | | | | 2,081 | |
Verve Therapeutics, Inc.* | | | 91 | | | | 2,077 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Artivion, Inc.* | | | 97 | | | $ | 2,074 | |
Recursion Pharmaceuticals, Inc. — Class A* | | | 289 | | | | 2,069 | |
Anavex Life Sciences Corp.*,1 | | | 168 | | | | 2,068 | |
Varex Imaging Corp.* | | | 97 | | | | 2,065 | |
Alphatec Holdings, Inc.* | | | 177 | | | | 2,035 | |
Atara Biotherapeutics, Inc.* | | | 218 | | | | 2,025 | |
AngioDynamics, Inc.* | | | 94 | | | | 2,025 | |
Perdoceo Education Corp.* | | | 176 | | | | 2,021 | |
Catalyst Pharmaceuticals, Inc.* | | | 243 | | | | 2,015 | |
Syndax Pharmaceuticals, Inc.* | | | 113 | | | | 1,964 | |
Cross Country Healthcare, Inc.* | | | 90 | | | | 1,950 | |
American Well Corp. — Class A* | | | 462 | | | | 1,945 | |
John B Sanfilippo & Son, Inc. | | | 23 | | | | 1,919 | |
Kelly Services, Inc. — Class A | | | 88 | | | | 1,909 | |
Heidrick & Struggles International, Inc. | | | 48 | | | | 1,900 | |
OrthoPediatrics Corp.* | | | 35 | | | | 1,890 | |
ACCO Brands Corp. | | | 236 | | | | 1,888 | |
Bionano Genomics, Inc.* | | | 731 | | | | 1,886 | |
Arlo Technologies, Inc.* | | | 212 | | | | 1,878 | |
Inovio Pharmaceuticals, Inc.*,1 | | | 521 | | | | 1,870 | |
Lyell Immunopharma, Inc.*,1 | | | 370 | | | | 1,869 | |
Viad Corp.* | | | 52 | | | | 1,853 | |
SI-BONE, Inc.* | | | 82 | | | | 1,853 | |
Collegium Pharmaceutical, Inc.* | | | 90 | | | | 1,832 | |
LifeStance Health Group, Inc.*,1 | | | 180 | | | | 1,820 | |
SP Plus Corp.* | | | 58 | | | | 1,819 | |
Sana Biotechnology, Inc.* | | | 216 | | | | 1,784 | |
Quanex Building Products Corp. | | | 85 | | | | 1,784 | |
TransMedics Group, Inc.* | | | 66 | | | | 1,778 | |
Avidity Biosciences, Inc.* | | | 95 | | | | 1,755 | |
Sorrento Therapeutics, Inc.*,1 | | | 748 | | | | 1,743 | |
Sangamo Therapeutics, Inc.* | | | 299 | | | | 1,737 | |
Hanger, Inc.* | | | 94 | | | | 1,723 | |
Antares Pharma, Inc.* | | | 420 | | | | 1,722 | |
Aaron’s Company, Inc. | | | 84 | | | | 1,687 | |
MaxCyte, Inc.* | | | 240 | | | | 1,678 | |
Relmada Therapeutics, Inc.* | | | 62 | | | | 1,673 | |
Rocket Pharmaceuticals, Inc.* | | | 104 | | | | 1,649 | |
iTeos Therapeutics, Inc.* | | | 51 | | | | 1,641 | |
Pulmonx Corp.* | | | 66 | | | | 1,637 | |
Duckhorn Portfolio, Inc.* | | | 90 | | | | 1,637 | |
PetIQ, Inc.* | | | 67 | | | | 1,635 | |
Fulcrum Therapeutics, Inc.* | | | 69 | | | | 1,632 | |
Inogen, Inc.* | | | 50 | | | | 1,621 | |
Chinook Therapeutics, Inc.* | | | 98 | | | | 1,603 | |
Seer, Inc.* | | | 105 | | | | 1,600 | |
Forrester Research, Inc.* | | | 28 | | | | 1,580 | |
Orthofix Medical, Inc.* | | | 48 | | | | 1,570 | |
Calavo Growers, Inc. | | | 43 | | | | 1,567 | |
Inhibrx, Inc.* | | | 70 | | | | 1,560 | |
Vanda Pharmaceuticals, Inc.* | | | 137 | | | | 1,549 | |
Barrett Business Services, Inc. | | | 20 | | | | 1,549 | |
Allogene Therapeutics, Inc.* | | | 170 | | | | 1,549 | |
Vivint Smart Home, Inc.* | | | 229 | | | | 1,548 | |
Vaxart, Inc.*,1 | | | 306 | | | | 1,542 | |
Surmodics, Inc.* | | | 34 | | | | 1,541 | |
Ocugen, Inc.*,1 | | | 465 | | | | 1,535 | |
CRA International, Inc. | | | 18 | | | | 1,517 | |
I3 Verticals, Inc. — Class A* | | | 54 | | | | 1,504 | |
Butterfly Network, Inc.*,1 | | | 313 | | | | 1,490 | |
Tattooed Chef, Inc.* | | | 118 | | | | 1,485 | |
Kezar Life Sciences, Inc.* | | | 88 | | | | 1,463 | |
Transcat, Inc.* | | | 18 | | | | 1,461 | |
Instil Bio, Inc.* | | | 135 | | | | 1,451 | |
Franklin Covey Co.* | | | 32 | | | | 1,447 | |
Theravance Biopharma, Inc.* | | | 151 | | | | 1,444 | |
Tootsie Roll Industries, Inc. | | | 41 | | | | 1,440 | |
Treace Medical Concepts, Inc.* | | | 76 | | | | 1,437 | |
Eagle Pharmaceuticals, Inc.* | | | 29 | | | | 1,435 | |
Hackett Group, Inc. | | | 62 | | | | 1,430 | |
Arcturus Therapeutics Holdings, Inc.* | | | 53 | | | | 1,429 | |
National Research Corp. — Class A | | | 36 | | | | 1,427 | |
BrightView Holdings, Inc.* | | | 103 | | | | 1,402 | |
Erasca, Inc.* | | | 160 | | | | 1,376 | |
PMV Pharmaceuticals, Inc.* | | | 66 | | | | 1,374 | |
Resources Connection, Inc. | | | 80 | | | | 1,371 | |
ViewRay, Inc.* | | | 348 | | | | 1,364 | |
Gossamer Bio, Inc.* | | | 156 | | | | 1,354 | |
Agenus, Inc.* | | | 549 | | | | 1,351 | |
WW International, Inc.* | | | 132 | | | | 1,350 | |
Cara Therapeutics, Inc.* | | | 111 | | | | 1,349 | |
Arcutis Biotherapeutics, Inc.* | | | 70 | | | | 1,348 | |
Endo International plc* | | | 578 | | | | 1,335 | |
Cass Information Systems, Inc. | | | 36 | | | | 1,329 | |
Karyopharm Therapeutics, Inc.* | | | 180 | | | | 1,327 | |
MiMedx Group, Inc.* | | | 281 | | | | 1,324 | |
MacroGenics, Inc.* | | | 150 | | | | 1,321 | |
Heron Therapeutics, Inc.* | | | 231 | | | | 1,321 | |
Organogenesis Holdings, Inc.* | | | 173 | | | | 1,318 | |
Rigel Pharmaceuticals, Inc.* | | | 430 | | | | 1,286 | |
Affimed N.V.* | | | 291 | | | | 1,272 | |
Rhythm Pharmaceuticals, Inc.* | | | 110 | | | | 1,267 | |
Paya Holdings, Inc.* | | | 215 | | | | 1,260 | |
Replimune Group, Inc.* | | | 74 | | | | 1,257 | |
Albireo Pharma, Inc.* | | | 42 | | | | 1,253 | |
Bright Health Group, Inc.* | | | 646 | | | | 1,247 | |
Agiliti, Inc.* | | | 59 | | | | 1,245 | |
Seres Therapeutics, Inc.* | | | 174 | | | | 1,239 | |
Joint Corp.* | | | 35 | | | | 1,239 | |
Turning Point Brands, Inc. | | | 36 | | | | 1,224 | |
OraSure Technologies, Inc.* | | | 179 | | | | 1,214 | |
AnaptysBio, Inc.* | | | 49 | | | | 1,212 | |
Pennant Group, Inc.* | | | 65 | | | | 1,211 | |
NGM Biopharmaceuticals, Inc.* | | | 79 | | | | 1,205 | |
RAPT Therapeutics, Inc.* | | | 54 | | | | 1,187 | |
Ennis, Inc. | | | 64 | | | | 1,182 | |
Mission Produce, Inc.* | | | 93 | | | | 1,177 | |
Absci Corp.* | | | 139 | | | | 1,172 | |
Atea Pharmaceuticals, Inc.* | | | 162 | | | | 1,170 | |
Caribou Biosciences, Inc.* | | | 127 | | | | 1,166 | |
Central Garden & Pet Co.* | | | 26 | | | | 1,143 | |
98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Sterling Check Corp.* | | | 42 | | | $ | 1,110 | |
Honest Company, Inc.* | | | 213 | | | | 1,110 | |
Athira Pharma, Inc.* | | | 81 | | | | 1,093 | |
Nurix Therapeutics, Inc.* | | | 78 | | | | 1,093 | |
Design Therapeutics, Inc.* | | | 67 | | | | 1,082 | |
Adicet Bio, Inc.* | | | 53 | | | | 1,058 | |
4D Molecular Therapeutics, Inc.* | | | 70 | | | | 1,058 | |
Bioventus, Inc. — Class A* | | | 75 | | | | 1,057 | |
Amneal Pharmaceuticals, Inc.* | | | 251 | | | | 1,047 | |
Y-mAbs Therapeutics, Inc.* | | | 88 | | | | 1,045 | |
Radius Health, Inc.* | | | 118 | | | | 1,042 | |
Vectrus, Inc.* | | | 29 | | | | 1,040 | |
MeiraGTx Holdings plc* | | | 75 | | | | 1,039 | |
Geron Corp.* | | | 763 | | | | 1,038 | |
Provention Bio, Inc.* | | | 139 | | | | 1,017 | |
Phibro Animal Health Corp. — Class A | | | 51 | | | | 1,017 | |
Stoke Therapeutics, Inc.* | | | 48 | | | | 1,010 | |
Monte Rosa Therapeutics, Inc.* | | | 72 | | | | 1,009 | |
Intercept Pharmaceuticals, Inc.* | | | 62 | | | | 1,009 | |
American Public Education, Inc.* | | | 47 | | | | 998 | |
European Wax Center, Inc. — Class A* | | | 33 | | | | 976 | |
Mind Medicine MindMed, Inc.*,1 | | | 878 | | | | 975 | |
Aerie Pharmaceuticals, Inc.* | | | 107 | | | | 974 | |
Custom Truck One Source, Inc.* | | | 116 | | | | 973 | |
SeaSpine Holdings Corp.* | | | 80 | | | | 973 | |
Inotiv, Inc.* | | | 37 | | | | 969 | |
Tactile Systems Technology, Inc.* | | | 48 | | | | 968 | |
Imago Biosciences, Inc.* | | | 50 | | | | 963 | |
ImmunityBio, Inc.*,1 | | | 171 | | | | 959 | |
2seventy bio, Inc.* | | | 56 | | | | 955 | |
Ocular Therapeutix, Inc.* | | | 192 | | | | 950 | |
Tejon Ranch Co.* | | | 52 | | | | 950 | |
22nd Century Group, Inc.* | | | 406 | | | | 942 | |
Edgewise Therapeutics, Inc.* | | | 97 | | | | 941 | |
AppHarvest, Inc.* | | | 175 | | | | 941 | |
Evolus, Inc.* | | | 83 | | | | 931 | |
Scholar Rock Holding Corp.* | | | 72 | | | | 928 | |
Deciphera Pharmaceuticals, Inc.* | | | 99 | | | | 918 | |
Ideaya Biosciences, Inc.* | | | 82 | | | | 918 | |
Akero Therapeutics, Inc.* | | | 64 | | | | 908 | |
Omeros Corp.* | | | 151 | | | | 908 | |
Anika Therapeutics, Inc.* | | | 36 | | | | 904 | |
Bioxcel Therapeutics, Inc.* | | | 43 | | | | 899 | |
Sutro Biopharma, Inc.* | | | 109 | | | | 896 | |
DermTech, Inc.*,1 | | | 61 | | | | 895 | |
SIGA Technologies, Inc.* | | | 124 | | | | 879 | |
Berkeley Lights, Inc.* | | | 122 | | | | 867 | |
Marinus Pharmaceuticals, Inc.* | | | 92 | | | | 860 | |
Willdan Group, Inc.* | | | 28 | | | | 859 | |
Praxis Precision Medicines, Inc.* | | | 84 | | | | 858 | |
Chimerix, Inc.* | | | 184 | | | | 843 | |
Tenaya Therapeutics, Inc.* | | | 71 | | | | 836 | |
KalVista Pharmaceuticals, Inc.* | | | 56 | | | | 825 | |
Seneca Foods Corp. — Class A* | | | 16 | | | | 825 | |
Bluebird Bio, Inc.* | | | 169 | | | | 820 | |
Generation Bio Co.* | | | 111 | | | | 815 | |
Utah Medical Products, Inc. | | | 9 | | | | 809 | |
Vapotherm, Inc.* | | | 57 | | | | 792 | |
Accuray, Inc.* | | | 239 | | | | 791 | |
Forma Therapeutics Holdings, Inc.* | | | 85 | | | | 790 | |
VBI Vaccines, Inc.*,1 | | | 472 | | | | 784 | |
Veru, Inc.* | | | 161 | | | | 778 | |
Axogen, Inc.* | | | 97 | | | | 770 | |
Vital Farms, Inc.* | | | 62 | | | | 766 | |
ANI Pharmaceuticals, Inc.* | | | 27 | | | | 759 | |
Landec Corp.* | | | 65 | | | | 753 | |
G1 Therapeutics, Inc.* | | | 99 | | | | 752 | |
Foghorn Therapeutics, Inc.* | | | 49 | | | | 746 | |
Singular Genomics Systems, Inc.* | | | 118 | | | | 745 | |
ALX Oncology Holdings, Inc.* | | | 44 | | | | 744 | |
Personalis, Inc.* | | | 90 | | | | 737 | |
Kiniksa Pharmaceuticals Ltd. — Class A* | | | 73 | | | | 726 | |
Dyne Therapeutics, Inc.* | | | 75 | | | | 723 | |
Kinnate Biopharma, Inc.* | | | 64 | | | | 721 | |
iRadimed Corp. | | | 16 | | | | 717 | |
Mersana Therapeutics, Inc.* | | | 179 | | | | 714 | |
Kronos Bio, Inc.* | | | 97 | | | | 701 | |
Cogent Biosciences, Inc.* | | | 93 | | | | 697 | |
Phathom Pharmaceuticals, Inc.* | | | 51 | | | | 694 | |
Eiger BioPharmaceuticals, Inc.* | | | 82 | | | | 681 | |
Cullinan Oncology, Inc.* | | | 65 | | | | 681 | |
Whole Earth Brands, Inc.* | | | 94 | | | | 673 | |
Adagio Therapeutics, Inc.*,1 | | | 147 | | | | 670 | |
DICE Therapeutics, Inc.* | | | 35 | | | | 670 | |
Esperion Therapeutics, Inc.* | | | 144 | | | | 668 | |
PROCEPT BioRobotics Corp.* | | | 19 | | | | 665 | |
Oramed Pharmaceuticals, Inc.* | | | 76 | | | | 657 | |
Kodiak Sciences, Inc.* | | | 85 | | | | 656 | |
EyePoint Pharmaceuticals, Inc.* | | | 53 | | | | 644 | |
Rubius Therapeutics, Inc.* | | | 115 | | | | 634 | |
Harvard Bioscience, Inc.* | | | 99 | | | | 615 | |
Verastem, Inc.* | | | 435 | | | | 613 | |
ShotSpotter, Inc.* | | | 22 | | | | 610 | |
Altimmune, Inc.* | | | 100 | | | | 609 | |
HF Foods Group, Inc.* | | | 91 | | | | 606 | |
VistaGen Therapeutics, Inc.* | | | 488 | | | | 605 | |
Arbutus Biopharma Corp.* | | | 201 | | | | 599 | |
BioLife Solutions, Inc.* | | | 26 | | | | 591 | |
Vera Therapeutics, Inc.* | | | 25 | | | | 587 | |
Alta Equipment Group, Inc.* | | | 47 | | | | 581 | |
Clovis Oncology, Inc.* | | | 284 | | | | 574 | |
Limoneira Co. | | | 39 | | | | 573 | |
Jounce Therapeutics, Inc.* | | | 83 | | | | 564 | |
IGM Biosciences, Inc.* | | | 21 | | | | 561 | |
Immunovant, Inc.* | | | 101 | | | | 557 | |
Acacia Research Corp.* | | | 123 | | | | 555 | |
Aldeyra Therapeutics, Inc.* | | | 122 | | | | 542 | |
Cymabay Therapeutics, Inc.* | | | 174 | | | | 541 | |
Village Super Market, Inc. — Class A | | | 22 | | | | 539 | |
Talaris Therapeutics, Inc.* | | | 54 | | | | 531 | |
Immunic, Inc.* | | | 47 | | | | 531 | |
Spero Therapeutics, Inc.* | | | 61 | | | | 531 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Spectrum Pharmaceuticals, Inc.* | | | 410 | | | $ | 529 | |
CorMedix, Inc.* | | | 95 | | | | 521 | |
Avita Medical, Inc.* | | | 61 | | | | 517 | |
Curis, Inc.* | | | 217 | | | | 516 | |
Viking Therapeutics, Inc.* | | | 171 | | | | 513 | |
Citius Pharmaceuticals, Inc.* | | | 286 | | | | 512 | |
Apyx Medical Corp.* | | | 78 | | | | 509 | |
CinCor Pharma, Inc.* | | | 29 | | | | 509 | |
Allakos, Inc.* | | | 89 | | | | 507 | |
Nature’s Sunshine Products, Inc.* | | | 30 | | | | 505 | |
Precigen, Inc.* | | | 238 | | | | 502 | |
ClearPoint Neuro, Inc.* | | | 48 | | | | 500 | |
Allovir, Inc.* | | | 74 | | | | 499 | |
Janux Therapeutics, Inc.* | | | 34 | | | | 488 | |
Lineage Cell Therapeutics, Inc.* | | | 314 | | | | 484 | |
Aerovate Therapeutics, Inc.* | | | 26 | | | | 477 | |
Applied Molecular Transport, Inc.* | | | 63 | | | | 474 | |
Stereotaxis, Inc.* | | | 124 | | | | 463 | |
SOC Telemed, Inc.* | | | 153 | | | | 458 | |
InfuSystem Holdings, Inc.* | | | 46 | | | | 451 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 23 | | | | 451 | |
XOMA Corp.* | | | 16 | | | | 448 | |
Viemed Healthcare, Inc.* | | | 89 | | | | 443 | |
Gritstone bio, Inc.*,1 | | | 107 | | | | 441 | |
Udemy, Inc.* | | | 35 | | | | 436 | |
Nathan’s Famous, Inc. | | | 8 | | | | 433 | |
Viracta Therapeutics, Inc.* | | | 91 | | | | 433 | |
CytomX Therapeutics, Inc.* | | | 162 | | | | 433 | |
Ikena Oncology, Inc.* | | | 70 | | | | 427 | |
UroGen Pharma Ltd.* | | | 49 | | | | 427 | |
Icosavax, Inc.* | | | 60 | | | | 422 | |
ORIC Pharmaceuticals, Inc.* | | | 79 | | | | 422 | |
Pliant Therapeutics, Inc.* | | | 60 | | | | 421 | |
Nkarta, Inc.* | | | 36 | | | | 410 | |
Outlook Therapeutics, Inc.* | | | 223 | | | | 397 | |
Eargo, Inc.* | | | 75 | | | | 397 | |
Precision BioSciences, Inc.* | | | 127 | | | | 391 | |
Paragon 28, Inc.* | | | 23 | | | | 385 | |
Durect Corp.* | | | 570 | | | | 382 | |
Century Therapeutics, Inc.* | | | 30 | | | | 378 | |
Cue Biopharma, Inc.* | | | 77 | | | | 376 | |
Nuvalent, Inc. — Class A* | | | 27 | | | | 375 | |
Akoya Biosciences, Inc.* | | | 34 | | | | 374 | |
TherapeuticsMD, Inc.* | | | 983 | | | | 374 | |
KemPharm, Inc.* | | | 74 | | | | 372 | |
Taysha Gene Therapies, Inc.* | | | 57 | | | | 372 | |
Asensus Surgical, Inc.* | | | 589 | | | | 369 | |
Humanigen, Inc.* | | | 122 | | | | 367 | |
Atossa Therapeutics, Inc.* | | | 293 | | | | 366 | |
Lexicon Pharmaceuticals, Inc.* | | | 175 | | | | 366 | |
Paratek Pharmaceuticals, Inc.* | | | 123 | | | | 365 | |
CEL-SCI Corp.* | | | 90 | | | | 354 | |
Tarsus Pharmaceuticals, Inc.* | | | 21 | | | | 353 | |
Ventyx Biosciences, Inc.* | | | 26 | | | | 353 | |
Alaunos Therapeutics, Inc.* | | | 528 | | | | 344 | |
9 Meters Biopharma, Inc.* | | | 567 | | | | 340 | |
Aveanna Healthcare Holdings, Inc.* | | | 99 | | | | 338 | |
Zynex, Inc. | | | 54 | | | | 336 | |
CytoSorbents Corp.* | | | 105 | | | | 335 | |
Theseus Pharmaceuticals, Inc.* | | | 29 | | | | 334 | |
XBiotech, Inc. | | | 38 | | | | 328 | |
Oyster Point Pharma, Inc.* | | | 28 | | | | 326 | |
Poseida Therapeutics, Inc.* | | | 72 | | | | 323 | |
Arcellx, Inc.* | | | 23 | | | | 322 | |
Sientra, Inc.* | | | 145 | | | | 322 | |
Tyra Biosciences, Inc.* | | | 30 | | | | 321 | |
Molecular Templates, Inc.* | | | 93 | | | | 321 | |
Homology Medicines, Inc.* | | | 105 | | | | 319 | |
Akebia Therapeutics, Inc.* | | | 440 | | | | 316 | |
Athersys, Inc.* | | | 516 | | | | 312 | |
Cortexyme, Inc.* | | | 50 | | | | 309 | |
Amylyx Pharmaceuticals, Inc.* | | | 24 | | | | 308 | |
Aura Biosciences, Inc.* | | | 14 | | | | 308 | |
Remitly Global, Inc.* | | | 31 | | | | 306 | |
Sesen Bio, Inc.* | | | 504 | | | | 304 | |
Rent the Runway, Inc. — Class A*,1 | | | 43 | | | | 296 | |
Innovage Holding Corp.*,1 | | | 46 | | | | 295 | |
Werewolf Therapeutics, Inc.* | | | 67 | | | | 295 | |
ChromaDex Corp.* | | | 118 | | | | 290 | |
Vor BioPharma, Inc.* | | | 48 | | | | 290 | |
Passage Bio, Inc.* | | | 93 | | | | 288 | |
Adverum Biotechnologies, Inc.* | | | 218 | | | | 286 | |
Shattuck Labs, Inc.* | | | 67 | | | | 285 | |
Akouos, Inc.* | | | 60 | | | | 285 | |
Selecta Biosciences, Inc.* | | | 231 | | | | 284 | |
Day One Biopharmaceuticals, Inc.* | | | 28 | | | | 278 | |
SQZ Biotechnologies Co.* | | | 57 | | | | 274 | |
Olema Pharmaceuticals, Inc.* | | | 64 | | | | 273 | |
Verrica Pharmaceuticals, Inc.* | | | 33 | | | | 268 | |
Epizyme, Inc.* | | | 229 | | | | 263 | |
Surface Oncology, Inc.* | | | 89 | | | | 262 | |
Alpine Immune Sciences, Inc.* | | | 29 | | | | 260 | |
RxSight, Inc.* | | | 21 | | | | 260 | |
Ardelyx, Inc.* | | | 242 | | | | 259 | |
Evelo Biosciences, Inc.* | | | 76 | | | | 258 | |
Tonix Pharmaceuticals Holding Corp.* | | | 1,110 | | | | 256 | |
Fortress Biotech, Inc.* | | | 187 | | | | 254 | |
Vita Coco Company, Inc.*,1 | | | 28 | | | | 251 | |
Codiak Biosciences, Inc.* | | | 40 | | | | 251 | |
Infinity Pharmaceuticals, Inc.* | | | 219 | | | | 250 | |
HireQuest, Inc. | | | 13 | | | | 249 | |
AquaBounty Technologies, Inc.* | | | 131 | | | | 245 | |
Biomea Fusion, Inc.* | | | 54 | | | | 241 | |
PAVmed, Inc.* | | | 182 | | | | 240 | |
Cue Health, Inc.*,1 | | | 37 | | | | 239 | |
Quotient Ltd.* | | | 197 | | | | 236 | |
Cardiff Oncology, Inc.* | | | 95 | | | | 236 | |
Alpha Teknova, Inc.* | | | 17 | | | | 235 | |
Aeglea BioTherapeutics, Inc.* | | | 102 | | | | 235 | |
Celcuity, Inc.* | | | 25 | | | | 234 | |
Harpoon Therapeutics, Inc.* | | | 47 | | | | 234 | |
iBio, Inc.* | | | 545 | | | | 233 | |
100 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Puma Biotechnology, Inc.* | | | 81 | | | $ | 233 | |
Ampio Pharmaceuticals, Inc.* | | | 489 | | | | 230 | |
Trevena, Inc.* | | | 412 | | | | 227 | |
Entrada Therapeutics, Inc.* | | | 24 | | | | 225 | |
Oncocyte Corp.* | | | 151 | | | | 225 | |
WaVe Life Sciences Ltd.* | | | 111 | | | | 222 | |
AirSculpt Technologies, Inc.* | | | 16 | | | | 219 | |
Magenta Therapeutics, Inc.* | | | 75 | | | | 218 | |
TCR2 Therapeutics, Inc.* | | | 78 | | | | 215 | |
Annexon, Inc.* | | | 78 | | | | 213 | |
StoneMor, Inc.* | | | 81 | | | | 211 | |
Atreca, Inc. — Class A* | | | 66 | | | | 209 | |
Graphite Bio, Inc.* | | | 41 | | | | 209 | |
Retractable Technologies, Inc.* | | | 44 | | | | 209 | |
Exagen, Inc.* | | | 26 | | | | 209 | |
Emerald Holding, Inc.* | | | 61 | | | | 207 | |
Seelos Therapeutics, Inc.* | | | 246 | | | | 206 | |
Clene, Inc.* | | | 52 | | | | 205 | |
Rain Therapeutics, Inc.* | | | 40 | | | | 203 | |
Mirum Pharmaceuticals, Inc.* | | | 9 | | | | 198 | |
NewAge, Inc.* | | | 339 | | | | 197 | |
Greenwich Lifesciences, Inc.* | | | 10 | | | | 196 | |
BioAtla, Inc.* | | | 39 | | | | 195 | |
Neuronetics, Inc.* | | | 64 | | | | 194 | |
Aspira Women’s Health, Inc.* | | | 182 | | | | 189 | |
Prelude Therapeutics, Inc.* | | | 27 | | | | 186 | |
NexImmune, Inc.* | | | 44 | | | | 185 | |
Mustang Bio, Inc.* | | | 182 | | | | 184 | |
Athenex, Inc.* | | | 217 | | | | 180 | |
Solid Biosciences, Inc.* | | | 150 | | | | 180 | |
Silverback Therapeutics, Inc.* | | | 51 | | | | 179 | |
Syros Pharmaceuticals, Inc.* | | | 144 | | | | 171 | |
Pulse Biosciences, Inc.* | | | 35 | | | | 170 | |
Frequency Therapeutics, Inc.* | | | 80 | | | | 170 | |
Kala Pharmaceuticals, Inc.* | | | 122 | | | | 168 | |
Neoleukin Therapeutics, Inc.* | | | 88 | | | | 165 | |
Summit Therapeutics, Inc.* | | | 67 | | | | 164 | |
Vincerx Pharma, Inc.* | | | 41 | | | | 164 | |
MEI Pharma, Inc.* | | | 271 | | | | 163 | |
Black Diamond Therapeutics, Inc.* | | | 57 | | | | 158 | |
Bolt Biotherapeutics, Inc.* | | | 57 | | | | 156 | |
Oncternal Therapeutics, Inc.* | | | 111 | | | | 154 | |
Brooklyn ImmunoTherapeutics, Inc.* | | | 75 | | | | 154 | |
Eliem Therapeutics, Inc.* | | | 18 | | | | 151 | |
NeuroPace, Inc.* | | | 18 | | | | 148 | |
Inozyme Pharma, Inc.* | | | 36 | | | | 147 | |
Team, Inc.* | | | 66 | | | | 146 | |
Revlon, Inc. — Class A* | | | 18 | | | | 145 | |
Priority Technology Holdings, Inc.* | | | 25 | | | | 144 | |
Rapid Micro Biosystems, Inc. — Class A* | | | 21 | | | | 143 | |
Immuneering Corp. — Class A* | | | 21 | | | | 136 | |
Xilio Therapeutics, Inc.* | | | 19 | | | | 134 | |
Rallybio Corp.* | | | 19 | | | | 133 | |
GT Biopharma, Inc.* | | | 46 | | | | 132 | |
Avrobio, Inc.* | | | 95 | | | | 125 | |
Beyondspring, Inc.* | | | 56 | | | | 123 | |
Sensei Biotherapeutics, Inc.* | | | 53 | | | | 122 | |
CVRx, Inc.* | | | 20 | | | | 120 | |
Accelerate Diagnostics, Inc.* | | | 83 | | | | 120 | |
Zevia PBC — Class A* | | | 26 | | | | 119 | |
Omega Therapeutics, Inc.* | | | 19 | | | | 119 | |
Invacare Corp.* | | | 84 | | | | 118 | |
Angion Biomedica Corp.* | | | 55 | | | | 117 | |
Aligos Therapeutics, Inc.* | | | 53 | | | | 114 | |
Avalo Therapeutics, Inc.* | | | 156 | | | | 113 | |
Codex DNA, Inc.* | | | 21 | | | | 113 | |
Cadiz, Inc.* | | | 54 | | | | 112 | |
Hookipa Pharma, Inc.*,1 | | | 48 | | | | 109 | |
Pyxis Oncology, Inc.* | | | 27 | | | | 109 | |
Thorne HealthTech, Inc.* | | | 17 | | | | 108 | |
Terns Pharmaceuticals, Inc.* | | | 35 | | | | 104 | |
Acumen Pharmaceuticals, Inc.* | | | 25 | | | | 98 | |
Finch Therapeutics Group, Inc.* | | | 19 | | | | 96 | |
89bio, Inc.* | | | 25 | | | | 94 | |
Applied Therapeutics, Inc.* | | | 44 | | | | 93 | |
Oncorus, Inc.* | | | 51 | | | | 91 | |
Portage Biotech, Inc.* | | | 13 | | | | 85 | |
Impel Neuropharma, Inc.* | | | 13 | | | | 83 | |
Kaleido Biosciences, Inc.* | | | 49 | | | | 81 | |
Cyteir Therapeutics, Inc.* | | | 21 | | | | 79 | |
Gemini Therapeutics, Inc.* | | | 55 | | | | 76 | |
IsoPlexis Corp.* | | | 21 | | | | 72 | |
Acutus Medical, Inc.* | | | 48 | | | | 67 | |
Reneo Pharmaceuticals, Inc.* | | | 22 | | | | 65 | |
Laird Superfood, Inc.* | | | 17 | | | | 61 | |
Sigilon Therapeutics, Inc.* | | | 39 | | | | 57 | |
Biodesix, Inc.* | | | 31 | | | | 52 | |
Ontrak, Inc.* | | | 23 | | | | 52 | |
Talis Biomedical Corp.* | | | 36 | | | | 51 | |
Sera Prognostics, Inc. — Class A* | | | 12 | | | | 45 | |
Spruce Biosciences, Inc.* | | | 22 | | | | 44 | |
Lucid Diagnostics, Inc.* | | | 13 | | | | 44 | |
Forte Biosciences, Inc.* | | | 28 | | | | 41 | |
Greenlane Holdings, Inc. — Class A* | | | 41 | | | | 23 | |
Landos Biopharma, Inc.* | | | 12 | | | | 18 | |
MiNK Therapeutics, Inc.* | | | 5 | | | | 11 | |
Total Consumer, Non-cyclical | | | | | | | 1,600,892 | |
| | | | | | | | | |
Industrial - 8.7% |
Tetra Tech, Inc. | | | 135 | | | | 22,267 | |
II-VI, Inc.* | | | 266 | | | | 19,282 | |
Saia, Inc.* | | | 66 | | | | 16,092 | |
Chart Industries, Inc.*,1 | | | 92 | | | | 15,803 | |
EMCOR Group, Inc. | | | 134 | | | | 15,092 | |
Exponent, Inc. | | | 130 | | | | 14,047 | |
Evoqua Water Technologies Corp.* | | | 292 | | | | 13,718 | |
RBC Bearings, Inc.* | | | 70 | | | | 13,572 | |
Matson, Inc. | | | 104 | | | | 12,544 | |
Novanta, Inc.* | | | 88 | | | | 12,522 | |
Simpson Manufacturing Company, Inc. | | | 109 | | | | 11,885 | |
UFP Industries, Inc. | | | 151 | | | | 11,651 | |
Atkore International Group, Inc.* | | | 112 | | | | 11,025 | |
GATX Corp. | | | 88 | | | | 10,853 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Zurn Water Solutions Corp. | | | 306 | | | $ | 10,832 | |
Casella Waste Systems, Inc. — Class A* | | | 123 | | | | 10,781 | |
Fluor Corp.* | | | 358 | | | | 10,271 | |
Applied Industrial Technologies, Inc. | | | 97 | | | | 9,958 | |
Fabrinet* | | | 93 | | | | 9,777 | |
Franklin Electric Company, Inc. | | | 116 | | | | 9,633 | |
Watts Water Technologies, Inc. — Class A | | | 69 | | | | 9,632 | |
John Bean Technologies Corp. | | | 79 | | | | 9,359 | |
Summit Materials, Inc. — Class A* | | | 299 | | | | 9,287 | |
SPX FLOW, Inc. | | | 104 | | | | 8,967 | |
Bloom Energy Corp. — Class A* | | | 356 | | | | 8,597 | |
Hillenbrand, Inc. | | | 184 | | | | 8,127 | |
Advanced Energy Industries, Inc. | | | 94 | | | | 8,091 | |
Comfort Systems USA, Inc. | | | 89 | | | | 7,922 | |
Cactus, Inc. — Class A | | | 139 | | | | 7,887 | |
Welbilt, Inc.* | | | 329 | | | | 7,814 | |
EnerSys | | | 104 | | | | 7,755 | |
Mueller Industries, Inc. | | | 141 | | | | 7,638 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 188 | | | | 7,398 | |
Badger Meter, Inc. | | | 74 | | | | 7,379 | |
Dycom Industries, Inc.* | | | 74 | | | | 7,049 | |
Arcosa, Inc. | | | 122 | | | | 6,985 | |
Boise Cascade Co. | | | 99 | | | | 6,878 | |
Forward Air Corp. | | | 68 | | | | 6,649 | |
Trinity Industries, Inc. | | | 193 | | | | 6,631 | |
Helios Technologies, Inc. | | | 82 | | | | 6,580 | |
Vishay Intertechnology, Inc. | | | 335 | | | | 6,566 | |
Albany International Corp. — Class A | | | 77 | | | | 6,493 | |
Hub Group, Inc. — Class A* | | | 84 | | | | 6,486 | |
Moog, Inc. — Class A | | | 73 | | | | 6,409 | |
Sanmina Corp.* | | | 157 | | | | 6,346 | |
Altra Industrial Motion Corp. | | | 162 | | | | 6,307 | |
Kratos Defense & Security Solutions, Inc.* | | | 307 | | | | 6,287 | |
Golar LNG Ltd.* | | | 253 | | | | 6,269 | |
Werner Enterprises, Inc. | | | 152 | | | | 6,232 | |
Atlas Air Worldwide Holdings, Inc.* | | | 72 | | | | 6,219 | |
Belden, Inc. | | | 111 | | | | 6,149 | |
Terex Corp. | | | 171 | | | | 6,098 | |
Itron, Inc.* | | | 114 | | | | 6,006 | |
Kennametal, Inc. | | | 209 | | | | 5,980 | |
AAON, Inc. | | | 105 | | | | 5,852 | |
Plexus Corp.* | | | 70 | | | | 5,727 | |
Encore Wire Corp. | | | 50 | | | | 5,703 | |
Kadant, Inc. | | | 29 | | | | 5,631 | |
SPX Corp.* | | | 111 | | | | 5,485 | |
Brady Corp. — Class A | | | 118 | | | | 5,460 | |
Masonite International Corp.* | | | 60 | | | | 5,336 | |
AeroVironment, Inc.* | | | 56 | | | | 5,272 | |
Energizer Holdings, Inc. | | | 171 | | | | 5,260 | |
O-I Glass, Inc.* | | | 398 | | | | 5,246 | |
Mueller Water Products, Inc. — Class A | | | 397 | | | | 5,129 | |
Federal Signal Corp. | | | 151 | | | | 5,096 | |
EnPro Industries, Inc. | | | 52 | | | | 5,082 | |
ArcBest Corp. | | | 63 | | | | 5,071 | |
Air Transport Services Group, Inc.* | | | 148 | | | | 4,951 | |
GrafTech International Ltd. | | | 501 | | | | 4,820 | |
Knowles Corp.* | | | 223 | | | | 4,801 | |
Barnes Group, Inc. | | | 119 | | | | 4,783 | |
JELD-WEN Holding, Inc.* | | | 230 | | | | 4,664 | |
ESCO Technologies, Inc. | | | 64 | | | | 4,475 | |
Materion Corp. | | | 52 | | | | 4,458 | |
NV5 Global, Inc.* | | | 33 | | | | 4,399 | |
CSW Industrials, Inc. | | | 37 | | | | 4,351 | |
Worthington Industries, Inc. | | | 83 | | | | 4,267 | |
Lindsay Corp. | | | 27 | | | | 4,239 | |
Greif, Inc. — Class A | | | 65 | | | | 4,229 | |
AAR Corp.* | | | 86 | | | | 4,165 | |
Greenbrier Companies, Inc. | | | 80 | | | | 4,121 | |
Triumph Group, Inc.* | | | 160 | | | | 4,045 | |
MYR Group, Inc.* | | | 42 | | | | 3,950 | |
TTM Technologies, Inc.* | | | 261 | | | | 3,868 | |
US Ecology, Inc.* | | | 79 | | | | 3,783 | |
Granite Construction, Inc. | | | 115 | | | | 3,772 | |
Vicor Corp.* | | | 53 | | | | 3,739 | |
Proto Labs, Inc.* | | | 70 | | | | 3,703 | |
Tennant Co. | | | 46 | | | | 3,625 | |
Alamo Group, Inc. | | | 25 | | | | 3,595 | |
OSI Systems, Inc.* | | | 42 | | | | 3,575 | |
CryoPort, Inc.* | | | 102 | | | | 3,561 | |
Montrose Environmental Group, Inc.* | | | 67 | | | | 3,546 | |
Gibraltar Industries, Inc.* | | | 82 | | | | 3,522 | |
TriMas Corp. | | | 108 | | | | 3,466 | |
Cornerstone Building Brands, Inc.* | | | 137 | | | | 3,332 | |
Enerpac Tool Group Corp. | | | 151 | | | | 3,305 | |
Primoris Services Corp. | | | 134 | | | | 3,192 | |
SFL Corporation Ltd. | | | 311 | | | | 3,166 | |
Standex International Corp. | | | 31 | | | | 3,098 | |
Mesa Laboratories, Inc. | | | 12 | | | | 3,059 | |
AZZ, Inc. | | | 63 | | | | 3,039 | |
Kaman Corp. | | | 69 | | | | 3,000 | |
Sturm Ruger & Company, Inc. | | | 43 | | | | 2,994 | |
Columbus McKinnon Corp. | | | 70 | | | | 2,968 | |
Apogee Enterprises, Inc. | | | 61 | | | | 2,895 | |
CTS Corp. | | | 80 | | | | 2,827 | |
GoPro, Inc. — Class A* | | | 322 | | | | 2,747 | |
Marten Transport Ltd. | | | 149 | | | | 2,646 | |
Frontline Ltd.* | | | 299 | | | | 2,631 | |
Scorpio Tankers, Inc.1 | | | 122 | | | | 2,608 | |
Construction Partners, Inc. — Class A* | | | 99 | | | | 2,592 | |
PGT Innovations, Inc.* | | | 144 | | | | 2,589 | |
TimkenSteel Corp.* | | | 115 | | | | 2,516 | |
Ichor Holdings Ltd.* | | | 70 | | | | 2,493 | |
Matthews International Corp. — Class A | | | 77 | | | | 2,492 | |
Astec Industries, Inc. | | | 57 | | | | 2,451 | |
Blink Charging Co.*,1 | | | 92 | | | | 2,434 | |
Harsco Corp.* | | | 196 | | | | 2,399 | |
FARO Technologies, Inc.* | | | 46 | | | | 2,388 | |
Griffon Corp. | | | 117 | | | | 2,343 | |
Benchmark Electronics, Inc. | | | 92 | | | | 2,304 | |
Xometry, Inc. — Class A* | | | 62 | | | | 2,279 | |
Great Lakes Dredge & Dock Corp.* | | | 162 | | | | 2,273 | |
Costamare, Inc. | | | 132 | | | | 2,251 | |
102 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Energy Recovery, Inc.* | | | 108 | | | $ | 2,175 | |
American Woodmark Corp.* | | | 44 | | | | 2,154 | |
International Seaways, Inc. | | | 115 | | | | 2,075 | |
DHT Holdings, Inc. | | | 357 | | | | 2,071 | |
Gorman-Rupp Co. | | | 57 | | | | 2,045 | |
Myers Industries, Inc. | | | 91 | | | | 1,966 | |
MicroVision, Inc.* | | | 413 | | | | 1,929 | |
Ranpak Holdings Corp.* | | | 94 | | | | 1,920 | |
Genco Shipping & Trading Ltd. | | | 81 | | | | 1,913 | |
nLight, Inc.* | | | 109 | | | | 1,890 | |
Sterling Construction Company, Inc.* | | | 70 | | | | 1,876 | |
Smith & Wesson Brands, Inc. | | | 121 | | | | 1,831 | |
Insteel Industries, Inc. | | | 47 | | | | 1,739 | |
Heartland Express, Inc. | | | 122 | | | | 1,717 | |
Chase Corp. | | | 19 | | | | 1,651 | |
Argan, Inc. | | | 38 | | | | 1,543 | |
Napco Security Technologies, Inc.* | | | 74 | | | | 1,518 | |
Eagle Bulk Shipping, Inc. | | | 22 | | | | 1,498 | |
Hydrofarm Holdings Group, Inc.* | | | 98 | | | | 1,485 | |
Ryerson Holding Corp. | | | 41 | | | | 1,436 | |
Latham Group, Inc.* | | | 107 | | | | 1,417 | |
Ducommun, Inc.* | | | 27 | | | | 1,415 | |
Stoneridge, Inc.* | | | 65 | | | | 1,349 | |
Thermon Group Holdings, Inc.* | | | 83 | | | | 1,345 | |
Haynes International, Inc. | | | 31 | | | | 1,321 | |
Manitowoc Company, Inc.* | | | 86 | | | | 1,297 | |
DXP Enterprises, Inc.* | | | 46 | | | | 1,246 | |
CIRCOR International, Inc.* | | | 46 | | | | 1,224 | |
Kimball Electronics, Inc.* | | | 60 | | | | 1,199 | |
Luxfer Holdings plc | | | 69 | | | | 1,159 | |
Heritage-Crystal Clean, Inc.* | | | 39 | | | | 1,155 | |
Babcock & Wilcox Enterprises, Inc.* | | | 139 | | | | 1,134 | |
Dorian LPG Ltd. | | | 78 | | | | 1,130 | |
Modine Manufacturing Co.* | | | 125 | | | | 1,126 | |
UFP Technologies, Inc.* | | | 17 | | | | 1,125 | |
Tutor Perini Corp.* | | | 103 | | | | 1,112 | |
Pactiv Evergreen, Inc. | | | 108 | | | | 1,086 | |
PureCycle Technologies, Inc.* | | | 134 | | | | 1,072 | |
AMMO, Inc.*,1 | | | 220 | | | | 1,056 | |
Omega Flex, Inc. | | | 8 | | | | 1,039 | |
Comtech Telecommunications Corp. | | | 65 | | | | 1,020 | |
Daseke, Inc.* | | | 101 | | | | 1,017 | |
National Presto Industries, Inc. | | | 13 | | | | 1,000 | |
Vishay Precision Group, Inc.* | | | 31 | | | | 997 | |
Greif, Inc. — Class B | | | 15 | | | | 956 | |
Meta Materials, Inc.*,1 | | | 571 | | | | 954 | |
Olympic Steel, Inc. | | | 24 | | | | 923 | |
Nordic American Tankers Ltd. | | | 421 | | | | 897 | |
908 Devices, Inc.* | | | 47 | | | | 893 | |
IES Holdings, Inc.* | | | 22 | | | | 884 | |
Yellow Corp.* | | | 126 | | | | 883 | |
Identiv, Inc.* | | | 54 | | | | 873 | |
Allied Motion Technologies, Inc. | | | 29 | | | | 865 | |
Teekay Tankers Ltd. — Class A* | | | 60 | | | | 830 | |
Hyster-Yale Materials Handling, Inc. | | | 25 | | | | 830 | |
Turtle Beach Corp.* | | | 38 | | | | 809 | |
Centrus Energy Corp. — Class A* | | | 24 | | | | 809 | |
Astronics Corp.* | | | 62 | | | | 802 | |
Akoustis Technologies, Inc.*,1 | | | 122 | | | | 793 | |
Tredegar Corp. | | | 66 | | | | 791 | |
Safe Bulkers, Inc. | | | 159 | | | | 757 | |
Eastman Kodak Co.* | | | 113 | | | | 740 | |
NVE Corp. | | | 13 | | | | 708 | |
Fluidigm Corp.* | | | 191 | | | | 686 | |
Covenant Logistics Group, Inc. — Class A | | | 31 | | | | 667 | |
Sight Sciences, Inc.* | | | 56 | | | | 647 | |
Park Aerospace Corp. | | | 49 | | | | 639 | |
PAM Transportation Services, Inc.* | | | 18 | | | | 626 | |
Radiant Logistics, Inc.* | | | 98 | | | | 624 | |
Northwest Pipe Co.* | | | 24 | | | | 611 | |
Caesarstone Ltd. | | | 57 | | | | 600 | |
Luna Innovations, Inc.* | | | 77 | | | | 594 | |
Pure Cycle Corp.* | | | 49 | | | | 589 | |
Teekay Corp.* | | | 174 | | | | 552 | |
American Superconductor Corp.* | | | 69 | | | | 525 | |
Lawson Products, Inc.* | | | 13 | | | | 501 | |
Kopin Corp.* | | | 194 | | | | 491 | |
American Outdoor Brands, Inc.* | | | 35 | | | | 460 | |
View, Inc.* | | | 245 | | | | 451 | |
Powell Industries, Inc. | | | 23 | | | | 447 | |
INNOVATE Corp.* | | | 119 | | | | 439 | |
Concrete Pumping Holdings, Inc.* | | | 65 | | | | 436 | |
Atlas Technical Consultants, Inc.* | | | 36 | | | | 433 | |
CECO Environmental Corp.* | | | 78 | | | | 428 | |
Cadre Holdings, Inc. | | | 16 | | | | 393 | |
Universal Logistics Holdings, Inc. | | | 19 | | | | 383 | |
AerSale Corp.* | | | 24 | | | | 377 | |
Byrna Technologies, Inc.* | | | 46 | | | | 376 | |
Mistras Group, Inc.* | | | 51 | | | | 337 | |
Iteris, Inc.* | | | 107 | | | | 319 | |
NN, Inc.* | | | 107 | | | | 308 | |
Park-Ohio Holdings Corp. | | | 21 | | | | 295 | |
Sharps Compliance Corp.* | | | 46 | | | | 271 | |
US Xpress Enterprises, Inc. — Class A* | | | 67 | | | | 260 | |
Willis Lease Finance Corp.* | | | 7 | | | | 225 | |
Karat Packaging, Inc.* | | | 11 | | | | 218 | |
Mayville Engineering Company, Inc.* | | | 22 | | | | 206 | |
AgEagle Aerial Systems, Inc.* | | | 170 | | | | 202 | |
NL Industries, Inc. | | | 21 | | | | 151 | |
Total Industrial | | | | | | | 873,448 | |
| | | | | | | | | |
Consumer, Cyclical - 8.6% |
AMC Entertainment Holdings, Inc. — Class A*,1 | | | 1,293 | | | | 31,860 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 342 | | | | 23,123 | |
Macy’s, Inc. | | | 753 | | | | 18,343 | |
Texas Roadhouse, Inc. — Class A | | | 175 | | | | 14,653 | |
WESCO International, Inc.* | | | 112 | | | | 14,576 | |
Scientific Games Corp. — Class A* | | | 242 | | | | 14,218 | |
Murphy USA, Inc. | | | 58 | | | | 11,598 | |
Crocs, Inc.* | | | 146 | | | | 11,154 | |
Hilton Grand Vacations, Inc.* | | | 214 | | | | 11,130 | |
Avient Corp. | | | 228 | | | | 10,944 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Fox Factory Holding Corp.* | | | 106 | | | $ | 10,383 | |
Goodyear Tire & Rubber Co.* | | | 696 | | | | 9,946 | |
Adient plc* | | | 238 | | | | 9,703 | |
Signet Jewelers Ltd. | | | 132 | | | | 9,596 | |
SeaWorld Entertainment, Inc.* | | | 126 | | | | 9,379 | |
Asbury Automotive Group, Inc.* | | | 58 | | | | 9,292 | |
Sonos, Inc.* | | | 320 | | | | 9,030 | |
National Vision Holdings, Inc.* | | | 205 | | | | 8,932 | |
Papa John’s International, Inc. | | | 84 | | | | 8,843 | |
Wingstop, Inc. | | | 75 | | | | 8,801 | |
Resideo Technologies, Inc.* | | | 364 | | | | 8,674 | |
Beacon Roofing Supply, Inc.* | | | 140 | | | | 8,299 | |
Taylor Morrison Home Corp. — Class A* | | | 300 | | | | 8,166 | |
Steven Madden Ltd. | | | 202 | | | | 7,805 | |
Academy Sports & Outdoors, Inc. | | | 195 | | | | 7,683 | |
Visteon Corp.* | | | 70 | | | | 7,639 | |
Meritage Homes Corp.* | | | 94 | | | | 7,448 | |
Skyline Champion Corp.* | | | 132 | | | | 7,244 | |
Group 1 Automotive, Inc. | | | 42 | | | | 7,049 | |
FirstCash Holdings, Inc. | | | 100 | | | | 7,034 | |
Cracker Barrel Old Country Store, Inc. | | | 59 | | | | 7,005 | |
UniFirst Corp. | | | 38 | | | | 7,003 | |
Boot Barn Holdings, Inc.* | | | 73 | | | | 6,920 | |
Callaway Golf Co.* | | | 292 | | | | 6,839 | |
Red Rock Resorts, Inc. — Class A | | | 134 | | | | 6,507 | |
American Eagle Outfitters, Inc.1 | | | 385 | | | | 6,468 | |
Shake Shack, Inc. — Class A* | | | 95 | | | | 6,450 | |
KB Home | | | 199 | | | | 6,444 | |
LCI Industries | | | 62 | | | | 6,436 | |
Dana, Inc. | | | 366 | | | | 6,431 | |
MillerKnoll, Inc. | | | 186 | | | | 6,428 | |
Dorman Products, Inc.* | | | 66 | | | | 6,272 | |
International Game Technology plc | | | 252 | | | | 6,219 | |
Allegiant Travel Co. — Class A* | | | 38 | | | | 6,171 | |
Gentherm, Inc.* | | | 84 | | | | 6,135 | |
Nikola Corp.*,1 | | | 572 | | | | 6,126 | |
Meritor, Inc.* | | | 170 | | | | 6,047 | |
Nu Skin Enterprises, Inc. — Class A | | | 124 | | | | 5,937 | |
Tri Pointe Homes, Inc.* | | | 276 | | | | 5,542 | |
Cavco Industries, Inc.* | | | 23 | | | | 5,540 | |
Madison Square Garden Entertainment Corp.* | | | 66 | | | | 5,498 | |
KAR Auction Services, Inc.* | | | 303 | | | | 5,469 | |
Bed Bath & Beyond, Inc.* | | | 242 | | | | 5,452 | |
MDC Holdings, Inc. | | | 144 | | | | 5,449 | |
Spirit Airlines, Inc.* | | | 248 | | | | 5,424 | |
Rush Enterprises, Inc. — Class A | | | 106 | | | | 5,396 | |
Kontoor Brands, Inc. | | | 130 | | | | 5,376 | |
LGI Homes, Inc.* | | | 55 | | | | 5,372 | |
GMS, Inc.* | | | 107 | | | | 5,325 | |
Dave & Buster’s Entertainment, Inc.* | | | 108 | | | | 5,303 | |
Fisker, Inc.*,1 | | | 411 | | | | 5,302 | |
ODP Corp.* | | | 115 | | | | 5,270 | |
Vista Outdoor, Inc.* | | | 144 | | | | 5,139 | |
Cannae Holdings, Inc.* | | | 212 | | | | 5,071 | |
Installed Building Products, Inc. | | | 60 | | | | 5,069 | |
Jack in the Box, Inc. | | | 53 | | | | 4,951 | |
Bloomin’ Brands, Inc. | | | 222 | | | | 4,871 | |
Veritiv Corp.* | | | 36 | | | | 4,809 | |
Cinemark Holdings, Inc.* | | | 272 | | | | 4,700 | |
PriceSmart, Inc. | | | 59 | | | | 4,653 | |
Wolverine World Wide, Inc. | | | 204 | | | | 4,602 | |
Cheesecake Factory, Inc.* | | | 115 | | | | 4,576 | |
Everi Holdings, Inc.* | | | 214 | | | | 4,494 | |
Abercrombie & Fitch Co. — Class A* | | | 140 | | | | 4,479 | |
Lions Gate Entertainment Corp. — Class B* | | | 296 | | | | 4,449 | |
Winnebago Industries, Inc. | | | 82 | | | | 4,430 | |
Brinker International, Inc.* | | | 114 | | | | 4,350 | |
Urban Outfitters, Inc.* | | | 172 | | | | 4,319 | |
Sally Beauty Holdings, Inc.* | | | 274 | | | | 4,283 | |
iRobot Corp.* | | | 67 | | | | 4,248 | |
World Fuel Services Corp. | | | 157 | | | | 4,245 | |
Methode Electronics, Inc. | | | 96 | | | | 4,152 | |
HNI Corp. | | | 110 | | | | 4,075 | |
Century Communities, Inc. | | | 75 | | | | 4,018 | |
Dillard’s, Inc. — Class A | | | 14 | | | | 3,757 | |
SkyWest, Inc.* | | | 126 | | | | 3,635 | |
Oxford Industries, Inc. | | | 40 | | | | 3,620 | |
H&E Equipment Services, Inc. | | | 81 | | | | 3,525 | |
Healthcare Services Group, Inc. | | | 188 | | | | 3,491 | |
Acushnet Holdings Corp. | | | 86 | | | | 3,462 | |
Patrick Industries, Inc. | | | 57 | | | | 3,437 | |
Dine Brands Global, Inc. | | | 41 | | | | 3,196 | |
M/I Homes, Inc.* | | | 72 | | | | 3,193 | |
Shyft Group, Inc. | | | 87 | | | | 3,142 | |
Tenneco, Inc. — Class A* | | | 170 | | | | 3,114 | |
Clean Energy Fuels Corp.* | | | 390 | | | | 3,097 | |
Malibu Boats, Inc. — Class A* | | | 53 | | | | 3,075 | |
G-III Apparel Group Ltd.* | | | 111 | | | | 3,003 | |
Franchise Group, Inc. | | | 71 | | | | 2,941 | |
Camping World Holdings, Inc. — Class A1 | | | 104 | | | | 2,907 | |
La-Z-Boy, Inc. | | | 110 | | | | 2,901 | |
Monarch Casino & Resort, Inc.* | | | 33 | | | | 2,879 | |
Sleep Number Corp.* | | | 55 | | | | 2,789 | |
Liberty Media Corporation-Liberty Braves — Class C* | | | 93 | | | | 2,596 | |
Big Lots, Inc. | | | 75 | | | | 2,595 | |
Steelcase, Inc. — Class A | | | 214 | | | | 2,557 | |
Bally’s Corp.* | | | 82 | | | | 2,521 | |
Hawaiian Holdings, Inc.* | | | 127 | | | | 2,502 | |
Golden Entertainment, Inc.* | | | 43 | | | | 2,497 | |
Buckle, Inc. | | | 75 | | | | 2,478 | |
Tupperware Brands Corp.* | | | 127 | | | | 2,470 | |
IMAX Corp.* | | | 126 | | | | 2,385 | |
Sonic Automotive, Inc. — Class A | | | 56 | | | | 2,381 | |
Lions Gate Entertainment Corp. — Class A* | | | 146 | | | | 2,373 | |
XPEL, Inc.* | | | 45 | | | | 2,367 | |
Genesco, Inc.* | | | 37 | | | | 2,354 | |
Denny’s Corp.* | | | 160 | | | | 2,290 | |
Standard Motor Products, Inc. | | | 53 | | | | 2,286 | |
104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
ScanSource, Inc.* | | | 64 | | | $ | 2,227 | |
Guess?, Inc.1 | | | 101 | | | | 2,207 | |
American Axle & Manufacturing Holdings, Inc.* | | | 284 | | | | 2,204 | |
MarineMax, Inc.* | | | 53 | | | | 2,134 | |
Sun Country Airlines Holdings, Inc.* | | | 81 | | | | 2,121 | |
Designer Brands, Inc. — Class A* | | | 151 | | | | 2,040 | |
Interface, Inc. — Class A | | | 147 | | | | 1,995 | |
Winmark Corp. | | | 9 | | | | 1,980 | |
Douglas Dynamics, Inc. | | | 57 | | | | 1,972 | |
Ruth’s Hospitality Group, Inc. | | | 86 | | | | 1,968 | |
Workhorse Group, Inc.* | | | 385 | | | | 1,925 | |
Aspen Aerogels, Inc.* | | | 55 | | | | 1,896 | |
Arko Corp. | | | 208 | | | | 1,893 | |
Titan International, Inc.* | | | 128 | | | | 1,885 | |
Wabash National Corp. | | | 127 | | | | 1,885 | |
Zumiez, Inc.* | | | 49 | | | | 1,872 | |
Caleres, Inc. | | | 93 | | | | 1,798 | |
Lovesac Co.* | | | 32 | | | | 1,730 | |
Children’s Place, Inc.* | | | 35 | | | | 1,725 | |
Accel Entertainment, Inc.* | | | 141 | | | | 1,717 | |
A-Mark Precious Metals, Inc. | | | 22 | | | | 1,701 | |
BlueLinx Holdings, Inc.* | | | 23 | | | | 1,653 | |
OptimizeRx Corp.* | | | 43 | | | | 1,621 | |
Movado Group, Inc. | | | 41 | | | | 1,601 | |
BJ’s Restaurants, Inc.* | | | 56 | | | | 1,585 | |
Green Brick Partners, Inc.* | | | 77 | | | | 1,522 | |
Hibbett, Inc. | | | 34 | | | | 1,508 | |
Clarus Corp. | | | 66 | | | | 1,503 | |
Canoo, Inc.* | | | 268 | | | | 1,479 | |
PC Connection, Inc. | | | 28 | | | | 1,467 | |
Ethan Allen Interiors, Inc. | | | 56 | | | | 1,460 | |
Portillo’s, Inc. — Class A* | | | 59 | | | | 1,449 | |
Chico’s FAS, Inc.* | | | 301 | | | | 1,445 | |
Life Time Group Holdings, Inc.* | | | 97 | | | | 1,410 | |
Titan Machinery, Inc.* | | | 49 | | | | 1,385 | |
OneSpaWorld Holdings Ltd.* | | | 134 | | | | 1,367 | |
RCI Hospitality Holdings, Inc. | | | 22 | | | | 1,352 | |
Chuy’s Holdings, Inc.* | | | 50 | | | | 1,350 | |
TravelCenters of America, Inc.* | | | 31 | | | | 1,332 | |
Lordstown Motors Corp. — Class A* | | | 389 | | | | 1,327 | |
PetMed Express, Inc. | | | 51 | | | | 1,316 | |
Hyliion Holdings Corp.*,1 | | | 294 | | | | 1,302 | |
America’s Car-Mart, Inc.* | | | 16 | | | | 1,289 | |
Shoe Carnival, Inc. | | | 44 | | | | 1,283 | |
GrowGeneration Corp.* | | | 139 | | | | 1,280 | |
VSE Corp. | | | 27 | | | | 1,244 | |
Ideanomics, Inc.* | | | 1,101 | | | | 1,233 | |
Rite Aid Corp.* | | | 140 | | | | 1,225 | |
Sportsman’s Warehouse Holdings, Inc.* | | | 109 | | | | 1,165 | |
Lindblad Expeditions Holdings, Inc.* | | | 77 | | | | 1,161 | |
Fossil Group, Inc.* | | | 120 | | | | 1,157 | |
MasterCraft Boat Holdings, Inc.* | | | 47 | | | | 1,157 | |
Funko, Inc. — Class A* | | | 67 | | | | 1,156 | |
Bluegreen Vacations Holding Corp.* | | | 39 | | | | 1,153 | |
Haverty Furniture Companies, Inc. | | | 42 | | | | 1,152 | |
Aeva Technologies, Inc.* | | | 265 | | | | 1,147 | |
Beazer Homes USA, Inc.* | | | 74 | | | | 1,126 | |
Universal Electronics, Inc.* | | | 34 | | | | 1,062 | |
Global Industrial Co. | | | 32 | | | | 1,031 | |
LL Flooring Holdings, Inc.* | | | 73 | | | | 1,023 | |
Rush Street Interactive, Inc.* | | | 139 | | | | 1,011 | |
Johnson Outdoors, Inc. — Class A | | | 13 | | | | 1,011 | |
Marcus Corp.* | | | 57 | | | | 1,009 | |
Frontier Group Holdings, Inc.*,1 | | | 88 | | | | 997 | |
Sweetgreen, Inc. — Class A* | | | 31 | | | | 992 | |
Party City Holdco, Inc.* | | | 277 | | | | 992 | |
REV Group, Inc. | | | 71 | | | | 951 | |
PLBY Group, Inc.* | | | 72 | | | | 942 | |
Sovos Brands, Inc.* | | | 65 | | | | 922 | |
OneWater Marine, Inc. — Class A | | | 26 | | | | 896 | |
Big 5 Sporting Goods Corp. | | | 52 | | | | 892 | |
F45 Training Holdings, Inc.* | | | 79 | | | | 845 | |
Purple Innovation, Inc.* | | | 144 | | | | 843 | |
Motorcar Parts of America, Inc.* | | | 47 | | | | 838 | |
Rush Enterprises, Inc. — Class B | | | 17 | | | | 822 | |
Century Casinos, Inc.* | | | 68 | | | | 813 | |
Miller Industries, Inc. | | | 28 | | | | 789 | |
Full House Resorts, Inc.* | | | 82 | | | | 788 | |
Kimball International, Inc. — Class B | | | 91 | | | | 769 | |
Hovnanian Enterprises, Inc. — Class A* | | | 13 | | | | 768 | |
Forestar Group, Inc.* | | | 43 | | | | 764 | |
Blue Bird Corp.* | | | 40 | | | | 753 | |
Rocky Brands, Inc. | | | 18 | | | | 749 | |
Cato Corp. — Class A | | | 50 | | | | 733 | |
Liberty Media Corporation-Liberty Braves — Class A* | | | 25 | | | | 719 | |
Golden Nugget Online Gaming, Inc.* | | | 100 | | | | 711 | |
Citi Trends, Inc.* | | | 23 | | | | 704 | |
Conn’s, Inc.* | | | 45 | | | | 693 | |
Commercial Vehicle Group, Inc.* | | | 80 | | | | 676 | |
Red Robin Gourmet Burgers, Inc.* | | | 39 | | | | 658 | |
Container Store Group, Inc.* | | | 80 | | | | 654 | |
Noodles & Co.* | | | 103 | | | | 615 | |
XL Fleet Corp.*,1 | | | 299 | | | | 595 | |
Xponential Fitness, Inc. — Class A* | | | 25 | | | | 586 | |
Hooker Furnishings Corp. | | | 30 | | | | 568 | |
El Pollo Loco Holdings, Inc.* | | | 48 | | | | 558 | |
Superior Group of Companies, Inc. | | | 31 | | | | 553 | |
Kura Sushi USA, Inc. — Class A* | | | 10 | | | | 551 | |
ONE Group Hospitality, Inc.* | | | 52 | | | | 546 | |
Tilly’s, Inc. — Class A | | | 57 | | | | 533 | |
Vera Bradley, Inc.* | | | 66 | | | | 506 | |
Snap One Holdings Corp.* | | | 34 | | | | 502 | |
Velodyne Lidar, Inc.* | | | 189 | | | | 484 | |
Romeo Power, Inc.*,1 | | | 324 | | | | 483 | |
GAN Ltd.* | | | 100 | | | | 482 | |
Arcimoto, Inc.* | | | 72 | | | | 476 | |
Weber, Inc. — Class A | | | 45 | | | | 442 | |
Biglari Holdings, Inc. — Class B* | | | 3 | | | | 434 | |
Lifetime Brands, Inc. | | | 33 | | | | 424 | |
Traeger, Inc.* | | | 56 | | | | 417 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Barnes & Noble Education, Inc.* | | | 113 | | | $ | 405 | |
NEOGAMES S.A.* | | | 26 | | | | 401 | |
VOXX International Corp. — Class A* | | | 39 | | | | 389 | |
Lazydays Holdings, Inc.* | | | 19 | | | | 383 | |
Bassett Furniture Industries, Inc. | | | 23 | | | | 381 | |
Mesa Air Group, Inc.* | | | 86 | | | | 378 | |
Liberty TripAdvisor Holdings, Inc. — Class A* | | | 183 | | | | 375 | |
Target Hospitality Corp.* | | | 62 | | | | 372 | |
Cooper-Standard Holdings, Inc.* | | | 42 | | | | 368 | |
Duluth Holdings, Inc. — Class B* | | | 30 | | | | 367 | |
First Watch Restaurant Group, Inc.* | | | 28 | | | | 365 | |
JOANN, Inc. | | | 32 | | | | 365 | |
Daktronics, Inc.* | | | 92 | | | | 353 | |
Kirkland’s, Inc.* | | | 37 | | | | 344 | |
Escalade, Inc. | | | 26 | | | | 343 | |
Shift Technologies, Inc.* | | | 155 | | | | 341 | |
Fiesta Restaurant Group, Inc.* | | | 44 | | | | 329 | |
Flexsteel Industries, Inc. | | | 17 | | | | 328 | |
Drive Shack, Inc.* | | | 207 | | | | 319 | |
Nautilus, Inc.* | | | 76 | | | | 313 | |
EVI Industries, Inc.* | | | 15 | | | | 279 | |
CarLotz, Inc.* | | | 179 | | | | 245 | |
Marine Products Corp. | | | 20 | | | | 231 | |
Landsea Homes Corp.* | | | 27 | | | | 231 | |
Regis Corp.* | | | 107 | | | | 227 | |
Hamilton Beach Brands Holding Co. — Class A | | | 19 | | | | 221 | |
Torrid Holdings, Inc.* | | | 32 | | | | 194 | |
Carrols Restaurant Group, Inc. | | | 84 | | | | 190 | |
Esports Technologies, Inc.* | | | 28 | | | | 189 | |
Aterian, Inc.* | | | 65 | | | | 158 | |
Hall of Fame Resort & Entertainment Co.* | | | 140 | | | | 155 | |
Chicken Soup For The Soul Entertainment, Inc.* | | | 18 | | | | 144 | |
Eros STX Global Corp.* | | | 40 | | | | 112 | |
CompX International, Inc. | | | 4 | | | | 94 | |
MedAvail Holdings, Inc.* | | | 30 | | | | 29 | |
Total Consumer, Cyclical | | | | | | | 859,630 | |
| | | | | | | | | |
Technology - 7.4% |
Lattice Semiconductor Corp.* | | | 341 | | | | 20,784 | |
Synaptics, Inc.* | | | 98 | | | | 19,551 | |
KBR, Inc. | | | 355 | | | | 19,429 | |
Rapid7, Inc.* | | | 141 | | | | 15,685 | |
Silicon Laboratories, Inc.* | | | 95 | | | | 14,269 | |
Power Integrations, Inc. | | | 147 | | | | 13,624 | |
Tenable Holdings, Inc.* | | | 231 | | | | 13,350 | |
CMC Materials, Inc. | | | 71 | | | | 13,163 | |
Varonis Systems, Inc.* | | | 268 | | | | 12,741 | |
Workiva, Inc.* | | | 107 | | | | 12,626 | |
Qualys, Inc.* | | | 85 | | | | 12,105 | |
SPS Commerce, Inc.* | | | 91 | | | | 11,939 | |
Sailpoint Technologies Holdings, Inc.* | | | 231 | | | | 11,823 | |
ExlService Holdings, Inc.* | | | 82 | | | | 11,748 | |
Maximus, Inc. | | | 154 | | | | 11,542 | |
Semtech Corp.* | | | 162 | | | | 11,233 | |
MicroStrategy, Inc. — Class A*,1 | | | 23 | | | | 11,185 | |
Onto Innovation, Inc.* | | | 123 | | | | 10,688 | |
Ziff Davis, Inc.* | | | 109 | | | | 10,549 | |
MaxLinear, Inc. — Class A* | | | 178 | | | | 10,386 | |
Envestnet, Inc.* | | | 136 | | | | 10,124 | |
Digital Turbine, Inc.* | | | 228 | | | | 9,989 | |
Blackline, Inc.* | | | 136 | | | | 9,958 | |
SiTime Corp.* | | | 40 | | | | 9,913 | |
Box, Inc. — Class A* | | | 341 | | | | 9,909 | |
Diodes, Inc.* | | | 109 | | | | 9,482 | |
Ambarella, Inc.* | | | 89 | | | | 9,338 | |
ACI Worldwide, Inc.* | | | 296 | | | | 9,321 | |
Insight Enterprises, Inc.* | | | 86 | | | | 9,230 | |
Sprout Social, Inc. — Class A* | | | 113 | | | | 9,054 | |
Rambus, Inc.* | | | 272 | | | | 8,674 | |
Kulicke & Soffa Industries, Inc. | | | 154 | | | | 8,627 | |
Verint Systems, Inc.* | | | 161 | | | | 8,324 | |
FormFactor, Inc.* | | | 195 | | | | 8,196 | |
Altair Engineering, Inc. — Class A* | | | 116 | | | | 7,470 | |
DigitalOcean Holdings, Inc.* | | | 128 | | | | 7,405 | |
CommVault Systems, Inc.* | | | 111 | | | | 7,365 | |
Blackbaud, Inc.* | | | 122 | | | | 7,304 | |
MACOM Technology Solutions Holdings, Inc.* | | | 122 | | | | 7,304 | |
Asana, Inc. — Class A* | | | 179 | | | | 7,155 | |
PagerDuty, Inc.* | | | 206 | | | | 7,043 | |
Allscripts Healthcare Solutions, Inc.* | | | 304 | | | | 6,846 | |
Evolent Health, Inc. — Class A* | | | 200 | | | | 6,460 | |
Bottomline Technologies DE, Inc.* | | | 112 | | | | 6,348 | |
Axcelis Technologies, Inc.* | | | 83 | | | | 6,269 | |
Appian Corp.* | | | 99 | | | | 6,021 | |
ManTech International Corp. — Class A | | | 69 | | | | 5,947 | |
Verra Mobility Corp.* | | | 360 | | | | 5,861 | |
NetScout Systems, Inc.* | | | 176 | | | | 5,646 | |
Amkor Technology, Inc. | | | 257 | | | | 5,582 | |
Appfolio, Inc. — Class A* | | | 49 | | | | 5,547 | |
Outset Medical, Inc.* | | | 118 | | | | 5,357 | |
Momentive Global, Inc.* | | | 325 | | | | 5,285 | |
CSG Systems International, Inc. | | | 82 | | | | 5,213 | |
3D Systems Corp.* | | | 311 | | | | 5,188 | |
Progress Software Corp. | | | 110 | | | | 5,180 | |
Ultra Clean Holdings, Inc.* | | | 112 | | | | 4,748 | |
Apollo Medical Holdings, Inc.* | | | 95 | | | | 4,605 | |
Xperi Holding Corp. | | | 265 | | | | 4,590 | |
Cardlytics, Inc.* | | | 81 | | | | 4,453 | |
E2open Parent Holdings, Inc.* | | | 498 | | | | 4,387 | |
Zuora, Inc. — Class A* | | | 282 | | | | 4,224 | |
Ping Identity Holding Corp.* | | | 153 | | | | 4,197 | |
Super Micro Computer, Inc.* | | | 110 | | | | 4,188 | |
LivePerson, Inc.* | | | 165 | | | | 4,029 | |
Schrodinger Incorporated/United States* | | | 115 | | | | 3,924 | |
TTEC Holdings, Inc. | | | 46 | | | | 3,796 | |
JFrog Ltd.* | | | 133 | | | | 3,584 | |
Unisys Corp.* | | | 165 | | | | 3,566 | |
8x8, Inc.* | | | 283 | | | | 3,563 | |
Cohu, Inc.* | | | 120 | | | | 3,552 | |
106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Domo, Inc. — Class B* | | | 70 | | | $ | 3,540 | |
Cerence, Inc.* | | | 95 | | | | 3,429 | |
Veeco Instruments, Inc.* | | | 126 | | | | 3,426 | |
Health Catalyst, Inc.* | | | 131 | | | | 3,423 | |
PROS Holdings, Inc.* | | | 100 | | | | 3,331 | |
Phreesia, Inc.* | | | 125 | | | | 3,295 | |
1Life Healthcare, Inc.* | | | 292 | | | | 3,235 | |
Avid Technology, Inc.* | | | 91 | | | | 3,173 | |
SMART Global Holdings, Inc.* | | | 122 | | | | 3,151 | |
NextGen Healthcare, Inc.* | | | 144 | | | | 3,011 | |
Impinj, Inc.* | | | 47 | | | | 2,986 | |
Alpha & Omega Semiconductor Ltd.* | | | 53 | | | | 2,897 | |
Privia Health Group, Inc.* | | | 105 | | | | 2,807 | |
BigCommerce Holdings, Inc.* | | | 122 | | | | 2,673 | |
Avaya Holdings Corp.* | | | 207 | | | | 2,623 | |
Photronics, Inc.* | | | 154 | | | | 2,613 | |
Sumo Logic, Inc.* | | | 220 | | | | 2,567 | |
Parsons Corp.* | | | 66 | | | | 2,554 | |
PAR Technology Corp.* | | | 63 | | | | 2,541 | |
Donnelley Financial Solutions, Inc.* | | | 74 | | | | 2,461 | |
Consensus Cloud Solutions, Inc.* | | | 40 | | | | 2,405 | |
Model N, Inc.* | | | 89 | | | | 2,394 | |
Pitney Bowes, Inc. | | | 444 | | | | 2,309 | |
CEVA, Inc.* | | | 56 | | | | 2,276 | |
Alignment Healthcare, Inc.* | | | 199 | | | | 2,235 | |
Desktop Metal, Inc. — Class A* | | | 471 | | | | 2,233 | |
Ebix, Inc. | | | 67 | | | | 2,221 | |
Conduent, Inc.* | | | 421 | | | | 2,172 | |
Agilysys, Inc.* | | | 53 | | | | 2,114 | |
PDF Solutions, Inc.* | | | 75 | | | | 2,090 | |
Sapiens International Corporation N.V. | | | 77 | | | | 1,955 | |
Yext, Inc.* | | | 282 | | | | 1,943 | |
Simulations Plus, Inc. | | | 38 | | | | 1,937 | |
Bandwidth, Inc. — Class A* | | | 58 | | | | 1,879 | |
Digi International, Inc.* | | | 85 | | | | 1,829 | |
BTRS Holdings, Inc. — Class 1* | | | 237 | | | | 1,773 | |
PowerSchool Holdings, Inc. — Class A* | | | 107 | | | | 1,767 | |
American Software, Inc. — Class A | | | 80 | | | | 1,667 | |
Grid Dynamics Holdings, Inc.* | | | 114 | | | | 1,605 | |
Mitek Systems, Inc.* | | | 108 | | | | 1,584 | |
Rackspace Technology, Inc.* | | | 137 | | | | 1,529 | |
Corsair Gaming, Inc.*,1 | | | 69 | | | | 1,460 | |
Ouster, Inc.* | | | 319 | | | | 1,436 | |
Porch Group, Inc.* | | | 194 | | | | 1,347 | |
CS Disco, Inc.* | | | 39 | | | | 1,325 | |
Veritone, Inc.* | | | 71 | | | | 1,298 | |
OneSpan, Inc.* | | | 89 | | | | 1,285 | |
Upland Software, Inc.* | | | 72 | | | | 1,268 | |
Diebold Nixdorf, Inc.* | | | 180 | | | | 1,211 | |
Computer Programs and Systems, Inc.* | | | 35 | | | | 1,206 | |
Integral Ad Science Holding Corp.* | | | 80 | | | | 1,104 | |
MeridianLink, Inc.* | | | 57 | | | | 1,032 | |
Alkami Technology, Inc.* | | | 72 | | | | 1,030 | |
Telos Corp.* | | | 100 | | | | 997 | |
Cantaloupe, Inc.* | | | 147 | | | | 995 | |
EverCommerce, Inc.* | | | 75 | | | | 990 | |
Vuzix Corp.*,1 | | | 147 | | | | 970 | |
HireRight Holdings Corp.* | | | 56 | | | | 958 | |
Daily Journal Corp.* | | | 3 | | | | 936 | |
ON24, Inc.* | | | 67 | | | | 881 | |
Inseego Corp.*,1 | | | 213 | | | | 863 | |
EngageSmart, Inc.* | | | 40 | | | | 852 | |
Digimarc Corp.* | | | 32 | | | | 844 | |
Brightcove, Inc.* | | | 103 | | | | 803 | |
Benefitfocus, Inc.* | | | 63 | | | | 795 | |
Genius Brands International, Inc.* | | | 711 | | | | 725 | |
AXT, Inc.* | | | 101 | | | | 709 | |
Enfusion, Inc. — Class A* | | | 54 | | | | 687 | |
Atomera, Inc.* | | | 51 | | | | 666 | |
Outbrain, Inc.* | | | 61 | | | | 655 | |
Rimini Street, Inc.* | | | 112 | | | | 650 | |
Intapp, Inc.* | | | 26 | | | | 624 | |
eGain Corp.* | | | 52 | | | | 602 | |
Instructure Holdings, Inc.* | | | 30 | | | | 602 | |
AvidXchange Holdings, Inc.* | | | 64 | | | | 515 | |
CoreCard Corp.* | | | 18 | | | | 493 | |
PlayAGS, Inc.* | | | 69 | | | | 460 | |
Smith Micro Software, Inc.* | | | 115 | | | | 434 | |
Rekor Systems, Inc.* | | | 86 | | | | 392 | |
EMCORE Corp.* | | | 93 | | | | 344 | |
Quantum Corp.* | | | 147 | | | | 334 | |
SecureWorks Corp. — Class A* | | | 25 | | | | 331 | |
Forian, Inc.* | | | 47 | | | | 327 | |
Tabula Rasa HealthCare, Inc.* | | | 56 | | | | 323 | |
GTY Technology Holdings, Inc.* | | | 81 | | | | 262 | |
iCAD, Inc.* | | | 55 | | | | 245 | |
IBEX Holdings Ltd.* | | | 15 | | | | 239 | |
Convey Health Solutions Holdings, Inc.* | | | 34 | | | | 222 | |
SkyWater Technology, Inc.* | | | 20 | | | | 217 | |
DarioHealth Corp.* | | | 35 | | | | 204 | |
GreenBox POS* | | | 46 | | | | 194 | |
Viant Technology, Inc. — Class A* | | | 29 | | | | 190 | |
StarTek, Inc.* | | | 42 | | | | 186 | |
Arteris, Inc.* | | | 13 | | | | 169 | |
Kaltura, Inc.* | | | 44 | | | | 79 | |
Weave Communications, Inc.* | | | 12 | | | | 72 | |
NantHealth, Inc.* | | | 67 | | | | 50 | |
Society Pass, Inc.* | | | 8 | | | | 24 | |
Total Technology | | | | | | | 737,526 | |
| | | | | | | | | |
Energy - 4.5% |
Ovintiv, Inc. | | | 655 | | | | 35,416 | |
Chesapeake Energy Corp. | | | 263 | | | | 22,881 | |
Antero Resources Corp.* | | | 720 | | | | 21,982 | |
Range Resources Corp.* | | | 601 | | | | 18,258 | |
Southwestern Energy Co.* | | | 2,545 | | | | 18,248 | |
PDC Energy, Inc. | | | 245 | | | | 17,807 | |
Murphy Oil Corp. | | | 370 | | | | 14,944 | |
Matador Resources Co. | | | 277 | | | | 14,675 | |
ChampionX Corp. | | | 511 | | | | 12,509 | |
SM Energy Co. | | | 301 | | | | 11,724 | |
Helmerich & Payne, Inc. | | | 257 | | | | 10,994 | |
CNX Resources Corp.* | | | 502 | | | | 10,401 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Denbury, Inc.* | | | 126 | | | $ | 9,900 | |
California Resources Corp. | | | 203 | | | | 9,080 | |
Equitrans Midstream Corp. | | | 1,032 | | | | 8,710 | |
Magnolia Oil & Gas Corp. — Class A | | | 361 | | | | 8,538 | |
Kosmos Energy Ltd.* | | | 1,124 | | | | 8,082 | |
Whiting Petroleum Corp. | | | 99 | | | | 8,070 | |
Oasis Petroleum, Inc. | | | 50 | | | | 7,315 | |
Patterson-UTI Energy, Inc. | | | 469 | | | | 7,260 | |
Callon Petroleum Co.* | | | 119 | | | | 7,031 | |
Renewable Energy Group, Inc.* | | | 113 | | | | 6,853 | |
Civitas Resources, Inc. | | | 109 | | | | 6,508 | |
PBF Energy, Inc. — Class A* | | | 241 | | | | 5,873 | |
Peabody Energy Corp.* | | | 223 | | | | 5,470 | |
FuelCell Energy, Inc.*,1 | | | 926 | | | | 5,334 | |
Arch Resources, Inc. | | | 38 | | | | 5,221 | |
Sunnova Energy International, Inc.* | | | 216 | | | | 4,981 | |
Tellurian, Inc.* | | | 928 | | | | 4,918 | |
Warrior Met Coal, Inc. | | | 129 | | | | 4,787 | |
Northern Oil and Gas, Inc. | | | 153 | | | | 4,313 | |
SunPower Corp. — Class A* | | | 200 | | | | 4,296 | |
NexTier Oilfield Solutions, Inc.* | | | 435 | | | | 4,019 | |
Oceaneering International, Inc.* | | | 250 | | | | 3,790 | |
Green Plains, Inc.* | | | 120 | | | | 3,721 | |
Centennial Resource Development, Inc. — Class A* | | | 461 | | | | 3,720 | |
Array Technologies, Inc.* | | | 321 | | | | 3,618 | |
Delek US Holdings, Inc.* | | | 165 | | | | 3,501 | |
US Silica Holdings, Inc.* | | | 184 | | | | 3,434 | |
Liberty Oilfield Services, Inc. — Class A* | | | 228 | | | | 3,379 | |
Dril-Quip, Inc.* | | | 88 | | | | 3,287 | |
CONSOL Energy, Inc.* | | | 86 | | | | 3,236 | |
Stem, Inc.* | | | 286 | | | | 3,149 | |
Archrock, Inc. | | | 340 | | | | 3,138 | |
NOW, Inc.* | | | 278 | | | | 3,066 | |
ProPetro Holding Corp.* | | | 216 | | | | 3,009 | |
Comstock Resources, Inc.* | | | 230 | | | | 3,002 | |
Brigham Minerals, Inc. — Class A | | | 110 | | | | 2,811 | |
Nabors Industries Ltd.* | | | 18 | | | | 2,749 | |
Laredo Petroleum, Inc.* | | | 32 | | | | 2,532 | |
MRC Global, Inc.* | | | 202 | | | | 2,406 | |
Gevo, Inc.* | | | 498 | | | | 2,331 | |
Tidewater, Inc.* | | | 103 | | | | 2,239 | |
Bristow Group, Inc.* | | | 59 | | | | 2,188 | |
Expro Group Holdings N.V.* | | | 118 | | | | 2,098 | |
CVR Energy, Inc. | | | 75 | | | | 1,916 | |
SunCoke Energy, Inc. | | | 210 | | | | 1,871 | |
Ranger Oil Corp. — Class A* | | | 53 | | | | 1,830 | |
RPC, Inc.* | | | 169 | | | | 1,803 | |
Berry Corp. | | | 169 | | | | 1,744 | |
Helix Energy Solutions Group, Inc.* | | | 360 | | | | 1,721 | |
Talos Energy, Inc.* | | | 93 | | | | 1,468 | |
Par Pacific Holdings, Inc.* | | | 112 | | | | 1,458 | |
DMC Global, Inc.* | | | 47 | | | | 1,434 | |
REX American Resources Corp.* | | | 14 | | | | 1,394 | |
Select Energy Services, Inc. — Class A* | | | 158 | | | | 1,354 | |
TPI Composites, Inc.* | | | 92 | | | | 1,294 | |
Crescent Energy, Inc. — Class A | | | 74 | | | | 1,283 | |
TETRA Technologies, Inc.* | | | 307 | | | | 1,262 | |
Alto Ingredients, Inc.* | | | 179 | | | | 1,221 | |
Cleanspark, Inc.*,1 | | | 87 | | | | 1,076 | |
Oil States International, Inc.* | | | 152 | | | | 1,056 | |
W&T Offshore, Inc.* | | | 235 | | | | 898 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 79 | | | | 892 | |
Aris Water Solution, Inc. — Class A | | | 49 | | | | 892 | |
Aemetis, Inc.* | | | 68 | | | | 862 | |
Newpark Resources, Inc.* | | | 226 | | | | 827 | |
Infrastructure and Energy Alternatives, Inc.* | | | 69 | | | | 818 | |
National Energy Services Reunited Corp.* | | | 95 | | | | 798 | |
Earthstone Energy, Inc. — Class A* | | | 63 | | | | 796 | |
Falcon Minerals Corp. | | | 99 | | | | 667 | |
Riley Exploration Permian, Inc. | | | 26 | | | | 652 | |
FutureFuel Corp. | | | 65 | | | | 632 | |
Kinetik Holdings, Inc. — Class A | | | 9 | | | | 585 | |
Matrix Service Co.* | | | 65 | | | | 534 | |
Eos Energy Enterprises, Inc.* | | | 111 | | | | 464 | |
Beam Global* | | | 22 | | | | 450 | |
HighPeak Energy, Inc. | | | 13 | | | | 289 | |
Advent Technologies Holdings, Inc.* | | | 39 | | | | 90 | |
Total Energy | | | | | | | 449,133 | |
| | | | | | | | | |
Communications - 2.9% |
Vonage Holdings Corp.* | | | 634 | | | | 12,864 | |
TEGNA, Inc. | | | 557 | | | | 12,477 | |
Mimecast Ltd.* | | | 153 | | | | 12,173 | |
Iridium Communications, Inc.* | | | 296 | | | | 11,935 | |
Cargurus, Inc.* | | | 239 | | | | 10,148 | |
Viavi Solutions, Inc.* | | | 574 | | | | 9,230 | |
Perficient, Inc.* | | | 82 | | | | 9,027 | |
Q2 Holdings, Inc.* | | | 138 | | | | 8,508 | |
Maxar Technologies, Inc. | | | 182 | | | | 7,182 | |
Cogent Communications Holdings, Inc. | | | 107 | | | | 7,099 | |
Upwork, Inc.* | | | 296 | | | | 6,879 | |
Houghton Mifflin Harcourt Co.* | | | 320 | | | | 6,723 | |
Yelp, Inc. — Class A* | | | 179 | | | | 6,106 | |
Calix, Inc.* | | | 138 | | | | 5,921 | |
Shutterstock, Inc. | | | 59 | | | | 5,492 | |
TechTarget, Inc.* | | | 66 | | | | 5,364 | |
iHeartMedia, Inc. — Class A* | | | 282 | | | | 5,338 | |
Open Lending Corp. — Class A* | | | 261 | | | | 4,935 | |
InterDigital, Inc. | | | 77 | | | | 4,913 | |
Revolve Group, Inc.* | | | 90 | | | | 4,832 | |
Telephone & Data Systems, Inc. | | | 253 | | | | 4,777 | |
Overstock.com, Inc.* | | | 108 | | | | 4,753 | |
Gray Television, Inc. | | | 214 | | | | 4,723 | |
Magnite, Inc.* | | | 327 | | | | 4,320 | |
Plantronics, Inc.* | | | 106 | | | | 4,176 | |
Infinera Corp.* | | | 458 | | | | 3,971 | |
Extreme Networks, Inc.* | | | 318 | | | | 3,883 | |
ePlus, Inc.* | | | 67 | | | | 3,756 | |
Liberty Latin America Ltd. — Class C* | | | 389 | | | | 3,731 | |
Sinclair Broadcast Group, Inc. — Class A | | | 115 | | | | 3,222 | |
108 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Clear Channel Outdoor Holdings, Inc.* | | | 916 | | | $ | 3,169 | |
EW Scripps Co. — Class A* | | | 144 | | | | 2,994 | |
AMC Networks, Inc. — Class A* | | | 73 | | | | 2,966 | |
Shenandoah Telecommunications Co. | | | 121 | | | | 2,853 | |
Eventbrite, Inc. — Class A* | | | 191 | | | | 2,821 | |
Gogo, Inc.* | | | 148 | | | | 2,821 | |
Scholastic Corp. | | | 67 | | | | 2,699 | |
Cars.com, Inc.* | | | 172 | | | | 2,482 | |
WideOpenWest, Inc.* | | | 132 | | | | 2,302 | |
EchoStar Corp. — Class A* | | | 93 | | | | 2,264 | |
Globalstar, Inc.* | | | 1,527 | | | | 2,245 | |
ADTRAN, Inc. | | | 121 | | | | 2,232 | |
fuboTV, Inc.* | | | 339 | | | | 2,227 | |
Harmonic, Inc.* | | | 227 | | | | 2,109 | |
A10 Networks, Inc. | | | 150 | | | | 2,092 | |
Stitch Fix, Inc. — Class A* | | | 204 | | | | 2,054 | |
NeoPhotonics Corp.* | | | 128 | | | | 1,947 | |
Clearfield, Inc.* | | | 29 | | | | 1,891 | |
NETGEAR, Inc.* | | | 72 | | | | 1,777 | |
Tucows, Inc. — Class A* | | | 25 | | | | 1,707 | |
Anterix, Inc.* | | | 29 | | | | 1,679 | |
Limelight Networks, Inc.* | | | 313 | | | | 1,634 | |
Gannett Company, Inc.* | | | 354 | | | | 1,597 | |
QuinStreet, Inc.* | | | 126 | | | | 1,462 | |
RealReal, Inc.* | | | 200 | | | | 1,452 | |
Quotient Technology, Inc.* | | | 225 | | | | 1,435 | |
Boston Omaha Corp. — Class A* | | | 51 | | | | 1,294 | |
HealthStream, Inc.* | | | 63 | | | | 1,255 | |
IDT Corp. — Class B* | | | 36 | | | | 1,227 | |
ChannelAdvisor Corp.* | | | 74 | | | | 1,226 | |
Advantage Solutions, Inc.* | | | 191 | | | | 1,219 | |
United States Cellular Corp.* | | | 39 | | | | 1,179 | |
Groupon, Inc.*,1 | | | 59 | | | | 1,135 | |
ATN International, Inc. | | | 28 | | | | 1,117 | |
Stagwell, Inc.* | | | 154 | | | | 1,115 | |
Consolidated Communications Holdings, Inc.* | | | 183 | | | | 1,080 | |
Liberty Latin America Ltd. — Class A* | | | 108 | | | | 1,048 | |
Couchbase, Inc.*,1 | | | 59 | | | | 1,028 | |
Liquidity Services, Inc.* | | | 58 | | | | 993 | |
Entravision Communications Corp. — Class A | | | 151 | | | | 968 | |
MediaAlpha, Inc. — Class A* | | | 53 | | | | 877 | |
Audacy, Inc.* | | | 296 | | | | 855 | |
1-800-Flowers.com, Inc. — Class A* | | | 67 | | | | 855 | |
Ooma, Inc.* | | | 56 | | | | 839 | |
Credo Technology Group Holding Ltd.* | | | 55 | | | | 838 | |
Aviat Networks, Inc.* | | | 27 | | | | 831 | |
CarParts.com, Inc.* | | | 122 | | | | 817 | |
EverQuote, Inc. — Class A* | | | 49 | | | | 793 | |
CalAmp Corp.* | | | 89 | | | | 650 | |
Cambium Networks Corp.* | | | 27 | | | | 638 | |
Lands’ End, Inc.* | | | 36 | | | | 609 | |
DZS, Inc.* | | | 43 | | | | 596 | |
Ribbon Communications, Inc.* | | | 176 | | | | 544 | |
Thryv Holdings, Inc.* | | | 19 | | | | 534 | |
comScore, Inc.* | | | 175 | | | | 509 | |
Preformed Line Products Co. | | | 8 | | | | 507 | |
National CineMedia, Inc. | | | 151 | | | | 383 | |
Casa Systems, Inc.* | | | 80 | | | | 362 | |
KVH Industries, Inc.* | | | 38 | | | | 346 | |
Telesat Corp.* | | | 18 | | | | 297 | |
VirnetX Holding Corp.*,1 | | | 159 | | | | 259 | |
Solo Brands, Inc. — Class A*,1 | | | 30 | | | | 256 | |
Fluent, Inc.* | | | 109 | | | | 227 | |
Value Line, Inc. | | | 3 | | | | 201 | |
CuriosityStream, Inc.* | | | 65 | | | | 188 | |
Hemisphere Media Group, Inc.* | | | 41 | | | | 187 | |
1stdibs.com, Inc.* | | | 17 | | | | 136 | |
LiveOne, Inc.* | | | 148 | | | | 121 | |
aka Brands Holding Corp.* | | | 24 | | | | 106 | |
HyreCar, Inc.* | | | 44 | | | | 105 | |
Lulu’s Fashion Lounge Holdings, Inc.* | | | 15 | | | | 102 | |
Digital Media Solutions, Inc. — Class A* | | | 9 | | | | 33 | |
Total Communications | | | | | | | 285,854 | |
| | | | | | | | | |
Basic Materials - 2.3% |
Rogers Corp.* | | | 47 | | | | 12,770 | |
Commercial Metals Co. | | | 303 | | | | 12,611 | |
Balchem Corp. | | | 81 | | | | 11,073 | |
MP Materials Corp.* | | | 190 | | | | 10,895 | |
Livent Corp.* | | | 408 | | | | 10,637 | |
Cabot Corp. | | | 141 | | | | 9,646 | |
Sensient Technologies Corp. | | | 107 | | | | 8,983 | |
Hecla Mining Co. | | | 1,338 | | | | 8,791 | |
HB Fuller Co. | | | 131 | | | | 8,655 | |
Allegheny Technologies, Inc.* | | | 321 | | | | 8,616 | |
Arconic Corp.* | | | 268 | | | | 6,866 | |
Ingevity Corp.* | | | 100 | | | | 6,407 | |
Quaker Chemical Corp. | | | 34 | | | | 5,876 | |
Tronox Holdings plc — Class A | | | 287 | | | | 5,680 | |
Innospec, Inc. | | | 61 | | | | 5,646 | |
Constellium SE* | | | 311 | | | | 5,598 | |
Minerals Technologies, Inc. | | | 83 | | | | 5,490 | |
Compass Minerals International, Inc. | | | 86 | | | | 5,400 | |
Stepan Co. | | | 54 | | | | 5,336 | |
GCP Applied Technologies, Inc.* | | | 167 | | | | 5,247 | |
Carpenter Technology Corp. | | | 119 | | | | 4,995 | |
Trinseo plc | | | 98 | | | | 4,696 | |
Novagold Resources, Inc.* | | | 599 | | | | 4,630 | |
Ferro Corp.* | | | 206 | | | | 4,478 | |
Kaiser Aluminum Corp. | | | 40 | | | | 3,766 | |
Energy Fuels, Inc.* | | | 387 | | | | 3,541 | |
AdvanSix, Inc. | | | 69 | | | | 3,525 | |
Schnitzer Steel Industries, Inc. — Class A | | | 67 | | | | 3,480 | |
Century Aluminum Co.* | | | 129 | | | | 3,394 | |
Codexis, Inc.* | | | 151 | | | | 3,114 | |
Uranium Energy Corp.* | | | 642 | | | | 2,947 | |
Coeur Mining, Inc.* | | | 644 | | | | 2,866 | |
Orion Engineered Carbons S.A. | | | 152 | | | | 2,427 | |
Hawkins, Inc. | | | 48 | | | | 2,203 | |
Schweitzer-Mauduit International, Inc. | | | 78 | | | | 2,145 | |
Intrepid Potash, Inc.* | | | 26 | | | | 2,136 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Amyris, Inc.* | | | 443 | | | $ | 1,931 | |
Neenah, Inc. | | | 42 | | | | 1,666 | |
Ecovyst, Inc. | | | 129 | | | | 1,491 | |
American Vanguard Corp. | | | 73 | | | | 1,483 | |
Koppers Holdings, Inc. | | | 52 | | | | 1,431 | |
Glatfelter Corp. | | | 110 | | | | 1,362 | |
Danimer Scientific, Inc.*,1 | | | 227 | | | | 1,330 | |
Clearwater Paper Corp.* | | | 41 | | | | 1,149 | |
Rayonier Advanced Materials, Inc.* | | | 155 | | | | 1,018 | |
Kronos Worldwide, Inc. | | | 57 | | | | 885 | |
Ur-Energy, Inc.* | | | 455 | | | | 728 | |
Unifi, Inc.* | | | 35 | | | | 634 | |
Zymergen, Inc.* | | | 201 | | | | 581 | |
United States Lime & Minerals, Inc. | | | 5 | | | | 580 | |
Gatos Silver, Inc.* | | | 117 | | | | 505 | |
Oil-Dri Corporation of America | | | 13 | | | | 372 | |
Perpetua Resources Corp.* | | | 81 | | | | 332 | |
PolyMet Mining Corp.* | | | 72 | | | | 302 | |
Marrone Bio Innovations, Inc.* | | | 254 | | | | 274 | |
Valhi, Inc. | | | 6 | | | | 176 | |
Total Basic Materials | | | | | | | 232,796 | |
| | | | | | | | | |
Utilities - 2.1% |
Southwest Gas Holdings, Inc. | | | 165 | | | | 12,918 | |
Portland General Electric Co. | | | 225 | | | | 12,409 | |
Black Hills Corp. | | | 160 | | | | 12,323 | |
ONE Gas, Inc. | | | 133 | | | | 11,736 | |
Brookfield Infrastructure Corp. — Class A | | | 155 | | | | 11,693 | |
New Jersey Resources Corp. | | | 242 | | | | 11,098 | |
PNM Resources, Inc. | | | 214 | | | | 10,201 | |
Ormat Technologies, Inc. | | | 114 | | | | 9,329 | |
Spire, Inc. | | | 127 | | | | 9,114 | |
South Jersey Industries, Inc. | | | 258 | | | | 8,914 | |
ALLETE, Inc. | | | 131 | | | | 8,774 | |
American States Water Co. | | | 92 | | | | 8,190 | |
Avista Corp. | | | 177 | | | | 7,992 | |
NorthWestern Corp. | | | 132 | | | | 7,985 | |
California Water Service Group | | | 132 | | | | 7,825 | |
Clearway Energy, Inc. — Class C | | | 206 | | | | 7,521 | |
MGE Energy, Inc. | | | 91 | | | | 7,261 | |
Otter Tail Corp. | | | 104 | | | | 6,500 | |
Ameresco, Inc. — Class A* | | | 78 | | | | 6,201 | |
Chesapeake Utilities Corp. | | | 43 | | | | 5,924 | |
SJW Group | | | 70 | | | | 4,871 | |
Middlesex Water Co. | | | 43 | | | | 4,522 | |
Northwest Natural Holding Co. | | | 77 | | | | 3,982 | |
Clearway Energy, Inc. — Class A | | | 87 | | | | 2,899 | |
Unitil Corp. | | | 39 | | | | 1,945 | |
York Water Co. | | | 34 | | | | 1,529 | |
Artesian Resources Corp. — Class A | | | 20 | | | | 971 | |
Global Water Resources, Inc. | | | 32 | | | | 532 | |
FTC Solar, Inc.* | | | 102 | | | | 503 | |
Via Renewables, Inc. | | | 30 | | | | 247 | |
Total Utilities | | | | | | | 205,909 | |
| | | | | | | | | |
Government - 0.0% |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 78 | | | | 1,215 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,741,453) | | | | | | | 6,851,889 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Technology - 0.0% |
Quantum Corp* | | | 147 | | | | — | |
| | | | | | | | | |
Consumer, Non-cyclical — 0.0% |
Tobira Therapeutics, Inc.* | | | 14 | | | | — | |
UCB* | | | 140 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $23) | | | | | | | — | |
| | | | | | | | | |
MUTUAL FUNDS† - 18.1% |
Guggenheim Strategy Fund II2 | | | 36,876 | | | | 905,308 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 91,906 | | | | 899,762 | |
Total Mutual Funds | | | | |
(Cost $1,821,754) | | | | | | | 1,805,070 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 5.7% |
U.S. Treasury Bills |
0.09% due 06/02/223,4 | | $ | 381,000 | | | | 380,785 | |
0.12% due 05/05/224,5 | | | 181,000 | | | | 180,975 | |
Total U.S. Treasury Bills | | | | |
(Cost $561,921) | | | | | | | 561,760 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 6.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | | 438,587 | | | | 438,587 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 168,924 | | | | 168,924 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 43,921 | | | | 43,921 | |
Total Repurchase Agreements | | | | |
(Cost $651,432) | | | | | | | 651,432 | |
| | | | | | | | | |
110 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,7 - 1.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%8 | | | 121,296 | | | $ | 121,296 | |
Total Securities Lending Collateral | | | | |
(Cost $121,296) | | | | | | | 121,296 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $9,897,879) | | $ | 9,991,447 | |
Other Assets & Liabilities, net - (0.1)% | | | (5,460 | ) |
Total Net Assets - 100.0% | | $ | 9,985,987 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 24 | | | | Jun 2022 | | | $ | 2,478,000 | | | $ | 64,706 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | Russell 2000 Index | Pay | 0.27% (U.S. Secured Overnight Financing Rate) | | | At Maturity | | | | 04/13/22 | | | | 1,328 | | | $ | 2,748,243 | | | $ | 87,742 | |
BNP Paribas | Russell 2000 Index | Pay | 0.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 04/14/22 | | | | 617 | | | | 1,277,779 | | | | 57,812 | |
Goldman Sachs International | Russell 2000 Index | Pay | 0.58% (Federal Funds Rate + 0.25%) | | | At Maturity | | | | 04/14/22 | | | | 786 | | | | 1,626,749 | | | | 29,766 | |
| | | | | | | | | | | | | | | | | | $ | 5,652,771 | | | $ | 175,320 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
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 March 31, 2022. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 6,851,889 | | | $ | — | | | $ | — | | | $ | 6,851,889 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Mutual Funds | | | 1,805,070 | | | | — | | | | — | | | | 1,805,070 | |
U.S. Treasury Bills | | | — | | | | 561,760 | | | | — | | | | 561,760 | |
Repurchase Agreements | | | — | | | | 651,432 | | | | — | | | | 651,432 | |
Securities Lending Collateral | | | 121,296 | | | | — | | | | — | | | | 121,296 | |
Equity Futures Contracts** | | | 64,706 | | | | — | | | | — | | | | 64,706 | |
Equity Index Swap Agreements** | | | — | | | | 175,320 | | | | — | | | | 175,320 | |
Total Assets | | $ | 8,842,961 | | | $ | 1,388,512 | | | $ | — | | | $ | 10,231,473 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
RUSSELL 2000® 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 921,165 | | | $ | — | | | $ | — | | | $ | — | | | $ | (15,857 | ) | | $ | 905,308 | | | | 36,876 | | | $ | 13,059 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,117,210 | | | | — | | | | (200,000 | ) | | | (2,026 | ) | | | (15,422 | ) | | | 899,762 | | | | 91,906 | | | | 9,969 | |
| | | $ | 2,038,375 | | | $ | — | | | $ | (200,000 | ) | | $ | (2,026 | ) | | $ | (31,279 | ) | | $ | 1,805,070 | | | | | | | $ | 23,028 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value - including $115,063 of securities loaned (cost $7,424,693) | | $ | 7,534,945 | |
Investments in affiliated issuers, at value (cost $1,821,754) | | | 1,805,070 | |
Repurchase agreements, at value (cost $651,432) | | | 651,432 | |
Cash | | | 1,913 | |
Unrealized appreciation on OTC swap agreements | | | 175,320 | |
Receivables: |
Swap settlement | | | 127,340 | |
Dividends | | | 8,199 | |
Fund shares sold | | | 200 | |
Securities lending income | | | 163 | |
Interest | | | 5 | |
Total assets | | | 10,304,587 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 140,000 | |
Payable for: |
Return of securities lending collateral | | | 121,296 | |
Variation margin on futures contracts | | | 28,200 | |
Management fees | | | 7,251 | |
Fund shares redeemed | | | 4,544 | |
Transfer agent and administrative fees | | | 2,221 | |
Distribution and service fees | | | 2,089 | |
Securities purchased | | | 1,512 | |
Portfolio accounting fees | | | 826 | |
Trustees’ fees* | | | 117 | |
Miscellaneous | | | 10,544 | |
Total liabilities | | | 318,600 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 9,985,987 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 11,500,444 | |
Total distributable earnings (loss) | | | (1,514,457 | ) |
Net assets | | $ | 9,985,987 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,267,641 | |
Capital shares outstanding | | | 22,409 | |
Net asset value per share | | $ | 56.57 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 59.39 | |
| | | | | |
C-Class: |
Net assets | | $ | 34,949 | |
Capital shares outstanding | | | 844 | |
Net asset value per share | | $ | 41.41 | |
| | | | | |
H-Class: |
Net assets | | $ | 8,683,397 | |
Capital shares outstanding | | | 154,496 | |
Net asset value per share | | $ | 56.20 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $27) | | $ | 21,130 | |
Dividends from securities of affiliated issuers | | | 23,028 | |
Interest | | | 11,371 | |
Income from securities lending, net | | | 345 | |
Total investment income | | | 55,874 | |
| | | | | |
Expenses: |
Management fees | | | 97,823 | |
Distribution and service fees: |
A-Class | | | 3,882 | |
C-Class | | | 556 | |
H-Class | | | 23,152 | |
Transfer agent and administrative fees | | | 30,352 | |
Portfolio accounting fees | | | 10,869 | |
Professional fees | | | 4,600 | |
Trustees’ fees* | | | 1,570 | |
Custodian fees | | | 1,444 | |
Interest expense | | | 38 | |
Line of credit fees | | | 15 | |
Miscellaneous | | | 11,727 | |
Total expenses | | | 186,028 | |
Less: |
Expenses waived by Adviser | | | (2,709 | ) |
Net expenses | | | 183,319 | |
Net investment loss | | | (127,445 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (318,582 | ) |
Investments in affiliated issuers | | | (2,026 | ) |
Swap agreements | | | (1,380,572 | ) |
Futures contracts | | | (151,712 | ) |
Net realized loss | | | (1,852,892 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 105,744 | |
Investments in affiliated issuers | | | (31,279 | ) |
Swap agreements | | | 208,188 | |
Futures contracts | | | 96,509 | |
Net change in unrealized appreciation (depreciation) | | | 379,162 | |
Net realized and unrealized loss | | | (1,473,730 | ) |
Net decrease in net assets resulting from operations | | $ | (1,601,175 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (127,445 | ) | | $ | (119,124 | ) |
Net realized gain (loss) on investments | | | (1,852,892 | ) | | | 8,693,789 | |
Net change in unrealized appreciation (depreciation) on investments | | | 379,162 | | | | (231,620 | ) |
Net increase (decrease) in net assets resulting from operations | | | (1,601,175 | ) | | | 8,343,045 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (553,693 | ) | | | (4,708 | ) |
C-Class | | | (31,348 | ) | | | (156 | ) |
H-Class | | | (3,371,767 | ) | | | (20,841 | ) |
Total distributions to shareholders | | | (3,956,808 | ) | | | (25,705 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 115,319 | | | | 57,548 | |
C-Class | | | 55,620 | | | | 39,120 | |
H-Class | | | 19,064,386 | | | | 35,843,045 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 530,048 | | | | 4,547 | |
C-Class | | | 22,970 | | | | 156 | |
H-Class | | | 3,360,182 | | | | 20,710 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (385,781 | ) | | | (556,001 | ) |
C-Class | | | (77,930 | ) | | | (19,899 | ) |
H-Class | | | (18,446,500 | ) | | | (36,717,049 | ) |
Net increase (decrease) from capital share transactions | | | 4,238,314 | | | | (1,327,823 | ) |
Net increase (decrease) in net assets | | | (1,319,669 | ) | | | 6,989,517 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 11,305,656 | | | | 4,316,139 | |
End of year | | $ | 9,985,987 | | | $ | 11,305,656 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 1,197 | | | | 969 | |
C-Class | | | 859 | | | | 588 | |
H-Class | | | 218,200 | | | | 558,116 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 8,359 | | | | 55 | |
C-Class | | | 494 | | | | 2 | |
H-Class | | | 53,336 | | | | 253 | |
Shares redeemed | | | | | | | | |
A-Class | | | (4,423 | ) | | | (7,944 | ) |
C-Class | | | (1,391 | ) | | | (368 | ) |
H-Class | | | (211,098 | ) | | | (550,126 | ) |
Net increase in shares | | | 65,533 | | | | 1,545 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 115 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 101.22 | | | $ | 39.16 | | | $ | 63.62 | | | $ | 64.49 | | | $ | 55.99 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.02 | ) | | | (.94 | ) | | | .32 | | | | .34 | | | | .02 | |
Net gain (loss) on investments (realized and unrealized) | | | (7.02 | ) | | | 63.25 | | | | (24.78 | ) | | | (1.21 | )e | | | 8.48 | |
Total from investment operations | | | (8.04 | ) | | | 62.31 | | | | (24.46 | ) | | | (.87 | ) | | | 8.50 | |
Less distributions from: |
Net investment income | | | — | | | | (.25 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | (36.61 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (36.61 | ) | | | (.25 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 56.57 | | | $ | 101.22 | | | $ | 39.16 | | | $ | 63.62 | | | $ | 64.49 | |
|
Total Returnb | | | (11.85 | %) | | | 159.26 | % | | | (38.45 | %) | | | (1.35 | %) | | | 15.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,268 | | | $ | 1,749 | | | $ | 948 | | | $ | 2,064 | | | $ | 1,400 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.18 | %) | | | (1.40 | %) | | | 0.50 | % | | | 0.52 | % | | | 0.03 | % |
Total expensesc | | | 1.71 | % | | | 1.79 | % | | | 1.82 | % | | | 1.80 | % | | | 1.72 | % |
Net expensesd | | | 1.68 | % | | | 1.77 | % | | | 1.76 | % | | | 1.78 | % | | | 1.72 | % |
Portfolio turnover rate | | | 62 | % | | | — | | | | 93 | % | | | 258 | % | | | 580 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 84.58 | | | $ | 32.98 | | | $ | 54.00 | | | $ | 55.14 | | | $ | 48.24 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.28 | ) | | | (1.27 | ) | | | (.12 | ) | | | (.30 | ) | | | (.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.28 | ) | | | 53.12 | | | | (20.90 | ) | | | (.84 | )e | | | 7.30 | |
Total from investment operations | | | (6.56 | ) | | | 51.85 | | | | (21.02 | ) | | | (1.14 | ) | | | 6.90 | |
Less distributions from: |
Net investment income | | | — | | | | (.25 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | (36.61 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (36.61 | ) | | | (.25 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 41.41 | | | $ | 84.58 | | | $ | 32.98 | | | $ | 54.00 | | | $ | 55.14 | |
|
Total Returnb | | | (12.52 | %) | | | 157.38 | % | | | (38.93 | %) | | | (2.07 | %) | | | 14.30 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 35 | | | $ | 75 | | | $ | 22 | | | $ | 78 | | | $ | 1,017 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.93 | %) | | | (2.16 | %) | | | (0.22 | %) | | | (0.50 | %) | | | (0.78 | %) |
Total expensesc | | | 2.46 | % | | | 2.52 | % | | | 2.57 | % | | | 2.54 | % | | | 2.48 | % |
Net expensesd | | | 2.43 | % | | | 2.50 | % | | | 2.51 | % | | | 2.53 | % | | | 2.48 | % |
Portfolio turnover rate | | | 62 | % | | | — | | | | 93 | % | | | 258 | % | | | 580 | % |
116 | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 100.81 | | | $ | 39.00 | | | $ | 63.37 | | | $ | 64.22 | | | $ | 55.86 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.98 | ) | | | (.98 | ) | | | .09 | | | | .29 | | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.02 | ) | | | 63.04 | | | | (24.46 | ) | | | (1.14 | )e | | | 8.47 | |
Total from investment operations | | | (8.00 | ) | | | 62.06 | | | | (24.37 | ) | | | (.85 | ) | | | 8.36 | |
Less distributions from: |
Net investment income | | | — | | | | (.25 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | (36.61 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (36.61 | ) | | | (.25 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 56.20 | | | $ | 100.81 | | | $ | 39.00 | | | $ | 63.37 | | | $ | 64.22 | |
|
Total Return | | | (11.86 | %) | | | 159.27 | % | | | (38.46 | %) | | | (1.32 | %) | | | 14.97 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,683 | | | $ | 9,482 | | | $ | 3,347 | | | $ | 6,676 | | | $ | 7,178 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.17 | %) | | | (1.42 | %) | | | 0.14 | % | | | 0.46 | % | | | (0.18 | %) |
Total expensesc | | | 1.71 | % | | | 1.78 | % | | | 1.84 | % | | | 1.81 | % | | | 1.72 | % |
Net expensesd | | | 1.68 | % | | | 1.76 | % | | | 1.80 | % | | | 1.80 | % | | | 1.72 | % |
Portfolio turnover rate | | | 62 | % | | | — | | | | 93 | % | | | 258 | % | | | 580 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The amount shown for a share outstanding throughout the period does not agree with the aggregate net gain 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 ANNUAL REPORT | 117 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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”).
For the one-year period ended March 31, 2022, Russell 2000® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the Russell 2000 Index. Russell 2000® Fund H-Class returned -7.29%, while the Russell 2000 Index returned -5.79% over the same time period.
The sectors contributing the most to the return of the underlying index for the period were Energy, Real Estate, and Utilities. The sectors detracting the most were Health Care, Consumer Discretionary, and Information Technology.
The holdings contributing the most to the return of the underlying index were Avis Budget Group, Inc., Ovintiv, Inc., and Antero Resources Corp. The holdings detracting the most were Invitae Corp., BridgeBio Pharma, Inc., and Redfin Corp.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
Ten Largest Holdings (% of Total Net Assets) |
iShares Russell 2000 Index ETF | 5.0% |
Vanguard Russell 2000 ETF | 5.0% |
Ovintiv, Inc. | 0.4% |
AMC Entertainment Holdings, Inc. — Class A | 0.4% |
Avis Budget Group, Inc. | 0.3% |
BJ’s Wholesale Club Holdings, Inc. | 0.3% |
Chesapeake Energy Corp. | 0.3% |
Tenet Healthcare Corp. | 0.3% |
Tetra Tech, Inc. | 0.2% |
Antero Resources Corp. | 0.2% |
Top Ten Total | 12.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
118 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (7.29%) | 7.94% | 9.18% |
A-Class Shares with sales charge‡ | (11.69%) | 6.90% | 8.65% |
C-Class Shares | (8.05%) | 7.12% | 8.34% |
C-Class Shares with CDSC§ | (8.84%) | 7.12% | 8.34% |
H-Class Shares | (7.29%) | 7.95% | 9.17% |
Russell 2000 Index | (5.79%) | 9.74% | 12.63% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 119 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 73.2% |
| | | | | | | | | |
Financial - 17.1% |
EastGroup Properties, Inc. REIT | | | 282 | | | $ | 57,325 | |
STAG Industrial, Inc. REIT | | | 1,230 | | | | 50,861 | |
SouthState Corp. | | | 540 | | | | 44,059 | |
Independence Realty Trust, Inc. REIT | | | 1,537 | | | | 40,638 | |
First Financial Bankshares, Inc. | | | 911 | | | | 40,193 | |
Glacier Bancorp, Inc. | | | 773 | | | | 38,866 | |
Terreno Realty Corp. REIT | | | 518 | | | | 38,358 | |
Selective Insurance Group, Inc. | | | 417 | | | | 37,263 | |
Cadence Bank | | | 1,257 | | | | 36,780 | |
Valley National Bancorp | | | 2,813 | | | | 36,625 | |
National Storage Affiliates Trust REIT | | | 571 | | | | 35,836 | |
Blackstone Mortgage Trust, Inc. — Class A REIT | | | 1,105 | | | | 35,128 | |
Ryman Hospitality Properties, Inc. REIT* | | | 378 | | | | 35,067 | |
Kite Realty Group Trust REIT | | | 1,524 | | | | 34,702 | |
Kinsale Capital Group, Inc. | | | 151 | | | | 34,431 | |
Innovative Industrial Properties, Inc. REIT | | | 166 | | | | 34,096 | |
Old National Bancorp | | | 2,068 | | | | 33,874 | |
ServisFirst Bancshares, Inc. | | | 351 | | | | 33,447 | |
United Bankshares, Inc. | | | 926 | | | | 32,299 | |
Agree Realty Corp. REIT | | | 479 | | | | 31,786 | |
Hancock Whitney Corp. | | | 608 | | | | 31,707 | |
Houlihan Lokey, Inc. | | | 358 | | | | 31,432 | |
Essent Group Ltd. | | | 761 | | | | 31,361 | |
RLI Corp. | | | 281 | | | | 31,087 | |
LXP Industrial Trust REIT | | | 1,963 | | | | 30,819 | |
UMB Financial Corp. | | | 308 | | | | 29,925 | |
Outfront Media, Inc. REIT | | | 1,022 | | | | 29,056 | |
Silvergate Capital Corp. — Class A* | | | 192 | | | | 28,909 | |
Healthcare Realty Trust, Inc. REIT | | | 1,036 | | | | 28,469 | |
Radian Group, Inc. | | | 1,266 | | | | 28,118 | |
Phillips Edison & Company, Inc. REIT | | | 793 | | | | 27,271 | |
Physicians Realty Trust REIT | | | 1,548 | | | | 27,152 | |
Apple Hospitality REIT, Inc. | | | 1,506 | | | | 27,063 | |
Walker & Dunlop, Inc. | | | 205 | | | | 26,531 | |
Community Bank System, Inc. | | | 376 | | | | 26,376 | |
Independent Bank Corp. | | | 322 | | | | 26,304 | |
BankUnited, Inc. | | | 595 | | | | 26,156 | |
Eastern Bankshares, Inc. | | | 1,206 | | | | 25,977 | |
United Community Banks, Inc. | | | 735 | | | | 25,578 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | | | 539 | | | | 25,565 | |
DigitalBridge Group, Inc. REIT* | | | 3,408 | | | | 24,538 | |
PotlatchDeltic Corp. REIT | | | 464 | | | | 24,467 | |
Home BancShares, Inc. | | | 1,071 | | | | 24,205 | |
Broadstone Net Lease, Inc. REIT | | | 1,105 | | | | 24,067 | |
Investors Bancorp, Inc. | | | 1,607 | | | | 23,992 | |
Trupanion, Inc.* | | | 268 | | | | 23,884 | |
Sabra Health Care REIT, Inc. | | | 1,604 | | | | 23,884 | |
Associated Banc-Corp. | | | 1,044 | | | | 23,761 | |
PS Business Parks, Inc. REIT | | | 141 | | | | 23,699 | |
Macerich Co. REIT | | | 1,502 | | | | 23,491 | |
Pacific Premier Bancorp, Inc. | | | 658 | | | | 23,260 | |
American Equity Investment Life Holding Co. | | | 581 | | | | 23,188 | |
Enstar Group Ltd.* | | | 87 | | | | 22,720 | |
Cathay General Bancorp | | | 506 | | | | 22,643 | |
Corporate Office Properties Trust REIT | | | 793 | | | | 22,632 | |
First Interstate BancSystem, Inc. — Class A | | | 615 | | | | 22,614 | |
Pebblebrook Hotel Trust REIT | | | 913 | | | | 22,350 | |
Federated Hermes, Inc. — Class B | | | 654 | | | | 22,275 | |
CVB Financial Corp. | | | 953 | | | | 22,119 | |
Essential Properties Realty Trust, Inc. REIT | | | 851 | | | | 21,530 | |
Equity Commonwealth REIT* | | | 757 | | | | 21,355 | |
WSFS Financial Corp. | | | 455 | | | | 21,212 | |
CNO Financial Group, Inc. | | | 835 | | | | 20,950 | |
Focus Financial Partners, Inc. — Class A* | | | 452 | | | | 20,674 | |
Ameris Bancorp | | | 467 | | | | 20,492 | |
Texas Capital Bancshares, Inc.* | | | 356 | | | | 20,402 | |
Kennedy-Wilson Holdings, Inc. | | | 834 | | | | 20,341 | |
SITE Centers Corp. REIT | | | 1,217 | | | | 20,336 | |
Simmons First National Corp. — Class A | | | 775 | | | | 20,320 | |
Moelis & Co. — Class A | | | 430 | | | | 20,189 | |
Cushman & Wakefield plc* | | | 974 | | | | 19,977 | |
Chimera Investment Corp. REIT | | | 1,655 | | | | 19,926 | |
Mr Cooper Group, Inc.* | | | 435 | | | | 19,866 | |
Atlantic Union Bankshares Corp. | | | 530 | | | | 19,446 | |
Uniti Group, Inc. REIT | | | 1,381 | | | | 19,003 | |
Hamilton Lane, Inc. — Class A | | | 245 | | | | 18,936 | |
Independent Bank Group, Inc. | | | 262 | | | | 18,644 | |
Newmark Group, Inc. — Class A | | | 1,169 | | | | 18,610 | |
Axos Financial, Inc.* | | | 401 | | | | 18,602 | |
Fulton Financial Corp. | | | 1,116 | | | | 18,548 | |
First BanCorp | | | 1,384 | | | | 18,158 | |
National Health Investors, Inc. REIT | | | 307 | | | | 18,116 | |
Sunstone Hotel Investors, Inc. REIT* | | | 1,529 | | | | 18,012 | |
Navient Corp. | | | 1,052 | | | | 17,926 | |
Columbia Banking System, Inc. | | | 550 | | | | 17,748 | |
Arbor Realty Trust, Inc. REIT | | | 1,011 | | | | 17,248 | |
Brandywine Realty Trust REIT | | | 1,192 | | | | 16,855 | |
First Merchants Corp. | | | 401 | | | | 16,682 | |
RLJ Lodging Trust REIT | | | 1,162 | | | | 16,361 | |
Retail Opportunity Investments Corp. REIT | | | 835 | | | | 16,191 | |
Artisan Partners Asset Management, Inc. — Class A | | | 411 | | | | 16,173 | |
Piper Sandler Cos. | | | 123 | | | | 16,144 | |
International Bancshares Corp. | | | 378 | | | | 15,955 | |
Urban Edge Properties REIT | | | 813 | | | | 15,528 | |
Flagstar Bancorp, Inc. | | | 366 | | | | 15,518 | |
Triumph Bancorp, Inc.* | | | 165 | | | | 15,513 | |
Xenia Hotels & Resorts, Inc. REIT* | | | 800 | | | | 15,432 | |
Washington Real Estate Investment Trust | | | 595 | | | | 15,173 | |
Cohen & Steers, Inc. | | | 175 | | | | 15,031 | |
First Financial Bancorp | | | 651 | | | | 15,006 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 871 | | | | 14,999 | |
Washington Federal, Inc. | | | 456 | | | | 14,966 | |
DiamondRock Hospitality Co. REIT* | | | 1,469 | | | | 14,837 | |
Four Corners Property Trust, Inc. REIT | | | 543 | | | | 14,683 | |
120 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
WesBanco, Inc. | | | 425 | | | $ | 14,603 | |
McGrath RentCorp | | | 170 | | | | 14,447 | |
Paramount Group, Inc. REIT | | | 1,311 | | | | 14,303 | |
TowneBank | | | 472 | | | | 14,132 | |
NexPoint Residential Trust, Inc. REIT | | | 156 | | | | 14,088 | |
Banner Corp. | | | 240 | | | | 14,047 | |
Sandy Spring Bancorp, Inc. | | | 311 | | | | 13,970 | |
St. Joe Co. | | | 234 | | | | 13,862 | |
Apollo Commercial Real Estate Finance, Inc. REIT | | | 986 | | | | 13,735 | |
PRA Group, Inc.* | | | 304 | | | | 13,704 | |
Heartland Financial USA, Inc. | | | 283 | | | | 13,536 | |
Genworth Financial, Inc. — Class A* | | | 3,561 | | | | 13,461 | |
Two Harbors Investment Corp. REIT | | | 2,417 | | | | 13,366 | |
American Assets Trust, Inc. REIT | | | 351 | | | | 13,299 | |
Park National Corp. | | | 101 | | | | 13,269 | |
Acadia Realty Trust REIT | | | 610 | | | | 13,219 | |
Trustmark Corp. | | | 431 | | | | 13,098 | |
CareTrust REIT, Inc. | | | 678 | | | | 13,085 | |
Redfin Corp.* | | | 725 | | | | 13,079 | |
Hope Bancorp, Inc. | | | 813 | | | | 13,073 | |
Easterly Government Properties, Inc. REIT | | | 608 | | | | 12,853 | |
Renasant Corp. | | | 384 | | | | 12,845 | |
Hilltop Holdings, Inc. | | | 435 | | | | 12,789 | |
Veritex Holdings, Inc. | | | 334 | | | | 12,749 | |
Realogy Holdings Corp.* | | | 809 | | | | 12,685 | |
Eagle Bancorp, Inc. | | | 222 | | | | 12,656 | |
Bank of NT Butterfield & Son Ltd. | | | 352 | | | | 12,630 | |
MFA Financial, Inc. REIT | | | 3,109 | | | | 12,529 | |
Lakeland Financial Corp. | | | 171 | | | | 12,483 | |
Seacoast Banking Corporation of Florida | | | 355 | | | | 12,432 | |
Tanger Factory Outlet Centers, Inc. REIT | | | 718 | | | | 12,342 | |
Provident Financial Services, Inc. | | | 527 | | | | 12,332 | |
Horace Mann Educators Corp. | | | 293 | | | | 12,256 | |
Virtus Investment Partners, Inc. | | | 51 | | | | 12,239 | |
NMI Holdings, Inc. — Class A* | | | 590 | | | | 12,166 | |
Flywire Corp.* | | | 391 | | | | 11,957 | |
Alexander & Baldwin, Inc. REIT | | | 509 | | | | 11,804 | |
PennyMac Mortgage Investment Trust REIT | | | 688 | | | | 11,620 | |
Northwest Bancshares, Inc. | | | 860 | | | | 11,619 | |
Enterprise Financial Services Corp. | | | 244 | | | | 11,544 | |
Global Net Lease, Inc. REIT | | | 733 | | | | 11,530 | |
Live Oak Bancshares, Inc. | | | 224 | | | | 11,399 | |
Stewart Information Services Corp. | | | 187 | | | | 11,334 | |
Meta Financial Group, Inc. | | | 205 | | | | 11,259 | |
PennyMac Financial Services, Inc. | | | 209 | | | | 11,119 | |
Westamerica BanCorp | | | 183 | | | | 11,071 | |
Palomar Holdings, Inc.* | | | 173 | | | | 11,070 | |
iStar, Inc. REIT1 | | | 472 | | | | 11,050 | |
LendingClub Corp.* | | | 693 | | | | 10,936 | |
Encore Capital Group, Inc.* | | | 173 | | | | 10,852 | |
Customers Bancorp, Inc.* | | | 207 | | | | 10,793 | |
Veris Residential, Inc. REIT* | | | 617 | | | | 10,730 | |
NBT Bancorp, Inc. | | | 296 | | | | 10,694 | |
StepStone Group, Inc. — Class A | | | 318 | | | | 10,513 | |
LTC Properties, Inc. REIT | | | 273 | | | | 10,502 | |
PJT Partners, Inc. — Class A | | | 166 | | | | 10,478 | |
Bancorp, Inc.* | | | 367 | | | | 10,397 | |
FB Financial Corp. | | | 234 | | | | 10,394 | |
Industrial Logistics Properties Trust REIT | | | 456 | | | | 10,338 | |
Service Properties Trust REIT | | | 1,153 | | | | 10,181 | |
ProAssurance Corp. | | | 377 | | | | 10,134 | |
Nelnet, Inc. — Class A | | | 119 | | | | 10,114 | |
BancFirst Corp. | | | 121 | | | | 10,068 | |
First Bancorp | | | 241 | | | | 10,067 | |
First Commonwealth Financial Corp. | | | 661 | | | | 10,021 | |
Goosehead Insurance, Inc. — Class A | | | 127 | | | | 9,978 | |
Berkshire Hills Bancorp, Inc. | | | 343 | | | | 9,937 | |
B. Riley Financial, Inc. | | | 142 | | | | 9,934 | |
Capitol Federal Financial, Inc. | | | 913 | | | | 9,933 | |
Empire State Realty Trust, Inc. — Class A REIT | | | 1,004 | | | | 9,859 | |
American National Group, Inc. | | | 52 | | | | 9,833 | |
LendingTree, Inc.* | | | 82 | | | | 9,813 | |
Centerspace REIT | | | 100 | | | | 9,812 | |
BGC Partners, Inc. — Class A | | | 2,221 | | | | 9,772 | |
New York Mortgage Trust, Inc. REIT | | | 2,666 | | | | 9,731 | |
Enova International, Inc.* | | | 255 | | | | 9,682 | |
Ladder Capital Corp. — Class A REIT | | | 798 | | | | 9,472 | |
eXp World Holdings, Inc. | | | 441 | | | | 9,336 | |
Safety Insurance Group, Inc. | | | 102 | | | | 9,267 | |
Argo Group International Holdings Ltd. | | | 223 | | | | 9,205 | |
OFG Bancorp | | | 345 | | | | 9,191 | |
Preferred Apartment Communities, Inc. — Class A REIT | | | 366 | | | | 9,128 | |
First Busey Corp. | | | 353 | | | | 8,945 | |
Southside Bancshares, Inc. | | | 219 | | | | 8,942 | |
Stock Yards Bancorp, Inc. | | | 169 | | | | 8,940 | |
BRP Group, Inc. — Class A* | | | 333 | | | | 8,934 | |
Marcus & Millichap, Inc. | | | 167 | | | | 8,797 | |
Office Properties Income Trust REIT | | | 336 | | | | 8,645 | |
StoneX Group, Inc.* | | | 116 | | | | 8,611 | |
Brookline Bancorp, Inc. | | | 539 | | | | 8,527 | |
Redwood Trust, Inc. REIT | | | 806 | | | | 8,487 | |
First Foundation, Inc. | | | 348 | | | | 8,453 | |
ConnectOne Bancorp, Inc. | | | 262 | | | | 8,387 | |
City Holding Co. | | | 105 | | | | 8,263 | |
OceanFirst Financial Corp. | | | 409 | | | | 8,221 | |
Dime Community Bancshares, Inc. | | | 237 | | | | 8,193 | |
Getty Realty Corp. REIT | | | 286 | | | | 8,185 | |
National Bank Holdings Corp. — Class A | | | 202 | | | | 8,137 | |
RPT Realty REIT | | | 588 | | | | 8,097 | |
Safehold, Inc. REIT | | | 146 | | | | 8,096 | |
S&T Bancorp, Inc. | | | 272 | | | | 8,046 | |
Employers Holdings, Inc. | | | 196 | | | | 8,040 | |
Gladstone Land Corp. REIT | | | 220 | | | | 8,012 | |
Nicolet Bankshares, Inc.* | | | 85 | | | | 7,953 | |
Broadmark Realty Capital, Inc. REIT | | | 902 | | | | 7,802 | |
Apartment Investment and Management Co. — Class A REIT* | | | 1,062 | | | | 7,774 | |
TriCo Bancshares | | | 194 | | | | 7,766 | |
Tompkins Financial Corp. | | | 99 | | | | 7,749 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Premier Financial Corp. | | | 253 | | | $ | 7,673 | |
Banc of California, Inc. | | | 385 | | | | 7,454 | |
Summit Hotel Properties, Inc. REIT* | | | 729 | | | | 7,261 | |
Lakeland Bancorp, Inc. | | | 430 | | | | 7,181 | |
UMH Properties, Inc. REIT | | | 292 | | | | 7,180 | |
Radius Global Infrastructure, Inc. — Class A* | | | 501 | | | | 7,154 | |
Community Healthcare Trust, Inc. REIT | | | 168 | | | | 7,091 | |
Ready Capital Corp. REIT | | | 468 | | | | 7,048 | |
Preferred Bank/Los Angeles CA | | | 95 | | | | 7,039 | |
Farmer Mac — Class C | | | 64 | | | | 6,943 | |
Metropolitan Bank Holding Corp.* | | | 68 | | | | 6,920 | |
Necessity Retail REIT, Inc. | | | 872 | | | | 6,898 | |
Global Medical REIT, Inc. | | | 420 | | | | 6,854 | |
TriState Capital Holdings, Inc.* | | | 202 | | | | 6,712 | |
Ellington Financial, Inc. REIT | | | 378 | | | | 6,710 | |
AMERISAFE, Inc. | | | 135 | | | | 6,706 | |
Blucora, Inc.* | | | 341 | | | | 6,667 | |
German American Bancorp, Inc. | | | 174 | | | | 6,610 | |
Origin Bancorp, Inc. | | | 155 | | | | 6,555 | |
HomeStreet, Inc. | | | 137 | | | | 6,491 | |
James River Group Holdings Ltd. | | | 257 | | | | 6,358 | |
Washington Trust Bancorp, Inc. | | | 120 | | | | 6,300 | |
NETSTREIT Corp. REIT | | | 279 | | | | 6,261 | |
Heritage Financial Corp. | | | 244 | | | | 6,115 | |
QCR Holdings, Inc. | | | 106 | | | | 5,999 | |
Allegiance Bancshares, Inc. | | | 134 | | | | 5,987 | |
Plymouth Industrial REIT, Inc. | | | 220 | | | | 5,962 | |
Kearny Financial Corp. | | | 462 | | | | 5,951 | |
Columbia Financial, Inc.* | | | 276 | | | | 5,937 | |
Armada Hoffler Properties, Inc. REIT | | | 403 | | | | 5,884 | |
Amerant Bancorp, Inc. | | | 184 | | | | 5,813 | |
World Acceptance Corp.* | | | 30 | | | | 5,755 | |
Gladstone Commercial Corp. REIT | | | 260 | | | | 5,725 | |
Horizon Bancorp, Inc. | | | 301 | | | | 5,620 | |
Peoples Bancorp, Inc. | | | 178 | | | | 5,573 | |
WisdomTree Investments, Inc. | | | 946 | | | | 5,553 | |
BrightSpire Capital, Inc. REIT | | | 593 | | | | 5,485 | |
GEO Group, Inc. REIT* | | | 827 | | | | 5,467 | |
1st Source Corp. | | | 118 | | | | 5,457 | |
Brightsphere Investment Group, Inc. | | | 225 | | | | 5,456 | |
Univest Financial Corp. | | | 203 | | | | 5,432 | |
Central Pacific Financial Corp. | | | 192 | | | | 5,357 | |
Diversified Healthcare Trust REIT | | | 1,667 | | | | 5,334 | |
City Office REIT, Inc. | | | 300 | | | | 5,298 | |
Hanmi Financial Corp. | | | 214 | | | | 5,267 | |
Universal Health Realty Income Trust REIT | | | 90 | | | | 5,253 | |
ARMOUR Residential REIT, Inc.1 | | | 625 | | | | 5,250 | |
MBIA, Inc.* | | | 337 | | | | 5,186 | |
KKR Real Estate Finance Trust, Inc. REIT | | | 248 | | | | 5,111 | |
CrossFirst Bankshares, Inc.* | | | 324 | | | | 5,106 | |
Invesco Mortgage Capital, Inc. REIT | | | 2,205 | | | | 5,027 | |
Cowen, Inc. — Class A | | | 185 | | | | 5,014 | |
TPG RE Finance Trust, Inc. REIT | | | 422 | | | | 4,984 | |
Camden National Corp. | | | 102 | | | | 4,798 | |
First Bancshares, Inc. | | | 142 | | | | 4,780 | |
Ares Commercial Real Estate Corp. REIT | | | 307 | | | | 4,765 | |
International Money Express, Inc.* | | | 227 | | | | 4,678 | |
Byline Bancorp, Inc. | | | 175 | | | | 4,669 | |
SiriusPoint Ltd.* | | | 622 | | | | 4,653 | |
HarborOne Bancorp, Inc. | | | 331 | | | | 4,641 | |
Chatham Lodging Trust REIT* | | | 336 | | | | 4,633 | |
Heritage Commerce Corp. | | | 410 | | | | 4,612 | |
United Fire Group, Inc. | | | 148 | | | | 4,598 | |
Flushing Financial Corp. | | | 204 | | | | 4,559 | |
First Mid Bancshares, Inc. | | | 117 | | | | 4,503 | |
Community Trust Bancorp, Inc. | | | 109 | | | | 4,491 | |
Northfield Bancorp, Inc. | | | 309 | | | | 4,437 | |
Saul Centers, Inc. REIT | | | 83 | | | | 4,374 | |
Peapack-Gladstone Financial Corp. | | | 124 | | | | 4,309 | |
Midland States Bancorp, Inc. | | | 149 | | | | 4,300 | |
Whitestone REIT — Class B | | | 323 | | | | 4,280 | |
TrustCo Bank Corporation NY | | | 133 | | | | 4,247 | |
Franklin Street Properties Corp. REIT | | | 713 | | | | 4,207 | |
Great Southern Bancorp, Inc. | | | 71 | | | | 4,190 | |
Granite Point Mortgage Trust, Inc. REIT | | | 375 | | | | 4,170 | |
Dynex Capital, Inc. REIT1 | | | 254 | | | | 4,115 | |
Cambridge Bancorp | | | 48 | | | | 4,080 | |
CBTX, Inc. | | | 129 | | | | 3,999 | |
Diamond Hill Investment Group, Inc. | | | 21 | | | | 3,933 | |
Urstadt Biddle Properties, Inc. — Class A REIT | | | 209 | | | | 3,931 | |
Alexander’s, Inc. REIT | | | 15 | | | | 3,843 | |
Mercantile Bank Corp. | | | 108 | | | | 3,825 | |
Bank of Marin Bancorp | | | 108 | | | | 3,788 | |
National Western Life Group, Inc. — Class A | | | 18 | | | | 3,787 | |
Farmers National Banc Corp. | | | 217 | | | | 3,702 | |
Douglas Elliman, Inc. | | | 504 | | | | 3,679 | |
RE/MAX Holdings, Inc. — Class A | | | 130 | | | | 3,605 | |
Franklin BSP Realty Trust, Inc. REIT | | | 253 | | | | 3,537 | |
One Liberty Properties, Inc. REIT | | | 113 | | | | 3,479 | |
First Financial Corp. | | | 79 | | | | 3,419 | |
Ambac Financial Group, Inc.* | | | 320 | | | | 3,328 | |
RMR Group, Inc. — Class A | | | 107 | | | | 3,328 | |
Seritage Growth Properties REIT* | | | 262 | | | | 3,317 | |
Financial Institutions, Inc. | | | 110 | | | | 3,314 | |
Bank First Corp. | | | 46 | | | | 3,312 | |
MidWestOne Financial Group, Inc. | | | 100 | | | | 3,310 | |
First Community Bankshares, Inc. | | | 117 | | | | 3,301 | |
Business First Bancshares, Inc. | | | 134 | | | | 3,260 | |
Carter Bankshares, Inc.* | | | 182 | | | | 3,161 | |
Independent Bank Corp. | | | 143 | | | | 3,146 | |
Arrow Financial Corp. | | | 97 | | | | 3,145 | |
Metrocity Bankshares, Inc. | | | 133 | | | | 3,123 | |
HomeTrust Bancshares, Inc. | | | 105 | | | | 3,101 | |
Orchid Island Capital, Inc. REIT1 | | | 954 | | | | 3,101 | |
Hingham Institution For Savings The | | | 9 | | | | 3,089 | |
West BanCorp, Inc. | | | 113 | | | | 3,075 | |
Equity Bancshares, Inc. — Class A | | | 95 | | | | 3,069 | |
First of Long Island Corp. | | | 157 | | | | 3,055 | |
Capstar Financial Holdings, Inc. | | | 144 | | | | 3,036 | |
122 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
GCM Grosvenor, Inc. — Class A | | | 312 | | | $ | 3,030 | |
MVB Financial Corp. | | | 72 | | | | 2,988 | |
Bar Harbor Bankshares | | | 104 | | | | 2,976 | |
CNB Financial Corp. | | | 113 | | | | 2,974 | |
Alerus Financial Corp. | | | 106 | | | | 2,930 | |
Coastal Financial Corp.* | | | 64 | | | | 2,928 | |
Republic Bancorp, Inc. — Class A | | | 65 | | | | 2,921 | |
Waterstone Financial, Inc. | | | 150 | | | | 2,901 | |
AssetMark Financial Holdings, Inc.* | | | 128 | | | | 2,848 | |
Merchants Bancorp | | | 104 | | | | 2,848 | |
Oppenheimer Holdings, Inc. — Class A | | | 65 | | | | 2,833 | |
Old Second Bancorp, Inc. | | | 195 | | | | 2,829 | |
CatchMark Timber Trust, Inc. — Class A REIT | | | 343 | | | | 2,813 | |
First Internet Bancorp | | | 65 | | | | 2,796 | |
Indus Realty Trust, Inc. REIT | | | 38 | | | | 2,777 | |
Farmland Partners, Inc. REIT | | | 201 | | | | 2,764 | |
American National Bankshares, Inc. | | | 73 | | | | 2,751 | |
HCI Group, Inc. | | | 40 | | | | 2,727 | |
CTO Realty Growth, Inc. REIT | | | 41 | | | | 2,719 | |
FRP Holdings, Inc.* | | | 47 | | | | 2,717 | |
Southern Missouri Bancorp, Inc. | | | 54 | | | | 2,697 | |
Mid Penn Bancorp, Inc. | | | 100 | | | | 2,681 | |
Blue Foundry Bancorp* | | | 197 | | | | 2,669 | |
Southern First Bancshares, Inc.* | | | 52 | | | | 2,644 | |
Selectquote, Inc.* | | | 941 | | | | 2,625 | |
Citizens & Northern Corp. | | | 107 | | | | 2,609 | |
Enterprise Bancorp, Inc. | | | 65 | | | | 2,608 | |
Regional Management Corp. | | | 53 | | | | 2,574 | |
Universal Insurance Holdings, Inc. | | | 190 | | | | 2,563 | |
Capital City Bank Group, Inc. | | | 95 | | | | 2,504 | |
Five Star Bancorp | | | 88 | | | | 2,490 | |
Civista Bancshares, Inc. | | | 103 | | | | 2,482 | |
SmartFinancial, Inc. | | | 97 | | | | 2,481 | |
Braemar Hotels & Resorts, Inc. REIT | | | 401 | | | | 2,478 | |
Peoples Financial Services Corp. | | | 49 | | | | 2,474 | |
Bridgewater Bancshares, Inc.* | | | 148 | | | | 2,469 | |
Sierra Bancorp | | | 98 | | | | 2,448 | |
Spirit of Texas Bancshares, Inc. | | | 90 | | | | 2,365 | |
Primis Financial Corp. | | | 169 | | | | 2,363 | |
RBB Bancorp | | | 99 | | | | 2,326 | |
Enact Holdings, Inc. | | | 104 | | | | 2,314 | |
First Bancorp, Inc. | | | 73 | | | | 2,196 | |
Sculptor Capital Management, Inc.* | | | 156 | | | | 2,173 | |
Home Bancorp, Inc. | | | 53 | | | | 2,162 | |
eHealth, Inc.* | | | 173 | | | | 2,147 | |
Oportun Financial Corp.* | | | 149 | | | | 2,140 | |
Tiptree, Inc. — Class A | | | 165 | | | | 2,120 | |
EZCORP, Inc. — Class A* | | | 344 | | | | 2,078 | |
Hersha Hospitality Trust REIT* | | | 227 | | | | 2,061 | |
Summit Financial Group, Inc. | | | 78 | | | | 1,996 | |
South Plains Financial, Inc. | | | 74 | | | | 1,967 | |
Guaranty Bancshares, Inc. | | | 56 | | | | 1,960 | |
BRT Apartments Corp. REIT | | | 80 | | | | 1,918 | |
Curo Group Holdings Corp. | | | 143 | | | | 1,866 | |
Blue Ridge Bankshares, Inc. | | | 122 | | | | 1,851 | |
Investors Title Co. | | | 9 | | | | 1,829 | |
Atlanticus Holdings Corp.* | | | 35 | | | | 1,813 | |
Northrim BanCorp, Inc. | | | 41 | | | | 1,786 | |
Great Ajax Corp. REIT | | | 152 | | | | 1,783 | |
Orrstown Financial Services, Inc. | | | 77 | | | | 1,766 | |
Amalgamated Financial Corp. | | | 96 | | | | 1,725 | |
Provident Bancorp, Inc. | | | 106 | | | | 1,719 | |
PCSB Financial Corp. | | | 88 | | | | 1,682 | |
Macatawa Bank Corp. | | | 184 | | | | 1,658 | |
Red River Bancshares, Inc. | | | 31 | | | | 1,640 | |
Republic First Bancorp, Inc.* | | | 314 | | | | 1,620 | |
FS Bancorp, Inc. | | | 50 | | | | 1,550 | |
First Bank/Hamilton NJ | | | 109 | | | | 1,550 | |
Greenhill & Company, Inc. | | | 98 | | | | 1,516 | |
AFC Gamma, Inc. REIT | | | 79 | | | | 1,511 | |
Citizens, Inc.* | | | 351 | | | | 1,488 | |
Luther Burbank Corp. | | | 109 | | | | 1,449 | |
Donegal Group, Inc. — Class A | | | 104 | | | | 1,395 | |
Postal Realty Trust, Inc. — Class A REIT | | | 82 | | | | 1,379 | |
Ocwen Financial Corp.* | | | 57 | | | | 1,354 | |
Greenlight Capital Re Ltd. — Class A* | | | 185 | | | | 1,308 | |
Fidelity D&D Bancorp, Inc. | | | 28 | | | | 1,300 | |
Heritage Insurance Holdings, Inc. | | | 181 | | | | 1,292 | |
HBT Financial, Inc. | | | 71 | | | | 1,291 | |
Ashford Hospitality Trust, Inc. REIT* | | | 119 | | | | 1,214 | |
Capital Bancorp, Inc. | | | 53 | | | | 1,212 | |
Legacy Housing Corp.* | | | 56 | | | | 1,202 | |
Maiden Holdings Ltd.* | | | 488 | | | | 1,176 | |
NI Holdings, Inc.* | | | 60 | | | | 1,018 | |
Pzena Investment Management, Inc. — Class A | | | 117 | | | | 938 | |
Pioneer Bancorp, Inc.* | | | 82 | | | | 863 | |
Crawford & Co. — Class A | | | 114 | | | | 862 | |
GAMCO Investors, Inc. — Class A | | | 36 | | | | 796 | |
Angel Oak Mortgage, Inc. REIT | | | 48 | | | | 788 | |
Clipper Realty, Inc. REIT | | | 86 | | | | 780 | |
Chicago Atlantic Real Estate Finance, Inc. | | | 42 | | | | 745 | |
Velocity Financial, Inc.* | | | 60 | | | | 656 | |
MetroMile, Inc.* | | | 464 | | | | 613 | |
Trean Insurance Group, Inc.* | | | 124 | | | | 582 | |
Finance of America Companies, Inc. — Class A* | | | 183 | | | | 556 | |
Associated Capital Group, Inc. — Class A | | | 12 | | | | 503 | |
United Insurance Holdings Corp. | | | 143 | | | | 473 | |
Fathom Holdings, Inc.* | | | 40 | | | | 428 | |
Retail Value, Inc. REIT | | | 122 | | | | 373 | |
Third Coast Bancshares, Inc.* | | | 10 | | | | 231 | |
Rafael Holdings, Inc. — Class B* | | | 65 | | | | 163 | |
Home Point Capital, Inc. | | | 51 | | | | 159 | |
Stronghold Digital Mining, Inc. — Class A* | | | 23 | | | | 135 | |
Total Financial | | | | | | | 4,476,778 | |
| | | | | | | | | |
Consumer, Non-cyclical - 17.1% |
Avis Budget Group, Inc.* | | | 288 | | | | 75,830 | |
Tenet Healthcare Corp.* | | | 739 | | | | 63,524 | |
WillScot Mobile Mini Holdings Corp.* | | | 1,450 | | | | 56,739 | |
Performance Food Group Co.* | | | 1,053 | | | | 53,608 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Shockwave Medical, Inc.* | | | 236 | | | $ | 48,937 | |
Inspire Medical Systems, Inc.* | | | 188 | | | | 48,258 | |
Biohaven Pharmaceutical Holding Company Ltd.* | | | 391 | | | | 46,361 | |
ASGN, Inc.* | | | 357 | | | | 41,665 | |
Omnicell, Inc.* | | | 307 | | | | 39,753 | |
Halozyme Therapeutics, Inc.* | | | 972 | | | | 38,763 | |
HealthEquity, Inc.* | | | 574 | | | | 38,711 | |
LHC Group, Inc.* | | | 214 | | | | 36,080 | |
Intellia Therapeutics, Inc.* | | | 490 | | | | 35,608 | |
AMN Healthcare Services, Inc.* | | | 331 | | | | 34,533 | |
Intra-Cellular Therapies, Inc.* | | | 549 | | | | 33,593 | |
Medpace Holdings, Inc.* | | | 204 | | | | 33,372 | |
Ensign Group, Inc. | | | 369 | | | | 33,214 | |
Helen of Troy Ltd.* | | | 169 | | | | 33,097 | |
Triton International Ltd. | | | 469 | | | | 32,914 | |
Arrowhead Pharmaceuticals, Inc.* | | | 709 | | | | 32,607 | |
iRhythm Technologies, Inc.* | | | 207 | | | | 32,596 | |
Option Care Health, Inc.* | | | 1,116 | | | | 31,873 | |
LivaNova plc* | | | 375 | | | | 30,686 | |
CONMED Corp. | | | 204 | | | | 30,304 | |
API Group Corp.* | | | 1,417 | | | | 29,800 | |
Alkermes plc* | | | 1,126 | | | | 29,625 | |
Herc Holdings, Inc. | | | 175 | | | | 29,241 | |
TriNet Group, Inc.* | | | 285 | | | | 28,033 | |
Apellis Pharmaceuticals, Inc.* | | | 547 | | | | 27,793 | |
Sanderson Farms, Inc. | | | 143 | | | | 26,811 | |
STAAR Surgical Co.* | | | 334 | | | | 26,690 | |
Blueprint Medicines Corp.* | | | 411 | | | | 26,255 | |
Lantheus Holdings, Inc.* | | | 473 | | | | 26,162 | |
Insperity, Inc. | | | 255 | | | | 25,607 | |
Sprouts Farmers Market, Inc.* | | | 792 | | | | 25,328 | |
Korn Ferry | | | 378 | | | | 24,547 | |
Merit Medical Systems, Inc.* | | | 360 | | | | 23,947 | |
Pacira BioSciences, Inc.* | | | 310 | | | | 23,659 | |
Neogen Corp.* | | | 756 | | | | 23,315 | |
Progyny, Inc.* | | | 453 | | | | 23,284 | |
Brink’s Co. | | | 338 | | | | 22,984 | |
Simply Good Foods Co.* | | | 598 | | | | 22,694 | |
Owens & Minor, Inc. | | | 509 | | | | 22,406 | |
Haemonetics Corp.* | | | 354 | | | | 22,380 | |
R1 RCM, Inc.* | | | 834 | | | | 22,318 | |
Arvinas, Inc.* | | | 331 | | | | 22,276 | |
Fate Therapeutics, Inc.* | | | 570 | | | | 22,099 | |
Alarm.com Holdings, Inc.* | | | 332 | | | | 22,065 | |
Inari Medical, Inc.* | | | 242 | | | | 21,935 | |
ABM Industries, Inc. | | | 473 | | | | 21,777 | |
Hostess Brands, Inc.* | | | 971 | | | | 21,304 | |
Celsius Holdings, Inc.* | | | 379 | | | | 20,913 | |
AtriCure, Inc.* | | | 315 | | | | 20,686 | |
NuVasive, Inc.* | | | 364 | | | | 20,639 | |
Beam Therapeutics, Inc.* | | | 359 | | | | 20,571 | |
Denali Therapeutics, Inc.* | | | 639 | | | | 20,557 | |
BioCryst Pharmaceuticals, Inc.* | | | 1,264 | | | | 20,553 | |
Cytokinetics, Inc.*,1 | | | 557 | | | | 20,503 | |
ACADIA Pharmaceuticals, Inc.* | | | 840 | | | | 20,345 | |
Axonics, Inc.* | | | 322 | | | | 20,157 | |
Lancaster Colony Corp. | | | 133 | | | | 19,837 | |
Karuna Therapeutics, Inc.* | | | 156 | | | | 19,779 | |
Patterson Companies, Inc. | | | 602 | | | | 19,487 | |
Insmed, Inc.* | | | 829 | | | | 19,481 | |
Twist Bioscience Corp.* | | | 385 | | | | 19,011 | |
Marathon Digital Holdings, Inc.*,1 | | | 670 | | | | 18,726 | |
Prestige Consumer Healthcare, Inc.* | | | 352 | | | | 18,635 | |
Select Medical Holdings Corp. | | | 776 | | | | 18,616 | |
Integer Holdings Corp.* | | | 231 | | | | 18,612 | |
Glaukos Corp.* | | | 320 | | | | 18,502 | |
BellRing Brands, Inc.* | | | 791 | | | | 18,256 | |
PTC Therapeutics, Inc.* | | | 488 | | | | 18,207 | |
WD-40 Co. | | | 96 | | | | 17,590 | |
Nevro Corp.* | | | 243 | | | | 17,576 | |
Amicus Therapeutics, Inc.* | | | 1,847 | | | | 17,491 | |
EVERTEC, Inc. | | | 425 | | | | 17,395 | |
LiveRamp Holdings, Inc.* | | | 464 | | | | 17,349 | |
John Wiley & Sons, Inc. — Class A | | | 303 | | | | 16,068 | |
J & J Snack Foods Corp. | | | 103 | | | | 15,975 | |
Coca-Cola Consolidated, Inc. | | | 32 | | | | 15,899 | |
Graham Holdings Co. — Class B | | | 26 | | | | 15,898 | |
United Natural Foods, Inc.* | | | 384 | | | | 15,878 | |
Riot Blockchain, Inc.*,1 | | | 749 | | | | 15,856 | |
Cal-Maine Foods, Inc. | | | 287 | | | | 15,848 | |
Ortho Clinical Diagnostics Holdings plc* | | | 846 | | | | 15,786 | |
Primo Water Corp. | | | 1,105 | | | | 15,746 | |
Global Blood Therapeutics, Inc.* | | | 435 | | | | 15,068 | |
Relay Therapeutics, Inc.* | | | 491 | | | | 14,696 | |
CBIZ, Inc.* | | | 344 | | | | 14,438 | |
Emergent BioSolutions, Inc.* | | | 344 | | | | 14,125 | |
Myriad Genetics, Inc.* | | | 557 | | | | 14,036 | |
Edgewell Personal Care Co. | | | 381 | | | | 13,971 | |
Medifast, Inc. | | | 81 | | | | 13,833 | |
Corcept Therapeutics, Inc.* | | | 608 | | | | 13,692 | |
IVERIC bio, Inc.* | | | 808 | | | | 13,599 | |
CareDx, Inc.* | | | 355 | | | | 13,131 | |
Surgery Partners, Inc.* | | | 238 | | | | 13,102 | |
Veracyte, Inc.* | | | 474 | | | | 13,068 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 1,031 | | | | 12,970 | |
Textainer Group Holdings Ltd. | | | 331 | | | | 12,601 | |
MEDNAX, Inc.* | | | 535 | | | | 12,562 | |
Vericel Corp.* | | | 326 | | | | 12,460 | |
Pacific Biosciences of California, Inc.* | | | 1,366 | | | | 12,431 | |
ICF International, Inc. | | | 130 | | | | 12,238 | |
Covetrus, Inc.* | | | 727 | | | | 12,206 | |
Vector Group Ltd. | | | 1,009 | | | | 12,148 | |
B&G Foods, Inc.1 | | | 450 | | | | 12,141 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 106 | | | | 11,924 | |
Coursera, Inc.* | | | 513 | | | | 11,820 | |
Zentalis Pharmaceuticals, Inc.* | | | 256 | | | | 11,812 | |
TreeHouse Foods, Inc.* | | | 365 | | | | 11,775 | |
Rent-A-Center, Inc. | | | 463 | | | | 11,663 | |
SpringWorks Therapeutics, Inc.* | | | 205 | | | | 11,570 | |
Central Garden & Pet Co. — Class A* | | | 281 | | | | 11,459 | |
124 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Strategic Education, Inc. | | | 171 | | | $ | 11,351 | |
PROG Holdings, Inc.* | | | 394 | | | | 11,335 | |
Avanos Medical, Inc.* | | | 338 | | | | 11,323 | |
Invitae Corp.* | | | 1,407 | | | | 11,214 | |
Supernus Pharmaceuticals, Inc.* | | | 345 | | | | 11,150 | |
Agios Pharmaceuticals, Inc.* | | | 382 | | | | 11,120 | |
Andersons, Inc. | | | 221 | | | | 11,107 | |
Inter Parfums, Inc. | | | 126 | | | | 11,094 | |
NanoString Technologies, Inc.* | | | 319 | | | | 11,085 | |
Celldex Therapeutics, Inc.* | | | 323 | | | | 11,001 | |
Vir Biotechnology, Inc.* | | | 422 | | | | 10,854 | |
Travere Therapeutics, Inc.* | | | 415 | | | | 10,695 | |
REVOLUTION Medicines, Inc.* | | | 417 | | | | 10,638 | |
Multiplan Corp.* | | | 2,269 | | | | 10,619 | |
Xencor, Inc.* | | | 397 | | | | 10,592 | |
Stride, Inc.* | | | 291 | | | | 10,572 | |
Kforce, Inc. | | | 142 | | | | 10,504 | |
Community Health Systems, Inc.* | | | 873 | | | | 10,363 | |
Adtalem Global Education, Inc.* | | | 348 | | | | 10,339 | |
Green Dot Corp. — Class A* | | | 376 | | | | 10,332 | |
Monro, Inc. | | | 233 | | | | 10,331 | |
CorVel Corp.* | | | 61 | | | | 10,275 | |
Kymera Therapeutics, Inc.* | | | 241 | | | | 10,199 | |
Beauty Health Co.* | | | 604 | | | | 10,196 | |
Addus HomeCare Corp.* | | | 108 | | | | 10,075 | |
ModivCare, Inc.* | | | 87 | | | | 10,039 | |
Cerevel Therapeutics Holdings, Inc.* | | | 286 | | | | 10,013 | |
Cassava Sciences, Inc.*,1 | | | 269 | | | | 9,991 | |
Silk Road Medical, Inc.* | | | 241 | | | | 9,951 | |
Arcus Biosciences, Inc.* | | | 315 | | | | 9,941 | |
Tivity Health, Inc.* | | | 309 | | | | 9,941 | |
Universal Corp. | | | 170 | | | | 9,872 | |
NeoGenomics, Inc.* | | | 796 | | | | 9,671 | |
OPKO Health, Inc.* | | | 2,806 | | | | 9,653 | |
Revance Therapeutics, Inc.* | | | 493 | | | | 9,614 | |
Heska Corp.* | | | 69 | | | | 9,541 | |
Enanta Pharmaceuticals, Inc.* | | | 134 | | | | 9,538 | |
ChemoCentryx, Inc.* | | | 379 | | | | 9,502 | |
CoreCivic, Inc.* | | | 842 | | | | 9,405 | |
Amphastar Pharmaceuticals, Inc.* | | | 260 | | | | 9,334 | |
Krystal Biotech, Inc.* | | | 140 | | | | 9,316 | |
Prothena Corporation plc* | | | 254 | | | | 9,289 | |
REGENXBIO, Inc.* | | | 277 | | | | 9,194 | |
Fulgent Genetics, Inc.* | | | 147 | | | | 9,174 | |
Brookdale Senior Living, Inc. — Class A* | | | 1,300 | | | | 9,165 | |
Editas Medicine, Inc.* | | | 480 | | | | 9,130 | |
Repay Holdings Corp.* | | | 608 | | | | 8,980 | |
US Physical Therapy, Inc. | | | 90 | | | | 8,951 | |
Deluxe Corp. | | | 294 | | | | 8,891 | |
Ingles Markets, Inc. — Class A | | | 99 | | | | 8,816 | |
Krispy Kreme, Inc. | | | 592 | | | | 8,791 | |
elf Beauty, Inc.* | | | 338 | | | | 8,731 | |
Turning Point Therapeutics, Inc.* | | | 323 | | | | 8,673 | |
TG Therapeutics, Inc.* | | | 910 | | | | 8,654 | |
Avid Bioservices, Inc.* | | | 424 | | | | 8,637 | |
MGP Ingredients, Inc. | | | 100 | | | | 8,559 | |
Cutera, Inc.* | | | 124 | | | | 8,556 | |
Weis Markets, Inc. | | | 116 | | | | 8,285 | |
SpartanNash Co. | | | 251 | | | | 8,281 | |
Laureate Education, Inc. — Class A | | | 697 | | | | 8,259 | |
Dynavax Technologies Corp.*,1 | | | 757 | | | | 8,206 | |
Madrigal Pharmaceuticals, Inc.* | | | 83 | | | | 8,144 | |
Axsome Therapeutics, Inc.* | | | 195 | | | | 8,071 | |
AdaptHealth Corp.* | | | 503 | | | | 8,063 | |
Prometheus Biosciences, Inc.* | | | 210 | | | | 7,930 | |
Harmony Biosciences Holdings, Inc.* | | | 161 | | | | 7,833 | |
Cimpress plc* | | | 123 | | | | 7,822 | |
First Advantage Corp.* | | | 387 | | | | 7,814 | |
Meridian Bioscience, Inc.* | | | 299 | | | | 7,762 | |
Evo Payments, Inc. — Class A* | | | 333 | | | | 7,689 | |
Bridgebio Pharma, Inc.* | | | 745 | | | | 7,562 | |
Protagonist Therapeutics, Inc.* | | | 314 | | | | 7,436 | |
Cytek Biosciences, Inc.* | | | 679 | | | | 7,320 | |
FibroGen, Inc.* | | | 605 | | | | 7,272 | |
Chefs’ Warehouse, Inc.* | | | 221 | | | | 7,205 | |
National Beverage Corp. | | | 165 | | | | 7,178 | |
Kura Oncology, Inc.* | | | 446 | | | | 7,172 | |
RadNet, Inc.* | | | 319 | | | | 7,136 | |
Atrion Corp. | | | 10 | | | | 7,130 | |
Crinetics Pharmaceuticals, Inc.* | | | 324 | | | | 7,112 | |
TrueBlue, Inc.* | | | 246 | | | | 7,107 | |
Huron Consulting Group, Inc.* | | | 152 | | | | 6,963 | |
2U, Inc.* | | | 510 | | | | 6,773 | |
Castle Biosciences, Inc.* | | | 150 | | | | 6,729 | |
USANA Health Sciences, Inc.* | | | 84 | | | | 6,674 | |
MoneyGram International, Inc.* | | | 629 | | | | 6,642 | |
Vaxcyte, Inc.* | | | 273 | | | | 6,593 | |
C4 Therapeutics, Inc.* | | | 271 | | | | 6,574 | |
Intersect ENT, Inc.* | | | 234 | | | | 6,554 | |
Cerus Corp.* | | | 1,181 | | | | 6,484 | |
MannKind Corp.* | | | 1,734 | | | | 6,381 | |
Quanterix Corp.* | | | 217 | | | | 6,334 | |
Reata Pharmaceuticals, Inc. — Class A* | | | 193 | | | | 6,323 | |
Cardiovascular Systems, Inc.* | | | 279 | | | | 6,305 | |
ImmunoGen, Inc.* | | | 1,321 | | | | 6,288 | |
Natus Medical, Inc.* | | | 237 | | | | 6,228 | |
Accolade, Inc.* | | | 352 | | | | 6,181 | |
LeMaitre Vascular, Inc. | | | 133 | | | | 6,181 | |
National Healthcare Corp. | | | 88 | | | | 6,180 | |
Aclaris Therapeutics, Inc.* | | | 358 | | | | 6,172 | |
Utz Brands, Inc. | | | 414 | | | | 6,119 | |
Fresh Del Monte Produce, Inc. | | | 236 | | | | 6,115 | |
Morphic Holding, Inc.* | | | 149 | | | | 5,982 | |
Keros Therapeutics, Inc.* | | | 110 | | | | 5,982 | |
Senseonics Holdings, Inc.*,1 | | | 3,035 | | | | 5,979 | |
Innoviva, Inc.* | | | 305 | | | | 5,902 | |
Coherus Biosciences, Inc.* | | | 457 | | | | 5,900 | |
Nuvation Bio, Inc.* | | | 1,116 | | | | 5,870 | |
Alector, Inc.* | | | 410 | | | | 5,843 | |
Anavex Life Sciences Corp.*,1 | | | 471 | | | | 5,798 | |
Recursion Pharmaceuticals, Inc. — Class A* | | | 809 | | | | 5,792 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Verve Therapeutics, Inc.* | | | 253 | | | $ | 5,773 | |
Carriage Services, Inc. — Class A | | | 108 | | | | 5,760 | |
Varex Imaging Corp.* | | | 269 | | | | 5,727 | |
Alphatec Holdings, Inc.* | | | 497 | | | | 5,715 | |
Artivion, Inc.* | | | 267 | | | | 5,708 | |
Perdoceo Education Corp.* | | | 494 | | | | 5,671 | |
Atara Biotherapeutics, Inc.* | | | 610 | | | | 5,667 | |
AngioDynamics, Inc.* | | | 263 | | | | 5,665 | |
Catalyst Pharmaceuticals, Inc.* | | | 682 | | | | 5,654 | |
Cross Country Healthcare, Inc.* | | | 252 | | | | 5,461 | |
American Well Corp. — Class A* | | | 1,286 | | | | 5,414 | |
Heidrick & Struggles International, Inc. | | | 136 | | | | 5,383 | |
Kelly Services, Inc. — Class A | | | 247 | | | | 5,357 | |
Bionano Genomics, Inc.* | | | 2,049 | | | | 5,286 | |
Arlo Technologies, Inc.* | | | 593 | | | | 5,254 | |
OrthoPediatrics Corp.* | | | 97 | | | | 5,237 | |
ACCO Brands Corp. | | | 654 | | | | 5,232 | |
Syndax Pharmaceuticals, Inc.* | | | 300 | | | | 5,214 | |
Inovio Pharmaceuticals, Inc.*,1 | | | 1,452 | | | | 5,213 | |
Lyell Immunopharma, Inc.*,1 | | | 1,032 | | | | 5,212 | |
SI-BONE, Inc.* | | | 229 | | | | 5,175 | |
John B Sanfilippo & Son, Inc. | | | 62 | | | | 5,173 | |
Viad Corp.* | | | 143 | | | | 5,097 | |
SP Plus Corp.* | | | 162 | | | | 5,080 | |
LifeStance Health Group, Inc.*,1 | | | 500 | | | | 5,055 | |
Sana Biotechnology, Inc.* | | | 606 | | | | 5,006 | |
Quanex Building Products Corp. | | | 235 | | | | 4,933 | |
Collegium Pharmaceutical, Inc.* | | | 242 | | | | 4,927 | |
TransMedics Group, Inc.* | | | 182 | | | | 4,903 | |
Sorrento Therapeutics, Inc.*,1 | | | 2,098 | | | | 4,888 | |
Avidity Biosciences, Inc.* | | | 264 | | | | 4,876 | |
Sangamo Therapeutics, Inc.* | | | 834 | | | | 4,846 | |
Hanger, Inc.* | | | 263 | | | | 4,821 | |
Antares Pharma, Inc.* | | | 1,172 | | | | 4,805 | |
Relmada Therapeutics, Inc.* | | | 173 | | | | 4,669 | |
PetIQ, Inc.* | | | 189 | | | | 4,612 | |
Rocket Pharmaceuticals, Inc.* | | | 290 | | | | 4,599 | |
MaxCyte, Inc.* | | | 657 | | | | 4,592 | |
Duckhorn Portfolio, Inc.* | | | 252 | | | | 4,584 | |
iTeos Therapeutics, Inc.* | | | 142 | | | | 4,570 | |
Fulcrum Therapeutics, Inc.* | | | 193 | | | | 4,564 | |
Pulmonx Corp.* | | | 183 | | | | 4,540 | |
Inogen, Inc.* | | | 139 | | | | 4,506 | |
Forrester Research, Inc.* | | | 79 | | | | 4,457 | |
Seer, Inc.* | | | 292 | | | | 4,450 | |
Chinook Therapeutics, Inc.* | | | 270 | | | | 4,417 | |
Aaron’s Company, Inc. | | | 219 | | | | 4,398 | |
Calavo Growers, Inc. | | | 120 | | | | 4,374 | |
Inhibrx, Inc.* | | | 196 | | | | 4,367 | |
Vanda Pharmaceuticals, Inc.* | | | 385 | | | | 4,354 | |
Orthofix Medical, Inc.* | | | 133 | | | | 4,349 | |
Vivint Smart Home, Inc.* | | | 643 | | | | 4,347 | |
Allogene Therapeutics, Inc.* | | | 477 | | | | 4,345 | |
Vaxart, Inc.*,1 | | | 859 | | | | 4,329 | |
Surmodics, Inc.* | | | 95 | | | | 4,306 | |
CRA International, Inc. | | | 51 | | | | 4,297 | |
Ocugen, Inc.*,1 | | | 1,297 | | | | 4,280 | |
I3 Verticals, Inc. — Class A* | | | 150 | | | | 4,179 | |
Tattooed Chef, Inc.* | | | 332 | | | | 4,177 | |
Barrett Business Services, Inc. | | | 53 | | | | 4,106 | |
Instil Bio, Inc.* | | | 380 | | | | 4,085 | |
Transcat, Inc.* | | | 50 | | | | 4,057 | |
Theravance Biopharma, Inc.* | | | 421 | | | | 4,025 | |
Arcturus Therapeutics Holdings, Inc.* | | | 148 | | | | 3,990 | |
Treace Medical Concepts, Inc.* | | | 211 | | | | 3,990 | |
Franklin Covey Co.* | | | 88 | | | | 3,979 | |
Butterfly Network, Inc.*,1 | | | 835 | | | | 3,975 | |
Hackett Group, Inc. | | | 172 | | | | 3,966 | |
Eagle Pharmaceuticals, Inc.* | | | 80 | | | | 3,959 | |
Tootsie Roll Industries, Inc. | | | 111 | | | | 3,887 | |
National Research Corp. — Class A | | | 98 | | | | 3,886 | |
Kezar Life Sciences, Inc.* | | | 233 | | | | 3,872 | |
PMV Pharmaceuticals, Inc.* | | | 184 | | | | 3,831 | |
Erasca, Inc.* | | | 445 | | | | 3,827 | |
Gossamer Bio, Inc.* | | | 437 | | | | 3,793 | |
Cara Therapeutics, Inc.* | | | 312 | | | | 3,791 | |
Agenus, Inc.* | | | 1,539 | | | | 3,786 | |
WW International, Inc.* | | | 370 | | | | 3,785 | |
Resources Connection, Inc. | | | 220 | | | | 3,771 | |
Arcutis Biotherapeutics, Inc.* | | | 194 | | | | 3,736 | |
Karyopharm Therapeutics, Inc.* | | | 506 | | | | 3,729 | |
BrightView Holdings, Inc.* | | | 274 | | | | 3,729 | |
Endo International plc* | | | 1,610 | | | | 3,719 | |
MacroGenics, Inc.* | | | 422 | | | | 3,718 | |
Heron Therapeutics, Inc.* | | | 649 | | | | 3,712 | |
Organogenesis Holdings, Inc.* | | | 484 | | | | 3,688 | |
MiMedx Group, Inc.* | | | 780 | | | | 3,674 | |
ViewRay, Inc.* | | | 925 | | | | 3,626 | |
Rigel Pharmaceuticals, Inc.* | | | 1,200 | | | | 3,588 | |
Cass Information Systems, Inc. | | | 97 | | | | 3,580 | |
Affimed N.V.* | | | 815 | | | | 3,562 | |
Rhythm Pharmaceuticals, Inc.* | | | 309 | | | | 3,560 | |
Replimune Group, Inc.* | | | 208 | | | | 3,532 | |
Paya Holdings, Inc.* | | | 602 | | | | 3,528 | |
Albireo Pharma, Inc.* | | | 118 | | | | 3,520 | |
Seres Therapeutics, Inc.* | | | 489 | | | | 3,482 | |
Agiliti, Inc.* | | | 165 | | | | 3,482 | |
Bright Health Group, Inc.* | | | 1,800 | | | | 3,474 | |
Turning Point Brands, Inc. | | | 102 | | | | 3,469 | |
Joint Corp.* | | | 97 | | | | 3,433 | |
Custom Truck One Source, Inc.* | | | 408 | | | | 3,423 | |
OraSure Technologies, Inc.* | | | 502 | | | | 3,404 | |
NGM Biopharmaceuticals, Inc.* | | | 221 | | | | 3,370 | |
Pennant Group, Inc.* | | | 180 | | | | 3,353 | |
AnaptysBio, Inc.* | | | 135 | | | | 3,340 | |
Ennis, Inc. | | | 179 | | | | 3,306 | |
RAPT Therapeutics, Inc.* | | | 150 | | | | 3,298 | |
Mission Produce, Inc.* | | | 260 | | | | 3,289 | |
Atea Pharmaceuticals, Inc.* | | | 454 | | | | 3,278 | |
Absci Corp.* | | | 387 | | | | 3,262 | |
Caribou Biosciences, Inc.* | | | 354 | | | | 3,250 | |
Honest Company, Inc.* | | | 597 | | | | 3,110 | |
126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Nurix Therapeutics, Inc.* | | | 220 | | | $ | 3,082 | |
Sterling Check Corp.* | | | 116 | | | | 3,066 | |
Athira Pharma, Inc.* | | | 226 | | | | 3,051 | |
Central Garden & Pet Co.* | | | 69 | | | | 3,033 | |
Design Therapeutics, Inc.* | | | 187 | | | | 3,020 | |
Amneal Pharmaceuticals, Inc.* | | | 700 | | | | 2,919 | |
Y-mAbs Therapeutics, Inc.* | | | 245 | | | | 2,911 | |
Geron Corp.* | | | 2,140 | | | | 2,910 | |
Radius Health, Inc.* | | | 329 | | | | 2,905 | |
Vectrus, Inc.* | | | 81 | | | | 2,905 | |
MeiraGTx Holdings plc* | | | 209 | | | | 2,895 | |
4D Molecular Therapeutics, Inc.* | | | 191 | | | | 2,888 | |
Phibro Animal Health Corp. — Class A | | | 144 | | | | 2,873 | |
Provention Bio, Inc.* | | | 389 | | | | 2,847 | |
Intercept Pharmaceuticals, Inc.* | | | 175 | | | | 2,847 | |
Stoke Therapeutics, Inc.* | | | 134 | | | | 2,821 | |
Monte Rosa Therapeutics, Inc.* | | | 201 | | | | 2,818 | |
American Public Education, Inc.* | | | 131 | | | | 2,782 | |
Bioventus, Inc. — Class A* | | | 197 | | | | 2,778 | |
Adicet Bio, Inc.* | | | 139 | | | | 2,776 | |
Tactile Systems Technology, Inc.* | | | 135 | | | | 2,722 | |
European Wax Center, Inc. — Class A* | | | 92 | | | | 2,720 | |
SeaSpine Holdings Corp.* | | | 223 | | | | 2,712 | |
Aerie Pharmaceuticals, Inc.* | | | 297 | | | | 2,703 | |
Imago Biosciences, Inc.* | | | 140 | | | | 2,698 | |
ImmunityBio, Inc.*,1 | | | 476 | | | | 2,670 | |
Tejon Ranch Co.* | | | 146 | | | | 2,666 | |
Ocular Therapeutix, Inc.* | | | 538 | | | | 2,663 | |
2seventy bio, Inc.* | | | 155 | | | | 2,644 | |
Edgewise Therapeutics, Inc.* | | | 272 | | | | 2,638 | |
AppHarvest, Inc.* | | | 490 | | | | 2,634 | |
22nd Century Group, Inc.* | | | 1,131 | | | | 2,624 | |
Evolus, Inc.* | | | 233 | | | | 2,614 | |
Inotiv, Inc.* | | | 99 | | | | 2,592 | |
Mind Medicine MindMed, Inc.*,1 | | | 2,324 | | | | 2,580 | |
Ideaya Biosciences, Inc.* | | | 230 | | | | 2,574 | |
Akero Therapeutics, Inc.* | | | 181 | | | | 2,568 | |
Scholar Rock Holding Corp.* | | | 198 | | | | 2,552 | |
Deciphera Pharmaceuticals, Inc.* | | | 275 | | | | 2,549 | |
Omeros Corp.* | | | 423 | | | | 2,542 | |
Anika Therapeutics, Inc.* | | | 101 | | | | 2,536 | |
Bioxcel Therapeutics, Inc.* | | | 121 | | | | 2,530 | |
Sutro Biopharma, Inc.* | | | 304 | | | | 2,499 | |
DermTech, Inc.*,1 | | | 170 | | | | 2,496 | |
Berkeley Lights, Inc.* | | | 341 | | | | 2,425 | |
Marinus Pharmaceuticals, Inc.* | | | 259 | | | | 2,422 | |
SIGA Technologies, Inc.* | | | 339 | | | | 2,404 | |
Willdan Group, Inc.* | | | 78 | | | | 2,394 | |
Praxis Precision Medicines, Inc.* | | | 234 | | | | 2,389 | |
Chimerix, Inc.* | | | 513 | | | | 2,350 | |
Tenaya Therapeutics, Inc.* | | | 199 | | | | 2,344 | |
KalVista Pharmaceuticals, Inc.* | | | 157 | | | | 2,314 | |
Bluebird Bio, Inc.* | | | 474 | | | | 2,299 | |
Generation Bio Co.* | | | 308 | | | | 2,261 | |
Vapotherm, Inc.* | | | 160 | | | | 2,224 | |
Forma Therapeutics Holdings, Inc.* | | | 239 | | | | 2,223 | |
VBI Vaccines, Inc.*,1 | | | 1,323 | | | | 2,196 | |
Veru, Inc.* | | | 452 | | | | 2,183 | |
Seneca Foods Corp. — Class A* | | | 42 | | | | 2,165 | |
ANI Pharmaceuticals, Inc.* | | | 77 | | | | 2,164 | |
Utah Medical Products, Inc. | | | 24 | | | | 2,157 | |
Axogen, Inc.* | | | 271 | | | | 2,152 | |
Vera Therapeutics, Inc.* | | | 91 | | | | 2,138 | |
Landec Corp.* | | | 184 | | | | 2,131 | |
Vital Farms, Inc.* | | | 172 | | | | 2,126 | |
G1 Therapeutics, Inc.* | | | 278 | | | | 2,113 | |
ALX Oncology Holdings, Inc.* | | | 125 | | | | 2,112 | |
Foghorn Therapeutics, Inc.* | | | 137 | | | | 2,087 | |
Accuray, Inc.* | | | 628 | | | | 2,079 | |
Personalis, Inc.* | | | 253 | | | | 2,072 | |
Singular Genomics Systems, Inc.* | | | 328 | | | | 2,070 | |
Kinnate Biopharma, Inc.* | | | 181 | | | | 2,038 | |
Kiniksa Pharmaceuticals Ltd. — Class A* | | | 205 | | | | 2,038 | |
Dyne Therapeutics, Inc.* | | | 211 | | | | 2,034 | |
iRadimed Corp. | | | 45 | | | | 2,018 | |
Mersana Therapeutics, Inc.* | | | 503 | | | | 2,007 | |
Kronos Bio, Inc.* | | | 273 | | | | 1,974 | |
Cogent Biosciences, Inc.* | | | 261 | | | | 1,955 | |
Phathom Pharmaceuticals, Inc.* | | | 142 | | | | 1,933 | |
Cullinan Oncology, Inc.* | | | 182 | | | | 1,906 | |
Whole Earth Brands, Inc.* | | | 262 | | | | 1,876 | |
DICE Therapeutics, Inc.* | | | 98 | | | | 1,875 | |
Adagio Therapeutics, Inc.*,1 | | | 410 | | | | 1,870 | |
Eiger BioPharmaceuticals, Inc.* | | | 225 | | | | 1,867 | |
Esperion Therapeutics, Inc.* | | | 401 | | | | 1,861 | |
Kodiak Sciences, Inc.* | | | 235 | | | | 1,814 | |
PROCEPT BioRobotics Corp.* | | | 51 | | | | 1,784 | |
Rubius Therapeutics, Inc.* | | | 323 | | | | 1,780 | |
Oramed Pharmaceuticals, Inc.* | | | 202 | | | | 1,747 | |
Harvard Bioscience, Inc.* | | | 276 | | | | 1,714 | |
EyePoint Pharmaceuticals, Inc.* | | | 141 | | | | 1,713 | |
Verastem, Inc.* | | | 1,210 | | | | 1,706 | |
Altimmune, Inc.* | | | 278 | | | | 1,693 | |
VistaGen Therapeutics, Inc.* | | | 1,362 | | | | 1,689 | |
ShotSpotter, Inc.* | | | 60 | | | | 1,663 | |
HF Foods Group, Inc.* | | | 249 | | | | 1,658 | |
Alta Equipment Group, Inc.* | | | 133 | | | | 1,644 | |
BioLife Solutions, Inc.* | | | 72 | | | | 1,637 | |
Limoneira Co. | | | 110 | | | | 1,615 | |
Clovis Oncology, Inc.* | | | 792 | | | | 1,600 | |
Arbutus Biopharma Corp.*,1 | | | 536 | | | | 1,597 | |
Day One Biopharmaceuticals, Inc.* | | | 159 | | | | 1,577 | |
Jounce Therapeutics, Inc.* | | | 231 | | | | 1,569 | |
Acacia Research Corp.* | | | 344 | | | | 1,551 | |
IGM Biosciences, Inc.* | | | 58 | | | | 1,550 | |
Immunovant, Inc.* | | | 280 | | | | 1,543 | |
Aldeyra Therapeutics, Inc.* | | | 341 | | | | 1,516 | |
RxSight, Inc.* | | | 122 | | | | 1,510 | |
Immunic, Inc.* | | | 131 | | | | 1,480 | |
Spero Therapeutics, Inc.* | | | 170 | | | | 1,479 | |
Spectrum Pharmaceuticals, Inc.* | | | 1,145 | | | | 1,477 | |
Talaris Therapeutics, Inc.* | | | 150 | | | | 1,476 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
CorMedix, Inc.* | | | 266 | | | $ | 1,458 | |
Avita Medical, Inc.* | | | 171 | | | | 1,450 | |
Curis, Inc.* | | | 608 | | | | 1,447 | |
Village Super Market, Inc. — Class A | | | 59 | | | | 1,446 | |
Viking Therapeutics, Inc.* | | | 480 | | | | 1,440 | |
Cymabay Therapeutics, Inc.* | | | 463 | | | | 1,440 | |
Apyx Medical Corp.* | | | 219 | | | | 1,430 | |
CinCor Pharma, Inc.* | | | 81 | | | | 1,421 | |
Allakos, Inc.* | | | 249 | | | | 1,419 | |
Precigen, Inc.* | | | 666 | | | | 1,405 | |
Allovir, Inc.* | | | 207 | | | | 1,397 | |
Nature’s Sunshine Products, Inc.* | | | 83 | | | | 1,396 | |
ClearPoint Neuro, Inc.* | | | 134 | | | | 1,395 | |
Citius Pharmaceuticals, Inc.* | | | 758 | | | | 1,357 | |
Lineage Cell Therapeutics, Inc.* | | | 881 | | | | 1,357 | |
Applied Molecular Transport, Inc.* | | | 176 | | | | 1,324 | |
Stereotaxis, Inc.* | | | 348 | | | | 1,298 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 65 | | | | 1,274 | |
SOC Telemed, Inc.* | | | 426 | | | | 1,274 | |
Janux Therapeutics, Inc.* | | | 88 | | | | 1,262 | |
InfuSystem Holdings, Inc.* | | | 127 | | | | 1,245 | |
Viemed Healthcare, Inc.* | | | 249 | | | | 1,240 | |
Gritstone bio, Inc.*,1 | | | 300 | | | | 1,236 | |
Udemy, Inc.* | | | 98 | | | | 1,221 | |
CytomX Therapeutics, Inc.* | | | 455 | | | | 1,215 | |
Viracta Therapeutics, Inc.* | | | 255 | | | | 1,214 | |
Aerovate Therapeutics, Inc.* | | | 66 | | | | 1,210 | |
UroGen Pharma Ltd.* | | | 137 | | | | 1,193 | |
Ikena Oncology, Inc.* | | | 195 | | | | 1,189 | |
ORIC Pharmaceuticals, Inc.* | | | 222 | | | | 1,185 | |
Pliant Therapeutics, Inc.* | | | 169 | | | | 1,185 | |
Icosavax, Inc.* | | | 168 | | | | 1,183 | |
XOMA Corp.* | | | 42 | | | | 1,175 | |
Nkarta, Inc.* | | | 99 | | | | 1,127 | |
Precision BioSciences, Inc.* | | | 355 | | | | 1,093 | |
Nuvalent, Inc. — Class A* | | | 78 | | | | 1,083 | |
Nathan’s Famous, Inc. | | | 20 | | | | 1,083 | |
Durect Corp.* | | | 1,589 | | | | 1,064 | |
Outlook Therapeutics, Inc.* | | | 595 | | | | 1,059 | |
Paragon 28, Inc.* | | | 63 | | | | 1,055 | |
Cue Biopharma, Inc.* | | | 216 | | | | 1,054 | |
KemPharm, Inc.* | | | 208 | | | | 1,046 | |
Graphite Bio, Inc.* | | | 205 | | | | 1,045 | |
TherapeuticsMD, Inc.* | | | 2,738 | | | | 1,040 | |
Taysha Gene Therapies, Inc.* | | | 159 | | | | 1,037 | |
Humanigen, Inc.* | | | 343 | | | | 1,032 | |
Asensus Surgical, Inc.* | | | 1,643 | | | | 1,030 | |
Lexicon Pharmaceuticals, Inc.* | | | 492 | | | | 1,028 | |
Atossa Therapeutics, Inc.* | | | 821 | | | | 1,026 | |
Paratek Pharmaceuticals, Inc.* | | | 344 | | | | 1,022 | |
Eargo, Inc.* | | | 193 | | | | 1,021 | |
Century Therapeutics, Inc.* | | | 79 | | | | 995 | |
Tarsus Pharmaceuticals, Inc.* | | | 59 | | | | 992 | |
Ventyx Biosciences, Inc.* | | | 73 | | | | 991 | |
CEL-SCI Corp.* | | | 252 | | | | 990 | |
Omega Therapeutics, Inc.* | | | 154 | | | | 961 | |
Alaunos Therapeutics, Inc.* | | | 1,472 | | | | 960 | |
9 Meters Biopharma, Inc.* | | | 1,590 | | | | 953 | |
Aveanna Healthcare Holdings, Inc.* | | | 277 | | | | 945 | |
CytoSorbents Corp.* | | | 290 | | | | 925 | |
XBiotech, Inc. | | | 107 | | | | 924 | |
Zynex, Inc.1 | | | 146 | | | | 910 | |
Oyster Point Pharma, Inc.* | | | 78 | | | | 908 | |
Sientra, Inc.* | | | 408 | | | | 906 | |
Poseida Therapeutics, Inc.* | | | 202 | | | | 905 | |
Akoya Biosciences, Inc.* | | | 82 | | | | 901 | |
Molecular Templates, Inc.* | | | 260 | | | | 897 | |
Homology Medicines, Inc.* | | | 295 | | | | 897 | |
Tyra Biosciences, Inc.* | | | 83 | | | | 888 | |
Arcellx, Inc.* | | | 63 | | | | 883 | |
Akebia Therapeutics, Inc.* | | | 1,225 | | | | 879 | |
Cortexyme, Inc.* | | | 140 | | | | 867 | |
Amylyx Pharmaceuticals, Inc.* | | | 67 | | | | 861 | |
Remitly Global, Inc.* | | | 87 | | | | 859 | |
Sesen Bio, Inc.* | | | 1,414 | | | | 852 | |
Athersys, Inc.* | | | 1,403 | | | | 850 | |
Rallybio Corp.* | | | 120 | | | | 838 | |
Innovage Holding Corp.*,1 | | | 129 | | | | 828 | |
Werewolf Therapeutics, Inc.* | | | 185 | | | | 814 | |
ChromaDex Corp.* | | | 329 | | | | 809 | |
Passage Bio, Inc.* | | | 260 | | | | 806 | |
Vor BioPharma, Inc.* | | | 133 | | | | 803 | |
Akouos, Inc.* | | | 169 | | | | 803 | |
Adverum Biotechnologies, Inc.* | | | 610 | | | | 799 | |
Shattuck Labs, Inc.* | | | 187 | | | | 797 | |
Selecta Biosciences, Inc.* | | | 646 | | | | 795 | |
Acumen Pharmaceuticals, Inc.* | | | 197 | | | | 770 | |
SQZ Biotechnologies Co.* | | | 160 | | | | 770 | |
Olema Pharmaceuticals, Inc.* | | | 176 | | | | 750 | |
Verrica Pharmaceuticals, Inc.* | | | 92 | | | | 746 | |
Alpine Immune Sciences, Inc.* | | | 82 | | | | 736 | |
Surface Oncology, Inc.* | | | 248 | | | | 729 | |
Ardelyx, Inc.* | | | 679 | | | | 727 | |
Evelo Biosciences, Inc.* | | | 213 | | | | 722 | |
Epizyme, Inc.* | | | 611 | | | | 703 | |
Codiak Biosciences, Inc.* | | | 112 | | | | 702 | |
Infinity Pharmaceuticals, Inc.* | | | 615 | | | | 701 | |
Fortress Biotech, Inc.* | | | 515 | | | | 700 | |
HireQuest, Inc. | | | 36 | | | | 688 | |
Tonix Pharmaceuticals Holding Corp.* | | | 2,959 | | | | 681 | |
Alpha Teknova, Inc.* | | | 49 | | | | 677 | |
PAVmed, Inc.* | | | 510 | | | | 673 | |
Cardiff Oncology, Inc.* | | | 267 | | | | 662 | |
Cue Health, Inc.*,1 | | | 102 | | | | 658 | |
Quotient Ltd.* | | | 547 | | | | 656 | |
AquaBounty Technologies, Inc.* | | | 351 | | | | 656 | |
Puma Biotechnology, Inc.* | | | 227 | | | | 654 | |
Aeglea BioTherapeutics, Inc.* | | | 284 | | | | 653 | |
Harpoon Therapeutics, Inc.* | | | 131 | | | | 651 | |
iBio, Inc.* | | | 1,518 | | | | 650 | |
Ampio Pharmaceuticals, Inc.* | | | 1,368 | | | | 643 | |
Celcuity, Inc.* | | | 68 | | | | 636 | |
128 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Trevena, Inc.* | | | 1,148 | | | $ | 631 | |
Oncocyte Corp.* | | | 423 | | | | 630 | |
WaVe Life Sciences Ltd.* | | | 311 | | | | 622 | |
Magenta Therapeutics, Inc.* | | | 210 | | | | 609 | |
Annexon, Inc.* | | | 219 | | | | 598 | |
TCR2 Therapeutics, Inc.* | | | 214 | | | | 591 | |
StoneMor, Inc.* | | | 226 | | | | 590 | |
Retractable Technologies, Inc.* | | | 122 | | | | 580 | |
Exagen, Inc.* | | | 72 | | | | 578 | |
Seelos Therapeutics, Inc.* | | | 690 | | | | 578 | |
Atreca, Inc. — Class A* | | | 182 | | | | 577 | |
Entrada Therapeutics, Inc.* | | | 61 | | | | 573 | |
Greenwich Lifesciences, Inc.* | | | 29 | | | | 569 | |
Clene, Inc.* | | | 144 | | | | 567 | |
Emerald Holding, Inc.* | | | 165 | | | | 561 | |
Mirum Pharmaceuticals, Inc.* | | | 25 | | | | 551 | |
NewAge, Inc.* | | | 945 | | | | 549 | |
BioAtla, Inc.* | | | 109 | | | | 545 | |
Neuronetics, Inc.* | | | 179 | | | | 542 | |
Aspira Women’s Health, Inc.* | | | 510 | | | | 530 | |
Prelude Therapeutics, Inc.* | | | 76 | | | | 524 | |
NexImmune, Inc.* | | | 124 | | | | 522 | |
Mustang Bio, Inc.* | | | 506 | | | | 511 | |
Silverback Therapeutics, Inc.* | | | 144 | | | | 505 | |
Athenex, Inc.* | | | 607 | | | | 504 | |
Solid Biosciences, Inc.* | | | 419 | | | | 503 | |
Biomea Fusion, Inc.* | | | 112 | | | | 500 | |
Syros Pharmaceuticals, Inc.* | | | 404 | | | | 481 | |
Pulse Biosciences, Inc.* | | | 98 | | | | 476 | |
Frequency Therapeutics, Inc.* | | | 224 | | | | 475 | |
Kala Pharmaceuticals, Inc.* | | | 338 | | | | 466 | |
Neoleukin Therapeutics, Inc.* | | | 247 | | | | 464 | |
Vincerx Pharma, Inc.* | | | 115 | | | | 460 | |
Summit Therapeutics, Inc.* | | | 185 | | | | 453 | |
Rain Therapeutics, Inc.* | | | 88 | | | | 446 | |
Black Diamond Therapeutics, Inc.* | | | 160 | | | | 443 | |
Bolt Biotherapeutics, Inc.* | | | 161 | | | | 441 | |
MEI Pharma, Inc.* | | | 724 | | | | 436 | |
Oncternal Therapeutics, Inc.* | | | 311 | | | | 432 | |
Theseus Pharmaceuticals, Inc.* | | | 37 | | | | 427 | |
Brooklyn ImmunoTherapeutics, Inc.* | | | 208 | | | | 426 | |
Inozyme Pharma, Inc.* | | | 101 | | | | 413 | |
NeuroPace, Inc.* | | | 50 | | | | 411 | |
Team, Inc.* | | | 185 | | | | 409 | |
Revlon, Inc. — Class A* | | | 50 | | | | 403 | |
Aura Biosciences, Inc.* | | | 18 | | | | 396 | |
Eliem Therapeutics, Inc.* | | | 47 | | | | 394 | |
Priority Technology Holdings, Inc.* | | | 68 | | | | 391 | |
Rent the Runway, Inc. — Class A*,1 | | | 55 | | | | 379 | |
Rapid Micro Biosystems, Inc. — Class A* | | | 55 | | | | 373 | |
Immuneering Corp. — Class A* | | | 56 | | | | 362 | |
GT Biopharma, Inc.* | | | 125 | | | | 360 | |
Avrobio, Inc.* | | | 266 | | | | 351 | |
Beyondspring, Inc.* | | | 157 | | | | 345 | |
Sensei Biotherapeutics, Inc.* | | | 147 | | | | 340 | |
Accelerate Diagnostics, Inc.* | | | 232 | | | | 334 | |
Invacare Corp.* | | | 236 | | | | 333 | |
Zevia PBC — Class A* | | | 72 | | | | 329 | |
Angion Biomedica Corp.* | | | 153 | | | | 324 | |
CVRx, Inc.* | | | 54 | | | | 323 | |
Aligos Therapeutics, Inc.* | | | 148 | | | | 318 | |
Avalo Therapeutics, Inc.* | | | 437 | | | | 317 | |
Hookipa Pharma, Inc.*,1 | | | 135 | | | | 308 | |
Cadiz, Inc.* | | | 144 | | | | 298 | |
Vita Coco Company, Inc.* | | | 33 | | | | 296 | |
AirSculpt Technologies, Inc.* | | | 21 | | | | 287 | |
Terns Pharmaceuticals, Inc.* | | | 96 | | | | 285 | |
Codex DNA, Inc.* | | | 51 | | | | 274 | |
Finch Therapeutics Group, Inc.* | | | 53 | | | | 267 | |
Applied Therapeutics, Inc.* | | | 124 | | | | 262 | |
89bio, Inc.* | | | 69 | | | | 260 | |
Oncorus, Inc.* | | | 143 | | | | 255 | |
Portage Biotech, Inc.* | | | 35 | | | | 230 | |
Impel Neuropharma, Inc.* | | | 36 | | | | 229 | |
Kaleido Biosciences, Inc.* | | | 136 | | | | 224 | |
Gemini Therapeutics, Inc.* | | | 154 | | | | 214 | |
Cyteir Therapeutics, Inc.* | | | 56 | | | | 211 | |
Acutus Medical, Inc.* | | | 134 | | | | 186 | |
Reneo Pharmaceuticals, Inc.* | | | 58 | | | | 171 | |
Laird Superfood, Inc.* | | | 44 | | | | 159 | |
Sigilon Therapeutics, Inc.* | | | 107 | | | | 157 | |
Xilio Therapeutics, Inc.* | | | 22 | | | | 156 | |
Talis Biomedical Corp.* | | | 100 | | | | 141 | |
Ontrak, Inc.* | | | 62 | | | | 140 | |
Thorne HealthTech, Inc.* | | | 22 | | | | 140 | |
Biodesix, Inc.* | | | 82 | | | | 139 | |
Pyxis Oncology, Inc.* | | | 34 | | | | 137 | |
Spruce Biosciences, Inc.* | | | 60 | | | | 121 | |
Forte Biosciences, Inc.* | | | 79 | | | | 115 | |
Sera Prognostics, Inc. — Class A* | | | 29 | | | | 110 | |
IsoPlexis Corp.* | | | 27 | | | | 93 | |
Greenlane Holdings, Inc. — Class A* | | | 110 | | | | 62 | |
Lucid Diagnostics, Inc.* | | | 17 | | | | 57 | |
Landos Biopharma, Inc.* | | | 32 | | | | 47 | |
MiNK Therapeutics, Inc.* | | | 6 | | | | 13 | |
Total Consumer, Non-cyclical | | | | | | | 4,469,177 | |
| | | | | | | | | |
Industrial - 9.3% |
Tetra Tech, Inc. | | | 375 | | | | 61,852 | |
II-VI, Inc.* | | | 737 | | | | 53,425 | |
Saia, Inc.* | | | 186 | | | | 45,351 | |
Chart Industries, Inc.*,1 | | | 256 | | | | 43,973 | |
EMCOR Group, Inc. | | | 374 | | | | 42,124 | |
Exponent, Inc. | | | 365 | | | | 39,438 | |
Evoqua Water Technologies Corp.* | | | 811 | | | | 38,101 | |
RBC Bearings, Inc.* | | | 196 | | | | 38,001 | |
Novanta, Inc.* | | | 248 | | | | 35,288 | |
Matson, Inc. | | | 292 | | | | 35,221 | |
Simpson Manufacturing Company, Inc. | | | 306 | | | | 33,366 | |
UFP Industries, Inc. | | | 423 | | | | 32,639 | |
Atkore International Group, Inc.* | | | 312 | | | | 30,713 | |
GATX Corp. | | | 248 | | | | 30,586 | |
Casella Waste Systems, Inc. — Class A* | | | 346 | | | | 30,327 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 129 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Zurn Water Solutions Corp. | | | 852 | | | $ | 30,161 | |
Fluor Corp.* | | | 997 | | | | 28,604 | |
Applied Industrial Technologies, Inc. | | | 270 | | | | 27,718 | |
Fabrinet* | | | 260 | | | | 27,334 | |
Franklin Electric Company, Inc. | | | 326 | | | | 27,071 | |
Watts Water Technologies, Inc. — Class A | | | 193 | | | | 26,941 | |
John Bean Technologies Corp. | | | 220 | | | | 26,063 | |
Summit Materials, Inc. — Class A* | | | 834 | | | | 25,904 | |
SPX FLOW, Inc. | | | 292 | | | | 25,176 | |
Bloom Energy Corp. — Class A* | | | 999 | | | | 24,126 | |
Advanced Energy Industries, Inc. | | | 265 | | | | 22,811 | |
Hillenbrand, Inc. | | | 512 | | | | 22,615 | |
Comfort Systems USA, Inc. | | | 250 | | | | 22,252 | |
Cactus, Inc. — Class A | | | 389 | | | | 22,072 | |
Welbilt, Inc.* | | | 918 | | | | 21,803 | |
EnerSys | | | 288 | | | | 21,476 | |
Mueller Industries, Inc. | | | 395 | | | | 21,397 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 526 | | | | 20,698 | |
Badger Meter, Inc. | | | 205 | | | | 20,441 | |
Dycom Industries, Inc.* | | | 207 | | | | 19,719 | |
Arcosa, Inc. | | | 340 | | | | 19,465 | |
Boise Cascade Co. | | | 277 | | | | 19,243 | |
Trinity Industries, Inc. | | | 543 | | | | 18,657 | |
Forward Air Corp. | | | 188 | | | | 18,383 | |
Vishay Intertechnology, Inc. | | | 936 | | | | 18,346 | |
Helios Technologies, Inc. | | | 227 | | | | 18,217 | |
Albany International Corp. — Class A | | | 216 | | | | 18,213 | |
Hub Group, Inc. — Class A* | | | 232 | | | | 17,913 | |
Moog, Inc. — Class A | | | 203 | | | | 17,823 | |
Sanmina Corp.* | | | 440 | | | | 17,785 | |
Altra Industrial Motion Corp. | | | 455 | | | | 17,713 | |
Kratos Defense & Security Solutions, Inc.* | | | 862 | | | | 17,654 | |
Golar LNG Ltd.* | | | 711 | | | | 17,618 | |
Werner Enterprises, Inc. | | | 426 | | | | 17,466 | |
Atlas Air Worldwide Holdings, Inc.* | | | 202 | | | | 17,447 | |
Belden, Inc. | | | 311 | | | | 17,229 | |
Terex Corp. | | | 481 | | | | 17,153 | |
Kennametal, Inc. | | | 587 | | | | 16,794 | |
Itron, Inc.* | | | 318 | | | | 16,752 | |
AAON, Inc. | | | 295 | | | | 16,440 | |
Plexus Corp.* | | | 196 | | | | 16,035 | |
Encore Wire Corp. | | | 139 | | | | 15,856 | |
Kadant, Inc. | | | 81 | | | | 15,729 | |
Brady Corp. — Class A | | | 331 | | | | 15,315 | |
SPX Corp.* | | | 308 | | | | 15,218 | |
AeroVironment, Inc.* | | | 158 | | | | 14,874 | |
Masonite International Corp.* | | | 167 | | | | 14,853 | |
Energizer Holdings, Inc. | | | 469 | | | | 14,426 | |
O-I Glass, Inc.* | | | 1,094 | | | | 14,419 | |
ArcBest Corp. | | | 178 | | | | 14,329 | |
Federal Signal Corp. | | | 423 | | | | 14,276 | |
EnPro Industries, Inc. | | | 145 | | | | 14,171 | |
Mueller Water Products, Inc. — Class A | | | 1,095 | | | | 14,147 | |
Air Transport Services Group, Inc.* | | | 414 | | | | 13,848 | |
GrafTech International Ltd. | | | 1,408 | | | | 13,545 | |
Barnes Group, Inc. | | | 333 | | | | 13,383 | |
Knowles Corp.* | | | 618 | | | | 13,306 | |
JELD-WEN Holding, Inc.* | | | 643 | | | | 13,040 | |
ESCO Technologies, Inc. | | | 180 | | | | 12,586 | |
NV5 Global, Inc.* | | | 93 | | | | 12,397 | |
Materion Corp. | | | 143 | | | | 12,261 | |
CSW Industrials, Inc. | | | 103 | | | | 12,112 | |
Lindsay Corp. | | | 77 | | | | 12,090 | |
Worthington Industries, Inc. | | | 232 | | | | 11,927 | |
Greif, Inc. — Class A | | | 181 | | | | 11,776 | |
AAR Corp.* | | | 239 | | | | 11,575 | |
Greenbrier Companies, Inc. | | | 224 | | | | 11,538 | |
Triumph Group, Inc.* | | | 447 | | | | 11,300 | |
MYR Group, Inc.* | | | 116 | | | | 10,909 | |
TTM Technologies, Inc.* | | | 733 | | | | 10,863 | |
US Ecology, Inc.* | | | 221 | | | | 10,581 | |
Granite Construction, Inc. | | | 321 | | | | 10,529 | |
Vicor Corp.* | | | 148 | | | | 10,441 | |
Proto Labs, Inc.* | | | 195 | | | | 10,316 | |
Tennant Co. | | | 130 | | | | 10,244 | |
Alamo Group, Inc. | | | 70 | | | | 10,065 | |
OSI Systems, Inc.* | | | 117 | | | | 9,959 | |
CryoPort, Inc.* | | | 285 | | | | 9,949 | |
Gibraltar Industries, Inc.* | | | 230 | | | | 9,878 | |
TriMas Corp. | | | 304 | | | | 9,756 | |
Montrose Environmental Group, Inc.* | | | 184 | | | | 9,739 | |
Cornerstone Building Brands, Inc.* | | | 384 | | | | 9,339 | |
Enerpac Tool Group Corp. | | | 424 | | | | 9,281 | |
Primoris Services Corp. | | | 376 | | | | 8,956 | |
Mesa Laboratories, Inc. | | | 35 | | | | 8,921 | |
SFL Corporation Ltd. | | | 871 | | | | 8,867 | |
Kaman Corp. | | | 194 | | | | 8,435 | |
Sturm Ruger & Company, Inc. | | | 121 | | | | 8,424 | |
Standex International Corp. | | | 84 | | | | 8,393 | |
AZZ, Inc. | | | 172 | | | | 8,297 | |
Columbus McKinnon Corp. | | | 195 | | | | 8,268 | |
Apogee Enterprises, Inc. | | | 171 | | | | 8,116 | |
CTS Corp. | | | 224 | | | | 7,916 | |
GoPro, Inc. — Class A* | | | 904 | | | | 7,711 | |
Marten Transport Ltd. | | | 418 | | | | 7,424 | |
Scorpio Tankers, Inc.1 | | | 343 | | | | 7,333 | |
PGT Innovations, Inc.* | | | 405 | | | | 7,282 | |
Construction Partners, Inc. — Class A* | | | 277 | | | | 7,252 | |
Frontline Ltd.* | | | 824 | | | | 7,251 | |
Griffon Corp. | | | 359 | | | | 7,191 | |
TimkenSteel Corp.* | | | 323 | | | | 7,067 | |
Matthews International Corp. — Class A | | | 217 | | | | 7,022 | |
Ichor Holdings Ltd.* | | | 197 | | | | 7,017 | |
Astec Industries, Inc. | | | 159 | | | | 6,837 | |
Blink Charging Co.*,1 | | | 256 | | | | 6,774 | |
Harsco Corp.* | | | 550 | | | | 6,732 | |
FARO Technologies, Inc.* | | | 128 | | | | 6,646 | |
Great Lakes Dredge & Dock Corp.* | | | 455 | | | | 6,384 | |
Costamare, Inc. | | | 371 | | | | 6,326 | |
Xometry, Inc. — Class A* | | | 172 | | | | 6,321 | |
Benchmark Electronics, Inc. | | | 247 | | | | 6,185 | |
Energy Recovery, Inc.* | | | 292 | | | | 5,881 | |
130 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
International Seaways, Inc. | | | 323 | | | $ | 5,827 | |
DHT Holdings, Inc. | | | 985 | | | | 5,713 | |
Gorman-Rupp Co. | | | 159 | | | | 5,705 | |
American Woodmark Corp.* | | | 116 | | | | 5,678 | |
Myers Industries, Inc. | | | 254 | | | | 5,486 | |
Ranpak Holdings Corp.* | | | 264 | | | | 5,394 | |
MicroVision, Inc.*,1 | | | 1,154 | | | | 5,389 | |
Genco Shipping & Trading Ltd. | | | 226 | | | | 5,338 | |
nLight, Inc.* | | | 306 | | | | 5,306 | |
Sterling Construction Company, Inc.* | | | 195 | | | | 5,226 | |
Smith & Wesson Brands, Inc. | | | 337 | | | | 5,099 | |
Insteel Industries, Inc. | | | 131 | | | | 4,846 | |
Heartland Express, Inc. | | | 331 | | | | 4,657 | |
Chase Corp. | | | 52 | | | | 4,519 | |
Eagle Bulk Shipping, Inc. | | | 63 | | | | 4,291 | |
Argan, Inc. | | | 105 | | | | 4,262 | |
Napco Security Technologies, Inc.* | | | 204 | | | | 4,186 | |
Hydrofarm Holdings Group, Inc.* | | | 272 | | | | 4,121 | |
Ryerson Holding Corp. | | | 115 | | | | 4,027 | |
Ducommun, Inc.* | | | 76 | | | | 3,982 | |
Latham Group, Inc.* | | | 298 | | | | 3,945 | |
Stoneridge, Inc.* | | | 183 | | | | 3,799 | |
Thermon Group Holdings, Inc.* | | | 231 | | | | 3,742 | |
Haynes International, Inc. | | | 86 | | | | 3,664 | |
Manitowoc Company, Inc.* | | | 241 | | | | 3,634 | |
CIRCOR International, Inc.* | | | 129 | | | | 3,434 | |
Kimball Electronics, Inc.* | | | 169 | | | | 3,378 | |
DXP Enterprises, Inc.* | | | 122 | | | | 3,305 | |
Heritage-Crystal Clean, Inc.* | | | 110 | | | | 3,257 | |
Luxfer Holdings plc | | | 193 | | | | 3,243 | |
UFP Technologies, Inc.* | | | 49 | | | | 3,242 | |
Babcock & Wilcox Enterprises, Inc.* | | | 390 | | | | 3,182 | |
Dorian LPG Ltd. | | | 219 | | | | 3,173 | |
Modine Manufacturing Co.* | | | 351 | | | | 3,163 | |
Tutor Perini Corp.* | | | 290 | | | | 3,132 | |
Pactiv Evergreen, Inc. | | | 302 | | | | 3,038 | |
AMMO, Inc.* | | | 607 | | | | 2,914 | |
Omega Flex, Inc. | | | 22 | | | | 2,857 | |
PureCycle Technologies, Inc.* | | | 357 | | | | 2,856 | |
Comtech Telecommunications Corp. | | | 181 | | | | 2,840 | |
Daseke, Inc.* | | | 282 | | | | 2,840 | |
Vishay Precision Group, Inc.* | | | 87 | | | | 2,797 | |
National Presto Industries, Inc. | | | 36 | | | | 2,770 | |
Greif, Inc. — Class B | | | 41 | | | | 2,614 | |
Olympic Steel, Inc. | | | 66 | | | | 2,539 | |
Nordic American Tankers Ltd. | | | 1,181 | | | | 2,516 | |
Yellow Corp.* | | | 354 | | | | 2,482 | |
IES Holdings, Inc.* | | | 61 | | | | 2,452 | |
Identiv, Inc.* | | | 151 | | | | 2,442 | |
Allied Motion Technologies, Inc. | | | 81 | | | | 2,417 | |
Meta Materials, Inc.* | | | 1,422 | | | | 2,375 | |
908 Devices, Inc.* | | | 124 | | | | 2,357 | |
Hyster-Yale Materials Handling, Inc. | | | 70 | | | | 2,325 | |
Teekay Tankers Ltd. — Class A* | | | 167 | | | | 2,311 | |
Centrus Energy Corp. — Class A* | | | 68 | | | | 2,292 | |
Turtle Beach Corp.* | | | 107 | | | | 2,278 | |
Astronics Corp.* | | | 175 | | | | 2,263 | |
Tredegar Corp. | | | 184 | | | | 2,206 | |
Akoustis Technologies, Inc.*,1 | | | 332 | | | | 2,158 | |
Safe Bulkers, Inc. | | | 445 | | | | 2,118 | |
Eastman Kodak Co.* | | | 315 | | | | 2,063 | |
Fluidigm Corp.* | | | 535 | | | | 1,921 | |
Covenant Logistics Group, Inc. — Class A | | | 85 | | | | 1,830 | |
Sight Sciences, Inc.* | | | 156 | | | | 1,803 | |
NVE Corp. | | | 33 | | | | 1,797 | |
Park Aerospace Corp. | | | 137 | | | | 1,788 | |
Radiant Logistics, Inc.* | | | 276 | | | | 1,758 | |
PAM Transportation Services, Inc.* | | | 50 | | | | 1,737 | |
Northwest Pipe Co.* | | | 68 | | | | 1,731 | |
AerSale Corp.* | | | 110 | | | | 1,729 | |
Luna Innovations, Inc.* | | | 217 | | | | 1,673 | |
Caesarstone Ltd. | | | 159 | | | | 1,673 | |
Pure Cycle Corp.* | | | 135 | | | | 1,623 | |
Teekay Corp.* | | | 488 | | | | 1,547 | |
American Superconductor Corp.* | | | 194 | | | | 1,476 | |
Kopin Corp.* | | | 545 | | | | 1,379 | |
American Outdoor Brands, Inc.* | | | 100 | | | | 1,313 | |
Lawson Products, Inc.* | | | 33 | | | | 1,272 | |
View, Inc.* | | | 683 | | | | 1,257 | |
Powell Industries, Inc. | | | 64 | | | | 1,243 | |
INNOVATE Corp.* | | | 333 | | | | 1,229 | |
Concrete Pumping Holdings, Inc.* | | | 181 | | | | 1,213 | |
Atlas Technical Consultants, Inc.* | | | 100 | | | | 1,204 | |
CECO Environmental Corp.* | | | 218 | | | | 1,197 | |
Cadre Holdings, Inc. | | | 45 | | | | 1,105 | |
Universal Logistics Holdings, Inc. | | | 54 | | | | 1,088 | |
Byrna Technologies, Inc.* | | | 129 | | | | 1,054 | |
Mistras Group, Inc.* | | | 140 | | | | 925 | |
Iteris, Inc.* | | | 297 | | | | 885 | |
NN, Inc.* | | | 300 | | | | 864 | |
Park-Ohio Holdings Corp. | | | 60 | | | | 844 | |
Sharps Compliance Corp.* | | | 130 | | | | 767 | |
US Xpress Enterprises, Inc. — Class A* | | | 189 | | | | 733 | |
Willis Lease Finance Corp.* | | | 20 | | | | 644 | |
Karat Packaging, Inc.* | | | 32 | | | | 635 | |
Mayville Engineering Company, Inc.* | | | 63 | | | | 590 | |
AgEagle Aerial Systems, Inc.* | | | 468 | | | | 557 | |
NL Industries, Inc. | | | 59 | | | | 424 | |
Total Industrial | | | | | | | 2,440,481 | |
| | | | | | | | | |
Consumer, Cyclical - 9.2% |
AMC Entertainment Holdings, Inc. — Class A*,1 | | | 3,590 | | | | 88,458 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 953 | | | | 64,432 | |
Macy’s, Inc. | | | 2,098 | | | | 51,107 | |
Texas Roadhouse, Inc. — Class A | | | 492 | | | | 41,195 | |
WESCO International, Inc.* | | | 313 | | | | 40,734 | |
Scientific Games Corp. — Class A* | | | 675 | | | | 39,656 | |
Murphy USA, Inc. | | | 162 | | | | 32,394 | |
Hilton Grand Vacations, Inc.* | | | 601 | | | | 31,258 | |
Crocs, Inc.* | | | 409 | | | | 31,248 | |
Avient Corp. | | | 639 | | | | 30,672 | |
Fox Factory Holding Corp.* | | | 297 | | | | 29,091 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Goodyear Tire & Rubber Co.* | | | 1,941 | | | $ | 27,737 | |
Adient plc* | | | 665 | | | | 27,112 | |
Signet Jewelers Ltd. | | | 371 | | | | 26,972 | |
Asbury Automotive Group, Inc.* | | | 163 | | | | 26,113 | |
SeaWorld Entertainment, Inc.* | | | 350 | | | | 26,054 | |
Sonos, Inc.* | | | 892 | | | | 25,172 | |
National Vision Holdings, Inc.* | | | 569 | | | | 24,791 | |
Wingstop, Inc. | | | 210 | | | | 24,644 | |
Papa John’s International, Inc. | | | 232 | | | | 24,425 | |
Resideo Technologies, Inc.* | | | 1,015 | | | | 24,187 | |
Beacon Roofing Supply, Inc.* | | | 392 | | | | 23,238 | |
Taylor Morrison Home Corp. — Class A* | | | 840 | | | | 22,865 | |
Steven Madden Ltd. | | | 567 | | | | 21,909 | |
Academy Sports & Outdoors, Inc. | | | 544 | | | | 21,434 | |
Visteon Corp.* | | | 195 | | | | 21,280 | |
Meritage Homes Corp.* | | | 260 | | | | 20,600 | |
Skyline Champion Corp.* | | | 369 | | | | 20,251 | |
Cracker Barrel Old Country Store, Inc. | | | 167 | | | | 19,828 | |
FirstCash Holdings, Inc. | | | 279 | | | | 19,625 | |
UniFirst Corp. | | | 106 | | | | 19,534 | |
Group 1 Automotive, Inc. | | | 116 | | | | 19,468 | |
Boot Barn Holdings, Inc.* | | | 205 | | | | 19,432 | |
Callaway Golf Co.* | | | 813 | | | | 19,041 | |
Red Rock Resorts, Inc. — Class A | | | 374 | | | | 18,161 | |
KB Home | | | 558 | | | | 18,068 | |
LCI Industries | | | 174 | | | | 18,063 | |
MillerKnoll, Inc. | | | 522 | | | | 18,040 | |
American Eagle Outfitters, Inc.1 | | | 1,069 | | | | 17,959 | |
Dana, Inc. | | | 1,021 | | | | 17,939 | |
Shake Shack, Inc. — Class A* | | | 263 | | | | 17,858 | |
Dorman Products, Inc.* | | | 185 | | | | 17,581 | |
Allegiant Travel Co. — Class A* | | | 108 | | | | 17,538 | |
International Game Technology plc | | | 702 | | | | 17,325 | |
Nikola Corp.*,1 | | | 1,605 | | | | 17,189 | |
Gentherm, Inc.* | | | 234 | | | | 17,091 | |
Meritor, Inc.* | | | 477 | | | | 16,967 | |
Nu Skin Enterprises, Inc. — Class A | | | 349 | | | | 16,710 | |
Cavco Industries, Inc.* | | | 65 | | | | 15,655 | |
Tri Pointe Homes, Inc.* | | | 775 | | | | 15,562 | |
KAR Auction Services, Inc.* | | | 849 | | | | 15,324 | |
Madison Square Garden Entertainment Corp.* | | | 183 | | | | 15,246 | |
MDC Holdings, Inc. | | | 402 | | | | 15,212 | |
Bed Bath & Beyond, Inc.* | | | 674 | | | | 15,185 | |
Rush Enterprises, Inc. — Class A | | | 297 | | | | 15,120 | |
Spirit Airlines, Inc.* | | | 691 | | | | 15,112 | |
Kontoor Brands, Inc. | | | 364 | | | | 15,051 | |
GMS, Inc.* | | | 300 | | | | 14,931 | |
ODP Corp.* | | | 324 | | | | 14,849 | |
LGI Homes, Inc.* | | | 152 | | | | 14,847 | |
Dave & Buster’s Entertainment, Inc.* | | | 302 | | | | 14,828 | |
Fisker, Inc.*,1 | | | 1,147 | | | | 14,796 | |
Cannae Holdings, Inc.* | | | 595 | | | | 14,232 | |
Vista Outdoor, Inc.* | | | 396 | | | | 14,133 | |
Installed Building Products, Inc. | | | 167 | | | | 14,110 | |
Jack in the Box, Inc. | | | 147 | | | | 13,731 | |
Bloomin’ Brands, Inc. | | | 622 | | | | 13,647 | |
Veritiv Corp.* | | | 101 | | | | 13,493 | |
Cinemark Holdings, Inc.* | | | 759 | | | | 13,116 | |
Cheesecake Factory, Inc.* | | | 324 | | | | 12,892 | |
Wolverine World Wide, Inc. | | | 571 | | | | 12,882 | |
Everi Holdings, Inc.* | | | 600 | | | | 12,600 | |
PriceSmart, Inc. | | | 159 | | | | 12,540 | |
Lions Gate Entertainment Corp. — Class B* | | | 829 | | | | 12,460 | |
Abercrombie & Fitch Co. — Class A* | | | 389 | | | | 12,444 | |
Winnebago Industries, Inc. | | | 227 | | | | 12,265 | |
Urban Outfitters, Inc.* | | | 482 | | | | 12,103 | |
Sally Beauty Holdings, Inc.* | | | 771 | | | | 12,051 | |
iRobot Corp.* | | | 188 | | | | 11,919 | |
Brinker International, Inc.* | | | 311 | | | | 11,868 | |
World Fuel Services Corp. | | | 438 | | | | 11,844 | |
HNI Corp. | | | 306 | | | | 11,337 | |
Century Communities, Inc. | | | 211 | | | | 11,303 | |
Methode Electronics, Inc. | | | 260 | | | | 11,245 | |
Oxford Industries, Inc. | | | 113 | | | | 10,227 | |
Dillard’s, Inc. — Class A | | | 38 | | | | 10,199 | |
SkyWest, Inc.* | | | 350 | | | | 10,098 | |
H&E Equipment Services, Inc. | | | 226 | | | | 9,836 | |
Healthcare Services Group, Inc. | | | 526 | | | | 9,768 | |
Acushnet Holdings Corp. | | | 241 | | | | 9,703 | |
Patrick Industries, Inc. | | | 160 | | | | 9,648 | |
M/I Homes, Inc.* | | | 201 | | | | 8,914 | |
Dine Brands Global, Inc. | | | 114 | | | | 8,886 | |
Shyft Group, Inc. | | | 243 | | | | 8,775 | |
Tenneco, Inc. — Class A* | | | 478 | | | | 8,757 | |
Clean Energy Fuels Corp.* | | | 1,089 | | | | 8,647 | |
Malibu Boats, Inc. — Class A* | | | 146 | | | | 8,470 | |
G-III Apparel Group Ltd.* | | | 310 | | | | 8,386 | |
Franchise Group, Inc. | | | 199 | | | | 8,245 | |
Camping World Holdings, Inc. — Class A1 | | | 293 | | | | 8,189 | |
La-Z-Boy, Inc. | | | 309 | | | | 8,148 | |
Monarch Casino & Resort, Inc.* | | | 92 | | | | 8,025 | |
Sleep Number Corp.* | | | 156 | | | | 7,911 | |
Big Lots, Inc. | | | 211 | | | | 7,301 | |
Steelcase, Inc. — Class A | | | 602 | | | | 7,194 | |
Liberty Media Corporation-Liberty Braves — Class C* | | | 257 | | | | 7,173 | |
Bally’s Corp.* | | | 229 | | | | 7,039 | |
Golden Entertainment, Inc.* | | | 121 | | | | 7,026 | |
Hawaiian Holdings, Inc.* | | | 355 | | | | 6,993 | |
Buckle, Inc. | | | 209 | | | | 6,905 | |
Tupperware Brands Corp.* | | | 343 | | | | 6,671 | |
Lions Gate Entertainment Corp. — Class A* | | | 409 | | | | 6,646 | |
XPEL, Inc.* | | | 126 | | | | 6,629 | |
IMAX Corp.* | | | 350 | | | | 6,626 | |
Sonic Automotive, Inc. — Class A | | | 152 | | | | 6,462 | |
Genesco, Inc.* | | | 101 | | | | 6,425 | |
Standard Motor Products, Inc. | | | 147 | | | | 6,342 | |
Denny’s Corp.* | | | 435 | | | | 6,225 | |
Guess?, Inc.1 | | | 283 | | | | 6,184 | |
132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
ScanSource, Inc.* | | | 177 | | | $ | 6,158 | |
American Axle & Manufacturing Holdings, Inc.* | | | 792 | | | | 6,146 | |
MarineMax, Inc.* | | | 148 | | | | 5,958 | |
Sun Country Airlines Holdings, Inc.* | | | 226 | | | | 5,917 | |
Designer Brands, Inc. — Class A* | | | 420 | | | | 5,674 | |
Interface, Inc. — Class A | | | 408 | | | | 5,537 | |
Douglas Dynamics, Inc. | | | 159 | | | | 5,500 | |
Workhorse Group, Inc.* | | | 1,073 | | | | 5,365 | |
Aspen Aerogels, Inc.* | | | 155 | | | | 5,344 | |
Ruth’s Hospitality Group, Inc. | | | 232 | | | | 5,308 | |
Titan International, Inc.* | | | 359 | | | | 5,288 | |
Winmark Corp. | | | 24 | | | | 5,280 | |
Arko Corp. | | | 580 | | | | 5,278 | |
Zumiez, Inc.* | | | 136 | | | | 5,197 | |
Wabash National Corp. | | | 343 | | | | 5,090 | |
Caleres, Inc. | | | 259 | | | | 5,006 | |
A-Mark Precious Metals, Inc. | | | 63 | | | | 4,872 | |
Lovesac Co.* | | | 90 | | | | 4,866 | |
Accel Entertainment, Inc.* | | | 396 | | | | 4,823 | |
Children’s Place, Inc.* | | | 97 | | | | 4,782 | |
BlueLinx Holdings, Inc.* | | | 65 | | | | 4,672 | |
OptimizeRx Corp.* | | | 121 | | | | 4,563 | |
BJ’s Restaurants, Inc.* | | | 158 | | | | 4,471 | |
Hibbett, Inc. | | | 99 | | | | 4,390 | |
Movado Group, Inc. | | | 110 | | | | 4,295 | |
Green Brick Partners, Inc.* | | | 216 | | | | 4,268 | |
Clarus Corp. | | | 186 | | | | 4,237 | |
Canoo, Inc.* | | | 747 | | | | 4,123 | |
Ethan Allen Interiors, Inc. | | | 158 | | | | 4,119 | |
PC Connection, Inc. | | | 78 | | | | 4,086 | |
Chico’s FAS, Inc.* | | | 845 | | | | 4,056 | |
Portillo’s, Inc. — Class A* | | | 162 | | | | 3,979 | |
Life Time Group Holdings, Inc.* | | | 273 | | | | 3,969 | |
Titan Machinery, Inc.* | | | 136 | | | | 3,843 | |
OneSpaWorld Holdings Ltd.* | | | 376 | | | | 3,835 | |
TravelCenters of America, Inc.* | | | 88 | | | | 3,780 | |
Chuy’s Holdings, Inc.* | | | 140 | | | | 3,780 | |
Lordstown Motors Corp. — Class A* | | | 1,090 | | | | 3,717 | |
PetMed Express, Inc. | | | 143 | | | | 3,689 | |
Hyliion Holdings Corp.*,1 | | | 823 | | | | 3,646 | |
Shoe Carnival, Inc. | | | 124 | | | | 3,616 | |
GrowGeneration Corp.* | | | 389 | | | | 3,583 | |
RCI Hospitality Holdings, Inc. | | | 56 | | | | 3,442 | |
Rite Aid Corp.* | | | 391 | | | | 3,421 | |
VSE Corp. | | | 74 | | | | 3,411 | |
America’s Car-Mart, Inc.* | | | 42 | | | | 3,384 | |
Ideanomics, Inc.* | | | 2,937 | | | | 3,289 | |
Sportsman’s Warehouse Holdings, Inc.* | | | 306 | | | | 3,271 | |
Funko, Inc. — Class A* | | | 189 | | | | 3,260 | |
Lindblad Expeditions Holdings, Inc.* | | | 215 | | | | 3,242 | |
Fossil Group, Inc.* | | | 335 | | | | 3,229 | |
Aeva Technologies, Inc.* | | | 742 | | | | 3,213 | |
MasterCraft Boat Holdings, Inc.* | | | 129 | | | | 3,175 | |
Beazer Homes USA, Inc.* | | | 206 | | | | 3,135 | |
Haverty Furniture Companies, Inc. | | | 114 | | | | 3,126 | |
Bluegreen Vacations Holding Corp.* | | | 101 | | | | 2,987 | |
Johnson Outdoors, Inc. — Class A | | | 37 | | | | 2,876 | |
Global Industrial Co. | | | 89 | | | | 2,869 | |
Marcus Corp.* | | | 160 | | | | 2,832 | |
LL Flooring Holdings, Inc.* | | | 201 | | | | 2,818 | |
Universal Electronics, Inc.* | | | 89 | | | | 2,780 | |
Party City Holdco, Inc.* | | | 776 | | | | 2,778 | |
Frontier Group Holdings, Inc.*,1 | | | 245 | | | | 2,776 | |
Sweetgreen, Inc. — Class A* | | | 86 | | | | 2,751 | |
Rush Street Interactive, Inc.* | | | 369 | | | | 2,683 | |
PLBY Group, Inc.* | | | 199 | | | | 2,605 | |
Sovos Brands, Inc.* | | | 181 | | | | 2,566 | |
REV Group, Inc. | | | 190 | | | | 2,546 | |
Big 5 Sporting Goods Corp. | | | 146 | | | | 2,504 | |
OneWater Marine, Inc. — Class A | | | 70 | | | | 2,412 | |
F45 Training Holdings, Inc.* | | | 221 | | | | 2,365 | |
Purple Innovation, Inc.* | | | 404 | | | | 2,363 | |
Motorcar Parts of America, Inc.* | | | 132 | | | | 2,354 | |
Century Casinos, Inc.* | | | 191 | | | | 2,282 | |
Full House Resorts, Inc.* | | | 230 | | | | 2,210 | |
Miller Industries, Inc. | | | 78 | | | | 2,196 | |
Rush Enterprises, Inc. — Class B | | | 45 | | | | 2,176 | |
Kimball International, Inc. — Class B | | | 254 | | | | 2,146 | |
Forestar Group, Inc.* | | | 120 | | | | 2,131 | |
Hovnanian Enterprises, Inc. — Class A* | | | 36 | | | | 2,128 | |
Liberty Media Corporation-Liberty Braves — Class A* | | | 70 | | | | 2,015 | |
Rocky Brands, Inc. | | | 48 | | | | 1,996 | |
Blue Bird Corp.* | | | 106 | | | | 1,995 | |
Golden Nugget Online Gaming, Inc.* | | | 280 | | | | 1,991 | |
Cato Corp. — Class A | | | 135 | | | | 1,979 | |
Conn’s, Inc.* | | | 125 | | | | 1,926 | |
Commercial Vehicle Group, Inc.* | | | 225 | | | | 1,901 | |
Red Robin Gourmet Burgers, Inc.* | | | 109 | | | | 1,838 | |
Container Store Group, Inc.* | | | 223 | | | | 1,822 | |
Citi Trends, Inc.* | | | 57 | | | | 1,746 | |
Noodles & Co.* | | | 286 | | | | 1,707 | |
XL Fleet Corp.*,1 | | | 833 | | | | 1,658 | |
El Pollo Loco Holdings, Inc.* | | | 134 | | | | 1,557 | |
Hooker Furnishings Corp. | | | 82 | | | | 1,553 | |
ONE Group Hospitality, Inc.* | | | 146 | | | | 1,534 | |
Tilly’s, Inc. — Class A | | | 159 | | | | 1,488 | |
Superior Group of Companies, Inc. | | | 82 | | | | 1,464 | |
Xponential Fitness, Inc. — Class A* | | | 62 | | | | 1,453 | |
Kura Sushi USA, Inc. — Class A* | | | 26 | | | | 1,434 | |
Vera Bradley, Inc.* | | | 183 | | | | 1,404 | |
GAN Ltd.* | | | 282 | | | | 1,359 | |
Velodyne Lidar, Inc.* | | | 529 | | | | 1,354 | |
Arcimoto, Inc.* | | | 201 | | | | 1,329 | |
Snap One Holdings Corp.* | | | 90 | | | | 1,328 | |
Romeo Power, Inc.*,1 | | | 864 | | | | 1,287 | |
Weber, Inc. — Class A | | | 119 | | | | 1,170 | |
Lifetime Brands, Inc. | | | 89 | | | | 1,143 | |
Barnes & Noble Education, Inc.* | | | 317 | | | | 1,135 | |
Traeger, Inc.* | | | 150 | | | | 1,116 | |
Lazydays Holdings, Inc.* | | | 54 | | | | 1,090 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 133 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
VOXX International Corp. — Class A* | | | 109 | | | $ | 1,087 | |
Bassett Furniture Industries, Inc. | | | 65 | | | | 1,076 | |
Mesa Air Group, Inc.* | | | 240 | | | | 1,056 | |
Target Hospitality Corp.* | | | 175 | | | | 1,050 | |
Liberty TripAdvisor Holdings, Inc. — Class A* | | | 512 | | | | 1,050 | |
Duluth Holdings, Inc. — Class B* | | | 85 | | | | 1,040 | |
Cooper-Standard Holdings, Inc.* | | | 118 | | | | 1,035 | |
First Watch Restaurant Group, Inc.* | | | 77 | | | | 1,005 | |
Daktronics, Inc.* | | | 256 | | | | 983 | |
NEOGAMES S.A.* | | | 61 | | | | 941 | |
Shift Technologies, Inc.* | | | 421 | | | | 926 | |
Escalade, Inc. | | | 70 | | | | 924 | |
Fiesta Restaurant Group, Inc.* | | | 122 | | | | 912 | |
JOANN, Inc. | | | 79 | | | | 901 | |
Drive Shack, Inc.* | | | 580 | | | | 893 | |
Nautilus, Inc.* | | | 211 | | | | 869 | |
Biglari Holdings, Inc. — Class B* | | | 6 | | | | 868 | |
Flexsteel Industries, Inc. | | | 44 | | | | 849 | |
Kirkland’s, Inc.* | | | 89 | | | | 827 | |
EVI Industries, Inc.* | | | 38 | | | | 706 | |
CarLotz, Inc.* | | | 503 | | | | 689 | |
Marine Products Corp. | | | 57 | | | | 658 | |
Landsea Homes Corp.* | | | 75 | | | | 641 | |
Hamilton Beach Brands Holding Co. — Class A | | | 52 | | | | 605 | |
Regis Corp.* | | | 254 | | | | 538 | |
Carrols Restaurant Group, Inc. | | | 235 | | | | 531 | |
Torrid Holdings, Inc.* | | | 85 | | | | 515 | |
Esports Technologies, Inc.* | | | 74 | | | | 499 | |
Aterian, Inc.* | | | 182 | | | | 442 | |
Hall of Fame Resort & Entertainment Co.* | | | 391 | | | | 434 | |
Chicken Soup For The Soul Entertainment, Inc.* | | | 51 | | | | 408 | |
Eros STX Global Corp.* | | | 112 | | | | 313 | |
CompX International, Inc. | | | 11 | | | | 259 | |
MedAvail Holdings, Inc.* | | | 84 | | | | 82 | |
Total Consumer, Cyclical | | | | | | | 2,395,274 | |
| | | | | | | | | |
Technology - 7.9% |
Lattice Semiconductor Corp.* | | | 943 | | | | 57,476 | |
Synaptics, Inc.* | | | 273 | | | | 54,464 | |
KBR, Inc. | | | 992 | | | | 54,292 | |
Rapid7, Inc.* | | | 395 | | | | 43,940 | |
Silicon Laboratories, Inc.* | | | 264 | | | | 39,653 | |
Power Integrations, Inc. | | | 410 | | | | 37,999 | |
Tenable Holdings, Inc.* | | | 648 | | | | 37,448 | |
CMC Materials, Inc. | | | 198 | | | | 36,709 | |
Varonis Systems, Inc.* | | | 752 | | | | 35,750 | |
Workiva, Inc.* | | | 301 | | | | 35,518 | |
Qualys, Inc.* | | | 239 | | | | 34,036 | |
SPS Commerce, Inc.* | | | 253 | | | | 33,194 | |
ExlService Holdings, Inc.* | | | 231 | | | | 33,095 | |
Sailpoint Technologies Holdings, Inc.* | | | 643 | | | | 32,909 | |
Maximus, Inc. | | | 431 | | | | 32,303 | |
MicroStrategy, Inc. — Class A*,1 | | | 65 | | | | 31,611 | |
Semtech Corp.* | | | 454 | | | | 31,480 | |
Onto Innovation, Inc.* | | | 342 | | | | 29,716 | |
Ziff Davis, Inc.* | | | 305 | | | | 29,518 | |
MaxLinear, Inc. — Class A* | | | 498 | | | | 29,058 | |
Envestnet, Inc.* | | | 382 | | | | 28,436 | |
Digital Turbine, Inc.* | | | 638 | | | | 27,951 | |
Blackline, Inc.* | | | 381 | | | | 27,897 | |
Box, Inc. — Class A* | | | 949 | | | | 27,578 | |
SiTime Corp.* | | | 110 | | | | 27,260 | |
Diodes, Inc.* | | | 306 | | | | 26,619 | |
ACI Worldwide, Inc.* | | | 829 | | | | 26,105 | |
Ambarella, Inc.* | | | 248 | | | | 26,020 | |
Insight Enterprises, Inc.* | | | 242 | | | | 25,971 | |
Sprout Social, Inc. — Class A* | | | 318 | | | | 25,478 | |
Rambus, Inc.* | | | 762 | | | | 24,300 | |
Kulicke & Soffa Industries, Inc. | | | 430 | | | | 24,089 | |
Verint Systems, Inc.* | | | 452 | | | | 23,368 | |
FormFactor, Inc.* | | | 546 | | | | 22,948 | |
Altair Engineering, Inc. — Class A* | | | 325 | | | | 20,930 | |
DigitalOcean Holdings, Inc.* | | | 356 | | | | 20,595 | |
CommVault Systems, Inc.* | | | 310 | | | | 20,568 | |
MACOM Technology Solutions Holdings, Inc.* | | | 340 | | | | 20,356 | |
Blackbaud, Inc.* | | | 336 | | | | 20,116 | |
Asana, Inc. — Class A* | | | 493 | | | | 19,705 | |
PagerDuty, Inc.* | | | 574 | | | | 19,625 | |
Allscripts Healthcare Solutions, Inc.* | | | 853 | | | | 19,210 | |
Evolent Health, Inc. — Class A* | | | 560 | | | | 18,088 | |
Bottomline Technologies DE, Inc.* | | | 311 | | | | 17,627 | |
Axcelis Technologies, Inc.* | | | 231 | | | | 17,447 | |
Verra Mobility Corp.* | | | 1,057 | | | | 17,208 | |
Appian Corp.* | | | 276 | | | | 16,786 | |
ManTech International Corp. — Class A | | | 193 | | | | 16,635 | |
NetScout Systems, Inc.* | | | 493 | | | | 15,815 | |
Amkor Technology, Inc. | | | 717 | | | | 15,573 | |
Appfolio, Inc. — Class A* | | | 134 | | | | 15,170 | |
Outset Medical, Inc.* | | | 329 | | | | 14,937 | |
Momentive Global, Inc.* | | | 905 | | | | 14,715 | |
Progress Software Corp. | | | 309 | | | | 14,551 | |
3D Systems Corp.* | | | 872 | | | | 14,545 | |
CSG Systems International, Inc. | | | 226 | | | | 14,367 | |
Ultra Clean Holdings, Inc.* | | | 312 | | | | 13,226 | |
Apollo Medical Holdings, Inc.* | | | 265 | | | | 12,844 | |
Xperi Holding Corp. | | | 737 | | | | 12,765 | |
Cardlytics, Inc.* | | | 227 | | | | 12,480 | |
E2open Parent Holdings, Inc.* | | | 1,396 | | | | 12,299 | |
Ping Identity Holding Corp.* | | | 427 | | | | 11,713 | |
Zuora, Inc. — Class A* | | | 778 | | | | 11,654 | |
Super Micro Computer, Inc.* | | | 304 | | | | 11,573 | |
LivePerson, Inc.* | | | 462 | | | | 11,282 | |
Schrodinger Incorporated/United States* | | | 318 | | | | 10,850 | |
TTEC Holdings, Inc. | | | 130 | | | | 10,728 | |
8x8, Inc.* | | | 793 | | | | 9,984 | |
Cohu, Inc.* | | | 337 | | | | 9,975 | |
Domo, Inc. — Class B* | | | 197 | | | | 9,962 | |
Unisys Corp.* | | | 461 | | | | 9,962 | |
JFrog Ltd.* | | | 369 | | | | 9,945 | |
134 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Health Catalyst, Inc.* | | | 367 | | | $ | 9,590 | |
Veeco Instruments, Inc.* | | | 350 | | | | 9,517 | |
Cerence, Inc.* | | | 260 | | | | 9,386 | |
PROS Holdings, Inc.* | | | 281 | | | | 9,360 | |
Phreesia, Inc.* | | | 349 | | | | 9,200 | |
1Life Healthcare, Inc.* | | | 808 | | | | 8,953 | |
Avid Technology, Inc.* | | | 254 | | | | 8,857 | |
SMART Global Holdings, Inc.* | | | 339 | | | | 8,756 | |
Impinj, Inc.* | | | 133 | | | | 8,451 | |
NextGen Healthcare, Inc.* | | | 394 | | | | 8,238 | |
Alpha & Omega Semiconductor Ltd.* | | | 150 | | | | 8,198 | |
Privia Health Group, Inc.* | | | 291 | | | | 7,778 | |
BigCommerce Holdings, Inc.* | | | 340 | | | | 7,449 | |
Avaya Holdings Corp.* | | | 577 | | | | 7,311 | |
PAR Technology Corp.* | | | 178 | | | | 7,181 | |
Parsons Corp.* | | | 185 | | | | 7,159 | |
Sumo Logic, Inc.* | | | 612 | | | | 7,142 | |
Photronics, Inc.* | | | 418 | | | | 7,093 | |
Donnelley Financial Solutions, Inc.* | | | 207 | | | | 6,885 | |
Consensus Cloud Solutions, Inc.* | | | 113 | | | | 6,795 | |
Model N, Inc.* | | | 248 | | | | 6,671 | |
CEVA, Inc.* | | | 158 | | | | 6,423 | |
Pitney Bowes, Inc. | | | 1,235 | | | | 6,422 | |
Alignment Healthcare, Inc.* | | | 557 | | | | 6,255 | |
Desktop Metal, Inc. — Class A* | | | 1,315 | | | | 6,233 | |
Ebix, Inc. | | | 186 | | | | 6,166 | |
Conduent, Inc.* | | | 1,177 | | | | 6,073 | |
Agilysys, Inc.* | | | 149 | | | | 5,942 | |
PDF Solutions, Inc.* | | | 211 | | | | 5,881 | |
Sapiens International Corporation N.V. | | | 217 | | | | 5,510 | |
Simulations Plus, Inc. | | | 107 | | | | 5,455 | |
Yext, Inc.* | | | 787 | | | | 5,422 | |
Bandwidth, Inc. — Class A* | | | 162 | | | | 5,247 | |
Digi International, Inc.* | | | 233 | | | | 5,014 | |
BTRS Holdings, Inc. — Class 1* | | | 662 | | | | 4,952 | |
PowerSchool Holdings, Inc. — Class A* | | | 298 | | | | 4,920 | |
American Software, Inc. — Class A | | | 221 | | | | 4,606 | |
Grid Dynamics Holdings, Inc.* | | | 319 | | | | 4,491 | |
Mitek Systems, Inc.* | | | 301 | | | | 4,416 | |
Rackspace Technology, Inc.* | | | 383 | | | | 4,274 | |
Corsair Gaming, Inc.*,1 | | | 192 | | | | 4,063 | |
Ouster, Inc.* | | | 886 | | | | 3,987 | |
Porch Group, Inc.* | | | 536 | | | | 3,722 | |
CS Disco, Inc.* | | | 108 | | | | 3,669 | |
Veritone, Inc.* | | | 199 | | | | 3,638 | |
Upland Software, Inc.* | | | 203 | | | | 3,575 | |
OneSpan, Inc.* | | | 247 | | | | 3,567 | |
Computer Programs and Systems, Inc.* | | | 99 | | | | 3,410 | |
Diebold Nixdorf, Inc.* | | | 505 | | | | 3,399 | |
Integral Ad Science Holding Corp.* | | | 224 | | | | 3,091 | |
Alkami Technology, Inc.* | | | 200 | | | | 2,862 | |
MeridianLink, Inc.* | | | 158 | | | | 2,860 | |
Telos Corp.* | | | 280 | | | | 2,792 | |
Cantaloupe, Inc.* | | | 409 | | | | 2,769 | |
EverCommerce, Inc.* | | | 209 | | | | 2,759 | |
Vuzix Corp.*,1 | | | 412 | | | | 2,719 | |
HireRight Holdings Corp.* | | | 157 | | | | 2,685 | |
Daily Journal Corp.* | | | 8 | | | | 2,496 | |
ON24, Inc.* | | | 186 | | | | 2,446 | |
Inseego Corp.*,1 | | | 598 | | | | 2,422 | |
EngageSmart, Inc.* | | | 113 | | | | 2,408 | |
Digimarc Corp.* | | | 89 | | | | 2,347 | |
Brightcove, Inc.* | | | 286 | | | | 2,231 | |
Benefitfocus, Inc.* | | | 175 | | | | 2,208 | |
Genius Brands International, Inc.* | | | 1,982 | | | | 2,022 | |
AXT, Inc.* | | | 284 | | | | 1,994 | |
Enfusion, Inc. — Class A* | | | 153 | | | | 1,946 | |
Atomera, Inc.* | | | 143 | | | | 1,868 | |
Outbrain, Inc.* | | | 170 | | | | 1,824 | |
Rimini Street, Inc.* | | | 314 | | | | 1,821 | |
Instructure Holdings, Inc.* | | | 85 | | | | 1,705 | |
Intapp, Inc.* | | | 70 | | | | 1,681 | |
eGain Corp.* | | | 145 | | | | 1,679 | |
AvidXchange Holdings, Inc.* | | | 178 | | | | 1,433 | |
CoreCard Corp.* | | | 51 | | | | 1,397 | |
PlayAGS, Inc.* | | | 193 | | | | 1,287 | |
Smith Micro Software, Inc.* | | | 320 | | | | 1,206 | |
Rekor Systems, Inc.* | | | 237 | | | | 1,081 | |
EMCORE Corp.* | | | 255 | | | | 944 | |
Quantum Corp.* | | | 407 | | | | 924 | |
Forian, Inc.* | | | 132 | | | | 919 | |
Tabula Rasa HealthCare, Inc.* | | | 158 | | | | 910 | |
SecureWorks Corp. — Class A* | | | 67 | | | | 888 | |
GTY Technology Holdings, Inc.* | | | 226 | | | | 730 | |
iCAD, Inc.* | | | 154 | | | | 687 | |
IBEX Holdings Ltd.* | | | 40 | | | | 638 | |
SkyWater Technology, Inc.* | | | 57 | | | | 617 | |
Convey Health Solutions Holdings, Inc.* | | | 94 | | | | 615 | |
DarioHealth Corp.* | | | 95 | | | | 555 | |
GreenBox POS* | | | 128 | | | | 540 | |
Viant Technology, Inc. — Class A* | | | 81 | | | | 530 | |
StarTek, Inc.* | | | 118 | | | | 523 | |
Kaltura, Inc.* | | | 116 | | | | 208 | |
Arteris, Inc.* | | | 15 | | | | 195 | |
NantHealth, Inc.* | | | 189 | | | | 142 | |
Weave Communications, Inc.* | | | 15 | | | | 89 | |
Society Pass, Inc.* | | | 8 | | | | 24 | |
Total Technology | | | | | | | 2,059,419 | |
| | | | | | | | | |
Energy - 4.8% |
Ovintiv, Inc. | | | 1,823 | | | | 98,570 | |
Chesapeake Energy Corp. | | | 737 | | | | 64,119 | |
Antero Resources Corp.* | | | 2,008 | | | | 61,304 | |
Southwestern Energy Co.* | | | 7,137 | | | | 51,172 | |
Range Resources Corp.* | | | 1,678 | | | | 50,978 | |
PDC Energy, Inc. | | | 684 | | | | 49,713 | |
Murphy Oil Corp. | | | 1,028 | | | | 41,521 | |
Matador Resources Co. | | | 778 | | | | 41,218 | |
ChampionX Corp. | | | 1,424 | | | | 34,860 | |
SM Energy Co. | | | 843 | | | | 32,835 | |
Helmerich & Payne, Inc. | | | 717 | | | | 30,673 | |
CNX Resources Corp.* | | | 1,399 | | | | 28,987 | |
Denbury, Inc.* | | | 354 | | | | 27,814 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
California Resources Corp. | | | 570 | | | $ | 25,496 | |
Equitrans Midstream Corp. | | | 2,872 | | | | 24,240 | |
Magnolia Oil & Gas Corp. — Class A | | | 1,013 | | | | 23,957 | |
Kosmos Energy Ltd.* | | | 3,151 | | | | 22,656 | |
Whiting Petroleum Corp. | | | 277 | | | | 22,578 | |
Oasis Petroleum, Inc. | | | 139 | | | | 20,336 | |
Patterson-UTI Energy, Inc. | | | 1,310 | | | | 20,279 | |
Callon Petroleum Co.* | | | 333 | | | | 19,674 | |
Renewable Energy Group, Inc.* | | | 314 | | | | 19,044 | |
Civitas Resources, Inc. | | | 305 | | | | 18,212 | |
PBF Energy, Inc. — Class A* | | | 676 | | | | 16,474 | |
Peabody Energy Corp.* | | | 625 | | | | 15,331 | |
FuelCell Energy, Inc.*,1 | | | 2,597 | | | | 14,959 | |
Arch Resources, Inc. | | | 106 | | | | 14,562 | |
Sunnova Energy International, Inc.* | | | 604 | | | | 13,928 | |
Tellurian, Inc.* | | | 2,603 | | | | 13,796 | |
Warrior Met Coal, Inc. | | | 361 | | | | 13,397 | |
SunPower Corp. — Class A* | | | 562 | | | | 12,072 | |
Northern Oil and Gas, Inc. | | | 426 | | | | 12,009 | |
NexTier Oilfield Solutions, Inc.* | | | 1,215 | | | | 11,227 | |
Oceaneering International, Inc.* | | | 699 | | | | 10,597 | |
Centennial Resource Development, Inc. — Class A* | | | 1,294 | | | | 10,443 | |
Green Plains, Inc.* | | | 335 | | | | 10,389 | |
Array Technologies, Inc.* | | | 897 | | | | 10,109 | |
Delek US Holdings, Inc.* | | | 461 | | | | 9,782 | |
US Silica Holdings, Inc.* | | | 516 | | | | 9,629 | |
Liberty Oilfield Services, Inc. — Class A* | | | 633 | | | | 9,381 | |
Dril-Quip, Inc.* | | | 247 | | | | 9,225 | |
CONSOL Energy, Inc.* | | | 241 | | | | 9,069 | |
Stem, Inc.* | | | 801 | | | | 8,819 | |
Archrock, Inc. | | | 947 | | | | 8,741 | |
NOW, Inc.* | | | 774 | | | | 8,537 | |
ProPetro Holding Corp.* | | | 606 | | | | 8,442 | |
Comstock Resources, Inc.* | | | 643 | | | | 8,391 | |
Brigham Minerals, Inc. — Class A | | | 307 | | | | 7,844 | |
Nabors Industries Ltd.* | | | 50 | | | | 7,636 | |
Laredo Petroleum, Inc.* | | | 88 | | | | 6,964 | |
MRC Global, Inc.* | | | 565 | | | | 6,729 | |
Gevo, Inc.* | | | 1,396 | | | | 6,533 | |
Tidewater, Inc.* | | | 288 | | | | 6,261 | |
Bristow Group, Inc.* | | | 166 | | | | 6,155 | |
Expro Group Holdings N.V.* | | | 326 | | | | 5,796 | |
CVR Energy, Inc. | | | 208 | | | | 5,312 | |
SunCoke Energy, Inc. | | | 584 | | | | 5,203 | |
RPC, Inc.* | | | 474 | | | | 5,058 | |
Ranger Oil Corp. — Class A* | | | 144 | | | | 4,972 | |
Berry Corp. | | | 474 | | | | 4,892 | |
Helix Energy Solutions Group, Inc.* | | | 1,005 | | | | 4,804 | |
Talos Energy, Inc.* | | | 259 | | | | 4,090 | |
Par Pacific Holdings, Inc.* | | | 314 | | | | 4,088 | |
DMC Global, Inc.* | | | 129 | | | | 3,934 | |
Select Energy Services, Inc. — Class A* | | | 441 | | | | 3,779 | |
REX American Resources Corp.* | | | 37 | | | | 3,685 | |
TPI Composites, Inc.* | | | 255 | | | | 3,585 | |
Crescent Energy, Inc. — Class A | | | 206 | | | | 3,572 | |
TETRA Technologies, Inc.* | | | 862 | | | | 3,543 | |
Alto Ingredients, Inc.* | | | 502 | | | | 3,424 | |
Oil States International, Inc.* | | | 426 | | | | 2,961 | |
Cleanspark, Inc.*,1 | | | 229 | | | | 2,833 | |
W&T Offshore, Inc.* | | | 659 | | | | 2,517 | |
Aris Water Solution, Inc. — Class A | | | 137 | | | | 2,493 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 220 | | | | 2,484 | |
Aemetis, Inc.* | | | 190 | | | | 2,407 | |
Newpark Resources, Inc.* | | | 634 | | | | 2,320 | |
Infrastructure and Energy Alternatives, Inc.* | | | 193 | | | | 2,287 | |
National Energy Services Reunited Corp.* | | | 267 | | | | 2,243 | |
Earthstone Energy, Inc. — Class A* | | | 169 | | | | 2,135 | |
Falcon Minerals Corp. | | | 276 | | | | 1,860 | |
Riley Exploration Permian, Inc. | | | 74 | | | | 1,856 | |
FutureFuel Corp. | | | 181 | | | | 1,761 | |
Matrix Service Co.* | | | 182 | | | | 1,496 | |
Kinetik Holdings, Inc. — Class A | | | 23 | | | | 1,495 | |
Eos Energy Enterprises, Inc.* | | | 312 | | | | 1,304 | |
Beam Global* | | | 62 | | | | 1,268 | |
HighPeak Energy, Inc. | | | 36 | | | | 799 | |
Advent Technologies Holdings, Inc.* | | | 105 | | | | 244 | |
Total Energy | | | | | | | 1,254,167 | |
| | | | | | | | | |
Communications - 3.1% |
Vonage Holdings Corp.* | | | 1,764 | | | | 35,791 | |
TEGNA, Inc. | | | 1,553 | | | | 34,787 | |
Mimecast Ltd.* | | | 424 | | | | 33,733 | |
Iridium Communications, Inc.* | | | 828 | | | | 33,385 | |
Cargurus, Inc.* | | | 670 | | | | 28,448 | |
Viavi Solutions, Inc.* | | | 1,600 | | | | 25,728 | |
Perficient, Inc.* | | | 229 | | | | 25,211 | |
Q2 Holdings, Inc.* | | | 384 | | | | 23,674 | |
Maxar Technologies, Inc. | | | 509 | | | | 20,085 | |
Cogent Communications Holdings, Inc. | | | 300 | | | | 19,905 | |
Upwork, Inc.* | | | 829 | | | | 19,266 | |
Houghton Mifflin Harcourt Co.* | | | 893 | | | | 18,762 | |
Yelp, Inc. — Class A* | | | 503 | | | | 17,157 | |
Calix, Inc.* | | | 388 | | | | 16,649 | |
Shutterstock, Inc. | | | 164 | | | | 15,265 | |
iHeartMedia, Inc. — Class A* | | | 787 | | | | 14,898 | |
TechTarget, Inc.* | | | 183 | | | | 14,874 | |
InterDigital, Inc. | | | 217 | | | | 13,845 | |
Open Lending Corp. — Class A* | | | 732 | | | | 13,842 | |
Revolve Group, Inc.* | | | 252 | | | | 13,530 | |
Telephone & Data Systems, Inc. | | | 710 | | | | 13,405 | |
Overstock.com, Inc.* | | | 302 | | | | 13,290 | |
Gray Television, Inc. | | | 600 | | | | 13,242 | |
Magnite, Inc.* | | | 912 | | | | 12,048 | |
Plantronics, Inc.* | | | 295 | | | | 11,623 | |
Infinera Corp.* | | | 1,285 | | | | 11,141 | |
Extreme Networks, Inc.* | | | 892 | | | | 10,891 | |
ePlus, Inc.* | | | 187 | | | | 10,483 | |
Liberty Latin America Ltd. — Class C* | | | 1,085 | | | | 10,405 | |
Sinclair Broadcast Group, Inc. — Class A | | | 323 | | | | 9,050 | |
Clear Channel Outdoor Holdings, Inc.* | | | 2,550 | | | | 8,823 | |
136 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
EW Scripps Co. — Class A* | | | 402 | | | $ | 8,358 | |
AMC Networks, Inc. — Class A* | | | 204 | | | | 8,289 | |
Shenandoah Telecommunications Co. | | | 339 | | | | 7,994 | |
Eventbrite, Inc. — Class A* | | | 537 | | | | 7,931 | |
Gogo, Inc.* | | | 415 | | | | 7,910 | |
Scholastic Corp. | | | 179 | | | | 7,210 | |
Cars.com, Inc.* | | | 481 | | | | 6,941 | |
WideOpenWest, Inc.* | | | 368 | | | | 6,418 | |
EchoStar Corp. — Class A* | | | 262 | | | | 6,377 | |
Globalstar, Inc.* | | | 4,263 | | | | 6,267 | |
fuboTV, Inc.* | | | 950 | | | | 6,241 | |
ADTRAN, Inc. | | | 337 | | | | 6,218 | |
Harmonic, Inc.* | | | 636 | | | | 5,908 | |
A10 Networks, Inc. | | | 422 | | | | 5,887 | |
Stitch Fix, Inc. — Class A* | | | 572 | | | | 5,760 | |
NeoPhotonics Corp.* | | | 358 | | | | 5,445 | |
Clearfield, Inc.* | | | 80 | | | | 5,218 | |
NETGEAR, Inc.* | | | 203 | | | | 5,010 | |
Anterix, Inc.* | | | 82 | | | | 4,748 | |
Tucows, Inc. — Class A* | | | 68 | | | | 4,644 | |
Limelight Networks, Inc.* | | | 878 | | | | 4,583 | |
Gannett Company, Inc.* | | | 988 | | | | 4,456 | |
QuinStreet, Inc.* | | | 353 | | | | 4,095 | |
RealReal, Inc.* | | | 562 | | | | 4,080 | |
Quotient Technology, Inc.* | | | 631 | | | | 4,026 | |
Boston Omaha Corp. — Class A* | | | 143 | | | | 3,628 | |
HealthStream, Inc.* | | | 178 | | | | 3,546 | |
IDT Corp. — Class B* | | | 101 | | | | 3,443 | |
ChannelAdvisor Corp.* | | | 207 | | | | 3,430 | |
Advantage Solutions, Inc.* | | | 536 | | | | 3,420 | |
United States Cellular Corp.* | | | 108 | | | | 3,265 | |
Groupon, Inc.*,1 | | | 166 | | | | 3,192 | |
Stagwell, Inc.* | | | 433 | | | | 3,135 | |
ATN International, Inc. | | | 78 | | | | 3,111 | |
Liquidity Services, Inc.* | | | 177 | | | | 3,030 | |
Consolidated Communications Holdings, Inc.* | | | 512 | | | | 3,021 | |
Couchbase, Inc.*,1 | | | 164 | | | | 2,857 | |
Liberty Latin America Ltd. — Class A* | | | 285 | | | | 2,764 | |
Entravision Communications Corp. — Class A | | | 423 | | | | 2,711 | |
MediaAlpha, Inc. — Class A* | | | 149 | | | | 2,466 | |
Audacy, Inc.* | | | 828 | | | | 2,393 | |
1-800-Flowers.com, Inc. — Class A* | | | 187 | | | | 2,386 | |
Aviat Networks, Inc.* | | | 77 | | | | 2,369 | |
Credo Technology Group Holding Ltd.* | | | 153 | | | | 2,330 | |
Ooma, Inc.* | | | 154 | | | | 2,308 | |
CarParts.com, Inc.* | | | 343 | | | | 2,298 | |
EverQuote, Inc. — Class A* | | | 138 | | | | 2,233 | |
CalAmp Corp.* | | | 249 | | | | 1,820 | |
Cambium Networks Corp.* | | | 76 | | | | 1,797 | |
Lands’ End, Inc.* | | | 101 | | | | 1,709 | |
DZS, Inc.* | | | 120 | | | | 1,664 | |
Ribbon Communications, Inc.* | | | 494 | | | | 1,526 | |
Thryv Holdings, Inc.* | | | 54 | | | | 1,518 | |
comScore, Inc.* | | | 492 | | | | 1,432 | |
Preformed Line Products Co. | | | 21 | | | | 1,332 | |
1stdibs.com, Inc.* | | | 141 | | | | 1,127 | |
National CineMedia, Inc. | | | 422 | | | | 1,072 | |
Casa Systems, Inc.* | | | 223 | | | | 1,008 | |
KVH Industries, Inc.* | | | 106 | | | | 965 | |
Telesat Corp.* | | | 50 | | | | 825 | |
VirnetX Holding Corp.*,1 | | | 445 | | | | 725 | |
Solo Brands, Inc. — Class A*,1 | | | 78 | | | | 665 | |
Fluent, Inc.* | | | 304 | | | | 632 | |
CuriosityStream, Inc.* | | | 183 | | | | 531 | |
Hemisphere Media Group, Inc.* | | | 114 | | | | 521 | |
Value Line, Inc. | | | 7 | | | | 469 | |
LiveOne, Inc.* | | | 406 | | | | 331 | |
HyreCar, Inc.* | | | 124 | | | | 295 | |
Lulu’s Fashion Lounge Holdings, Inc.* | | | 20 | | | | 136 | |
aka Brands Holding Corp.* | | | 30 | | | | 133 | |
Digital Media Solutions, Inc. — Class A* | | | 23 | | | | 84 | |
Total Communications | | | | | | | 798,903 | |
| | | | | | | | | |
Basic Materials - 2.5% |
Rogers Corp.* | | | 131 | | | | 35,593 | |
Commercial Metals Co. | | | 843 | | | | 35,086 | |
Balchem Corp. | | | 226 | | | | 30,894 | |
MP Materials Corp.* | | | 533 | | | | 30,562 | |
Livent Corp.* | | | 1,138 | | | | 29,668 | |
Cabot Corp. | | | 394 | | | | 26,954 | |
Sensient Technologies Corp. | | | 297 | | | | 24,933 | |
Hecla Mining Co. | | | 3,733 | | | | 24,526 | |
HB Fuller Co. | | | 365 | | | | 24,116 | |
Allegheny Technologies, Inc.* | | | 895 | | | | 24,022 | |
Arconic Corp.* | | | 750 | | | | 19,215 | |
Ingevity Corp.* | | | 279 | | | | 17,876 | |
Quaker Chemical Corp. | | | 95 | | | | 16,417 | |
Tronox Holdings plc — Class A | | | 805 | | | | 15,931 | |
Innospec, Inc. | | | 172 | | | | 15,919 | |
Constellium SE* | | | 873 | | | | 15,714 | |
Minerals Technologies, Inc. | | | 233 | | | | 15,413 | |
Compass Minerals International, Inc. | | | 240 | | | | 15,069 | |
Stepan Co. | | | 151 | | | | 14,920 | |
GCP Applied Technologies, Inc.* | | | 467 | | | | 14,673 | |
Carpenter Technology Corp. | | | 335 | | | | 14,063 | |
Trinseo plc | | | 273 | | | | 13,082 | |
Novagold Resources, Inc.* | | | 1,666 | | | | 12,878 | |
Ferro Corp.* | | | 577 | | | | 12,544 | |
Kaiser Aluminum Corp. | | | 111 | | | | 10,452 | |
Energy Fuels, Inc.* | | | 1,086 | | | | 9,937 | |
AdvanSix, Inc. | | | 192 | | | | 9,809 | |
Century Aluminum Co.* | | | 361 | | | | 9,498 | |
Schnitzer Steel Industries, Inc. — Class A | | | 180 | | | | 9,349 | |
Codexis, Inc.* | | | 423 | | | | 8,722 | |
Uranium Energy Corp.* | | | 1,764 | | | | 8,097 | |
Coeur Mining, Inc.* | | | 1,797 | | | | 7,997 | |
Orion Engineered Carbons S.A. | | | 426 | | | | 6,803 | |
Hawkins, Inc. | | | 135 | | | | 6,196 | |
Schweitzer-Mauduit International, Inc. | | | 220 | | | | 6,050 | |
Intrepid Potash, Inc.* | | | 70 | | | | 5,750 | |
Amyris, Inc.* | | | 1,242 | | | | 5,415 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 137 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
Neenah, Inc. | | | 118 | | | $ | 4,680 | |
American Vanguard Corp. | | | 206 | | | | 4,186 | |
Koppers Holdings, Inc. | | | 146 | | | | 4,018 | |
Ecovyst, Inc. | | | 343 | | | | 3,965 | |
Glatfelter Corp. | | | 307 | | | | 3,801 | |
Danimer Scientific, Inc.*,1 | | | 636 | | | | 3,727 | |
Clearwater Paper Corp.* | | | 116 | | | | 3,251 | |
Rayonier Advanced Materials, Inc.* | | | 434 | | | | 2,851 | |
Kronos Worldwide, Inc. | | | 156 | | | | 2,421 | |
Ur-Energy, Inc.* | | | 1,253 | | | | 2,005 | |
Unifi, Inc.* | | | 98 | | | | 1,774 | |
United States Lime & Minerals, Inc. | | | 15 | | | | 1,741 | |
Zymergen, Inc.* | | | 563 | | | | 1,627 | |
Gatos Silver, Inc.* | | | 326 | | | | 1,408 | |
Oil-Dri Corporation of America | | | 37 | | | | 1,060 | |
Perpetua Resources Corp.* | | | 228 | | | | 935 | |
PolyMet Mining Corp.* | | | 203 | | | | 850 | |
Marrone Bio Innovations, Inc.* | | | 711 | | | | 768 | |
Valhi, Inc. | | | 17 | | | | 498 | |
Total Basic Materials | | | | | | | 649,709 | |
| | | | | | | | | |
Utilities - 2.2% |
Southwest Gas Holdings, Inc. | | | 461 | | | | 36,092 | |
Portland General Electric Co. | | | 632 | | | | 34,855 | |
Black Hills Corp. | | | 450 | | | | 34,659 | |
Brookfield Infrastructure Corp. — Class A | | | 443 | | | | 33,420 | |
ONE Gas, Inc. | | | 370 | | | | 32,649 | |
New Jersey Resources Corp. | | | 679 | | | | 31,139 | |
PNM Resources, Inc. | | | 601 | | | | 28,650 | |
Ormat Technologies, Inc. | | | 318 | | | | 26,022 | |
Spire, Inc. | | | 356 | | | | 25,546 | |
South Jersey Industries, Inc. | | | 724 | | | | 25,014 | |
ALLETE, Inc. | | | 369 | | | | 24,716 | |
American States Water Co. | | | 259 | | | | 23,056 | |
Avista Corp. | | | 497 | | | | 22,440 | |
NorthWestern Corp. | | | 366 | | | | 22,139 | |
California Water Service Group | | | 369 | | | | 21,874 | |
Clearway Energy, Inc. — Class C | | | 576 | | | | 21,030 | |
MGE Energy, Inc. | | | 256 | | | | 20,426 | |
Otter Tail Corp. | | | 289 | | | | 18,063 | |
Ameresco, Inc. — Class A* | | | 217 | | | | 17,251 | |
Chesapeake Utilities Corp. | | | 121 | | | | 16,669 | |
SJW Group | | | 194 | | | | 13,499 | |
Middlesex Water Co. | | | 121 | | | | 12,726 | |
Northwest Natural Holding Co. | | | 214 | | | | 11,068 | |
Clearway Energy, Inc. — Class A | | | 245 | | | | 8,163 | |
Unitil Corp. | | | 110 | | | | 5,487 | |
York Water Co. | | | 91 | | | | 4,092 | |
Artesian Resources Corp. — Class A | | | 57 | | | | 2,767 | |
Global Water Resources, Inc. | | | 89 | | | | 1,481 | |
FTC Solar, Inc.* | | | 285 | | | | 1,405 | |
Via Renewables, Inc. | | | 84 | | | | 692 | |
Total Utilities | | | | | | | 577,090 | |
| | | | | | | | | |
Government - 0.0% |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 218 | | | | 3,396 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $20,355,829) | | | | | | | 19,124,394 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Technology - 0.0% |
Quantum Corp.* | | | 407 | | | | — | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Elanco Animal Health, Inc.* | | | 505 | | | | — | |
Oncternal Therapeutics, Inc.* | | | 7 | | | | — | |
Tobira Therapeutics, Inc.* | | | 141 | | | | — | |
UCB* | | | 385 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $173) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 10.0% |
iShares Russell 2000 Index ETF | | | 6,356 | | | | 1,304,696 | |
Vanguard Russell 2000 ETF1 | | | 15,743 | | | | 1,304,308 | |
Total Exchange-Traded Funds | | | | |
(Cost $2,799,130) | | | | | | | 2,609,004 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 7.7% |
Federal Farm Credit Bank |
0.77% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/22◊ | | $ | 2,000,000 | | | | 2,000,214 | |
Total Federal Agency Notes | | | | |
(Cost $2,000,000) | | | | | | | 2,000,214 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.4% |
U.S. Treasury Bills |
0.09% due 06/02/222,3 | | | 81,000 | | | | 80,955 | |
0.12% due 05/05/223,4 | | | 19,000 | | | | 18,997 | |
Total U.S. Treasury Bills | | | | |
(Cost $99,986) | | | | | | | 99,952 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 8.0% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/222 | | | 1,411,402 | | | | 1,411,402 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/222 | | | 543,609 | | | | 543,609 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/222 | | | 141,338 | | | | 141,338 | |
Total Repurchase Agreements | | | | |
(Cost $2,096,349) | | | | | | | 2,096,349 | |
138 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
RUSSELL 2000® FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 5.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%7 | | | 1,361,239 | | | $ | 1,361,239 | |
Total Securities Lending Collateral | | | | |
(Cost $1,361,239) | | | | | | | 1,361,239 | |
| | | | | | | | | |
Total Investments - 104.5% | | | | |
(Cost $28,712,706) | | $ | 27,291,152 | |
Other Assets & Liabilities, net - (4.5)% | | | (1,173,666 | ) |
Total Net Assets - 100.0% | | $ | 26,117,486 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 15 | | | | Jun 2022 | | | $ | 1,548,750 | | | $ | 4,372 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | Russell 2000 Index | Pay | 0.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 04/14/22 | | | | 616 | | | $ | 1,275,298 | | | $ | 57,699 | |
Barclays Bank plc | Russell 2000 Index | Pay | 0.27% (U.S. Secured Overnight Financing Rate) | | | At Maturity | | | | 04/13/22 | | | | 604 | | | | 1,249,950 | | | | 28,329 | |
Goldman Sachs International | Russell 2000 Index | Pay | 0.58% (Federal Funds Rate + 0.25%) | | | At Maturity | | | | 04/14/22 | | | | 125 | | | | 259,443 | | | | 14,393 | |
| | | | | | | | | | | | | | | | | | $ | 2,784,691 | | | $ | 100,421 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 139 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
RUSSELL 2000® 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
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 March 31, 2022. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 19,124,394 | | | $ | — | | | $ | — | | | $ | 19,124,394 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Exchange-Traded Funds | | | 2,609,004 | | | | — | | | | — | | | | 2,609,004 | |
Federal Agency Notes | | | — | | | | 2,000,214 | | | | — | | | | 2,000,214 | |
U.S. Treasury Bills | | | — | | | | 99,952 | | | | — | | | | 99,952 | |
Repurchase Agreements | | | — | | | | 2,096,349 | | | | — | | | | 2,096,349 | |
Securities Lending Collateral | | | 1,361,239 | | | | — | | | | — | | | | 1,361,239 | |
Equity Futures Contracts** | | | 4,372 | | | | — | | | | — | | | | 4,372 | |
Equity Index Swap Agreements** | | | — | | | | 100,421 | | | | — | | | | 100,421 | |
Total Assets | | $ | 23,099,009 | | | $ | 4,296,936 | | | $ | — | | | $ | 27,395,945 | |
* | Include securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $1,312,135 of securities loaned (cost $26,616,357) | | $ | 25,194,803 | |
Repurchase agreements, at value (cost $2,096,349) | | | 2,096,349 | |
Cash | | | 5,243 | |
Segregated cash with broker | | | 69,098 | |
Unrealized appreciation on OTC swap agreements | | | 100,421 | |
Receivables: |
Fund shares sold | | | 126,917 | |
Swap settlement | | | 49,172 | |
Dividends | | | 16,756 | |
Interest | | | 2,744 | |
Securities lending income | | | 1,350 | |
Total assets | | | 27,662,853 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,361,239 | |
Fund shares redeemed | | | 103,125 | |
Management fees | | | 15,398 | |
Variation margin on futures contracts | | | 10,971 | |
Distribution and service fees | | | 6,332 | |
Transfer agent and administrative fees | | | 5,523 | |
Securities purchased | | | 4,020 | |
Portfolio accounting fees | | | 3,080 | |
Trustees’ fees* | | | 409 | |
Miscellaneous | | | 35,270 | |
Total liabilities | | | 1,545,367 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 26,117,486 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 28,134,402 | |
Total distributable earnings (loss) | | | (2,016,916 | ) |
Net assets | | $ | 26,117,486 | |
| | | | | |
A-Class: |
Net assets | | $ | 5,781,454 | |
Capital shares outstanding | | | 114,121 | |
Net asset value per share | | $ | 50.66 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 53.19 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,904,180 | |
Capital shares outstanding | | | 44,038 | |
Net asset value per share | | $ | 43.24 | |
| | | | | |
H-Class: |
Net assets | | $ | 18,431,852 | |
Capital shares outstanding | | | 364,793 | |
Net asset value per share | | $ | 50.53 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $114) | | $ | 116,071 | |
Interest | | | 40,988 | |
Income from securities lending, net | | | 8,738 | |
Total investment income | | | 165,797 | |
| | | | | |
Expenses: |
Management fees | | | 259,769 | |
Distribution and service fees: |
A-Class | | | 25,582 | |
C-Class | | | 24,450 | |
H-Class | | | 54,899 | |
Transfer agent and administrative fees | | | 98,561 | |
Portfolio accounting fees | | | 51,955 | |
Professional fees | | | 23,465 | |
Trustees’ fees* | | | 7,980 | |
Custodian fees | | | 5,062 | |
Line of credit fees | | | 62 | |
Miscellaneous | | | 22,866 | |
Total expenses | | | 574,651 | |
Net investment loss | | | (408,854 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (434,054 | ) |
Swap agreements | | | (50,242 | ) |
Futures contracts | | | (352,514 | ) |
Net realized loss | | | (836,810 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,442,234 | ) |
Swap agreements | | | 27,926 | |
Futures contracts | | | 182,704 | |
Net change in unrealized appreciation (depreciation) | | | (1,231,604 | ) |
Net realized and unrealized loss | | | (2,068,414 | ) |
Net decrease in net assets resulting from operations | | $ | (2,477,268 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 141 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (408,854 | ) | | $ | (532,872 | ) |
Net realized gain (loss) on investments | | | (836,810 | ) | | | 19,088,588 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,231,604 | ) | | | (649,370 | ) |
Net increase (decrease) in net assets resulting from operations | | | (2,477,268 | ) | | | 17,906,346 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (1,380,296 | ) | | | — | |
C-Class | | | (292,995 | ) | | | — | |
H-Class | | | (2,471,695 | ) | | | — | |
Total distributions to shareholders | | | (4,144,986 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 17,520,237 | | | | 16,968,164 | |
C-Class | | | 1,581,608 | | | | 2,759,107 | |
H-Class | | | 37,692,434 | | | | 106,439,279 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 1,363,190 | | | | — | |
C-Class | | | 220,999 | | | | — | |
H-Class | | | 2,449,855 | | | | — | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (23,403,707 | ) | | | (22,364,500 | ) |
C-Class | | | (3,123,918 | ) | | | (2,002,731 | ) |
H-Class | | | (47,441,374 | ) | | | (92,858,855 | ) |
Net increase (decrease) from capital share transactions | | | (13,140,676 | ) | | | 8,940,464 | |
Net increase (decrease) in net assets | | | (19,762,930 | ) | | | 26,846,810 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 45,880,416 | | | | 19,033,606 | |
End of year | | $ | 26,117,486 | | | $ | 45,880,416 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 293,769 | | | | 323,213 | |
C-Class | | | 29,850 | | | | 61,590 | |
H-Class | | | 631,536 | | | | 2,060,052 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 25,352 | | | | — | |
C-Class | | | 4,804 | | | | — | |
H-Class | | | 45,681 | | | | — | |
Shares redeemed | | | | | | | | |
A-Class | | | (405,915 | ) | | | (454,528 | ) |
C-Class | | | (59,133 | ) | | | (48,862 | ) |
H-Class | | | (794,616 | ) | | | (1,787,076 | ) |
Net increase (decrease) in shares | | | (228,672 | ) | | | 154,389 | |
142 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 61.82 | | | $ | 32.24 | | | $ | 43.81 | | | $ | 43.67 | | | $ | 41.61 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.69 | ) | | | (.77 | ) | | | — | c | | | (.05 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.41 | ) | | | 30.35 | | | | (10.89 | ) | | | .19 | d | | | 4.34 | |
Total from investment operations | | | (4.10 | ) | | | 29.58 | | | | (10.89 | ) | | | .14 | | | | 4.17 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
Net realized gains | | | (7.06 | ) | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) |
Total distributions | | | (7.06 | ) | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) |
Net asset value, end of period | | $ | 50.66 | | | $ | 61.82 | | | $ | 32.24 | | | $ | 43.81 | | | $ | 43.67 | |
|
Total Returnb | | | (7.29 | %) | | | 91.75 | % | | | (25.32 | %) | | | 0.32 | % | | | 10.03 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,781 | | | $ | 12,421 | | | $ | 10,712 | | | $ | 18,569 | | | $ | 17,163 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.14 | %) | | | (1.53 | %) | | | — | e | | | (0.11 | %) | | | (0.40 | %) |
Total expenses | | | 1.60 | % | | | 1.67 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 76 | % | | | — | | | | 35 | % | | | 112 | % | | | 167 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 54.24 | | | $ | 28.50 | | | $ | 39.09 | | | $ | 39.26 | | | $ | 37.87 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.98 | ) | | | (.95 | ) | | | (.29 | ) | | | (.37 | ) | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.96 | ) | | | 26.69 | | | | (9.62 | ) | | | .20 | d | | | 3.95 | |
Total from investment operations | | | (3.94 | ) | | | 25.74 | | | | (9.91 | ) | | | (.17 | ) | | | 3.50 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
Net realized gains | | | (7.06 | ) | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) |
Total distributions | | | (7.06 | ) | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) |
Net asset value, end of period | | $ | 43.24 | | | $ | 54.24 | | | $ | 28.50 | | | $ | 39.09 | | | $ | 39.26 | |
|
Total Returnb | | | (8.05 | %) | | | 90.32 | % | | | (25.88 | %) | | | (0.43 | %) | | | 9.21 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,904 | | | $ | 3,717 | | | $ | 1,590 | | | $ | 3,264 | | | $ | 5,277 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.89 | %) | | | (2.28 | %) | | | (0.74 | %) | | | (0.91 | %) | | | (1.16 | %) |
Total expenses | | | 2.36 | % | | | 2.43 | % | | | 2.48 | % | | | 2.46 | % | | | 2.38 | % |
Portfolio turnover rate | | | 76 | % | | | — | | | | 35 | % | | | 112 | % | | | 167 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 143 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 61.68 | | | $ | 32.17 | | | $ | 43.70 | | | $ | 43.57 | | | $ | 41.51 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.66 | ) | | | (.75 | ) | | | .01 | | | | (.06 | ) | | | (.19 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.43 | ) | | | 30.26 | | | | (10.86 | ) | | | .19 | d | | | 4.36 | |
Total from investment operations | | | (4.09 | ) | | | 29.51 | | | | (10.85 | ) | | | .13 | | | | 4.17 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
Net realized gains | | | (7.06 | ) | | | — | | | | (.67 | ) | | | — | | | | (2.11 | ) |
Total distributions | | | (7.06 | ) | | | — | | | | (.68 | ) | | | — | | | | (2.11 | ) |
Net asset value, end of period | | $ | 50.53 | | | $ | 61.68 | | | $ | 32.17 | | | $ | 43.70 | | | $ | 43.57 | |
|
Total Return | | | (7.29 | %) | | | 91.73 | % | | | (25.30 | %) | | | 0.30 | % | | | 10.03 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,432 | | | $ | 29,743 | | | $ | 6,731 | | | $ | 19,384 | | | $ | 24,713 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.12 | %) | | | (1.52 | %) | | | 0.01 | % | | | (0.14 | %) | | | (0.43 | %) |
Total expenses | | | 1.61 | % | | | 1.67 | % | | | 1.73 | % | | | 1.71 | % | | | 1.63 | % |
Portfolio turnover rate | | | 76 | % | | | — | | | | 35 | % | | | 112 | % | | | 167 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Less than $0.01 per share. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss 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 | Less than 0.01%. |
144 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Inverse Russell 2000® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. Inverse Russell 2000® Strategy Fund H-Class returned -0.29%, while the Russell 2000 Index returned -5.79% over the same time period.
The sectors contributing the most to the return of the underlying index for the period were Energy, Real Estate, and Utilities. The sectors detracting the most were Health Care, Consumer Discretionary, and Information Technology.
The holdings contributing the most to the return of the underlying index were Avis Budget Group, Inc., Ovintiv, Inc., and Antero Resources Corp. The holdings detracting the most were Invitae Corp., BridgeBio Pharma, Inc., and Redfin Corp.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 ANNUAL REPORT | 145 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 16.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 16.2% |
Total | 32.6% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (0.27%) | (13.99%) | (14.36%) |
A-Class Shares with sales charge‡ | (5.01%) | (14.83%) | (14.78%) |
C-Class Shares | (0.91%) | (14.65%) | (14.99%) |
C-Class Shares with CDSC§ | (1.90%) | (14.65%) | (14.99%) |
H-Class Shares | (0.29%) | (13.98%) | (14.33%) |
Russell 2000 Index | (5.79%) | 9.74% | 12.63% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
146 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 32.6% |
Guggenheim Strategy Fund II1 | | | 39,100 | | | $ | 959,911 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 97,310 | | | | 952,665 | |
Total Mutual Funds | | | | |
(Cost $1,914,222) | | | | | | | 1,912,576 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 10.6% |
Federal Farm Credit Bank |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | $ | 500,000 | | | | 499,990 | |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | | 120,000 | | | | 120,061 | |
Total Federal Agency Notes | | | | |
(Cost $619,980) | | | | | | | 620,051 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 2.0% |
U.S. Treasury Bills |
0.09% due 06/02/222,3 | | | 100,000 | | | | 99,944 | |
0.12% due 05/05/223 | | | 19,000 | | | | 18,997 | |
Total U.S. Treasury Bills | | | | |
(Cost $118,982) | | | | | | | 118,941 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 57.8% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/222 | | | 2,284,450 | | | | 2,284,450 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/222 | | | 879,868 | | | | 879,868 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/222 | | | 228,766 | | | | 228,766 | |
Total Repurchase Agreements | | | | |
(Cost $3,393,084) | | | | | | | 3,393,084 | |
| | | | | | | | | |
Total Investments - 103.0% | | | | |
(Cost $6,046,268) | | $ | 6,044,652 | |
Other Assets & Liabilities, net - (3.0)% | | | (177,980 | ) |
Total Net Assets - 100.0% | | $ | 5,866,672 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | 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 | Receive | 0.28% (Federal Funds Rate - 0.05%) | | | At Maturity | | | | 04/14/22 | | | | 2,105 | | | $ | 4,358,560 | | | $ | 32,708 | |
Barclays Bank plc | Russell 2000 Index | Pay | (0.23)% (U.S. Secured Overnight Financing Rate - 0.50%) | | | At Maturity | | | | 04/13/22 | | | | 265 | | | | 549,247 | | | | (10,841 | ) |
BNP Paribas | Russell 2000 Index | Receive | 0.13% (Federal Funds Rate - 0.20%) | | | At Maturity | | | | 04/14/22 | | | | 467 | | | | 966,498 | | | | (43,729 | ) |
| | | | | | | | | | | | | | | | | | $ | 5,874,305 | | | $ | (21,862 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 147 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,912,576 | | | $ | — | | | $ | — | | | $ | 1,912,576 | |
Federal Agency Notes | | | — | | | | 620,051 | | | | — | | | | 620,051 | |
U.S. Treasury Bills | | | — | | | | 118,941 | | | | — | | | | 118,941 | |
Repurchase Agreements | | | — | | | | 3,393,084 | | | | — | | | | 3,393,084 | |
Equity Index Swap Agreements** | | | — | | | | 32,708 | | | | — | | | | 32,708 | |
Total Assets | | $ | 1,912,576 | | | $ | 4,164,784 | | | $ | — | | | $ | 6,077,360 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 54,570 | | | $ | — | | | $ | 54,570 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
148 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,277,205 | | | $ | — | | | $ | (300,000 | ) | | $ | 1,681 | | | $ | (18,975 | ) | | $ | 959,911 | | | | 39,100 | | | $ | 16,417 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,269,811 | | | | — | | | | (300,000 | ) | | | (312 | ) | | | (16,834 | ) | | | 952,665 | | | | 97,310 | | | | 10,581 | |
| | | $ | 2,547,016 | | | $ | — | | | $ | (600,000 | ) | | $ | 1,369 | | | $ | (35,809 | ) | | $ | 1,912,576 | | | | | | | $ | 26,998 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 149 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $738,962) | | $ | 738,992 | |
Investments in affiliated issuers, at value (cost $1,914,222) | | | 1,912,576 | |
Repurchase agreements, at value (cost $3,393,084) | | | 3,393,084 | |
Unrealized appreciation on OTC swap agreements | | | 32,708 | |
Receivables: |
Fund shares sold | | | 123,739 | |
Dividends | | | 2,186 | |
Interest | | | 173 | |
Total assets | | | 6,203,458 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 54,570 | |
Payable for: |
Swap settlement | | | 178,309 | |
Fund shares redeemed | | | 83,596 | |
Management fees | | | 7,541 | |
Transfer agent and administrative fees | | | 2,311 | |
Distribution and service fees | | | 2,162 | |
Portfolio accounting fees | | | 859 | |
Trustees’ fees* | | | 85 | |
Miscellaneous | | | 7,353 | |
Total liabilities | | | 336,786 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 5,866,672 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 47,019,958 | |
Total distributable earnings (loss) | | | (41,153,286 | ) |
Net assets | | $ | 5,866,672 | |
| | | | | |
A-Class: |
Net assets | | $ | 442,809 | |
Capital shares outstanding | | | 8,032 | |
Net asset value per share | | $ | 55.13 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 57.88 | |
| | | | | |
C-Class: |
Net assets | | $ | 28,268 | |
Capital shares outstanding | | | 588 | |
Net asset value per share | | $ | 48.05 | |
| | | | | |
H-Class: |
Net assets | | $ | 5,395,595 | |
Capital shares outstanding | | | 97,477 | |
Net asset value per share | | $ | 55.35 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 26,998 | |
Interest | | | 2,653 | |
Total investment income | | | 29,651 | |
| | | | | |
Expenses: |
Management fees | | | 54,038 | |
Distribution and service fees: |
A-Class | | | 1,413 | |
C-Class | | | 184 | |
H-Class | | | 13,552 | |
Transfer agent and administrative fees | | | 17,120 | |
Portfolio accounting fees | | | 6,004 | |
Professional fees | | | 4,289 | |
Trustees’ fees* | | | 1,454 | |
Custodian fees | | | 854 | |
Interest expense | | | 18 | |
Miscellaneous | | | 3,972 | |
Total expenses | | | 102,898 | |
Less: |
Expenses waived by Adviser | | | (2,882 | ) |
Net expenses | | | 100,016 | |
Net investment loss | | | (70,365 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 29 | |
Investments in affiliated issuers | | | 1,369 | |
Swap agreements | | | 146,075 | |
Futures contracts | | | (40,071 | ) |
Net realized gain | | | 107,402 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (447 | ) |
Investments in affiliated issuers | | | (35,809 | ) |
Swap agreements | | | (133,118 | ) |
Futures contracts | | | (31,475 | ) |
Net change in unrealized appreciation (depreciation) | | | (200,849 | ) |
Net realized and unrealized loss | | | (93,447 | ) |
Net decrease in net assets resulting from operations | | $ | (163,812 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
150 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (70,365 | ) | | $ | (227,644 | ) |
Net realized gain (loss) on investments | | | 107,402 | | | | (13,238,161 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (200,849 | ) | | | (233,907 | ) |
Net decrease in net assets resulting from operations | | | (163,812 | ) | | | (13,699,712 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (286 | ) |
C-Class | | | — | | | | (39 | ) |
H-Class | | | — | | | | (5,815 | ) |
Total distributions to shareholders | | | — | | | | (6,140 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 2,036,187 | | | | 1,016,352 | |
C-Class | | | 10,281 | | | | 69,459 | |
H-Class | | | 55,676,842 | | | | 86,070,796 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 286 | |
C-Class | | | — | | | | 39 | |
H-Class | | | — | | | | 5,776 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,774,903 | ) | | | (566,925 | ) |
C-Class | | | (8,149 | ) | | | (85,226 | ) |
H-Class | | | (55,343,428 | ) | | | (90,085,151 | ) |
Net increase (decrease) from capital share transactions | | | 596,830 | | | | (3,574,594 | ) |
Net increase (decrease) in net assets | | | 433,018 | | | | (17,280,446 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 5,433,654 | | | | 22,714,100 | |
End of year | | $ | 5,866,672 | | | $ | 5,433,654 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 36,508 | | | | 10,628 | |
C-Class | | | 215 | | | | 895 | |
H-Class | | | 1,004,972 | | | | 1,035,477 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 4 | |
C-Class | | | — | | | | 1 | |
H-Class | | | — | | | | 87 | |
Shares redeemed | | | | | | | | |
A-Class | | | (34,263 | ) | | | (6,557 | ) |
C-Class | | | (170 | ) | | | (1,230 | ) |
H-Class | | | (999,148 | ) | | | (1,129,019 | ) |
Net increase (decrease) in shares | | | 8,114 | | | | (89,714 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 151 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.28 | | | $ | 120.61 | | | $ | 102.08 | | | $ | 104.50 | | | $ | 118.12 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.64 | ) | | | (.45 | ) | | | .50 | | | | .70 | | | | (.90 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .49 | | | | (64.83 | ) | | | 18.73 | e | | | (3.12 | ) | | | (12.72 | ) |
Total from investment operations | | | (.15 | ) | | | (65.28 | ) | | | 19.23 | | | | (2.42 | ) | | | (13.62 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 55.13 | | | $ | 55.28 | | | $ | 120.61 | | | $ | 102.08 | | | $ | 104.50 | |
|
Total Returnb | | | (0.27 | %) | | | (54.13 | %) | | | 19.00 | % | | | (2.30 | %) | | | (11.52 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 443 | | | $ | 320 | | | $ | 207 | | | $ | 746 | | | $ | 262 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.17 | %) | | | (1.38 | %) | | | 0.51 | % | | | 0.65 | % | | | (0.76 | %) |
Total expensesc | | | 1.71 | % | | | 1.80 | % | | | 1.82 | % | | | 1.83 | % | | | 1.74 | % |
Net expensesd | | | 1.66 | % | | | 1.78 | % | | | 1.78 | % | | | 1.81 | % | | | 1.74 | % |
Portfolio turnover rate | | | — | | | | 14 | % | | | 7 | % | | | 40 | % | | | — | |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.51 | | | $ | 106.73 | | | $ | 91.07 | | | $ | 93.97 | | | $ | 107.05 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.89 | ) | | | (.61 | ) | | | (.30 | ) | | | (.25 | ) | | | (1.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .45 | | | | (57.56 | ) | | | 16.66 | e | | | (2.65 | ) | | | (11.83 | ) |
Total from investment operations | | | (.44 | ) | | | (58.17 | ) | | | 16.36 | | | | (2.90 | ) | | | (13.08 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 48.07 | | | $ | 48.51 | | | $ | 106.73 | | | $ | 91.07 | | | $ | 93.97 | |
|
Total Returnb | | | (0.91 | %) | | | (54.49 | %) | | | 18.22 | % | | | (3.09 | %) | | | (12.24 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 28 | | | $ | 26 | | | $ | 94 | | | $ | 460 | | | $ | 607 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.88 | %) | | | (2.15 | %) | | | (0.34 | %) | | | (0.26 | %) | | | (1.22 | %) |
Total expensesc | | | 2.46 | % | | | 2.57 | % | | | 2.57 | % | | | 2.56 | % | | | 2.48 | % |
Net expensesd | | | 2.40 | % | | | 2.54 | % | | | 2.53 | % | | | 2.55 | % | | | 2.48 | % |
Portfolio turnover rate | | | — | | | | 14 | % | | | 7 | % | | | 40 | % | | | — | |
152 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020e | | | Year Ended
March 31,
2019e | | | Year Ended
March 29,
2018e | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.51 | | | $ | 121.09 | | | $ | 102.43 | | | $ | 104.78 | | | $ | 118.47 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.64 | ) | | | (.44 | ) | | | .10 | | | | .55 | | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .48 | | | | (65.09 | ) | | | 19.26 | f | | | (2.90 | ) | | | (13.24 | ) |
Total from investment operations | | | (.16 | ) | | | (65.53 | ) | | | 19.36 | | | | (2.35 | ) | | | (13.69 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.05 | ) | | | (.70 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 55.35 | | | $ | 55.51 | | | $ | 121.09 | | | $ | 102.43 | | | $ | 104.78 | |
|
Total Return | | | (0.29 | %) | | | (54.13 | %) | | | 19.08 | % | | | (2.24 | %) | | | (11.52 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,396 | | | $ | 5,087 | | | $ | 22,414 | | | $ | 9,392 | | | $ | 3,543 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.17 | %) | | | (1.42 | %) | | | 0.07 | % | | | 0.53 | % | | | (0.39 | %) |
Total expensesc | | | 1.71 | % | | | 1.81 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % |
Net expensesd | | | 1.66 | % | | | 1.79 | % | | | 1.79 | % | | | 1.81 | % | | | 1.72 | % |
Portfolio turnover rate | | | — | | | | 14 | % | | | 7 | % | | | 40 | % | | | — | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Reverse share split — 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. |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss 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 ANNUAL REPORT | 153 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
DOW JONES INDUSTRIAL AVERAGE® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Dow Jones Industrials Average® (the “underlying index”).
For the one-year period ended March 31, 2022, Dow Jones Industrial Average Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the Dow Jones Industrial Average Index. Dow Jones Industrial Average Fund H-Class returned 5.23%, while the Dow Jones Industrial Average Index returned 7.11% over the same time period.
The sectors contributing the most to the return of the underlying index for the period were Health, Information Technology, and Financials. The sectors detracting the most were Industrials and Communication Services.
The holdings contributing the most to the return of the underlying index were UnitedHealth Group, Inc., Microsoft Corp., and Chevron Corp. The holdings detracting the most were Boeing Co., Walt Disney Co., and 3M Co.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
154 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | December 1, 2015 |
C-Class | December 1, 2015 |
H-Class | December 1, 2015 |
Cumulative Fund Performance*
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.8% |
UnitedHealth Group, Inc. | 5.3% |
Goldman Sachs Group, Inc. | 3.4% |
Microsoft Corp. | 3.2% |
Home Depot, Inc. | 3.1% |
Guggenheim Strategy Fund II | 2.9% |
McDonald’s Corp. | 2.6% |
Amgen, Inc. | 2.5% |
Caterpillar, Inc. | 2.3% |
Visa, Inc. — Class A | 2.3% |
Top Ten Total | 35.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | Since
Inception
(12/01/15) |
A-Class Shares | 5.23% | 11.41% | 11.66% |
A-Class Shares with sales charge‡ | 0.23% | 10.33% | 10.81% |
C-Class Shares | 4.43% | 10.58% | 10.83% |
C-Class Shares with CDSC§ | 3.43% | 10.58% | 10.83% |
H-Class Shares | 5.23% | 11.41% | 11.67% |
Dow Jones Industrial Average Index | 7.11% | 13.40% | 13.59% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 155 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 54.7% |
| | | | | | | | | |
Consumer, Non-cyclical - 12.7% |
UnitedHealth Group, Inc. | | | 3,185 | | | $ | 1,624,254 | |
Amgen, Inc. | | | 3,185 | | | | 770,197 | |
Johnson & Johnson | | | 3,185 | | | | 564,478 | |
Procter & Gamble Co. | | | 3,185 | | | | 486,668 | |
Merck & Company, Inc. | | | 3,185 | | | | 261,329 | |
Coca-Cola Co. | | | 3,185 | | | | 197,470 | |
Total Consumer, Non-cyclical | | | | | | | 3,904,396 | |
| | | | | | | | | |
Financial - 11.0% |
Goldman Sachs Group, Inc. | | | 3,185 | | | | 1,051,369 | |
Visa, Inc. — Class A | | | 3,185 | | | | 706,337 | |
American Express Co. | | | 3,185 | | | | 595,595 | |
Travelers Companies, Inc. | | | 3,185 | | | | 581,995 | |
JPMorgan Chase & Co. | | | 3,185 | | | | 434,179 | |
Total Financial | | | | | | | 3,369,475 | |
| | | | | | | | | |
Consumer, Cyclical - 9.1% |
Home Depot, Inc. | | | 3,185 | | | | 953,366 | |
McDonald’s Corp. | | | 3,185 | | | | 787,587 | |
Walmart, Inc. | | | 3,185 | | | | 474,310 | |
NIKE, Inc. — Class B | | | 3,185 | | | | 428,574 | |
Walgreens Boots Alliance, Inc. | | | 3,185 | | | | 142,592 | |
Total Consumer, Cyclical | | | | | | | 2,786,429 | |
| | | | | | | | | |
Technology - 9.1% |
Microsoft Corp. | | | 3,185 | | | | 981,968 | |
salesforce.com, Inc.* | | | 3,185 | | | | 676,239 | |
Apple, Inc. | | | 3,185 | | | | 556,133 | |
International Business Machines Corp. | | | 3,185 | | | | 414,113 | |
Intel Corp. | | | 3,185 | | | | 157,849 | |
Total Technology | | | | | | | 2,786,302 | |
| | | | | | | | | |
Industrial - 7.9% |
Caterpillar, Inc. | | | 3,185 | | | | 709,682 | |
Honeywell International, Inc. | | | 3,185 | | | | 619,737 | |
Boeing Co.* | | | 3,185 | | | | 609,927 | |
3M Co. | | | 3,185 | | | | 474,183 | |
Total Industrial | | | | | | | 2,413,529 | |
| | | | | | | | | |
Communications - 2.5% |
Walt Disney Co.* | | | 3,185 | | | | 436,855 | |
Cisco Systems, Inc. | | | 3,185 | | | | 177,595 | |
Verizon Communications, Inc. | | | 3,185 | | | | 162,244 | |
Total Communications | | | | | | | 776,694 | |
| | | | | | | | | |
Energy - 1.7% |
Chevron Corp. | | | 3,185 | | | | 518,614 | |
| | | | | | | | | |
Basic Materials - 0.7% |
Dow, Inc. | | | 3,185 | | | | 202,948 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $10,363,114) | | | | | | | 16,758,387 | |
| | | | | | | | | |
MUTUAL FUNDS† - 10.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 243,731 | | | | 2,386,129 | |
Guggenheim Strategy Fund II1 | | | 37,085 | | | | 910,432 | |
Total Mutual Funds | | | | |
(Cost $3,339,812) | | | | | | | 3,296,561 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 0.9% |
U.S. Treasury Bills |
0.09% due 06/02/222,3 | | $ | 200,000 | | | | 199,888 | |
0.12% due 05/05/223,4 | | | 69,000 | | | | 68,990 | |
Total U.S. Treasury Bills | | | | |
(Cost $268,961) | | | | | | | 268,878 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 31.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/222 | | | 6,455,621 | | | | 6,455,621 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/222 | | | 2,486,417 | | | | 2,486,417 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/222 | | | 646,468 | | | | 646,468 | |
Total Repurchase Agreements | | | | |
(Cost $9,588,506) | | | | | | | 9,588,506 | |
| | | | | | | | | |
Total Investments - 97.6% | | | | |
(Cost $23,560,393) | | $ | 29,912,332 | |
Other Assets & Liabilities, net - 2.4% | | | 730,018 | |
Total Net Assets - 100.0% | | $ | 30,642,350 | |
156 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Purchased† |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 8 | | | | Jun 2022 | | | $ | 1,383,720 | | | $ | (4,287 | ) |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
BNP Paribas | Dow Jones Industrial Average Index | Pay | 0.88% (Federal Funds Rate + 0.55%) | | | At Maturity | | | | 04/14/22 | | | | 43 | | | $ | 1,498,372 | | | $ | 30,639 | |
Barclays Bank plc | Dow Jones Industrial Average Index | Pay | 0.77% (U.S. Secured Overnight Financing Rate + 0.50%) | | | At Maturity | | | | 04/13/22 | | | | 317 | | | | 10,995,117 | | | | (38,737 | ) |
| | | | | | | | | | | | | | | | | | $ | 12,493,489 | | | $ | (8,098 | ) |
* | 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 March 31, 2022. |
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 March 31, 2022. |
5 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 157 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 16,758,387 | | | $ | — | | | $ | — | | | $ | 16,758,387 | |
Mutual Funds | | | 3,296,561 | | | | — | | | | — | | | | 3,296,561 | |
U.S. Treasury Bills | | | — | | | | 268,878 | | | | — | | | | 268,878 | |
Repurchase Agreements | | | — | | | | 9,588,506 | | | | — | | | | 9,588,506 | |
Equity Index Swap Agreements** | | | — | | | | 30,639 | | | | — | | | | 30,639 | |
Total Assets | | $ | 20,054,948 | | | $ | 9,888,023 | | | $ | — | | | $ | 29,942,971 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 4,287 | | | $ | — | | | $ | — | | | $ | 4,287 | |
Equity Index Swap Agreements** | | | — | | | | 38,737 | | | | — | | | | 38,737 | |
Total Liabilities | | $ | 4,287 | | | $ | 38,737 | | | $ | — | | | $ | 43,024 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,835,969 | | | $ | 1,000,000 | | | $ | (1,900,000 | ) | | $ | (3,116 | ) | | $ | (22,421 | ) | | $ | 910,432 | | | | 37,085 | | | $ | 23,022 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 623,081 | | | | 2,100,000 | | | | (299,999 | ) | | | 301 | | | | (37,254 | ) | | | 2,386,129 | | | | 243,731 | | | | 12,889 | |
| | | $ | 2,459,050 | | | $ | 3,100,000 | | | $ | (2,199,999 | ) | | $ | (2,815 | ) | | $ | (59,675 | ) | | $ | 3,296,561 | | | | | | | $ | 35,911 | |
158 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $10,632,075) | | $ | 17,027,265 | |
Investments in affiliated issuers, at value (cost $3,339,812) | | | 3,296,561 | |
Repurchase agreements, at value (cost $9,588,506) | | | 9,588,506 | |
Segregated cash with broker | | | 911,000 | |
Unrealized appreciation on OTC swap agreements | | | 30,639 | |
Receivables: |
Fund shares sold | | | 52,784 | |
Dividends | | | 10,280 | |
Interest | | | 72 | |
Total assets | | | 30,917,107 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 38,737 | |
Payable for: |
Swap settlement | | | 142,741 | |
Variation margin on futures contracts | | | 20,960 | |
Licensing fees | | | 20,358 | |
Management fees | | | 14,657 | |
Distribution and service fees | | | 6,929 | |
Transfer agent and administrative fees | | | 5,427 | |
Portfolio accounting fees | | | 2,018 | |
Trustees’ fees* | | | 333 | |
Miscellaneous | | | 22,597 | |
Total liabilities | | | 274,757 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 30,642,350 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 28,356,131 | |
Total distributable earnings (loss) | | | 2,286,219 | |
Net assets | | $ | 30,642,350 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,632,251 | |
Capital shares outstanding | | | 53,810 | |
Net asset value per share | | $ | 86.09 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 90.38 | |
| | | | | |
C-Class: |
Net assets | | $ | 3,001,469 | |
Capital shares outstanding | | | 36,737 | |
Net asset value per share | | $ | 81.70 | |
| | | | | |
H-Class: |
Net assets | | $ | 23,008,630 | |
Capital shares outstanding | | | 267,061 | |
Net asset value per share | | $ | 86.15 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 493,673 | |
Dividends from securities of affiliated issuers | | | 35,911 | |
Interest | | | 1,171 | |
Total investment income | | | 530,755 | |
| | | | | |
Expenses: |
Management fees | | | 232,843 | |
Distribution and service fees: |
A-Class | | | 13,096 | |
C-Class | | | 30,135 | |
H-Class | | | 56,985 | |
Transfer agent and administrative fees | | | 85,857 | |
Portfolio accounting fees | | | 31,046 | |
Professional fees | | | 10,649 | |
Custodian fees | | | 3,999 | |
Trustees’ fees* | | | 3,184 | |
Line of credit fees | | | 164 | |
Miscellaneous | | | 40,317 | |
Total expenses | | | 508,275 | |
Less: |
Expenses waived by Adviser | | | (3,367 | ) |
Net expenses | | | 504,908 | |
Net investment income | | | 25,847 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (2,497,486 | ) |
Investments in affiliated issuers | | | (2,815 | ) |
Swap agreements | | | 205,124 | |
Futures contracts | | | (299,451 | ) |
Net realized loss | | | (2,594,628 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,151,081 | |
Investments in affiliated issuers | | | (59,675 | ) |
Swap agreements | | | (162,566 | ) |
Futures contracts | | | (6,123 | ) |
Net change in unrealized appreciation (depreciation) | | | 922,717 | |
Net realized and unrealized loss | | | (1,671,911 | ) |
Net decrease in net assets resulting from operations | | $ | (1,646,064 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 159 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 25,847 | | | $ | (6,714 | ) |
Net realized gain (loss) on investments | | | (2,594,628 | ) | | | 3,842,712 | |
Net change in unrealized appreciation (depreciation) on investments | | | 922,717 | | | | 4,745,310 | |
Net increase (decrease) in net assets resulting from operations | | | (1,646,064 | ) | | | 8,581,308 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (73,239 | ) | | | (219,502 | ) |
C-Class | | | (39,310 | ) | | | (100,677 | ) |
H-Class | | | (328,493 | ) | | | (667,482 | ) |
Total distributions to shareholders | | | (441,042 | ) | | | (987,661 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 14,137,715 | | | | 16,573,038 | |
C-Class | | | 757,554 | | | | 1,170,506 | |
H-Class | | | 112,056,497 | | | | 55,034,990 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 71,724 | | | | 124,588 | |
C-Class | | | 38,732 | | | | 100,157 | |
H-Class | | | 327,965 | | | | 665,388 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (12,752,208 | ) | | | (17,549,236 | ) |
C-Class | | | (723,714 | ) | | | (806,262 | ) |
H-Class | | | (104,478,439 | ) | | | (68,232,740 | ) |
Net increase (decrease) from capital share transactions | | | 9,435,826 | | | | (12,919,571 | ) |
Net increase (decrease) in net assets | | | 7,348,720 | | | | (5,325,924 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 23,293,630 | | | | 28,619,554 | |
End of year | | $ | 30,642,350 | | | $ | 23,293,630 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 162,368 | | | | 229,982 | |
C-Class | | | 9,166 | | | | 16,492 | |
H-Class | | | 1,271,008 | | | | 787,958 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 807 | | | | 1,651 | |
C-Class | | | 458 | | | | 1,384 | |
H-Class | | | 3,685 | | | | 8,811 | |
Shares redeemed | | | | | | | | |
A-Class | | | (145,006 | ) | | | (242,246 | ) |
C-Class | | | (8,752 | ) | | | (11,565 | ) |
H-Class | | | (1,218,778 | ) | | | (1,009,796 | ) |
Net increase (decrease) in shares | | | 74,956 | | | | (217,329 | ) |
160 | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 82.82 | | | $ | 57.33 | | | $ | 70.54 | | | $ | 66.00 | | | $ | 58.25 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .05 | | | | .02 | | | | .47 | | | | .55 | | | | .34 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.32 | e | | | 29.21 | | | | (10.67 | ) | | | 4.78 | | | | 9.91 | |
Total from investment operations | | | 4.37 | | | | 29.23 | | | | (10.20 | ) | | | 5.33 | | | | 10.25 | |
Less distributions from: |
Net investment income | | | — | | | | (.06 | ) | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) |
Net realized gains | | | (1.10 | ) | | | (3.68 | ) | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) |
Total distributions | | | (1.10 | ) | | | (3.74 | ) | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) |
Net asset value, end of period | | $ | 86.09 | | | $ | 82.82 | | | $ | 57.33 | | | $ | 70.54 | | | $ | 66.00 | |
|
Total Returnb | | | 5.23 | % | | | 51.61 | % | | | (15.38 | %) | | | 8.15 | % | | | 17.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,632 | | | $ | 2,952 | | | $ | 2,652 | | | $ | 19,022 | | | $ | 20,953 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.05 | % | | | 0.02 | % | | | 0.65 | % | | | 0.80 | % | | | 0.54 | % |
Total expensesc | | | 1.56 | % | | | 1.69 | % | | | 1.66 | % | | | 1.61 | % | | | 1.56 | % |
Net expensesd | | | 1.55 | % | | | 1.68 | % | | | 1.64 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 240 | % | | | 110 | % | | | 186 | % | | | 465 | % | | | 168 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 79.25 | | | $ | 55.37 | | | $ | 68.74 | | | $ | 64.81 | | | $ | 57.66 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.56 | ) | | | (.49 | ) | | | (.02 | ) | | | .03 | | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.11 | e | | | 28.11 | | | | (10.34 | ) | | | 4.69 | | | | 9.74 | |
Total from investment operations | | | 3.55 | | | | 27.62 | | | | (10.36 | ) | | | 4.72 | | | | 9.65 | |
Less distributions from: |
Net investment income | | | — | | | | (.06 | ) | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) |
Net realized gains | | | (1.10 | ) | | | (3.68 | ) | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) |
Total distributions | | | (1.10 | ) | | | (3.74 | ) | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) |
Net asset value, end of period | | $ | 81.70 | | | $ | 79.25 | | | $ | 55.37 | | | $ | 68.74 | | | $ | 64.81 | |
|
Total Returnb | | | 4.43 | % | | | 50.52 | % | | | (16.03 | %) | | | 7.37 | % | | | 16.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,001 | | | $ | 2,842 | | | $ | 1,637 | | | $ | 1,731 | | | $ | 3,294 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.68 | %) | | | (0.70 | %) | | | (0.03 | %) | | | 0.04 | % | | | (0.14 | %) |
Total expensesc | | | 2.32 | % | | | 2.44 | % | | | 2.42 | % | | | 2.36 | % | | | 2.30 | % |
Net expensesd | | | 2.31 | % | | | 2.43 | % | | | 2.40 | % | | | 2.36 | % | | | 2.36 | % |
Portfolio turnover rate | | | 240 | % | | | 110 | % | | | 186 | % | | | 465 | % | | | 168 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 161 |
DOW JONES INDUSTRIAL AVERAGE® FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 82.88 | | | $ | 57.36 | | | $ | 70.59 | | | $ | 66.04 | | | $ | 58.28 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .17 | | | | .03 | | | | .51 | | | | .55 | | | | .39 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.20 | e | | | 29.23 | | | | (10.73 | ) | | | 4.79 | | | | 9.87 | |
Total from investment operations | | | 4.37 | | | | 29.26 | | | | (10.22 | ) | | | 5.34 | | | | 10.26 | |
Less distributions from: |
Net investment income | | | — | | | | (.06 | ) | | | (.31 | ) | | | (.64 | ) | | | (.35 | ) |
Net realized gains | | | (1.10 | ) | | | (3.68 | ) | | | (2.70 | ) | | | (.15 | ) | | | (2.15 | ) |
Total distributions | | | (1.10 | ) | | | (3.74 | ) | | | (3.01 | ) | | | (.79 | ) | | | (2.50 | ) |
Net asset value, end of period | | $ | 86.15 | | | $ | 82.88 | | | $ | 57.36 | | | $ | 70.59 | | | $ | 66.04 | |
|
Total Return | | | 5.23 | % | | | 51.64 | % | | | (15.40 | %) | | | 8.16 | % | | | 17.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 23,009 | | | $ | 17,500 | | | $ | 24,331 | | | $ | 40,617 | | | $ | 68,766 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.19 | % | | | 0.05 | % | | | 0.70 | % | | | 0.80 | % | | | 0.61 | % |
Total expensesc | | | 1.57 | % | | | 1.70 | % | | | 1.66 | % | | | 1.62 | % | | | 1.55 | % |
Net expensesd | | | 1.55 | % | | | 1.69 | % | | | 1.64 | % | | | 1.62 | % | | | 1.55 | % |
Portfolio turnover rate | | | 240 | % | | | 110 | % | | | 186 | % | | | 465 | % | | | 168 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | 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 | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss 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. |
162 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, the Government Long Bond 1.2x Strategy Fund Investor Class returned -1.71%.
The Price Movement of the Long Treasury Bond was -2.04% for the period.
The return of a comparison index, the Bloomberg U.S. Long Treasury Index was -1.42%.
As prices of long-term Treasury bonds fell slightly over the period, their yields ticked up, from 2.38% to 2.44%, masking considerable volatility. The yield at the beginning of the period was at its post-pandemic high as the economy emerged quicker than expected from the COVID shock and investors shifted from Treasuries to higher-yielding corners of the market. The yield declined through the summer, as economic growth forecasts slipped on concerns about the Delta variant, labor shortages, and supply-chain issues, and markets adopted the Fed’s view that inflation would be transitory. Yields bumped up over 2% in October as inflation fears continued to grip the markets, but fell dramatically in November to their lows of the period, as the gap between long-term and short-term government bond yields narrowed. Short-term rates jumped when markets realized the Fed might have to raise rates faster and sooner, while long term yields fell on concern about the Omicron variant’s effect on the strength of the economy, flattening the yield curve. In December, the Fed signaled a more aggressive unwinding of its monthly bond buying and markets began anticipating multiple rate hikes in 2022, as it grappled with the highest levels of inflation in nearly four decades, which lifted the 30-year Treasury yield to 1.90% by the end of the year. Yields rose quickly from that point, as the Fed raised its key rate by 25 basis points on March 16 and later referenced their desire to get policy back to a neutral setting rapidly, with many Fed watchers expecting the central bank to raise rates by 50 basis points at the subsequent three meetings.
Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the most efficient manner possible and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amounts and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 163 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 | 79.2% |
Guggenheim Strategy Fund II | 9.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 8.7% |
Total | 96.9% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
164 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (1.71%) | 3.32% | 4.11% |
A-Class Shares | (1.96%) | 3.05% | 3.91% |
A-Class Shares with sales charge‡ | (6.61%) | 2.05% | 3.40% |
C-Class Shares | (2.71%) | 2.28% | 3.09% |
C-Class Shares with CDSC§ | (3.68%) | 2.28% | 3.09% |
Bloomberg U.S. Long Treasury Index | (1.42%) | 3.90% | 3.97% |
Price Movement of Long Treasury Bond ** | (2.04%) | 1.88% | 1.28% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (1.95%) | 3.04% | 3.57% |
Bloomberg U.S. Long Treasury Index | (1.42%) | 3.90% | 4.25% |
Price Movement of Long Treasury Bond ** | (2.04%) | 1.88% | 1.84% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Long Treasury Index and the Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
** | Does not reflect any interest. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 165 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 17.7% |
Guggenheim Strategy Fund II1 | | | 233,323 | | | $ | 5,728,073 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 564,487 | | | | 5,526,328 | |
Total Mutual Funds | | | | |
(Cost $11,419,354) | | | | | | | 11,254,401 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. GOVERNMENT SECURITIES†† - 79.2% |
U.S. Treasury Bonds |
2.25% due 02/15/52 | | $ | 52,500,000 | | | | 50,375,391 | |
Total U.S. Government Securities | | | | |
(Cost $49,536,030) | | | | | | | 50,375,391 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 2.2% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 1,392,000 | | | | 1,391,806 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,391,842) | | | | | | | 1,391,806 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 2.6% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 1,100,142 | | | | 1,100,142 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 423,726 | | | | 423,726 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 110,169 | | | | 110,169 | |
Total Repurchase Agreements | | | | |
(Cost $1,634,037) | | | | | | | 1,634,037 | |
| | | | | | | | | |
Total Investments - 101.7% | | | | |
(Cost $63,981,263) | | $ | 64,655,635 | |
Other Assets & Liabilities, net - (1.7)% | | | (1,084,631 | ) |
Total Net Assets - 100.0% | | $ | 63,571,004 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 170 | | | | Jun 2022 | | | $ | 30,105,938 | | | $ | 75,042 | |
** | 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 March 31, 2022. |
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. |
166 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 11,254,401 | | | $ | — | | | $ | — | | | $ | 11,254,401 | |
U.S. Government Securities | | | — | | | | 50,375,391 | | | | — | | | | 50,375,391 | |
U.S. Treasury Bills | | | — | | | | 1,391,806 | | | | — | | | | 1,391,806 | |
Repurchase Agreements | | | — | | | | 1,634,037 | | | | — | | | | 1,634,037 | |
Interest Rate Futures Contracts** | | | 75,042 | | | | — | | | | — | | | | 75,042 | |
Total Assets | | $ | 11,329,443 | | | $ | 53,401,234 | | | $ | — | | | $ | 64,730,677 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 5,565,542 | | | $ | 6,000,000 | | | $ | (5,740,000 | ) | | $ | 3,290 | | | $ | (100,759 | ) | | $ | 5,728,073 | | | | 233,323 | | | $ | 68,768 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 5,608,852 | | | | 5,000,000 | | | | (4,990,000 | ) | | | (7,174 | ) | | | (85,350 | ) | | | 5,526,328 | | | | 564,487 | | | | 44,756 | |
| | | $ | 11,174,394 | | | $ | 11,000,000 | | | $ | (10,730,000 | ) | | $ | (3,884 | ) | | $ | (186,109 | ) | | $ | 11,254,401 | | | | | | | $ | 113,524 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 167 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $50,927,872) | | $ | 51,767,197 | |
Investments in affiliated issuers, at value (cost $11,419,354) | | | 11,254,401 | |
Repurchase agreements, at value (cost $1,634,037) | | | 1,634,037 | |
Segregated cash with broker | | | 64,682 | |
Receivables: |
Securities sold | | | 31,376,672 | |
Fund shares sold | | | 432,176 | |
Interest | | | 238,313 | |
Variation margin on futures contracts | | | 221,623 | |
Dividends | | | 12,898 | |
Total assets | | | 97,001,999 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 33,264,731 | |
Management fees | | | 43,128 | |
Transfer agent and administrative fees | | | 19,372 | |
Distribution and service fees | | | 15,476 | |
Portfolio accounting fees | | | 8,845 | |
Distributions to shareholders | | | 7,165 | |
Trustees’ fees* | | | 1,049 | |
Miscellaneous | | | 71,229 | |
Total liabilities | | | 33,430,995 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 63,571,004 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 88,956,276 | |
Total distributable earnings (loss) | | | (25,385,272 | ) |
Net assets | | $ | 63,571,004 | |
| | | | | |
Investor Class: |
Net assets | | $ | 11,904,050 | |
Capital shares outstanding | | | 322,230 | |
Net asset value per share | | $ | 36.94 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,231,048 | |
Capital shares outstanding | | | 59,753 | |
Net asset value per share | | $ | 37.34 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 39.20 | |
| | | | | |
C-Class: |
Net assets | | $ | 148,818 | |
Capital shares outstanding | | | 4,065 | |
Net asset value per share | | $ | 36.61 | |
| | | | | |
H-Class: |
Net assets | | $ | 49,287,088 | |
Capital shares outstanding | | | 1,318,793 | |
Net asset value per share | | $ | 37.37 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 113,524 | |
Interest | | | 1,483,789 | |
Total investment income | | | 1,597,313 | |
| | | | | |
Expenses: |
Management fees | | | 423,761 | |
Distribution and service fees: |
A-Class | | | 6,305 | |
C-Class | | | 6,380 | |
H-Class | | | 138,469 | |
Transfer agent and administrative fees | | | 195,335 | |
Portfolio accounting fees | | | 84,752 | |
Professional fees | | | 39,600 | |
Trustees’ fees* | | | 14,127 | |
Custodian fees | | | 11,430 | |
Miscellaneous | | | 44,171 | |
Total expenses | | | 964,330 | |
Less: |
Expenses waived by Adviser | | | (11,960 | ) |
Net expenses | | | 952,370 | |
Net investment income | | | 644,943 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (7,910,155 | ) |
Investments in affiliated issuers | | | (3,884 | ) |
Futures contracts | | | (1,002,692 | ) |
Net realized loss | | | (8,916,731 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 2,073,518 | |
Investments in affiliated issuers | | | (186,109 | ) |
Futures contracts | | | (277,223 | ) |
Net change in unrealized appreciation (depreciation) | | | 1,610,186 | |
Net realized and unrealized loss | | | (7,306,545 | ) |
Net decrease in net assets resulting from operations | | $ | (6,661,602 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
168 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 644,943 | | | $ | 254,806 | |
Net realized loss on investments | | | (8,916,731 | ) | | | (6,584,967 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,610,186 | | | | (19,266,514 | ) |
Net decrease in net assets resulting from operations | | | (6,661,602 | ) | | | (25,596,675 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (247,228 | ) | | | (4,960,713 | ) |
A-Class | | | (16,711 | ) | | | (901,622 | ) |
C-Class | | | — | | | | (236,487 | ) |
H-Class | | | (380,952 | ) | | | (9,855,303 | ) |
Total distributions to shareholders | | | (644,891 | ) | | | (15,954,125 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 1,284,348,371 | | | | 1,148,184,621 | |
A-Class | | | 2,191,417 | | | | 3,059,120 | |
C-Class | | | 1,249,077 | | | | 2,804,995 | |
H-Class | | | 870,390,775 | | | | 1,008,418,309 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 226,961 | | | | 4,881,667 | |
A-Class | | | 15,380 | | | | 837,688 | |
C-Class | | | — | | | | 220,470 | |
H-Class | | | 380,769 | | | | 9,847,832 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (1,331,286,210 | ) | | | (1,108,072,277 | ) |
A-Class | | | (1,404,749 | ) | | | (3,431,050 | ) |
C-Class | | | (1,223,686 | ) | | | (3,616,674 | ) |
H-Class | | | (910,236,231 | ) | | | (985,371,192 | ) |
Net increase (decrease) from capital share transactions | | | (85,348,126 | ) | | | 77,763,509 | |
Net increase (decrease) in net assets | | | (92,654,619 | ) | | | 36,212,709 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 156,225,623 | | | | 120,012,914 | |
End of year | | $ | 63,571,004 | | | $ | 156,225,623 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 32,025,430 | | | | 18,090,039 | |
A-Class | | | 52,021 | | | | 49,028 | |
C-Class | | | 30,512 | | | | 48,918 | |
H-Class | | | 20,875,218 | | | | 16,125,875 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 5,560 | | | | 104,624 | |
A-Class | | | 371 | | | | 17,803 | |
C-Class | | | — | | | | 4,770 | |
H-Class | | | 9,240 | | | | 209,359 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (33,537,449 | ) | | | (16,877,614 | ) |
A-Class | | | (34,615 | ) | | | (62,007 | ) |
C-Class | | | (30,946 | ) | | | (66,029 | ) |
H-Class | | | (21,782,726 | ) | | | (15,162,526 | ) |
Net increase (decrease) in shares | | | (2,387,384 | ) | | | 2,482,240 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 169 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.93 | | | $ | 74.11 | | | $ | 53.22 | | | $ | 51.21 | | | $ | 50.49 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .39 | | | | .25 | | | | .77 | | | | .96 | | | | .80 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.00 | ) | | | (14.59 | ) | | | 22.86 | | | | 2.00 | | | | .72 | |
Total from investment operations | | | (.61 | ) | | | (14.34 | ) | | | 23.63 | | | | 2.96 | | | | 1.52 | |
Less distributions from: |
Net investment income | | | (.38 | ) | | | (.25 | ) | | | (.77 | ) | | | (.95 | ) | | | (.80 | ) |
Net realized gains | | | — | | | | (21.59 | ) | | | (1.97 | ) | | | — | | | | — | |
Total distributions | | | (.38 | ) | | | (21.84 | ) | | | (2.74 | ) | | | (.95 | ) | | | (.80 | ) |
Net asset value, end of period | | $ | 36.94 | | | $ | 37.93 | | | $ | 74.11 | | | $ | 53.22 | | | $ | 51.21 | |
|
Total Return | | | (1.71 | %) | | | (24.72 | %) | | | 45.84 | % | | | 5.93 | % | | | 3.01 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,904 | | | $ | 69,360 | | | $ | 37,919 | | | $ | 67,103 | | | $ | 37,496 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.95 | % | | | 0.40 | % | | | 1.28 | % | | | 1.94 | % | | | 1.52 | % |
Total expensesb | | | 0.96 | % | | | 1.07 | % | | | 1.07 | % | | | 1.07 | % | | | 0.98 | % |
Net expensesd | | | 0.95 | % | | | 1.05 | % | | | 1.05 | % | | | 1.06 | % | | | 0.98 | % |
Portfolio turnover rate | | | 2,153 | % | | | 1,938 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.34 | | | $ | 74.70 | | | $ | 53.63 | | | $ | 51.62 | | | $ | 50.87 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .28 | | | | .11 | | | | .72 | | | | .83 | | | | .69 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.00 | ) | | | (14.78 | ) | | | 22.95 | | | | 2.01 | | | | .74 | |
Total from investment operations | | | (.72 | ) | | | (14.67 | ) | | | 23.67 | | | | 2.84 | | | | 1.43 | |
Less distributions from: |
Net investment income | | | (.28 | ) | | | (.10 | ) | | | (.63 | ) | | | (.83 | ) | | | (.68 | ) |
Net realized gains | | | — | | | | (21.59 | ) | | | (1.97 | ) | | | — | | | | — | |
Total distributions | | | (.28 | ) | | | (21.69 | ) | | | (2.60 | ) | | | (.83 | ) | | | (.68 | ) |
Net asset value, end of period | | $ | 37.34 | | | $ | 38.34 | | | $ | 74.70 | | | $ | 53.63 | | | $ | 51.62 | |
|
Total Returnc | | | (1.96 | %) | | | (24.98 | %) | | | 45.48 | % | | | 5.63 | % | | | 2.78 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,231 | | | $ | 1,610 | | | $ | 2,775 | | | $ | 24,639 | | | $ | 6,158 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.66 | % | | | 0.18 | % | | | 1.24 | % | | | 1.65 | % | | | 1.31 | % |
Total expensesb | | | 1.21 | % | | | 1.30 | % | | | 1.32 | % | | | 1.33 | % | | | 1.23 | % |
Net expensesd | | | 1.19 | % | | | 1.29 | % | | | 1.30 | % | | | 1.32 | % | | | 1.23 | % |
Portfolio turnover rate | | | 2,153 | % | | | 1,938 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % |
170 | THE RYDEX FUNDS 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.
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.63 | | | $ | 74.15 | | | $ | 53.27 | | | $ | 51.24 | | | $ | 50.52 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.05 | ) | | | (.33 | ) | | | .13 | | | | .45 | | | | .27 | |
Net gain (loss) on investments (realized and unrealized) | | | (.97 | ) | | | (14.60 | ) | | | 22.92 | | | | 2.04 | | | | .73 | |
Total from investment operations | | | (1.02 | ) | | | (14.93 | ) | | | 23.05 | | | | 2.49 | | | | 1.00 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.20 | ) | | | (.46 | ) | | | (.28 | ) |
Net realized gains | | | — | | | | (21.59 | ) | | | (1.97 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (21.59 | ) | | | (2.17 | ) | | | (.46 | ) | | | (.28 | ) |
Net asset value, end of period | | $ | 36.61 | | | $ | 37.63 | | | $ | 74.15 | | | $ | 53.27 | | | $ | 51.24 | |
|
Total Returnc | | | (2.71 | %) | | | (25.55 | %) | | | 44.41 | % | | | 4.92 | % | | | 1.97 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 149 | | | $ | 169 | | | $ | 1,249 | | | $ | 607 | | | $ | 724 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.12 | %) | | | (0.55 | %) | | | 0.21 | % | | | 0.91 | % | | | 0.52 | % |
Total expensesb | | | 1.96 | % | | | 2.05 | % | | | 2.08 | % | | | 2.07 | % | | | 1.98 | % |
Net expensesd | | | 1.94 | % | | | 2.03 | % | | | 2.06 | % | | | 2.06 | % | | | 1.98 | % |
Portfolio turnover rate | | | 2,153 | % | | | 1,938 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.38 | | | $ | 74.75 | | | $ | 53.65 | | | $ | 51.64 | | | $ | 50.91 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .28 | | | | .13 | | | | .61 | | | | .84 | | | | .69 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.01 | ) | | | (14.82 | ) | | | 23.09 | | | | 2.01 | | | | .72 | |
Total from investment operations | | | (.73 | ) | | | (14.69 | ) | | | 23.70 | | | | 2.85 | | | | 1.41 | |
Less distributions from: |
Net investment income | | | (.28 | ) | | | (.09 | ) | | | (.63 | ) | | | (.84 | ) | | | (.68 | ) |
Net realized gains | | | — | | | | (21.59 | ) | | | (1.97 | ) | | | — | | | | — | |
Total distributions | | | (.28 | ) | | | (21.68 | ) | | | (2.60 | ) | | | (.84 | ) | | | (.68 | ) |
Net asset value, end of period | | $ | 37.37 | | | $ | 38.38 | | | $ | 74.75 | | | $ | 53.65 | | | $ | 51.64 | |
|
Total Return | | | (1.95 | %) | | | (24.98 | %) | | | 45.55 | % | | | 5.63 | % | | | 2.74 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 49,287 | | | $ | 85,087 | | | $ | 78,070 | | | $ | 42,397 | | | $ | 76,018 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.69 | % | | | 0.23 | % | | | 1.02 | % | | | 1.67 | % | | | 1.31 | % |
Total expensesb | | | 1.21 | % | | | 1.29 | % | | | 1.32 | % | | | 1.32 | % | | | 1.23 | % |
Net expensesd | | | 1.19 | % | | | 1.28 | % | | | 1.30 | % | | | 1.31 | % | | | 1.23 | % |
Portfolio turnover rate | | | 2,153 | % | | | 1,938 | % | | | 1,130 | % | | | 1,182 | % | | | 1,468 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 171 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contract on a specified debt instrument on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, the Inverse Government Long Bond Strategy Fund Investor Class returned -4.46%.
The Price Movement of the Long Treasury Bond was -2.04% for the period.
The return of a comparison index, the Bloomberg U.S. Long Treasury Index was -1.42%.
As prices of long-term Treasury bonds fell slightly over the period, their yields ticked up, from 2.38% to 2.44%, masking considerable volatility. The yield at the beginning of the period was at its post-pandemic high as the economy emerged quicker than expected from the COVID shock and investors shifted from Treasuries to higher-yielding corners of the market. The yield declined through the summer, as economic growth forecasts slipped on concerns about the Delta variant, labor shortages, and supply-chain issues, and markets adopted the Fed’s view that inflation would be transitory. Yields bumped up over 2% in October as inflation fears continued to grip the markets, but fell dramatically in November to their lows of the period, as the gap between long-term and short-term government bond yields narrowed. Short-term rates jumped when markets realized the Fed might have to raise rates faster and sooner, while long term yields fell on concern about the Omicron variant’s effect on the strength of the economy, flattening the yield curve. In December, the Fed signaled a more aggressive unwinding of its monthly bond buying and markets began anticipating multiple rate hikes in 2022, as it grappled with the highest levels of inflation in nearly four decades, which lifted the 30-year Treasury yield to 1.90% by the end of the year. Yields rose quickly from that point, as the Fed raised its key rate by 25 basis points on March 16 and later referenced their desire to get policy back to a neutral setting rapidly, with many Fed watchers expecting the central bank to raise rates by 50 basis points at the subsequent three meetings.
Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the most efficient manner possible and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amounts and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
172 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 Ultra Short Duration Fund — Institutional Class | 5.4% |
Guggenheim Strategy Fund II | 5.4% |
Total | 10.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 173 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | (4.46%) | (5.77%) | (5.75%) |
A-Class Shares | (4.69%) | (6.00%) | (5.98%) |
A-Class Shares with sales charge‡ | (9.23%) | (6.91%) | (6.44%) |
C-Class Shares | (5.41%) | (6.70%) | (6.68%) |
C-Class Shares with CDSC§ | (6.36%) | (6.70%) | (6.68%) |
Bloomberg U.S. Long Treasury Index | (1.42%) | 3.90% | 3.97% |
Price Movement of Long Treasury Bond** | (2.04%) | 1.88% | 1.28% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | (4.70%) | (5.98%) | (6.33%) |
Bloomberg U.S. Long Treasury Index | (1.42%) | 3.90% | 4.25% |
Price Movement of Long Treasury Bond** | (2.04%) | 1.88% | 1.84% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg 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. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
** | Does not reflect any interest. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
174 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 10.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 528,512 | | | $ | 5,174,130 | |
Guggenheim Strategy Fund II1 | | | 210,588 | | | | 5,169,933 | |
Total Mutual Funds | | | | |
(Cost $10,470,929) | | | | | | | 10,344,063 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 103.7% |
Federal Home Loan Bank |
0.05% due 04/01/222 | | $ | 35,000,000 | | | | 35,000,000 | |
0.24% due 04/27/222 | | | 13,300,000 | | | | 13,297,695 | |
0.37% due 05/26/222 | | | 10,000,000 | | | | 9,992,659 | |
0.17% due 04/27/222 | | | 5,000,000 | | | | 4,999,350 | |
0.14% due 04/06/222 | | | 3,000,000 | | | | 2,999,942 | |
0.15% due 04/08/222 | | | 2,100,000 | | | | 2,099,939 | |
0.81% due 09/14/222 | | | 1,000,000 | | | | 996,443 | |
Federal Farm Credit Bank |
0.10% due 04/01/222 | | | 30,000,000 | | | | 30,000,000 | |
Total Federal Agency Discount Notes | | | | |
(Cost $99,387,537) | | | | | | | 99,386,028 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 38.9% |
Federal Home Loan Bank |
0.27% (SOFR, Rate Floor: 0.00%) due 04/25/22◊ | | | 21,000,000 | | | | 21,000,126 | |
Federal Farm Credit Bank |
0.32% (U.S. Prime Rate - 3.18%, Rate Floor: 0.00%) due 10/25/22◊ | | | 5,000,000 | | | | 4,999,565 | |
0.65% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/22◊ | | | 3,000,000 | | | | 3,004,020 | |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | | 2,220,000 | | | | 2,221,132 | |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | | 1,000,000 | | | | 999,980 | |
Fannie Mae |
0.46% (SOFR + 0.19%, Rate Floor: 0.00%) due 05/27/22◊ | | | 5,000,000 | | | | 5,001,475 | |
Total Federal Agency Notes | | | | |
(Cost $37,221,403) | | | | | | | 37,226,298 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.5% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 1,399,000 | | | | 1,398,805 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,398,841) | | | | | | | 1,398,805 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 1.0% |
U.S. Treasury Notes |
1.75% due 05/15/22 | | | 1,000,000 | | | | 1,001,772 | |
Total U.S. Government Securities | | | | |
(Cost $1,002,037) | | | | | | | 1,001,772 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 166.6% |
Individual Repurchase Agreements5 | | | | | | | | |
Mizuho Securities USA LLC
issued 03/31/22 at 0.10%
due 04/01/22 (secured by a U.S. Treasury Bond, at a rate of 0.10% and maturing 02/15/52 as collateral, with a value of $86,452,102) to be repurchased at $84,757,197 | | | 84,756,962 | | | | 84,756,962 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.10%
due 04/01/22 (secured by a U.S. Treasury Bond, at a rate of 0.10% and maturing 02/15/52 as collateral, with a value of $59,445,600) to be repurchased at $58,280,162 | | | 58,280,000 | | | | 58,280,000 | |
Joint Repurchase Agreements5 | | | | | | | | |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 11,132,401 | | | | 11,132,401 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 4,287,704 | | | | 4,287,704 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 1,114,803 | | | | 1,114,803 | |
Total Repurchase Agreements | | | | |
(Cost $159,571,870) | | | | | | | 159,571,870 | |
| | | | | | | | | |
Total Investments - 322.5% | | | | |
(Cost $309,052,617) | | $ | 308,928,836 | |
| | | | | | | | | |
U.S. Government Securities Sold Short†† - (89.5)% |
U.S. Treasury Bonds |
2.25% due 02/15/52 | | | 89,400,000 | | | | (85,782,094 | ) |
| | | | | | | | | |
Total U.S. Government Securities Sold Short - (89.5)% | | | | |
(Proceeds $89,735,097) | | | (85,782,094 | ) |
Other Assets & Liabilities, net - (133.0)% | | | (127,356,534 | ) |
Total Net Assets - 100.0% | | $ | 95,790,208 | |
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 | | | 67 | | | | Jun 2022 | | | $ | 11,865,281 | | | $ | 279,061 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 175 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as short security collateral at March 31, 2022. |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 10,344,063 | | | $ | — | | | $ | — | | | $ | 10,344,063 | |
Federal Agency Discount Notes | | | — | | | | 99,386,028 | | | | — | | | | 99,386,028 | |
Federal Agency Notes | | | — | | | | 37,226,298 | | | | — | | | | 37,226,298 | |
U.S. Treasury Bills | | | — | | | | 1,398,805 | | | | — | | | | 1,398,805 | |
U.S. Government Securities | | | — | | | | 1,001,772 | | | | — | | | | 1,001,772 | |
Repurchase Agreements | | | — | | | | 159,571,870 | | | | — | | | | 159,571,870 | |
Interest Rate Futures Contracts** | | | 279,061 | | | | — | | | | — | | | | 279,061 | |
Total Assets | | $ | 10,623,124 | | | $ | 298,584,773 | | | $ | — | | | $ | 309,207,897 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
U.S. Government Securities Sold Short | | $ | — | | | $ | 85,782,094 | | | $ | — | | | $ | 85,782,094 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
176 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 5,260,486 | | | $ | — | | | $ | — | | | $ | — | | | $ | (90,553 | ) | | $ | 5,169,933 | | | | 210,588 | | | $ | 74,576 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 5,263,977 | | | | — | | | | — | | | | — | | | | (89,847 | ) | | | 5,174,130 | | | | 528,512 | | | | 48,352 | |
| | | $ | 10,524,463 | | | $ | — | | | $ | — | | | $ | — | | | $ | (180,400 | ) | | $ | 10,344,063 | | | | | | | $ | 122,928 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 177 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $139,009,818) | | $ | 139,012,903 | |
Investments in affiliated issuers, at value (cost $10,470,929) | | | 10,344,063 | |
Repurchase agreements, at value (cost $159,571,870) | | | 159,571,870 | |
Receivables: |
Fund shares sold | | | 510,622 | |
Interest | | | 16,295 | |
Dividends | | | 11,811 | |
Total assets | | | 309,467,564 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $89,735,097) | | | 85,782,094 | |
Payable for: |
Fund shares redeemed | | | 66,727,324 | |
Securities purchased | | | 60,450,469 | |
Interest payable on short sales | | | 426,257 | |
Variation margin on futures contracts | | | 101,877 | |
Management fees | | | 90,292 | |
Transfer agent and administrative fees | | | 27,295 | |
Portfolio accounting fees | | | 10,147 | |
Distribution and service fees | | | 4,069 | |
Trustees’ fees* | | | 831 | |
Miscellaneous | | | 56,701 | |
Total liabilities | | | 213,677,356 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 95,790,208 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 359,244,573 | |
Total distributable earnings (loss) | | | (263,454,365 | ) |
Net assets | | | 95,790,208 | |
| | | | | |
Investor Class: |
Net assets | | $ | 78,435,579 | |
Capital shares outstanding | | | 588,422 | |
Net asset value per share | | $ | 133.30 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,385,066 | |
Capital shares outstanding | | | 34,561 | |
Net asset value per share | | $ | 126.88 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 133.21 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,047,719 | |
Capital shares outstanding | | | 9,714 | |
Net asset value per share | | $ | 107.86 | |
| | | | | |
H-Class: |
Net assets | | $ | 11,921,844 | |
Capital shares outstanding | | | 93,566 | |
Net asset value per share | | $ | 127.42 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
178 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 122,928 | |
Interest | | | 48,258 | |
Total investment income | | | 171,186 | |
| | | | | |
Expenses: |
Management fees | | | 552,409 | |
Distribution and service fees: |
A-Class | | | 10,797 | |
C-Class | | | 10,737 | |
H-Class | | | 21,077 | |
Transfer agent and administrative fees | | | 172,790 | |
Interest expense | | | 1,155,399 | |
Portfolio accounting fees | | | 61,378 | |
Professional fees | | | 34,859 | |
Trustees’ fees* | | | 11,235 | |
Custodian fees | | | 8,388 | |
Line of credit fees | | | 11 | |
Miscellaneous | | | 25,603 | |
Total expenses | | | 2,064,683 | |
Less: |
Expenses waived by Adviser | | | (13,058 | ) |
Net expenses | | | 2,051,625 | |
Net investment loss | | | (1,880,439 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | 15,571 | |
Investments sold short | | | (5,735,753 | ) |
Futures contracts | | | (1,762,247 | ) |
Net realized loss | | | (7,482,429 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (17,889 | ) |
Investments in affiliated issuers | | | (180,400 | ) |
Investments sold short | | | 1,483,446 | |
Futures contracts | | | (49,356 | ) |
Net change in unrealized appreciation (depreciation) | | | 1,235,801 | |
Net realized and unrealized loss | | | (6,246,628 | ) |
Net decrease in net assets resulting from operations | | $ | (8,127,067 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 179 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (1,880,439 | ) | | $ | (1,297,801 | ) |
Net realized gain (loss) on investments | | | (7,482,429 | ) | | | 6,905,334 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,235,801 | | | | 5,657,175 | |
Net increase (decrease) in net assets resulting from operations | | | (8,127,067 | ) | | | 11,264,708 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | — | | | | (56,720 | ) |
A-Class | | | — | | | | (14,821 | ) |
C-Class | | | — | | | | (6,967 | ) |
H-Class | | | — | | | | (44,328 | ) |
Total distributions to shareholders | | | — | | | | (122,836 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 1,277,221,857 | | | | 997,313,292 | |
A-Class | | | 1,744,144 | | | | 916,083 | |
C-Class | | | 228,458 | | | | 301,809 | |
H-Class | | | 130,450,921 | | | | 319,883,148 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | — | | | | 52,751 | |
A-Class | | | — | | | | 13,927 | |
C-Class | | | — | | | | 6,457 | |
H-Class | | | — | | | | 44,310 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (1,228,728,871 | ) | | | (990,204,987 | ) |
A-Class | | | (1,898,962 | ) | | | (1,748,207 | ) |
C-Class | | | (584,995 | ) | | | (1,576,934 | ) |
H-Class | | | (125,148,295 | ) | | | (319,678,304 | ) |
Net increase from capital share transactions | | | 53,284,257 | | | | 5,323,345 | |
Net increase in net assets | | | 45,157,190 | | | | 16,465,217 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 50,633,018 | | | | 34,167,801 | |
End of year | | $ | 95,790,208 | | | $ | 50,633,018 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 9,767,235 | | | | 8,356,273 | |
A-Class | | | 14,361 | | | | 7,562 | |
C-Class | | | 2,213 | | | | 2,878 | |
H-Class | | | 1,032,033 | | | | 2,875,315 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | — | | | | 440 | |
A-Class | | | — | | | | 122 | |
C-Class | | | — | | | | 66 | |
H-Class | | | — | | | | 386 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (9,443,034 | ) | | | (8,275,612 | ) |
A-Class | | | (15,839 | ) | | | (15,730 | ) |
C-Class | | | (5,651 | ) | | | (15,918 | ) |
H-Class | | | (994,354 | ) | | | (2,873,346 | ) |
Net increase in shares | | | 356,964 | | | | 62,436 | |
180 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 139.52 | | | $ | 114.58 | | | $ | 165.45 | | | $ | 173.19 | | | $ | 180.08 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.89 | ) | | | (1.30 | ) | | | .60 | | | | (.65 | ) | | | (2.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.33 | ) | | | 26.68 | | | | (51.47 | ) | | | (7.09 | ) | | | (4.09 | ) |
Total from investment operations | | | (6.22 | ) | | | 25.38 | | | | (50.87 | ) | | | (7.74 | ) | | | (6.89 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 133.30 | | | $ | 139.52 | | | $ | 114.58 | | | $ | 165.45 | | | $ | 173.19 | |
|
Total Return | | | (4.46 | %) | | | 22.19 | % | | | (30.73 | %) | | | (4.47 | %) | | | (3.83 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 78,436 | | | $ | 36,863 | | | $ | 20,983 | | | $ | 43,149 | | | $ | 78,110 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.02 | %) | | | (2.46 | %) | | | 0.40 | % | | | (0.37 | %) | | | (1.63 | %) |
Total expensesb | | | 3.31 | % | | | 2.75 | % | | | 2.91 | % | | | 4.12 | % | | | 3.71 | % |
Net expensesd,e | | | 3.29 | % | | | 2.73 | % | | | 2.89 | % | | | 4.12 | % | | | 3.71 | % |
Portfolio turnover rate | | | 2,058 | % | | | 2,159 | % | | | 864 | % | | | 603 | % | | | 908 | % |
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 133.13 | | | $ | 109.61 | | | $ | 158.62 | | | $ | 166.49 | | | $ | 173.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.77 | ) | | | (1.09 | ) | | | .20 | | | | (.95 | ) | | | (3.15 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.48 | ) | | | 25.05 | | | | (49.21 | ) | | | (6.92 | ) | | | (3.91 | ) |
Total from investment operations | | | (6.25 | ) | | | 23.96 | | | | (49.01 | ) | | | (7.87 | ) | | | (7.06 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 126.88 | | | $ | 133.13 | | | $ | 109.61 | | | $ | 158.62 | | | $ | 166.49 | |
|
Total Returnc | | | (4.69 | %) | | | 21.95 | % | | | (30.90 | %) | | | (4.74 | %) | | | (4.06 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,385 | | | $ | 4,798 | | | $ | 4,832 | | | $ | 11,407 | | | $ | 14,455 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.11 | %) | | | (2.59 | %) | | | 0.15 | % | | | (0.57 | %) | | | (1.90 | %) |
Total expensesb | | | 3.47 | % | | | 2.97 | % | | | 3.17 | % | | | 4.38 | % | | | 3.97 | % |
Net expensesd,e | | | 3.45 | % | | | 2.94 | % | | | 3.15 | % | | | 4.37 | % | | | 3.97 | % |
Portfolio turnover rate | | | 2,058 | % | | | 2,159 | % | | | 864 | % | | | 603 | % | | | 908 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 181 |
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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 114.03 | | | $ | 94.64 | | | $ | 138.00 | | | $ | 145.93 | | | $ | 153.27 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (4.01 | ) | | | (1.11 | ) | | | (.75 | ) | | | (2.15 | ) | | | (3.85 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.16 | ) | | | 20.94 | | | | (42.61 | ) | | | (5.78 | ) | | | (3.49 | ) |
Total from investment operations | | | (6.17 | ) | | | 19.83 | | | | (43.36 | ) | | | (7.93 | ) | | | (7.34 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 107.86 | | | $ | 114.03 | | | $ | 94.64 | | | $ | 138.00 | | | $ | 145.93 | |
Total Returnc | | | (5.41 | %) | | | 21.00 | % | | | (31.41 | %) | | | (5.45 | %) | | | (4.76 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,048 | | | $ | 1,500 | | | $ | 2,472 | | | $ | 6,937 | | | $ | 18,296 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.85 | %) | | | (3.32 | %) | | | (0.59 | %) | | | (1.44 | %) | | | (2.63 | %) |
Total expensesb | | | 4.22 | % | | | 3.70 | % | | | 3.93 | % | | | 5.14 | % | | | 4.71 | % |
Net expensesd,e | | | 4.19 | % | | | 3.68 | % | | | 3.91 | % | | | 5.13 | % | | | 4.71 | % |
Portfolio turnover rate | | | 2,058 | % | | | 2,159 | % | | | 864 | % | | | 603 | % | | | 908 | % |
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 133.70 | | | $ | 109.85 | | | $ | 159.05 | | | $ | 166.92 | | | $ | 174.14 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.95 | ) | | | (.98 | ) | | | .25 | | | | (1.00 | ) | | | (3.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (2.33 | ) | | | 25.27 | | | | (49.45 | ) | | | (6.87 | ) | | | (3.97 | ) |
Total from investment operations | | | (6.28 | ) | | | 24.29 | | | | (49.20 | ) | | | (7.87 | ) | | | (7.22 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.44 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 127.42 | | | $ | 133.70 | | | $ | 109.85 | | | $ | 159.05 | | | $ | 166.92 | |
|
Total Return | | | (4.70 | %) | | | 22.18 | % | | | (30.93 | %) | | | (4.70 | %) | | | (4.16 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,922 | | | $ | 7,472 | | | $ | 5,881 | | | $ | 9,561 | | | $ | 4,858 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.20 | %) | | | (2.62 | %) | | | 0.16 | % | | | (0.58 | %) | | | (1.94 | %) |
Total expensesb | | | 3.49 | % | | | 2.94 | % | | | 3.30 | % | | | 4.37 | % | | | 4.00 | % |
Net expensesd,e | | | 3.47 | % | | | 2.92 | % | | | 3.28 | % | | | 4.36 | % | | | 4.00 | % |
Portfolio turnover rate | | | 2,058 | % | | | 2,159 | % | | | 872 | % | | | 603 | % | | | 908 | % |
182 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Total expenses may include interest expense related to short sales. Excluding interest expense, the operating expense ratios for the years presented were as follows: |
| | | 03/31/22 | 03/31/21 | 03/31/20 | 03/31/19 | 03/29/18 |
| | Investor Class | 1.39% | 1.47% | 1.50% | 1.50% | 1.43% |
| | A-Class | 1.63% | 1.73% | 1.75% | 1.75% | 1.68% |
| | C-Class | 2.38% | 2.48% | 2.50% | 2.50% | 2.43% |
| | H-Class | 1.64% | 1.73% | 1.75% | 1.75% | 1.68% |
f | Reverse share split — 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 183 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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.
For the one-year period ended March 31, 2022, High Yield Strategy Fund H-Class returned -4.47%. For comparison, the Bloomberg U.S. Corporate High Yield Index returned -0.66% for the same period.
The Fund primarily invests in credit default swaps to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A buyer of credit default swaps is buying credit protection or mitigating credit risk. A seller of credit default swaps is selling credit protection or assuming credit risk. The Fund will normally be a seller of credit protection (assuming credit risk) as it seeks to gain exposure to the high yield bond market. In addition, the Fund may invest in bond futures for the purpose of managing duration risk. For cash management purposes, the Fund may invest in other fixed income securities and money market instruments.
For much of the past 12 months, the high yield market was in rally mode, turning in seven consecutive quarters of positive returns. The unprecedented and ongoing policy response to COVID-19 accelerated the progression of the credit cycle characterized by strong earnings growth, low default volumes, upward ratings migration, and tight spreads.
However, the market reversed course in the first quarter in 2022—its first quarter in the past eight with a negative return. Uncertainty was fueled by elevated levels of inflation, more restrictive monetary policy by the U.S. Federal Reserve (Fed), the war in Ukraine, the spread of Covid-19 particularly in China, and U.S. midterm elections at the end of the year.
This has led the market to become more cautious. March saw continued pricing pressure with an increasingly hawkish Fed and geopolitical tensions rising with Russia’s invasion of Ukraine. But even with yields rising, high yield remains relatively attractive compared to other fixed-income assets considering a low expected forward default rate.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
184 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 Strategy Fund III | 13.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.3% |
Guggenheim Strategy Fund II | 6.2% |
Total | 26.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 185 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (4.48%) | 2.12% | 4.44% |
A-Class Shares with sales charge‡ | (9.01%) | 1.14% | 3.93% |
C-Class Shares | (5.19%) | 1.38% | 3.64% |
C-Class Shares with CDSC§ | (6.14%) | 1.38% | 3.64% |
H-Class Shares | (4.47%) | 2.14% | 4.44% |
Bloomberg U.S. Corporate High Yield Index | (0.66%) | 4.69% | 5.75% |
* | 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 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
186 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 26.5% |
Guggenheim Strategy Fund III1 | | | 112,348 | | | $ | 2,768,259 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 157,278 | | | | 1,539,748 | |
Guggenheim Strategy Fund II1 | | | 53,173 | | | | 1,305,391 | |
Total Mutual Funds | | | | |
(Cost $5,620,649) | | | | | | | 5,613,398 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 28.3% |
Federal Home Loan Bank |
0.15% due 04/05/222 | | $ | 5,000,000 | | | | 4,999,917 | |
0.81% due 09/14/222 | | | 1,000,000 | | | | 996,443 | |
Total Federal Agency Discount Notes | | | | |
(Cost $5,996,182) | | | | | | | 5,996,360 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 15.6% |
Federal Farm Credit Bank |
0.77% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/22◊ | | | 1,700,000 | | | | 1,700,182 | |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | | 1,000,000 | | | | 999,980 | |
0.53% (U.S. Prime Rate - 2.97%, Rate Floor: 0.00%) due 05/27/22◊ | | | 620,000 | | | | 620,207 | |
Total Federal Agency Notes | | | | |
(Cost $3,320,088) | | | | | | | 3,320,369 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 11.8% |
United States Treasury Note/Bond |
1.75% due 05/15/22 | | | 2,500,000 | | | | 2,504,429 | |
Total U.S. Government Securities | | | | |
(Cost $2,505,092) | | | | | | | 2,504,429 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 4.0% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 852,000 | | | | 851,881 | |
Total U.S. Treasury Bills | | | | |
(Cost $851,903) | | | | | | | 851,881 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 11.1% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/225 | | | 1,584,884 | | | | 1,584,884 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/225 | | | 610,426 | | | | 610,426 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/225 | | | 158,711 | | | | 158,711 | |
Total Repurchase Agreements | | | | |
(Cost $2,354,021) | | | | | | | 2,354,021 | |
| | | | | | | | | |
Total Investments - 97.3% | | | | |
(Cost $20,647,935) | | $ | 20,640,458 | |
Other Assets & Liabilities, net - 2.7% | | | 581,359 | |
Total Net Assets - 100.0% | | $ | 21,221,817 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 5 Year Note Futures Contracts | | | 138 | | | | Jun 2022 | | | $ | 15,808,547 | | | $ | (298,490 | ) |
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.38.V1 | | | 5.00 | % | Quarterly | 06/20/27 | | $ | 9,300,000 | | | $ | 500,312 | | | $ | 431,473 | | | $ | 68,839 | |
Barclays Bank plc | ICE | CDX.NA.HY.38.V1 | | | 5.00 | % | Quarterly | 06/20/27 | | | 7,100,000 | | | | 381,959 | | | | 328,937 | | | | 53,022 | |
| | | | | | | | | | | | | | | | | | $ | 882,271 | | | $ | 760,410 | | | $ | 121,861 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 187 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
HIGH YIELD STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Reference
Obligation | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | Pay | 0.73% (Federal Funds Rate + 0.40%) | | | At Maturity | | | | 04/28/22 | | | | 9,924 | | | $ | 816,646 | | | $ | 5,458 | |
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | Pay | 0.73% (Federal Funds Rate + 0.40%) | | | At Maturity | | | | 04/14/22 | | | | 15,533 | | | | 1,278,194 | | | | (33,011 | ) |
BNP Paribas | SPDR Bloomberg High Yield Bond ETF | Pay | 0.78% (Federal Funds Rate + 0.45%) | | | At Maturity | | | | 04/14/22 | | | | 24,074 | | | | 2,467,588 | | | | (45,174 | ) |
| | | | | | | | | | | | | | | | | | $ | 4,562,428 | | | $ | (72,727 | ) |
** | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures and credit default swap collateral at March 31, 2022. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
| | CDX.NA.HY.38.V1 — Credit Default Swap North American High Yield Series 38 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
188 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
HIGH YIELD STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 5,613,398 | | | $ | — | | | $ | — | | | $ | 5,613,398 | |
Federal Agency Discount Notes | | | — | | | | 5,996,360 | | | | — | | | | 5,996,360 | |
Federal Agency Notes | | | — | | | | 3,320,369 | | | | — | | | | 3,320,369 | |
U.S. Government Securities | | | — | | | | 2,504,429 | | | | — | | | | 2,504,429 | |
U.S. Treasury Bills | | | — | | | | 851,881 | | | | — | | | | 851,881 | |
Repurchase Agreements | | | — | | | | 2,354,021 | | | | — | | | | 2,354,021 | |
Credit Default Swap Agreements** | | | — | | | | 121,861 | | | | — | | | | 121,861 | |
Credit Index Swap Agreements** | | | — | | | | 5,458 | | | | — | | | | 5,458 | |
Total Assets | | $ | 5,613,398 | | | $ | 15,154,379 | | | $ | — | | | $ | 20,767,777 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Interest Rate Futures Contracts** | | $ | 298,490 | | | $ | — | | | $ | — | | | $ | 298,490 | |
Credit Index Swap Agreements** | | | — | | | | 78,185 | | | | — | | | | 78,185 | |
Total Liabilities | | $ | 298,490 | | | $ | 78,185 | | | $ | — | | | $ | 376,675 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,328,255 | | | $ | — | | | $ | — | | | $ | — | | | $ | (22,864 | ) | | $ | 1,305,391 | | | | 53,173 | | | $ | 18,830 | |
Guggenheim Strategy Fund III | | | 2,824,433 | | | | — | | | | — | | | | — | | | | (56,174 | ) | | | 2,768,259 | | | | 112,348 | | | | 43,690 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,269,308 | | | | — | | | | (700,000 | ) | | | 3,994 | | | | (33,554 | ) | | | 1,539,748 | | | | 157,278 | | | | 18,804 | |
| | | $ | 6,421,996 | | | $ | — | | | $ | (700,000 | ) | | $ | 3,994 | | | $ | (112,592 | ) | | $ | 5,613,398 | | | | | | | $ | 81,324 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 189 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $12,673,265) | | $ | 12,673,039 | |
Investments in affiliated issuers, at value (cost $5,620,649) | | | 5,613,398 | |
Repurchase agreements, at value (cost $2,354,021) | | | 2,354,021 | |
Segregated cash with broker | | | 233,302 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 760,410 | |
Unrealized appreciation on OTC swap agreements | | | 5,458 | |
Receivables: |
Protection fees on credit default swap agreements | | | 25,056 | |
Interest | | | 19,269 | |
Fund shares sold | | | 13,939 | |
Swap settlement | | | 9,440 | |
Dividends | | | 7,238 | |
Variation margin on futures contracts | | | 1,077 | |
Total assets | | | 21,715,647 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 340,584 | |
Unrealized depreciation on OTC swap agreements | | | 78,185 | |
Payable for: |
Fund shares redeemed | | | 15,546 | |
Variation margin on credit default swap agreements | | | 13,959 | |
Management fees | | | 13,274 | |
Distribution and service fees | | | 5,380 | |
Transfer agent and administrative fees | | | 4,871 | |
Portfolio accounting fees | | | 1,811 | |
Trustees’ fees* | | | 294 | |
Miscellaneous | | | 19,926 | |
Total liabilities | | | 493,830 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 21,221,817 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 32,601,663 | |
Total distributable earnings (loss) | | | (11,379,846 | ) |
Net assets | | $ | 21,221,817 | |
| | | | | |
A-Class: |
Net assets | | $ | 2,962,216 | |
Capital shares outstanding | | | 25,295 | |
Net asset value per share | | $ | 117.11 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 122.95 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,312,597 | |
Capital shares outstanding | | | 13,158 | |
Net asset value per share | | $ | 99.75 | |
| | | | | |
H-Class: |
Net assets | | $ | 16,947,004 | |
Capital shares outstanding | | | 144,807 | |
Net asset value per share | | $ | 117.03 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
190 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 81,324 | |
Interest | | | 24,925 | |
Total investment income | | | 106,249 | |
| | | | | |
Expenses: |
Management fees | | | 222,101 | |
Distribution and service fees: |
A-Class | | | 9,356 | |
C-Class | | | 18,564 | |
H-Class | | | 60,037 | |
Transfer agent and administrative fees | | | 82,600 | |
Portfolio accounting fees | | | 29,613 | |
Professional fees | | | 7,565 | |
Trustees’ fees* | | | 4,197 | |
Custodian fees | | | 3,919 | |
Line of credit fees | | | 78 | |
Miscellaneous | | | 21,996 | |
Total expenses | | | 460,026 | |
Less: |
Expenses waived by Adviser | | | (5,138 | ) |
Net expenses | | | 454,888 | |
Net investment loss | | | (348,639 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | $ | (2,335 | ) |
Investments in affiliated issuers | | | 3,994 | |
Swap agreements | | | 240,981 | |
Futures contracts | | | (1,201,488 | ) |
Net realized loss | | | (958,848 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (5,720 | ) |
Investments in affiliated issuers | | | (112,592 | ) |
Swap agreements | | | (4,211 | ) |
Futures contracts | | | (130,356 | ) |
Net change in unrealized appreciation (depreciation) | | | (252,879 | ) |
Net realized and unrealized loss | | | (1,211,727 | ) |
Net decrease in net assets resulting from operations | | $ | (1,560,366 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 191 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (348,639 | ) | | $ | (551,419 | ) |
Net realized loss on investments | | | (958,848 | ) | | | (273,621 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (252,879 | ) | | | 210,817 | |
Net decrease in net assets resulting from operations | | | (1,560,366 | ) | | | (614,223 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,434,143 | | | | 1,259,400 | |
C-Class | | | 1,164,664 | | | | 2,018,920 | |
H-Class | | | 140,079,849 | | | | 378,213,977 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,343,856 | ) | | | (1,703,972 | ) |
C-Class | | | (1,901,694 | ) | | | (992,031 | ) |
H-Class | | | (141,643,176 | ) | | | (380,114,068 | ) |
Net decrease from capital share transactions | | | (3,210,070 | ) | | | (1,317,774 | ) |
Net decrease in net assets | | | (4,770,436 | ) | | | (1,931,997 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 25,992,253 | | | | 27,924,250 | |
End of year | | $ | 21,221,817 | | | $ | 25,992,253 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 11,628 | | | | 11,120 | |
C-Class | | | 10,838 | | | | 21,128 | |
H-Class | | | 1,131,315 | | | | 3,287,792 | |
Shares redeemed | | | | | | | | |
A-Class | | | (19,128 | ) | | | (14,515 | ) |
C-Class | | | (17,987 | ) | | | (10,037 | ) |
H-Class | | | (1,148,414 | ) | | | (3,338,954 | ) |
Net decrease in shares | | | (31,748 | ) | | | (43,466 | ) |
192 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.60 | | | $ | 108.68 | | | $ | 120.48 | | | $ | 116.32 | | | $ | 123.71 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.36 | ) | | | (.55 | ) | | | .70 | | | | .70 | | | | (.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.13 | ) | | | 14.47 | e | | | (7.05 | ) | | | 7.41 | | | | 3.11 | |
Total from investment operations | | | (5.49 | ) | | | 13.92 | | | | (6.35 | ) | | | (8.11 | ) | | | 2.71 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) |
Net asset value, end of period | | $ | 117.11 | | | $ | 122.60 | | | $ | 108.68 | | | $ | 120.48 | | | $ | 116.32 | |
|
Total Returnb | | | (4.48 | %) | | | 12.81 | % | | | (5.76 | %) | | | 7.18 | % | | | 2.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,962 | | | $ | 4,021 | | | $ | 3,933 | | | $ | 7,631 | | | $ | 8,427 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.10 | %) | | | (1.21 | %) | | | 0.58 | % | | | 0.59 | % | | | (0.31 | %) |
Total expensesc | | | 1.51 | % | | | 1.60 | % | | | 1.63 | % | | | 1.61 | % | | | 1.52 | % |
Net expensesd | | | 1.49 | % | | | 1.57 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % |
Portfolio turnover rate | | | 40 | % | | | 134 | % | | | — | | | | 21 | % | | | 422 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 105.21 | | | $ | 93.96 | | | $ | 105.62 | | | $ | 103.17 | | | $ | 111.65 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.97 | ) | | | (.81 | ) | | | (.20 | ) | | | (.20 | ) | | | (1.10 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.49 | ) | | | 12.06 | e | | | (6.01 | ) | | | 6.60 | | | | 2.72 | |
Total from investment operations | | | (5.46 | ) | | | 11.25 | | | | (6.21 | ) | | | 6.40 | | | | 1.62 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) |
Net asset value, end of period | | $ | 99.75 | | | $ | 105.21 | | | $ | 93.96 | | | $ | 105.62 | | | $ | 103.17 | |
|
Total Returnb | | | (5.19 | %) | | | 11.97 | % | | | (6.45 | %) | | | 6.39 | % | | | 1.35 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,313 | | | $ | 2,136 | | | $ | 866 | | | $ | 1,480 | | | $ | 3,994 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.86 | %) | | | (1.96 | %) | | | (0.20 | %) | | | (0.21 | %) | | | (1.00 | %) |
Total expensesc | | | 2.26 | % | | | 2.34 | % | | | 2.38 | % | | | 2.35 | % | | | 2.27 | % |
Net expensesd | | | 2.24 | % | | | 2.32 | % | | | 2.36 | % | | | 2.35 | % | | | 2.27 | % |
Portfolio turnover rate | | | 40 | % | | | 134 | % | | | — | | | | 21 | % | | | 422 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 193 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020f | | | Year Ended
March 31,
2019f | | | Year Ended
March 29,
2018f | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.51 | | | $ | 108.54 | | | $ | 120.32 | | | $ | 116.17 | | | $ | 123.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.41 | ) | | | (.47 | ) | | | .75 | | | | .60 | | | | (.50 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.07 | ) | | | 14.44 | e | | | (7.08 | ) | | | 7.50 | | | | 3.19 | |
Total from investment operations | | | (5.48 | ) | | | 13.97 | | | | (6.33 | ) | | | 8.10 | | | | 2.69 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (8.30 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.80 | ) |
Total distributions | | | — | | | | — | | | | (5.45 | ) | | | (3.95 | ) | | | (10.10 | ) |
Net asset value, end of period | | $ | 117.03 | | | $ | 122.51 | | | $ | 108.54 | | | $ | 120.32 | | | $ | 116.17 | |
|
Total Return | | | (4.47 | %) | | | 12.87 | % | | | (5.73 | %) | | | 7.15 | % | | | 2.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 16,947 | | | $ | 19,835 | | | $ | 23,125 | | | $ | 101,180 | | | $ | 23,860 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.14 | %) | | | (1.23 | %) | | | 0.59 | % | | | 0.49 | % | | | (0.41 | %) |
Total expensesc | | | 1.51 | % | | | 1.61 | % | | | 1.63 | % | | | 1.60 | % | | | 1.52 | % |
Net expensesd | | | 1.49 | % | | | 1.59 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % |
Portfolio turnover rate | | | 40 | % | | | 134 | % | | | — | | | | 21 | % | | | 422 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
f | Reverse share split — 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. |
194 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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.
For the one-year period ended March 31, 2022, Inverse High Yield Strategy Fund H-Class returned 1.27%. For comparison, the Bloomberg U.S. Corporate High Yield Index returned -0.66% for the same period.
The Fund primarily invests in credit default swaps to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A buyer of credit default swaps is buying credit protection or mitigating credit risk. A seller of credit default swaps is selling credit protection or assuming credit risk. The Fund will normally be a seller of credit protection (assuming credit risk) as it seeks to gain exposure to the high yield bond market. In addition, the Fund may invest in bond futures for the purpose of managing duration risk. For cash management purposes, the Fund may invest in other fixed income securities and money market instruments.
For much of the past 12 months, the high yield market was in rally mode, turning in seven consecutive quarters of positive returns. The unprecedented and ongoing policy response to COVID-19 accelerated the progression of the credit cycle characterized by strong earnings growth, low default volumes, upward ratings migration, and tight spreads.
However, the market reversed course in the first quarter in 2022—its first quarter in the past eight with a negative return. Uncertainty was fueled by elevated levels of inflation, more restrictive monetary policy by the U.S. Federal Reserve (Fed), the war in Ukraine, the spread of Covid-19 particularly in China, and U.S. midterm elections at the end of the year.
This has led the market to become more cautious. March saw continued pricing pressure with an increasingly hawkish Fed and geopolitical tensions rising with Russia’s invasion of Ukraine. But even with yields rising, high yield remains relatively attractive compared to other fixed-income assets considering a low expected forward default rate.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 195 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 Strategy Fund II | 5.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.2% |
Total | 10.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
196 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 0.47% | (3.77%) | (7.04%) |
A-Class Shares with sales charge‡ | (4.30%) | (4.70%) | (7.49%) |
C-Class Shares | 0.45% | (4.56%) | (7.71%) |
C-Class Shares with CDSC§ | (0.52%) | (4.56%) | (7.71%) |
H-Class Shares | 1.27% | (3.89%) | (6.85%) |
Bloomberg U.S. Corporate High Yield Index | (0.66%) | 4.69% | 5.75% |
* | 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 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 197 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 10.5% |
Guggenheim Strategy Fund II1 | | | 15,041 | | | $ | 369,264 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 37,683 | | | | 368,917 | |
Total Mutual Funds | | | | |
(Cost $746,686) | | | | | | | 738,181 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 28.3% |
Federal Home Loan Bank |
0.15% due 04/05/222 | | $ | 2,000,000 | | | | 1,999,967 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,999,967) | | | | | | | 1,999,967 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.5% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 109,000 | | | | 108,985 | |
Total U.S. Treasury Bills | | | | |
(Cost $108,988) | | | | | | | 108,985 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 54.9% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 2,608,870 | | | | 2,608,870 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 1,004,820 | | | | 1,004,820 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 261,253 | | | | 261,253 | |
Total Repurchase Agreements | | | | |
(Cost $3,874,943) | | | | | | | 3,874,943 | |
| | | | | | | | | |
Total Investments - 95.2% | | | | |
(Cost $6,730,584) | | $ | 6,722,076 | |
Other Assets & Liabilities, net - 4.8% | | | 340,065 | |
Total Net Assets - 100.0% | | $ | 7,062,141 | |
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 | | | 57 | | | | Jun 2022 | | | $ | 6,529,617 | | | $ | 225,176 | |
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.38.V1 | 5.00% | | | Quarterly | | | | 06/20/27 | | | $ | 6,750,000 | | | $ | (363,130 | ) | | $ | (309,832 | ) | | $ | (53,298 | ) |
** | 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 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
4 | Repurchase Agreements — See Note 6. |
| | CDX.NA.HY.38.V1 — Credit Default Swap North American High Yield Series 38 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
198 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
INVERSE HIGH YIELD STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund���s investments at March 31, 2022 (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 | | $ | 738,181 | | | $ | — | | | $ | — | | | $ | 738,181 | |
Federal Agency Discount Notes | | | — | | | | 1,999,967 | | | | — | | | | 1,999,967 | |
U.S. Treasury Bills | | | — | | | | 108,985 | | | | — | | | | 108,985 | |
Repurchase Agreements | | | — | | | | 3,874,943 | | | | — | | | | 3,874,943 | |
Interest Rate Futures Contracts** | | | 225,176 | | | | — | | | | — | | | | 225,176 | |
Total Assets | | $ | 963,357 | | | $ | 5,983,895 | | | $ | — | | | $ | 6,947,252 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Credit Default Swap Agreements** | | $ | — | | | $ | 53,298 | | | $ | — | | | $ | 53,298 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 875,453 | | | $ | 1,400,000 | | | $ | (1,900,000 | ) | | $ | (631 | ) | | $ | (5,558 | ) | | $ | 369,264 | | | | 15,041 | | | $ | 5,415 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 874,218 | | | | 1,400,000 | | | | (1,900,000 | ) | | | (348 | ) | | | (4,953 | ) | | | 368,917 | | | | 37,683 | | | | 3,370 | |
| | | $ | 1,749,671 | | | $ | 2,800,000 | | | $ | (3,800,000 | ) | | $ | (979 | ) | | $ | (10,511 | ) | | $ | 738,181 | | | | | | | $ | 8,785 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 199 |
INVERSE HIGH YIELD STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $2,108,955) | | $ | 2,108,952 | |
Investments in affiliated issuers, at value (cost $746,686) | | | 738,181 | |
Repurchase agreements, at value (cost $3,874,943) | | | 3,874,943 | |
Segregated cash with broker | | | 715,554 | |
Receivables: |
Variation margin on credit default swap agreements | | | 5,987 | |
Fund shares sold | | | 4,110 | |
Dividends | | | 843 | |
Interest | | | 29 | |
Total assets | | | 7,448,599 | |
| | | | | |
Liabilities: |
Unamortized upfront premiums received on credit default swap agreements | | | 309,832 | |
Payable for: |
Fund shares redeemed | | | 35,307 | |
Management fees | | | 12,177 | |
Protection fees on credit default swap agreements | | | 10,313 | |
Transfer agent and administrative fees | | | 4,394 | |
Distribution and service fees | | | 4,160 | |
Portfolio accounting fees | | | 1,633 | |
Variation margin on futures contracts | | | 445 | |
Trustees’ fees* | | | 118 | |
Miscellaneous | | | 8,079 | |
Total liabilities | | | 386,458 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 7,062,141 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 17,518,853 | |
Total distributable earnings (loss) | | | (10,456,712 | ) |
Net assets | | $ | 7,062,141 | |
| | | | | |
A-Class: |
Net assets | | $ | 237,583 | |
Capital shares outstanding | | | 4,830 | |
Net asset value per share | | $ | 49.19 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 51.64 | |
| | | | | |
C-Class: |
Net assets | | $ | 118,741 | |
Capital shares outstanding | | | 2,714 | |
Net asset value per share | | $ | 43.75 | |
| | | | | |
H-Class: |
Net assets | | $ | 6,705,817 | |
Capital shares outstanding | | | 132,934 | |
Net asset value per share | | $ | 50.44 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 8,785 | |
Interest | | | 3,429 | |
Total investment income | | | 12,214 | |
| | | | | |
Expenses: |
Management fees | | | 56,536 | |
Distribution and service fees: |
A-Class | | | 2,760 | |
C-Class | | | 1,169 | |
H-Class | | | 15,794 | |
Transfer agent and administrative fees | | | 21,060 | |
Portfolio accounting fees | | | 7,538 | |
Professional fees | | | 3,681 | |
Trustees’ fees* | | | 1,149 | |
Custodian fees | | | 1,040 | |
Miscellaneous | | | 4,599 | |
Total expenses | | | 115,326 | |
Less: |
Expenses waived by Adviser | | | (912 | ) |
Net expenses | | | 114,414 | |
Net investment loss | | | (102,200 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 540 | |
Investments in affiliated issuers | | | (979 | ) |
Swap agreements | | | (515,431 | ) |
Futures contracts | | | 393,914 | |
Net realized loss | | | (121,956 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (462 | ) |
Investments in affiliated issuers | | | (10,511 | ) |
Swap agreements | | | (20,115 | ) |
Futures contracts | | | 192,999 | |
Net change in unrealized appreciation (depreciation) | | | 161,911 | |
Net realized and unrealized gain | | | 39,955 | |
Net decrease in net assets resulting from operations | | $ | (62,245 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
200 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE HIGH YIELD STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (102,200 | ) | | $ | (83,975 | ) |
Net realized loss on investments | | | (121,956 | ) | | | (904,745 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 161,911 | | | | (38,339 | ) |
Net decrease in net assets resulting from operations | | | (62,245 | ) | | | (1,027,059 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (11,491 | ) | | | (5,744 | ) |
C-Class | | | (3,058 | ) | | | (21,683 | ) |
H-Class | | | (96,565 | ) | | | (45,200 | ) |
Total distributions to shareholders | | | (111,114 | ) | | | (72,627 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 35,242,510 | | | | 74,155,944 | |
C-Class | | | 6,544 | | | | 14,384 | |
H-Class | | | 229,708,354 | | | | 245,184,512 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 11,478 | | | | 5,708 | |
C-Class | | | 3,058 | | | | 21,683 | |
H-Class | | | 95,922 | | | | 44,957 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (40,527,697 | ) | | | (68,655,970 | ) |
C-Class | | | (50,058 | ) | | | (164,080 | ) |
H-Class | | | (226,748,463 | ) | | | (254,110,821 | ) |
Net decrease from capital share transactions | | | (2,258,352 | ) | | | (3,503,683 | ) |
Net decrease in net assets | | | (2,431,711 | ) | | | (4,603,369 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 9,493,852 | | | | 14,097,221 | |
End of year | | $ | 7,062,141 | | | $ | 9,493,852 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 729,390 | | | | 1,387,615 | |
C-Class | | | 150 | | | | 283 | |
H-Class | | | 4,619,706 | | | | 4,244,689 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 243 | | | | 114 | |
C-Class | | | 73 | | | | 480 | |
H-Class | | | 1,987 | | | | 875 | |
Shares redeemed | | | | | | | | |
A-Class | | | (836,699 | ) | | | (1,279,966 | ) |
C-Class | | | (1,136 | ) | | | (3,521 | ) |
H-Class | | | (4,561,710 | ) | | | (4,385,063 | ) |
Net decrease in shares | | | (47,996 | ) | | | (34,494 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 201 |
INVERSE HIGH YIELD STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 50.15 | | | $ | 62.01 | | | $ | 60.47 | | | $ | 64.28 | | | $ | 65.78 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.64 | ) | | | (.68 | ) | | | .24 | | | | .42 | | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .82 | | | | (7.31 | ) | | | 1.30 | | | | (4.23 | ) | | | (1.43 | ) |
Total from investment operations | | | .18 | | | | (7.99 | ) | | | 1.54 | | | | (3.81 | ) | | | (1.50 | ) |
Less distributions from: |
Net investment income | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 49.19 | | | $ | 50.15 | | | $ | 62.01 | | | $ | 60.47 | | | $ | 64.28 | |
|
Total Returnb | | | 0.47 | % | | | (12.88 | %) | | | 2.56 | % | | | (5.93 | %) | | | (2.28 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 238 | | | $ | 5,612 | | | $ | 256 | | | $ | 282 | | | $ | 8,746 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.31 | %) | | | (1.28 | %) | | | 0.40 | % | | | 0.66 | % | | | (0.12 | %) |
Total expensesc | | | 1.50 | % | | | 1.56 | % | | | 1.62 | % | | | 1.60 | % | | | 1.52 | % |
Net expensesd | | | 1.49 | % | | | 1.54 | % | | | 1.61 | % | | | 1.60 | % | | | 1.52 | % |
Portfolio turnover rate | | | 344 | % | | | 438 | % | | | 254 | % | | | — | | | | 41 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.74 | | | $ | 56.62 | | | $ | 55.76 | | | $ | 59.73 | | | $ | 61.63 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.81 | ) | | | (.90 | ) | | | (.05 | ) | | | .01 | | | | (.39 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .96 | | | | (7.11 | ) | | | .91 | | | | (3.98 | ) | | | (1.51 | ) |
Total from investment operations | | | .15 | | | | (8.01 | ) | | | .86 | | | | (3.97 | ) | | | (1.90 | ) |
Less distributions from: |
Net investment income | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 43.75 | | | $ | 44.74 | | | $ | 56.62 | | | $ | 55.76 | | | $ | 59.73 | |
|
Total Returnb | | | 0.45 | % | | | (14.23 | %) | | | 1.54 | % | | | (6.65 | %) | | | (3.08 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 119 | | | $ | 162 | | | $ | 362 | | | $ | 738 | | | $ | 769 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.88 | %) | | | (1.78 | %) | | | (0.09 | %) | | | 0.02 | % | | | (0.65 | %) |
Total expensesc | | | 2.26 | % | | | 2.36 | % | | | 2.37 | % | | | 2.36 | % | | | 2.27 | % |
Net expensesd | | | 2.22 | % | | | 2.31 | % | | | 2.34 | % | | | 2.35 | % | | | 2.27 | % |
Portfolio turnover rate | | | 344 | % | | | 438 | % | | | 254 | % | | | — | | | | 41 | % |
202 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE HIGH YIELD STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 50.99 | | | $ | 63.45 | | | $ | 61.97 | | | $ | 65.89 | | | $ | 67.70 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.68 | ) | | | (.74 | ) | | | .06 | | | | .41 | | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.27 | | | | (7.85 | ) | | | 1.42 | | | | (4.33 | ) | | | (1.69 | ) |
Total from investment operations | | | .59 | | | | (8.59 | ) | | | 1.48 | | | | (3.92 | ) | | | (1.81 | ) |
Less distributions from: |
Net investment income | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (1.14 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 50.44 | | | $ | 50.99 | | | $ | 63.45 | | | $ | 61.97 | | | $ | 65.89 | |
|
Total Return | | | 1.27 | % | | | (13.58 | %) | | | 2.39 | % | | | (5.95 | %) | | | (2.67 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,706 | | | $ | 3,719 | | | $ | 13,479 | | | $ | 4,675 | | | $ | 8,755 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.35 | %) | | | (1.26 | %) | | | 0.09 | % | | | 0.63 | % | | | (0.18 | %) |
Total expensesc | | | 1.52 | % | | | 1.62 | % | | | 1.64 | % | | | 1.61 | % | | | 1.52 | % |
Net expensesd | | | 1.51 | % | | | 1.60 | % | | | 1.62 | % | | | 1.59 | % | | | 1.52 | % |
Portfolio turnover rate | | | 344 | % | | | 438 | % | | | 254 | % | | | — | | | | 41 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 203 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
For the year ended March 31, 2022, U.S. Government Money Market Fund returned 0.00%.
The U.S. Federal Reserve (Fed) started raising rates again at their March 2022 meeting. The Fed’s target rate rose from the 0% to 0.25% range to 0.25% to 0.50%.
The U.S. economy continued to recover throughout the previous 12 months. However, many economic indicators, such as employment, remain well below early 2020 levels. Over the past several months, the Fed quickly adjusted their forecasts for inflation and suggested that high inflation levels experienced in 2021 are more structural than temporary. Increasingly, the market believes that the Fed is behind the curve and will be required to make several 50 basis point increases in 2022. The most recent dot plot in March 2022 indicated that most members of the Fed expect to raise interest rates six times in 2022.
Performance displayed represents past performance, which is no guarantee of future results.
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Holdings Diversification (Market Exposure as % of Net Assets)
“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 March 31, 2022
| 1 Year | 5 Year | Since
Inception
(06/18/12) |
U.S. Government Money Market Fund | 0.00% | 0.47% | 0.24% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. |
204 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
U.S. GOVERNMENT MONEY MARKET FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 49.4% |
Federal Farm Credit Bank |
0.30% (U.S. Prime Rate - 3.20%, Rate Floor: 0.00%) due 05/18/22◊ | | $ | 34,000,000 | | | $ | 33,998,679 | |
0.32% (U.S. Prime Rate - 3.18%, Rate Floor: 0.00%) due 10/25/22◊ | | | 30,000,000 | | | | 29,999,137 | |
2.00% due 05/17/22 | | | 11,000,000 | | | | 11,023,934 | |
0.65% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/22◊ | | | 3,000,000 | | | | 3,003,950 | |
0.14% due 04/01/22 | | | 2,500,000 | | | | 2,500,000 | |
Fannie Mae |
0.50% (SOFR + 0.23%, Rate Floor: 0.00%) due 05/06/22◊ | | | 23,000,000 | | | | 23,005,139 | |
0.66% (SOFR + 0.39%, Rate Floor: 0.00%) due 04/15/22◊ | | | 11,200,000 | | | | 11,201,919 | |
1.38% due 09/06/22 | | | 3,680,000 | | | | 3,700,233 | |
1.88% due 04/05/22 | | | 2,281,000 | | | | 2,281,441 | |
Freddie Mac |
0.43% (SOFR + 0.16%, Rate Floor: 0.00%) due 04/18/22◊ | | | 34,890,000 | | | | 34,892,551 | |
0.25% due 06/08/22 | | | 2,975,000 | | | | 2,975,828 | |
Federal Home Loan Bank |
2.13% due 06/10/22 | | | 8,115,000 | | | | 8,146,823 | |
0.25% due 06/03/22 | | | 5,245,000 | | | | 5,246,495 | |
0.28% due 06/10/22 | | | 2,000,000 | | | | 1,998,750 | |
0.06% due 06/14/22 | | | 1,000,000 | | | | 999,855 | |
2.75% due 06/10/22 | | | 860,000 | | | | 864,401 | |
Total Federal Agency Notes | | | | |
(Cost $175,839,135) | | | | | | | 175,839,135 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 23.8% |
Federal Home Loan Bank |
0.81% due 09/14/221 | | | 22,000,000 | | | | 21,917,830 | |
0.36% due 05/26/221 | | | 20,000,000 | | | | 19,988,694 | |
0.21% due 05/06/221 | | | 17,000,000 | | | | 16,996,529 | |
0.22% due 05/04/221 | | | 15,000,000 | | | | 14,996,989 | |
0.44% due 06/17/221 | | | 6,300,000 | | | | 6,294,071 | |
0.58% due 07/05/221 | | | 2,250,000 | | | | 2,246,586 | |
0.17% due 04/18/221 | | | 900,000 | | | | 899,928 | |
0.62% due 07/18/221 | | | 500,000 | | | | 499,062 | |
Fannie Mae |
0.25% due 05/04/221 | | | 900,000 | | | | 899,794 | |
Total Federal Agency Discount Notes | | | | |
(Cost $84,739,483) | | | | | | | 84,739,483 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 18.7% |
U.S. Treasury Bills |
0.11% due 05/03/221 | | | 20,000,000 | | | | 19,997,978 | |
0.26% due 05/31/221 | | | 15,000,000 | | | | 14,993,100 | |
0.48% due 08/04/221 | | | 12,000,000 | | | | 11,979,958 | |
0.14% due 05/10/221 | | | 10,000,000 | | | | 9,998,402 | |
0.26% due 05/24/221 | | | 10,000,000 | | | | 9,996,018 | |
Total U.S. Treasury Bills | | | | |
(Cost $66,965,456) | | | | | | | 66,965,456 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 8.1% |
U.S. Treasury Note |
2.25% due 04/15/22 | | | 10,000,000 | | | | 10,008,330 | |
1.75% due 07/15/22 | | | 9,000,000 | | | | 9,043,329 | |
1.75% due 05/15/22 | | | 5,600,000 | | | | 5,611,311 | |
1.88% due 05/31/22 | | | 4,000,000 | | | | 4,011,733 | |
Total U.S. Government Securities | | | | |
(Cost $28,674,703) | | | | | | | 28,674,703 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,2 - 5.0% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 11,879,703 | | | | 11,879,703 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 4,575,531 | | | | 4,575,531 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 1,189,638 | | | | 1,189,638 | |
Total Repurchase Agreements | | | | |
(Cost $17,644,872) | | | | | | | 17,644,872 | |
| | | | | | | | | |
Total Investments - 105.0% | | | | |
(Cost $373,863,649) | | $ | 373,863,649 | |
Other Assets & Liabilities, net - (5.0)% | | | (17,662,551 | ) |
Total Net Assets - 100.0% | | $ | 356,201,098 | |
†† | Value determined based on Level 2 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Rate indicated is the effective yield at the time of purchase. |
2 | Repurchase Agreements — See Note 6. |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 205 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
U.S. GOVERNMENT MONEY MARKET FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | — | | | $ | 175,839,135 | | | $ | — | | | $ | 175,839,135 | |
Federal Agency Discount Notes | | | — | | | | 84,739,483 | | | | — | | | | 84,739,483 | |
U.S. Treasury Bills | | | — | | | | 66,965,456 | | | | — | | | | 66,965,456 | |
U.S. Government Securities | | | — | | | | 28,674,703 | | | | — | | | | 28,674,703 | |
Repurchase Agreements | | | — | | | | 17,644,872 | | | | — | | | | 17,644,872 | |
Total Assets | | $ | — | | | $ | 373,863,649 | | | $ | — | | | $ | 373,863,649 | |
206 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $356,218,777) | | $ | 356,218,777 | |
Repurchase agreements, at value (cost $17,644,872) | | | 17,644,872 | |
Receivables: |
Fund shares sold | | | 18,250,751 | |
Interest | | | 429,606 | |
Total assets | | | 392,544,006 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 343 | |
Payable for: |
Fund shares redeemed | | | 36,076,826 | |
Portfolio accounting fees | | | 14,425 | |
Transfer agent and administrative fees | | | 4,267 | |
Trustees’ fees* | | | 3,688 | |
Miscellaneous | | | 243,359 | |
Total liabilities | | | 36,342,908 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 356,201,098 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 356,312,257 | |
Total distributable earnings (loss) | | | (111,159 | ) |
Net assets | | $ | 356,201,098 | |
Capital shares outstanding | | | 356,291,292 | |
Net asset value per share | | $ | 1.00 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Interest | | $ | 265,666 | |
Total investment income | | | 265,666 | |
| | | | | |
Expenses: |
Management fees | | | 1,572,128 | |
Transfer agent and administrative fees | | | 720,746 | |
Portfolio accounting fees | | | 298,239 | |
Registration fees | | | 170,670 | |
Professional fees | | | 128,949 | |
Trustees’ fees* | | | 45,603 | |
Custodian fees | | | 41,829 | |
Miscellaneous | | | 23,159 | |
Total expenses | | | 3,001,323 | |
Less: |
Expenses reimbursed by Adviser | | | (871,981 | ) |
Expenses waived by Adviser | | | (1,745,114 | ) |
Total waived/reimbursed expenses | | | (2,617,095 | ) |
Net expenses | | | 384,228 | |
Net investment loss | | | (118,562 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 7,445 | |
Net realized gain | | | 7,445 | |
Net decrease in net assets resulting from operations | | $ | (111,117 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 207 |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (118,562 | ) | | $ | 110 | |
Net realized gain on investments | | | 7,445 | | | | 4,498 | |
Net change in unrealized appreciation (depreciation) on investments | | | — | | | | — | |
Net increase (decrease) in net assets resulting from operations | | | (111,117 | ) | | | 4,608 | |
| | | | | | | | | |
Distributions to shareholders | | | (4,605 | ) | | | (150,937 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 6,335,738,314 | | | | 6,163,255,356 | |
Distributions reinvested | | | 4,601 | | | | 150,049 | |
Cost of shares redeemed | | | (6,328,397,172 | ) | | | (6,205,079,456 | ) |
Net increase (decrease) from capital share transactions | | | 7,345,743 | | | | (41,674,051 | ) |
Net increase (decrease) in net assets | | | 7,230,021 | | | | (41,820,380 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 348,971,077 | | | | 390,791,457 | |
End of year | | $ | 356,201,098 | | | $ | 348,971,077 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 6,335,738,314 | | | | 6,163,255,356 | |
Shares issued from reinvestment of distributions | | | 4,552 | | | | 150,020 | |
Shares redeemed | | | (6,328,397,172 | ) | | | (6,205,079,456 | ) |
Net increase (decrease) in shares | | | 7,345,694 | | | | (41,674,080 | ) |
208 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | — | b | | | — | b | | | .01 | | | | .01 | | | | — | b |
Net gain (loss) on investments (realized and unrealized) | | | — | b | | | — | b | | | — | b | | | — | b | | | — | b |
Total from investment operations | | | — | b | | | — | b | | | .01 | | | | .01 | | | | — | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.01 | ) | | | (.01 | ) | | | (— | )b |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.01 | ) | | | (.01 | ) | | | (— | )b |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
|
Total Return | | | 0.00 | % | | | 0.05 | % | | | 0.99 | % | | | 1.10 | % | | | 0.22 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 356,201 | | | $ | 348,971 | | | $ | 390,791 | | | $ | 413,200 | | | $ | 544,528 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.04 | %) | | | 0.00 | %d | | | 1.01 | % | | | 1.10 | % | | | 0.22 | % |
Total expenses | | | 0.95 | % | | | 1.04 | % | | | 1.06 | % | | | 1.05 | % | | | 0.96 | % |
Net expensesc | | | 0.12 | % | | | 0.16 | % | | | 1.03 | % | | | 1.05 | % | | | 0.94 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Less than $0.01 per share. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Less than 0.01% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 209 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (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 March 31, 2022, 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 March 31, 2022, 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 NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
The Trust calculates a NAV twice each business day; at 10:45 a.m. and at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. for the Russell 2000® Fund and the S&P 500® Fund. All other Funds in this report will price at the afternoon NAV. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the March 31, 2022, 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
(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.
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 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.
(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 March 31, 2022, 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
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.
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NOTES TO FINANCIAL STATEMENTS (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 0.33% at March 31, 2022.
(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 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may 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 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 | | $ | 34,685,531 | | | $ | — | |
S&P 500® Fund | Index exposure,Liquidity | | | 1,096,761 | | | | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | 1,735,946 | | | | 1,716,571 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 95,716,176 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 1,367,421 | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 516,960 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 943,769 | | | | — | |
Russell 2000® Fund | Index exposure, Liquidity | | | 996,755 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure,Liquidity | | | — | | | | 94,546 | |
Dow Jones Industrial Average® Fund | Index exposure, Liquidity | | | 1,666,786 | | | | 211,556 | |
Government Long Bond 1.2x Strategy Fund | Duration,Index exposure, Leverage, Liquidity | | | 34,099,503 | | | | — | |
Inverse Government Long Bond Strategy Fund | Duration,Index exposure, Liquidity | | | — | | | | 11,456,945 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 21,555,912 | | | | — | |
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 5,501,635 | |
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 (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 | | $ | 263,235,455 | | | $ | — | |
S&P 500® Fund | Index exposure,Liquidity | | | 6,734,459 | | | | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 45,193,737 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 373,923,986 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 19,549,177 | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 12,708,171 | | | | — | |
Inverse Mid-Cap Strategy Fund | Index exposure,Liquidity | | | — | | | | 588,588 | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 13,434,204 | | | | — | |
Russell 2000® Fund | Index exposure, Liquidity, | | | 22,630,824 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | | | — | | | | 5,534,718 | |
Dow Jones Industrial Average® Fund | Index exposure,Liquidity, | | | 4,862,009 | | | | — | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 6,182,235 | | | | — | |
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 Sold | | | Protection Purchased | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | $ | 21,987,500 | | | $ | — | |
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 5,766,667 | |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest rate futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Credit default swap contracts | Unamortized upfront premiums paid on credit default swap agreements Variation margin on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements Variation margin on credit default swap agreements |
Equity/Credit swap 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 March 31, 2022:
Asset Derivative Investments Value |
Fund | | Futures
Equity Risk* | | | Swaps
Equity Risk | | | Futures
Interest
Rate Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 31,
2022 | |
Nova Fund | | $ | 1,146,335 | | | $ | 1,387,730 | | | $ | — | | | $ | — | | | $ | 2,534,065 | |
S&P 500® Fund | | | 75,134 | | | | 92,957 | | | | — | | | | — | | | | 168,091 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 1,320,078 | | | | 8,922,674 | | | | — | | | | — | | | | 10,242,752 | |
Mid-Cap 1.5x Strategy Fund | | | 59,511 | | | | 123,233 | | | | — | | | | — | | | | 182,744 | |
Russell 2000® 1.5x Strategy Fund | | | 64,706 | | | | 175,320 | | | | — | | | | — | | | | 240,026 | |
Russell 2000® Fund | | | 4,372 | | | | 100,421 | | | | — | | | | — | | | | 104,793 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 32,708 | | | | — | | | | — | | | | 32,708 | |
Dow Jones Industrial Average® Fund | | | — | | | | 30,639 | | | | — | | | | — | | | | 30,639 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 75,042 | | | | — | | | | 75,042 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 279,061 | | | | — | | | | 279,061 | |
High Yield Strategy Fund | | | — | | | | — | | | | — | | | | 127,319 | | | | 127,319 | |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | 225,176 | | | | — | | | | 225,176 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity Risk* | | | Swaps
Equity Risk | | | Futures
Interest
Rate Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 31,
2022 | |
Nova Fund | | $ | — | | | $ | 988,376 | | | $ | — | | | $ | — | | | $ | 988,376 | |
Inverse S&P 500® Strategy Fund | | | — | | | | 1,552,584 | | | | — | | | | — | | | | 1,552,584 | |
Inverse NASDAQ-100® Strategy Fund | | | 22,787 | | | | 669,377 | | | | — | | | | — | | | | 692,164 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 9,204 | | | | — | | | | — | | | | 9,204 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 5,573 | | | | — | | | | — | | | | 5,573 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 54,570 | | | | — | | | | — | | | | 54,570 | |
Dow Jones Industrial Average® Fund | | | 4,287 | | | | 38,737 | | | | — | | | | — | | | | 43,024 | |
High Yield Strategy Fund | | | — | | | | — | | | | 298,490 | | | | 78,185 | | | | 376,675 | |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | 53,298 | | | | 53,298 | |
* | Includes cumulative appreciation (depreciation) of futures contracts 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 year ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest rate futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity/Credit swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
216 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2022:
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 | | $ | (911,179 | ) | | $ | 27,418,412 | | | $ | — | | | $ | — | | | $ | 26,507,233 | |
S&P 500® Fund | | | (188,892 | ) | | | 1,496,344 | | | | — | | | | — | | | | 1,307,452 | |
Inverse S&P 500® Strategy Fund | | | (997,487 | ) | | | (6,811,134 | ) | | | — | | | | — | | | | (7,808,621 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | (1,708,197 | ) | | | 15,622,342 | | | | — | | | | — | | | | 13,914,145 | |
Inverse NASDAQ-100® Strategy Fund | | | (1,340,185 | ) | | | (10,736,780 | ) | | | — | | | | — | | | | (12,076,965 | ) |
Mid-Cap 1.5x Strategy Fund | | | (3,944 | ) | | | 565,296 | | | | — | | | | — | | | | 561,352 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | (77,040 | ) | | | — | | | | — | | | | (77,040 | ) |
Russell 2000® 1.5x Strategy Fund | | | (151,712 | ) | | | (1,380,572 | ) | | | — | | | | — | | | | (1,532,284 | ) |
Russell 2000® Fund | | | (352,514 | ) | | | (50,242 | ) | | | — | | | | — | | | | (402,756 | ) |
Inverse Russell 2000® Strategy Fund | | | (40,071 | ) | | | 146,075 | | | | — | | | | — | | | | 106,004 | |
Dow Jones Industrial Average® Fund | | | (299,451 | ) | | | 205,124 | | | | — | | | | — | | | | (94,327 | ) |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (1,002,692 | ) | | | — | | | | (1,002,692 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (1,762,247 | ) | | | — | | | | (1,762,247 | ) |
High Yield Strategy Fund | | | — | | | | — | | | | (1,201,488 | ) | | | 240,981 | | | | (960,507 | ) |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | 393,914 | | | | (515,431 | ) | | | (121,517 | ) |
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 | | $ | 1,127,820 | | | $ | (670,594 | ) | | $ | — | | | $ | — | | | $ | 457,226 | |
S&P 500® Fund | | | 75,134 | | | | 50,391 | | | | — | | | | — | | | | 125,525 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 1,064,700 | | | | 7,376,006 | | | | — | | | | — | | | | 8,440,706 | |
Inverse S&P 500® Strategy Fund | | | 24,089 | | | | (1,043,583 | ) | | | — | | | | — | | | | (1,019,494 | ) |
Inverse NASDAQ-100® Strategy Fund | | | 22,144 | | | | (1,787,198 | ) | | | — | | | | — | | | | (1,765,054 | ) |
Mid-Cap 1.5x Strategy Fund | | | 62,218 | | | | (158,091 | ) | | | — | | | | — | | | | (95,873 | ) |
Inverse Mid-Cap Strategy Fund | | | — | | | | 3,114 | | | | — | | | | — | | | | 3,114 | |
Russell 2000® 1.5x Strategy Fund | | | 96,509 | | | | 208,188 | | | | — | | | | — | | | | 304,697 | |
Russell 2000® Fund | | | 182,704 | | | | 27,926 | | | | — | | | | — | | | | 210,630 | |
Inverse Russell 2000® Strategy Fund | | | (31,475 | ) | | | (133,118 | ) | | | — | | | | — | | | | (164,593 | ) |
Dow Jones Industrial Average® Fund | | | (6,123 | ) | | | (162,566 | ) | | | — | | | | — | | | | (168,689 | ) |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (277,223 | ) | | | — | | | | (277,223 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (49,356 | ) | | | — | | | | (49,356 | ) |
High Yield Strategy Fund | | | — | | | | — | | | | (130,356 | ) | | | (4,211 | ) | | | (134,567 | ) |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | 192,999 | | | | (20,115 | ) | | | 172,884 | |
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 217 |
NOTES TO FINANCIAL STATEMENTS (continued) |
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or 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 | | $ | 1,387,730 | | | $ | — | | | $ | 1,387,730 | | | $ | — | | | $ | (1,269,844 | ) | | $ | 117,886 | |
S&P 500® Fund | Swap equity contracts | | | 92,957 | | | | — | | | | 92,957 | | | | — | | | | (19,890 | ) | | | 73,067 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 8,922,674 | | | | — | | | | 8,922,674 | | | | — | | | | (8,472,564 | ) | | | 450,110 | |
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | | | 123,233 | | | | — | | | | 123,233 | | | | — | | | | (90,528 | ) | | | 32,705 | |
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | | | 175,320 | | | | — | | | | 175,320 | | | | — | | | | (29,766 | ) | | | 145,554 | |
Russell 2000® Fund | Swap equity contracts | | | 100,421 | | | | — | | | | 100,421 | | | | — | | | | — | | | | 100,421 | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 32,708 | | | | — | | | | 32,708 | | | | — | | | | — | | | | 32,708 | |
Dow Jones Industrial Average® Fund | Swap equity contracts | | | 30,639 | | | | — | | | | 30,639 | | | | — | | | | — | | | | 30,639 | |
High Yield Strategy Fund | Credit index swap agreements | | | 5,458 | | | | — | | | | 5,458 | | | | — | | | | — | | | | 5,458 | |
218 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Nova Fund | Swap equity contracts | | $ | 988,376 | | | $ | — | | | $ | 988,376 | | | $ | (988,376 | ) | | $ | — | | | $ | — | |
Inverse S&P 500® Strategy Fund | Swap equity contracts | | | 1,552,584 | | | | — | | | | 1,552,584 | | | | (1,296,927 | ) | | | (255,657 | ) | | | — | |
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | | | 669,377 | | | | — | | | | 669,377 | | | | (580,650 | ) | | | (88,727 | ) | | | — | |
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | | | 9,204 | | | | — | | | | 9,204 | | | | (9,204 | ) | | | — | | | | — | |
Inverse Mid-Cap Strategy Fund | Swap equity contracts | | | 5,573 | | | | — | | | | 5,573 | | | | (5,349 | ) | | | — | | | | 224 | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 54,570 | | | | — | | | | 54,570 | | | | (54,570 | ) | | | — | | | | — | |
Dow Jones Industrial Average® Fund | Swap equity contracts | | | 38,737 | | | | — | | | | 38,737 | | | | — | | | | (38,737 | ) | | | — | |
High Yield Strategy Fund | Credit index swap agreements | | | 78,185 | | | | — | | | | 78,185 | | | | (78,185 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
| | THE RYDEX FUNDS ANNUAL REPORT | 219 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 March 31, 2022.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Nova Fund | Barclays Bank plc | Total return swap agreements | | $ | — | | | $ | 4,300,000 | |
| | Goldman Sachs International | Futures contracts | | | 1,271,157 | | | | — | |
| Goldman Sachs International | Total return swap agreements | | | | | | | 5,570,000 | |
Nova Fund Total | | | | | 1,271,157 | | | | 9,870,000 | |
S&P 500® Fund | Barclays Bank plc | Total return swap agreements | | | 80,000 | | | | — | |
| | Goldman Sachs International | Futures contracts | | | 95,315 | | | | — | |
| Goldman Sachs International | Total return swap agreements | | | — | | | | 150,000 | |
S&P 500® Fund Total | | | | | 175,315 | | | | 150,000 | |
Inverse S&P 500® Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 500,000 | | | | — | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 6,168,000 | | | | 26,730,000 | |
| Goldman Sachs International | Total return swap agreements | | | — | | | | 18,700,000 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund Total | | | | | 6,168,000 | | | | 45,430,000 | |
Inverse NASDAQ-100® Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 170,000 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Barclays Bank plc | Total return swap agreements | | | — | | | | 270,000 | |
| Goldman Sachs International | Total return swap agreements | | | — | | | | 170,000 | |
Mid-Cap 1.5x Strategy Fund Total | | | | | — | | | | 440,000 | |
Russell 2000® 1.5x Strategy Fund | Goldman Sachs International | Total return swap agreements | | | — | | | | 140,000 | |
Russell 2000® Fund | Barclays Bank plc | Total return swap agreements | | | 40,000 | | | | — | |
| Goldman Sachs International | Futures contracts | | | 29,098 | | | | — | |
Russell 2000® Fund Total | | | | | 69,098 | | | | — | |
Dow Jones Industrial Average® Fund | Barclays Bank plc | Total return swap agreements | | | 911,000 | | | | — | |
Government Long Bond 1.2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 64,682 | | | | — | |
High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 227,680 | | | | — | |
| | Goldman Sachs International | Credit default swap agreements | | | — | | | | 340,584 | |
| Goldman Sachs International | Futures contracts | | | 5,622 | | | | — | |
High Yield Strategy Fund Total | | | | | 233,302 | | | | 340,584 | |
Inverse High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 715,554 | | | | — | |
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.
220 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The 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.
For the year ended March 31, 2022, GFD retained sales charges of $136,076 relating to sales of A-Class shares of the Trust.
| | THE RYDEX FUNDS ANNUAL REPORT | 221 |
NOTES TO FINANCIAL STATEMENTS (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 year ended March 31, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Nova Fund | | $ | 59,539 | |
Inverse S&P 500® Strategy Fund | | | 11,661 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 52,089 | |
Inverse NASDAQ-100® Strategy Fund | | | 3,067 | |
Mid-Cap 1.5x Strategy Fund | | | 2,953 | |
Inverse Mid-Cap Strategy Fund | | | 155 | |
Russell 2000® 1.5x Strategy Fund | | | 2,709 | |
Inverse Russell 2000® Strategy Fund | | | 2,882 | |
Dow Jones Industrial Average® Fund | | | 3,367 | |
Government Long Bond 1.2x Strategy Fund | | | 11,960 | |
Inverse Government Long Bond Strategy Fund | | | 13,058 | |
High Yield Strategy Fund | | | 5,138 | |
Inverse High Yield Strategy Fund | | | 911 | |
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.
222 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 Bond | | | | | | | | |
0.28% | | | | | | | | | | 2.38% | | | | | | | | |
Due 04/01/22 | | $ | 151,286,307 | | | $ | 151,287,484 | | | Due 05/15/51 | | $ | 155,999,600 | | | $ | 154,312,098 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.25% | | | | | | | | | | 1.25% | | | | | | | | |
Due 04/01/22 | | | 58,268,731 | | | | 58,269,135 | | | Due 04/30/28 | | | 63,485,700 | | | | 59,434,112 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.24% | | | | | | | | | | 0.13% | | | | | | | | |
Due 04/01/22 | | | 15,149,870 | | | | 15,149,971 | | | Due 01/15/30 | | | 14,626,728 | | | | 15,452,970 | |
| | | | | | | | | | | | | | | | | | | |
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 March 31, 2022, 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 | | $ | 8,019 | | | $ | (8,019 | ) | | $ | — | | | | $ | 8,114 | | | $ | — | | | $ | 8,114 | |
S&P 500® Fund | | | 30,831 | | | | (30,831 | ) | | | — | | | | | 31,265 | | | | — | | | | 31,265 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 260,766 | | | | (260,766 | ) | | | — | | | | | 278,215 | | | | — | | | | 278,215 | |
Mid-Cap 1.5x Strategy Fund | | | 68,174 | | | | (68,174 | ) | | | — | | | | | 71,069 | | | | — | | | | 71,069 | |
Russell 2000® 1.5x Strategy Fund | | | 115,063 | | | | (115,063 | ) | | | — | | | | | 121,296 | | | | — | | | | 121,296 | |
Russell 2000® Fund | | | 1,312,135 | | | | (1,312,135 | ) | | | — | | | | | 1,361,239 | | | | — | | | | 1,361,239 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
| | THE RYDEX FUNDS ANNUAL REPORT | 223 |
NOTES TO FINANCIAL STATEMENTS (continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. 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.
The tax character of distributions paid during the year ended March 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Nova Fund | | $ | 20,301,386 | | | $ | — | | | $ | 20,301,386 | |
S&P 500® Fund | | | 2,781,735 | | | | — | | | | 2,781,735 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 12,389,493 | | | | — | | | | 12,389,493 | |
Mid-Cap 1.5x Strategy Fund | | | 2,302,154 | | | | — | | | | 2,302,154 | |
Russell 2000® 1.5x Strategy Fund | | | 3,956,808 | | | | — | | | | 3,956,808 | |
Russell 2000® Fund | | | 4,144,986 | | | | — | | | | 4,144,986 | |
Dow Jones Industrial Average® Fund | | | 441,042 | | | | — | | | | 441,042 | |
Government Long Bond 1.2x Strategy Fund | | | 644,891 | | | | — | | | | 644,891 | |
Inverse High Yield Strategy Fund | | | 111,114 | | | | — | | | | 111,114 | |
U.S. Government Money Market Fund | | | 4,517 | | | | 88 | | | | 4,605 | |
The tax character of distributions paid during the year ended March 31, 2021 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Nova Fund | | $ | 1,913,003 | | | $ | — | | | $ | 1,913,003 | |
S&P 500® Fund | | | 11,038,973 | | | | 10,400,477 | | | | 21,439,450 | |
Inverse S&P 500® Strategy Fund | | | 300,608 | | | | — | | | | 300,608 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 19,528,645 | | | | — | | | | 19,528,645 | |
Inverse NASDAQ-100® Strategy Fund | | | 23,879 | | | | — | | | | 23,879 | |
Mid-Cap 1.5x Strategy Fund | | | 89,713 | | | | — | | | | 89,713 | |
Inverse Mid-Cap Strategy Fund | | | 5,437 | | | | — | | | | 5,437 | |
Russell 2000® 1.5x Strategy Fund | | | 25,705 | | | | — | | | | 25,705 | |
Inverse Russell 2000® Strategy Fund | | | 6,140 | | | | — | | | | 6,140 | |
Dow Jones Industrial Average® Fund | | | 987,661 | | | | — | | | | 987,661 | |
Government Long Bond 1.2x Strategy Fund | | | 15,954,125 | | | | — | | | | 15,954,125 | |
Inverse Government Long Bond Strategy Fund | | | 122,836 | | | | — | | | | 122,836 | |
Inverse High Yield Strategy Fund | | | 72,627 | | | | — | | | | 72,627 | |
U.S. Government Money Market Fund | | | 146,286 | | | | 4,651 | | | | 150,937 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
224 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of March 31, 2022 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Total | |
Nova Fund | | $ | 14,448,535 | | | $ | — | | | $ | (46,079,475 | ) | | $ | — | | | $ | (31,630,940 | ) |
S&P 500® Fund | | | 1,381,295 | | | | — | | | | 30,251,173 | | | | — | | | | 31,632,468 | |
Inverse S&P 500® Strategy Fund | | | — | | | | — | | | | (1,662,196 | ) | | | (265,478,005 | ) | | | (267,140,201 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | — | | | | (30,077,064 | ) | | | — | | | | (30,077,064 | ) |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | | | | (663,238 | ) | | | (68,539,426 | ) | | | (69,202,664 | ) |
Mid-Cap 1.5x Strategy Fund | | | — | | | | — | | | | 527,863 | | | | — | | | | 527,863 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | — | | | | (6,325 | ) | | | (5,827,832 | ) | | | (5,834,157 | ) |
Russell 2000® 1.5x Strategy Fund | | | — | | | | — | | | | (68,740 | ) | | | (1,445,717 | ) | | | (1,514,457 | ) |
Russell 2000® Fund | | | — | | | | — | | | | (1,830,020 | ) | | | (186,896 | ) | | | (2,016,916 | ) |
Inverse Russell 2000® Strategy Fund | | | — | | | | — | | | | (23,478 | ) | | | (41,129,808 | ) | | | (41,153,286 | ) |
Dow Jones Industrial Average® Fund | | | 25,847 | | | | — | | | | 4,651,238 | | | | (2,390,866 | ) | | | 2,286,219 | |
Government Long Bond 1.2x Strategy Fund | | | 52 | | | | — | | | | (5,233,946 | ) | | | (20,151,378 | ) | | | (25,385,272 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (2,882,414 | ) | | | (260,571,951 | ) | | | (263,454,365 | ) |
High Yield Strategy Fund | | | 50,447 | | | | — | | | | 18,007 | | | | (11,448,300 | ) | | | (11,379,846 | ) |
Inverse High Yield Strategy Fund | | | — | | | | — | | | | (63,080 | ) | | | (10,393,632 | ) | | | (10,456,712 | ) |
U.S. Government Money Market Fund | | | 7,415 | | | | 30 | | | | — | | | | (118,604 | ) | | | (111,159 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of March 31, 2022, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | | |
Fund | | Short-Term | | | Long-Term | | | Total
Capital Loss
Carryforward | |
Inverse S&P 500® Strategy Fund | | $ | (238,758,028 | ) | | $ | (26,719,977 | ) | | $ | (265,478,005 | ) |
Inverse NASDAQ-100® Strategy Fund | | | (64,540,595 | ) | | | (3,998,831 | ) | | | (68,539,426 | ) |
Inverse Mid-Cap Strategy Fund | | | (5,088,637 | ) | | | (739,195 | ) | | | (5,827,832 | ) |
Russell 2000® 1.5x Strategy Fund | | | (1,398,612 | ) | | | (27,462 | ) | | | (1,426,074 | ) |
Russell 2000® Fund | | | (108,731 | ) | | | (78,165 | ) | | | (186,896 | ) |
Inverse Russell 2000® Strategy Fund | | | (34,353,435 | ) | | | (6,751,904 | ) | | | (41,105,339 | ) |
Dow Jones Industrial Average® Fund | | | (1,957,430 | ) | | | (433,436 | ) | | | (2,390,866 | ) |
Government Long Bond 1.2x Strategy Fund | | | (14,882,143 | ) | | | (5,269,235 | ) | | | (20,151,378 | ) |
Inverse Government Long Bond Strategy Fund | | | (210,654,580 | ) | | | (49,235,259 | ) | | | (259,889,839 | ) |
High Yield Strategy Fund | | | (9,524,683 | ) | | | (927,990 | ) | | | (10,452,673 | ) |
Inverse High Yield Strategy Fund | | | (8,478,569 | ) | | | (1,697,759 | ) | | | (10,176,328 | ) |
For the year ended March 31, 2022, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Inverse Russell 2000® Strategy Fund | | $ | 75,927 | |
Inverse High Yield Strategy Fund | | | 305,587 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts and swap agreements, losses deferred due to wash sales, distributions in connection with redemption of fund shares, the deferral of qualified late-year losses, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from
| | THE RYDEX FUNDS ANNUAL REPORT | 225 |
NOTES TO FINANCIAL STATEMENTS (continued) |
the tax treatment of net operating losses, bond premium/discount amortization, and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 31, 2022 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Nova Fund | | $ | 96,119,457 | | | $ | (96,119,457 | ) |
S&P 500® Fund | | | 5,853,417 | | | | (5,853,417 | ) |
Inverse S&P 500® Strategy Fund | | | (424,943 | ) | | | 424,943 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 42,153,064 | | | | (42,153,064 | ) |
Inverse NASDAQ-100® Strategy Fund | | | (368,241 | ) | | | 368,241 | |
Mid-Cap 1.5x Strategy Fund | | | 2,535,453 | | | | (2,535,453 | ) |
Inverse Mid-Cap Strategy Fund | | | (10,560 | ) | | | 10,560 | |
Russell 2000® 1.5x Strategy Fund | | | (102,757 | ) | | | 102,757 | |
Russell 2000® Fund | | | (374,133 | ) | | | 374,133 | |
Inverse Russell 2000® Strategy Fund | | | (89,098 | ) | | | 89,098 | |
Inverse Government Long Bond Strategy Fund | | | (1,572,238 | ) | | | 1,572,238 | |
Inverse High Yield Strategy Fund | | | (119,533 | ) | | | 119,533 | |
At March 31, 2022, 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 | | $ | 490,250,356 | | | $ | — | | | $ | (46,079,475 | ) | | $ | (46,079,475 | ) |
S&P 500® Fund | | | 129,891,632 | | | | 30,331,117 | | | | (79,944 | ) | | | 30,251,173 | |
Inverse S&P 500® Strategy Fund | | | 55,464,517 | | | | 1,971 | | | | (1,664,167 | ) | | | (1,662,196 | ) |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 153,043,277 | | | | — | | | | (30,077,064 | ) | | | (30,077,064 | ) |
Inverse NASDAQ-100® Strategy Fund | | | 30,274,331 | | | | 13,538 | | | | (676,776 | ) | | | (663,238 | ) |
Mid-Cap 1.5x Strategy Fund | | | 12,792,726 | | | | 777,881 | | | | (250,018 | ) | | | 527,863 | |
Inverse Mid-Cap Strategy Fund | | | 346,485 | | | | — | | | | (6,325 | ) | | | (6,325 | ) |
Russell 2000® 1.5x Strategy Fund | | | 10,235,507 | | | | 473,494 | | | | (542,234 | ) | | | (68,740 | ) |
Russell 2000® Fund | | | 29,221,593 | | | | 1,014,034 | | | | (2,844,054 | ) | | | (1,830,020 | ) |
Inverse Russell 2000® Strategy Fund | | | 6,046,268 | | | | 37,080 | | | | (60,558 | ) | | | (23,478 | ) |
Dow Jones Industrial Average® Fund | | | 25,252,996 | | | | 4,746,484 | | | | (95,246 | ) | | | 4,651,238 | |
Government Long Bond 1.2x Strategy Fund | | | 69,889,581 | | | | — | | | | (5,233,946 | ) | | | (5,233,946 | ) |
Inverse Government Long Bond Strategy Fund | | | 226,029,156 | | | | — | | | | (2,882,414 | ) | | | (2,882,414 | ) |
High Yield Strategy Fund | | | 20,671,585 | | | | 208,654 | | | | (190,647 | ) | | | 18,007 | |
Inverse High Yield Strategy Fund | | | 6,731,858 | | | | 43,096 | | | | (106,176 | ) | | | (63,080 | ) |
U.S. Government Money Market Fund | | | 373,863,649 | | | | — | | | | — | | | | — | |
226 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until April 1, 2022:
Fund | | Ordinary | | | Capital | |
Russell 2000® 1.5x Strategy Fund | | $ | (19,643 | ) | | $ | — | |
Inverse Russell 2000® Strategy Fund | | | (24,469 | ) | | | — | |
Inverse Government Long Bond Strategy Fund | | | (682,112 | ) | | | — | |
High Yield Strategy Fund | | | (995,627 | ) | | | — | |
Inverse High Yield Strategy Fund | | | (217,304 | ) | | | — | |
U.S. Government Money Market Fund | | | (118,604 | ) | | | — | |
Note 9 – Securities Transactions
For the year ended March 31, 2022, 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 | | $ | 3,806,607,646 | | | $ | 3,801,312,647 | |
S&P 500® Fund | | | 491,392,809 | | | | 478,403,772 | |
Inverse S&P 500® Strategy Fund | | | — | | | | 1,500,000 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 2,918,429,241 | | | | 2,888,544,950 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | 950,000 | |
Mid-Cap 1.5x Strategy Fund | | | 22,179,774 | | | | 22,270,884 | |
Inverse Mid-Cap Strategy Fund | | | 30,000 | | | | 95,000 | |
Russell 2000® 1.5x Strategy Fund | | | 9,068,968 | | | | 2,207,200 | |
Russell 2000® Fund | | | 26,102,538 | | | | 2,493,404 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 600,000 | |
Dow Jones Industrial Average® Fund | | | 68,965,028 | | | | 67,730,583 | |
Government Long Bond 1.2x Strategy Fund | | | 11,000,000 | | | | 10,730,000 | |
High Yield Strategy Fund | | | — | | | | 700,000 | |
Inverse High Yield Strategy Fund | | | 2,800,000 | | | | 3,800,000 | |
U.S. Government Money Market Fund | | | 3,728,521 | | | | 1,259,104 | |
For the year ended March 31, 2022, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Inverse NASDAQ-100® Strategy Fund | | $ | 2,041,641 | | | $ | — | |
Russell 2000® Fund | | | 5,097,070 | | | | 5,091,211 | |
Government Long Bond 1.2x Strategy Fund | | | 1,747,346,641 | | | | 1,814,422,602 | |
Inverse Government Long Bond Strategy Fund | | | 1,371,004,844 | | | | 1,413,018,625 | |
High Yield Strategy Fund | | | 2,548,535 | | | | 2,545,605 | |
U.S. Government Money Market Fund | | | 5,700,055 | | | | — | |
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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NOTES TO FINANCIAL STATEMENTS (continued) |
trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended March 31, 2022, 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 | | $ | 916,583,525 | | | $ | 756,239,125 | | | $ | 27,405,100 | |
S&P 500® Fund | | | 336,567,238 | | | | 311,371,227 | | | | 1,196,175 | |
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | | | 641,273,289 | | | | 608,371,177 | | | | (10,197,116 | ) |
Mid-Cap 1.5x Strategy Fund | | | 7,042,852 | | | | 8,287,733 | | | | 2,038,813 | |
Russell 2000® 1.5x Strategy Fund | | | 8,905,564 | | | | 3,135,131 | | | | (319,546 | ) |
Russell 2000® Fund | | | 17,902,142 | | | | 6,027,924 | | | | (459,099 | ) |
Dow Jones Industrial Average® Fund | | | 26,116,759 | | | | 19,064,017 | | | | (123,359 | ) |
U.S. Government Money Market Fund | | | 16,271,864 | | | | — | | | | — | |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.26% for the year ended March 31, 2022. The Funds did not have any borrowings outstanding under this agreement at March 31, 2022.
The average daily balances borrowed for the year ended March 31, 2022, were as follows:
Fund | | Average Daily Balance | |
Nova Fund | | $ | 19,129 | |
Inverse S&P 500® Strategy Fund | | | 2,447 | |
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | | | 205,734 | |
Inverse NASDAQ-100® Strategy Fund | | | 178 | |
Mid-Cap 1.5x Strategy Fund | | | 3,959 | |
Russell 2000® 1.5x Strategy Fund | | | 1,225 | |
Russell 2000® Fund | | | 4,874 | |
Inverse Russell 2000® Strategy Fund | | | 326 | |
Dow Jones Industrial Average® Fund | | | 12,984 | |
Inverse Government Long Bond Strategy Fund | | | 907 | |
High Yield Strategy Fund | | | 6,148 | |
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.
228 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. On March 12, 2021, the Solicitor General filed an amicus brief recommending that certiorari be denied. Plaintiffs filed a supplemental brief in response to the Solicitor General’s amicus brief on March 31, 2021, and Defendants filed a supplemental brief on April 1, 2021. The Court denied the petition for certiorari on April 19, 2021.
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 RYDEX FUNDS ANNUAL REPORT | 229 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. On August 20, 2021, the Second Circuit affirmed the District Court’s orders: (1) dismissing the intentional fraudulent conveyance claims against the shareholder-defendants; and (2) denying the plaintiff leave to amend the complaint to add a constructive fraudulent conveyance claim against the shareholder-defendants. Plaintiff filed a petition for rehearing en banc on September 3, 2021. On October 7, 2021, the Second Circuit denied the petition. On January 5, 2022, Plaintiff filed a petition for certiorari in the U.S. Supreme Court. That petition was denied on February 22, 2022.
As a result of the dismissals above, there are no longer claims pending against Rydex Series Funds related to the Tribune LBO.
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.
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Note 13 – Subsequent Events
On May 25, 2022, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for 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, Inverse Russell 2000 Strategy Fund and Inverse Government Long Bond Strategy Fund in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This arrangement
230 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (concluded) |
will take effect on August 1, 2022 and the end of the initial term is August 1, 2023. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board of Trustees upon sixty days’ written notice.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
| | THE RYDEX FUNDS ANNUAL REPORT | 231 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Nova Fund, S&P 500® Fund, Inverse S&P 500® Strategy Fund, Monthly Rebalance NASDAQ-100® 2x Strategy Fund, Inverse NASDAQ-100® Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 1.5x Strategy Fund, Russell 2000® Fund, Inverse Russell 2000® Strategy Fund, Dow Jones Industrial Average® Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, Inverse High Yield Strategy Fund and U.S. Government Money Market Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Nova Fund, S&P 500® Fund, Inverse S&P 500® Strategy Fund, Monthly Rebalance NASDAQ-100® 2x Strategy Fund, Inverse NASDAQ-100® Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 1.5x Strategy Fund, Russell 2000® Fund, Inverse Russell 2000® Strategy Fund, Dow Jones Industrial Average® Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, Inverse High Yield Strategy Fund and U.S. Government Money Market Fund (collectively referred to as the “Funds”), (sixteen of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (sixteen of the funds constituting Rydex Series Funds) at March 31, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 26, 2022
232 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 31, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | | Qualified
Dividend
Income | | | Dividend
Received
Deduction | | | Qualified
Interest
Income | | | Qualified
Short-Term
Capital Gain | |
Nova Fund | | | 1.95 | % | | | 1.98 | % | | | 0.31 | % | | | 100.00 | % |
S&P 500® Fund | | | 18.88 | % | | | 18.77 | % | | | 0.79 | % | | | 100.00 | % |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 2.94 | % | | | 3.05 | % | | | 0.59 | % | | | 100.00 | % |
Mid-Cap 1.5x Strategy Fund | | | 1.46 | % | | | 1.17 | % | | | 3.47 | % | | | 100.00 | % |
Russell 2000® 1.5x Strategy Fund | | | 0.00 | % | | | 0.00 | % | | | 0.05 | % | | | 100.00 | % |
Russell 2000® Fund | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 100.00 | % |
Dow Jones Industrial Average® Fund | | | 13.33 | % | | | 13.47 | % | | | 3.10 | % | | | 100.00 | % |
Government Long Bond 1.2x Strategy Fund | | | 0.00 | % | | | 0.00 | % | | | 99.15 | % | | | 0.00 | % |
Inverse High Yield Strategy Fund | | | 0.16 | % | | | 0.16 | % | | | 2.80 | % | | | 0.00 | % |
U.S. Government Money Market Fund | | | 0.00 | % | | | 0.00 | % | | | 83.41 | % | | | 100.00 | % |
With respect to the taxable year ended March 31, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term capital
gain, using proceeds
from shareholder
redemptions: | |
Nova Fund | | $ | — | | | $ | 24,205,511 | |
S&P 500® Fund | | | — | | | | 702,863 | |
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | 8,520,099 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 2,483,455 | |
U.S. Government Money Market Fund | | | 88 | | | | — | |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
| | THE RYDEX FUNDS ANNUAL REPORT | 233 |
OTHER INFORMATION (Unaudited)(concluded) |
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 may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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.
234 | THE RYDEX FUNDS ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge, upon request, 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 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 235 |
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 | | | | |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
236 | THE RYDEX FUNDS 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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 237 |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active 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. |
238 | THE RYDEX FUNDS 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 President of Mutual Funds Boards, 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); Managing 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 (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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 239 |
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: Director, 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. |
240 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | THE RYDEX FUNDS ANNUAL REPORT | 241 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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| | THE RYDEX FUNDS ANNUAL REPORT | 243 |
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3.31.2022
Rydex Funds Annual Report
Domestic Equity Funds |
S&P 500® Pure Growth Fund |
S&P 500® Pure Value Fund |
S&P MidCap 400® Pure Growth Fund |
S&P MidCap 400® Pure Value Fund |
S&P SmallCap 600® Pure Growth Fund |
S&P SmallCap 600® Pure Value Fund |
International Equity Funds |
Europe 1.25x Strategy Fund |
Japan 2x Strategy Fund |
Specialty Funds |
Strengthening Dollar 2x Strategy Fund |
Weakening Dollar 2x Strategy Fund |
GuggenheimInvestments.com | RBENF2-ANN-0322x0323 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
S&P 500® PURE GROWTH FUND | 10 |
S&P 500® PURE VALUE FUND | 18 |
S&P MIDCAP 400® PURE GROWTH FUND | 27 |
S&P MIDCAP 400® PURE VALUE FUND | 35 |
S&P SMALLCAP 600® PURE GROWTH FUND | 43 |
S&P SMALLCAP 600® PURE VALUE FUND | 52 |
EUROPE 1.25x STRATEGY FUND | 61 |
JAPAN 2x STRATEGY FUND | 70 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 78 |
WEAKENING DOLLAR 2x STRATEGY FUND | 86 |
NOTES TO FINANCIAL STATEMENTS | 94 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 111 |
OTHER INFORMATION | 112 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 114 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 120 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the 12-month period ended March 31, 2022.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2022
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.
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
2 | THE RYDEX FUNDS ANNUAL REPORT | |
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings 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 under-perform other segments of the equity market or the equity market as a whole. ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline ● The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the funds’ ability to achieve its investment objective and may decrease the Fund’s performance. ● These Funds are 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. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
The Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus
The Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the 12 months ended March 31, 2022, the Standard & Poor’s 500® (“S&P 500® ”) Index returned 15.65%, with gains faltering over the last few months amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the 12-month period ended March 31, 2022, the S&P 500® Index* returned 15.65%, as noted above. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 1.16%. The return of the MSCI Emerging Markets Index* was -11.37%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -4.15% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -0.66%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.06% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 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 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 supersector leaders in Europe. The index covers 50 stocks from 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
ICE U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: Euro (EUR), 57.6% + Japanese Yen (JPY), 13.6% + Pound Sterling (GBP), 11.9% + Canadian Dollar (CAD), 9.1% + Swedish Krona (SEK), 4.2% + Swiss Franc (CHF) 3.6%.
| | THE RYDEX FUNDS ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
6 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2021 and ending March 31, 2022.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.51% | (5.12%) | $ 1,000.00 | $ 948.80 | $ 7.34 |
C-Class | 2.26% | (5.47%) | 1,000.00 | 945.30 | 10.96 |
H-Class | 1.50% | (5.12%) | 1,000.00 | 948.80 | 7.29 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.52% | 12.99% | 1,000.00 | 1,129.90 | 8.07 |
C-Class | 2.27% | 12.58% | 1,000.00 | 1,125.80 | 12.03 |
H-Class | 1.53% | 13.00% | 1,000.00 | 1,130.00 | 8.12 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.51% | (8.07%) | 1,000.00 | 919.30 | 7.23 |
C-Class | 2.26% | (8.40%) | 1,000.00 | 916.00 | 10.80 |
H-Class | 1.51% | (8.09%) | 1,000.00 | 919.10 | 7.22 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.51% | 5.35% | 1,000.00 | 1,053.50 | 7.73 |
C-Class | 2.26% | 4.95% | 1,000.00 | 1,049.50 | 11.55 |
H-Class | 1.51% | 5.36% | 1,000.00 | 1,053.60 | 7.73 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.51% | (11.60%) | 1,000.00 | 884.00 | 7.09 |
C-Class | 2.26% | (11.94%) | 1,000.00 | 880.60 | 10.60 |
H-Class | 1.51% | (11.61%) | 1,000.00 | 883.90 | 7.09 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.52% | 3.50% | 1,000.00 | 1,035.00 | 7.71 |
C-Class | 2.26% | 3.12% | 1,000.00 | 1,031.20 | 11.44 |
H-Class | 1.51% | 3.51% | 1,000.00 | 1,035.10 | 7.66 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.68% | 1.30% | 1,000.00 | 1,013.00 | 8.43 |
C-Class | 2.45% | 0.94% | 1,000.00 | 1,009.40 | 12.27 |
H-Class | 1.68% | 1.32% | 1,000.00 | 1,013.20 | 8.43 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.49% | (27.41%) | 1,000.00 | 725.90 | 6.41 |
C-Class | 2.27% | (27.69%) | 1,000.00 | 723.10 | 9.75 |
H-Class | 1.49% | (27.41%) | 1,000.00 | 725.90 | 6.41 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.83% | 7.12% | 1,000.00 | 1,071.20 | 9.45 |
C-Class | 2.58% | 6.74% | 1,000.00 | 1,067.40 | 13.30 |
H-Class | 1.83% | 7.13% | 1,000.00 | 1,071.30 | 9.45 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.79% | (10.01%) | 1,000.00 | 899.90 | 8.48 |
C-Class | 2.53% | (10.34%) | 1,000.00 | 896.60 | 11.96 |
H-Class | 1.79% | (10.00%) | 1,000.00 | 900.00 | 8.48 |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.51% | 5.00% | $ 1,000.00 | $ 1,017.40 | $ 7.59 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.50% | 5.00% | 1,000.00 | 1,017.45 | 7.54 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.30 | 7.70 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.72 | 12.29 |
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.83% | 5.00% | 1,000.00 | 1,015.81 | 9.20 |
C-Class | 2.58% | 5.00% | 1,000.00 | 1,012.07 | 12.94 |
H-Class | 1.83% | 5.00% | 1,000.00 | 1,015.81 | 9.20 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.79% | 5.00% | 1,000.00 | 1,016.01 | 9.00 |
C-Class | 2.53% | 5.00% | 1,000.00 | 1,012.32 | 12.69 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.01 | 9.00 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
For the year ended March 31, 2022, S&P 500® Pure Growth Fund H-Class returned 10.53%, compared with a return of 12.14% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
Information Technology was the sector contributing the most to the return of the underlying index for the period, followed by Health Care and Consumer Discretionary. The Communication Services sector was the leading detractor from return, followed by the Financials sector and the Utilities sector.
Stocks contributing the most to return of the underlying index for the period were NVIDIA Corp., Fortinet, Inc., and Tesla, Inc. EPAM Systems, Inc., Moderna, Inc., and Etsy, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Fortinet, Inc. | 3.3% |
Tesla, Inc. | 3.1% |
NRG Energy, Inc. | 3.1% |
Diamondback Energy, Inc. | 2.8% |
Enphase Energy, Inc. | 2.7% |
NVIDIA Corp. | 2.7% |
Dexcom, Inc. | 2.6% |
SVB Financial Group | 2.5% |
Goldman Sachs Group, Inc. | 2.5% |
Devon Energy Corp. | 2.4% |
Top Ten Total | 27.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 10.53% | 14.46% | 13.26% |
A-Class Shares with sales charge‡ | 5.28% | 13.36% | 12.71% |
C-Class Shares | 9.71% | 13.61% | 12.42% |
C-Class Shares with CDSC§ | 8.71% | 13.61% | 12.42% |
H-Class Shares | 10.53% | 14.46% | 13.26% |
S&P 500 Pure Growth Index | 12.14% | 16.36% | 15.14% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P 500® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.0% |
| | | | | | | | | |
Technology - 30.9% |
Fortinet, Inc.* | | | 4,196 | | | $ | 1,433,941 | |
NVIDIA Corp. | | | 4,222 | | | | 1,152,015 | |
Monolithic Power Systems, Inc. | | | 2,096 | | | | 1,017,985 | |
KLA Corp. | | | 2,559 | | | | 936,748 | |
Advanced Micro Devices, Inc.* | | | 8,151 | | | | 891,230 | |
Applied Materials, Inc. | | | 6,033 | | | | 795,149 | |
Intuit, Inc. | | | 1,516 | | | | 728,953 | |
QUALCOMM, Inc. | | | 4,503 | | | | 688,149 | |
Teradyne, Inc. | | | 5,668 | | | | 670,128 | |
Microsoft Corp. | | | 2,168 | | | | 668,416 | |
Apple, Inc. | | | 3,583 | | | | 625,628 | |
Oracle Corp. | | | 7,483 | | | | 619,069 | |
Lam Research Corp. | | | 1,035 | | | | 556,426 | |
ServiceNow, Inc.* | | | 996 | | | | 554,662 | |
EPAM Systems, Inc.* | | | 1,856 | | | | 550,508 | |
Cadence Design Systems, Inc.* | | | 3,016 | | | | 496,011 | |
Adobe, Inc.* | | | 1,080 | | | | 492,070 | |
MSCI, Inc. — Class A | | | 950 | | | | 477,736 | |
Total Technology | | | | | | | 13,354,824 | |
| | | | | | | | | |
Consumer, Non-cyclical - 20.2% |
Dexcom, Inc.* | | | 2,182 | | | | 1,116,311 | |
Regeneron Pharmaceuticals, Inc.* | | | 1,321 | | | | 922,613 | |
Eli Lilly & Co. | | | 3,166 | | | | 906,648 | |
Moderna, Inc.* | | | 5,231 | | | | 901,092 | |
PerkinElmer, Inc. | | | 4,775 | | | | 833,047 | |
West Pharmaceutical Services, Inc. | | | 1,787 | | | | 733,939 | |
Gartner, Inc.* | | | 2,287 | | | | 680,291 | |
Thermo Fisher Scientific, Inc. | | | 1,020 | | | | 602,463 | |
Charles River Laboratories International, Inc.* | | | 1,888 | | | | 536,135 | |
Equifax, Inc. | | | 2,185 | | | | 518,063 | |
Bio-Techne Corp. | | | 1,186 | | | | 513,585 | |
Align Technology, Inc.* | | | 1,094 | | | | 476,984 | |
Total Consumer, Non-cyclical | | | | | | | 8,741,171 | |
| | | | | | | | | |
Financial - 12.0% |
SVB Financial Group* | | | 1,963 | | | | 1,098,200 | |
Goldman Sachs Group, Inc. | | | 3,254 | | | | 1,074,145 | |
Signature Bank | | | 3,253 | | | | 954,723 | |
Discover Financial Services | | | 8,299 | | | | 914,467 | |
Extra Space Storage, Inc. REIT | | | 2,869 | | | | 589,866 | |
First Republic Bank | | | 3,394 | | | | 550,168 | |
Total Financial | | | | | | | 5,181,569 | |
| | | | | | | | | |
Consumer, Cyclical - 11.6% |
Tesla, Inc.* | | | 1,259 | | | | 1,356,699 | |
Tractor Supply Co. | | | 3,856 | | | | 899,875 | |
AutoZone, Inc.* | | | 381 | | | | 778,985 | |
Pool Corp. | | | 1,653 | | | | 698,971 | |
O’Reilly Automotive, Inc.* | | | 989 | | | | 677,425 | |
Lowe’s Companies, Inc. | | | 2,905 | | | | 587,362 | |
Total Consumer, Cyclical | | | | | | | 4,999,317 | |
| | | | | | | | | |
Communications - 9.1% |
Arista Networks, Inc.* | | | 6,154 | | | | 855,283 | |
Etsy, Inc.* | | | 4,824 | | | | 599,527 | |
Alphabet, Inc. — Class A* | | | 195 | | | | 542,363 | |
Amazon.com, Inc.* | | | 161 | | | | 524,852 | |
Alphabet, Inc. — Class C* | | | 181 | | | | 505,531 | |
Netflix, Inc.* | | | 1,252 | | | | 468,987 | |
Meta Platforms, Inc. — Class A* | | | 2,032 | | | | 451,835 | |
Total Communications | | | | | | | 3,948,378 | |
| | | | | | | | | |
Energy - 7.9% |
Diamondback Energy, Inc. | | | 8,866 | | | | 1,215,352 | |
Enphase Energy, Inc.* | | | 5,746 | | | | 1,159,428 | |
Devon Energy Corp. | | | 17,248 | | | | 1,019,874 | |
Total Energy | | | | | | | 3,394,654 | |
| | | | | | | | | |
Industrial - 5.2% |
Generac Holdings, Inc.* | | | 3,279 | | | | 974,716 | |
Expeditors International of Washington, Inc. | | | 6,794 | | | | 700,869 | |
Old Dominion Freight Line, Inc. | | | 1,893 | | | | 565,401 | |
Total Industrial | | | | | | | 2,240,986 | |
| | | | | | | | | |
Utilities - 3.1% |
NRG Energy, Inc. | | | 35,210 | | | | 1,350,656 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $33,920,231) | | | | | | | 43,211,555 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 144,422 | | | | 144,422 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 55,625 | | | | 55,625 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 14,462 | | | | 14,462 | |
Total Repurchase Agreements | | | | |
(Cost $214,509) | | | | | | | 214,509 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $34,134,740) | | $ | 43,426,064 | |
Other Assets & Liabilities, net - (0.5)% | | | (232,402 | ) |
Total Net Assets - 100.0% | | $ | 43,193,662 | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P 500® PURE GROWTH FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 43,211,555 | | | $ | — | | | $ | — | | | $ | 43,211,555 | |
Repurchase Agreements | | | — | | | | 214,509 | | | | — | | | | 214,509 | |
Total Assets | | $ | 43,211,555 | | | $ | 214,509 | | | $ | — | | | $ | 43,426,064 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $33,920,231) | | $ | 43,211,555 | |
Repurchase agreements, at value (cost $214,509) | | | 214,509 | |
Receivables: |
Dividends | | | 3,240 | |
Fund shares sold | | | 1,409 | |
Interest | | | 2 | |
Total assets | | | 43,430,715 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 132,422 | |
Management fees | | | 25,482 | |
Distribution and service fees | | | 11,834 | |
Transfer agent and administrative fees | | | 9,140 | |
Portfolio accounting fees | | | 3,398 | |
Trustees’ fees* | | | 728 | |
Miscellaneous | | | 54,049 | |
Total liabilities | | | 237,053 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 43,193,662 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 36,233,492 | |
Total distributable earnings (loss) | | | 6,960,170 | |
Net assets | | $ | 43,193,662 | |
| | | | | |
A-Class: |
Net assets | | $ | 10,103,531 | |
Capital shares outstanding | | | 111,358 | |
Net asset value per share | | $ | 90.73 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 95.25 | |
| | | | | |
C-Class: |
Net assets | | $ | 5,339,116 | |
Capital shares outstanding | | | 70,058 | |
Net asset value per share | | $ | 76.21 | |
| | | | | |
H-Class: |
Net assets | | $ | 27,751,015 | |
Capital shares outstanding | | | 305,962 | |
Net asset value per share | | $ | 90.70 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 250,815 | |
Interest | | | 208 | |
Total investment income | | | 251,023 | |
| | | | | |
Expenses: |
Management fees | | | 596,893 | |
Distribution and service fees: |
A-Class | | | 36,594 | |
C-Class | | | 72,922 | |
H-Class | | | 144,140 | |
Transfer agent and administrative fees | | | 219,660 | |
Portfolio accounting fees | | | 79,585 | |
Professional fees | | | 26,955 | |
Custodian fees | | | 10,173 | |
Trustees’ fees* | | | 7,453 | |
Miscellaneous | | | 61,377 | |
Total expenses | | | 1,255,752 | |
Net investment loss | | | (1,004,729 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 5,835,053 | |
Net realized gain | | | 5,835,053 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (869,365 | ) |
Net change in unrealized appreciation (depreciation) | | | (869,365 | ) |
Net realized and unrealized gain | | | 4,965,688 | |
Net increase in net assets resulting from operations | | $ | 3,960,959 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (1,004,729 | ) | | $ | (533,445 | ) |
Net realized gain on investments | | | 5,835,053 | | | | 5,985,795 | |
Net change in unrealized appreciation (depreciation) on investments | | | (869,365 | ) | | | 14,848,012 | |
Net increase in net assets resulting from operations | | | 3,960,959 | | | | 20,300,362 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (437,487 | ) | | | (347,944 | ) |
C-Class | | | (216,675 | ) | | | (375,991 | ) |
H-Class | | | (1,874,420 | ) | | | (942,938 | ) |
Total distributions to shareholders | | | (2,528,582 | ) | | | (1,666,873 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 13,714,083 | | | | 3,027,956 | |
C-Class | | | 2,618,215 | | | | 3,741,861 | |
H-Class | | | 615,409,962 | | | | 89,764,435 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 433,712 | | | | 342,450 | |
C-Class | | | 210,233 | | | | 373,797 | |
H-Class | | | 1,859,579 | | | | 923,354 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (13,936,591 | ) | | | (5,118,294 | ) |
C-Class | | | (5,303,780 | ) | | | (6,297,073 | ) |
H-Class | | | (612,422,244 | ) | | | (105,900,746 | ) |
Net increase (decrease) from capital share transactions | | | 2,583,169 | | | | (19,142,260 | ) |
Net increase (decrease) in net assets | | | 4,015,546 | | | | (508,771 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 39,178,116 | | | | 39,686,887 | |
End of year | | $ | 43,193,662 | | | $ | 39,178,116 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 137,027 | | | | 39,994 | |
C-Class | | | 31,870 | | | | 65,460 | |
H-Class | | | 6,148,120 | | | | 1,203,307 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 4,172 | | | | 4,216 | |
C-Class | | | 2,402 | | | | 5,402 | |
H-Class | | | 17,891 | | | | 11,370 | |
Shares redeemed | | | | | | | | |
A-Class | | | (145,556 | ) | | | (70,507 | ) |
C-Class | | | (66,615 | ) | | | (98,665 | ) |
H-Class | | | (6,123,635 | ) | | | (1,433,175 | ) |
Net increase (decrease) in shares | | | 5,676 | | | | (272,598 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
S&P 500® PURE GROWTH FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 84.03 | | | $ | 53.91 | | | $ | 65.86 | | | $ | 66.50 | | | $ | 57.84 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.11 | ) | | | (.80 | ) | | | (.29 | ) | | | (.50 | ) | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.27 | | | | 34.07 | | | | (8.09 | ) | | | 3.42 | | | | 12.57 | |
Total from investment operations | | | 9.16 | | | | 33.27 | | | | (8.38 | ) | | | 2.92 | | | | 12.21 | |
Less distributions from: |
Net realized gains | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Total distributions | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Net asset value, end of period | | $ | 90.73 | | | $ | 84.03 | | | $ | 53.91 | | | $ | 65.86 | | | $ | 66.50 | |
|
Total Returnb | | | 10.53 | % | | | 61.92 | % | | | (13.76 | %) | | | 4.88 | % | | | 21.39 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,104 | | | $ | 9,724 | | | $ | 7,656 | | | $ | 15,456 | | | $ | 17,254 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | (1.06 | %) | | | (0.43 | %) | | | (0.75 | %) | | | (0.56 | %) |
Total expenses | | | 1.51 | % | | | 1.60 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 727 | % | | | 240 | % | | | 282 | % | | | 177 | % | | | 215 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.42 | | | $ | 46.47 | | | $ | 57.65 | | | $ | 59.10 | | | $ | 52.13 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.55 | ) | | | (1.16 | ) | | | (.69 | ) | | | (.90 | ) | | | (.75 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 8.80 | | | | 29.26 | | | | (6.92 | ) | | | 3.01 | | | | 11.27 | |
Total from investment operations | | | 7.25 | | | | 28.10 | | | | (7.61 | ) | | | 2.11 | | | | 10.52 | |
Less distributions from: |
Net realized gains | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Total distributions | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Net asset value, end of period | | $ | 76.21 | | | $ | 71.42 | | | $ | 46.47 | | | $ | 57.65 | | | $ | 59.10 | |
|
Total Returnb | | | 9.71 | % | | | 60.69 | % | | | (14.40 | %) | | | 4.09 | % | | | 20.50 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,339 | | | $ | 7,314 | | | $ | 6,050 | | | $ | 10,329 | | | $ | 13,442 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.91 | %) | | | (1.80 | %) | | | (1.18 | %) | | | (1.52 | %) | | | (1.32 | %) |
Total expenses | | | 2.26 | % | | | 2.35 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 727 | % | | | 240 | % | | | 282 | % | | | 177 | % | | | 215 | % |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 84.00 | | | $ | 53.89 | | | $ | 65.84 | | | $ | 66.49 | | | $ | 57.83 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.19 | ) | | | (.77 | ) | | | (.29 | ) | | | (.53 | ) | | | (.38 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.35 | | | | 34.03 | | | | (8.09 | ) | | | 3.44 | | | | 12.59 | |
Total from investment operations | | | 9.16 | | | | 33.26 | | | | (8.38 | ) | | | 2.91 | | | | 12.21 | |
Less distributions from: |
Net realized gains | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Total distributions | | | (2.46 | ) | | | (3.15 | ) | | | (3.57 | ) | | | (3.56 | ) | | | (3.55 | ) |
Net asset value, end of period | | $ | 90.70 | | | $ | 84.00 | | | $ | 53.89 | | | $ | 65.84 | | | $ | 66.49 | |
|
Total Return | | | 10.53 | % | | | 61.92 | % | | | (13.77 | %) | | | 4.86 | % | | | 21.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 27,751 | | | $ | 22,141 | | | $ | 25,981 | | | $ | 82,570 | | | $ | 109,644 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.21 | %) | | | (1.03 | %) | | | (0.44 | %) | | | (0.79 | %) | | | (0.59 | %) |
Total expenses | | | 1.51 | % | | | 1.61 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 727 | % | | | 240 | % | | | 282 | % | | | 177 | % | | | 215 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
For the year ended March 31, 2022, S&P 500® Pure Value Fund H-Class returned 16.26%, compared with a return of 18.36% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The Financials sector was the leading contributor to performance of the underlying index for the period, followed by the Energy sector and the Health Care sector. The Consumer Discretionary sector was the leading detractor from return, followed by the Communication Services sector.
The strongest contributors to performance of the underlying index for the year included Mosaic Co., Ford Motor Co., and Archer-Daniels-Midland Co. The stocks detracting most from performance of the underlying index were Mohawk Industries, Inc., Citigroup, Inc., and General Motors Co.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Berkshire Hathaway, Inc. — Class B | 2.4% |
Prudential Financial, Inc. | 2.0% |
Archer-Daniels-Midland Co. | 1.9% |
Paramount Global — Class B | 1.9% |
Mosaic Co. | 1.8% |
Cigna Corp. | 1.8% |
Allstate Corp. | 1.8% |
MetLife, Inc. | 1.8% |
Marathon Petroleum Corp. | 1.8% |
Westrock Co. | 1.7% |
Top Ten Total | 18.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
18 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 16.26% | 8.69% | 10.84% |
A-Class Shares with sales charge‡ | 10.74% | 7.64% | 10.30% |
C-Class Shares | 15.40% | 7.88% | 10.01% |
C-Class Shares with CDSC§ | 14.40% | 7.88% | 10.01% |
H-Class Shares | 16.26% | 8.70% | 10.84% |
S&P 500 Pure Value Index | 18.36% | 10.56% | 12.85% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.9% |
| | | | | | | | | |
Financial - 31.9% |
Berkshire Hathaway, Inc. — Class B* | | | 11,431 | | | $ | 4,034,114 | |
Prudential Financial, Inc. | | | 28,964 | | | | 3,422,676 | |
Allstate Corp. | | | 21,940 | | | | 3,038,909 | |
MetLife, Inc. | | | 43,208 | | | | 3,036,658 | |
American International Group, Inc. | | | 42,719 | | | | 2,681,472 | |
Loews Corp. | | | 41,216 | | | | 2,671,621 | |
Lincoln National Corp. | | | 40,433 | | | | 2,642,701 | |
Everest Re Group Ltd. | | | 8,226 | | | | 2,479,152 | |
Travelers Companies, Inc. | | | 10,834 | | | | 1,979,697 | |
Aflac, Inc. | | | 29,823 | | | | 1,920,303 | |
Invesco Ltd. | | | 82,892 | | | | 1,911,490 | |
Globe Life, Inc. | | | 17,595 | | | | 1,770,057 | |
Assurant, Inc. | | | 9,508 | | | | 1,728,840 | |
Hartford Financial Services Group, Inc. | | | 23,716 | | | | 1,703,046 | |
Principal Financial Group, Inc. | | | 22,808 | | | | 1,674,335 | |
Citigroup, Inc. | | | 30,131 | | | | 1,608,995 | |
Citizens Financial Group, Inc. | | | 33,836 | | | | 1,533,786 | |
People’s United Financial, Inc. | | | 71,581 | | | | 1,430,904 | |
Chubb Ltd. | | | 6,646 | | | | 1,421,579 | |
M&T Bank Corp. | | | 7,484 | | | | 1,268,538 | |
Wells Fargo & Co. | | | 26,022 | | | | 1,261,026 | |
KeyCorp | | | 46,939 | | | | 1,050,495 | |
Bank of New York Mellon Corp. | | | 19,613 | | | | 973,393 | |
State Street Corp. | | | 10,984 | | | | 956,926 | |
W R Berkley Corp. | | | 13,701 | | | | 912,316 | |
Huntington Bancshares, Inc. | | | 60,120 | | | | 878,954 | |
Truist Financial Corp. | | | 15,325 | | | | 868,928 | |
Fifth Third Bancorp | | | 18,408 | | | | 792,280 | |
Progressive Corp. | | | 6,817 | | | | 777,070 | |
Kimco Realty Corp. REIT | | | 29,408 | | | | 726,378 | |
U.S. Bancorp | | | 10,637 | | | | 565,357 | |
PNC Financial Services Group, Inc. | | | 2,536 | | | | 467,765 | |
Total Financial | | | | | | | 54,189,761 | |
| | | | | | | | | |
Consumer, Non-cyclical - 21.1% |
Archer-Daniels-Midland Co. | | | 35,657 | | | | 3,218,401 | |
Cigna Corp. | | | 12,813 | | | | 3,070,123 | |
CVS Health Corp. | | | 24,112 | | | | 2,440,375 | |
Centene Corp.* | | | 27,802 | | | | 2,340,650 | |
Tyson Foods, Inc. — Class A | | | 25,021 | | | | 2,242,632 | |
Kroger Co. | | | 35,262 | | | | 2,022,981 | |
Kraft Heinz Co. | | | 51,163 | | | | 2,015,310 | |
Universal Health Services, Inc. — Class B | | | 13,703 | | | | 1,986,250 | |
Molson Coors Beverage Co. — Class B | | | 36,004 | | | | 1,921,894 | |
Cardinal Health, Inc. | | | 27,970 | | | | 1,585,899 | |
AmerisourceBergen Corp. — Class A | | | 9,711 | | | | 1,502,389 | |
Anthem, Inc. | | | 2,668 | | | | 1,310,575 | |
Viatris, Inc. | | | 119,104 | | | | 1,295,852 | |
Henry Schein, Inc.* | | | 13,226 | | | | 1,153,175 | |
Corteva, Inc. | | | 19,665 | | | | 1,130,344 | |
Humana, Inc. | | | 2,583 | | | | 1,124,044 | |
Conagra Brands, Inc. | | | 32,944 | | | | 1,105,930 | |
Nielsen Holdings plc | | | 34,018 | | | | 926,650 | |
J M Smucker Co. | | | 6,082 | | | | 823,564 | |
Sysco Corp. | | | 8,232 | | | | 672,143 | |
DaVita, Inc.* | | | 5,901 | | | | 667,462 | |
Global Payments, Inc. | | | 4,755 | | | | 650,674 | |
Organon & Co. | | | 17,418 | | | | 608,411 | |
Total Consumer, Non-cyclical | | | | | | | 35,815,728 | |
| | | | | | | | | |
Energy - 8.8% |
Marathon Petroleum Corp. | | | 34,953 | | | | 2,988,482 | |
Valero Energy Corp. | | | 27,117 | | | | 2,753,460 | |
Phillips 66 | | | 25,631 | | | | 2,214,262 | |
Baker Hughes Co. | | | 53,483 | | | | 1,947,316 | |
Marathon Oil Corp. | | | 54,116 | | | | 1,358,853 | |
Kinder Morgan, Inc. | | | 69,564 | | | | 1,315,455 | |
Exxon Mobil Corp. | | | 14,249 | | | | 1,176,825 | |
Chevron Corp. | | | 7,077 | | | | 1,152,348 | |
Total Energy | | | | | | | 14,907,001 | |
| | | | | | | | | |
Consumer, Cyclical - 8.4% |
Walgreens Boots Alliance, Inc. | | | 44,082 | | | | 1,973,551 | |
BorgWarner, Inc. | | | 39,743 | | | | 1,546,003 | |
General Motors Co.* | | | 34,003 | | | | 1,487,291 | |
Ford Motor Co. | | | 83,900 | | | | 1,418,749 | |
Best Buy Company, Inc. | | | 14,113 | | | | 1,282,872 | |
Whirlpool Corp. | | | 7,212 | | | | 1,246,089 | |
PulteGroup, Inc. | | | 24,459 | | | | 1,024,832 | |
PVH Corp. | | | 13,177 | | | | 1,009,490 | |
Lennar Corp. — Class A | | | 11,390 | | | | 924,526 | |
Alaska Air Group, Inc.* | | | 15,339 | | | | 889,815 | |
Walmart, Inc. | | | 5,712 | | | | 850,631 | |
PACCAR, Inc. | | | 6,907 | | | | 608,300 | |
Total Consumer, Cyclical | | | | | | | 14,262,149 | |
| | | | | | | | | |
Communications - 8.1% |
Paramount Global — Class B | | | 83,485 | | | | 3,156,568 | |
DISH Network Corp. — Class A* | | | 65,654 | | | | 2,077,949 | |
AT&T, Inc. | | | 78,356 | | | | 1,851,552 | |
Lumen Technologies, Inc. | | | 145,041 | | | | 1,634,612 | |
Omnicom Group, Inc. | | | 9,559 | | | | 811,368 | |
News Corp. — Class A | | | 33,681 | | | | 746,034 | |
Fox Corp. — Class A | | | 16,936 | | | | 668,125 | |
Discovery, Inc. — Class C* | | | 26,437 | | | | 660,132 | |
Verizon Communications, Inc. | | | 12,658 | | | | 644,799 | |
T-Mobile US, Inc.* | | | 4,269 | | | | 547,926 | |
Discovery, Inc. — Class A*,1 | | | 14,728 | | | | 367,022 | |
Fox Corp. — Class B | | | 7,842 | | | | 284,508 | |
News Corp. — Class B | | | 10,309 | | | | 232,158 | |
Total Communications | | | | | | | 13,682,753 | |
| | | | | | | | | |
Utilities - 6.0% |
Pinnacle West Capital Corp. | | | 18,559 | | | | 1,449,458 | |
Consolidated Edison, Inc. | | | 10,988 | | | | 1,040,344 | |
Entergy Corp. | | | 6,878 | | | | 803,006 | |
Exelon Corp. | | | 16,736 | | | | 797,136 | |
Atmos Energy Corp. | | | 6,584 | | | | 786,722 | |
Evergy, Inc. | | | 10,400 | | | | 710,736 | |
PPL Corp. | | | 23,303 | | | | 665,534 | |
Edison International | | | 9,053 | | | | 634,615 | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
American Electric Power Company, Inc. | | | 6,304 | | | $ | 628,950 | |
Sempra Energy | | | 3,729 | | | | 626,919 | |
Duke Energy Corp. | | | 5,354 | | | | 597,828 | |
NiSource, Inc. | | | 18,257 | | | | 580,573 | |
DTE Energy Co. | | | 4,349 | | | | 574,981 | |
Constellation Energy Corp. | | | 5,579 | | | | 313,819 | |
Total Utilities | | | | | | | 10,210,621 | |
| | | | | | | | | |
Industrial - 5.6% |
Westrock Co. | | | 60,159 | | | | 2,829,278 | |
FedEx Corp. | | | 5,585 | | | | 1,292,313 | |
Huntington Ingalls Industries, Inc. | | | 6,252 | | | | 1,246,899 | |
CH Robinson Worldwide, Inc. | | | 10,668 | | | | 1,149,050 | |
Mohawk Industries, Inc.* | | | 9,069 | | | | 1,126,370 | |
Raytheon Technologies Corp. | | | 6,894 | | | | 682,988 | |
Westinghouse Air Brake Technologies Corp. | | | 6,351 | | | | 610,776 | |
Textron, Inc. | | | 7,667 | | | | 570,271 | |
Total Industrial | | | | | | | 9,507,945 | |
| | | | | | | | | |
Basic Materials - 5.4% |
Mosaic Co. | | | 46,740 | | | | 3,108,210 | |
LyondellBasell Industries N.V. — Class A | | | 16,749 | | | | 1,722,132 | |
Dow, Inc. | | | 24,586 | | | | 1,566,620 | |
International Paper Co. | | | 32,953 | | | | 1,520,781 | |
DuPont de Nemours, Inc. | | | 10,199 | | | | 750,443 | |
Eastman Chemical Co. | | | 4,519 | | | | 506,399 | |
Total Basic Materials | | | | | | | 9,174,585 | |
| | | | | | | | | |
Technology - 4.6% |
Hewlett Packard Enterprise Co. | | | 144,731 | | | | 2,418,455 | |
DXC Technology Co.* | | | 69,864 | | | | 2,279,662 | |
Western Digital Corp.* | | | 23,822 | | | | 1,182,762 | |
Leidos Holdings, Inc. | | | 9,183 | | | | 991,948 | |
Intel Corp. | | | 10,338 | | | | 512,351 | |
Fidelity National Information Services, Inc. | | | 4,283 | | | | 430,099 | |
Total Technology | | | | | | | 7,815,277 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $156,161,846) | | | | | | | 169,565,820 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.3% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 313,217 | | | $ | 313,217 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 120,637 | | | | 120,637 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 31,366 | | | | 31,366 | |
Total Repurchase Agreements | | | | |
(Cost $465,220) | | | | | | | 465,220 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 289,958 | | | | 289,958 | |
Total Securities Lending Collateral | | | | |
(Cost $289,958) | | | | | | | 289,958 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $156,917,024) | | $ | 170,320,998 | |
Other Assets & Liabilities, net - (0.4)% | | | (621,740 | ) |
Total Net Assets - 100.0% | | $ | 169,699,258 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P 500® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 169,565,820 | | | $ | — | | | $ | — | | | $ | 169,565,820 | |
Repurchase Agreements | | | — | | | | 465,220 | | | | — | | | | 465,220 | |
Securities Lending Collateral | | | 289,958 | | | | — | | | | — | | | | 289,958 | |
Total Assets | | $ | 169,855,778 | | | $ | 465,220 | | | $ | — | | | $ | 170,320,998 | |
22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $275,266 of securities loaned (cost $156,451,804) | | $ | 169,855,778 | |
Repurchase agreements, at value (cost $465,220) | | | 465,220 | |
Receivables: |
Dividends | | | 142,968 | |
Fund shares sold | | | 100,338 | |
Securities lending income | | | 46 | |
Interest | | | 3 | |
Total assets | | | 170,564,353 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 361,698 | |
Return of securities lending collateral | | | 289,958 | |
Management fees | | | 84,202 | |
Transfer agent and administrative fees | | | 30,201 | |
Distribution and service fees | | | 28,982 | |
Portfolio accounting fees | | | 11,227 | |
Trustees’ fees* | | | 799 | |
Miscellaneous | | | 58,028 | |
Total liabilities | | | 865,095 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 169,699,258 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 168,617,631 | |
Total distributable earnings (loss) | | | 1,081,627 | |
Net assets | | $ | 169,699,258 | |
| | | | | |
A-Class: |
Net assets | | $ | 3,600,338 | |
Capital shares outstanding | | | 35,551 | |
Net asset value per share | | $ | 101.27 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 106.32 | |
| | | | | |
C-Class: |
Net assets | | $ | 1,484,254 | |
Capital shares outstanding | | | 17,728 | |
Net asset value per share | | $ | 83.72 | |
| | | | | |
H-Class: |
Net assets | | $ | 164,614,666 | |
Capital shares outstanding | | | 1,617,903 | |
Net asset value per share | | $ | 101.75 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 1,553,567 | |
Interest | | | 172 | |
Income from securities lending, net | | | 479 | |
Total investment income | | | 1,554,218 | |
| | | | | |
Expenses: |
Management fees | | | 462,532 | |
Distribution and service fees: |
A-Class | | | 8,019 | |
C-Class | | | 13,585 | |
H-Class | | | 142,762 | |
Transfer agent and administrative fees | | | 170,493 | |
Portfolio accounting fees | | | 61,670 | |
Professional fees | | | 26,256 | |
Custodian fees | | | 8,139 | |
Trustees’ fees* | | | 6,010 | |
Line of credit fees | | | 70 | |
Miscellaneous | | | 47,777 | |
Total expenses | | | 947,313 | |
Net investment income | | | 606,905 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (3,314,399 | ) |
Net realized loss | | | (3,314,399 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 7,225,634 | |
Net change in unrealized appreciation (depreciation) | | | 7,225,634 | |
Net realized and unrealized gain | | | 3,911,235 | |
Net increase in net assets resulting from operations | | $ | 4,518,140 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 606,905 | | | $ | 215,028 | |
Net realized loss on investments | | | (3,314,399 | ) | | | (3,593,666 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 7,225,634 | | | | 9,801,986 | |
Net increase in net assets resulting from operations | | | 4,518,140 | | | | 6,423,348 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (75,017 | ) | | | (18,692 | ) |
C-Class | | | (36,672 | ) | | | (15,043 | ) |
H-Class | | | (281,574 | ) | | | (268,123 | ) |
Total distributions to shareholders | | | (393,263 | ) | | | (301,858 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 2,808,594 | | | | 874,138 | |
C-Class | | | 897,489 | | | | 4,340,519 | |
H-Class | | | 712,562,466 | | | | 277,399,114 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 74,923 | | | | 18,484 | |
C-Class | | | 36,338 | | | | 14,913 | |
H-Class | | | 265,822 | | | | 262,826 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,656,107 | ) | | | (835,197 | ) |
C-Class | | | (1,405,694 | ) | | | (4,645,403 | ) |
H-Class | | | (604,536,533 | ) | | | (234,482,610 | ) |
Net increase from capital share transactions | | | 108,047,298 | | | | 42,946,784 | |
Net increase in net assets | | | 112,172,175 | | | | 49,068,274 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 57,527,083 | | | | 8,458,809 | |
End of year | | $ | 169,699,258 | | | $ | 57,527,083 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 29,283 | | | | 10,614 | |
C-Class | | | 11,019 | | | | 72,449 | |
H-Class | | | 7,287,372 | | | | 3,827,657 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 803 | | | | 247 | |
C-Class | | | 470 | | | | 238 | |
H-Class | | | 2,835 | | | | 3,496 | |
Shares redeemed | | | | | | | | |
A-Class | | | (27,316 | ) | | | (13,352 | ) |
C-Class | | | (17,930 | ) | | | (80,649 | ) |
H-Class | | | (6,261,287 | ) | | | (3,353,123 | ) |
Net increase in shares | | | 1,025,249 | | | | 467,577 | |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.23 | | | $ | 48.65 | | | $ | 76.07 | | | $ | 83.46 | | | $ | 76.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .89 | | | | .70 | | | | 1.02 | | | | .85 | | | | .60 | |
Net gain (loss) on investments (realized and unrealized) | | | 13.43 | | | | 40.58 | | | | (27.62 | ) | | | (2.17 | ) | | | 7.41 | |
Total from investment operations | | | 14.32 | | | | 41.28 | | | | (26.60 | ) | | | (1.32 | ) | | | 8.01 | |
Less distributions from: |
Net investment income | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) |
Total distributions | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 101.27 | | | $ | 89.23 | | | $ | 48.65 | | | $ | 76.07 | | | $ | 83.46 | |
|
Total Returnb | | | 16.26 | % | | | 85.10 | % | | | (35.38 | %) | | | (1.26 | %) | | | 10.48 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,600 | | | $ | 2,925 | | | $ | 1,716 | | | $ | 3,518 | | | $ | 6,108 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.94 | % | | | 1.06 | % | | | 1.32 | % | | | 1.01 | % | | | 0.74 | % |
Total expenses | | | 1.51 | % | | | 1.60 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 823 | % | | | 1,207 | % | | | 254 | % | | | 190 | % | | | 252 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 74.69 | | | $ | 41.11 | | | $ | 64.87 | | | $ | 72.64 | | | $ | 67.13 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .14 | | | | .18 | | | | .17 | | | | .12 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 11.17 | | | | 34.10 | | | | (23.11 | ) | | | (1.82 | ) | | | 6.51 | |
Total from investment operations | | | 11.31 | | | | 34.28 | | | | (22.94 | ) | | | (1.70 | ) | | | 6.48 | |
Less distributions from: |
Net investment income | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) |
Total distributions | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 83.72 | | | $ | 74.69 | | | $ | 41.11 | | | $ | 64.87 | | | $ | 72.64 | |
|
Total Returnb | | | 15.40 | % | | | 83.72 | % | | | (35.87 | %) | | | (2.00 | %) | | | 9.66 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,484 | | | $ | 1,805 | | | $ | 1,321 | | | $ | 2,340 | | | $ | 4,058 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.17 | % | | | 0.32 | % | | | 0.26 | % | | | 0.17 | % | | | (0.05 | %) |
Total expenses | | | 2.26 | % | | | 2.35 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 823 | % | | | 1,207 | % | | | 254 | % | | | 190 | % | | | 252 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.64 | | | $ | 48.87 | | | $ | 76.39 | | | $ | 83.78 | | | $ | 76.71 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .98 | | | | .84 | | | | .96 | | | | .81 | | | | .57 | |
Net gain (loss) on investments (realized and unrealized) | | | 13.41 | | | | 40.63 | | | | (27.66 | ) | | | (2.13 | ) | | | 7.47 | |
Total from investment operations | | | 14.39 | | | | 41.47 | | | | (26.70 | ) | | | (1.32 | ) | | | 8.04 | |
Less distributions from: |
Net investment income | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (1.14 | ) | | | (.27 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (4.93 | ) | | | (.70 | ) |
Total distributions | | | (2.28 | ) | | | (.70 | ) | | | (.82 | ) | | | (6.07 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 101.75 | | | $ | 89.64 | | | $ | 48.87 | | | $ | 76.39 | | | $ | 83.78 | |
|
Total Return | | | 16.26 | % | | | 85.15 | % | | | (35.38 | %) | | | (1.25 | %) | | | 10.48 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 164,615 | | | $ | 52,797 | | | $ | 5,422 | | | $ | 43,352 | | | $ | 59,536 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.01 | % | | | 1.17 | % | | | 1.22 | % | | | 0.97 | % | | | 0.70 | % |
Total expenses | | | 1.52 | % | | | 1.58 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 823 | % | | | 1,207 | % | | | 254 | % | | | 190 | % | | | 252 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
For the year ended March 31, 2022, S&P MidCap 400® Pure Growth Fund H-Class returned -8.09%, compared with a return of -6.64% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The Energy sector contributed the most to the return of the underlying index for the period, followed by the Materials sector. The Consumer Discretionary, Consumer Staples and Health Care sectors were the leading detractors from return.
Cleveland-Cliffs, Inc., Murphy Oil Corp., and Steel Dynamics, Inc. added the most to return of the underlying index for the year. Boston Beer Company, Inc. - Class A, Scotts Miracle-Gro - Class A, and Emergent BioSolutions, Inc. detracted the most from performance of the underlying index for the year.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Cleveland-Cliffs, Inc. | 4.1% |
Navient Corp. | 2.7% |
SLM Corp. | 2.7% |
Louisiana-Pacific Corp. | 2.6% |
Steel Dynamics, Inc. | 2.5% |
Concentrix Corp. | 2.4% |
Dick’s Sporting Goods, Inc. | 2.3% |
Jefferies Financial Group, Inc. | 2.2% |
Antero Midstream Corp. | 2.0% |
Mimecast Ltd. | 1.9% |
Top Ten Total | 25.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (8.07%) | 7.67% | 7.95% |
A-Class Shares with sales charge‡ | (12.43%) | 6.63% | 7.43% |
C-Class Shares | (8.76%) | 6.87% | 7.15% |
C-Class Shares with CDSC§ | (9.57%) | 6.87% | 7.15% |
H-Class Shares | (8.09%) | 7.67% | 7.95% |
S&P MidCap 400 Pure Growth Index | (6.64%) | 9.30% | 9.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
28 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Financial - 20.6% |
Navient Corp. | | | 62,907 | | | $ | 1,071,935 | |
SLM Corp. | | | 57,367 | | | | 1,053,258 | |
Jefferies Financial Group, Inc. | | | 26,540 | | | | 871,839 | |
Pinnacle Financial Partners, Inc. | | | 6,641 | | | | 611,503 | |
Evercore, Inc. — Class A | | | 5,443 | | | | 605,915 | |
PacWest Bancorp | | | 13,081 | | | | 564,184 | |
Stifel Financial Corp. | | | 7,140 | | | | 484,806 | |
East West Bancorp, Inc. | | | 5,868 | | | | 463,689 | |
Life Storage, Inc. REIT | | | 3,166 | | | | 444,601 | |
UMB Financial Corp. | | | 3,874 | | | | 376,398 | |
National Storage Affiliates Trust REIT | | | 5,985 | | | | 375,619 | |
Affiliated Managers Group, Inc. | | | 2,652 | | | | 373,799 | |
First Financial Bankshares, Inc. | | | 6,377 | | | | 281,353 | |
Kinsale Capital Group, Inc. | | | 1,189 | | | | 271,116 | |
Camden Property Trust REIT | | | 1,393 | | | | 231,517 | |
Total Financial | | | | | | | 8,081,532 | |
| | | | | | | | | |
Consumer, Cyclical - 18.3% |
Dick’s Sporting Goods, Inc.1 | | | 8,879 | | | | 888,078 | |
Williams-Sonoma, Inc. | | | 4,176 | | | | 605,520 | |
Tempur Sealy International, Inc. | | | 19,749 | | | | 551,392 | |
Fox Factory Holding Corp.* | | | 5,269 | | | | 516,098 | |
Crocs, Inc.* | | | 6,380 | | | | 487,432 | |
Mattel, Inc.* | | | 19,511 | | | | 433,339 | |
Deckers Outdoor Corp.* | | | 1,462 | | | | 400,252 | |
GameStop Corp. — Class A*,1 | | | 2,258 | | | | 376,138 | |
Five Below, Inc.* | | | 2,241 | | | | 354,907 | |
Boyd Gaming Corp. | | | 5,323 | | | | 350,147 | |
YETI Holdings, Inc.* | | | 5,830 | | | | 349,683 | |
Churchill Downs, Inc. | | | 1,564 | | | | 346,864 | |
Wingstop, Inc. | | | 2,613 | | | | 306,635 | |
Avient Corp. | | | 6,181 | | | | 296,688 | |
Scientific Games Corp. — Class A* | | | 4,779 | | | | 280,766 | |
Brunswick Corp. | | | 3,136 | | | | 253,671 | |
Scotts Miracle-Gro Co. — Class A | | | 1,686 | | | | 207,311 | |
RH* | | | 507 | | | | 165,328 | |
Total Consumer, Cyclical | | | | | | | 7,170,249 | |
| | | | | | | | | |
Consumer, Non-cyclical - 17.3% |
Tenet Healthcare Corp.* | | | 7,752 | | | | 666,362 | |
Medpace Holdings, Inc.* | | | 3,359 | | | | 549,499 | |
Option Care Health, Inc.* | | | 18,545 | | | | 529,645 | |
Tandem Diabetes Care, Inc.* | | | 4,522 | | | | 525,863 | |
Repligen Corp.* | | | 2,596 | | | | 488,282 | |
Avis Budget Group, Inc.* | | | 1,642 | | | | 432,339 | |
FTI Consulting, Inc.* | | | 2,416 | | | | 379,843 | |
Neurocrine Biosciences, Inc.* | | | 3,793 | | | | 355,594 | |
STAAR Surgical Co.* | | | 4,056 | | | | 324,115 | |
ASGN, Inc.* | | | 2,743 | | | | 320,135 | |
GXO Logistics, Inc.* | | | 4,452 | | | | 317,606 | |
Paylocity Holding Corp.* | | | 1,456 | | | | 299,601 | |
Quidel Corp.* | | | 2,588 | | | | 291,047 | |
Darling Ingredients, Inc.* | | | 3,612 | | | | 290,332 | |
Bruker Corp. | | | 4,358 | | | | 280,219 | |
Service Corporation International | | | 4,029 | | | | 265,189 | |
Arrowhead Pharmaceuticals, Inc.* | | | 5,196 | | | | 238,964 | |
Syneos Health, Inc.* | | | 2,502 | | | | 202,537 | |
Total Consumer, Non-cyclical | | | | | | | 6,757,172 | |
| | | | | | | | | |
Industrial - 13.1% |
Louisiana-Pacific Corp. | | | 16,360 | | | | 1,016,283 | |
Builders FirstSource, Inc.* | | | 10,199 | | | | 658,244 | |
Axon Enterprise, Inc.* | | | 3,490 | | | | 480,678 | |
Saia, Inc.* | | | 1,695 | | | | 413,275 | |
Eagle Materials, Inc. | | | 3,059 | | | | 392,653 | |
Trex Company, Inc.* | | | 5,409 | | | | 353,370 | |
TopBuild Corp.* | | | 1,649 | | | | 299,112 | |
Carlisle Companies, Inc. | | | 1,074 | | | | 264,118 | |
Valmont Industries, Inc. | | | 1,024 | | | | 244,326 | |
Tetra Tech, Inc. | | | 1,283 | | | | 211,618 | |
Chart Industries, Inc.*,1 | | | 1,172 | | | | 201,314 | |
Vicor Corp.* | | | 2,850 | | | | 201,068 | |
Watts Water Technologies, Inc. — Class A | | | 1,411 | | | | 196,962 | |
Simpson Manufacturing Company, Inc. | | | 1,797 | | | | 195,945 | |
Total Industrial | | | | | | | 5,128,966 | |
| | | | | | | | | |
Technology - 11.3% |
Concentrix Corp. | | | 5,663 | | | | 943,229 | |
Azenta, Inc. | | | 5,364 | | | | 444,568 | |
Teradata Corp.* | | | 8,370 | | | | 412,557 | |
Power Integrations, Inc. | | | 4,324 | | | | 400,748 | |
Maximus, Inc. | | | 4,722 | | | | 353,914 | |
Digital Turbine, Inc.* | | | 8,071 | | | | 353,591 | |
Qualys, Inc.* | | | 2,249 | | | | 320,280 | |
Lattice Semiconductor Corp.* | | | 4,690 | | | | 285,856 | |
Ziff Davis, Inc.* | | | 2,737 | | | | 264,887 | |
SiTime Corp.* | | | 973 | | | | 241,129 | |
Silicon Laboratories, Inc.* | | | 1,485 | | | | 223,047 | |
Synaptics, Inc.* | | | 835 | | | | 166,583 | |
Total Technology | | | | | | | 4,410,389 | |
| | | | | | | | | |
Basic Materials - 8.8% |
Cleveland-Cliffs, Inc.* | | | 49,514 | | | | 1,594,846 | |
Steel Dynamics, Inc. | | | 11,835 | | | | 987,394 | |
Olin Corp. | | | 9,217 | | | | 481,865 | |
Valvoline, Inc. | | | 11,610 | | | | 366,411 | |
Total Basic Materials | | | | | | | 3,430,516 | |
| | | | | | | | | |
Energy - 7.1% |
Antero Midstream Corp. | | | 71,035 | | | | 772,151 | |
Murphy Oil Corp. | | | 18,678 | | | | 754,404 | |
Targa Resources Corp. | | | 9,996 | | | | 754,398 | |
PDC Energy, Inc. | | | 7,101 | | | | 516,101 | |
Total Energy | | | | | | | 2,797,054 | |
| | | | | | | | | |
Communications - 2.8% |
Mimecast Ltd.* | | | 9,492 | | | | 755,183 | |
Calix, Inc.* | | | 8,271 | | | | 354,909 | |
Total Communications | | | | | | | 1,110,092 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $34,618,203) | | | | | | | 38,885,970 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 227,100 | | | $ | 227,100 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 87,469 | | | | 87,469 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 22,742 | | | | 22,742 | |
Total Repurchase Agreements | | | | |
(Cost $337,311) | | | | | | | 337,311 | |
| | | | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 3.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 1,156,329 | | | | 1,156,329 | |
Total Securities Lending Collateral | | | | |
(Cost $1,156,329) | | | | | | | 1,156,329 | |
| | | | | | | | | |
Total Investments - 103.2% | | | | |
(Cost $36,111,843) | | $ | 40,379,610 | |
Other Assets & Liabilities, net - (3.2)% | | | (1,235,945 | ) |
Total Net Assets - 100.0% | | $ | 39,143,665 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 38,885,970 | | | $ | — | | | $ | — | | | $ | 38,885,970 | |
Repurchase Agreements | | | — | | | | 337,311 | | | | — | | | | 337,311 | |
Securities Lending Collateral | | | 1,156,329 | | | | — | | | | — | | | | 1,156,329 | |
Total Assets | | $ | 40,042,299 | | | $ | 337,311 | | | $ | — | | | $ | 40,379,610 | |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $1,099,039 of securities loaned (cost $35,774,532) | | $ | 40,042,299 | |
Repurchase agreements, at value (cost $337,311) | | | 337,311 | |
Receivables: |
Dividends | | | 21,770 | |
Securities lending income | | | 261 | |
Fund shares sold | | | 259 | |
Interest | | | 3 | |
Total assets | | | 40,401,903 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,156,329 | |
Management fees | | | 26,622 | |
Distribution and service fees | | | 10,203 | |
Transfer agent and administrative fees | | | 9,548 | |
Fund shares redeemed | | | 6,222 | |
Portfolio accounting fees | | | 3,550 | |
Trustees’ fees* | | | 601 | |
Miscellaneous | | | 45,163 | |
Total liabilities | | | 1,258,238 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 39,143,665 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 33,364,164 | |
Total distributable earnings (loss) | | | 5,779,501 | |
Net assets | | $ | 39,143,665 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,895,434 | |
Capital shares outstanding | | | 147,674 | |
Net asset value per share | | $ | 53.47 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 56.14 | |
| | | | | |
C-Class: |
Net assets | | $ | 2,023,150 | |
Capital shares outstanding | | | 47,297 | |
Net asset value per share | | $ | 42.78 | |
| | | | | |
H-Class: |
Net assets | | $ | 29,225,081 | |
Capital shares outstanding | | | 545,819 | |
Net asset value per share | | $ | 53.54 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 242,736 | |
Interest | | | 142 | |
Income from securities lending, net | | | 989 | |
Total investment income | | | 243,867 | |
| | | | | |
Expenses: |
Management fees | | | 444,634 | |
Distribution and service fees: |
A-Class | | | 26,565 | |
C-Class | | | 30,512 | |
H-Class | | | 114,019 | |
Transfer agent and administrative fees | | | 165,731 | |
Portfolio accounting fees | | | 59,284 | |
Professional fees | | | 22,639 | |
Trustees’ fees* | | | 8,816 | |
Custodian fees | | | 8,080 | |
Line of credit fees | | | 26 | |
Miscellaneous | | | 37,809 | |
Total expenses | | | 918,115 | |
Net investment loss | | | (674,248 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 9,101,534 | |
Net realized gain | | | 9,101,534 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (12,682,247 | ) |
Net change in unrealized appreciation (depreciation) | | | (12,682,247 | ) |
Net realized and unrealized loss | | | (3,580,713 | ) |
Net decrease in net assets resulting from operations | | $ | (4,254,961 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (674,248 | ) | | $ | (723,024 | ) |
Net realized gain on investments | | | 9,101,534 | | | | 13,406,949 | |
Net change in unrealized appreciation (depreciation) on investments | | | (12,682,247 | ) | | | 23,828,110 | |
Net increase (decrease) in net assets resulting from operations | | | (4,254,961 | ) | | | 36,512,035 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (1,107,287 | ) | | | (92,247 | ) |
C-Class | | | (353,420 | ) | | | (79,217 | ) |
H-Class | | | (4,816,461 | ) | | | (619,526 | ) |
Total distributions to shareholders | | | (6,277,168 | ) | | | (790,990 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,342,069 | | | | 5,361,892 | |
C-Class | | | 359,455 | | | | 2,087,074 | |
H-Class | | | 28,660,742 | | | | 219,371,534 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 1,084,346 | | | | 90,297 | |
C-Class | | | 340,900 | | | | 77,936 | |
H-Class | | | 4,776,710 | | | | 615,438 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,884,349 | ) | | | (3,203,286 | ) |
C-Class | | | (2,119,462 | ) | | | (5,492,423 | ) |
H-Class | | | (46,760,566 | ) | | | (225,113,804 | ) |
Net decrease from capital share transactions | | | (16,200,155 | ) | | | (6,205,342 | ) |
Net increase (decrease) in net assets | | | (26,732,284 | ) | | | 29,515,703 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 65,875,949 | | | | 36,360,246 | |
End of year | | $ | 39,143,665 | | | $ | 65,875,949 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 20,907 | | | | 101,948 | |
C-Class | | | 6,579 | | | | 49,253 | |
H-Class | | | 500,527 | | | | 4,529,915 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 18,230 | | | | 1,559 | |
C-Class | | | 7,147 | | | | 1,626 | |
H-Class | | | 80,186 | | | | 10,613 | |
Shares redeemed | | | | | | | | |
A-Class | | | (65,813 | ) | | | (64,073 | ) |
C-Class | | | (41,414 | ) | | | (116,347 | ) |
H-Class | | | (816,439 | ) | | | (4,582,472 | ) |
Net decrease in shares | | | (290,090 | ) | | | (67,978 | ) |
32 | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 64.65 | | | $ | 33.77 | | | $ | 45.88 | | | $ | 54.96 | | | $ | 50.84 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.69 | ) | | | (.57 | ) | | | (.32 | ) | | | (.30 | ) | | | (.41 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.86 | ) | | | 32.09 | | | | (11.79 | ) | | | (2.39 | ) | | | 8.09 | |
Total from investment operations | | | (4.55 | ) | | | 31.52 | | | | (12.11 | ) | | | (2.69 | ) | | | 7.68 | |
Less distributions from: |
Net realized gains | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Total distributions | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Net asset value, end of period | | $ | 53.47 | | | $ | 64.65 | | | $ | 33.77 | | | $ | 45.88 | | | $ | 54.96 | |
|
Total Returnb | | | (8.07 | %) | | | 93.55 | % | | | (26.39 | %) | | | (4.19 | %) | | | 15.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,895 | | | $ | 11,272 | | | $ | 4,556 | | | $ | 10,681 | | | $ | 11,327 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.09 | %) | | | (1.08 | %) | | | (0.72 | %) | | | (0.59 | %) | | | (0.77 | %) |
Total expenses | | | 1.51 | % | | | 1.59 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % |
Portfolio turnover rate | | | 125 | % | | | 407 | % | | | 190 | % | | | 165 | % | | | 160 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 53.41 | | | $ | 28.17 | | | $ | 38.56 | | | $ | 47.66 | | | $ | 44.83 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.96 | ) | | | (.78 | ) | | | (.54 | ) | | | (.62 | ) | | | (.71 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.04 | ) | | | 26.66 | | | | (9.85 | ) | | | (2.09 | ) | | | 7.10 | |
Total from investment operations | | | (4.00 | ) | | | 25.88 | | | | (10.39 | ) | | | (2.71 | ) | | | 6.39 | |
Less distributions from: |
Net realized gains | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Total distributions | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Net asset value, end of period | | $ | 42.78 | | | $ | 53.41 | | | $ | 28.17 | | | $ | 38.56 | | | $ | 47.66 | |
|
Total Returnb | | | (8.76 | %) | | | 92.12 | % | | | (26.95 | %) | | | (4.90 | %) | | | 14.47 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,023 | | | $ | 4,005 | | | $ | 3,956 | | | $ | 8,609 | | | $ | 14,046 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.85 | %) | | | (1.82 | %) | | | (1.47 | %) | | | (1.37 | %) | | | (1.49 | %) |
Total expenses | | | 2.26 | % | | | 2.35 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 125 | % | | | 407 | % | | | 190 | % | | | 165 | % | | | 160 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
S&P MIDCAP 400® PURE GROWTH FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 64.74 | | | $ | 33.82 | | | $ | 45.94 | | | $ | 55.03 | | | $ | 50.89 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.70 | ) | | | (.56 | ) | | | (.31 | ) | | | (.34 | ) | | | (.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.87 | ) | | | 32.12 | | | | (11.81 | ) | | | (2.36 | ) | | | 8.10 | |
Total from investment operations | | | (4.57 | ) | | | 31.56 | | | | (12.12 | ) | | | (2.70 | ) | | | 7.70 | |
Less distributions from: |
Net realized gains | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Total distributions | | | (6.63 | ) | | | (.64 | ) | | | — | | | | (6.39 | ) | | | (3.56 | ) |
Net asset value, end of period | | $ | 53.54 | | | $ | 64.74 | | | $ | 33.82 | | | $ | 45.94 | | | $ | 55.03 | |
|
Total Return | | | (8.09 | %) | | | 93.53 | % | | | (26.38 | %) | | | (4.19 | %) | | | 15.32 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 29,225 | | | $ | 50,599 | | | $ | 27,848 | | | $ | 47,929 | | | $ | 73,714 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.10 | %) | | | (1.06 | %) | | | (0.71 | %) | | | (0.64 | %) | | | (0.74 | %) |
Total expenses | | | 1.51 | % | | | 1.59 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 125 | % | | | 407 | % | | | 190 | % | | | 165 | % | | | 160 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
For the year ended March 31, 2022, S&P MidCap 400® Pure Value Fund H-Class returned 6.68%, compared with a return of 8.63% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The Financials sector contributed the most to the return of the underlying index for the period, followed by the Materials and the Industrials sectors. The Consumer Discretionary sector was the leading detractor from return, followed by the Information Technology sector and the Communication Services sector.
United States Steel Corp., Navient Corp., and Unum Group added the most to return of the underlying index for the year. Foot Locker, Inc., Thor Industries, Inc., and KB Home detracted the most from performance of the underlying index for the year.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
United States Steel Corp. | 3.5% |
Unum Group | 2.9% |
HF Sinclair Corp. | 2.5% |
Reinsurance Group of America, Inc. — Class A | 2.2% |
Avnet, Inc. | 2.2% |
Xerox Holdings Corp. | 2.0% |
Kohl’s Corp. | 1.9% |
CNO Financial Group, Inc. | 1.8% |
Commercial Metals Co. | 1.8% |
Alleghany Corp. | 1.8% |
Top Ten Total | 22.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 6.67% | 8.87% | 9.90% |
A-Class Shares with sales charge‡ | 1.60% | 7.82% | 9.37% |
C-Class Shares | 5.86% | 8.06% | 9.08% |
C-Class Shares with CDSC§ | 4.88% | 8.06% | 9.08% |
H-Class Shares | 6.68% | 8.86% | 9.90% |
S&P MidCap 400 Pure Value Index | 8.63% | 11.19% | 12.32% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
36 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Financial - 30.1% |
Unum Group | | | 27,239 | | | $ | 858,301 | |
Reinsurance Group of America, Inc. — Class A | | | 6,101 | | | | 667,816 | |
CNO Financial Group, Inc. | | | 22,081 | | | | 554,012 | |
Alleghany Corp.* | | | 634 | | | | 536,998 | |
Kemper Corp. | | | 8,979 | | | | 507,673 | |
Old Republic International Corp. | | | 17,305 | | | | 447,680 | |
Mercury General Corp. | | | 7,922 | | | | 435,710 | |
Voya Financial, Inc. | | | 6,084 | | | | 403,674 | |
Hanover Insurance Group, Inc. | | | 2,437 | | | | 364,380 | |
First Horizon Corp. | | | 13,777 | | | | 323,622 | |
FNB Corp. | | | 22,826 | | | | 284,184 | |
Associated Banc-Corp. | | | 12,341 | | | | 280,881 | |
SL Green Realty Corp. REIT | | | 3,266 | | | | 265,134 | |
Fulton Financial Corp. | | | 15,719 | | | | 261,250 | |
Alliance Data Systems Corp. | | | 4,600 | | | | 258,290 | |
MGIC Investment Corp. | | | 18,826 | | | | 255,092 | |
Texas Capital Bancshares, Inc.* | | | 4,037 | | | | 231,360 | |
New York Community Bancorp, Inc. | | | 21,447 | | | | 229,912 | |
Cadence Bank | | | 7,391 | | | | 216,261 | |
United Bankshares, Inc. | | | 5,543 | | | | 193,340 | |
Essent Group Ltd. | | | 4,616 | | | | 190,225 | |
Selective Insurance Group, Inc. | | | 2,109 | | | | 188,460 | |
Prosperity Bancshares, Inc. | | | 2,535 | | | | 175,878 | |
Old National Bancorp | | | 10,186 | | | | 166,847 | |
International Bancshares Corp. | | | 3,803 | | | | 160,525 | |
RenaissanceRe Holdings Ltd. | | | 988 | | | | 156,608 | |
Washington Federal, Inc. | | | 4,587 | | | | 150,545 | |
Valley National Bancorp | | | 10,729 | | | | 139,691 | |
Sabra Health Care REIT, Inc. | | | 9,058 | | | | 134,873 | |
Total Financial | | | | | | | 9,039,222 | |
| | | | | | | | | |
Consumer, Cyclical - 23.2% |
Kohl’s Corp. | | | 9,594 | | | | 580,053 | |
Lithia Motors, Inc. — Class A | | | 1,482 | | | | 444,778 | |
Taylor Morrison Home Corp. — Class A* | | | 16,053 | | | | 436,963 | |
Univar Solutions, Inc.* | | | 13,042 | | | | 419,170 | |
Adient plc* | | | 9,846 | | | | 401,422 | |
Gap, Inc. | | | 24,948 | | | | 351,268 | |
Foot Locker, Inc. | | | 10,966 | | | | 325,252 | |
KB Home | | | 9,916 | | | | 321,080 | |
Thor Industries, Inc. | | | 4,015 | | | | 315,980 | |
Dana, Inc. | | | 17,974 | | | | 315,803 | |
Tri Pointe Homes, Inc.* | | | 15,349 | | | | 308,208 | |
Goodyear Tire & Rubber Co.* | | | 21,335 | | | | 304,877 | |
Macy’s, Inc. | | | 12,475 | | | | 303,891 | |
Murphy USA, Inc. | | | 1,343 | | | | 268,546 | |
Lear Corp. | | | 1,853 | | | | 264,219 | |
Urban Outfitters, Inc.* | | | 9,438 | | | | 236,988 | |
Nu Skin Enterprises, Inc. — Class A | | | 4,856 | | | | 232,505 | |
JetBlue Airways Corp.* | | | 15,197 | | | | 227,195 | |
Nordstrom, Inc. | | | 7,001 | | | | 189,797 | |
Callaway Golf Co.* | | | 7,353 | | | | 172,207 | |
Toll Brothers, Inc. | | | 3,481 | | | | 163,677 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 2,172 | | | | 146,849 | |
MillerKnoll, Inc. | | | 3,791 | | | | 131,017 | |
Harley-Davidson, Inc. | | | 3,028 | | | | 119,303 | |
Total Consumer, Cyclical | | | | | | | 6,981,048 | |
| | | | | | | | | |
Industrial - 16.8% |
Avnet, Inc. | | | 16,162 | | | | 656,015 | |
Arrow Electronics, Inc.* | | | 3,655 | | | | 433,593 | |
Ryder System, Inc. | | | 5,103 | | | | 404,821 | |
Greif, Inc. — Class A | | | 5,896 | | | | 383,594 | |
TD SYNNEX Corp. | | | 3,576 | | | | 369,079 | |
Worthington Industries, Inc. | | | 6,417 | | | | 329,898 | |
AGCO Corp. | | | 1,705 | | | | 248,981 | |
Fluor Corp.*,1 | | | 8,579 | | | | 246,131 | |
Vishay Intertechnology, Inc. | | | 11,293 | | | | 221,343 | |
MDU Resources Group, Inc. | | | 7,638 | | | | 203,553 | |
XPO Logistics, Inc.* | | | 2,498 | | | | 181,855 | |
Owens Corning | | | 1,950 | | | | 178,425 | |
EMCOR Group, Inc. | | | 1,474 | | | | 166,017 | |
Kirby Corp.* | | | 2,286 | | | | 165,026 | |
Silgan Holdings, Inc. | | | 3,276 | | | | 151,449 | |
EnerSys | | | 1,824 | | | | 136,016 | |
Oshkosh Corp. | | | 1,318 | | | | 132,657 | |
Terex Corp. | | | 3,304 | | | | 117,820 | |
Knight-Swift Transportation Holdings, Inc. | | | 2,255 | | | | 113,787 | |
Werner Enterprises, Inc. | | | 2,460 | | | | 100,860 | |
Timken Co. | | | 1,543 | | | | 93,660 | |
Total Industrial | | | | | | | 5,034,580 | |
| | | | | | | | | |
Consumer, Non-cyclical - 8.5% |
Graham Holdings Co. — Class B | | | 774 | | | | 473,278 | |
Sprouts Farmers Market, Inc.* | | | 12,408 | | | | 396,808 | |
ManpowerGroup, Inc. | | | 4,038 | | | | 379,249 | |
Performance Food Group Co.* | | | 6,990 | | | | 355,861 | |
Patterson Companies, Inc. | | | 9,745 | | | | 315,446 | |
Perrigo Company plc | | | 6,890 | | | | 264,783 | |
Pilgrim’s Pride Corp.* | | | 9,323 | | | | 234,007 | |
Ingredion, Inc. | | | 1,457 | | | | 126,977 | |
Total Consumer, Non-cyclical | | | | | | | 2,546,409 | |
| | | | | | | | | |
Basic Materials - 8.1% |
United States Steel Corp. | | | 27,747 | | | | 1,047,172 | |
Commercial Metals Co. | | | 13,229 | | | | 550,591 | |
Reliance Steel & Aluminum Co. | | | 2,105 | | | | 385,952 | |
Minerals Technologies, Inc. | | | 2,940 | | | | 194,481 | |
Cabot Corp. | | | 2,408 | | | | 164,731 | |
Chemours Co. | | | 3,333 | | | | 104,923 | |
Total Basic Materials | | | | | | | 2,447,850 | |
| | | | | | | | | |
Utilities - 4.3% |
Spire, Inc. | | | 3,699 | | | | 265,440 | |
Southwest Gas Holdings, Inc. | | | 3,384 | | | | 264,933 | |
UGI Corp. | | | 5,070 | | | | 183,636 | |
NorthWestern Corp. | | | 2,827 | | | | 171,005 | |
ONE Gas, Inc. | | | 1,581 | | | | 139,508 | |
ALLETE, Inc. | | | 2,077 | | | | 139,117 | |
Hawaiian Electric Industries, Inc. | | | 2,718 | | | | 114,999 | |
Total Utilities | | | | | | | 1,278,638 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
Energy - 4.1% |
HF Sinclair Corp.* | | | 19,146 | | | $ | 762,968 | |
NOV, Inc. | | | 19,053 | | | | 373,629 | |
Equitrans Midstream Corp. | | | 12,381 | | | | 104,496 | |
Total Energy | | | | | | | 1,241,093 | |
| | | | | | | | | |
Technology - 3.7% |
Xerox Holdings Corp. | | | 29,413 | | | | 593,260 | |
Science Applications International Corp. | | | 2,300 | | | | 211,991 | |
CACI International, Inc. — Class A* | | | 514 | | | | 154,848 | |
Kyndryl Holdings, Inc.* | | | 11,060 | | | | 145,107 | |
Total Technology | | | | | | | 1,105,206 | |
| | | | | | | | | |
Communications - 0.7% |
Viasat, Inc.* | | | 4,178 | | | | 203,886 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $28,194,932) | | | | | | | 29,877,932 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 1.1% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 222,792 | | | | 222,792 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 85,809 | | | | 85,809 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 22,311 | | | | 22,311 | |
Total Repurchase Agreements | | | | |
(Cost $330,912) | | | | | | | 330,912 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 27,270 | | | | 27,270 | |
Total Securities Lending Collateral | | | | |
(Cost $27,270) | | | | | | | 27,270 | |
| | | | | | | | | |
Total Investments - 100.7% | | | | |
(Cost $28,553,114) | | $ | 30,236,114 | |
Other Assets & Liabilities, net - (0.7)% | | | (203,354 | ) |
Total Net Assets - 100.0% | | $ | 30,032,760 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 29,877,932 | | | $ | — | | | $ | — | | | $ | 29,877,932 | |
Repurchase Agreements | | | — | | | | 330,912 | | | | — | | | | 330,912 | |
Securities Lending Collateral | | | 27,270 | | | | — | | | | — | | | | 27,270 | |
Total Assets | | $ | 29,905,202 | | | $ | 330,912 | | | $ | — | | | $ | 30,236,114 | |
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $26,079 of securities loaned (cost $28,222,202) | | $ | 29,905,202 | |
Repurchase agreements, at value (cost $330,912) | | | 330,912 | |
Cash | | | 159 | |
Receivables: |
Fund shares sold | | | 193,521 | |
Dividends | | | 23,140 | |
Securities lending income | | | 4 | |
Interest | | | 2 | |
Total assets | | | 30,452,940 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 317,411 | |
Return of securities lending collateral | | | 27,270 | |
Management fees | | | 10,784 | |
Distribution and service fees | | | 3,908 | |
Transfer agent and administrative fees | | | 3,868 | |
Fund shares redeemed | | | 3,611 | |
Portfolio accounting fees | | | 1,438 | |
Trustees’ fees* | | | 693 | |
Miscellaneous | | | 51,197 | |
Total liabilities | | | 420,180 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 30,032,760 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 27,678,605 | |
Total distributable earnings (loss) | | | 2,354,155 | |
Net assets | | $ | 30,032,760 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,400,402 | |
Capital shares outstanding | | | 19,821 | |
Net asset value per share | | $ | 70.65 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 74.17 | |
| | | | | |
C-Class: |
Net assets | | $ | 493,137 | |
Capital shares outstanding | | | 8,213 | |
Net asset value per share | | $ | 60.04 | |
| | | | | |
H-Class: |
Net assets | | $ | 28,139,221 | |
Capital shares outstanding | | | 398,916 | |
Net asset value per share | | $ | 70.54 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 1,500,093 | |
Interest | | | 143 | |
Income from securities lending, net | | | 397 | |
Total investment income | | | 1,500,633 | |
| | | | | |
Expenses: |
Management fees | | | 565,547 | |
Distribution and service fees: | | | | |
A-Class | | | 4,968 | |
C-Class | | | 11,070 | |
H-Class | | | 180,780 | |
Transfer agent and administrative fees | | | 214,997 | |
Portfolio accounting fees | | | 75,406 | |
Professional fees | | | 57,565 | |
Trustees’ fees* | | | 17,306 | |
Custodian fees | | | 10,825 | |
Line of credit fees | | | 63 | |
Miscellaneous | | | 5,877 | |
Total expenses | | | 1,144,404 | |
Net investment income | | | 356,229 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 21,578,814 | |
Net realized gain | | | 21,578,814 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (21,123,480 | ) |
Net change in unrealized appreciation (depreciation) | | | (21,123,480 | ) |
Net realized and unrealized gain | | | 455,334 | |
Net increase in net assets resulting from operations | | $ | 811,563 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 356,229 | | | $ | 187,559 | |
Net realized gain on investments | | | 21,578,814 | | | | 1,068,767 | |
Net change in unrealized appreciation (depreciation) on investments | | | (21,123,480 | ) | | | 23,654,933 | |
Net increase in net assets resulting from operations | | | 811,563 | | | | 24,911,259 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (93,147 | ) | | | (543 | ) |
C-Class | | | (51,807 | ) | | | (537 | ) |
H-Class | | | (2,191,285 | ) | | | (27,686 | ) |
Total distributions to shareholders | | | (2,336,239 | ) | | | (28,766 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 1,769,648 | | | | 1,287,192 | |
C-Class | | | 1,327,108 | | | | 1,653,870 | |
H-Class | | | 185,241,615 | | | | 284,454,714 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 93,147 | | | | 492 | |
C-Class | | | 51,420 | | | | 456 | |
H-Class | | | 2,183,880 | | | | 27,659 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,296,828 | ) | | | (981,623 | ) |
C-Class | | | (2,546,887 | ) | | | (1,321,500 | ) |
H-Class | | | (312,091,871 | ) | | | (155,253,673 | ) |
Net increase (decrease) from capital share transactions | | | (126,268,768 | ) | | | 129,867,587 | |
Net increase (decrease) in net assets | | | (127,793,444 | ) | | | 154,750,080 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 157,826,204 | | | | 3,076,124 | |
End of year | | $ | 30,032,760 | | | $ | 157,826,204 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 23,825 | | | | 22,547 | |
C-Class | | | 20,517 | | | | 32,691 | |
H-Class | | | 2,540,885 | | | | 5,152,410 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 1,336 | | | | 9 | |
C-Class | | | 866 | | | | 9 | |
H-Class | | | 31,387 | | | | 486 | |
Shares redeemed | | | | | | | | |
A-Class | | | (31,957 | ) | | | (20,488 | ) |
C-Class | | | (41,033 | ) | | | (31,471 | ) |
H-Class | | | (4,375,648 | ) | | | (3,003,708 | ) |
Net increase (decrease) in shares | | | (1,829,822 | ) | | | 2,152,485 | |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.16 | | | $ | 30.53 | | | $ | 51.62 | | | $ | 53.32 | | | $ | 51.39 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .40 | | | | .20 | | | | .34 | | | | (.04 | ) | | | .02 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.22 | | | | 39.45 | | | | (21.43 | ) | | | (.17 | ) | | | 2.89 | |
Total from investment operations | | | 4.62 | | | | 39.65 | | | | (21.09 | ) | | | (.21 | ) | | | 2.91 | |
Less distributions from: |
Net investment income | | | (.86 | ) | | | (.02 | ) | | | — | | | | (.02 | ) | | | — | |
Net realized gains | | | (3.27 | ) | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) |
Total distributions | | | (4.13 | ) | | | (.02 | ) | | | — | | | | (1.49 | ) | | | (.98 | ) |
Net asset value, end of period | | $ | 70.65 | | | $ | 70.16 | | | $ | 30.53 | | | $ | 51.62 | | | $ | 53.32 | |
|
Total Returnb | | | 6.67 | % | | | 129.91 | % | | | (40.86 | %) | | | (0.16 | %) | | | 5.63 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,400 | | | $ | 1,868 | | | $ | 749 | | | $ | 1,203 | | | $ | 1,084 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.41 | % | | | 0.68 | % | | | (0.07 | %) | | | 0.03 | % |
Total expenses | | | 1.51 | % | | | 1.59 | % | | | 1.63 | % | | | 1.62 | % | | | 1.54 | % |
Portfolio turnover rate | | | 252 | % | | | 454 | % | | | 993 | % | | | 558 | % | | | 506 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 60.66 | | | $ | 26.59 | | | $ | 45.31 | | | $ | 47.35 | | | $ | 46.08 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.13 | ) | | | (.13 | ) | | | (.05 | ) | | | (.41 | ) | | | (.29 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.64 | | | | 34.22 | | | | (18.67 | ) | | | (.14 | ) | | | 2.54 | |
Total from investment operations | | | 3.51 | | | | 34.09 | | | | (18.72 | ) | | | (.55 | ) | | | 2.25 | |
Less distributions from: |
Net investment income | | | (.86 | ) | | | (.02 | ) | | | — | | | | (.02 | ) | | | — | |
Net realized gains | | | (3.27 | ) | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) |
Total distributions | | | (4.13 | ) | | | (.02 | ) | | | — | | | | (1.49 | ) | | | (.98 | ) |
Net asset value, end of period | | $ | 60.04 | | | $ | 60.66 | | | $ | 26.59 | | | $ | 45.31 | | | $ | 47.35 | |
|
Total Returnb | | | 5.86 | % | | | 128.24 | % | | | (41.32 | %) | | | (0.88 | %) | | | 4.82 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 493 | | | $ | 1,690 | | | $ | 708 | | | $ | 1,842 | | | $ | 1,859 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.21 | %) | | | (0.30 | %) | | | (0.12 | %) | | | (0.85 | %) | | | (0.62 | %) |
Total expenses | | | 2.26 | % | | | 2.34 | % | | | 2.37 | % | | | 2.37 | % | | | 2.28 | % |
Portfolio turnover rate | | | 252 | % | | | 454 | % | | | 993 | % | | | 558 | % | | | 506 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
S&P MIDCAP 400® PURE VALUE FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.05 | | | $ | 30.48 | | | $ | 51.54 | | | $ | 53.25 | | | $ | 51.33 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .35 | | | | .31 | | | | .20 | | | | (.07 | ) | | | .04 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.27 | | | | 39.28 | | | | (21.26 | ) | | | (.15 | ) | | | 2.86 | |
Total from investment operations | | | 4.62 | | | | 39.59 | | | | (21.06 | ) | | | (.22 | ) | | | 2.90 | |
Less distributions from: |
Net investment income | | | (.86 | ) | | | (.02 | ) | | | — | | | | (.02 | ) | | | — | |
Net realized gains | | | (3.27 | ) | | | — | | | | — | | | | (1.47 | ) | | | (.98 | ) |
Total distributions | | | (4.13 | ) | | | (.02 | ) | | | — | | | | (1.49 | ) | | | (.98 | ) |
Net asset value, end of period | | $ | 70.54 | | | $ | 70.05 | | | $ | 30.48 | | | $ | 51.54 | | | $ | 53.25 | |
|
Total Return | | | 6.68 | % | | | 129.92 | % | | | (40.86 | %) | | | (0.16 | %) | | | 5.58 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 28,139 | | | $ | 154,269 | | | $ | 1,618 | | | $ | 10,928 | | | $ | 7,888 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.48 | % | | | 0.51 | % | | | 0.39 | % | | | (0.13 | %) | | | 0.08 | % |
Total expenses | | | 1.51 | % | | | 1.54 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % |
Portfolio turnover rate | | | 252 | % | | | 454 | % | | | 993 | % | | | 558 | % | | | 506 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
For the year ended March 31, 2022, S&P SmallCap 600® Pure Growth Fund H-Class return was -11.06%, compared with a return of -9.36% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The Energy, Real Estate, and Industrials sectors contributed the most to the return of the underlying index for the period. The Health Care sector was the leading detractor from return, followed by the Consumer Discretionary sector and the Financials sector.
The best-performing stocks of the underlying index for the period were Civitas Resources, Inc., Stamps.com, Inc., and Matador Resources Co. The weakest performers of the underlying index were Sleep Number Corp., OptimizeRx Corp., and iRobot Corp.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
B. Riley Financial, Inc. | 1.9% |
Matador Resources Co. | 1.8% |
Customers Bancorp, Inc. | 1.6% |
Encore Wire Corp. | 1.5% |
Fulgent Genetics, Inc. | 1.5% |
Innoviva, Inc. | 1.4% |
Kulicke & Soffa Industries, Inc. | 1.4% |
Dorian LPG Ltd. | 1.4% |
ServisFirst Bancshares, Inc. | 1.3% |
Flagstar Bancorp, Inc. | 1.2% |
Top Ten Total | 15.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (11.08%) | 6.14% | 8.81% |
A-Class Shares with sales charge‡ | (15.30%) | 5.12% | 8.29% |
C-Class Shares | (11.75%) | 5.34% | 8.00% |
C-Class Shares with CDSC§ | (12.29%) | 5.34% | 8.00% |
H-Class Shares | (11.06%) | 6.14% | 8.81% |
S&P SmallCap 600 Pure Growth Index | (9.36%) | 8.06% | 10.84% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
44 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Financial - 27.1% |
B. Riley Financial, Inc. | | | 1,410 | | | $ | 98,644 | |
Customers Bancorp, Inc.* | | | 1,599 | | | | 83,372 | |
ServisFirst Bancshares, Inc. | | | 721 | | | | 68,704 | |
Flagstar Bancorp, Inc. | | | 1,525 | | | | 64,660 | |
Piper Sandler Cos. | | | 492 | | | | 64,575 | |
First BanCorp | | | 4,863 | | | | 63,803 | |
Meta Financial Group, Inc. | | | 1,141 | | | | 62,664 | |
St. Joe Co. | | | 1,026 | | | | 60,780 | |
Triumph Bancorp, Inc.* | | | 595 | | | | 55,942 | |
Enova International, Inc.* | | | 1,363 | | | | 51,753 | |
Walker & Dunlop, Inc. | | | 394 | | | | 50,991 | |
Innovative Industrial Properties, Inc. REIT | | | 246 | | | | 50,528 | |
HomeStreet, Inc. | | | 1,055 | | | | 49,986 | |
Preferred Bank/Los Angeles CA | | | 664 | | | | 49,196 | |
Greenhill & Company, Inc. | | | 3,172 | | | | 49,071 | |
World Acceptance Corp.* | | | 251 | | | | 48,152 | |
Veritex Holdings, Inc. | | | 1,219 | | | | 46,529 | |
Axos Financial, Inc.* | | | 934 | | | | 43,328 | |
Investors Bancorp, Inc. | | | 2,822 | | | | 42,133 | |
Virtus Investment Partners, Inc. | | | 169 | | | | 40,558 | |
Bancorp, Inc.* | | | 1,415 | | | | 40,087 | |
Redwood Trust, Inc. REIT | | | 3,638 | | | | 38,308 | |
HCI Group, Inc. | | | 526 | | | | 35,863 | |
Palomar Holdings, Inc.* | | | 521 | | | | 33,339 | |
NexPoint Residential Trust, Inc. REIT | | | 368 | | | | 33,234 | |
Independence Realty Trust, Inc. REIT | | | 1,247 | | | | 32,971 | |
Brightsphere Investment Group, Inc. | | | 1,001 | | | | 24,274 | |
Trupanion, Inc.* | | | 204 | | | | 18,180 | |
Douglas Elliman, Inc. | | | 984 | | | | 7,183 | |
Total Financial | | | | | | | 1,408,808 | |
| | | | | | | | | |
Consumer, Non-cyclical - 25.2% |
Fulgent Genetics, Inc.* | | | 1,232 | | | | 76,889 | |
Innoviva, Inc.* | | | 3,765 | | | | 72,853 | |
Organogenesis Holdings, Inc.* | | | 8,174 | | | | 62,286 | |
Celsius Holdings, Inc.* | | | 1,081 | | | | 59,650 | |
Community Health Systems, Inc.* | | | 4,928 | | | | 58,495 | |
United Natural Foods, Inc.* | | | 1,395 | | | | 57,683 | |
Avid Bioservices, Inc.* | | | 2,819 | | | | 57,423 | |
Simply Good Foods Co.* | | | 1,435 | | | | 54,459 | |
Cross Country Healthcare, Inc.* | | | 2,283 | | | | 49,473 | |
AMN Healthcare Services, Inc.* | | | 460 | | | | 47,992 | |
MGP Ingredients, Inc. | | | 517 | | | | 44,250 | |
Cara Therapeutics, Inc.* | | | 3,604 | | | | 43,789 | |
iTeos Therapeutics, Inc.* | | | 1,286 | | | | 41,383 | |
Collegium Pharmaceutical, Inc.* | | | 1,929 | | | | 39,275 | |
Joint Corp.* | | | 1,066 | | | | 37,726 | |
Coca-Cola Consolidated, Inc. | | | 71 | | | | 35,276 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 311 | | | | 34,984 | |
Heidrick & Struggles International, Inc. | | | 863 | | | | 34,157 | |
Vericel Corp.* | | | 861 | | | | 32,907 | |
Korn Ferry | | | 493 | | | | 32,015 | |
AngioDynamics, Inc.* | | | 1,434 | | | | 30,888 | |
uniQure N.V.* | | | 1,681 | | | | 30,376 | |
Inter Parfums, Inc. | | | 342 | | | | 30,113 | |
CorVel Corp.* | | | 165 | | | | 27,793 | |
Medifast, Inc. | | | 158 | | | | 26,983 | |
Supernus Pharmaceuticals, Inc.* | | | 792 | | | | 25,597 | |
Vector Group Ltd. | | | 1,968 | | | | 23,695 | |
Endo International plc* | | | 9,494 | | | | 21,931 | |
Omnicell, Inc.* | | | 169 | | | | 21,884 | |
BioLife Solutions, Inc.* | | | 846 | | | | 19,230 | |
Alarm.com Holdings, Inc.* | | | 265 | | | | 17,612 | |
RadNet, Inc.* | | | 746 | | | | 16,688 | |
Xencor, Inc.* | | | 619 | | | | 16,515 | |
Heska Corp.* | | | 101 | | | | 13,966 | |
Zynex, Inc.1 | | | 1,949 | | | | 12,142 | |
Total Consumer, Non-cyclical | | | | | | | 1,308,378 | |
| | | | | | | | | |
Consumer, Cyclical - 13.4% |
XPEL, Inc.* | | | 1,137 | | | | 59,818 | |
Hibbett, Inc. | | | 1,256 | | | | 55,691 | |
Vista Outdoor, Inc.* | | | 1,468 | | | | 52,393 | |
MarineMax, Inc.* | | | 1,224 | | | | 49,278 | |
OptimizeRx Corp.* | | | 1,256 | | | | 47,364 | |
Signet Jewelers Ltd. | | | 639 | | | | 46,455 | |
Century Communities, Inc. | | | 854 | | | | 45,748 | |
Boot Barn Holdings, Inc.* | | | 470 | | | | 44,551 | |
Shoe Carnival, Inc. | | | 1,516 | | | | 44,207 | |
Movado Group, Inc. | | | 1,063 | | | | 41,510 | |
LGI Homes, Inc.* | | | 363 | | | | 35,458 | |
Buckle, Inc. | | | 967 | | | | 31,950 | |
Barnes & Noble Education, Inc.* | | | 8,908 | | | | 31,891 | |
Sleep Number Corp.* | | | 589 | | | | 29,868 | |
Cavco Industries, Inc.* | | | 106 | | | | 25,530 | |
Children’s Place, Inc.* | | | 461 | | | | 22,727 | |
Installed Building Products, Inc. | | | 208 | | | | 17,574 | |
Gentherm, Inc.* | | | 205 | | | | 14,973 | |
Total Consumer, Cyclical | | | | | | | 696,986 | |
| | | | | | | | | |
Industrial - 12.4% |
Encore Wire Corp. | | | 678 | | | | 77,339 | |
Dorian LPG Ltd. | | | 5,006 | | | | 72,537 | |
Matson, Inc. | | | 515 | | | | 62,119 | |
MYR Group, Inc.* | | | 591 | | | | 55,578 | |
UFP Industries, Inc. | | | 674 | | | | 52,006 | |
Comfort Systems USA, Inc. | | | 564 | | | | 50,201 | |
Mueller Industries, Inc. | | | 915 | | | | 49,566 | |
NV5 Global, Inc.* | | | 314 | | | | 41,856 | |
Insteel Industries, Inc. | | | 1,129 | | | | 41,762 | |
Fabrinet* | | | 340 | | | | 35,744 | |
ArcBest Corp. | | | 414 | | | | 33,327 | |
Triumph Group, Inc.* | | | 1,061 | | | | 26,822 | |
Sturm Ruger & Company, Inc. | | | 377 | | | | 26,247 | |
Advanced Energy Industries, Inc. | | | 248 | | | | 21,348 | |
Total Industrial | | | | | | | 646,452 | |
| | | | | | | | | |
Technology - 10.5% |
Kulicke & Soffa Industries, Inc. | | | 1,300 | | | | 72,826 | |
Onto Innovation, Inc.* | | | 705 | | | | 61,257 | |
MaxLinear, Inc. — Class A* | | | 1,016 | | | | 59,284 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
Axcelis Technologies, Inc.* | | | 535 | | | $ | 40,409 | |
Veeco Instruments, Inc.* | | | 1,476 | | | | 40,132 | |
Rambus, Inc.* | | | 1,126 | | | | 35,908 | |
Ultra Clean Holdings, Inc.* | | | 832 | | | | 35,269 | |
Diodes, Inc.* | | | 405 | | | | 35,231 | |
ExlService Holdings, Inc.* | | | 204 | | | | 29,227 | |
3D Systems Corp.* | | | 1,605 | | | | 26,772 | |
Diebold Nixdorf, Inc.* | | | 3,325 | | | | 22,377 | |
SPS Commerce, Inc.* | | | 169 | | | | 22,173 | |
Donnelley Financial Solutions, Inc.* | | | 651 | | | | 21,652 | |
Apollo Medical Holdings, Inc.* | | | 439 | | | | 21,278 | |
TTEC Holdings, Inc. | | | 250 | | | | 20,630 | |
Total Technology | | | | | | | 544,425 | |
| | | | | | | | | |
Communications - 5.3% |
TechTarget, Inc.* | | | 783 | | | | 63,642 | |
Perficient, Inc.* | | | 398 | | | | 43,816 | |
Thryv Holdings, Inc.* | | | 1,196 | | | | 33,631 | |
Extreme Networks, Inc.* | | | 2,351 | | | | 28,706 | |
Liquidity Services, Inc.* | | | 1,674 | | | | 28,659 | |
Vonage Holdings Corp.* | | | 1,089 | | | | 22,096 | |
Shutterstock, Inc. | | | 226 | | | | 21,036 | |
Harmonic, Inc.* | | | 2,181 | | | | 20,261 | |
ADTRAN, Inc. | | | 887 | | | | 16,365 | |
Total Communications | | | | | | | 278,212 | |
| | | | | | | | | |
Energy - 4.7% |
Matador Resources Co. | | | 1,777 | | | | 94,145 | |
Civitas Resources, Inc. | | | 946 | | | | 56,486 | |
Callon Petroleum Co.* | | | 760 | | | | 44,901 | |
SM Energy Co. | | | 788 | | | | 30,693 | |
Ranger Oil Corp. — Class A* | | | 606 | | | | 20,925 | |
Total Energy | | | | | | | 247,150 | |
| | | | | | | | | |
Basic Materials - 0.8% |
Rogers Corp.* | | | 105 | | | | 28,529 | |
Balchem Corp. | | | 109 | | | | 14,900 | |
Total Basic Materials | | | | | | | 43,429 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,802,339) | | | | | | | 5,173,840 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | $ | 31,339 | | | | 31,339 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 12,070 | | | | 12,070 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 3,138 | | | | 3,138 | |
Total Repurchase Agreements | | | | |
(Cost $46,547) | | | | | | | 46,547 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%4 | | | 3,113 | | | | 3,113 | |
Total Securities Lending Collateral | | | | |
(Cost $3,113) | | | | | | | 3,113 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $4,851,999) | | $ | 5,223,500 | |
Other Assets & Liabilities, net - (0.4)% | | | (21,772 | ) |
Total Net Assets - 100.0% | | $ | 5,201,728 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 5,173,840 | | | $ | — | | | $ | — | | | $ | 5,173,840 | |
Repurchase Agreements | | | — | | | | 46,547 | | | | — | | | | 46,547 | |
Securities Lending Collateral | | | 3,113 | | | | — | | | | — | | | | 3,113 | |
Total Assets | | $ | 5,176,953 | | | $ | 46,547 | | | $ | — | | | $ | 5,223,500 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $3,103 of securities loaned (cost $4,805,452) | | $ | 5,176,953 | |
Repurchase agreements, at value (cost $46,547) | | | 46,547 | |
Receivables: |
Dividends | | | 1,683 | |
Fund shares sold | | | 1,024 | |
Securities lending income | | | 12 | |
Total assets | | | 5,226,219 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 3,246 | |
Return of securities lending collateral | | | 3,113 | |
Licensing fees | | | 1,766 | |
Distribution and service fees | | | 1,409 | |
Transfer agent and administrative fees | | | 1,164 | |
Fund shares redeemed | | | 958 | |
Portfolio accounting fees | | | 433 | |
Trustees’ fees* | | | 183 | |
Miscellaneous | | | 12,219 | |
Total liabilities | | | 24,491 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 5,201,728 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,042,154 | |
Total distributable earnings (loss) | | | 159,574 | |
Net assets | | $ | 5,201,728 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,406,244 | |
Capital shares outstanding | | | 26,454 | |
Net asset value per share | | $ | 53.16 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 55.81 | |
| | | | | |
C-Class: |
Net assets | | $ | 483,437 | |
Capital shares outstanding | | | 11,415 | |
Net asset value per share | | $ | 42.35 | |
| | | | | |
H-Class: |
Net assets | | $ | 3,312,047 | |
Capital shares outstanding | | | 62,315 | |
Net asset value per share | | $ | 53.15 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $50) | | $ | 59,003 | |
Interest | | | 33 | |
Income from securities lending, net | | | 2,719 | |
Total investment income | | | 61,755 | |
| | | | | |
Expenses: |
Management fees | | | 82,138 | |
Distribution and service fees: |
A-Class | | | 5,572 | |
C-Class | | | 10,354 | |
H-Class | | | 19,219 | |
Transfer agent and administrative fees | | | 33,046 | |
Portfolio accounting fees | | | 10,951 | |
Trustees’ fees* | | | 5,589 | |
Professional fees | | | 3,862 | |
Custodian fees | | | 1,829 | |
Line of credit fees | | | 47 | |
Miscellaneous | | | 396 | |
Total expenses | | | 173,003 | |
Net investment loss | | | (111,248 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 5,969,879 | |
Net realized gain | | | 5,969,879 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (6,844,889 | ) |
Net change in unrealized appreciation (depreciation) | | | (6,844,889 | ) |
Net realized and unrealized loss | | | (875,010 | ) |
Net decrease in net assets resulting from operations | | $ | (986,258 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (111,248 | ) | | $ | (310,538 | ) |
Net realized gain on investments | | | 5,969,879 | | | | 6,147,682 | |
Net change in unrealized appreciation (depreciation) on investments | | | (6,844,889 | ) | | | 7,971,113 | |
Net increase (decrease) in net assets resulting from operations | | | (986,258 | ) | | | 13,808,257 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (706,703 | ) | | | — | |
C-Class | | | (332,554 | ) | | | — | |
H-Class | | | (1,437,234 | ) | | | — | |
Total distributions to shareholders | | | (2,476,491 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 454,336 | | | | 5,066,328 | |
C-Class | | | 282,551 | | | | 1,838,147 | |
H-Class | | | 74,459,393 | | | | 184,102,636 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 688,403 | | | | — | |
C-Class | | | 307,513 | | | | — | |
H-Class | | | 1,413,171 | | | | — | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,264,411 | ) | | | (4,727,157 | ) |
C-Class | | | (2,016,862 | ) | | | (1,154,354 | ) |
H-Class | | | (95,507,267 | ) | | | (172,363,238 | ) |
Net increase (decrease) from capital share transactions | | | (22,183,173 | ) | | | 12,762,362 | |
Net increase (decrease) in net assets | | | (25,645,922 | ) | | | 26,570,619 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 30,847,650 | | | | 4,277,031 | |
End of year | | $ | 5,201,728 | | | $ | 30,847,650 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 6,045 | | | | 72,794 | |
C-Class | | | 3,513 | | | | 30,205 | |
H-Class | | | 824,847 | | | | 2,423,701 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 11,319 | | | | — | |
C-Class | | | 6,331 | | | | — | |
H-Class | | | 23,239 | | | | — | |
Shares redeemed | | | | | | | | |
A-Class | | | (29,551 | ) | | | (60,805 | ) |
C-Class | | | (28,440 | ) | | | (17,857 | ) |
H-Class | | | (1,066,823 | ) | | | (2,198,078 | ) |
Net increase (decrease) in shares | | | (249,520 | ) | | | 249,960 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.23 | | | $ | 43.85 | | | $ | 65.22 | | | $ | 71.79 | | | $ | 65.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.70 | ) | | | (.62 | ) | | | (.44 | ) | | | (.70 | ) | | | (.63 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.41 | ) | | | 46.00 | | | | (20.93 | ) | | | (.94 | ) | | | 9.35 | |
Total from investment operations | | | (6.11 | ) | | | 45.38 | | | | (21.37 | ) | | | (1.64 | ) | | | 8.72 | |
Less distributions from: |
Net realized gains | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Total distributions | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 53.16 | | | $ | 89.23 | | | $ | 43.85 | | | $ | 65.22 | | | $ | 71.79 | |
|
Total Returnb | | | (11.08 | %) | | | 103.49 | % | | | (32.77 | %) | | | (2.34 | %) | | | 13.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,406 | | | $ | 3,448 | | | $ | 1,169 | | | $ | 2,397 | | | $ | 1,857 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.88 | %) | | | (0.86 | %) | | | (0.69 | %) | | | (0.93 | %) | | | (0.91 | %) |
Total expenses | | | 1.51 | % | | | 1.58 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % |
Portfolio turnover rate | | | 707 | % | | | 752 | % | | | 628 | % | | | 421 | % | | | 643 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 77.59 | | | $ | 38.41 | | | $ | 57.57 | | | $ | 64.43 | | | $ | 59.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.17 | ) | | | (.96 | ) | | | (.79 | ) | | | (1.16 | ) | | | (.96 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (4.11 | ) | | | 40.14 | | | | (18.37 | ) | | | (.77 | ) | | | 8.35 | |
Total from investment operations | | | (5.28 | ) | | | 39.18 | | | | (19.16 | ) | | | (1.93 | ) | | | 7.39 | |
Less distributions from: |
Net realized gains | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Total distributions | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 42.35 | | | $ | 77.59 | | | $ | 38.41 | | | $ | 57.57 | | | $ | 64.43 | |
|
Total Returnb | | | (11.75 | %) | | | 102.00 | % | | | (33.28 | %) | | | (3.06 | %) | | | 12.52 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 483 | | | $ | 2,329 | | | $ | 678 | | | $ | 1,252 | | | $ | 2,354 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.69 | %) | | | (1.59 | %) | | | (1.43 | %) | | | (1.70 | %) | | | (1.52 | %) |
Total expenses | | | 2.26 | % | | | 2.33 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 707 | % | | | 752 | % | | | 628 | % | | | 421 | % | | | 643 | % |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.21 | | | $ | 43.84 | | | $ | 65.21 | | | $ | 71.78 | | | $ | 65.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.81 | ) | | | (.86 | ) | | | (.40 | ) | | | (.77 | ) | | | (.55 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.29 | ) | | | 46.23 | | | | (20.97 | ) | | | (.87 | ) | | | 9.26 | |
Total from investment operations | | | (6.10 | ) | | | 45.37 | | | | (21.37 | ) | | | (1.64 | ) | | | 8.71 | |
Less distributions from: |
Net realized gains | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Total distributions | | | (29.96 | ) | | | — | | | | — | | | | (4.93 | ) | | | (2.51 | ) |
Net asset value, end of period | | $ | 53.15 | | | $ | 89.21 | | | $ | 43.84 | | | $ | 65.21 | | | $ | 71.78 | |
|
Total Return | | | (11.06 | %) | | | 103.49 | % | | | (32.77 | %) | | | (2.33 | %) | | | 13.38 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,312 | | | $ | 25,071 | | | $ | 2,430 | | | $ | 7,525 | | | $ | 15,523 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.97 | %) | | | (1.05 | %) | | | (0.63 | %) | | | (0.99 | %) | | | (0.80 | %) |
Total expenses | | | 1.51 | % | | | 1.54 | % | | | 1.63 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 707 | % | | | 752 | % | | | 628 | % | | | 421 | % | | | 643 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
For the year ended March 31, 2022, S&P SmallCap 600® Pure Value Fund H-Class returned 8.64%, compared with a return of 11.00 % for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The Energy sector contributed the most to the return of the underlying index for the period, followed by the Industrials and the Materials sectors. The Consumer Discretionary sector was the leading detractor from return, followed by the Information Technology sector and the Communication Services sector.
The stocks contributing the most to return of the underlying index were Veritiv Corp., CONSOL Energy Inc., and Andersons, Inc. Those detracting the most from return of the underlying index were Loyalty Ventures, Inc., United Insurance Holdings Corp., and Matrix Service Co.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Olympic Steel, Inc. | 2.0% |
TimkenSteel Corp. | 1.5% |
Kelly Services, Inc. — Class A | 1.5% |
Andersons, Inc. | 1.4% |
United Fire Group, Inc. | 1.3% |
SunCoke Energy, Inc. | 1.3% |
Seneca Foods Corp. — Class A | 1.3% |
SpartanNash Co. | 1.3% |
Universal Corp. | 1.2% |
PBF Energy, Inc. — Class A | 1.2% |
Top Ten Total | 14.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
52 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 8.63% | 6.02% | 7.89% |
A-Class Shares with sales charge‡ | 3.47% | 5.00% | 7.37% |
C-Class Shares | 7.82% | 5.24% | 7.10% |
C-Class Shares with CDSC§ | 6.82% | 5.24% | 7.10% |
H-Class Shares | 8.64% | 6.06% | 7.91% |
S&P SmallCap 600 Pure Value Index | 11.00% | 8.63% | 10.38% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Consumer, Cyclical - 23.2% |
ScanSource, Inc.* | | | 6,774 | | | $ | 235,668 | |
World Fuel Services Corp. | | | 8,618 | | | | 233,031 | |
Motorcar Parts of America, Inc.* | | | 11,914 | | | | 212,427 | |
ODP Corp.* | | | 4,632 | | | | 212,285 | |
Vera Bradley, Inc.* | | | 25,108 | | | | 192,578 | |
Conn’s, Inc.* | | | 12,468 | | | | 192,132 | |
G-III Apparel Group Ltd.* | | | 6,941 | | | | 187,754 | |
Titan International, Inc.* | | | 12,105 | | | | 178,307 | |
PC Connection, Inc. | | | 3,337 | | | | 174,825 | |
Cato Corp. — Class A | | | 11,873 | | | | 174,058 | |
M/I Homes, Inc.* | | | 3,881 | | | | 172,123 | |
Big Lots, Inc. | | | 4,952 | | | | 171,339 | |
Meritor, Inc.* | | | 4,646 | | | | 165,258 | |
Chico’s FAS, Inc.* | | | 33,454 | | | | 160,579 | |
Sonic Automotive, Inc. — Class A | | | 3,429 | | | | 145,767 | |
LL Flooring Holdings, Inc.* | | | 10,166 | | | | 142,527 | |
Group 1 Automotive, Inc. | | | 849 | | | | 142,488 | |
Haverty Furniture Companies, Inc. | | | 4,958 | | | | 135,948 | |
Fossil Group, Inc.* | | | 13,410 | | | | 129,272 | |
America’s Car-Mart, Inc.* | | | 1,504 | | | | 121,162 | |
Ethan Allen Interiors, Inc. | | | 4,375 | | | | 114,056 | |
MDC Holdings, Inc. | | | 2,923 | | | | 110,606 | |
SkyWest, Inc.* | | | 3,825 | | | | 110,351 | |
Guess?, Inc.1 | | | 4,857 | | | | 106,125 | |
American Axle & Manufacturing Holdings, Inc.* | | | 13,466 | | | | 104,496 | |
Resideo Technologies, Inc.* | | | 4,357 | | | | 103,827 | |
KAR Auction Services, Inc.* | | | 5,740 | | | | 103,607 | |
Veritiv Corp.* | | | 758 | | | | 101,261 | |
Fiesta Restaurant Group, Inc.* | | | 13,358 | | | | 99,851 | |
Wabash National Corp. | | | 6,482 | | | | 96,193 | |
PriceSmart, Inc. | | | 1,150 | | | | 90,701 | |
Tupperware Brands Corp.* | | | 4,609 | | | | 89,645 | |
Bed Bath & Beyond, Inc.* | | | 3,658 | | | | 82,415 | |
Bloomin’ Brands, Inc. | | | 3,608 | | | | 79,160 | |
Caleres, Inc. | | | 3,810 | | | | 73,647 | |
La-Z-Boy, Inc. | | | 2,626 | | | | 69,248 | |
Universal Electronics, Inc.* | | | 2,059 | | | | 64,323 | |
Standard Motor Products, Inc. | | | 1,435 | | | | 61,906 | |
Brinker International, Inc.* | | | 1,621 | | | | 61,857 | |
El Pollo Loco Holdings, Inc.* | | | 5,125 | | | | 59,553 | |
Zumiez, Inc.* | | | 1,261 | | | | 48,183 | |
Total Consumer, Cyclical | | | | | | | 5,310,539 | |
| | | | | | | | | |
Financial - 22.1% |
United Fire Group, Inc. | | | 9,898 | | | | 307,531 | |
Realogy Holdings Corp.* | | | 16,441 | | | | 257,795 | |
StoneX Group, Inc.* | | | 3,398 | | | | 252,233 | |
Genworth Financial, Inc. — Class A* | | | 65,845 | | | | 248,894 | |
SiriusPoint Ltd.* | | | 33,210 | | | | 248,411 | |
GEO Group, Inc. REIT* | | | 34,718 | | | | 229,486 | |
Universal Insurance Holdings, Inc. | | | 16,373 | | | | 220,872 | |
American Equity Investment Life Holding Co. | | | 5,048 | | | | 201,466 | |
Mr Cooper Group, Inc.* | | | 4,317 | | | | 197,157 | |
EZCORP, Inc. — Class A* | | | 28,749 | | | | 173,644 | |
ProAssurance Corp. | | | 6,139 | | | | 165,016 | |
Horace Mann Educators Corp. | | | 3,822 | | | | 159,874 | |
Employers Holdings, Inc. | | | 3,267 | | | | 134,012 | |
Safety Insurance Group, Inc. | | | 1,240 | | | | 112,654 | |
Heritage Financial Corp. | | | 4,104 | | | | 102,846 | |
Hope Bancorp, Inc. | | | 6,249 | | | | 100,484 | |
Ready Capital Corp. REIT | | | 6,392 | | | | 96,263 | |
PennyMac Mortgage Investment Trust REIT | | | 5,331 | | | | 90,040 | |
Diversified Healthcare Trust REIT | | | 27,882 | | | | 89,222 | |
Two Harbors Investment Corp. REIT | | | 15,954 | | | | 88,226 | |
New York Mortgage Trust, Inc. REIT | | | 22,618 | | | | 82,556 | |
Apollo Commercial Real Estate Finance, Inc. REIT | | | 5,871 | | | | 81,783 | |
Franklin Street Properties Corp. REIT | | | 13,749 | | | | 81,119 | |
First Financial Bancorp | | | 3,456 | | | | 79,661 | |
Renasant Corp. | | | 2,321 | | | | 77,637 | |
Allegiance Bancshares, Inc. | | | 1,721 | | | | 76,894 | |
Granite Point Mortgage Trust, Inc. REIT | | | 6,872 | | | | 76,417 | |
S&T Bancorp, Inc. | | | 2,565 | | | | 75,873 | |
Franklin BSP Realty Trust, Inc. REIT | | | 5,343 | | | | 74,695 | |
ARMOUR Residential REIT, Inc. | | | 8,547 | | | | 71,795 | |
Columbia Banking System, Inc. | | | 2,176 | | | | 70,220 | |
Northwest Bancshares, Inc. | | | 4,858 | | | | 65,631 | |
Berkshire Hills Bancorp, Inc. | | | 2,247 | | | | 65,096 | |
NMI Holdings, Inc. — Class A* | | | 3,114 | | | | 64,211 | |
Trustmark Corp. | | | 2,087 | | | | 63,424 | |
TrustCo Bank Corporation NY | | | 1,930 | | | | 61,625 | |
Office Properties Income Trust REIT | | | 2,349 | | | | 60,440 | |
Simmons First National Corp. — Class A | | | 2,200 | | | | 57,684 | |
PRA Group, Inc.* | | | 1,233 | | | | 55,584 | |
BankUnited, Inc. | | | 1,251 | | | | 54,994 | |
eHealth, Inc.* | | | 3,873 | | | | 48,064 | |
Invesco Mortgage Capital, Inc. REIT | | | 20,917 | | | | 47,691 | |
RE/MAX Holdings, Inc. — Class A | | | 1,648 | | | | 45,699 | |
Orion Office REIT, Inc. | | | 3,094 | | | | 43,316 | |
Total Financial | | | | | | | 5,058,235 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.9% |
Kelly Services, Inc. — Class A | | | 15,341 | | | | 332,746 | |
Andersons, Inc. | | | 6,420 | | | | 322,669 | |
Seneca Foods Corp. — Class A* | | | 5,762 | | | | 296,973 | |
SpartanNash Co. | | | 8,969 | | | | 295,887 | |
Universal Corp. | | | 4,861 | | | | 282,278 | |
Fresh Del Monte Produce, Inc. | | | 9,522 | | | | 246,715 | |
Aaron’s Company, Inc. | | | 10,573 | | | | 212,306 | |
TreeHouse Foods, Inc.* | | | 5,137 | | | | 165,720 | |
Perdoceo Education Corp.* | | | 13,166 | | | | 151,146 | |
TrueBlue, Inc.* | | | 5,107 | | | | 147,541 | |
Strategic Education, Inc. | | | 2,141 | | | | 142,120 | |
American Public Education, Inc.* | | | 6,563 | | | | 139,398 | |
CoreCivic, Inc.* | | | 12,444 | | | | 138,999 | |
ABM Industries, Inc. | | | 2,928 | | | | 134,805 | |
Owens & Minor, Inc. | | | 2,522 | | | | 111,019 | |
Quanex Building Products Corp. | | | 4,721 | | | | 99,094 | |
Covetrus, Inc.* | | | 5,880 | | | | 98,725 | |
54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
Hostess Brands, Inc.* | | | 4,070 | | | $ | 89,296 | |
Select Medical Holdings Corp. | | | 3,450 | | | | 82,766 | |
Resources Connection, Inc. | | | 4,548 | | | | 77,953 | |
Adtalem Global Education, Inc.* | | | 2,198 | | | | 65,302 | |
Central Garden & Pet Co. — Class A* | | | 1,453 | | | | 59,253 | |
Emergent BioSolutions, Inc.* | | | 1,226 | | | | 50,340 | |
Edgewell Personal Care Co. | | | 1,370 | | | | 50,238 | |
Deluxe Corp. | | | 1,420 | | | | 42,941 | |
Central Garden & Pet Co.* | | | 356 | | | | 15,650 | |
Total Consumer, Non-cyclical | | | | | | | 3,851,880 | |
| | | | | | | | | |
Industrial - 14.5% |
Olympic Steel, Inc. | | | 11,802 | | | | 453,905 | |
TimkenSteel Corp.* | | | 15,335 | | | | 335,530 | |
Sanmina Corp.* | | | 5,580 | | | | 225,544 | |
Benchmark Electronics, Inc. | | | 8,995 | | | | 225,235 | |
AAR Corp.* | | | 4,534 | | | | 219,582 | |
Atlas Air Worldwide Holdings, Inc.* | | | 2,507 | | | | 216,530 | |
TTM Technologies, Inc.* | | | 12,912 | | | | 191,356 | |
Greenbrier Companies, Inc. | | | 3,672 | | | | 189,145 | |
Tredegar Corp. | | | 11,687 | | | | 140,127 | |
Powell Industries, Inc. | | | 6,470 | | | | 125,647 | |
DXP Enterprises, Inc.* | | | 4,532 | | | | 122,772 | |
Moog, Inc. — Class A | | | 1,312 | | | | 115,193 | |
American Woodmark Corp.* | | | 2,120 | | | | 103,774 | |
Granite Construction, Inc. | | | 3,153 | | | | 103,419 | |
Harsco Corp.* | | | 7,873 | | | | 96,365 | |
O-I Glass, Inc.* | | | 7,165 | | | | 94,435 | |
Griffon Corp. | | | 4,268 | | | | 85,488 | |
Hub Group, Inc. — Class A* | | | 944 | | | | 72,886 | |
Matthews International Corp. — Class A | | | 2,246 | | | | 72,680 | |
Arcosa, Inc. | | | 1,045 | | | | 59,826 | |
Plexus Corp.* | | | 714 | | | | 58,412 | |
Total Industrial | | | | | | | 3,307,851 | |
| | | | | | | | | |
Energy - 9.5% |
SunCoke Energy, Inc. | | | 33,910 | | | | 302,138 | |
PBF Energy, Inc. — Class A* | | | 11,457 | | | | 279,207 | |
US Silica Holdings, Inc.* | | | 12,372 | | | | 230,861 | |
Helix Energy Solutions Group, Inc.* | | | 41,423 | | | | 198,002 | |
Renewable Energy Group, Inc.* | | | 2,715 | | | | 164,665 | |
Oil States International, Inc.* | | | 20,805 | | | | 144,595 | |
NOW, Inc.* | | | 12,127 | | | | 133,761 | |
CONSOL Energy, Inc.* | | | 3,106 | | | | 116,879 | |
Bristow Group, Inc.* | | | 2,693 | | | | 99,856 | |
Nabors Industries Ltd.* | | | 633 | | | | 96,672 | |
ProPetro Holding Corp.* | | | 6,852 | | | | 95,448 | |
Oceaneering International, Inc.* | | | 5,948 | | | | 90,172 | |
REX American Resources Corp.* | | | 904 | | | | 90,038 | |
FutureFuel Corp. | | | 8,156 | | | | 79,358 | |
Archrock, Inc. | | | 6,342 | | | | 58,537 | |
Total Energy | | | | | | | 2,180,189 | |
| | | | | | | | | |
Basic Materials - 7.7% |
Mercer International, Inc. | | | 19,872 | | | $ | 277,214 | |
Rayonier Advanced Materials, Inc.* | | | 33,325 | | | | 218,945 | |
Unifi, Inc.* | | | 10,213 | | | | 184,855 | |
American Vanguard Corp. | | | 8,207 | | | | 166,766 | |
Koppers Holdings, Inc. | | | 5,624 | | | | 154,773 | |
Trinseo plc | | | 3,095 | | | | 148,313 | |
Schweitzer-Mauduit International, Inc. | | | 4,191 | | | | 115,253 | |
Sylvamo Corp.* | | | 3,206 | | | | 106,696 | |
Clearwater Paper Corp.* | | | 3,416 | | | | 95,750 | |
Carpenter Technology Corp. | | | 2,192 | | | | 92,020 | |
Glatfelter Corp. | | | 6,570 | | | | 81,337 | |
Kaiser Aluminum Corp. | | | 613 | | | | 57,720 | |
Arconic Corp.* | | | 1,888 | | | | 48,370 | |
Total Basic Materials | | | | | | | 1,748,012 | |
| | | | | | | | | |
Communications - 3.2% |
Telephone & Data Systems, Inc. | | | 12,377 | | | | 233,678 | |
NETGEAR, Inc.* | | | 6,559 | | | | 161,876 | |
AMC Networks, Inc. — Class A* | | | 3,819 | | | | 155,166 | |
Scholastic Corp. | | | 2,390 | | | | 96,269 | |
ATN International, Inc. | | | 2,358 | | | | 94,037 | |
Total Communications | | | | | | | 741,026 | |
| | | | | | | | | |
Technology - 2.2% |
Insight Enterprises, Inc.* | | | 1,183 | | | | 126,959 | |
Photronics, Inc.* | | | 6,164 | | | | 104,603 | |
Consensus Cloud Solutions, Inc.* | | | 1,694 | | | | 101,860 | |
Loyalty Ventures, Inc.* | | | 5,420 | | | | 89,593 | |
Ebix, Inc. | | | 2,612 | | | | 86,588 | |
Total Technology | | | | | | | 509,603 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $19,795,472) | | | | | | | 22,707,335 | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL†,2 - 0.6% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%3 | | | 146,289 | | | | 146,289 | |
Total Securities Lending Collateral | | | | |
(Cost $146,289) | | | | | | | 146,289 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $19,941,761) | | $ | 22,853,624 | |
Other Assets & Liabilities, net - 0.1% | | | 19,694 | |
Total Net Assets - 100.0% | | $ | 22,873,318 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
S&P SMALLCAP 600® PURE VALUE FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Securities lending collateral — See Note 7. |
3 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 22,707,335 | | | $ | — | | | $ | — | | | $ | 22,707,335 | |
Securities Lending Collateral | | | 146,289 | | | | — | | | | — | | | | 146,289 | |
Total Assets | | $ | 22,853,624 | | | $ | — | | | $ | — | | | $ | 22,853,624 | |
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $137,480 of securities loaned (cost $19,941,761) | | $ | 22,853,624 | |
Cash | | | 643 | |
Receivables: |
Fund shares sold | | | 228,173 | |
Dividends | | | 52,697 | |
Securities lending income | | | 59 | |
Total assets | | | 23,135,196 | |
| | | | | |
Liabilities: |
Line of credit | | | 35,000 | |
Payable for: |
Return of securities lending collateral | | | 146,289 | |
Management fees | | | 21,586 | |
Fund shares redeemed | | | 11,657 | |
Transfer agent and administrative fees | | | 7,742 | |
Distribution and service fees | | | 7,294 | |
Portfolio accounting fees | | | 2,878 | |
Trustees’ fees* | | | 401 | |
Miscellaneous | | | 29,031 | |
Total liabilities | | | 261,878 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 22,873,318 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 38,562,656 | |
Total distributable earnings (loss) | | | (15,689,338 | ) |
Net assets | | $ | 22,873,318 | |
| | | | | |
A-Class: |
Net assets | | $ | 4,731,901 | |
Capital shares outstanding | | | 25,931 | |
Net asset value per share | | $ | 182.48 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 191.58 | |
| | | | | |
C-Class: |
Net assets | | $ | 140,094 | |
Capital shares outstanding | | | 917 | |
Net asset value per share | | $ | 152.84 | |
| | | | | |
H-Class: |
Net assets | | $ | 18,001,323 | |
Capital shares outstanding | | | 98,885 | |
Net asset value per share | | $ | 182.04 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $509) | | $ | 439,482 | |
Interest | | | 93 | |
Income from securities lending, net | | | 747 | |
Total investment income | | | 440,322 | |
| | | | | |
Expenses: |
Management fees | | | 270,845 | |
Distribution and service fees: |
A-Class | | | 6,298 | |
C-Class | | | 8,556 | |
H-Class | | | 81,845 | |
Transfer agent and administrative fees | | | 102,933 | |
Portfolio accounting fees | | | 36,113 | |
Professional fees | | | 29,490 | |
Trustees’ fees* | | | 8,361 | |
Custodian fees | | | 5,276 | |
Line of credit fees | | | 55 | |
Miscellaneous | | | 1,243 | |
Total expenses | | | 551,015 | |
Net investment loss | | | (110,693 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (4,306,876 | ) |
Net realized loss | | | (4,306,876 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,363,990 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,363,990 | ) |
Net realized and unrealized loss | | | (5,670,866 | ) |
Net decrease in net assets resulting from operations | | $ | (5,781,559 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (110,693 | ) | | $ | (30,330 | ) |
Net realized loss on investments | | | (4,306,876 | ) | | | (6,205,696 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,363,990 | ) | | | 4,636,470 | |
Net decrease in net assets resulting from operations | | | (5,781,559 | ) | | | (1,599,556 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 4,381,306 | | | | 2,465,579 | |
C-Class | | | 1,136,324 | | | | 1,663,534 | |
H-Class | | | 285,628,661 | | | | 203,832,028 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,042,008 | ) | | | (1,084,818 | ) |
C-Class | | | (2,532,690 | ) | | | (1,347,358 | ) |
H-Class | | | (297,130,146 | ) | | | (166,730,073 | ) |
Net increase (decrease) from capital share transactions | | | (11,558,553 | ) | | | 38,798,892 | |
Net increase (decrease) in net assets | | | (17,340,112 | ) | | | 37,199,336 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 40,213,430 | | | | 3,014,094 | |
End of year | | $ | 22,873,318 | | | $ | 40,213,430 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 23,898 | | | | 15,794 | |
C-Class | | | 7,635 | | | | 14,505 | |
H-Class | | | 1,567,541 | | | | 1,508,948 | |
Shares redeemed | | | | | | | | |
A-Class | | | (17,268 | ) | | | (10,365 | ) |
C-Class | | | (17,106 | ) | | | (14,088 | ) |
H-Class | | | (1,680,517 | ) | | | (1,319,497 | ) |
Net increase (decrease) in shares | | | (115,817 | ) | | | 195,297 | |
58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 167.98 | | | $ | 67.45 | | | $ | 129.32 | | | $ | 138.22 | | | $ | 136.22 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.34 | ) | | | (.14 | ) | | | (.50 | ) | | | .30 | | | | (.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.84 | d | | | 100.67 | d | | | (61.37 | ) | | | (9.20 | ) | | | 2.40 | |
Total from investment operations | | | 14.50 | | | | 100.53 | | | | (61.87 | ) | | | (8.90 | ) | | | 2.00 | |
Net asset value, end of period | | $ | 182.48 | | | $ | 167.98 | | | $ | 67.45 | | | $ | 129.32 | | | $ | 138.22 | |
|
Total Returnb | | | 8.63 | % | | | 149.04 | % | | | (47.83 | %) | | | (6.44 | %) | | | 1.47 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,732 | | | $ | 3,242 | | | $ | 936 | | | $ | 1,329 | | | $ | 762 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.19 | %) | | | (0.31 | %) | | | (0.42 | %) | | | 0.21 | % | | | (0.30 | %) |
Total expenses | | | 1.51 | % | | | 1.59 | % | | | 1.63 | % | | | 1.62 | % | | | 1.53 | % |
Portfolio turnover rate | | | 892 | % | | | 1,503 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 141.75 | | | $ | 57.31 | | | $ | 110.69 | | | $ | 119.22 | | | $ | 118.40 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.65 | ) | | | (.40 | ) | | | (1.25 | ) | | | (.65 | ) | | | (1.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 12.74 | d | | | 84.84 | d | | | (52.13 | ) | | | (7.88 | ) | | | 1.87 | |
Total from investment operations | | | 11.09 | | | | 84.44 | | | | (53.38 | ) | | | (8.53 | ) | | | .82 | |
Net asset value, end of period | | $ | 152.84 | | | $ | 141.75 | | | $ | 57.31 | | | $ | 110.69 | | | $ | 119.22 | |
|
Total Returnb | | | 7.82 | % | | | 147.34 | % | | | (48.24 | %) | | | (7.13 | %) | | | 0.68 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 140 | | | $ | 1,472 | | | $ | 571 | | | $ | 1,055 | | | $ | 1,532 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.11 | %) | | | (1.07 | %) | | | (1.20 | %) | | | (0.53 | %) | | | (0.90 | %) |
Total expenses | | | 2.26 | % | | | 2.34 | % | | | 2.38 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 892 | % | | | 1,503 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
S&P SMALLCAP 600® PURE VALUE FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020c | | | Year Ended
March 31,
2019c | | | Year Ended
March 29,
2018c | |
Per Share Data |
Net asset value, beginning of period | | $ | 167.56 | | | $ | 67.25 | | | $ | 129.01 | | | $ | 137.86 | | | $ | 135.65 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.53 | ) | | | (.13 | ) | | | (.55 | ) | | | .10 | | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 15.01 | d | | | 100.44 | d | | | (61.21 | ) | | | (8.95 | ) | | | 2.66 | |
Total from investment operations | | | 14.48 | | | | 100.31 | | | | (61.76 | ) | | | (8.85 | ) | | | 2.21 | |
Net asset value, end of period | | $ | 182.04 | | | $ | 167.56 | | | $ | 67.25 | | | $ | 129.01 | | | $ | 137.86 | |
|
Total Return | | | 8.64 | % | | | 149.16 | % | | | (47.87 | %) | | | (6.42 | %) | | | 1.62 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,001 | | | $ | 35,499 | | | $ | 1,507 | | | $ | 9,062 | | | $ | 7,595 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.29 | %) | | | (0.18 | %) | | | (0.44 | %) | | | 0.06 | % | | | (0.32 | %) |
Total expenses | | | 1.51 | % | | | 1.55 | % | | | 1.64 | % | | | 1.62 | % | | | 1.53 | % |
Portfolio turnover rate | | | 892 | % | | | 1,503 | % | | | 1,104 | % | | | 534 | % | | | 1,832 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Reverse share split — Per share amounts for the years presented through March 31, 2020 have been restated to reflect a 1:5 reverse share split effective August 17, 2020. |
d | The amount shown for a share outstanding throughout the year does not agree with the aggregate net loss 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. |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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”).
For the one-year period ended March 31, 2022, Europe 1.25x Strategy Fund maintained a daily correlation of over 98% to its benchmark of 125% of the daily price movement of the underlying index. Europe 1.25x Strategy Fund H-Class returned 7.00% while the underlying index returned 8.47% over the same period.
The Energy sector contributed the most to the return of the underlying index for the period, followed by the Consumer Staples and the Materials sectors. The Consumer Discretionary sector was the leading detractor from return, followed by the Utilities sector and the Industrials sector.
The stocks contributing the most to performance of the underlying index were ASML Holding N.V. – Class G, Linde Plc., and TotalEnergies SE ADR. Those detracting the most from return of the underlying index were Prosus N.V. ADR, Koninklijke Philips N.V., and BASF SE ADR.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 ANNUAL REPORT | 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | March 31, 2004 |
C-Class | May 10, 2001 |
H-Class | May 8, 2000 |
Country Diversification
Country | | % of
Long-Term
Investments | |
United Kingdom | | | 24.8 | % |
Switzerland | | | 21.6 | % |
France | | | 20.7 | % |
Germany | | | 12.7 | % |
Netherlands | | | 10.4 | % |
Denmark | | | 3.6 | % |
Spain | | | 2.4 | % |
Other | | | 3.8 | % |
| | | 100.0 | % |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.3% |
Guggenheim Strategy Fund II | 5.3% |
Nestle S.A. ADR | 1.5% |
Roche Holding AG ADR | 1.2% |
ASML Holding N.V. — Class G | 1.1% |
Novartis AG ADR | 0.9% |
Shell plc ADR | 0.9% |
AstraZeneca plc ADR | 0.9% |
LVMH Moet Hennessy Louis Vuitton SE ADR | 0.8% |
Novo Nordisk A/S ADR | 0.8% |
Top Ten Total | 18.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 7.02% | 6.45% | 4.66% |
A-Class Shares with sales charge‡ | 1.94% | 5.41% | 4.15% |
C-Class Shares | 6.21% | 5.62% | 3.75% |
C-Class Shares with CDSC§ | 5.21% | 5.62% | 3.75% |
H-Class Shares | 7.00% | 6.39% | 4.54% |
STOXX Europe 50 Index | 8.47% | 7.19% | 5.65% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The STOXX Europe 50 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
62 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 21.8% |
| | | | | | | | | |
Consumer, Non-cyclical - 9.5% |
Nestle S.A. ADR | | | 611 | | | $ | 79,491 | |
Roche Holding AG ADR | | | 1,220 | | | | 60,280 | |
Novartis AG ADR | | | 528 | | | | 46,332 | |
AstraZeneca plc ADR | | | 676 | | | | 44,846 | |
Novo Nordisk A/S ADR | | | 361 | | | | 40,089 | |
Unilever plc ADR | | | 572 | | | | 26,066 | |
Sanofi ADR | | | 498 | | | | 25,567 | |
Diageo plc ADR | | | 125 | | | | 25,392 | |
GlaxoSmithKline plc ADR | | | 546 | | | | 23,784 | |
L’Oreal S.A. ADR | | | 264 | | | | 21,157 | |
British American Tobacco plc ADR | | | 456 | | | | 19,225 | |
Bayer AG ADR | | | 851 | | | | 14,569 | |
RELX plc ADR | | | 433 | | | | 13,466 | |
Adyen N.V. ADR* | | | 620 | | | | 12,258 | |
Reckitt Benckiser Group plc ADR | | | 789 | | | | 12,182 | |
EssilorLuxottica S.A. ADR1 | | | 131 | | | | 11,991 | |
Anheuser-Busch InBev S.A. ADR1 | | | 194 | | | | 11,652 | |
Total Consumer, Non-cyclical | | | | | | | 488,347 | |
| | | | | | | | | |
Financial - 2.7% |
HSBC Holdings plc ADR1 | | | 890 | | | | 30,456 | |
Allianz SE ADR | | | 889 | | | | 21,140 | |
Zurich Insurance Group AG ADR | | | 326 | | | | 16,046 | |
UBS Group AG | | | 733 | | | | 14,323 | |
BNP Paribas S.A. ADR | | | 495 | | | | 14,112 | |
AXA S.A. ADR | | | 446 | | | | 13,010 | |
Banco Santander S.A. ADR | | | 3,804 | | | | 12,858 | |
Intesa Sanpaolo SpA ADR | | | 659 | | | | 9,035 | |
Prudential plc ADR1 | | | 297 | | | | 8,785 | |
Total Financial | | | | | | | 139,765 | |
| | | | | | | | | |
Energy - 1.8% |
Shell plc ADR | | | 829 | | | | 45,537 | |
TotalEnergies SE ADR | | | 567 | | | | 28,656 | |
BP plc ADR | | | 706 | | | | 20,757 | |
Total Energy | | | | | | | 94,950 | |
| | | | | | | | | |
Industrial - 1.8% |
Siemens AG ADR | | | 325 | | | | 22,471 | |
Schneider Electric SE ADR | | | 619 | | | | 20,910 | |
Airbus SE ADR | | | 506 | | | | 15,291 | |
Vinci S.A. ADR | | | 515 | | | | 13,122 | |
ABB Ltd. ADR | | | 343 | | | | 11,092 | |
Deutsche Post AG ADR | | | 214 | | | | 10,236 | |
Total Industrial | | | | | | | 93,122 | |
| | | | | | | | | |
Consumer, Cyclical - 1.7% |
LVMH Moet Hennessy Louis Vuitton SE ADR | | | 286 | | | | 40,778 | |
Cie Financiere Richemont S.A. ADR | | | 1,136 | | | | 14,325 | |
Mercedes-Benz Group AG ADR1 | | | 729 | | | | 12,757 | |
Kering S.A. ADR | | | 158 | | | | 9,987 | |
adidas AG ADR | | | 78 | | | | 9,112 | |
Total Consumer, Cyclical | | | | | | | 86,959 | |
| | | | | | | | | |
Technology - 1.7% |
ASML Holding N.V. — Class G | | | 88 | | | | 58,778 | |
SAP SE ADR1 | | | 237 | | | | 26,297 | |
Total Technology | | | | | | | 85,075 | |
| | | | | | | | | |
Basic Materials - 1.6% |
Linde plc | | | 110 | | | | 35,137 | |
Rio Tinto plc ADR1 | | | 230 | | | | 18,492 | |
Air Liquide S.A. ADR | | | 517 | | | | 18,075 | |
BASF SE ADR | | | 801 | | | | 11,374 | |
Total Basic Materials | | | | | | | 83,078 | |
| | | | | | | | | |
Utilities - 0.5% |
Iberdrola S.A. ADR | | | 319 | | | | 13,927 | |
Enel SpA ADR | | | 1,701 | | | | 11,312 | |
Total Utilities | | | | | | | 25,239 | |
| | | | | | | | | |
Communications - 0.5% |
Deutsche Telekom AG ADR | | | 754 | | | | 14,039 | |
Prosus N.V. ADR | | | 949 | | | | 10,335 | |
Total Communications | | | | | | | 24,374 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,052,071) | | | | | | | 1,120,909 | |
| | | | | | | | | |
MUTUAL FUNDS† - 10.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 27,731 | | | | 271,487 | |
Guggenheim Strategy Fund II2 | | | 11,042 | | | | 271,082 | |
Total Mutual Funds | | | | |
(Cost $549,966) | | | | | | | 542,569 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 10.8% |
U.S. Treasury Bills |
0.12% due 05/05/223,4 | | $ | 558,000 | | | | 557,922 | |
Total U.S. Treasury Bills | | | | |
(Cost $557,937) | | | | | | | 557,922 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 61.1% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 2,118,227 | | | | 2,118,227 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 815,846 | | | | 815,846 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 212,120 | | | | 212,120 | |
Total Repurchase Agreements | | | | |
(Cost $3,146,193) | | | | | | | 3,146,193 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 1.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%7 | | | 93,377 | | | $ | 93,377 | |
Total Securities Lending Collateral | | | | |
(Cost $93,377) | | | | | | | 93,377 | |
| | | | | | | | | |
Total Investments - 106.1% | | | | |
(Cost $5,399,544) | | $ | 5,460,970 | |
Other Assets & Liabilities, net - (6.1)% | | | (313,762 | ) |
Total Net Assets - 100.0% | | $ | 5,147,208 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
STOXX 50 Index Futures Contracts | | | 131 | | | | Jun 2022 | | | $ | 5,285,228 | | | $ | 207,510 | |
Currency Futures Contracts Purchased† |
Euro FX Futures Contracts | | | 39 | | | | Jun 2022 | | | | 5,408,081 | | | | 57,367 | |
* | 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 March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
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 March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
EUROPE 1.25x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,120,909 | | | $ | — | | | $ | — | | | $ | 1,120,909 | |
Mutual Funds | | | 542,569 | | | | — | | | | — | | | | 542,569 | |
U.S. Treasury Bills | | | — | | | | 557,922 | | | | — | | | | 557,922 | |
Repurchase Agreements | | | — | | | | 3,146,193 | | | | — | | | | 3,146,193 | |
Securities Lending Collateral | | | 93,377 | | | | — | | | | — | | | | 93,377 | |
Equity Futures Contracts** | | | 207,510 | | | | — | | | | — | | | | 207,510 | |
Currency Futures Contracts** | | | 57,367 | | | | — | | | | — | | | | 57,367 | |
Total Assets | | $ | 2,021,732 | | | $ | 3,704,115 | | | $ | — | | | $ | 5,725,847 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 276,836 | | | $ | 500,000 | | | $ | (500,000 | ) | | $ | (1,340 | ) | | $ | (4,414 | ) | | $ | 271,082 | | | | 11,042 | | | $ | 4,526 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 276,705 | | | | 500,000 | | | | (500,000 | ) | | | (1,210 | ) | | | (4,008 | ) | | | 271,487 | | | | 27,731 | | | | 2,771 | |
| | | $ | 553,541 | | | $ | 1,000,000 | | | $ | (1,000,000 | ) | | $ | (2,550 | ) | | $ | (8,422 | ) | | $ | 542,569 | | | | | | | $ | 7,297 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
EUROPE 1.25x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value - including $89,982 of securities loaned (cost $1,703,385) | | $ | 1,772,208 | |
Investments in affiliated issuers, at value (cost $549,966) | | | 542,569 | |
Repurchase agreements, at value (cost $3,146,193) | | | 3,146,193 | |
Segregated cash with broker | | | 43,182 | |
Receivables: |
Foreign tax reclaims | | | 16,420 | |
Dividends | | | 4,156 | |
Securities lending income | | | 281 | |
Fund shares sold | | | 281 | |
Interest | | | 23 | |
Total assets | | | 5,525,313 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 627 | |
Payable for: |
Fund shares redeemed | | | 168,491 | |
Variation margin on futures contracts | | | 103,164 | |
Return of securities lending collateral | | | 93,377 | |
Management fees | | | 3,987 | |
Distribution and service fees | | | 1,406 | |
Transfer agent and administrative fees | | | 1,208 | |
Portfolio accounting fees | | | 449 | |
Trustees’ fees* | | | 44 | |
Miscellaneous | | | 5,352 | |
Total liabilities | | | 378,105 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 5,147,208 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,088,706 | |
Total distributable earnings (loss) | | | (941,498 | ) |
Net assets | | $ | 5,147,208 | |
| | | | | |
A-Class: |
Net assets | | $ | 481,790 | |
Capital shares outstanding | | | 4,761 | |
Net asset value per share | | $ | 101.20 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 106.25 | |
| | | | | |
C-Class: |
Net assets | | $ | 482,941 | |
Capital shares outstanding | | | 5,838 | |
Net asset value per share | | $ | 82.72 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,182,477 | |
Capital shares outstanding | | | 41,777 | |
Net asset value per share | | $ | 100.11 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $2,890) | | $ | 24,329 | |
Dividends from securities of affiliated issuers | | | 7,297 | |
Interest | | | 1,297 | |
Income from securities lending, net | | | 1,545 | |
Total investment income | | | 34,468 | |
| | | | | |
Expenses: |
Management fees | | | 38,929 | |
Distribution and service fees: | | | | |
A-Class | | | 1,103 | |
C-Class | | | 1,201 | |
H-Class | | | 9,410 | |
Transfer agent and administrative fees | | | 11,910 | |
Portfolio accounting fees | | | 4,325 | |
Registration fees | | | 2,175 | |
Professional fees | | | 1,474 | |
Custodian fees | | | 767 | |
Trustees’ fees* | | | 359 | |
Miscellaneous | | | 3,331 | |
Total expenses | | | 74,984 | |
Less: |
Expenses waived by Adviser | | | (754 | ) |
Net expenses | | | 74,230 | |
Net investment loss | | | (39,762 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (249,930 | ) |
Investments in affiliated issuers | | | (2,550 | ) |
Swap agreements | | | 73 | |
Futures contracts | | | (919,986 | ) |
Foreign currency transactions | | | (3,754 | ) |
Net realized loss | | | (1,176,147 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 8,614 | |
Investments in affiliated issuers | | | (8,422 | ) |
Futures contracts | | | 255,095 | |
Foreign currency translations | | | (89 | ) |
Net change in unrealized appreciation (depreciation) | | | 255,198 | |
Net realized and unrealized loss | | | (920,949 | ) |
Net decrease in net assets resulting from operations | | $ | (960,711 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (39,762 | ) | | $ | (17,449 | ) |
Net realized gain (loss) on investments | | | (1,176,147 | ) | | | 531,423 | |
Net change in unrealized appreciation (depreciation) on investments | | | 255,198 | | | | (77,226 | ) |
Net increase (decrease) in net assets resulting from operations | | | (960,711 | ) | | | 436,748 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (3,005 | ) |
C-Class | | | — | | | | (864 | ) |
H-Class | | | — | | | | (64,304 | ) |
Total distributions to shareholders | | | — | | | | (68,173 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 32,230,106 | | | | 12,145,953 | |
C-Class | | | 1,637,119 | | | | 758,238 | |
H-Class | | | 51,058,459 | | | | 24,728,511 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 2,277 | |
C-Class | | | — | | | | 864 | |
H-Class | | | — | | | | 52,203 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (31,654,971 | ) | | | (12,156,789 | ) |
C-Class | | | (1,310,271 | ) | | | (963,363 | ) |
H-Class | | | (47,533,568 | ) | | | (25,112,437 | ) |
Net increase (decrease) from capital share transactions | | | 4,426,874 | | | | (544,543 | ) |
Net increase (decrease) in net assets | | | 3,466,163 | | | | (175,968 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,681,045 | | | | 1,857,013 | |
End of year | | $ | 5,147,208 | | | $ | 1,681,045 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 310,146 | | | | 132,762 | |
C-Class | | | 19,410 | | | | 10,252 | |
H-Class | | | 490,409 | | | | 294,697 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 25 | |
C-Class | | | — | | | | 12 | |
H-Class | | | — | | | | 589 | |
Shares redeemed | | | | | | | | |
A-Class | | | (306,756 | ) | | | (134,552 | ) |
C-Class | | | (15,390 | ) | | | (13,530 | ) |
H-Class | | | (463,701 | ) | | | (299,748 | ) |
Net increase (decrease) in shares | | | 34,118 | | | | (9,493 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
EUROPE 1.25x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 94.56 | | | $ | 69.30 | | | $ | 85.18 | | | $ | 94.56 | | | $ | 84.99 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.96 | ) | | | (.93 | ) | | | .63 | | | | 1.70 | | | | .82 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.60 | e | | | 30.74 | | | | (16.07 | )e | | | (4.78 | ) | | | 8.99 | |
Total from investment operations | | | 6.64 | | | | 29.81 | | | | (15.44 | ) | | | (3.08 | ) | | | 9.81 | |
Less distributions from: |
Net investment income | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Total distributions | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Net asset value, end of period | | $ | 101.20 | | | $ | 94.56 | | | $ | 69.30 | | | $ | 85.18 | | | $ | 94.56 | |
|
Total Returnb | | | 7.02 | % | | | 43.39 | % | | | (18.25 | %) | | | (2.32 | %) | | | 11.53 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 482 | | | $ | 130 | | | $ | 217 | | | $ | 184 | | | $ | 401 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.93 | %) | | | (1.10 | %) | | | 0.72 | % | | | 1.89 | % | | | 0.88 | % |
Total expensesc | | | 1.72 | % | | | 1.75 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Net expensesd | | | 1.70 | % | | | 1.73 | % | | | 1.73 | % | | | 1.76 | % | | | 1.71 | % |
Portfolio turnover rate | | | 517 | % | | | 534 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 77.88 | | | $ | 58.24 | | | $ | 72.13 | | | $ | 81.77 | | | $ | 74.07 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.18 | ) | | | (.96 | ) | | | (.18 | ) | | | .96 | | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.02 | e | | | 25.15 | | | | (13.27 | )e | | | (4.30 | ) | | | 8.03 | |
Total from investment operations | | | 4.84 | | | | 24.19 | | | | (13.45 | ) | | | (3.34 | ) | | | 7.94 | |
Less distributions from: |
Net investment income | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Total distributions | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Net asset value, end of period | | $ | 82.72 | | | $ | 77.88 | | | $ | 58.24 | | | $ | 72.13 | | | $ | 81.77 | |
|
Total Returnb | | | 6.21 | % | | | 41.93 | % | | | (18.79 | %) | | | (3.04 | %) | | | 10.70 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 483 | | | $ | 142 | | | $ | 296 | | | $ | 24 | | | $ | 187 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.41 | %) | | | (1.50 | %) | | | (0.25 | %) | | | 1.22 | % | | | (0.11 | %) |
Total expensesc | | | 2.48 | % | | | 2.58 | % | | | 2.49 | % | | | 2.50 | % | | | 2.46 | % |
Net expensesd | | | 2.46 | % | | | 2.55 | % | | | 2.45 | % | | | 2.50 | % | | | 2.46 | % |
Portfolio turnover rate | | | 517 | % | | | 534 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 93.56 | | | $ | 68.79 | | | $ | 84.58 | | | $ | 93.89 | | | $ | 84.38 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.93 | ) | | | (.74 | ) | | | .58 | | | | 1.26 | | | | 1.02 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.48 | e | | | 30.06 | | | | (15.93 | )e | | | (4.27 | ) | | | 8.73 | |
Total from investment operations | | | 6.55 | | | | 29.32 | | | | (15.35 | ) | | | (3.01 | ) | | | 9.75 | |
Less distributions from: |
Net investment income | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Total distributions | | | — | | | | (4.55 | ) | | | (.44 | ) | | | (6.30 | ) | | | (.24 | ) |
Net asset value, end of period | | $ | 100.11 | | | $ | 93.56 | | | $ | 68.79 | | | $ | 84.58 | | | $ | 93.89 | |
|
Total Return | | | 7.00 | % | | | 42.96 | % | | | (18.28 | %) | | | (2.28 | %) | | | 11.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,182 | | | $ | 1,410 | | | $ | 1,344 | | | $ | 37,240 | | | $ | 3,967 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.90 | %) | | | (0.88 | %) | | | 0.66 | % | | | 1.42 | % | | | 1.09 | % |
Total expensesc | | | 1.71 | % | | | 1.77 | % | | | 1.80 | % | | | 1.76 | % | | | 1.71 | % |
Net expensesd | | | 1.69 | % | | | 1.74 | % | | | 1.76 | % | | | 1.76 | % | | | 1.71 | % |
Portfolio turnover rate | | | 517 | % | | | 534 | % | | | 1,787 | % | | | 1,411 | % | | | 422 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The amount shown for a share outstanding throughout the year does not agree with the aggregate net gain (loss) 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 ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
For the one-year period ended March 31, 2022, Japan 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the fair value of the underlying index. Japan 2x Strategy Fund H-Class returned -28.95%, while the underlying index returned -13.24% over the same time period.
The Information Technology sector contributed the most to the return of the underlying index for the period, followed by the Financials and the Energy sectors. The Consumer Discretionary sector was the leading detractor from return, followed by the Communication Services sector and the Health Care sector.
Stocks contributing most to return of the underlying index were Tokyo Electron Ltd., NTT Data Corp., and KDDI Corp. Those detracting most from performance of the underlying index were Fast Retailing Co., Softbank Group Corp., and M3, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
70 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
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.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 11.2% |
Guggenheim Strategy Fund II | 11.0% |
Total | 22.2% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (28.96%) | 8.01% | 9.29% |
A-Class Shares with sales charge‡ | (32.33%) | 6.96% | 8.76% |
C-Class Shares | (29.41%) | 7.20% | 8.54% |
C-Class Shares with CDSC§ | (30.11%) | 7.20% | 8.54% |
H-Class Shares | (28.95%) | 8.01% | 9.34% |
Nikkei-225 Stock Average Index | (13.24%) | 6.14% | 6.49% |
* | 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 Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
JAPAN 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 22.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 14,448 | | | $ | 141,446 | |
Guggenheim Strategy Fund II1 | | | 5,636 | | | | 138,359 | |
Total Mutual Funds | | | | |
(Cost $283,661) | | | | | | | 279,805 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 13.9% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | $ | 175,000 | | | | 174,976 | |
Total U.S. Treasury Bills | | | | |
(Cost $174,980) | | | | | | | 174,976 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 7.9% |
Federal Farm Credit Bank |
0.77% (3 Month U.S. Treasury Bill Rate + 0.29%, Rate Floor: 0.00%) due 04/11/22◊ | | | 100,000 | | | | 100,011 | |
Total Federal Agency Notes | | | | |
(Cost $100,000) | | | | | | | 100,011 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 68.9% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/22 | | | 584,487 | | | | 584,487 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/22 | | | 225,118 | | | | 225,118 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/22 | | | 58,531 | | | | 58,531 | |
Total Repurchase Agreements | | | | |
(Cost $868,136) | | | | | | | 868,136 | |
| | | | | | | | | |
Total Investments - 112.9% | | | | |
(Cost $1,426,777) | | $ | 1,422,928 | |
Other Assets & Liabilities, net - (12.9)% | | | (162,103 | ) |
Total Net Assets - 100.0% | | $ | 1,260,825 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
Nikkei 225 (CME) Index Futures Contracts | | | 18 | | | | Jun 2022 | | | $ | 2,482,200 | | | $ | 210,052 | |
Currency Futures Contracts Purchased† |
Japanese Yen Futures Contracts | | | 25 | | | | Jun 2022 | | | | 2,571,875 | | | | (52,872 | ) |
** | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | CME — Chicago Mercantile Exchange |
| | |
| | See Sector Classification in Other Information section. |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
JAPAN 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 279,805 | | | $ | — | | | $ | — | | | $ | 279,805 | |
U.S. Treasury Bills | | | — | | | | 174,976 | | | | — | | | | 174,976 | |
Federal Agency Notes | | | — | | | | 100,011 | | | | — | | | | 100,011 | |
Repurchase Agreements | | | — | | | | 868,136 | | | | — | | | | 868,136 | |
Equity Futures Contracts** | | | 210,052 | | | | — | | | | — | | | | 210,052 | |
Total Assets | | $ | 489,857 | | | $ | 1,143,123 | | | $ | — | | | $ | 1,632,980 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 52,872 | | | $ | — | | | $ | — | | | $ | 52,872 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 140,782 | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,423 | ) | | $ | 138,359 | | | | 5,636 | | | $ | 1,996 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 143,902 | | | | — | | | | — | | | | — | | | | (2,456 | ) | | | 141,446 | | | | 14,448 | | | | 1,322 | |
| | | $ | 284,684 | | | $ | — | | | $ | — | | | $ | — | | | $ | (4,879 | ) | | $ | 279,805 | | | | | | | $ | 3,318 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $274,980) | | $ | 274,987 | |
Investments in affiliated issuers, at value (cost $283,661) | | | 279,805 | |
Repurchase agreements, at value (cost $868,136) | | | 868,136 | |
Segregated cash with broker | | | 45,403 | |
Receivables: |
Fund shares sold | | | 614 | |
Dividends | | | 318 | |
Interest | | | 143 | |
Total assets | | | 1,469,406 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 182,809 | |
Variation margin on futures contracts | | | 23,152 | |
Management fees | | | 716 | |
Transfer agent and administrative fees | | | 267 | |
Distribution and service fees | | | 251 | |
Portfolio accounting fees | | | 99 | |
Trustees’ fees* | | | 19 | |
Miscellaneous | | | 1,268 | |
Total liabilities | | | 208,581 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,260,825 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,532,659 | |
Total distributable earnings (loss) | | | (2,271,834 | ) |
Net assets | | $ | 1,260,825 | |
| | | | | |
A-Class: |
Net assets | | $ | 207,124 | |
Capital shares outstanding | | | 1,450 | |
Net asset value per share | | $ | 142.84 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 149.96 | |
| | | | | |
C-Class: |
Net assets | | $ | 4,521 | |
Capital shares outstanding | | | 35 | |
Net asset value per share | | $ | 128.84 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,049,180 | |
Capital shares outstanding | | | 7,287 | |
Net asset value per share | | $ | 143.98 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 3,318 | |
Interest | | | 1,322 | |
Total investment income | | | 4,640 | |
| | | | | |
Expenses: |
Management fees | | | 13,217 | |
Distribution and service fees: |
A-Class | | | 663 | |
C-Class | | | 172 | |
H-Class | | | 3,700 | |
Transfer agent and administrative fees | | | 4,947 | |
Portfolio accounting fees | | | 1,762 | |
Professional fees | | | 810 | |
Trustees’ fees* | | | 296 | |
Custodian fees | | | 238 | |
Miscellaneous | | | 870 | |
Total expenses | | | 26,675 | |
Less: |
Expenses waived by Adviser | | | (357 | ) |
Net expenses | | | 26,318 | |
Net investment loss | | | (21,678 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | 90 | |
Futures contracts | | | (726,769 | ) |
Net realized loss | | | (726,679 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (540 | ) |
Investments in affiliated issuers | | | (4,879 | ) |
Futures contracts | | | 137,405 | |
Net change in unrealized appreciation (depreciation) | | | 131,986 | |
Net realized and unrealized loss | | | (594,693 | ) |
Net decrease in net assets resulting from operations | | $ | (616,371 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (21,678 | ) | | $ | (23,182 | ) |
Net realized gain (loss) on investments | | | (726,679 | ) | | | 1,142,736 | |
Net change in unrealized appreciation (depreciation) on investments | | | 131,986 | | | | 51,997 | |
Net increase (decrease) in net assets resulting from operations | | | (616,371 | ) | | | 1,171,551 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (1,352 | ) |
C-Class | | | — | | | | (252 | ) |
H-Class | | | — | | | | (12,629 | ) |
Total distributions to shareholders | | | — | | | | (14,233 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 108,889 | | | | 129,406 | |
C-Class | | | 6,835 | | | | 25,877 | |
H-Class | | | 13,658,853 | | | | 9,996,652 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 1,352 | |
C-Class | | | — | | | | 245 | |
H-Class | | | — | | | | 11,506 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (71,975 | ) | | | (163,139 | ) |
C-Class | | | (51,236 | ) | | | (16,392 | ) |
H-Class | | | (13,641,857 | ) | | | (10,253,391 | ) |
Net increase (decrease) from capital share transactions | | | 9,509 | | | | (267,884 | ) |
Net increase (decrease) in net assets | | | (606,862 | ) | | | 889,434 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,867,687 | | | | 978,253 | |
End of year | | $ | 1,260,825 | | | $ | 1,867,687 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 560 | | | | 746 | |
C-Class | | | 37 | | | | 138 | |
H-Class | | | 72,686 | | | | 60,690 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 7 | |
C-Class | | | — | | | | 1 | |
H-Class | | | — | | | | 60 | |
Shares redeemed | | | | | | | | |
A-Class | | | (376 | ) | | | (967 | ) |
C-Class | | | (294 | ) | | | (87 | ) |
H-Class | | | (73,096 | ) | | | (61,589 | ) |
Net decrease in shares | | | (483 | ) | | | (1,001 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 201.08 | | | $ | 94.96 | | | $ | 119.96 | | | $ | 136.57 | | | $ | 102.24 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.21 | ) | | | (1.95 | ) | | | .91 | | | | 1.22 | | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (56.03 | ) | | | 109.13 | | | | (24.67 | ) | | | (17.32 | ) | | | 38.80 | e |
Total from investment operations | | | (58.24 | ) | | | 107.18 | | | | (23.76 | ) | | | (16.10 | ) | | | 38.77 | |
Less distributions from: |
Net investment income | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (4.44 | ) |
Total distributions | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) |
Net asset value, end of period | | $ | 142.84 | | | $ | 201.08 | | | $ | 94.96 | | | $ | 119.96 | | | $ | 136.57 | |
|
Total Returnb | | | (28.96 | %) | | | 112.92 | % | | | (20.15 | %) | | | (11.79 | %) | | | 37.94 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 207 | | | $ | 255 | | | $ | 141 | | | $ | 211 | | | $ | 404 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.22 | %) | | | (1.26 | %) | | | 0.70 | % | | | 0.93 | % | | | (0.02 | %) |
Total expensesc | | | 1.51 | % | | | 1.58 | % | | | 1.63 | % | | | 1.58 | % | | | 1.51 | % |
Net expensesd | | | 1.49 | % | | | 1.56 | % | | | 1.57 | % | | | 1.56 | % | | | 1.51 | % |
Portfolio turnover rate | | | — | | | | 15 | % | | | — | | | | — | | | | 17 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 182.53 | | | $ | 87.00 | | | $ | 110.80 | | | $ | 127.14 | | | $ | 96.17 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (3.48 | ) | | | (2.98 | ) | | | (.06 | ) | | | .19 | | | | (.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (50.21 | ) | | | 99.57 | | | | (22.50 | ) | | | (16.02 | ) | | | 36.21 | e |
Total from investment operations | | | (53.69 | ) | | | 96.59 | | | | (22.56 | ) | | | (15.83 | ) | | | 35.41 | |
Less distributions from: |
Net investment income | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (4.44 | ) |
Total distributions | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) |
Net asset value, end of period | | $ | 128.84 | | | $ | 182.53 | | | $ | 87.00 | | | $ | 110.80 | | | $ | 127.14 | |
|
Total Returnb | | | (29.41 | %) | | | 111.34 | % | | | (20.75 | %) | | | (12.43 | %) | | | 36.90 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5 | | | $ | 53 | | | $ | 21 | | | $ | 30 | | | $ | 69 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.00 | %) | | | (2.02 | %) | | | (0.05 | %) | | | 0.16 | % | | | (0.68 | %) |
Total expensesc | | | 2.25 | % | | | 2.32 | % | | | 2.38 | % | | | 2.33 | % | | | 2.26 | % |
Net expensesd | | | 2.24 | % | | | 2.30 | % | | | 2.32 | % | | | 2.31 | % | | | 2.26 | % |
Portfolio turnover rate | | | — | | | | 15 | % | | | — | | | | — | | | | 17 | % |
76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 202.65 | | | $ | 95.70 | | | $ | 120.89 | | | $ | 137.58 | | | $ | 102.97 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (2.25 | ) | | | (2.07 | ) | | | .90 | | | | 1.09 | | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (56.42 | ) | | | 110.08 | | | | (24.85 | ) | | | (17.27 | ) | | | 39.17 | e |
Total from investment operations | | | (58.67 | ) | | | 108.01 | | | | (23.95 | ) | | | (16.18 | ) | | | 39.05 | |
Less distributions from: |
Net investment income | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (4.44 | ) |
Total distributions | | | — | | | | (1.06 | ) | | | (1.24 | ) | | | (.51 | ) | | | (4.44 | ) |
Net asset value, end of period | | $ | 143.98 | | | $ | 202.65 | | | $ | 95.70 | | | $ | 120.89 | | | $ | 137.58 | |
|
Total Return | | | (28.95 | %) | | | 112.94 | % | | | (20.17 | %) | | | (11.76 | %) | | | 37.95 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,049 | | | $ | 1,560 | | | $ | 817 | | | $ | 1,898 | | | $ | 4,946 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.22 | %) | | | (1.27 | %) | | | 0.69 | % | | | 0.83 | % | | | (0.10 | %) |
Total expensesc | | | 1.51 | % | | | 1.58 | % | | | 1.63 | % | | | 1.58 | % | | | 1.50 | % |
Net expensesd | | | 1.49 | % | | | 1.56 | % | | | 1.58 | % | | | 1.57 | % | | | 1.50 | % |
Portfolio turnover rate | | | — | | | | 15 | % | | | — | | | | — | | | | 17 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The amount shown for a share outstanding throughout the year does not agree with the aggregate net loss 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 ANNUAL REPORT | 77 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
STRENGTHENING 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 performance of the ICE U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Strengthening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the underlying index. Strengthening Dollar 2x Strategy Fund H-Class returned 8.59%, compared with a return of 5.45% for its benchmark, the underlying index.
The Euro, Japanese Yen, and British Pound were the components which contributed the most to the underlying index during the period. The Swiss Franc and Canadian dollar were the components detracting most from the underlying index during the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
78 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | May 25, 2005 |
C-Class | May 25, 2005 |
H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Strategy Fund II | 12.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 10.9% |
Total | 23.7% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 8.58% | 0.06% | 3.25% |
A-Class Shares with sales charge‡ | 3.42% | (0.90%) | 2.75% |
C-Class Shares | 7.79% | (0.68%) | 2.49% |
C-Class Shares with CDSC§ | 6.79% | (0.68%) | 2.49% |
H-Class Shares | 8.59% | 0.07% | 3.26% |
ICE U.S. Dollar Index | 5.45% | (0.41%) | 2.21% |
* | 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 ICE U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 23.7% |
Guggenheim Strategy Fund II1 | | | 27,327 | | | $ | 670,883 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 58,216 | | | | 569,935 | |
Total Mutual Funds | | | | |
(Cost $1,255,062) | | | | | | | 1,240,818 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 3.4% |
Federal Farm Credit Bank |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | $ | 180,000 | | | | 180,091 | |
Total Federal Agency Notes | | | | |
(Cost $180,000) | | | | | | | 180,091 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 3.4% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 180,000 | | | | 179,975 | |
Total U.S. Treasury Bills | | | | |
(Cost $179,979) | | | | | | | 179,975 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 68.5% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/225 | | | 2,420,891 | | | | 2,420,891 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/225 | | | 932,419 | | | | 932,419 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/225 | | | 242,429 | | | | 242,429 | |
Total Repurchase Agreements | | | | |
(Cost $3,595,739) | | | | | | | 3,595,739 | |
| | | | | | | | | |
Total Investments - 99.0% | | | | |
(Cost $5,210,780) | | $ | 5,196,623 | |
Other Assets & Liabilities, net - 1.0% | | | 49,958 | |
Total Net Assets - 100.0% | | $ | 5,246,581 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Currency Futures Contracts Purchased† |
U.S. Dollar Index Futures Contracts | | | 93 | | | | Jun 2022 | | | $ | 9,152,130 | | | $ | (92,244 | ) |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Currency Index Swap Agreements†† |
Goldman Sachs International | ICE U.S. Dollar Index | Receive | N/A | | | At Maturity | | | | 06/17/22 | | | | 14,182 | | | $ | 1,393,450 | | | $ | (5,894 | ) |
** | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
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 currency index swap collateral at March 31, 2022. |
| | |
| | See Sector Classification in Other Information section. |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,240,818 | | | $ | — | | | $ | — | | | $ | 1,240,818 | |
Federal Agency Notes | | | — | | | | 180,091 | | | | — | | | | 180,091 | |
U.S. Treasury Bills | | | — | | | | 179,975 | | | | — | | | | 179,975 | |
Repurchase Agreements | | | — | | | | 3,595,739 | | | | — | | | | 3,595,739 | |
Total Assets | | $ | 1,240,818 | | | $ | 3,955,805 | | | $ | — | | | $ | 5,196,623 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 92,244 | | | $ | — | | | $ | — | | | $ | 92,244 | |
Currency Index Swap Agreements** | | | — | | | | 5,894 | | | | — | | | | 5,894 | |
Total Liabilities | | $ | 92,244 | | | $ | 5,894 | | | $ | — | | | $ | 98,138 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 682,634 | | | $ | — | | | $ | — | | | $ | — | | | $ | (11,751 | ) | | $ | 670,883 | | | | 27,327 | | | $ | 9,678 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 579,831 | | | | — | | | | — | | | | — | | | | (9,896 | ) | | | 569,935 | | | | 58,216 | | | | 5,326 | |
| | | $ | 1,262,465 | | | $ | — | | | $ | — | | | $ | — | | | $ | (21,647 | ) | | $ | 1,240,818 | | | | | | | $ | 15,004 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $359,979) | | $ | 360,066 | |
Investments in affiliated issuers, at value (cost $1,255,062) | | | 1,240,818 | |
Repurchase agreements, at value (cost $3,595,739) | | | 3,595,739 | |
Receivables: |
Variation margin on futures contracts | | | 48,128 | |
Fund shares sold | | | 35,747 | |
Dividends | | | 1,440 | |
Interest | | | 132 | |
Total assets | | | 5,282,070 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 5,894 | |
Payable for: |
Fund shares redeemed | | | 8,635 | |
Licensing fees | | | 6,520 | |
Swap settlement | | | 4,200 | |
Management fees | | | 4,144 | |
Transfer agent and administrative fees | | | 1,272 | |
Distribution and service fees | | | 1,200 | |
Portfolio accounting fees | | | 473 | |
Trustees’ fees* | | | 46 | |
Miscellaneous | | | 3,105 | |
Total liabilities | | | 35,489 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 5,246,581 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 24,137,351 | |
Total distributable earnings (loss) | | | (18,890,770 | ) |
Net assets | | $ | 5,246,581 | |
| | | | | |
A-Class: |
Net assets | | $ | 1,023,245 | |
Capital shares outstanding | | | 19,441 | |
Net asset value per share | | $ | 52.63 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 55.25 | |
| | | | | |
C-Class: |
Net assets | | $ | 33,533 | |
Capital shares outstanding | | | 730 | |
Net asset value per share | | $ | 45.94 | |
| | | | | |
H-Class: |
Net assets | | $ | 4,189,803 | |
Capital shares outstanding | | | 79,896 | |
Net asset value per share | | $ | 52.44 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 15,004 | |
Interest | | | 5,150 | |
Total investment income | | | 20,154 | |
| | | | | |
Expenses: |
Management fees | | | 35,653 | |
Distribution and service fees: |
A-Class | | | 2,884 | |
C-Class | | | 233 | |
H-Class | | | 6,962 | |
Transfer agent and administrative fees | | | 10,981 | |
Licensing fees | | | 9,116 | |
Portfolio accounting fees | | | 3,961 | |
Professional fees | | | 823 | |
Custodian fees | | | 515 | |
Trustees’ fees* | | | 448 | |
Miscellaneous | | | 3,479 | |
Total expenses | | | 75,055 | |
Less: |
Expenses waived by Adviser | | | (1,438 | ) |
Net expenses | | | 73,617 | |
Net investment loss | | | (53,463 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | 74,338 | |
Futures contracts | | | 487,000 | |
Net realized gain | | | 561,338 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (3,196 | ) |
Investments in affiliated issuers | | | (21,647 | ) |
Swap agreements | | | (10,564 | ) |
Futures contracts | | | (183,749 | ) |
Net change in unrealized appreciation (depreciation) | | | (219,156 | ) |
Net realized and unrealized gain | | | 342,182 | |
Net increase in net assets resulting from operations | | $ | 288,719 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (53,463 | ) | | $ | (71,947 | ) |
Net realized gain (loss) on investments | | | 561,338 | | | | (527,275 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (219,156 | ) | | | (96,842 | ) |
Net increase (decrease) in net assets resulting from operations | | | 288,719 | | | | (696,064 | ) |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (6,655 | ) |
C-Class | | | — | | | | (292 | ) |
H-Class | | | — | | | | (10,242 | ) |
Total distributions to shareholders | | | — | | | | (17,189 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 681,385 | | | | 1,906,912 | |
C-Class | | | 264,595 | | | | 493,961 | |
H-Class | | | 37,331,615 | | | | 48,911,545 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 4,700 | |
C-Class | | | — | | | | 292 | |
H-Class | | | — | | | | 10,066 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (1,185,208 | ) | | | (2,675,694 | ) |
C-Class | | | (266,056 | ) | | | (548,182 | ) |
H-Class | | | (35,803,702 | ) | | | (56,636,089 | ) |
Net increase (decrease) from capital share transactions | | | 1,022,629 | | | | (8,532,489 | ) |
Net increase (decrease) in net assets | | | 1,311,348 | | | | (9,245,742 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,935,233 | | | | 13,180,975 | |
End of year | | $ | 5,246,581 | | | $ | 3,935,233 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 13,950 | | | | 36,511 | |
C-Class | | | 6,238 | | | | 11,281 | |
H-Class | | | 764,506 | | | | 976,940 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 102 | |
C-Class | | | — | | | | 7 | |
H-Class | | | — | | | | 219 | |
Shares redeemed | | | | | | | | |
A-Class | | | (24,708 | ) | | | (52,229 | ) |
C-Class | | | (6,325 | ) | | | (12,434 | ) |
H-Class | | | (735,074 | ) | | | (1,118,071 | ) |
Net increase (decrease) in shares | | | 18,587 | | | | (157,674 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.47 | | | $ | 55.34 | | | $ | 52.46 | | | $ | 43.45 | | | $ | 53.23 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.64 | ) | | | (.64 | ) | | | .16 | | | | .19 | | | | (.16 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.80 | | | | (5.95 | ) | | | 3.17 | | | | 8.82 | | | | (9.62 | ) |
Total from investment operations | | | 4.16 | | | | (6.59 | ) | | | 3.33 | | | | 9.01 | | | | (9.78 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 52.63 | | | $ | 48.47 | | | $ | 55.34 | | | $ | 52.46 | | | $ | 43.45 | |
|
Total Returnb | | | 8.58 | % | | | (11.88 | %) | | | 6.38 | % | | | 20.74 | % | | | (18.37 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,023 | | | $ | 1,464 | | | $ | 2,535 | | | $ | 1,782 | | | $ | 1,517 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.32 | %) | | | (1.26 | %) | | | 0.29 | % | | | 0.40 | % | | | (0.34 | %) |
Total expensesc | | | 1.89 | % | | | 1.91 | % | | | 2.00 | % | | | 1.83 | % | | | 1.72 | % |
Net expensesd | | | 1.86 | % | | | 1.87 | % | | | 1.96 | % | | | 1.82 | % | | | 1.72 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 9 | % | | | — | |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 42.62 | | | $ | 49.08 | | | $ | 46.91 | | | $ | 39.14 | | | $ | 48.32 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.87 | ) | | | (.90 | ) | | | (.16 | ) | | | (.15 | ) | | | (.48 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.19 | | | | (5.28 | ) | | | 2.78 | | | | 7.92 | | | | (8.70 | ) |
Total from investment operations | | | 3.32 | | | | (6.18 | ) | | | 2.62 | | | | 7.77 | | | | (9.18 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 45.94 | | | $ | 42.62 | | | $ | 49.08 | | | $ | 46.91 | | | $ | 39.14 | |
|
Total Returnb | | | 7.79 | % | | | (12.56 | %) | | | 5.62 | % | | | 19.85 | % | | | (18.98 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 34 | | | $ | 35 | | | $ | 96 | | | $ | 791 | | | $ | 795 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.07 | %) | | | (2.00 | %) | | | (0.33 | %) | | | (0.33 | %) | | | (1.14 | %) |
Total expensesc | | | 2.66 | % | | | 2.67 | % | | | 2.77 | % | | | 2.59 | % | | | 2.47 | % |
Net expensesd | | | 2.62 | % | | | 2.63 | % | | | 2.72 | % | | | 2.58 | % | | | 2.47 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 9 | % | | | — | |
84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.29 | | | $ | 55.12 | | | $ | 52.25 | | | $ | 43.27 | | | $ | 53.03 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.66 | ) | | | (.70 | ) | | | .12 | | | | .18 | | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.81 | | | | (5.85 | ) | | | 3.20 | | | | 8.80 | | | | (9.59 | ) |
Total from investment operations | | | 4.15 | | | | (6.55 | ) | | | 3.32 | | | | 8.98 | | | | (9.76 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.28 | ) | | | (.45 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 52.44 | | | $ | 48.29 | | | $ | 55.12 | | | $ | 52.25 | | | $ | 43.27 | |
|
Total Return | | | 8.59 | % | | | (11.86 | %) | | | 6.39 | % | | | 20.75 | % | | | (18.39 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,190 | | | $ | 2,437 | | | $ | 10,549 | | | $ | 5,017 | | | $ | 6,301 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.36 | %) | | | (1.36 | %) | | | 0.22 | % | | | 0.36 | % | | | (0.36 | %) |
Total expensesc | | | 1.89 | % | | | 1.94 | % | | | 2.00 | % | | | 1.83 | % | | | 1.72 | % |
Net expensesd | | | 1.85 | % | | | 1.90 | % | | | 1.96 | % | | | 1.82 | % | | | 1.72 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | 9 | % | | | — | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
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 ICE U.S. Dollar Index (the “underlying index”).
The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Weakening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the underlying index. Weakening Dollar 2x Strategy Fund H-Class returned -12.93%, compared with a return of 5.45% for its benchmark, the underlying index.
The Euro, Japanese Yen, and British Pound were the components which contributed the most to the underlying index during the period. The Swiss Franc and Canadian Dollar were the components detracting most from the underlying index during the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees 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. For the one-year period ended March 31, 2022, investment in the Short-Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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.
86 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Inception Dates: |
A-Class | May 25, 2005 |
C-Class | May 25, 2005 |
H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 25.5% |
Guggenheim Strategy Fund II | 25.4% |
Total | 50.9% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (12.95%) | (3.02%) | (6.88%) |
A-Class Shares with sales charge‡ | (17.08%) | (3.96%) | (7.33%) |
C-Class Shares | (13.57%) | (3.75%) | (7.58%) |
C-Class Shares with CDSC§ | (14.43%) | (3.75%) | (7.58%) |
H-Class Shares | (12.93%) | (3.03%) | (6.89%) |
ICE U.S. Dollar Index | 5.45% | (0.41%) | 2.21% |
* | 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 ICE U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 50.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 31,531 | | | $ | 308,689 | |
Guggenheim Strategy Fund II1 | | | 12,532 | | | | 307,657 | |
Total Mutual Funds | | | | |
(Cost $622,107) | | | | | | | 616,346 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 4.9% |
Federal Farm Credit Bank |
0.69% (U.S. Prime Rate - 2.81%, Rate Floor: 0.00%) due 05/20/22◊ | | $ | 60,000 | | | | 60,030 | |
Total Federal Agency Notes | | | | |
(Cost $60,000) | | | | | | | 60,030 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 2.9% |
U.S. Treasury Bills |
0.12% due 05/05/222,3 | | | 35,000 | | | | 34,995 | |
Total U.S. Treasury Bills | | | | |
(Cost $34,996) | | | | | | | 34,995 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 42.2% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/225 | | | 343,937 | | | | 343,937 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/225 | | | 132,469 | | | | 132,469 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/225 | | | 34,442 | | | | 34,442 | |
Total Repurchase Agreements | | | | |
(Cost $510,848) | | | | | | | 510,848 | |
| | | | | | | | | |
Total Investments - 100.9% | | | | |
(Cost $1,227,951) | | $ | 1,222,219 | |
Other Assets & Liabilities, net - (0.9)% | | | (11,267 | ) |
Total Net Assets - 100.0% | | $ | 1,210,952 | |
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 | | | 20 | | | | Jun 2022 | | | $ | 1,968,200 | | | $ | 17,663 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Currency Index Swap Agreements Sold Short†† |
Goldman Sachs International | ICE U.S. Dollar Index | Pay | N/A | | | At Maturity | | | | 06/17/22 | | | | 4,566 | | | $ | 448,595 | | | $ | 2,871 | |
** | 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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
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 currency index swap collateral at March 31, 2022. |
| | |
| | See Sector Classification in Other Information section. |
88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 616,346 | | | $ | — | | | $ | — | | | $ | 616,346 | |
Federal Agency Notes | | | — | | | | 60,030 | | | | — | | | | 60,030 | |
U.S. Treasury Bills | | | — | | | | 34,995 | | | | — | | | | 34,995 | |
Repurchase Agreements | | | — | | | | 510,848 | | | | — | | | | 510,848 | |
Currency Futures Contracts** | | | 17,663 | | | | — | | | | — | | | | 17,663 | |
Currency Index Swap Agreements** | | | — | | | | 2,871 | | | | — | | | | 2,871 | |
Total Assets | | $ | 634,009 | | | $ | 608,744 | | | $ | — | | | $ | 1,242,753 | |
** | 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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 393,238 | | | $ | — | | | $ | (80,000 | ) | | $ | 225 | | | $ | (5,806 | ) | | $ | 307,657 | | | | 12,532 | | | $ | 5,141 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 384,261 | | | | — | | | | (70,000 | ) | | | (212 | ) | | | (5,360 | ) | | | 308,689 | | | | 31,531 | | | | 3,284 | |
| | | $ | 777,499 | | | $ | — | | | $ | (150,000 | ) | | $ | 13 | | | $ | (11,166 | ) | | $ | 616,346 | | | | | | | $ | 8,425 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 89 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments in unaffiliated issuers, at value (cost $94,996) | | $ | 95,025 | |
Investments in affiliated issuers, at value (cost $622,107) | | | 616,346 | |
Repurchase agreements, at value (cost $510,848) | | | 510,848 | |
Segregated cash with broker | | | 3,181 | |
Unrealized appreciation on OTC swap agreements | | | 2,871 | |
Receivables: |
Fund shares sold | | | 2,638 | |
Dividends | | | 704 | |
Swap settlement | | | 544 | |
Interest | | | 39 | |
Total assets | | | 1,232,196 | |
| | | | | |
Liabilities: |
Payable for: |
Variation margin on futures contracts | | | 10,700 | |
Fund shares redeemed | | | 5,518 | |
Licensing fees | | | 2,466 | |
Management fees | | | 848 | |
Transfer agent and administrative fees | | | 272 | |
Distribution and service fees | | | 262 | |
Portfolio accounting fees | | | 101 | |
Trustees’ fees* | | | 16 | |
Miscellaneous | | | 1,061 | |
Total liabilities | | | 21,244 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,210,952 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 11,261,329 | |
Total distributable earnings (loss) | | | (10,050,377 | ) |
Net assets | | $ | 1,210,952 | |
| | | | | |
A-Class: |
Net assets | | $ | 191,686 | |
Capital shares outstanding | | | 3,456 | |
Net asset value per share | | $ | 55.46 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 58.23 | |
| | | | | |
C-Class: |
Net assets | | $ | 14,703 | |
Capital shares outstanding | | | 305 | |
Net asset value per share | | $ | 48.23 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,004,563 | |
Capital shares outstanding | | | 18,143 | |
Net asset value per share | | $ | 55.37 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 8,425 | |
Interest | | | 1,562 | |
Total investment income | | | 9,987 | |
| | | | | |
Expenses: |
Management fees | | | 13,463 | |
Distribution and service fees: |
A-Class | | | 700 | |
C-Class | | | 307 | |
H-Class | | | 2,963 | |
Transfer agent and administrative fees | | | 4,184 | |
Licensing fees | | | 3,629 | |
Portfolio accounting fees | | | 1,496 | |
Professional fees | | | 607 | |
Trustees’ fees* | | | 224 | |
Custodian fees | | | 200 | |
Miscellaneous | | | 871 | |
Total expenses | | | 28,644 | |
Less: |
Expenses waived by Adviser | | | (893 | ) |
Net expenses | | | 27,751 | |
Net investment loss | | | (17,764 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | 13 | |
Swap agreements | | | (38,621 | ) |
Futures contracts | | | (212,578 | ) |
Net realized loss | | | (251,186 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (1,004 | ) |
Investments in affiliated issuers | | | (11,166 | ) |
Swap agreements | | | 11,114 | |
Futures contracts | | | 50,301 | |
Net change in unrealized appreciation (depreciation) | | | 49,245 | |
Net realized and unrealized loss | | | (201,941 | ) |
Net decrease in net assets resulting from operations | | $ | (219,705 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (17,764 | ) | | $ | (45,652 | ) |
Net realized gain (loss) on investments | | | (251,186 | ) | | | 420,864 | |
Net change in unrealized appreciation (depreciation) on investments | | | 49,245 | | | | 1,916 | |
Net increase (decrease) in net assets resulting from operations | | | (219,705 | ) | | | 377,128 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (726 | ) |
C-Class | | | — | | | | (70 | ) |
H-Class | | | — | | | | (3,116 | ) |
Total distributions to shareholders | | | — | | | | (3,912 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 24,029 | | | | 686,728 | |
C-Class | | | — | | | | 81,908 | |
H-Class | | | 14,847,548 | | | | 50,241,475 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 690 | |
C-Class | | | — | | | | 70 | |
H-Class | | | — | | | | 2,901 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (190,723 | ) | | | (563,534 | ) |
C-Class | | | (18,380 | ) | | | (64,608 | ) |
H-Class | | | (14,718,598 | ) | | | (50,838,141 | ) |
Net decrease from capital share transactions | | | (56,124 | ) | | | (452,511 | ) |
Net decrease in net assets | | | (275,829 | ) | | | (79,295 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,486,781 | | | | 1,566,076 | |
End of year | | $ | 1,210,952 | | | $ | 1,486,781 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 376 | | | | 10,681 | |
C-Class | | | — | | | | 1,385 | |
H-Class | | | 242,520 | | | | 802,800 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 10 | |
C-Class | | | — | | | | 1 | |
H-Class | | | — | | | | 43 | |
Shares redeemed | | | | | | | | |
A-Class | | | (2,996 | ) | | | (8,718 | ) |
C-Class | | | (360 | ) | | | (1,129 | ) |
H-Class | | | (241,086 | ) | | | (808,775 | ) |
Net decrease in shares | | | (1,546 | ) | | | (3,702 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.71 | | | $ | 57.85 | | | $ | 63.74 | | | $ | 77.67 | | | $ | 64.99 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.74 | ) | | | (.84 | ) | | | .16 | | | | .23 | | | | (.35 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.51 | ) | | | 6.82 | | | | (5.84 | ) | | | (14.16 | ) | | | 13.03 | |
Total from investment operations | | | (8.25 | ) | | | 5.98 | | | | (5.68 | ) | | | (13.93 | ) | | | 12.68 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 55.46 | | | $ | 63.71 | | | $ | 57.85 | | | $ | 63.74 | | | $ | 77.67 | |
|
Total Returnb | | | (12.95 | %) | | | 10.32 | % | | | (8.94 | %) | | | (17.93 | %) | | | 19.51 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 192 | | | $ | 387 | | | $ | 237 | | | $ | 296 | | | $ | 3,306 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.18 | %) | | | (1.30 | %) | | | 0.26 | % | | | 0.32 | % | | | (0.48 | %) |
Total expensesc | | | 1.90 | % | | | 1.90 | % | | | 2.01 | % | | | 1.80 | % | | | 1.72 | % |
Net expensesd | | | 1.84 | % | | | 1.86 | % | | | 2.00 | % | | | 1.80 | % | | | 1.72 | % |
Portfolio turnover rate | | | — | | | | 48 | % | | | — | | | | — | | | | 28 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.80 | | | $ | 51.07 | | | $ | 56.74 | | | $ | 69.66 | | | $ | 58.72 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.06 | ) | | | (1.17 | ) | | | (.29 | ) | | | (.27 | ) | | | (.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (6.51 | ) | | | 6.02 | | | | (5.17 | ) | | | (12.65 | ) | | | 11.74 | |
Total from investment operations | | | (7.57 | ) | | | 4.85 | | | | (5.46 | ) | | | (12.92 | ) | | | 10.94 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 48.23 | | | $ | 55.80 | | | $ | 51.07 | | | $ | 56.74 | | | $ | 69.66 | |
|
Total Returnb | | | (13.57 | %) | | | 9.50 | % | | | (9.65 | %) | | | (18.55 | %) | | | 18.65 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 15 | | | $ | 37 | | | $ | 21 | | | $ | 36 | | | $ | 388 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.93 | %) | | | (2.04 | %) | | | (0.53 | %) | | | (0.42 | %) | | | (1.23 | %) |
Total expensesc | | | 2.66 | % | | | 2.66 | % | | | 2.75 | % | | | 2.53 | % | | | 2.47 | % |
Net expensesd | | | 2.59 | % | | | 2.62 | % | | | 2.73 | % | | | 2.53 | % | | | 2.47 | % |
Portfolio turnover rate | | | — | | | | 48 | % | | | — | | | | — | | | | 28 | % |
92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.59 | | | $ | 57.76 | | | $ | 63.67 | | | $ | 77.60 | | | $ | 64.92 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.73 | ) | | | (.93 | ) | | | .07 | | | | .28 | | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.49 | ) | | | 6.88 | | | | (5.77 | ) | | | (14.21 | ) | | | 13.04 | |
Total from investment operations | | | (8.22 | ) | | | 5.95 | | | | (5.70 | ) | | | (13.93 | ) | | | 12.68 | |
Less distributions from: |
Net investment income | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.12 | ) | | | (.21 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 55.37 | | | $ | 63.59 | | | $ | 57.76 | | | $ | 63.67 | | | $ | 77.60 | |
|
Total Return | | | (12.93 | %) | | | 10.29 | % | | | (8.98 | %) | | | (17.95 | %) | | | 19.55 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,005 | | | $ | 1,063 | | | $ | 1,308 | | | $ | 1,678 | | | $ | 3,267 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.17 | %) | | | (1.47 | %) | | | 0.12 | % | | | 0.41 | % | | | (0.49 | %) |
Total expensesc | | | 1.90 | % | | | 1.88 | % | | | 1.99 | % | | | 1.83 | % | | | 1.72 | % |
Net expensesd | | | 1.84 | % | | | 1.86 | % | | | 1.97 | % | | | 1.83 | % | | | 1.72 | % |
Portfolio turnover rate | | | — | | | | 48 | % | | | — | | | | — | | | | 28 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (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 March 31, 2022, 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 |
Europe 1.25x Strategy Fund | Non-diversified |
Japan 2x Strategy Fund | Non-diversified |
Strengthening Dollar 2x Strategy Fund | Non-diversified |
Weakening Dollar 2x Strategy Fund | Non-diversified |
At March 31, 2022, 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
94 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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. 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.
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
(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 March 31, 2022, 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 0.33% at March 31, 2022.
(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.
96 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 2 – Derivatives
As part of their investment strategy, the Funds may 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 | | $ | 7,578,297 | | | $ | — | |
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 6,583,544 | | | | — | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 6,926,728 | | | | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 2,592,592 | |
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
| | THE RYDEX FUNDS ANNUAL REPORT | 97 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 | | $ | 1,179,510 | | | $ | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 423,716 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency swap 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 March 31, 2022:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
March 31,
2022 | |
Europe 1.25x Strategy Fund | | $ | 207,510 | | | $ | 57,367 | | | $ | — | | | $ | 264,877 | |
Japan 2x Strategy Fund | | | 210,052 | | | | — | | | | — | | | | 210,052 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 17,663 | | | | 2,871 | | | | 20,534 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
March 31,
2022 | |
Japan 2x Strategy Fund | | $ | — | | | $ | 52,872 | | | $ | — | | | $ | 52,872 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 92,244 | | | | 5,894 | | | | 98,138 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives 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. |
98 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency futures contracts | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on futures contracts |
Currency swap contracts | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | (389,711 | ) | | $ | 73 | | | $ | (530,275 | ) | | $ | — | | | $ | (919,913 | ) |
Japan 2x Strategy Fund | | | (470,546 | ) | | | 90 | | | | (256,223 | ) | | | — | | | | (726,679 | ) |
Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 487,000 | | | | 74,338 | | | | 561,338 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (212,578 | ) | | | (38,621 | ) | | | (251,199 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | 181,942 | | | $ | — | | | $ | 73,153 | | | $ | — | | | $ | 255,095 | |
Japan 2x Strategy Fund | | | 125,788 | | | | — | | | | 11,617 | | | | — | | | | 137,405 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | (183,749 | ) | | | (10,564 | ) | | | (194,313 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 50,301 | | | | 11,114 | | | | 61,415 | |
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.
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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 | |
Weakening Dollar 2x Strategy Fund | Swap currency contracts | | $ | 2,871 | | | $ | — | | | $ | 2,871 | | | $ | — | | | $ | — | | | $ | 2,871 | |
| | | | | | | | | | | | | | | | 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 | |
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | | $ | 5,894 | | | $ | — | | | $ | 5,894 | | | $ | (5,894 | ) | | $ | — | | | $ | —— | |
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 March 31, 2022.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Europe 1.25x Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 43,182 | | | $ | — | |
Japan 2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 45,403 | | | | — | |
Weakening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 3,181 | | | | — | |
100 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | | Management Fees
(as a % of Net Assets) | |
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 year ended March 31, 2022, GFD retained sales charges of $136,076 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 year ended March 31, 2022, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Europe 1.25x Strategy Fund | | $ | 754 | |
Japan 2x Strategy Fund | | | 357 | |
Strengthening Dollar 2x Strategy Fund | | | 1,438 | |
Weakening Dollar 2x Strategy Fund | | | 893 | |
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.
102 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 Bond | | | | | | | | |
0.28% | | | | | | | | | | 2.38% | | | | | | | | |
Due 04/01/22 | | $ | 151,286,307 | | | $ | 151,287,484 | | | 05/15/51 | | $ | 155,999,600 | | | $ | 154,312,098 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.25% | | | | | | | | | | 1.25% | | | | | | | | |
Due 04/01/22 | | | 58,268,731 | | | | 58,269,135 | | | 04/30/28 | | | 63,485,700 | | | | 59,434,112 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.24% | | | | | | | | | | 0.13% | | | | | | | | |
Due 04/01/22 | | | 15,149,870 | | | | 15,149,971 | | | 01/15/30 | | | 14,626,728 | | | | 15,452,970 | |
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 March 31, 2022, 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 | | $ | 275,266 | | | $ | (275,266 | ) | | $ | — | | | | $ | 289,958 | | | $ | — | | | $ | 289,958 | |
S&P MidCap 400® Pure Growth Fund | | | 1,099,039 | | | | (1,099,039 | ) | | | — | | | | | 1,156,329 | | | | — | | | | 1,156,329 | |
S&P MidCap 400® Pure Value Fund | | | 26,079 | | | | (26,079 | ) | | | — | | | | | 27,270 | | | | — | | | | 27,270 | |
S&P SmallCap 600® Pure Growth Fund | | | 3,103 | | | | (3,103 | ) | | | — | | | | | 3,113 | | | | — | | | | 3,113 | |
S&P SmallCap 600® Pure Value Fund | | | 137,480 | | | | (137,480 | ) | | | — | | | | | 146,289 | | | | — | | | | 146,289 | |
Europe 1.25x Strategy Fund | | | 89,982 | | | | (89,982 | ) | | | — | | | | | 93,377 | | | | — | | | | 93,377 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
| | THE RYDEX FUNDS ANNUAL REPORT | 103 |
NOTES TO FINANCIAL STATEMENTS (continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. 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.
The tax character of distributions paid during the year ended March 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
S&P 500® Pure Growth Fund | | $ | 570,074 | | | $ | 1,958,508 | | | $ | 2,528,582 | |
S&P 500® Pure Value Fund | | | 393,263 | | | | — | | | | 393,263 | |
S&P MidCap 400® Pure Growth Fund | | | 6,277,168 | | | | — | | | | 6,277,168 | |
S&P MidCap 400® Pure Value Fund | | | 2,336,239 | | | | — | | | | 2,336,239 | |
S&P SmallCap 600® Pure Growth Fund | | | 2,476,491 | | | | — | | | | 2,476,491 | |
The tax character of distributions paid during the year ended March 31, 2021 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
S&P 500® Pure Growth Fund | | $ | 1,666,873 | | | $ | — | | | $ | 1,666,873 | |
S&P 500® Pure Value Fund | | | 301,858 | | | | — | | | | 301,858 | |
S&P MidCap 400® Pure Growth Fund | | | 183,257 | | | | 607,733 | | | | 790,990 | |
S&P MidCap 400® Pure Value Fund | | | 28,766 | | | | — | | | | 28,766 | |
Europe 1.25x Strategy Fund | | | 68,173 | | | | — | | | | 68,173 | |
Japan 2x Strategy Fund | | | 14,233 | | | | — | | | | 14,233 | |
Strengthening Dollar 2x Strategy Fund | | | 17,189 | | | | — | | | | 17,189 | |
Weakening Dollar 2x Strategy Fund | | | 3,912 | | | | — | | | | 3,912 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
104 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of March 31, 2022 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Total | |
S&P 500® Pure Growth Fund | | $ | — | | | $ | — | | | $ | 6,960,170 | | | $ | — | | | $ | 6,960,170 | |
S&P 500® Pure Value Fund | | | 280,541 | | | | — | | | | 4,187,861 | | | | (3,386,775 | ) | | | 1,081,627 | |
S&P MidCap 400® Pure Growth Fund | | | — | | | | 4,111,095 | | | | 1,780,482 | | | | (112,076 | ) | | | 5,779,501 | |
S&P MidCap 400® Pure Value Fund | | | 2,668,409 | | | | — | | | | (314,254 | ) | | | — | | | | 2,354,155 | |
S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | 159,574 | | | | — | | | | 159,574 | |
S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | 38,370 | | | | (15,727,708 | ) | | | (15,689,338 | ) |
Europe 1.25x Strategy Fund | | | — | | | | — | | | | 30,990 | | | | (972,488 | ) | | | (941,498 | ) |
Japan 2x Strategy Fund | | | — | | | | — | | | | (3,850 | ) | | | (2,267,984 | ) | | | (2,271,834 | ) |
Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | (14,294 | ) | | | (18,876,476 | ) | | | (18,890,770 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (5,828 | ) | | | (10,044,549 | ) | | | (10,050,377 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of March 31, 2022, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | | |
Fund | | Short-Term | | | Long-Term | | | Total
Capital Loss
Carryforward | |
S&P 500® Pure Value Fund | | $ | — | | | $ | (3,386,775 | ) | | $ | (3,386,775 | ) |
S&P SmallCap 600® Pure Value Fund | | | (15,217,957 | ) | | | (509,751 | ) | | | (15,727,708 | ) |
Europe 1.25x Strategy Fund | | | (571,918 | ) | | | (394,792 | ) | | | (966,710 | ) |
Japan 2x Strategy Fund | | | (582,371 | ) | | | (1,681,545 | ) | | | (2,263,916 | ) |
Strengthening Dollar 2x Strategy Fund | | | (7,594,790 | ) | | | (11,264,301 | ) | | | (18,859,091 | ) |
Weakening Dollar 2x Strategy Fund | | | (4,028,564 | ) | | | (6,012,482 | ) | | | (10,041,046 | ) |
For the year ended March 31, 2022, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
S&P 500® Pure Value Fund | | $ | 2,717,756 | |
Strengthening Dollar 2x Strategy Fund | | | 367,024 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of net operating losses and the deferral of qualified late-year losses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
| | THE RYDEX FUNDS ANNUAL REPORT | 105 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following adjustments were made on the Statements of Assets and Liabilities as of March 31, 2022 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
S&P 500® Pure Growth Fund | | $ | 6,256,080 | | | $ | (6,256,080 | ) |
S&P MidCap 400® Pure Growth Fund | | | 4,200,329 | | | | (4,200,329 | ) |
S&P MidCap 400® Pure Value Fund | | | 16,845,068 | | | | (16,845,068 | ) |
S&P SmallCap 600® Pure Growth Fund | | | 5,245,337 | | | | (5,245,337 | ) |
S&P SmallCap 600® Pure Value Fund | | | (128,756 | ) | | | 128,756 | |
Europe 1.25x Strategy Fund | | | (39,989 | ) | | | 39,989 | |
Japan 2x Strategy Fund | | | (26,357 | ) | | | 26,357 | |
Strengthening Dollar 2x Strategy Fund | | | (46,400 | ) | | | 46,400 | |
Weakening Dollar 2x Strategy Fund | | | (20,797 | ) | | | 20,797 | |
At March 31, 2022, 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 | | $ | 36,465,894 | | | $ | 9,380,406 | | | $ | (2,420,236 | ) | | $ | 6,960,170 | |
S&P 500® Pure Value Fund | | | 166,133,137 | | | | 5,608,664 | | | | (1,420,803 | ) | | | 4,187,861 | |
S&P MidCap 400® Pure Growth Fund | | | 38,599,128 | | | | 4,204,487 | | | | (2,424,005 | ) | | | 1,780,482 | |
S&P MidCap 400® Pure Value Fund | | | 30,550,368 | | | | 250,376 | | | | (564,630 | ) | | | (314,254 | ) |
S&P SmallCap 600® Pure Growth Fund | | | 5,063,926 | | | | 692,595 | | | | (533,021 | ) | | | 159,574 | |
S&P SmallCap 600® Pure Value Fund | | | 22,815,254 | | | | 335,354 | | | | (296,984 | ) | | | 38,370 | |
Europe 1.25x Strategy Fund | | | 5,429,895 | | | | 76,870 | | | | (45,795 | ) | | | 31,075 | |
Japan 2x Strategy Fund | | | 1,426,778 | | | | 84,491 | | | | (88,341 | ) | | | (3,850 | ) |
Strengthening Dollar 2x Strategy Fund | | | 5,210,917 | | | | 91 | | | | (14,385 | ) | | | (14,294 | ) |
Weakening Dollar 2x Strategy Fund | | | 1,228,047 | | | | 30 | | | | (5,858 | ) | | | (5,828 | ) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until April 1, 2022:
Fund | | Ordinary | | | Capital | |
S&P MidCap 400® Pure Growth Fund | | $ | (112,076 | ) | | $ | — | |
Europe 1.25x Strategy Fund | | | (5,778 | ) | | | — | |
Japan 2x Strategy Fund | | | (4,068 | ) | | | — | |
Strengthening Dollar 2x Strategy Fund | | | (17,385 | ) | | | — | |
Weakening Dollar 2x Strategy Fund | | | (3,503 | ) | | | — | |
106 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Securities Transactions
For the year ended March 31, 2022, 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 | | $ | 590,297,218 | | | $ | 590,989,770 | |
S&P 500® Pure Value Fund | | | 629,340,095 | | | | 520,756,973 | |
S&P MidCap 400® Pure Growth Fund | | | 73,677,900 | | | | 96,929,954 | |
S&P MidCap 400® Pure Value Fund | | | 188,974,777 | | | | 316,015,013 | |
S&P SmallCap 600® Pure Growth Fund | | | 77,997,712 | | | | 102,619,785 | |
S&P SmallCap 600® Pure Value Fund | | | 285,137,868 | | | | 296,301,745 | |
Europe 1.25x Strategy Fund | | | 7,444,002 | | | | 6,621,629 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 150,000 | |
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 trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended March 31, 2022, 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) | |
S&P 500® Pure Growth Fund | | $ | 51,733,240 | | | $ | 55,374,106 | | | $ | 708,867 | |
S&P 500® Pure Value Fund | | | 88,303,702 | | | | 52,214,119 | | | | (75,528 | ) |
S&P MidCap 400 Pure Growth Fund | | | 5,454,166 | | | | 4,634,761 | | | | 432,197 | |
S&P MidCap 400 Pure Value Fund | | | 6,181,065 | | | | 11,664,227 | | | | 2,502,825 | |
S&P SmallCap 600 Pure Growth Fund | | | 2,089,949 | | | | 2,269,905 | | | | 278,702 | |
S&P SmallCap 600 Pure Value Fund | | | 6,188,016 | | | | 4,496,946 | | | | 129,839 | |
Europe 1.25x Strategy Fund | | | 608,768 | | | | 279,686 | | | | 16,158 | |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.26% for the year ended March 31, 2022. On March 31, 2022, S&P SmallCap 600 Pure Value Fund borrowed $35,000 under this agreement. The remaining funds did not have any borrowings outstanding under this agreement at March 31, 2022.
The average daily balances borrowed for the year ended March 31, 2022, were as follows:
Fund | | Average Daily Balance | |
S&P 500® Pure Value Fund | | $ | 5,493 | |
S&P 500® Pure Growth Fund | | | 8 | |
S&P MidCap 400® Pure Growth Fund | | | 2,082 | |
S&P MidCap 400® Pure Value Fund | | | 4,967 | |
S&P SmallCap 600® Pure Growth Fund | | | 3,690 | |
S&P SmallCap 600® Pure Value Fund | | | 4,315 | |
Strengthening Dollar 2x Strategy Fund | | | 16 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 107 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 11 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. On March 12, 2021, the Solicitor General filed an amicus brief recommending that certiorari be denied. Plaintiffs filed a supplemental brief in response to the Solicitor General’s amicus brief on March 31, 2021, and Defendants filed a supplemental brief on April 1, 2021. The Court denied the petition for certiorari on April 19, 2021.
108 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. On August 20, 2021, the Second Circuit affirmed the District Court’s orders: (1) dismissing the intentional fraudulent conveyance claims against the shareholder-defendants; and (2) denying the plaintiff leave to amend the complaint to add a constructive fraudulent conveyance claim against the shareholder-defendants. Plaintiff filed a petition for rehearing en banc on September 3, 2021. On October 7, 2021, the Second Circuit denied the petition. On January 5, 2022, Plaintiff filed a petition for certiorari in the U.S. Supreme Court. That petition was denied on February 22, 2022.
As a result of the dismissals above, there are no longer claims pending against Rydex Series Funds related to the Tribune LBO.
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.
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high
| | THE RYDEX FUNDS ANNUAL REPORT | 109 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Note 13 – Subsequent Events
On May 25, 2022, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for Europe 1.25x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This arrangement will take effect on August 1, 2022 and the end of the initial term is August 1, 2023. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board of Trustees upon sixty days’ written notice.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
110 | THE RYDEX FUNDS ANNUAL REPORT | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund, and Weakening Dollar 2x Strategy Fund (collectively referred to as the “Funds”), (ten of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (ten of the funds constituting Rydex Series Funds) at March 31, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 26, 2022
| | THE RYDEX FUNDS ANNUAL REPORT | 111 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
Europe 1.25x Strategy Fund intends to designate $1,715 of foreign tax withholding on foreign source income of $25,198.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 31, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | | Qualified
Dividend
Income | | | Dividend
Received
Deduction | | | Qualified
Interest
Income | | | Qualified
Short-Term
Capital Gain | |
S&P 500® Pure Growth Fund | | | 47.79 | % | | | 46.54 | % | | | 0.01 | % | | | 100.00 | % |
S&P 500® Pure Value Fund | | | 100.00 | % | | | 100.00 | % | | | 0.01 | % | | | 0.00 | % |
S&P MidCap 400® Pure Growth Fund | | | 4.09 | % | | | 4.02 | % | | | 0.00 | % | | | 100.00 | % |
S&P MidCap 400® Pure Value Fund | | | 20.92 | % | | | 19.57 | % | | | 0.00 | % | | | 100.00 | % |
S&P SmallCap 600® Pure Growth Fund | | | 2.24 | % | | | 1.97 | % | | | 0.00 | % | | | 100.00 | % |
With respect to the taxable year ended March 31, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term
capital gain, using
proceeds from
shareholder
redemptions: | |
S&P 500® Pure Growth Fund | | $ | 1,958,508 | | | $ | 5,442,557 | |
S&P MidCap 400® Pure Growth Fund | | | — | | | | 4,762,501 | |
S&P MidCap 400® Pure Value Fund | | | — | | | | 7,611,429 | |
S&P SmallCap 600® Pure Growth Fund | | | — | | | | 1,632,627 | |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
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 may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
112 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(concluded) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 113 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge, upon request, 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 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
114 | THE RYDEX FUNDS 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 | | |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 115 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
116 | THE RYDEX FUNDS 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*** |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 117 |
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 President of Mutual Funds Boards, 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); Managing 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 (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). |
118 | THE RYDEX FUNDS 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 | |
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: Director, 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 119 |
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. |
120 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud). If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request. Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 121 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below. We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
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3.31.2022
Rydex Funds Annual Report
Domestic Equity Fund |
NASDAQ-100® Fund | | |
GuggenheimInvestments.com | ROTC-ANN-0322x0323 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
NASDAQ-100® FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 49 |
OTHER INFORMATION | 51 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 53 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 62 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for NASDAQ-100® Fund (the “Fund”). This report covers performance for the 12-month period ended March 31, 2022.
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 Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2022
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.
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce
2 | THE RYDEX FUNDS ANNUAL REPORT | |
market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
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 ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the 12 months ended March 31, 2022, the Standard & Poor’s 500® (“S&P 500® ”) Index returned 15.65%, with gains faltering over the last few months amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the 12-month period ended March 31, 2022, the S&P 500® Index* returned 15.65%, as noted above. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 1.16%. The return of the MSCI Emerging Markets Index* was -11.37%.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -4.15% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -0.66%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.06% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg 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 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 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2021 and ending March 31, 2022.
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.
6 | THE RYDEX FUNDS ANNUAL REPORT | |
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2021 | Ending
Account Value
March 31,
2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
Investor Class | 1.24% | 0.69% | $ 1,000.00 | $ 1,006.90 | $ 6.20 |
A-Class | 1.49% | 0.57% | 1,000.00 | 1,005.70 | 7.45 |
C-Class | 2.24% | 0.20% | 1,000.00 | 1,002.00 | 11.18 |
H-Class | 1.49% | 0.57% | 1,000.00 | 1,005.70 | 7.45 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
Investor Class | 1.24% | 5.00% | $ 1,000.00 | $ 1,018.75 | $ 6.24 |
A-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
C-Class | 2.24% | 5.00% | 1,000.00 | 1,013.76 | 11.25 |
H-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100® Index (the “underlying index”).
For the one-year period ended March 31, 2022, NASDAQ-100 Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100® Index. The Fund Investor Class returned 12.69%, while the NASDAQ-100 Index returned 14.14% over the same time period.
All sectors contributed to the return of the underlying index for the period, led by Information Technology, Consumer Discretionary, and Consumer Staples.
The holdings contributing the most to the return of the underlying index were Apple, Inc., Microsoft Corp., and NVIDIA Corp. The holdings detracting the most were Meta Platforms, Inc.- Class A, PayPal Holdings, Inc., and Netflix, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended March 31, 2022, investment in the Short Term Investment Vehicles detracted from Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 | 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. | 11.3% |
Microsoft Corp. | 9.2% |
Amazon.com, Inc. | 6.6% |
Tesla, Inc. | 4.4% |
NVIDIA Corp. | 3.8% |
Alphabet, Inc. — Class C | 3.5% |
Alphabet, Inc. — Class A | 3.3% |
Meta Platforms, Inc. — Class A | 3.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.8% |
Broadcom, Inc. | 1.7% |
Top Ten Total | 48.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
Cumulative Fund Performance*
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
Investor Class Shares | 12.69% | 21.74% | 18.14% |
A-Class Shares | 12.40% | 21.44% | 17.83% |
A-Class Shares with sales charge‡ | 7.07% | 20.26% | 17.26% |
C-Class Shares | 11.57% | 20.54% | 16.97% |
C-Class Shares with CDSC§ | 10.57% | 20.54% | 16.97% |
NASDAQ-100 Index | 14.14% | 23.41% | 19.68% |
| 1 Year | 5 Year | Since
Inception
(09/18/14) |
H-Class Shares | 12.41% | 21.44% | 17.98% |
NASDAQ-100 Index | 14.14% | 23.41% | 19.85% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on the Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
12 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 90.6% |
| | | | | | | | | |
Technology - 42.6% |
Apple, Inc. | | | 1,060,473 | | | $ | 185,169,191 | |
Microsoft Corp. | | | 487,163 | | | | 150,197,224 | |
NVIDIA Corp. | | | 228,628 | | | | 62,383,436 | |
Broadcom, Inc. | | | 44,160 | | | | 27,806,669 | |
Adobe, Inc.* | | | 50,923 | | | | 23,201,537 | |
Intel Corp. | | | 439,002 | | | | 21,756,939 | |
Advanced Micro Devices, Inc.* | | | 175,447 | | | | 19,183,375 | |
QUALCOMM, Inc. | | | 121,502 | | | | 18,567,936 | |
Texas Instruments, Inc. | | | 99,568 | | | | 18,268,737 | |
Intuit, Inc. | | | 30,527 | | | | 14,678,603 | |
Applied Materials, Inc. | | | 95,239 | | | | 12,552,500 | |
Micron Technology, Inc. | | | 120,723 | | | | 9,403,114 | |
Analog Devices, Inc. | | | 56,419 | | | | 9,319,290 | |
Lam Research Corp. | | | 15,039 | | | | 8,085,117 | |
Fiserv, Inc.* | | | 70,313 | | | | 7,129,738 | |
Activision Blizzard, Inc. | | | 84,009 | | | | 6,729,961 | |
Marvell Technology, Inc. | | | 90,970 | | | | 6,523,459 | |
ASML Holding N.V. — Class G | | | 8,939 | | | | 5,970,626 | |
KLA Corp. | | | 16,249 | | | | 5,948,109 | |
Fortinet, Inc.* | | | 17,337 | | | | 5,924,746 | |
Synopsys, Inc.* | | | 16,506 | | | | 5,500,955 | |
Paychex, Inc. | | | 38,893 | | | | 5,307,728 | |
NXP Semiconductor N.V. | | | 28,304 | | | | 5,238,504 | |
Crowdstrike Holdings, Inc. — Class A* | | | 22,447 | | | | 5,097,265 | |
Autodesk, Inc.* | | | 23,715 | | | | 5,083,310 | |
Cognizant Technology Solutions Corp. — Class A | | | 56,550 | | | | 5,070,838 | |
Workday, Inc. — Class A* | | | 21,131 | | | | 5,060,029 | |
Cadence Design Systems, Inc.* | | | 29,900 | | | | 4,917,354 | |
Microchip Technology, Inc. | | | 59,941 | | | | 4,503,967 | |
Atlassian Corporation plc — Class A* | | | 15,218 | | | | 4,471,505 | |
Datadog, Inc. — Class A* | | | 28,493 | | | | 4,315,835 | |
Electronic Arts, Inc. | | | 30,319 | | | | 3,835,657 | |
Zscaler, Inc.* | | | 15,102 | | | | 3,643,811 | |
Zoom Video Communications, Inc. — Class A* | | | 26,116 | | | | 3,061,579 | |
ANSYS, Inc.* | | | 9,404 | | | | 2,987,180 | |
Splunk, Inc.* | | | 17,119 | | | | 2,544,054 | |
Skyworks Solutions, Inc. | | | 17,681 | | | | 2,356,524 | |
DocuSign, Inc.* | | | 21,333 | | | | 2,285,191 | |
NetEase, Inc. ADR | | | 22,584 | | | | 2,025,559 | |
Total Technology | | | | | | | 696,107,152 | |
| | | | | | | | | |
Communications - 25.5% |
Amazon.com, Inc.* | | | 33,066 | | | | 107,793,507 | |
Alphabet, Inc. — Class C* | | | 20,511 | | | | 57,287,018 | |
Alphabet, Inc. — Class A* | | | 19,544 | | | | 54,358,704 | |
Meta Platforms, Inc. — Class A* | | | 224,683 | | | | 49,960,512 | |
Cisco Systems, Inc. | | | 447,860 | | | | 24,972,674 | |
Comcast Corp. — Class A | | | 487,709 | | | | 22,834,535 | |
Netflix, Inc.* | | | 47,864 | | | | 17,929,376 | |
T-Mobile US, Inc.* | | | 134,686 | | | | 17,286,948 | |
Booking Holdings, Inc.* | | | 4,408 | | | | 10,351,968 | |
Charter Communications, Inc. — Class A* | | | 18,623 | | | | 10,159,219 | |
Airbnb, Inc. — Class A* | | | 40,016 | | | | 6,873,148 | |
Palo Alto Networks, Inc.* | | | 10,618 | | | | 6,609,811 | |
MercadoLibre, Inc.* | | | 5,436 | | | | 6,466,013 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
JD.com, Inc. ADR*,1 | | | 64,302 | | | $ | 3,721,157 | |
eBay, Inc. | | | 63,342 | | | | 3,626,963 | |
Baidu, Inc. ADR* | | | 26,064 | | | | 3,448,267 | |
Match Group, Inc.* | | | 30,742 | | | | 3,342,885 | |
Sirius XM Holdings, Inc.1 | | | 425,626 | | | | 2,817,644 | |
VeriSign, Inc.* | | | 11,877 | | | | 2,642,157 | |
Okta, Inc.* | | | 16,013 | | | | 2,417,323 | |
Pinduoduo, Inc. ADR* | | | 47,707 | | | | 1,913,528 | |
Total Communications | | | | | | | 416,813,357 | |
| | | | | | | | | |
Consumer, Non-cyclical - 10.4% |
PepsiCo, Inc. | | | 149,150 | | | | 24,964,727 | |
PayPal Holdings, Inc.* | | | 125,599 | | | | 14,525,524 | |
Amgen, Inc. | | | 60,053 | | | | 14,522,016 | |
Intuitive Surgical, Inc.* | | | 38,568 | | | | 11,635,194 | |
Automatic Data Processing, Inc. | | | 45,285 | | | | 10,304,149 | |
Mondelez International, Inc. — Class A | | | 149,676 | | | | 9,396,659 | |
Gilead Sciences, Inc. | | | 135,182 | | | | 8,036,570 | |
Regeneron Pharmaceuticals, Inc.* | | | 11,504 | | | | 8,034,624 | |
Moderna, Inc.* | | | 43,434 | | | | 7,481,941 | |
Vertex Pharmaceuticals, Inc.* | | | 27,446 | | | | 7,162,583 | |
Illumina, Inc.* | | | 16,926 | | | | 5,913,944 | |
Keurig Dr Pepper, Inc. | | | 152,892 | | | | 5,794,607 | |
Dexcom, Inc.* | | | 10,465 | | | | 5,353,894 | |
Kraft Heinz Co. | | | 131,932 | | | | 5,196,802 | |
IDEXX Laboratories, Inc.* | | | 9,083 | | | | 4,968,946 | |
Cintas Corp. | | | 11,183 | | | | 4,757,136 | |
Monster Beverage Corp.* | | | 57,070 | | | | 4,559,893 | |
AstraZeneca plc ADR | | | 61,501 | | | | 4,079,976 | |
Verisk Analytics, Inc. — Class A | | | 17,388 | | | | 3,731,987 | |
Align Technology, Inc.* | | | 8,495 | | | | 3,703,820 | |
Biogen, Inc.* | | | 15,844 | | | | 3,336,746 | |
Seagen, Inc.* | | | 19,797 | | | | 2,851,758 | |
Total Consumer, Non-cyclical | | | 170,313,496 | |
| | | | | | | | | |
Consumer, Cyclical - 9.4% |
Tesla, Inc.* | | | 67,160 | | | | 72,371,616 | |
Costco Wholesale Corp. | | | 47,807 | | | | 27,529,661 | |
Starbucks Corp. | | | 124,014 | | | | 11,281,553 | |
Marriott International, Inc. — Class A* | | | 35,180 | | | | 6,182,885 | |
O’Reilly Automotive, Inc.* | | | 7,180 | | | | 4,918,013 | |
Lululemon Athletica, Inc.* | | | 13,309 | | | | 4,860,846 | |
Lucid Group, Inc.*,1 | | | 178,238 | | | | 4,527,245 | |
Walgreens Boots Alliance, Inc. | | | 93,070 | | | | 4,166,744 | |
Dollar Tree, Inc.* | | | 24,252 | | | | 3,883,958 | |
Fastenal Co. | | | 62,051 | | | | 3,685,830 | |
Ross Stores, Inc. | | | 38,093 | | | | 3,445,893 | |
PACCAR, Inc. | | | 37,472 | | | | 3,300,159 | |
Copart, Inc.* | | | 25,571 | | | | 3,208,393 | |
Total Consumer, Cyclical | | | 153,362,796 | |
| | | | | | | | | |
Industrial - 1.7% |
Honeywell International, Inc. | | | 73,938 | | | | 14,386,856 | |
CSX Corp. | | | 236,469 | | | | 8,855,764 | |
Old Dominion Freight Line, Inc. | | | 12,383 | | | | 3,698,554 | |
Total Industrial | | | | | | | 26,941,174 | |
| | | | | | | | | |
Utilities - 1.0% |
American Electric Power Company, Inc. | | | 54,359 | | | | 5,423,397 | |
Exelon Corp. | | | 105,669 | | | | 5,033,015 | |
Xcel Energy, Inc. | | | 58,672 | | | | 4,234,358 | |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
Constellation Energy Corp. | | | 35,194 | | | $ | 1,979,663 | |
Total Utilities | | | | | | | 16,670,433 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $390,345,827) | | | | | | | 1,480,208,408 | |
| | | | | | | | | |
MUTUAL FUNDS† - 3.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 3,064,684 | | | | 30,003,257 | |
Guggenheim Strategy Fund II2 | | | 575,584 | | | | 14,130,599 | |
Guggenheim Strategy Fund III2 | | | 370,504 | | | | 9,129,213 | |
Total Mutual Funds | | | | |
(Cost $54,178,710) | | | | | | | 53,263,069 | |
| | | Face
Amount | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 4.8% |
| Federal Home Loan Bank |
0.17% due 04/27/223 | | $ | 35,000,000 | | | | 34,995,450 | |
0.14% due 04/01/223 | | | 20,000,000 | | | | 20,000,000 | |
0.05% due 04/01/223 | | | 15,000,000 | | | | 15,000,000 | |
0.15% due 04/05/223 | | | 7,835,000 | | | | 7,834,869 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $77,830,319) | | | | | | | 77,830,319 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 0.2% |
| U.S. Treasury Bills |
0.24% due 06/02/223,4 | | | 1,862,000 | | | | 1,860,953 | |
0.12% due 05/05/223,5 | | | 1,231,000 | | | | 1,230,829 | |
0.29% due 06/02/223 | | | 1,000,000 | | | | 999,438 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $4,091,607) | | | | | | | 4,091,220 | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 0.2% |
| Federal Farm Credit Bank |
0.65% (U.S. Prime Rate - 2.85%, Rate Floor: 0.00%) due 08/30/22◊ | | | 3,000,000 | | | | 3,004,020 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $2,999,382) | | | | | | | 3,004,020 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,6 - 1.1% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/224 | | | 11,625,513 | | | | 11,625,513 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/224 | | | 4,477,628 | | | | 4,477,628 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/224 | | | 1,164,183 | | | | 1,164,183 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $17,267,324) | | | | | | | 17,267,324 | |
| | | Shares | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.5% |
| Money Market Fund | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%8 | | | 8,903,440 | | | | 8,903,440 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $8,903,440) | | | | | | | 8,903,440 | |
| | | | | | | | | |
| Total Investments - 100.7% | | | | | | | | |
| (Cost $555,616,609) | | | | | | $ | 1,644,567,800 | |
| Other Assets & Liabilities, net - (0.7)% | | | | | | | (10,633,846 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 1,633,933,954 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
NASDAQ-100® FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 134 | | | | Jun 2022 | | | $ | 39,854,280 | | | $ | 1,584,959 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | NASDAQ-100 Index | Pay | 0.77% (U.S. Secured Overnight Financing Rate + 0.50%) | | | At Maturity | | | | 04/13/22 | | | | 3,238 | | | $ | 48,052,801 | | | $ | 2,137,675 | |
BNP Paribas | NASDAQ-100 Index | Pay | 0.98% (Federal Funds Rate + 0.65%) | | | At Maturity | | | | 04/14/22 | | | | 1,457 | | | | 21,619,440 | | | | 181,650 | |
Goldman Sachs International | NASDAQ-100 Index | Pay | 0.88% (Federal Funds Rate + 0.55%) | | | At Maturity | | | | 04/14/22 | | | | 2,982 | | | | 44,245,550 | | | | (27,872 | ) |
| | | | | | | | | | | | | | | | | | $ | 113,917,791 | | | $ | 2,291,453 | |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
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. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. 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. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 7. |
2 | Affiliated issuer. |
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 March 31, 2022. |
5 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,480,208,408 | | | $ | — | | | $ | — | | | $ | 1,480,208,408 | |
Mutual Funds | | | 53,263,069 | | | | — | | | | — | | | | 53,263,069 | |
Federal Agency Discount Notes | | | — | | | | 77,830,319 | | | | — | | | | 77,830,319 | |
U.S. Treasury Bills | | | — | | | | 4,091,220 | | | | — | | | | 4,091,220 | |
Federal Agency Notes | | | — | | | | 3,004,020 | | | | — | | | | 3,004,020 | |
Repurchase Agreements | | | — | | | | 17,267,324 | | | | — | | | | 17,267,324 | |
Securities Lending Collateral | | | 8,903,440 | | | | — | | | | — | | | | 8,903,440 | |
Equity Futures Contracts** | | | 1,584,959 | | | | — | | | | — | | | | 1,584,959 | |
Equity Index Swap Agreements** | | | — | | | | 2,319,325 | | | | — | | | | 2,319,325 | |
Total Assets | | $ | 1,543,959,876 | | | $ | 104,512,208 | | | $ | — | | | $ | 1,648,472,084 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 27,872 | | | $ | — | | | $ | 27,872 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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, 2021, 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/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
03/31/21 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 14,378,100 | | | $ | — | | | $ | — | | | $ | — | | | $ | (247,501 | ) |
Guggenheim Strategy Fund III | | | 9,314,465 | | | | — | | | | — | | | | — | | | | (185,252 | ) |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 25,529,268 | | | | 5,000,000 | | | | — | | | | — | | | | (526,011 | ) |
| | | $ | 49,221,833 | | | $ | 5,000,000 | | | $ | — | | | $ | — | | | $ | (958,764 | ) |
Security Name | | Value
03/31/22 | | | Shares
03/31/22 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 14,130,599 | | | | 575,584 | | | $ | 203,834 | |
Guggenheim Strategy Fund III | | | 9,129,213 | | | | 370,504 | | | | 144,079 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 30,003,257 | | | | 3,064,684 | | | | 266,771 | |
| | | $ | 53,263,069 | | | | | | | $ | 614,684 | |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
NASDAQ-100® FUND |
March 31, 2022
Assets: |
Investments in unaffiliated issuers, at value - including $8,299,490 of securities loaned (cost $484,170,575) | | $ | 1,574,037,407 | |
Investments in affiliated issuers, at value (cost $54,178,710) | | | 53,263,069 | |
Repurchase agreements, at value (cost $17,267,324) | | | 17,267,324 | |
Segregated cash with broker | | | 2,823,351 | |
Unrealized appreciation on OTC swap agreements | | | 2,319,325 | |
Receivables: |
Fund shares sold | | | 2,020,334 | |
Dividends | | | 259,605 | |
Securities lending income | | | 21,373 | |
Interest | | | 1,488 | |
Total assets | | | 1,652,013,276 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 76 | |
Segregated cash due to broker | | | 3,470,000 | |
Unrealized depreciation on OTC swap agreements | | | 27,872 | |
Payable for: |
Return of securities lending collateral | | | 8,903,440 | |
Fund shares redeemed | | | 1,388,318 | |
Management fees | | | 949,080 | |
Swap settlement | | | 836,582 | |
Variation margin on futures contracts | | | 537,340 | |
Transfer agent and administrative fees | | | 342,547 | |
Distribution and service fees | | | 107,858 | |
Portfolio accounting fees | | | 66,866 | |
Trustees’ fees* | | | 18,634 | |
Miscellaneous | | | 1,430,709 | |
Total liabilities | | | 18,079,322 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,633,933,954 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 491,673,454 | |
Total distributable earnings (loss) | | | 1,142,260,500 | |
Net assets | | $ | 1,633,933,954 | |
| | | | | |
Investor Class: |
Net assets | | $ | 1,424,455,890 | |
Capital shares outstanding | | | 20,828,364 | |
Net asset value per share | | $ | 68.39 | |
| | | | | |
A-Class: |
Net assets | | $ | 74,179,295 | |
Capital shares outstanding | | | 1,202,449 | |
Net asset value per share | | $ | 61.69 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 64.77 | |
| | | | | |
C-Class: |
Net assets | | $ | 106,419,366 | |
Capital shares outstanding | | | 2,073,715 | |
Net asset value per share | | $ | 51.32 | |
| | | | | |
H-Class: |
Net assets | | $ | 28,879,403 | |
Capital shares outstanding | | | 468,267 | |
Net asset value per share | | $ | 61.67 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
STATEMENT OF OPERATIONS |
NASDAQ-100® FUND |
Year Ended March 31, 2022
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $17,135) | | $ | 12,012,034 | |
Dividends from securities of affiliated issuers | | | 614,684 | |
Interest | | | 32,075 | |
Income from securities lending, net | | | 109,022 | |
Total investment income | | | 12,767,815 | |
| | | | | |
Expenses: |
Management fees | | | 13,437,437 | |
Distribution and service fees: |
A-Class | | | 189,392 | |
C-Class | | | 1,183,069 | |
H-Class | | | 99,567 | |
Transfer agent and administrative fees | | | 4,979,285 | |
Portfolio accounting fees | | | 874,997 | |
Professional fees | | | 664,468 | |
Custodian fees | | | 234,575 | |
Trustees’ fees* | | | 221,344 | |
Interest expense | | | 314 | |
Line of credit fees | | | 30 | |
Miscellaneous | | | 1,912,743 | |
Total expenses | | | 23,797,221 | |
Less: |
Expenses waived by Adviser | | | (71,868 | ) |
Net expenses | | | 23,725,353 | |
Net investment loss | | | (10,957,538 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | $ | 138,601,166 | |
Swap agreements | | | 4,387,777 | |
Futures contracts | | | 6,650,647 | |
Net realized gain | | | 149,639,590 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 32,414,153 | |
Investments in affiliated issuers | | | (958,764 | ) |
Swap agreements | | | 2,181,633 | |
Futures contracts | | | 815,682 | |
Net change in unrealized appreciation (depreciation) | | | 34,452,704 | |
Net realized and unrealized gain | | | 184,092,294 | |
Net increase in net assets resulting from operations | | $ | 173,134,756 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
NASDAQ-100® FUND | |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (10,957,538 | ) | | $ | (8,831,167 | ) |
Net realized gain on investments | | | 149,639,590 | | | | 172,627,731 | |
Net change in unrealized appreciation (depreciation) on investments | | | 34,452,704 | | | | 535,769,670 | |
Net increase in net assets resulting from operations | | | 173,134,756 | | | | 699,566,234 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
Investor Class | | | (75,911,645 | ) | | | (57,127,526 | ) |
A-Class | | | (3,942,595 | ) | | | (2,931,676 | ) |
C-Class | | | (7,123,551 | ) | | | (6,450,194 | ) |
H-Class | | | (2,360,990 | ) | | | (2,043,797 | ) |
Total distributions to shareholders | | | (89,338,781 | ) | | | (68,553,193 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
Investor Class | | | 1,510,249,831 | | | | 1,533,725,604 | |
A-Class | | | 17,597,319 | | | | 26,461,104 | |
C-Class | | | 11,514,616 | | | | 22,888,440 | |
H-Class | | | 45,085,284 | | | | 96,094,160 | |
Distributions reinvested | | | | | | | | |
Investor Class | | | 73,332,408 | | | | 55,008,153 | |
A-Class | | | 3,701,171 | | | | 2,792,916 | |
C-Class | | | 6,735,371 | | | | 6,162,238 | |
H-Class | | | 2,360,682 | | | | 2,043,207 | |
Cost of shares redeemed | | | | | | | | |
Investor Class | | | (1,620,402,111 | ) | | | (1,635,030,147 | ) |
A-Class | | | (21,167,480 | ) | | | (25,477,996 | ) |
C-Class | | | (33,225,427 | ) | | | (39,910,076 | ) |
H-Class | | | (42,019,635 | ) | | | (113,048,391 | ) |
Net decrease from capital share transactions | | | (46,237,971 | ) | | | (68,290,788 | ) |
Net increase in net assets | | | 37,558,004 | | | | 562,722,253 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,596,375,950 | | | | 1,033,653,697 | |
End of year | | $ | 1,633,933,954 | | | $ | 1,596,375,950 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
NASDAQ-100® FUND | |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
Investor Class | | | 21,260,182 | | | | 28,111,919 | |
A-Class | | | 270,827 | | | | 526,023 | |
C-Class | | | 216,441 | | | | 548,678 | |
H-Class | | | 697,477 | | | | 2,033,470 | |
Shares issued from reinvestment of distributions | | | | | | | | |
Investor Class | | | 983,140 | | | | 913,757 | |
A-Class | | | 54,971 | | | | 51,031 | |
C-Class | | | 119,975 | | | | 132,778 | |
H-Class | | | 35,072 | | | | 37,339 | |
Shares redeemed | | | | | | | | |
Investor Class | | | (23,276,211 | ) | | | (29,550,246 | ) |
A-Class | | | (334,683 | ) | | | (497,139 | ) |
C-Class | | | (627,691 | ) | | | (902,170 | ) |
H-Class | | | (690,083 | ) | | | (2,300,380 | ) |
Net decrease in shares | | | (1,290,583 | ) | | | (894,940 | ) |
22 | THE RYDEX FUNDS 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 | | Year
Ended
March 31,
2022 | | | Year
Ended
March 31,
2021 | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 63.43 | | | $ | 39.68 | | | $ | 38.39 | | | $ | 34.94 | | | $ | 30.68 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.37 | ) | | | (.28 | ) | | | (.08 | ) | | | (.05 | ) | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 8.70 | | | | 26.64 | | | | 2.21 | | | | 4.11 | | | | 6.35 | |
Total from investment operations | | | 8.33 | | | | 26.36 | | | | 2.13 | | | | 4.06 | | | | 6.30 | |
Less distributions from: |
Net realized gains | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Total distributions | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Net asset value, end of period | | $ | 68.39 | | | $ | 63.43 | | | $ | 39.68 | | | $ | 38.39 | | | $ | 34.94 | |
|
Total Return | | | 12.69 | % | | | 66.78 | % | | | 5.40 | % | | | 11.79 | % | | | 20.76 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,424,456 | | | $ | 1,386,721 | | | $ | 888,189 | | | $ | 979,675 | | | $ | 926,146 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.53 | %) | | | (0.50 | %) | | | (0.19 | %) | | | (0.14 | %) | | | (0.14 | %) |
Total expensesb | | | 1.25 | % | | | 1.33 | % | | | 1.37 | % | | | 1.36 | % | | | 1.28 | % |
Net expensesc | | | 1.24 | % | | | 1.33 | % | | | 1.37 | % | | | 1.36 | % | | | 1.28 | % |
Portfolio turnover rate | | | 44 | % | | | 57 | % | | | 54 | % | | | 32 | % | | | 48 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
FINANCIAL HIGHLIGHTS (continued) |
NASDAQ-100® FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year
Ended
March 31,
2022 | | | Year
Ended
March 31,
2021 | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.63 | | | $ | 36.29 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.50 | ) | | | (.39 | ) | | | (.17 | ) | | | (.13 | ) | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.93 | | | | 24.34 | | | | 2.04 | | | | 3.78 | | | | 5.89 | |
Total from investment operations | | | 7.43 | | | | 23.95 | | | | 1.87 | | | | 3.65 | | | | 5.77 | |
Less distributions from: |
Net realized gains | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Total distributions | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Net asset value, end of period | | $ | 61.69 | | | $ | 57.63 | | | $ | 36.29 | | | $ | 35.26 | | | $ | 32.22 | |
|
Total Returnd | | | 12.40 | % | | | 66.37 | % | | | 5.14 | % | | | 11.51 | % | | | 20.44 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 74,179 | | | $ | 69,808 | | | $ | 41,054 | | | $ | 59,021 | | | $ | 52,257 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.78 | %) | | | (0.75 | %) | | | (0.44 | %) | | | (0.38 | %) | | | (0.39 | %) |
Total expensesb | | | 1.50 | % | | | 1.58 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % |
Net expensesc | | | 1.49 | % | | | 1.58 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 44 | % | | | 57 | % | | | 54 | % | | | 32 | % | | | 48 | % |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | | Year
Ended
March 31,
2022 | | | Year
Ended
March 31,
2021 | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 48.76 | | | $ | 31.18 | | | $ | 30.64 | | | $ | 28.29 | | | $ | 25.41 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.82 | ) | | | (.66 | ) | | | (.39 | ) | | | (.34 | ) | | | (.32 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.75 | | | | 20.85 | | | | 1.77 | | | | 3.30 | | | | 5.24 | |
Total from investment operations | | | 5.93 | | | | 20.19 | | | | 1.38 | | | | 2.96 | | | | 4.92 | |
Less distributions from: |
Net realized gains | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Total distributions | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Net asset value, end of period | | $ | 51.32 | | | $ | 48.76 | | | $ | 31.18 | | | $ | 30.64 | | | $ | 28.29 | |
|
Total Returnd | | | 11.57 | % | | | 65.17 | % | | | 4.31 | % | | | 10.70 | % | | | 19.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 106,419 | | | $ | 115,315 | | | $ | 80,633 | | | $ | 85,274 | | | $ | 85,149 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.53 | %) | | | (1.50 | %) | | | (1.19 | %) | | | (1.14 | %) | | | (1.15 | %) |
Total expensesb | | | 2.25 | % | | | 2.33 | % | | | 2.37 | % | | | 2.36 | % | | | 2.28 | % |
Net expensesc | | | 2.24 | % | | | 2.33 | % | | | 2.37 | % | | | 2.36 | % | | | 2.28 | % |
Portfolio turnover rate | | | 44 | % | | | 57 | % | | | 54 | % | | | 32 | % | | | 48 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
FINANCIAL HIGHLIGHTS (concluded) |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year
Ended
March 31,
2022 | | | Year
Ended
March 31,
2021 | | | Year
Ended
March 31,
2020 | | | Year
Ended
March 31,
2019 | | | Year
Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.61 | | | $ | 36.28 | | | $ | 35.26 | | | $ | 32.22 | | | $ | 28.49 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.51 | ) | | | (.38 | ) | | | (.16 | ) | | | (.13 | ) | | | (.12 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.94 | | | | 24.32 | | | | 2.02 | | | | 3.78 | | | | 5.89 | |
Total from investment operations | | | 7.43 | | | | 23.94 | | | | 1.86 | | | | 3.65 | | | | 5.77 | |
Less distributions from: |
Net realized gains | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Total distributions | | | (3.37 | ) | | | (2.61 | ) | | | (.84 | ) | | | (.61 | ) | | | (2.04 | ) |
Net asset value, end of period | | $ | 61.67 | | | $ | 57.61 | | | $ | 36.28 | | | $ | 35.26 | | | $ | 32.22 | |
|
Total Return | | | 12.41 | % | | | 66.36 | % | | | 5.11 | % | | | 11.51 | % | | | 20.49 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 28,879 | | | $ | 24,532 | | | $ | 23,777 | | | $ | 46,276 | | | $ | 64,483 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.79 | %) | | | (0.75 | %) | | | (0.43 | %) | | | (0.37 | %) | | | (0.37 | %) |
Total expensesb | | | 1.50 | % | | | 1.59 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % |
Net expensesc | | | 1.49 | % | | | 1.59 | % | | | 1.62 | % | | | 1.61 | % | | | 1.53 | % |
Portfolio turnover rate | | | 44 | % | | | 57 | % | | | 54 | % | | | 32 | % | | | 48 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Total return does not reflect the impact of any applicable sales charges. |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust 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 March 31, 2022, the Trust consisted of fifty-two funds (the “Funds”).
This report covers the NASDAQ-100® Fund (the “Fund”), a non-diversified investment company.
At March 31, 2022, 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 ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities 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.
28 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 New York Stock Exchange (“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 ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (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 March 31, 2022, 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.
30 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 0.33% at March 31, 2022.
(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 ANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (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 | | $ | 50,781,983 | |
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.
32 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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, 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 | | $ | 32,986,445 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | — | Variation margin on futures contracts |
| Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
| | THE RYDEX FUNDS ANNUAL REPORT | 33 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2022:
Asset Derivative Investments Value |
| | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Total Value at
March 31,
2022 | |
| | | $ | 1,584,959 | | | $ | 2,319,325 | | | $ | 3,904,284 | |
Liability Derivative Investments Value |
| | Swaps
Equity
Risk | | | Total Value at
March 31,
2022 | |
| | | $ | 27,872 | | | $ | 27,872 | |
* | 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 following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended March 31, 2022:
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 |
34 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended March 31, 2022:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| | | $ | 6,650,647 | | | $ | 4,387,777 | | | $ | 11,038,424 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| | | $ | 815,682 | | | $ | 2,181,633 | | | $ | 2,997,315 | |
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 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, 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 it believes 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.
36 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | 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 | | $ | 2,319,325 | | | $ | — | | | $ | 2,319,325 | | | $ | — | | | $ | (2,319,325 | ) | | $ | — | |
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | | | |
Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statement
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Swap equity contracts | | $ | 27,872 | | | $ | — | | | $ | 27,872 | | | $ | (27,872 | ) | | $ | — | | | $ | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Fund has 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 March 31, 2022.
Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Barclays Bank plc | Total return swap agreements | | $ | 1,770,000 | | | $ | 2,700,000 | |
BNP Paribas | Total return swap agreements | | | — | | | | 770,000 | |
Goldman Sachs International | Futures contracts | | | 1,053,351 | | | | — | |
| | | | | 2,823,351 | | | | 3,470,000 | |
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 RYDEX FUNDS ANNUAL REPORT | 37 |
NOTES TO FINANCIAL STATEMENTS (continued) |
the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the 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.
38 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Board has adopted a Distribution Plan applicable to A-Class and 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 C-Class shares that allows the Fund to pay annual distribution and service fees of 1.00% of the Fund’s C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
For the year ended March 31, 2022, GFD retained sales charges of $136,076 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 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 year ended March 31, 2022, the Fund waived $71,868 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
| | THE RYDEX FUNDS ANNUAL REPORT | 39 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At March 31, 2022, 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 Bond | | | | | | | | |
0.28% | | | | | | | | | | | | | 2.38% | | | | | | | | |
Due 04/01/22 | | $ | 151,286,307 | | | $ | 151,287,484 | | | | | | 05/15/51 | | $ | 155,999,600 | | | $ | 154,312,098 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.25% | | | | | | | | | | | | | 1.25% | | | | | | | | |
Due 04/01/22 | | | 58,268,731 | | | | 58,269,135 | | | | | | 04/30/28 | | | 63,485,700 | | | | 59,434,112 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.24% | | | | | | | | | | | | | 0.13% | | | | | | | | |
Due 04/01/22 | | | 15,149,870 | | | | 15,149,971 | | | | | | 01/15/30 | | | 14,626,728 | | | | 15,452,970 | |
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 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 its securities and a possible loss of income or value if the borrower fails to return the securities. The Fund has
40 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At March 31, 2022, the Fund participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
| | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
| | | $ | 8,299,490 | | | $ | (8,299,490 | ) | | $ | — | | | | $ | 8,903,440 | | | $ | — | | | $ | 8,903,440 | |
(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 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 41 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 31, 2022 was as follows:
| | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| | | $ | 71,808,723 | | | $ | 17,530,058 | | | $ | 89,338,781 | |
The tax character of distributions paid during the year ended March 31, 2021 was as follows:
| | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| | | $ | 14,003,461 | | | $ | 54,549,732 | | | $ | 68,553,193 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of March 31, 2022 were as follows:
| | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Total | |
| | | $ | — | | | $ | 91,325,257 | | | $ | 1,053,170,404 | | | $ | (2,235,161 | ) | | $ | 1,142,260,500 | |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of March 31, 2022, the Fund had no capital loss carryforwards
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of net operating losses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of March 31, 2022 for permanent book/tax differences:
| | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
| | | $ | 40,524,247 | | | $ | (40,524,247 | ) |
42 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 | | | Net Tax
Unrealized
Appreciation/
(Depreciation) | |
| | | $ | 593,688,849 | | | $ | 1,067,998,467 | | | $ | (14,828,063 | ) | | $ | 1,053,170,404 | |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until April 1, 2022:
| | Ordinary | | | Capital | |
| | | $ | (2,235,161 | ) | | $ | — | |
Note 9 – Securities Transactions
For the year ended March 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| | Purchases | | | Sales | |
| | | $ | 767,119,547 | | | $ | 954,997,646 | |
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 adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended March 31, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| | Purchases | | | Sales | | | Realized Gain | |
| | | $ | 339,984,462 | | | $ | 421,538,190 | | | $ | 76,796,614 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.26% for the year ended March 31, 2022. The Fund did not have any borrowings outstanding under this agreement at March 31, 2022.
The average daily balance borrowed for the year ended March 31, 2022 was $2,373.
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.
44 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. On March 12, 2021, the Solicitor General filed an amicus brief recommending that certiorari be denied. Plaintiffs filed a supplemental brief in response to the Solicitor General’s amicus brief on March 31, 2021, and Defendants filed a supplemental brief on April 1, 2021. The Court denied the petition for certiorari on April 19, 2021.
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 RYDEX FUNDS ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. On August 20, 2021, the Second Circuit affirmed the District Court’s orders: (1) dismissing the intentional fraudulent conveyance claims against the shareholder-defendants; and (2) denying the plaintiff leave to amend the complaint to add a constructive fraudulent conveyance claim against the shareholder-defendants. Plaintiff filed a petition for rehearing en banc on September 3, 2021. On October 7, 2021, the Second Circuit denied the petition. On January 5, 2022, Plaintiff filed a petition for certiorari in the U.S. Supreme Court. That petition was denied on February 22, 2022.
As a result of the dismissals above, there are no longer claims pending against Rydex Series Funds related to the Tribune LBO.
46 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
Note 12 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
| | THE RYDEX FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 13 – Subsequent Events
On May 25, 2022, the Board approved a waiver and/or expense reimbursement arrangement for the Fund whereby GI has agreed to waive and/or reimburse expenses in an amount equal to an annual percentage rate of 0.05% of the Fund’s average daily net assets in excess of $500,000,000.
This new waiver and/or expense reimbursement arrangement will be effective on August 1, 2022.
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Fund’s financial statements.
48 | THE RYDEX FUNDS ANNUAL REPORT | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of NASDAQ-100® Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of NASDAQ-100® Fund (the “Fund”) (one of the funds constituting Rydex Series Funds (the “Trust”)), including the schedule of investments, as of March 31, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Rydex Series Funds) at March 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities
| | THE RYDEX FUNDS ANNUAL REPORT | 49 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
owned as of March 31, 2022, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 26, 2022
50 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 31, 2022, the Fund had the corresponding percentages qualify as qualified short-term capital gains as permitted by IRC Section 871(k)(2). See qualified short-term capital gain column in the table below.
| | Qualified
Dividend
Income | | | Dividend
Received
Deduction | | | Qualified
Short-Term
Capital Gain | |
| | | | 15.97 | % | | | 11.58 | % | | | 100.00 | % |
With respect to the taxable year ended March 31, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| | | From long-term
capital gain: | | | From long-term capital
gain, using proceeds
from shareholder
redemptions: | |
| | $ | 17,530,058 | | | $ | 49,246,624 | |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
| | THE RYDEX FUNDS ANNUAL REPORT | 51 |
OTHER INFORMATION (Unaudited) (concluded) |
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 may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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 portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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.
52 | THE RYDEX FUNDS ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge, upon request, 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 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
| | THE RYDEX FUNDS ANNUAL REPORT | 53 |
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 | | | |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
54 | THE RYDEX FUNDS 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: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS 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 | | | |
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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
56 | THE RYDEX FUNDS 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 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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 57 |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active 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. |
58 | THE RYDEX FUNDS 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 President of Mutual Funds Boards, 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); Managing 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 (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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 59 |
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). |
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 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: Director, 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 61 |
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
62 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
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| | ● | 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
| | THE RYDEX FUNDS ANNUAL REPORT | 63 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
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
64 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
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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.
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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 ANNUAL REPORT | 65 |
3.31.2022
Rydex Funds 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 | | |
GuggenheimInvestments.com | RSTF-ANN-0322x0323 |
| | |
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 | 32 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | 41 |
EMERGING MARKETS BOND STRATEGY FUND | 48 |
NOTES TO FINANCIAL STATEMENTS | 56 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 73 |
OTHER INFORMATION | 74 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 75 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 81 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our alternative strategy funds (the “Fund” or “Funds”) for the 12-month period ended March 31, 2022.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2022
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.
COVID-19 and Other Market Risks. The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
2 | THE RYDEX FUNDS ANNUAL REPORT | |
The Long Short Equity Fund may not be suitable for all investors. ● The Fund is subject to the risk that the 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. It is important to note that the Fund is not guaranteed by the U.S. government. 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. ● 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 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. It is important to note that the Fund is not guaranteed by the U.S. government. See the prospectus for more information on these and additional risks.
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. It is important to note that the Fund is not guaranteed by the U.S. government. ● See the prospectus for more information on these and additional risks.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2022 |
In the 12 months ended March 31, 2022, the Standard & Poor’s 500® (“S&P 500® ”) Index returned 15.65%, with gains faltering over the last few months amid market volatility resulting from Russia’s attack on Ukraine, COVID-19 shutdowns in China, and the commencement of rate hikes by the Federal Reserve (the “Fed”).
Nevertheless, the U.S. economy appears to remain on a strong footing. The Institute of Supply Management’s March Services Purchasing Managers’ Index showed a continued recovery in the services sector with business activity, employment, and new orders all rising. The March consumer price index (“CPI”) report was encouraging, with core CPI coming in lower than expected at 0.32% month over month, slightly below expectations of 0.5%.
Economic strength continues to embolden the Fed to move aggressively as it attempts to rein in inflation by raising interest rates and shrinking its balance sheet. The Fed is increasingly concerned about inflation and will act aggressively to get monetary policy to what they view is a more appropriate stance. In a recent speech, Lael Brainard, one of the Federal Open Market Committee’s (“FOMC”) traditionally more dovish members, referenced a “rapid pace” of balance sheet reduction and an “expeditious increase” in the fed funds rate, which caused market expectations for the degree of monetary tightening to ramp up.
Brainard’s shift in tone was echoed in the release of the minutes from the March FOMC meeting. The minutes were highly focused on elevated inflation and risks that inflation could stay well above target, as well mentions of an extremely tight labor market. The minutes repeated the phrase that monetary policy would move expeditiously and contained a section that mentioned many participants would have voted for a 50-basis-point rate hike in March if it weren’t for the uncertainty resulting from the outbreak of war in Ukraine. Given this language, the 50-basis point move at the May meeting and Fed Chair Jerome Powell’s telegraphing of further 50-basis point hikes came as no surprise. One basis point is equal to 0.01%. The Fed’s strategy at this point is to get rates back to a neutral level as fast as possible, and then see how far into restrictive territory they need to go based on how the economic and financial market data evolve.
A hawkish Fed has historically paved the way for a bullish approach to bonds. Indeed, we believe many fixed-income sectors are now pricing at compelling levels after enduring a first quarter marked by sharply rising yields, a flattening of the Treasury yield curve, and widening spreads. As the Fed races to raise rates during a period of U.S. economic strength and in the face of several global challenges, we remain diligent in our search for attractive entry points exposed by recent market volatility.
For the 12-month period ended March 31, 2022, the S&P 500® Index* returned 15.65%, as noted above. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 1.16%. The return of the MSCI Emerging Markets Index* was -11.37%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -4.15% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -0.66%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.06% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2022 |
*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 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 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 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 BBB & Lower Sovereign USD External Debt 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 ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
The Rydex Emerging Markets 2x Strategy Fund and the Rydex Inverse Emerging Markets 2x Strategy Fund are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
6 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2021 and ending March 31, 2022.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Long Short Equity Fund | | | | | |
A-Class | 1.67% | 2.32% | $ 1,000.00 | $ 1,023.20 | $ 8.42 |
C-Class | 2.42% | 2.02% | 1,000.00 | 1,020.20 | 12.19 |
P-Class | 1.67% | 2.37% | 1,000.00 | 1,023.70 | 8.43 |
Institutional Class | 1.42% | 2.45% | 1,000.00 | 1,024.50 | 7.17 |
Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.75% | (18.16%) | 1,000.00 | 818.40 | 7.93 |
C-Class | 2.50% | (18.46%) | 1,000.00 | 815.40 | 11.32 |
H-Class | 1.76% | (18.15%) | 1,000.00 | 818.50 | 7.98 |
Inverse Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.77% | (1.64%) | 1,000.00 | 983.60 | 8.75 |
C-Class | 2.53% | (1.89%) | 1,000.00 | 981.10 | 12.50 |
H-Class | 1.76% | (1.56%) | 1,000.00 | 984.40 | 8.71 |
Emerging Markets Bond Strategy Fund | | | | | |
A-Class | 1.57% | (11.97%) | 1,000.00 | 880.30 | 7.36 |
C-Class | 2.32% | (12.29%) | 1,000.00 | 877.10 | 10.86 |
H-Class | 1.56% | (11.96%) | 1,000.00 | 880.40 | 7.31 |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2021 | Ending
Account Value
March 31, 2022 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Long Short Equity Fund | | | | | |
A-Class | 1.67% | 5.00% | $ 1,000.00 | $ 1,016.60 | $ 8.40 |
C-Class | 2.42% | 5.00% | 1,000.00 | 1,012.86 | 12.14 |
P-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
Institutional Class | 1.42% | 5.00% | 1,000.00 | 1,017.85 | 7.14 |
Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.75% | 5.00% | 1,000.00 | 1,016.21 | 8.80 |
C-Class | 2.50% | 5.00% | 1,000.00 | 1,012.47 | 12.54 |
H-Class | 1.76% | 5.00% | 1,000.00 | 1,016.16 | 8.85 |
Inverse Emerging Markets 2x Strategy Fund | | | | | |
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.11 | 8.90 |
C-Class | 2.53% | 5.00% | 1,000.00 | 1,012.32 | 12.69 |
H-Class | 1.76% | 5.00% | 1,000.00 | 1,016.16 | 8.85 |
Emerging Markets Bond Strategy Fund | | | | | |
A-Class | 1.57% | 5.00% | 1,000.00 | 1,017.10 | 7.90 |
C-Class | 2.32% | 5.00% | 1,000.00 | 1,013.36 | 11.65 |
H-Class | 1.56% | 5.00% | 1,000.00 | 1,017.15 | 7.85 |
1 | Annualized and excludes expense 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 182/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2021 to March 31, 2022. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
For the one-year period ended March 31, 2022, Long Short Equity Fund P-Class returned 1.03%. The two benchmarks used by the Fund in the period, the Morningstar Long/Short Equity Category Average and the S&P 500 Index, returned 4.80% and 15.65%, respectively, for the same one-year period.
Investment Approach
The Fund is managed as an opportunistic long/short strategy, looking to invest in areas of the market where stock prices look priced at a discount vis-à-vis their company fundamentals and risks, while shorting areas of the market that look overpriced or are not compensating for risks appropriately. The strategy philosophy is founded in part on the academic view that markets are primarily efficient—investors require higher compensation for characteristics that increase the riskiness of future cash flows (such as being very small, or having lots of economic sensitivity in the business). History shows that companies exhibiting certain risk factors have on average outperformed safer firms as the ‘risk premium’ leads to better performance. However, unlike most academic research in this field, the Fund’s strategy does not assume historic risk premia are constant. Investors’ perceptions of what is risky can change dramatically over time. Investors can harbor new fears about avoiding the companies that were vulnerable in the most recent economic crisis, or alternatively become over-excited about some new hot technology and completely forget about the risks involved.
The Fund’s strategy is to compute what forward-looking compensation level is embedded across a large universe of U.S. stocks—and ascertain what broad risk factors are being overvalued or undervalued. The Fund’s portfolio is adaptive to changing market dynamics and aims to buy a highly diversified set of names with undervalued risk factors, and short a highly diversified set of stocks with overvalued characteristics.
The Fund will ordinarily hold simultaneous long and short positions in equity securities or securities markets that provide exposure up to a level equal to 200% of the Fund’s net assets for the long and up to 150% of the Fund’s net assets for the short positions. The Fund intends to maintain a hedged overall net exposure (the difference between the notional value of long positions and the notional value of short positions), typically varying between 0% and 80% net long with lower-than-market volatility and beta. The objective is to provide consistent return above an approximately 30% market weighted internal benchmark. The overall net exposure will change as market opportunities change and may, based on the Fund’s view of current market conditions, be outside this range.
Derivatives in the Fund are used to take short positions as well as long exposure above 100% of NAV (that is, to take leverage). The performance discussion below referencing short position performance would be entirely due to custom basket swap derivatives, and performance of long positions would be partially due to custom basket swap derivatives.
Performance Review and Positioning
At the high level, the year ending March 31, 2022 played out as an economic recovery year that quickly shifted to overheated. The broad market (S&P 500 Index) gained a robust 15.65%, which includes the small pullback in the first quarter of 2022. Small caps lagged that return by about 10%, and in particular Small Cap Growth benchmarks ended with steep negative returns as the popularity of former high-flying growth names waned.
The pandemic-related shutdowns from 2020 began to clear at the same time that several rounds of government stimulus were injected into the economy. The predictable effect was a strong rebound in consumption. Any hard consumer goods—whether cars, homes, clothes, computers—were in strong demand. But companies supplying the goods were still struggling with restrictive in-person health policies, low inventories, and shortages across their supply chains.
The result was inflation—the highest in 30 years using official stats. Some firms benefited from the supply-demand imbalance through strong pricing power and higher margins. Other firms raised prices just to keep in line with surging material costs. Interest rates started the year rallying off their generational lows as the lingering inflation proved to be less than transitory. By mid-year the Fed acknowledged that inflation was on the rise—and vowed to cut quantitative easing and raise rates. The market reacted to this news by pricing in significant rises in the Fed funds for next year.
10 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
The rate move led to strong ‘under-the-surface’ rotations within the stock market. For the first time in years, high growth, but currently less profitable names, began to underperform as the discount rates on far distant cash flows began to rise. Cyclical companies in industries with fixed costs and marginal pricing power were huge beneficiaries. Financials also benefitted as the rate rise is expected to finally reverse a slow and steady decline in their net interest margins. The largest impact was a strong return for the ‘Value Factor’—our measure of the gap in returns between cheap vs expensive stocks within each industry. That return for the last year was positive after an unusually long four years of negative returns, and the largest in ten years.
The other major under-the-surface factor driving market rotation is the pandemic-reopening play. Some of the most impacted industries and companies (travel, offices, energy, etc.) struggled through the year as both the Delta and Omicron variants came and went, wreaking havoc on those business plans. On the flip side, many stay-at-home beneficiaries that saw a surge of business in 2020 saw their year-over-year growth trajectories inflect lower (examples such as Zoom, Peloton and Netflix). While the COVID-driven health cycles have been difficult to predict, investors have started to somewhat look past the smaller outbreaks and began to price in a longer-term recovery.
Outside of the economically explainable impacts of inflation and COVID shutdowns, 2021 also saw a shift in the more inexplicable market sentiment surrounding the most speculative corners of the market. A few groups that seemed to shine with individual investors early in the period included high growth but wildly unprofitable companies, ‘meme stocks’ that were popular on chat groups despite not great businesses, and special purpose acquisition companies (SPACs) that hadn’t yet finalized a merger or acquisition of another company. Those were darlings of the day traders and hedge funds in early 2021, but endured a sharp retrenchment by period end.
At period end, the Fund held about 167% of assets in long securities, and 82% short, for a net-dollar exposure of 85%. The net exposure averaged 84% during the period. The higher-than-average current dollar exposure is the result of a focus on high profitability, low beta, and low volatility stocks in the long side, offset by higher risk and lower quality names on the short side. Consequently, the realized net beta (sensitivity of daily Fund returns to the S&P 500 Index) averaged around 0.56 during the period, much lower than the dollar exposure.
Fund long positions (on a standalone unlevered basis) averaged a return of 10.0% for the year compared to 15.88% for short positions. With long names returning less than the market, and shorts performing in line with the market, the Fund did not deliver on its goal of alpha this year.
The internal risk and performance benchmark of 30% S&P 500 Index and 70% cash returned 4.71% for the year. The Fund underperformed this benchmark by about 3% excess return. Relative to that blended benchmark, the Fund’s net long beta bias added about +1.1% excess return. Fundamental style tilts added 16.6% attributable return, mostly as a result of the strong Value tilt and bias towards higher profitability. However, Industry positioning detracted by 9.4%, with the largest negative contributors being the net shorts in Energy and Real Estate. Stock selection—after controlling for the style and sector tilts described above—resulted in a poor -9.6% return offset.
The Fund maintains its style bias towards less expensive valuation and higher quality names within each sector. Given the strength in those two broad style factors during the year—the fund should have performed much better. However, the models built did not sufficiently catch the fundamental recovery amongst Covid hit laggards. Although our models blend both historic fundamentals and some forward-looking bias of momentum trends, they were still relatively bearish on sectors and select groups (like Energy and Real Estate) where valuations did not look supported by profit fundamentals. That drag essentially negated the benefit from strong style positioning—particularly in the most recent three months when skyrocketing Energy prices (driven by the Ukraine conflict ) further hurt our short positions.
Despite the big recovery in the Value Factor in the last year, our forward-looking measure shows still generous risk premia gaps between expensive and cheaper cohorts. This gap is steadily shrinking as the rise in interest rates both mathematically alters the attractiveness of expensive growth companies, and the reversal of quantitative easing by the Fed reduces liquidity.
The Fund also maintains its higher quality bias and an increasing bias towards lower volatility names which look much more attractive on a fundamental basis than some of the most volatile cohorts in each industry.
From an industry perspective, the Fund remains net long the IT, Healthcare, Financials, and Consumer Discretionary sectors. After being net short the Financials sector for a few years, the investment process has flipped towards a pro-Financial stance as the valuations in the sector are still attractive and fundamentals have gained positive momentum. The largest net short exposures currently are Real Estate and Industrial names, with Energy having moved to a close to neutral position as their fundamentals have surged and risk levels have declined.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 31, 2022 |
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 |
Apple, Inc. | 1.2% |
Alphabet, Inc. — Class C | 1.2% |
Meta Platforms, Inc. — Class A | 1.1% |
Johnson & Johnson | 1.1% |
Bristol-Myers Squibb Co. | 1.0% |
Microsoft Corp. | 1.0% |
AutoZone, Inc. | 0.9% |
Garmin Ltd. | 0.9% |
Safety Insurance Group, Inc. | 0.9% |
Comcast Corp. — Class A | 0.9% |
Top Ten Total | 10.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 1.03% | 4.57% | 4.09% |
A-Class Shares with sales charge‡ | (3.79%) | 3.56% | 3.59% |
C-Class Shares | 0.30% | 3.80% | 3.32% |
C-Class Shares with CDSC§ | (0.70%) | 3.80% | 3.32% |
P-Class Shares | 1.03% | 4.57% | 4.09% |
Institutional-Class Shares | 1.24% | 4.82% | 4.35% |
S&P 500 Index** | 15.65% | 15.99% | 14.64% |
Morningstar Long/Short Equity Category Average** | 4.80% | 4.72% | 4.43% |
* | 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 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. The graphs are based on A-Class shares and P-Class shares only; performance for C-Class shares and Institutional Class shares will vary due to differences in fee structure. |
** | 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. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 95.9% |
| | | | | | | | | |
Financial - 22.3% |
Safety Insurance Group, Inc. | | | 1,658 | | | $ | 150,629 | |
Mercury General Corp.1 | | | 2,585 | | | | 142,175 | |
Preferred Bank/Los Angeles CA | | | 1,796 | | | | 133,066 | |
Enstar Group Ltd.* | | | 506 | | | | 132,142 | |
Arch Capital Group Ltd.* | | | 2,587 | | | | 125,263 | |
Old Republic International Corp.1 | | | 4,808 | | | | 124,383 | |
National Bank Holdings Corp. — Class A | | | 3,020 | | | | 121,645 | |
Travelers Companies, Inc.1 | | | 639 | | | | 116,765 | |
AMERISAFE, Inc.1 | | | 2,104 | | | | 104,506 | |
Stewart Information Services Corp.1 | | | 1,554 | | | | 94,188 | |
MGIC Investment Corp. | | | 6,828 | | | | 92,519 | |
United Bankshares, Inc. | | | 2,600 | | | | 90,688 | |
BankUnited, Inc. | | | 1,977 | | | | 86,909 | |
Evercore, Inc. — Class A | | | 778 | | | | 86,607 | |
Raymond James Financial, Inc. | | | 786 | | | | 86,389 | |
Piper Sandler Cos. | | | 650 | | | | 85,312 | |
Fidelity National Financial, Inc. | | | 1,738 | | | | 84,884 | |
Radian Group, Inc. | | | 3,775 | | | | 83,843 | |
PS Business Parks, Inc. REIT | | | 484 | | | | 81,351 | |
Markel Corp.* | | | 55 | | | | 81,138 | |
Everest Re Group Ltd. | | | 269 | | | | 81,071 | |
Essent Group Ltd. | | | 1,925 | | | | 79,329 | |
Hanover Insurance Group, Inc. | | | 514 | | | | 76,853 | |
Interactive Brokers Group, Inc. — Class A | | | 1,153 | | | | 75,994 | |
OneMain Holdings, Inc. | | | 1,564 | | | | 74,149 | |
National Retail Properties, Inc. REIT1 | | | 1,556 | | | | 69,927 | |
HomeStreet, Inc. | | | 1,449 | | | | 68,654 | |
Janus Henderson Group plc | | | 1,888 | | | | 66,118 | |
Hilltop Holdings, Inc. | | | 2,192 | | | | 64,445 | |
ServisFirst Bancshares, Inc. | | | 637 | | | | 60,700 | |
First American Financial Corp. | | | 910 | | | | 58,986 | |
Spirit Realty Capital, Inc. REIT | | | 1,244 | | | | 57,249 | |
LTC Properties, Inc. REIT | | | 1,400 | | | | 53,858 | |
Citigroup, Inc. | | | 986 | | | | 52,652 | |
National Health Investors, Inc. REIT | | | 890 | | | | 52,519 | |
Meta Financial Group, Inc. | | | 941 | | | | 51,680 | |
Western Union Co. | | | 2,564 | | | | 48,049 | |
Morgan Stanley | | | 543 | | | | 47,458 | |
Agree Realty Corp. REIT1 | | | 705 | | | | 46,784 | |
Ameris Bancorp | | | 1,029 | | | | 45,152 | |
Washington Federal, Inc. | | | 1,213 | | | | 39,811 | |
Trustmark Corp. | | | 1,261 | | | | 38,322 | |
Fulton Financial Corp. | | | 2,158 | | | | 35,866 | |
SEI Investments Co. | | | 594 | | | | 35,765 | |
Omega Healthcare Investors, Inc. REIT | | | 1,125 | | | | 35,055 | |
Visa, Inc. — Class A | | | 140 | | | | 31,048 | |
Berkshire Hathaway, Inc. — Class B*,1 | | | 86 | | | | 30,350 | |
Equity Commonwealth REIT* | | | 1,040 | | | | 29,338 | |
Easterly Government Properties, Inc. REIT | | | 1,287 | | | | 27,207 | |
Synchrony Financial1 | | | 755 | | | | 26,282 | |
Total Financial | | | | | | | 3,665,073 | |
| | | | | | | | | |
Consumer, Non-cyclical - 17.5% |
Johnson & Johnson1 | | | 1,020 | | | | 180,775 | |
Bristol-Myers Squibb Co.1 | | | 2,185 | | | | 159,571 | |
AbbVie, Inc.1 | | | 878 | | | | 142,333 | |
Amgen, Inc.1 | | | 584 | | | | 141,223 | |
John B Sanfilippo & Son, Inc. | | | 1,676 | | | | 139,845 | |
Gilead Sciences, Inc.1 | | | 2,344 | | | | 139,351 | |
Abbott Laboratories1 | | | 1,000 | | | | 118,360 | |
Innoviva, Inc.* | | | 5,805 | | | | 112,327 | |
Regeneron Pharmaceuticals, Inc.*,1 | | | 148 | | | | 103,366 | |
Hologic, Inc.*,1 | | | 1,345 | | | | 103,323 | |
Perdoceo Education Corp.* | | | 9,000 | | | | 103,320 | |
Amphastar Pharmaceuticals, Inc.* | | | 2,716 | | | | 97,504 | |
Vertex Pharmaceuticals, Inc.* | | | 343 | | | | 89,513 | |
Merck & Company, Inc.1 | | | 1,054 | | | | 86,481 | |
Bio-Rad Laboratories, Inc. — Class A*,1 | | | 153 | | | | 86,174 | |
Incyte Corp.*,1 | | | 982 | | | | 77,990 | |
Pfizer, Inc. | | | 1,372 | | | | 71,028 | |
Medtronic plc | | | 639 | | | | 70,897 | |
Eagle Pharmaceuticals, Inc.* | | | 1,358 | | | | 67,207 | |
EVERTEC, Inc.1 | | | 1,642 | | | | 67,207 | |
Waters Corp.* | | | 211 | | | | 65,492 | |
Prestige Consumer Healthcare, Inc.* | | | 1,197 | | | | 63,369 | |
Molson Coors Beverage Co. — Class B1 | | | 1,120 | | | | 59,786 | |
Royalty Pharma plc — Class A | | | 1,468 | | | | 57,193 | |
USANA Health Sciences, Inc.* | | | 719 | | | | 57,125 | |
Quest Diagnostics, Inc. | | | 407 | | | | 55,702 | |
United Therapeutics Corp.* | | | 260 | | | | 46,647 | |
Philip Morris International, Inc. | | | 485 | | | | 45,561 | |
Avery Dennison Corp. | | | 254 | | | | 44,188 | |
Corteva, Inc.1 | | | 687 | | | | 39,489 | |
Vanda Pharmaceuticals, Inc.* | | | 3,417 | | | | 38,646 | |
PerkinElmer, Inc. | | | 214 | | | | 37,335 | |
Laboratory Corporation of America Holdings* | | | 128 | | | | 33,748 | |
Coca-Cola Co. | | | 447 | | | | 27,714 | |
Procter & Gamble Co. | | | 179 | | | | 27,351 | |
Premier, Inc. — Class A | | | 754 | | | | 26,835 | |
Total Consumer, Non-cyclical | | | | | | | 2,883,976 | |
| | | | | | | | | |
Industrial - 13.6% |
Garmin Ltd. | | | 1,272 | | | | 150,872 | |
3M Co.1 | | | 993 | | | | 147,838 | |
Vishay Intertechnology, Inc.1 | | | 7,478 | | | | 146,569 | |
Knowles Corp.* | | | 6,566 | | | | 141,366 | |
Snap-on, Inc.1 | | | 543 | | | | 111,576 | |
Sanmina Corp.* | | | 2,666 | | | | 107,760 | |
Packaging Corporation of America | | | 662 | | | | 103,345 | |
Mueller Industries, Inc.1 | | | 1,862 | | | | 100,865 | |
TTM Technologies, Inc.* | | | 6,743 | | | | 99,931 | |
Sturm Ruger & Company, Inc. | | | 1,243 | | | | 86,538 | |
Keysight Technologies, Inc.* | | | 513 | | | | 81,039 | |
Crane Co.1 | | | 740 | | | | 80,127 | |
OSI Systems, Inc.*,1 | | | 902 | | | | 76,778 | |
Eagle Materials, Inc. | | | 502 | | | | 64,436 | |
Encore Wire Corp. | | | 521 | | | | 59,430 | |
Hillenbrand, Inc.1 | | | 1,342 | | | | 59,276 | |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Agilent Technologies, Inc. | | | 437 | | | $ | 57,828 | |
Vontier Corp. | | | 2,027 | | | | 51,465 | |
Owens Corning | | | 542 | | | | 49,593 | |
Louisiana-Pacific Corp.1 | | | 790 | | | | 49,075 | |
Textron, Inc. | | | 648 | | | | 48,198 | |
Albany International Corp. — Class A | | | 517 | | | | 43,594 | |
Lockheed Martin Corp.1 | | | 94 | | | | 41,492 | |
Dorian LPG Ltd. | | | 2,467 | | | | 35,747 | |
UFP Industries, Inc. | | | 436 | | | | 33,642 | |
Toro Co. | | | 376 | | | | 32,144 | |
Pentair plc | | | 553 | | | | 29,978 | |
Simpson Manufacturing Company, Inc. | | | 273 | | | | 29,768 | |
Insteel Industries, Inc. | | | 797 | | | | 29,481 | |
Donaldson Company, Inc.1 | | | 562 | | | | 29,184 | |
Arrow Electronics, Inc.* | | | 242 | | | | 28,708 | |
Atkore, Inc.* | | | 286 | | | | 28,154 | |
Total Industrial | | | | | | | 2,235,797 | |
| | | | | | | | | |
Consumer, Cyclical - 10.6% |
AutoZone, Inc.*,1 | | | 75 | | | | 153,343 | |
Gentex Corp.1 | | | 4,905 | | | | 143,079 | |
Whirlpool Corp. | | | 696 | | | | 120,255 | |
NVR, Inc.* | | | 25 | | | | 111,682 | |
Cummins, Inc.1 | | | 426 | | | | 87,377 | |
Allison Transmission Holdings, Inc.1 | | | 1,991 | | | | 78,166 | |
Dolby Laboratories, Inc. — Class A1 | | | 985 | | | | 77,047 | |
Columbia Sportswear Co. | | | 844 | | | | 76,408 | |
Choice Hotels International, Inc. | | | 499 | | | | 70,738 | |
Brunswick Corp.1 | | | 776 | | | | 62,771 | |
LKQ Corp.1 | | | 1,299 | | | | 58,987 | |
Ethan Allen Interiors, Inc. | | | 2,189 | | | | 57,067 | |
Acushnet Holdings Corp.1 | | | 1,402 | | | | 56,444 | |
Tesla, Inc.* | | | 49 | | | | 52,802 | |
PulteGroup, Inc. | | | 1,243 | | | | 52,082 | |
Tapestry, Inc. | | | 1,387 | | | | 51,527 | |
Tri Pointe Homes, Inc.* | | | 2,543 | | | | 51,063 | |
Wyndham Hotels & Resorts, Inc. | | | 521 | | | | 44,124 | |
Carter’s, Inc. | | | 470 | | | | 43,235 | |
Autoliv, Inc. | | | 561 | | | | 42,883 | |
AutoNation, Inc.*,1 | | | 393 | | | | 39,135 | |
Methode Electronics, Inc. | | | 875 | | | | 37,844 | |
Toll Brothers, Inc. | | | 795 | | | | 37,381 | |
Jack in the Box, Inc. | | | 382 | | | | 35,683 | |
MarineMax, Inc.* | | | 745 | | | | 29,994 | |
Zumiez, Inc.* | | | 715 | | | | 27,320 | |
Las Vegas Sands Corp.* | | | 685 | | | | 26,626 | |
Buckle, Inc. | | | 547 | | | | 18,073 | |
Total Consumer, Cyclical | | | | | | | 1,743,136 | |
| | | | | | | | | |
Communications - 9.6% |
Alphabet, Inc. — Class C*,1 | | | 70 | | | | 195,509 | |
Meta Platforms, Inc. — Class A*,1 | | | 828 | | | | 184,114 | |
Comcast Corp. — Class A1 | | | 3,186 | | | | 149,169 | |
Verizon Communications, Inc.1 | | | 2,854 | | | | 145,383 | |
Cisco Systems, Inc.1 | | | 2,046 | | | | 114,085 | |
Amazon.com, Inc.*,1 | | | 28 | | | | 91,279 | |
Viavi Solutions, Inc.*,1 | | | 4,951 | | | | 79,612 | |
Yelp, Inc. — Class A*,1 | | | 2,254 | | | | 76,884 | |
Interpublic Group of Companies, Inc. | | | 2,021 | | | | 71,645 | |
Nexstar Media Group, Inc. — Class A | | | 350 | | | | 65,968 | |
Omnicom Group, Inc.1 | | | 722 | | | | 61,283 | |
Shenandoah Telecommunications Co. | | | 2,450 | | | | 57,771 | |
Juniper Networks, Inc.1 | | | 1,518 | | | | 56,409 | |
InterDigital, Inc.1 | | | 850 | | | | 54,230 | |
VeriSign, Inc.*,1 | | | 235 | | | | 52,278 | |
F5, Inc.* | | | 159 | | | | 33,223 | |
NETGEAR, Inc.* | | | 1,121 | | | | 27,666 | |
Corning, Inc.1 | | | 716 | | | | 26,427 | |
Ciena Corp.* | | | 420 | | | | 25,465 | |
Total Communications | | | | | | | 1,568,400 | |
| | | | | | | | | |
Utilities - 8.7% |
CMS Energy Corp. | | | 2,125 | | | | 148,623 | |
MGE Energy, Inc.1 | | | 1,855 | | | | 148,010 | |
National Fuel Gas Co.1 | | | 2,142 | | | | 147,155 | |
Duke Energy Corp.1 | | | 1,249 | | | | 139,463 | |
IDACORP, Inc.1 | | | 1,198 | | | | 138,201 | |
Portland General Electric Co. | | | 2,436 | | | | 134,345 | |
Chesapeake Utilities Corp.1 | | | 917 | | | | 126,326 | |
WEC Energy Group, Inc.1 | | | 934 | | | | 93,223 | |
Otter Tail Corp. | | | 1,390 | | | | 86,875 | |
Southern Co.1 | | | 1,122 | | | | 81,356 | |
PPL Corp.1 | | | 2,721 | | | | 77,712 | |
American States Water Co.1 | | | 871 | | | | 77,537 | |
California Water Service Group | | | 608 | | | | 36,042 | |
Total Utilities | | | | | | | 1,434,868 | |
| | | | | | | | | |
Technology - 8.6% |
Apple, Inc.1 | | | 1,126 | | | | 196,611 | |
Microsoft Corp.1 | | | 515 | | | | 158,780 | |
CSG Systems International, Inc. | | | 2,196 | | | | 139,600 | |
Rambus, Inc.*,1 | | | 2,766 | | | | 88,208 | |
NetApp, Inc.1 | | | 1,009 | | | | 83,747 | |
Intel Corp.1 | | | 1,589 | | | | 78,751 | |
Akamai Technologies, Inc.* | | | 475 | | | | 56,710 | |
Xperi Holding Corp. | | | 3,215 | | | | 55,684 | |
SS&C Technologies Holdings, Inc. | | | 709 | | | | 53,189 | |
Progress Software Corp. | | | 1,126 | | | | 53,023 | |
Lumentum Holdings, Inc.*,1 | | | 480 | | | | 46,848 | |
ExlService Holdings, Inc.* | | | 321 | | | | 45,990 | |
Genpact Ltd. | | | 973 | | | | 42,335 | |
Ziff Davis, Inc.* | | | 383 | | | | 37,067 | |
HP, Inc.1 | | | 995 | | | | 36,118 | |
NetScout Systems, Inc.* | | | 1,114 | | | | 35,737 | |
Skyworks Solutions, Inc. | | | 250 | | | | 33,320 | |
Electronic Arts, Inc. | | | 259 | | | | 32,766 | |
Texas Instruments, Inc.1 | | | 169 | | | | 31,008 | |
CommVault Systems, Inc.* | | | 444 | | | | 29,459 | |
Cognizant Technology Solutions Corp. — Class A | | | 319 | | | | 28,605 | |
Qorvo, Inc.* | | | 215 | | | | 26,682 | |
Micron Technology, Inc. | | | 334 | | | | 26,015 | |
Total Technology | | | | | | | 1,416,253 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Basic Materials - 4.0% |
Dow, Inc.1 | | | 1,900 | | | $ | 121,068 | |
LyondellBasell Industries N.V. — Class A | | | 1,151 | | | | 118,346 | |
Westlake Corp. | | | 876 | | | | 108,098 | |
International Paper Co.1 | | | 1,549 | | | | 71,486 | |
Linde plc | | | 218 | | | | 69,636 | |
Reliance Steel & Aluminum Co. | | | 310 | | | | 56,839 | |
Valvoline, Inc. | | | 1,282 | | | | 40,460 | |
NewMarket Corp. | | | 119 | | | | 38,601 | |
Air Products and Chemicals, Inc. | | | 138 | | | | 34,488 | |
Total Basic Materials | | | | | | | 659,022 | |
| | | | | | | | | |
Energy - 1.0% |
Exxon Mobil Corp. | | | 1,267 | | | | 104,641 | |
Kinder Morgan, Inc. | | | 3,434 | | | | 64,937 | |
Total Energy | | | | | | | 169,578 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $14,727,746) | | | | | | | 15,776,103 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.4% |
Invesco Short-Term Investments Trust Treasury Obligations Portfolio, Institutional Class, 1.0%2 | | | 394,054 | | | | 394,054 | |
Total Money Market Fund | | | | |
(Cost $394,054) | | | | | | | 394,054 | |
| | | | | | | | | |
Total Investments - 98.3% | | | | |
(Cost $15,121,800) | | $ | 16,170,157 | |
Other Assets & Liabilities, net - 1.7% | | | 286,558 | |
Total Net Assets - 100.0% | | $ | 16,456,715 | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | | Financing
Rate | | 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 | Pay | | 0.73% (Federal Funds Rate + 0.40%) | | | At Maturity | | | | 03/27/24 | | | $ | 6,283,570 | | | $ | 337,311 | |
Goldman Sachs International | GS Equity Custom Basket | Pay | | 0.78% (Federal Funds Rate + 0.45%) | | | At Maturity | | | | 05/06/24 | | | | 6,321,665 | | | | 336,274 | |
| | | | | | | | | | | | | | | $ | 12,605,235 | | | $ | 673,585 | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | | 0.03% (Federal Funds Rate - 0.30%) | | | At Maturity | | | | 03/27/24 | | | $ | 6,974,460 | | | $ | (237,949 | ) |
Goldman Sachs International | GS Equity Custom Basket | Receive | | 0.13% (Federal Funds Rate - 0.20%) | | | At Maturity | | | | 05/06/24 | | | | 6,974,210 | | | | (241,719 | ) |
| | | | | | | | | | | | | | | $ | 13,948,670 | | | $ | (479,668 | ) |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amphastar Pharmaceuticals, Inc. | | | 1,088 | | | | 0.62 | % | | $ | 17,187 | |
AbbVie, Inc. | | | 352 | | | | 0.91 | % | | | 16,179 | |
Innoviva, Inc. | | | 2,327 | | | | 0.72 | % | | | 12,578 | |
Bristol-Myers Squibb Co. | | | 876 | | | | 1.02 | % | | | 9,846 | |
Johnson & Johnson | | | 409 | | | | 1.15 | % | | | 9,491 | |
Vertex Pharmaceuticals, Inc. | | | 137 | | | | 0.57 | % | | | 8,780 | |
Amgen, Inc. | | | 234 | | | | 0.90 | % | | | 8,680 | |
Regeneron Pharmaceuticals, Inc. | | | 59 | | | | 0.66 | % | | | 7,670 | |
Molson Coors Beverage Co. — Class B | | | 678 | | | | 0.58 | % | | | 7,213 | |
Pfizer, Inc. | | | 550 | | | | 0.45 | % | | | 5,277 | |
United Therapeutics Corp. | | | 104 | | | | 0.30 | % | | | 5,003 | |
Eagle Pharmaceuticals, Inc. | | | 544 | | | | 0.43 | % | | | 4,109 | |
Prestige Consumer Healthcare, Inc. | | | 480 | | | | 0.40 | % | | | 3,283 | |
Hologic, Inc. | | | 539 | | | | 0.66 | % | | | 3,215 | |
Merck & Company, Inc. | | | 422 | | | | 0.55 | % | | | 3,105 | |
Perdoceo Education Corp. | | | 3,608 | | | | 0.65 | % | | | 2,649 | |
Waters Corp. | | | 84 | | | | 0.41 | % | | | 2,429 | |
PerkinElmer, Inc. | | | 86 | | | | 0.24 | % | | | 2,415 | |
Corteva, Inc. | | | 275 | | | | 0.25 | % | | | 2,262 | |
Quest Diagnostics, Inc. | | | 163 | | | | 0.36 | % | | | 2,044 | |
Medtronic plc | | | 256 | | | | 0.45 | % | | | 1,377 | |
Avery Dennison Corp. | | | 102 | | | | 0.28 | % | | | 603 | |
Royalty Pharma plc — Class A | | | 588 | | | | 0.36 | % | | | 199 | |
Incyte Corp. | | | 393 | | | | 0.50 | % | | | 159 | |
Coca-Cola Co. | | | 179 | | | | 0.18 | % | | | (78 | ) |
Procter & Gamble Co. | | | 72 | | | | 0.18 | % | | | (155 | ) |
Premier, Inc. — Class A | | | 302 | | | | 0.17 | % | | | (539 | ) |
Laboratory Corporation of America Holdings | | | 51 | | | | 0.21 | % | | | (728 | ) |
Philip Morris International, Inc. | | | 194 | | | | 0.29 | % | | | (1,175 | ) |
Abbott Laboratories | | | 401 | | | | 0.76 | % | | | (1,200 | ) |
John B Sanfilippo & Son, Inc. | | | 672 | | | | 0.89 | % | | | (1,692 | ) |
EVERTEC, Inc. | | | 658 | | | | 0.43 | % | | | (3,002 | ) |
USANA Health Sciences, Inc. | | | 288 | | | | 0.36 | % | | | (5,117 | ) |
Bio-Rad Laboratories, Inc. — Class A | | | 61 | | | | 0.55 | % | | | (6,579 | ) |
Vanda Pharmaceuticals, Inc. | | | 1,370 | | | | 0.25 | % | | | (7,206 | ) |
Gilead Sciences, Inc. | | | 939 | | | | 0.89 | % | | | (7,799 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 100,483 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
AutoZone, Inc. | | | 30 | | | | 0.98 | % | | | 22,308 | |
AutoNation, Inc. | | | 157 | | | | 0.25 | % | | | 5,434 | |
Tesla, Inc. | | | 19 | | | | 0.33 | % | | | 4,699 | |
Ethan Allen Interiors, Inc. | | | 877 | | | | 0.36 | % | | | 1,813 | |
Allison Transmission Holdings, Inc. | | | 798 | | | | 0.50 | % | | | 1,293 | |
Cummins, Inc. | | | 170 | | | | 0.55 | % | | | 796 | |
Methode Electronics, Inc. | | | 350 | | | | 0.24 | % | | | 300 | |
Wyndham Hotels & Resorts, Inc. | | | 209 | | | | 0.28 | % | | | 155 | |
Columbia Sportswear Co. | | | 375 | | | | 0.54 | % | | | (33 | ) |
Las Vegas Sands Corp. | | | 274 | | | | 0.17 | % | | | (516 | ) |
Choice Hotels International, Inc. | | | 200 | | | | 0.45 | % | | | (565 | ) |
Zumiez, Inc. | | | 286 | | | | 0.17 | % | | | (676 | ) |
Brunswick Corp. | | | 311 | | | | 0.40 | % | | | (688 | ) |
Carter’s, Inc. | | | 188 | | | | 0.28 | % | | | (1,771 | ) |
Tapestry, Inc. | | | 556 | | | | 0.33 | % | | | (2,025 | ) |
Autoliv, Inc. | | | 225 | | | | 0.27 | % | | | (2,268 | ) |
Jack in the Box, Inc. | | | 156 | | | | 0.23 | % | | | (2,392 | ) |
MarineMax, Inc. | | | 298 | | | | 0.19 | % | | | (2,651 | ) |
Buckle, Inc. | | | 424 | | | | 0.22 | % | | | (2,878 | ) |
Tri Pointe Homes, Inc. | | | 1,019 | | | | 0.33 | % | | | (3,253 | ) |
PulteGroup, Inc. | | | 498 | | | | 0.33 | % | | | (3,654 | ) |
Gentex Corp. | | | 1,966 | | | | 0.91 | % | | | (4,039 | ) |
Dolby Laboratories, Inc. — Class A | | | 394 | | | | 0.49 | % | | | (4,741 | ) |
Acushnet Holdings Corp. | | | 562 | | | | 0.36 | % | | | (5,561 | ) |
LKQ Corp. | | | 521 | | | | 0.38 | % | | | (5,591 | ) |
NVR, Inc. | | | 10 | | | | 0.71 | % | | | (5,892 | ) |
Toll Brothers, Inc. | | | 319 | | | | 0.24 | % | | | (6,570 | ) |
Whirlpool Corp. | | | 279 | | | | 0.77 | % | | | (12,667 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (31,633 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Owens Corning | | | 217 | | | | 0.32 | % | | | 6,826 | |
Packaging Corporation of America | | | 265 | | | | 0.66 | % | | | 6,173 | |
Mueller Industries, Inc. | | | 746 | | | | 0.64 | % | | | 5,742 | |
Knowles Corp. | | | 2,632 | | | | 0.90 | % | | | 4,356 | |
TTM Technologies, Inc. | | | 2,703 | | | | 0.63 | % | | | 4,341 | |
Snap-on, Inc. | | | 217 | | | | 0.71 | % | | | 4,098 | |
Crane Co. | | | 296 | | | | 0.51 | % | | | 4,016 | |
Lockheed Martin Corp. | | | 37 | | | | 0.26 | % | | | 3,773 | |
Encore Wire Corp. | | | 209 | | | | 0.38 | % | | | 2,797 | |
Dorian LPG Ltd. | | | 989 | | | | 0.23 | % | | | 1,785 | |
Albany International Corp. — Class A | | | 207 | | | | 0.28 | % | | | 1,394 | |
Sanmina Corp. | | | 1,069 | | | | 0.69 | % | | | 1,055 | |
Vishay Intertechnology, Inc. | | | 2,998 | | | | 0.94 | % | | | 637 | |
Textron, Inc. | | | 259 | | | | 0.31 | % | | | 543 | |
Agilent Technologies, Inc. | | | 175 | | | | 0.37 | % | | | (180 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Keysight Technologies, Inc. | | | 205 | | | | 0.52 | % | | $ | (372 | ) |
Atkore, Inc. | | | 114 | | | | 0.18 | % | | | (378 | ) |
Insteel Industries, Inc. | | | 319 | | | | 0.19 | % | | | (677 | ) |
Louisiana-Pacific Corp. | | | 316 | | | | 0.31 | % | | | (826 | ) |
Arrow Electronics, Inc. | | | 97 | | | | 0.18 | % | | | (935 | ) |
Simpson Manufacturing Company, Inc. | | | 109 | | | | 0.19 | % | | | (1,141 | ) |
UFP Industries, Inc. | | | 174 | | | | 0.21 | % | | | (1,268 | ) |
Hillenbrand, Inc. | | | 538 | | | | 0.38 | % | | | (1,564 | ) |
Donaldson Company, Inc. | | | 225 | | | | 0.19 | % | | | (1,620 | ) |
Toro Co. | | | 150 | | | | 0.20 | % | | | (2,461 | ) |
Sturm Ruger & Company, Inc. | | | 498 | | | | 0.55 | % | | | (2,636 | ) |
Pentair plc | | | 221 | | | | 0.19 | % | | | (2,636 | ) |
Eagle Materials, Inc. | | | 201 | | | | 0.41 | % | | | (4,201 | ) |
OSI Systems, Inc. | | | 361 | | | | 0.49 | % | | | (4,269 | ) |
Vontier Corp. | | | 812 | | | | 0.33 | % | | | (5,920 | ) |
3M Co. | | | 398 | | | | 0.94 | % | | | (6,681 | ) |
Garmin Ltd. | | | 510 | | | | 0.96 | % | | | (11,110 | ) |
Total Industrial | | | | | | | | | | | (1,339 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Travelers Companies, Inc. | | | 256 | | | | 0.74 | % | | | 10,186 | |
Arch Capital Group Ltd. | | | 1,037 | | | | 0.80 | % | | | 8,777 | |
Safety Insurance Group, Inc. | | | 664 | | | | 0.96 | % | | | 7,408 | |
Raymond James Financial, Inc. | | | 316 | | | | 0.55 | % | | | 7,201 | |
Enstar Group Ltd. | | | 202 | | | | 0.84 | % | | | 6,418 | |
Markel Corp. | | | 22 | | | | 0.52 | % | | | 5,779 | |
Berkshire Hathaway, Inc. — Class B | | | 34 | | | | 0.19 | % | | | 5,553 | |
Everest Re Group Ltd. | | | 108 | | | | 0.52 | % | | | 4,922 | |
Preferred Bank/Los Angeles CA | | | 720 | | | | 0.85 | % | | | 4,157 | |
ServisFirst Bancshares, Inc. | | | 255 | | | | 0.39 | % | | | 3,470 | |
LTC Properties, Inc. | | | 561 | | | | 0.34 | % | | | 3,147 | |
Hanover Insurance Group, Inc. | | | 206 | | | | 0.49 | % | | | 2,673 | |
Synchrony Financial | | | 303 | | | | 0.17 | % | | | 1,902 | |
Omega Healthcare Investors, Inc. | | | 451 | | | | 0.22 | % | | | 1,420 | |
Visa, Inc. — Class A | | | 56 | | | | 0.20 | % | | | 1,172 | |
Old Republic International Corp. | | | 1,927 | | | | 0.79 | % | | | 1,154 | |
BankUnited, Inc. | | | 792 | | | | 0.55 | % | | | 1,082 | |
Western Union Co. | | | 1,028 | | | | 0.31 | % | | | 880 | |
Equity Commonwealth | | | 417 | | | | 0.19 | % | | | 586 | |
National Health Investors, Inc. | | | 357 | | | | 0.34 | % | | | 271 | |
Washington Federal, Inc. | | | 486 | | | | 0.25 | % | | | 188 | |
United Bankshares, Inc. | | | 1,042 | | | | 0.58 | % | | | 113 | |
Radian Group, Inc. | | | 1,513 | | | | 0.53 | % | | | (266 | ) |
Fidelity National Financial, Inc. | | | 697 | | | | 0.54 | % | | | (272 | ) |
Easterly Government Properties, Inc. | | | 516 | | | | 0.17 | % | | | (296 | ) |
Trustmark Corp. | | | 505 | | | | 0.24 | % | | | (316 | ) |
Stewart Information Services Corp. | | | 623 | | | | 0.60 | % | | | (317 | ) |
Fulton Financial Corp. | | | 865 | | | | 0.23 | % | | | (592 | ) |
Agree Realty Corp. | | | 282 | | | | 0.30 | % | | | (603 | ) |
Janus Henderson Group plc | | | 757 | | | | 0.42 | % | | | (738 | ) |
National Retail Properties, Inc. | | | 623 | | | | 0.45 | % | | | (843 | ) |
SEI Investments Co. | | | 238 | | | | 0.23 | % | | | (948 | ) |
HomeStreet, Inc. | | | 581 | | | | 0.44 | % | | | (1,149 | ) |
Interactive Brokers Group, Inc. — Class A | | | 462 | | | | 0.48 | % | | | (1,151 | ) |
First American Financial Corp. | | | 365 | | | | 0.38 | % | | | (1,543 | ) |
Spirit Realty Capital, Inc. | | | 498 | | | | 0.36 | % | | | (1,565 | ) |
PS Business Parks, Inc. | | | 194 | | | | 0.52 | % | | | (1,920 | ) |
Citigroup, Inc. | | | 395 | | | | 0.34 | % | | | (2,347 | ) |
Ameris Bancorp | | | 412 | | | | 0.29 | % | | | (2,572 | ) |
Meta Financial Group, Inc. | | | 377 | | | | 0.33 | % | | | (2,681 | ) |
Mercury General Corp. | | | 1,036 | | | | 0.91 | % | | | (3,048 | ) |
OneMain Holdings, Inc. | | | 627 | | | | 0.47 | % | | | (3,159 | ) |
MGIC Investment Corp. | | | 2,737 | | | | 0.58 | % | | | (3,203 | ) |
National Bank Holdings Corp. — Class A | | | 1,210 | | | | 0.78 | % | | | (3,478 | ) |
Essent Group Ltd. | | | 772 | | | | 0.51 | % | | | (3,825 | ) |
Piper Sandler Cos. | | | 260 | | | | 0.54 | % | | | (3,840 | ) |
Hilltop Holdings, Inc. | | | 878 | | | | 0.41 | % | | | (6,066 | ) |
AMERISAFE, Inc. | | | 843 | | | | 0.67 | % | | | (6,259 | ) |
Evercore, Inc. — Class A | | | 311 | | | | 0.55 | % | | | (8,406 | ) |
Total Financial | | | | | | | | | | | 17,056 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Westlake Corp. | | | 351 | | | | 0.69 | % | | | 10,852 | |
Dow, Inc. | | | 761 | | | | 0.77 | % | | | 6,969 | |
LyondellBasell Industries N.V. — Class A | | | 461 | | | | 0.75 | % | | | 6,473 | |
NewMarket Corp. | | | 47 | | | | 0.24 | % | | | 557 | |
Reliance Steel & Aluminum Co. | | | 124 | | | | 0.36 | % | | | (472 | ) |
International Paper Co. | | | 621 | | | | 0.46 | % | | | (1,081 | ) |
Linde plc | | | 87 | | | | 0.44 | % | | | (1,432 | ) |
Air Products and Chemicals, Inc. | | | 55 | | | | 0.22 | % | | | (1,765 | ) |
Valvoline, Inc. | | | 514 | | | | 0.26 | % | | | (2,315 | ) |
Total Basic Materials | | | | | | | | | | | 17,786 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 451 | | | | 1.25 | % | | | 46,744 | |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Microsoft Corp. | | | 206 | | | | 1.01 | % | | $ | 32,946 | |
CSG Systems International, Inc. | | | 880 | | | | 0.89 | % | | | 16,248 | |
Rambus, Inc. | | | 1,109 | | | | 0.56 | % | | | 9,760 | |
HP, Inc. | | | 398 | | | | 0.23 | % | | | 8,290 | |
NetApp, Inc. | | | 404 | | | | 0.53 | % | | | 7,727 | |
ExlService Holdings, Inc. | | | 129 | | | | 0.29 | % | | | 4,537 | |
Texas Instruments, Inc. | | | 67 | | | | 0.20 | % | | | 4,036 | |
Lumentum Holdings, Inc. | | | 192 | | | | 0.30 | % | | | 2,919 | |
Akamai Technologies, Inc. | | | 190 | | | | 0.36 | % | | | 1,273 | |
Genpact Ltd. | | | 390 | | | | 0.27 | % | | | 656 | |
Cognizant Technology Solutions Corp. — Class A | | | 128 | | | | 0.18 | % | | | 540 | |
NetScout Systems, Inc. | | | 446 | | | | 0.23 | % | | | 489 | |
Progress Software Corp. | | | 451 | | | | 0.34 | % | | | 172 | |
Ziff Davis, Inc. | | | 153 | | | | 0.24 | % | | | (248 | ) |
Electronic Arts, Inc. | | | 104 | | | | 0.21 | % | | | (443 | ) |
Micron Technology, Inc. | | | 134 | | | | 0.17 | % | | | (618 | ) |
Intel Corp. | | | 637 | | | | 0.50 | % | | | (656 | ) |
Skyworks Solutions, Inc. | | | 100 | | | | 0.21 | % | | | (757 | ) |
SS&C Technologies Holdings, Inc. | | | 284 | | | | 0.34 | % | | | (995 | ) |
CommVault Systems, Inc. | | | 178 | | | | 0.19 | % | | | (2,140 | ) |
Xperi Holding Corp. | | | 1,289 | | | | 0.36 | % | | | (3,202 | ) |
Qorvo, Inc. | | | 86 | | | | 0.17 | % | | | (5,230 | ) |
Total Technology | | | | | | | | | | | 122,048 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 28 | | | | 1.24 | % | | | 25,367 | |
Amazon.com, Inc. | | | 11 | | | | 0.57 | % | | | 12,799 | |
Cisco Systems, Inc. | | | 820 | | | | 0.73 | % | | | 9,004 | |
Juniper Networks, Inc. | | | 608 | | | | 0.36 | % | | | 8,979 | |
Viavi Solutions, Inc. | | | 1,984 | | | | 0.51 | % | | | 6,703 | |
Omnicom Group, Inc. | | | 289 | | | | 0.39 | % | | | 5,572 | |
Nexstar Media Group, Inc. — Class A | | | 140 | | | | 0.42 | % | | | 5,181 | |
VeriSign, Inc. | | | 94 | | | | 0.33 | % | | | 1,225 | |
F5, Inc. | | | 64 | | | | 0.21 | % | | | 1,103 | |
Corning, Inc. | | | 287 | | | | 0.17 | % | | | (291 | ) |
Shenandoah Telecommunications Co. | | | 982 | | | | 0.37 | % | | | (725 | ) |
Ciena Corp. | | | 168 | | | | 0.16 | % | | | (803 | ) |
Meta Platforms, Inc. — Class A | | | 349 | | | | 1.24 | % | | | (807 | ) |
InterDigital, Inc. | | | 341 | | | | 0.35 | % | | | (1,266 | ) |
Interpublic Group of Companies, Inc. | | | 810 | | | | 0.46 | % | | | (1,300 | ) |
NETGEAR, Inc. | | | 449 | | | | 0.18 | % | | | (1,591 | ) |
Yelp, Inc. — Class A | | | 903 | | | | 0.49 | % | | | (1,776 | ) |
Verizon Communications, Inc. | | | 1,144 | | | | 0.93 | % | | | (3,158 | ) |
Comcast Corp. — Class A | | | 1,277 | | | | 0.95 | % | | | (3,311 | ) |
Total Communications | | | | | | | | | | | 60,905 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
National Fuel Gas Co. | | | 858 | | | | 0.94 | % | | | 13,946 | |
IDACORP, Inc. | | | 449 | | | | 0.82 | % | | | 8,644 | |
Southern Co. | | | 450 | | | | 0.52 | % | | | 7,358 | |
Chesapeake Utilities Corp. | | | 367 | | | | 0.80 | % | | | 6,370 | |
Portland General Electric Co. | | | 913 | | | | 0.80 | % | | | 5,016 | |
Duke Energy Corp. | | | 468 | | | | 0.83 | % | | | 3,738 | |
WEC Energy Group, Inc. | | | 374 | | | | 0.59 | % | | | 3,539 | |
CMS Energy Corp. | | | 851 | | | | 0.95 | % | | | 2,666 | |
MGE Energy, Inc. | | | 743 | | | | 0.94 | % | | | 2,462 | |
American States Water Co. | | | 12 | | | | 0.02 | % | | | (80 | ) |
Otter Tail Corp. | | | 557 | | | | 0.55 | % | | | (169 | ) |
California Water Service Group | | | 243 | | | | 0.23 | % | | | (815 | ) |
PPL Corp. | | | 1,090 | | | | 0.50 | % | | | (1,211 | ) |
Total Utilities | | | | | | | | | | | 51,464 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Kinder Morgan, Inc. | | | 1,376 | | | | 0.41 | % | | | 474 | |
Exxon Mobil Corp. | | | 508 | | | | 0.67 | % | | | 67 | |
Total Energy | | | | | | | | | | | 541 | |
Total MS Equity Long Custom Basket | | | | | | | 337,311 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
CoStar Group, Inc. | | | 1,075 | | | | (1.03 | )% | | | 20,044 | |
Driven Brands Holdings, Inc. | | | 2,631 | | | | (0.99 | )% | | | 5,540 | |
TransUnion | | | 614 | | | | (0.91 | )% | | | 5,424 | |
Insperity, Inc. | | | 285 | | | | (0.41 | )% | | | 5,417 | |
Equifax, Inc. | | | 280 | | | | (0.95 | )% | | | 4,719 | |
ASGN, Inc. | | | 509 | | | | (0.85 | )% | | | 4,001 | |
Dun & Bradstreet Holdings, Inc. | | | 2,713 | | | | (0.69 | )% | | | 3,838 | |
Natera, Inc. | | | 216 | | | | (0.13 | )% | | | 3,584 | |
ABM Industries, Inc. | | | 571 | | | | (0.38 | )% | | | 1,151 | |
Intellia Therapeutics, Inc. | | | 142 | | | | (0.15 | )% | | | (115 | ) |
Rollins, Inc. | | | 1,986 | | | | (1.00 | )% | | | (608 | ) |
Sysco Corp. | | | 750 | | | | (0.88 | )% | | | (1,490 | ) |
Cintas Corp. | | | 308 | | | | (1.88 | )% | | | (1,732 | ) |
Verisk Analytics, Inc. — Class A | | | 361 | | | | (1.11 | )% | | | (2,040 | ) |
Booz Allen Hamilton Holding Corp. | | | 506 | | | | (0.64 | )% | | | (3,345 | ) |
Guardant Health, Inc. | | | 430 | | | | (0.41 | )% | | | (3,407 | ) |
Viad Corp. | | | 812 | | | | (0.41 | )% | | | (4,312 | ) |
Bunge Ltd. | | | 500 | | | | (0.79 | )% | | | (10,795 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 25,875 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Okta, Inc. | | | 79 | | | | (0.17 | )% | | | 3,629 | |
Lyft, Inc. — Class A | | | 1,551 | | | | (0.85 | )% | | | 3,478 | |
Airbnb, Inc. — Class A | | | 89 | | | | (0.22 | )% | | | 1,859 | |
Trade Desk, Inc. — Class A | | | 255 | | | | (0.25 | )% | | | (602 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Palo Alto Networks, Inc. | | | 24 | | | | (0.21 | )% | | $ | (1,161 | ) |
DoorDash, Inc. — Class A | | | 237 | | | | (0.40 | )% | | | (4,716 | ) |
Total Communications | | | | | | | | | | | 2,487 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
United Airlines Holdings, Inc. | | | 1,657 | | | | (1.10 | )% | | | 15,379 | |
Delta Air Lines, Inc. | | | 2,097 | | | | (1.19 | )% | | | 11,903 | |
Southwest Airlines Co. | | | 858 | | | | (0.56 | )% | | | 9,282 | |
IAA, Inc. | | | 822 | | | | (0.45 | )% | | | 8,552 | |
Freshpet, Inc. | | | 261 | | | | (0.38 | )% | | | 7,618 | |
JetBlue Airways Corp. | | | 1,900 | | | | (0.41 | )% | | | 6,978 | |
MillerKnoll, Inc. | | | 2,328 | | | | (1.15 | )% | | | 6,289 | |
Copart, Inc. | | | 736 | | | | (1.32 | )% | | | 3,569 | |
American Airlines Group, Inc. | | | 5,500 | | | | (1.44 | )% | | | (864 | ) |
Royal Caribbean Cruises Ltd. | | | 255 | | | | (0.31 | )% | | | (911 | ) |
Carnival Corp. | | | 1,031 | | | | (0.30 | )% | | | (1,927 | ) |
Lululemon Athletica, Inc. | | | 83 | | | | (0.43 | )% | | | (4,331 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 61,536 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Americold Realty Trust | | | 1,835 | | | | (0.73 | )% | | | 16,322 | |
Western Alliance Bancorporation | | | 811 | | | | (0.96 | )% | | | 13,497 | |
SVB Financial Group | | | 77 | | | | (0.62 | )% | | | 8,879 | |
Equinix, Inc. | | | 118 | | | | (1.25 | )% | | | 8,789 | |
First Republic Bank | | | 337 | | | | (0.78 | )% | | | 7,772 | |
BOK Financial Corp. | | | 375 | | | | (0.51 | )% | | | 7,526 | |
CBRE Group, Inc. — Class A | | | 468 | | | | (0.61 | )% | | | 5,046 | |
Equitable Holdings, Inc. | | | 3,316 | | | | (1.48 | )% | | | 4,933 | |
Crown Castle International Corp. | | | 451 | | | | (1.19 | )% | | | 4,195 | |
Invitation Homes, Inc. | | | 2,602 | | | | (1.50 | )% | | | 3,812 | |
Lincoln National Corp. | | | 537 | | | | (0.50 | )% | | | 2,890 | |
SBA Communications Corp. | | | 193 | | | | (0.95 | )% | | | 2,078 | |
Digital Realty Trust, Inc. | | | 287 | | | | (0.58 | )% | | | 1,728 | |
Ameriprise Financial, Inc. | | | 154 | | | | (0.66 | )% | | | 1,676 | |
Signature Bank | | | 174 | | | | (0.73 | )% | | | 1,032 | |
Park Hotels & Resorts, Inc. | | | 4,990 | | | | (1.41 | )% | | | 625 | |
Safehold, Inc. | | | 680 | | | | (0.54 | )% | | | 571 | |
Wells Fargo & Co. | | | 1,024 | | | | (0.71 | )% | | | 499 | |
UDR, Inc. | | | 956 | | | | (0.79 | )% | | | 229 | |
State Street Corp. | | | 1,167 | | | | (1.46 | )% | | | 203 | |
Sunstone Hotel Investors, Inc. | | | 5,528 | | | | (0.94 | )% | | | (385 | ) |
Zions Bancorp North America | | | 1,118 | | | | (1.05 | )% | | | (517 | ) |
RLJ Lodging Trust | | | 7,351 | | | | (1.48 | )% | | | (643 | ) |
Boston Properties, Inc. | | | 212 | | | | (0.39 | )% | | | (1,416 | ) |
KKR & Company, Inc. — Class A | | | 745 | | | | (0.62 | )% | | | (1,899 | ) |
Ryman Hospitality Properties, Inc. | | | 756 | | | | (1.01 | )% | | | (2,884 | ) |
Northern Trust Corp. | | | 863 | | | | (1.44 | )% | | | (2,898 | ) |
Apple Hospitality REIT, Inc. | | | 1,536 | | | | (0.40 | )% | | | (3,047 | ) |
Sun Communities, Inc. | | | 519 | | | | (1.30 | )% | | | (3,064 | ) |
Apartment Income REIT Corp. | | | 2,387 | | | | (1.83 | )% | | | (3,721 | ) |
Comerica, Inc. | | | 988 | | | | (1.28 | )% | | | (4,681 | ) |
Xenia Hotels & Resorts, Inc. | | | 2,628 | | | | (0.73 | )% | | | (5,336 | ) |
Ventas, Inc. | | | 1,334 | | | | (1.18 | )% | | | (7,644 | ) |
Pebblebrook Hotel Trust | | | 3,266 | | | | (1.15 | )% | | | (8,986 | ) |
Welltower, Inc. | | | 981 | | | | (1.35 | )% | | | (9,201 | ) |
Kennedy-Wilson Holdings, Inc. | | | 5,799 | | | | (2.03 | )% | | | (10,959 | ) |
Outfront Media, Inc. | | | 3,342 | | | | (1.36 | )% | | | (13,248 | ) |
Iron Mountain, Inc. | | | 1,733 | | | | (1.38 | )% | | | (13,377 | ) |
Host Hotels & Resorts, Inc. | | | 6,274 | | | | (1.75 | )% | | | (15,049 | ) |
Howard Hughes Corp. | | | 1,078 | | | | (1.60 | )% | | | (17,882 | ) |
Total Financial | | | | | | | | | | | (34,533 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Entergy Corp. | | | 587 | | | | (0.98 | )% | | | (3,509 | ) |
Spire, Inc. | | | 685 | | | | (0.70 | )% | | | (3,873 | ) |
ONE Gas, Inc. | | | 1,452 | | | | (1.84 | )% | | | (16,066 | ) |
Black Hills Corp. | | | 1,738 | | | | (1.92 | )% | | | (17,387 | ) |
CenterPoint Energy, Inc. | | | 4,074 | | | | (1.79 | )% | | | (17,935 | ) |
Atmos Energy Corp. | | | 1,064 | | | | (1.82 | )% | | | (19,326 | ) |
Edison International | | | 1,888 | | | | (1.90 | )% | | | (21,303 | ) |
Total Utilities | | | | | | | | | | | (99,398 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Ceridian HCM Holding, Inc. | | | 567 | | | | (0.56 | )% | | | 13,512 | |
Atlassian Corporation plc — Class A | | | 62 | | | | (0.26 | )% | | | 389 | |
Datadog, Inc. — Class A | | | 175 | | | | (0.38 | )% | | | (1,195 | ) |
Bill.com Holdings, Inc. | | | 116 | | | | (0.38 | )% | | | (1,981 | ) |
Zscaler, Inc. | | | 117 | | | | (0.40 | )% | | | (2,173 | ) |
Cloudflare, Inc. — Class A | | | 224 | | | | (0.38 | )% | | | (2,454 | ) |
Leidos Holdings, Inc. | | | 338 | | | | (0.52 | )% | | | (4,350 | ) |
MongoDB, Inc. | | | 75 | | | | (0.48 | )% | | | (6,011 | ) |
Crowdstrike Holdings, Inc. — Class A | | | 128 | | | | (0.42 | )% | | | (6,079 | ) |
KBR, Inc. | | | 1,796 | | | | (1.41 | )% | | | (24,424 | ) |
Total Technology | | | | | | | | | | | (34,766 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Stericycle, Inc. | | | 1,446 | | | | (1.22 | )% | | | 20,911 | |
Boeing Co. | | | 540 | | | | (1.48 | )% | | | 15,770 | |
MSA Safety, Inc. | | | 333 | | | | (0.63 | )% | | | 2,432 | |
Jacobs Engineering Group, Inc. | | | 849 | | | | (1.68 | )% | | | 1,854 | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
J.B. Hunt Transport Services, Inc. | | | 167 | | | | (0.48 | )% | | $ | 752 | |
TransDigm Group, Inc. | | | 67 | | | | (0.63 | )% | | | 308 | |
CH Robinson Worldwide, Inc. | | | 421 | | | | (0.65 | )% | | | (349 | ) |
General Electric Co. | | | 505 | | | | (0.66 | )% | | | (1,153 | ) |
Waste Management, Inc. | | | 449 | | | | (1.02 | )% | | | (5,852 | ) |
Howmet Aerospace, Inc. | | | 2,028 | | | | (1.05 | )% | | | (10,139 | ) |
Republic Services, Inc. — Class A | | | 564 | | | | (1.07 | )% | | | (11,975 | ) |
Tetra Tech, Inc. | | | 400 | | | | (0.95 | )% | | | (21,378 | ) |
Casella Waste Systems, Inc. — Class A | | | 1,157 | | | | (1.45 | )% | | | (31,043 | ) |
Total Industrial | | | | | | | | | | | (39,861 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
NOV, Inc. | | | 2,340 | | | | (0.66 | )% | | | (16,615 | ) |
Patterson-UTI Energy, Inc. | | | 5,612 | | | | (1.25 | )% | | | (42,822 | ) |
Halliburton Co. | | | 3,675 | | | | (2.00 | )% | | | (59,852 | ) |
Total Energy | | | | | | | | | | | (119,289 | ) |
Total MS Equity Short Custom Basket | | | | | | | (237,949 | ) |
| | | | | | | | | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Amphastar Pharmaceuticals, Inc. | | | 1,088 | | | | 0.62 | % | | | 17,163 | |
AbbVie, Inc. | | | 352 | | | | 0.90 | % | | | 16,183 | |
Innoviva, Inc. | | | 2,327 | | | | 0.70 | % | | | 12,455 | |
Bristol-Myers Squibb Co. | | | 876 | | | | 1.01 | % | | | 9,863 | |
Johnson & Johnson | | | 409 | | | | 1.15 | % | | | 9,643 | |
Amgen, Inc. | | | 234 | | | | 0.90 | % | | | 9,568 | |
Vertex Pharmaceuticals, Inc. | | | 137 | | | | 0.57 | % | | | 8,761 | |
Regeneron Pharmaceuticals, Inc. | | | 59 | | | | 0.65 | % | | | 7,650 | |
Molson Coors Beverage Co. — Class B | | | 678 | | | | 0.57 | % | | | 7,222 | |
United Therapeutics Corp. | | | 104 | | | | 0.30 | % | | | 5,026 | |
Pfizer, Inc. | | | 550 | | | | 0.45 | % | | | 4,887 | |
Eagle Pharmaceuticals, Inc. | | | 544 | | | | 0.43 | % | | | 3,965 | |
Prestige Consumer Healthcare, Inc. | | | 480 | | | | 0.40 | % | | | 3,284 | |
Hologic, Inc. | | | 539 | | | | 0.65 | % | | | 3,251 | |
Merck & Company, Inc. | | | 422 | | | | 0.55 | % | | | 3,106 | |
Perdoceo Education Corp. | | | 3,608 | | | | 0.65 | % | | | 2,646 | |
Waters Corp. | | | 84 | | | | 0.41 | % | | | 2,439 | |
PerkinElmer, Inc. | | | 86 | | | | 0.24 | % | | | 2,419 | |
Corteva, Inc. | | | 275 | | | | 0.25 | % | | | 2,266 | |
Quest Diagnostics, Inc. | | | 163 | | | | 0.35 | % | | | 2,030 | |
Medtronic plc | | | 256 | | | | 0.45 | % | | | 1,308 | |
Avery Dennison Corp. | | | 102 | | | | 0.28 | % | | | 615 | |
Royalty Pharma plc — Class A | | | 588 | | | | 0.36 | % | | | 219 | |
Incyte Corp. | | | 393 | | | | 0.49 | % | | | 138 | |
Coca-Cola Co. | | | 179 | | | | 0.18 | % | | | (91 | ) |
Procter & Gamble Co. | | | 72 | | | | 0.17 | % | | | (157 | ) |
Premier, Inc. — Class A | | | 302 | | | | 0.17 | % | | | (543 | ) |
Laboratory Corporation of America Holdings | | | 51 | | | | 0.21 | % | | | (702 | ) |
Philip Morris International, Inc. | | | 194 | | | | 0.29 | % | | | (1,196 | ) |
Abbott Laboratories | | | 401 | | | | 0.75 | % | | | (1,314 | ) |
John B Sanfilippo & Son, Inc. | | | 672 | | | | 0.89 | % | | | (1,643 | ) |
EVERTEC, Inc. | | | 658 | | | | 0.43 | % | | | (3,041 | ) |
USANA Health Sciences, Inc. | | | 288 | | | | 0.36 | % | | | (5,107 | ) |
Bio-Rad Laboratories, Inc. — Class A | | | 61 | | | | 0.54 | % | | | (6,573 | ) |
Vanda Pharmaceuticals, Inc. | | | 1,370 | | | | 0.25 | % | | | (7,217 | ) |
Gilead Sciences, Inc. | | | 939 | | | | 0.88 | % | | | (7,821 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 100,702 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
AutoZone, Inc. | | | 30 | | | | 0.97 | % | | | 22,356 | |
AutoNation, Inc. | | | 157 | | | | 0.25 | % | | | 5,416 | |
Tesla, Inc. | | | 19 | | | | 0.32 | % | | | 4,771 | |
Ethan Allen Interiors, Inc. | | | 877 | | | | 0.36 | % | | | 1,784 | |
Allison Transmission Holdings, Inc. | | | 798 | | | | 0.50 | % | | | 1,208 | |
Cummins, Inc. | | | 170 | | | | 0.55 | % | | | 793 | |
Methode Electronics, Inc. | | | 350 | | | | 0.24 | % | | | 301 | |
Wyndham Hotels & Resorts, Inc. | | | 209 | | | | 0.28 | % | | | 136 | |
Columbia Sportswear Co. | | | 375 | | | | 0.54 | % | | | (181 | ) |
Choice Hotels International, Inc. | | | 200 | | | | 0.45 | % | | | (535 | ) |
Las Vegas Sands Corp. | | | 274 | | | | 0.17 | % | | | (570 | ) |
Brunswick Corp. | | | 311 | | | | 0.40 | % | | | (636 | ) |
Zumiez, Inc. | | | 286 | | | | 0.17 | % | | | (821 | ) |
Carter’s, Inc. | | | 188 | | | | 0.27 | % | | | (1,747 | ) |
Tapestry, Inc. | | | 556 | | | | 0.33 | % | | | (2,016 | ) |
Autoliv, Inc. | | | 225 | | | | 0.27 | % | | | (2,291 | ) |
Jack in the Box, Inc. | | | 156 | | | | 0.23 | % | | | (2,310 | ) |
MarineMax, Inc. | | | 298 | | | | 0.19 | % | | | (2,665 | ) |
Buckle, Inc. | | | 424 | | | | 0.22 | % | | | (2,908 | ) |
Tri Pointe Homes, Inc. | | | 1,019 | | | | 0.32 | % | | | (3,282 | ) |
PulteGroup, Inc. | | | 498 | | | | 0.33 | % | | | (3,714 | ) |
Gentex Corp. | | | 1,966 | | | | 0.91 | % | | | (4,029 | ) |
Dolby Laboratories, Inc. — Class A | | | 394 | | | | 0.49 | % | | | (4,752 | ) |
Acushnet Holdings Corp. | | | 562 | | | | 0.36 | % | | | (5,549 | ) |
LKQ Corp. | | | 521 | | | | 0.37 | % | | | (5,696 | ) |
NVR, Inc. | | | 10 | | | | 0.71 | % | | | (6,246 | ) |
Toll Brothers, Inc. | | | 319 | | | | 0.24 | % | | | (6,549 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Whirlpool Corp. | | | 279 | | | | 0.76 | % | | $ | (12,693 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (32,425 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Owens Corning | | | 217 | | | | 0.31 | % | | | 6,839 | |
Packaging Corporation of America | | | 265 | | | | 0.65 | % | | | 6,134 | |
Mueller Industries, Inc. | | | 746 | | | | 0.64 | % | | | 5,691 | |
Knowles Corp. | | | 2,632 | | | | 0.90 | % | | | 4,475 | |
TTM Technologies, Inc. | | | 2,703 | | | | 0.62 | % | | | 4,365 | |
Snap-on, Inc. | | | 217 | | | | 0.71 | % | | | 4,051 | |
Crane Co. | | | 296 | | | | 0.51 | % | | | 4,042 | |
Lockheed Martin Corp. | | | 37 | | | | 0.26 | % | | | 3,760 | |
Encore Wire Corp. | | | 209 | | | | 0.38 | % | | | 3,457 | |
Dorian LPG Ltd. | | | 989 | | | | 0.23 | % | | | 1,776 | |
Albany International Corp. — Class A | | | 207 | | | | 0.28 | % | | | 1,396 | |
Sanmina Corp. | | | 1,069 | | | | 0.68 | % | | | 1,136 | |
Textron, Inc. | | | 259 | | | | 0.30 | % | | | 619 | |
Vishay Intertechnology, Inc. | | | 2,998 | | | | 0.93 | % | | | 553 | |
Agilent Technologies, Inc. | | | 175 | | | | 0.37 | % | | | (219 | ) |
Keysight Technologies, Inc. | | | 205 | | | | 0.51 | % | | | (349 | ) |
Atkore, Inc. | | | 114 | | | | 0.18 | % | | | (374 | ) |
Insteel Industries, Inc. | | | 319 | | | | 0.19 | % | | | (455 | ) |
Louisiana-Pacific Corp. | | | 316 | | | | 0.31 | % | | | (831 | ) |
Arrow Electronics, Inc. | | | 97 | | | | 0.18 | % | | | (932 | ) |
Simpson Manufacturing Company, Inc. | | | 109 | | | | 0.19 | % | | | (1,156 | ) |
UFP Industries, Inc. | | | 174 | | | | 0.21 | % | | | (1,272 | ) |
Hillenbrand, Inc. | | | 538 | | | | 0.38 | % | | | (1,509 | ) |
Donaldson Company, Inc. | | | 225 | | | | 0.18 | % | | | (1,593 | ) |
Toro Co. | | | 150 | | | | 0.20 | % | | | (2,469 | ) |
Sturm Ruger & Company, Inc. | | | 498 | | | | 0.55 | % | | | (2,651 | ) |
Pentair plc | | | 221 | | | | 0.19 | % | | | (2,731 | ) |
Eagle Materials, Inc. | | | 201 | | | | 0.41 | % | | | (4,256 | ) |
OSI Systems, Inc. | | | 361 | | | | 0.49 | % | | | (4,269 | ) |
Vontier Corp. | | | 812 | | | | 0.33 | % | | | (5,893 | ) |
3M Co. | | | 398 | | | | 0.94 | % | | | (6,672 | ) |
Garmin Ltd. | | | 510 | | | | 0.96 | % | | | (11,155 | ) |
Total Industrial | | | | | | | | | | | (492 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Travelers Companies, Inc. | | | 256 | | | | 0.74 | % | | | 10,392 | |
Arch Capital Group Ltd. | | | 1,037 | | | | 0.79 | % | | | 8,727 | |
Safety Insurance Group, Inc. | | | 664 | | | | 0.95 | % | | | 7,391 | |
Raymond James Financial, Inc. | | | 316 | | | | 0.55 | % | | | 7,175 | |
Enstar Group Ltd. | | | 202 | | | | 0.83 | % | | | 7,173 | |
Markel Corp. | | | 22 | | | | 0.51 | % | | | 5,763 | |
Berkshire Hathaway, Inc. — Class B | | | 34 | | | | 0.19 | % | | | 5,535 | |
Everest Re Group Ltd. | | | 108 | | | | 0.51 | % | | | 4,914 | |
Preferred Bank/Los Angeles CA | | | 720 | | | | 0.84 | % | | | 4,221 | |
ServisFirst Bancshares, Inc. | | | 255 | | | | 0.38 | % | | | 3,400 | |
LTC Properties, Inc. | | | 561 | | | | 0.34 | % | | | 3,146 | |
Hanover Insurance Group, Inc. | | | 206 | | | | 0.49 | % | | | 2,663 | |
Synchrony Financial | | | 303 | | | | 0.17 | % | | | 1,902 | |
Omega Healthcare Investors, Inc. | | | 451 | | | | 0.22 | % | | | 1,418 | |
Visa, Inc. — Class A | | | 56 | | | | 0.20 | % | | | 1,173 | |
Old Republic International Corp. | | | 1,927 | | | | 0.79 | % | | | 1,132 | |
BankUnited, Inc. | | | 792 | | | | 0.55 | % | | | 1,034 | |
Western Union Co. | | | 1,028 | | | | 0.30 | % | | | 890 | |
Morgan Stanley | | | 436 | | | | 0.60 | % | | | 734 | |
Equity Commonwealth | | | 417 | | | | 0.19 | % | | | 591 | |
National Health Investors, Inc. | | | 357 | | | | 0.33 | % | | | 355 | |
Washington Federal, Inc. | | | 486 | | | | 0.25 | % | | | 185 | |
United Bankshares, Inc. | | | 1,042 | | | | 0.57 | % | | | 60 | |
Fidelity National Financial, Inc. | | | 697 | | | | 0.54 | % | | | (251 | ) |
Easterly Government Properties, Inc. | | | 516 | | | | 0.17 | % | | | (304 | ) |
Trustmark Corp. | | | 505 | | | | 0.24 | % | | | (310 | ) |
Stewart Information Services Corp. | | | 623 | | | | 0.60 | % | | | (313 | ) |
Radian Group, Inc. | | | 1,513 | | | | 0.53 | % | | | (321 | ) |
Agree Realty Corp. | | | 282 | | | | 0.30 | % | | | (598 | ) |
Fulton Financial Corp. | | | 865 | | | | 0.23 | % | | | (604 | ) |
Janus Henderson Group plc | | | 757 | | | | 0.42 | % | | | (734 | ) |
National Retail Properties, Inc. | | | 623 | | | | 0.44 | % | | | (829 | ) |
SEI Investments Co. | | | 238 | | | | 0.23 | % | | | (940 | ) |
HomeStreet, Inc. | | | 581 | | | | 0.44 | % | | | (1,118 | ) |
Interactive Brokers Group, Inc. — Class A | | | 462 | | | | 0.48 | % | | | (1,166 | ) |
First American Financial Corp. | | | 365 | | | | 0.37 | % | | | (1,544 | ) |
Spirit Realty Capital, Inc. | | | 498 | | | | 0.36 | % | | | (1,843 | ) |
PS Business Parks, Inc. | | | 194 | | | | 0.52 | % | | | (1,944 | ) |
Citigroup, Inc. | | | 395 | | | | 0.33 | % | | | (2,326 | ) |
Ameris Bancorp | | | 412 | | | | 0.29 | % | | | (2,556 | ) |
Meta Financial Group, Inc. | | | 377 | | | | 0.33 | % | | | (2,714 | ) |
OneMain Holdings, Inc. | | | 627 | | | | 0.47 | % | | | (3,153 | ) |
Mercury General Corp. | | | 1,036 | | | | 0.90 | % | | | (3,209 | ) |
MGIC Investment Corp. | | | 2,737 | | | | 0.58 | % | | | (3,290 | ) |
National Bank Holdings Corp. — Class A | | | 1,210 | | | | 0.77 | % | | | (3,325 | ) |
Piper Sandler Cos. | | | 260 | | | | 0.54 | % | | | (3,800 | ) |
Essent Group Ltd. | | | 772 | | | | 0.50 | % | | | (3,861 | ) |
Hilltop Holdings, Inc. | | | 878 | | | | 0.41 | % | | | (6,087 | ) |
22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
AMERISAFE, Inc. | | | 843 | | | | 0.66 | % | | $ | (6,240 | ) |
Evercore, Inc. — Class A | | | 311 | | | | 0.55 | % | | | (8,464 | ) |
Total Financial | | | | | | | | | | | 18,130 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Westlake Corp. | | | 351 | | | | 0.69 | % | | | 10,730 | |
Dow, Inc. | | | 761 | | | | 0.77 | % | | | 6,996 | |
LyondellBasell Industries N.V. — Class A | | | 461 | | | | 0.75 | % | | | 6,460 | |
NewMarket Corp. | | | 47 | | | | 0.24 | % | | | 573 | |
Reliance Steel & Aluminum Co. | | | 124 | | | | 0.36 | % | | | (537 | ) |
International Paper Co. | | | 621 | | | | 0.45 | % | | | (1,085 | ) |
Linde plc | | | 87 | | | | 0.44 | % | | | (1,411 | ) |
Air Products and Chemicals, Inc. | | | 55 | | | | 0.22 | % | | | (1,773 | ) |
Valvoline, Inc. | | | 514 | | | | 0.26 | % | | | (2,307 | ) |
Total Basic Materials | | | | | | | | | | | 17,646 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 451 | | | | 1.25 | % | | | 46,190 | |
Microsoft Corp. | | | 206 | | | | 1.00 | % | | | 30,591 | |
CSG Systems International, Inc. | | | 880 | | | | 0.88 | % | | | 16,168 | |
Rambus, Inc. | | | 1,109 | | | | 0.56 | % | | | 9,738 | |
HP, Inc. | | | 398 | | | | 0.23 | % | | | 8,307 | |
NetApp, Inc. | | | 404 | | | | 0.53 | % | | | 7,698 | |
ExlService Holdings, Inc. | | | 129 | | | | 0.29 | % | | | 4,527 | |
Texas Instruments, Inc. | | | 67 | | | | 0.19 | % | | | 4,045 | |
Lumentum Holdings, Inc. | | | 192 | | | | 0.30 | % | | | 2,906 | |
Akamai Technologies, Inc. | | | 190 | | | | 0.36 | % | | | 1,269 | |
Genpact Ltd. | | | 390 | | | | 0.27 | % | | | 641 | |
Cognizant Technology Solutions Corp. — Class A | | | 128 | | | | 0.18 | % | | | 521 | |
NetScout Systems, Inc. | | | 446 | | | | 0.23 | % | | | 467 | |
Intel Corp. | | | 637 | | | | 0.50 | % | | | 357 | |
Progress Software Corp. | | | 451 | | | | 0.34 | % | | | 174 | |
Ziff Davis, Inc. | | | 153 | | | | 0.23 | % | | | (284 | ) |
Electronic Arts, Inc. | | | 104 | | | | 0.21 | % | | | (443 | ) |
Micron Technology, Inc. | | | 134 | | | | 0.17 | % | | | (615 | ) |
Skyworks Solutions, Inc. | | | 100 | | | | 0.21 | % | | | (725 | ) |
SS&C Technologies Holdings, Inc. | | | 284 | | | | 0.34 | % | | | (1,053 | ) |
CommVault Systems, Inc. | | | 178 | | | | 0.19 | % | | | (2,161 | ) |
Xperi Holding Corp. | | | 1,289 | | | | 0.35 | % | | | (3,305 | ) |
Qorvo, Inc. | | | 86 | | | | 0.17 | % | | | (5,266 | ) |
Total Technology | | | | | | | | | | | 119,747 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 28 | | | | 1.24 | % | | | 26,464 | |
Amazon.com, Inc. | | | 11 | | | | 0.57 | % | | | 12,736 | |
Juniper Networks, Inc. | | | 608 | | | | 0.36 | % | | | 9,009 | |
Cisco Systems, Inc. | | | 820 | | | | 0.72 | % | | | 8,969 | |
Viavi Solutions, Inc. | | | 1,984 | | | | 0.50 | % | | | 6,485 | |
Omnicom Group, Inc. | | | 289 | | | | 0.39 | % | | | 5,510 | |
Nexstar Media Group, Inc. — Class A | | | 140 | | | | 0.42 | % | | | 5,175 | |
VeriSign, Inc. | | | 94 | | | | 0.33 | % | | | 1,218 | |
F5, Inc. | | | 64 | | | | 0.21 | % | | | 1,091 | |
Corning, Inc. | | | 287 | | | | 0.17 | % | | | (425 | ) |
Meta Platforms, Inc. — Class A | | | 349 | | | | 1.23 | % | | | (743 | ) |
Ciena Corp. | | | 168 | | | | 0.16 | % | | | (794 | ) |
Shenandoah Telecommunications Co. | | | 982 | | | | 0.37 | % | | | (805 | ) |
InterDigital, Inc. | | | 341 | | | | 0.34 | % | | | (1,280 | ) |
Interpublic Group of Companies, Inc. | | | 810 | | | | 0.45 | % | | | (1,341 | ) |
NETGEAR, Inc. | | | 449 | | | | 0.18 | % | | | (1,642 | ) |
Yelp, Inc. — Class A | | | 903 | | | | 0.49 | % | | | (1,824 | ) |
Verizon Communications, Inc. | | | 1,144 | | | | 0.92 | % | | | (3,166 | ) |
Comcast Corp. — Class A | | | 1,277 | | | | 0.95 | % | | | (3,350 | ) |
Total Communications | | | | | | | | | | | 61,287 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
National Fuel Gas Co. | | | 858 | | | | 0.93 | % | | | 13,901 | |
IDACORP, Inc. | | | 449 | | | | 0.82 | % | | | 8,672 | |
Southern Co. | | | 450 | | | | 0.52 | % | | | 7,203 | |
Chesapeake Utilities Corp. | | | 367 | | | | 0.80 | % | | | 6,316 | |
Portland General Electric Co. | | | 913 | | | | 0.80 | % | | | 5,117 | |
WEC Energy Group, Inc. | | | 374 | | | | 0.59 | % | | | 3,652 | |
Duke Energy Corp. | | | 468 | | | | 0.83 | % | | | 3,506 | |
CMS Energy Corp. | | | 851 | | | | 0.94 | % | | | 2,618 | |
MGE Energy, Inc. | | | 743 | | | | 0.94 | % | | | 2,468 | |
American States Water Co. | | | 12 | | | | 0.02 | % | | | (82 | ) |
Otter Tail Corp. | | | 557 | | | | 0.55 | % | | | (197 | ) |
California Water Service Group | | | 243 | | | | 0.23 | % | | | (822 | ) |
PPL Corp. | | | 1,090 | | | | 0.49 | % | | | (1,166 | ) |
Total Utilities | | | | | | | | | | | 51,186 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Kinder Morgan, Inc. | | | 1,376 | | | | 0.41 | % | | | 473 | |
Exxon Mobil Corp. | | | 508 | | | | 0.66 | % | | | 20 | |
Total Energy | | | | | | | | | | | 493 | |
Total GS Equity Long Custom Basket | | | | | | | 336,274 | |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
CoStar Group, Inc. | | | 1,075 | | | | (1.03 | )% | | | 20,047 | |
Driven Brands Holdings, Inc. | | | 2,631 | | | | (0.99 | )% | | | 5,525 | |
Insperity, Inc. | | | 285 | | | | (0.41 | )% | | | 5,494 | |
TransUnion | | | 614 | | | | (0.91 | )% | | | 5,393 | |
Equifax, Inc. | | | 280 | | | | (0.95 | )% | | | 4,680 | |
ASGN, Inc. | | | 509 | | | | (0.85 | )% | | | 3,952 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Natera, Inc. | | | 216 | | | | (0.13 | )% | | $ | 3,599 | |
Dun & Bradstreet Holdings, Inc. | | | 2,713 | | | | (0.69 | )% | | | 3,527 | |
ABM Industries, Inc. | | | 571 | | | | (0.38 | )% | | | 1,145 | |
Intellia Therapeutics, Inc. | | | 142 | | | | (0.15 | )% | | | (101 | ) |
Rollins, Inc. | | | 1,985 | | | | (1.00 | )% | | | (909 | ) |
Sysco Corp. | | | 750 | | | | (0.88 | )% | | | (1,485 | ) |
Cintas Corp. | | | 308 | | | | (1.88 | )% | | | (1,831 | ) |
Verisk Analytics, Inc. — Class A | | | 361 | | | | (1.11 | )% | | | (2,202 | ) |
Guardant Health, Inc. | | | 430 | | | | (0.41 | )% | | | (3,232 | ) |
Booz Allen Hamilton Holding Corp. | | | 506 | | | | (0.64 | )% | | | (3,402 | ) |
Viad Corp. | | | 812 | | | | (0.41 | )% | | | (4,317 | ) |
Bunge Ltd. | | | 500 | | | | (0.79 | )% | | | (10,936 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 24,947 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Okta, Inc. | | | 79 | | | | (0.17 | )% | | | 3,647 | |
Lyft, Inc. — Class A | | | 1,551 | | | | (0.85 | )% | | | 3,284 | |
Airbnb, Inc. — Class A | | | 89 | | | | (0.22 | )% | | | 1,917 | |
Trade Desk, Inc. — Class A | | | 254 | | | | (0.25 | )% | | | (584 | ) |
Palo Alto Networks, Inc. | | | 24 | | | | (0.21 | )% | | | (1,152 | ) |
DoorDash, Inc. — Class A | | | 237 | | | | (0.40 | )% | | | (4,642 | ) |
Total Communications | | | | | | | | | | | 2,470 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
United Airlines Holdings, Inc. | | | 1,655 | | | | (1.10 | )% | | | 15,400 | |
Delta Air Lines, Inc. | | | 2,097 | | | | (1.19 | )% | | | 11,905 | |
Southwest Airlines Co. | | | 858 | | | | (0.56 | )% | | | 9,316 | |
IAA, Inc. | | | 822 | | | | (0.45 | )% | | | 8,484 | |
Freshpet, Inc. | | | 261 | | | | (0.38 | )% | | | 7,647 | |
JetBlue Airways Corp. | | | 1,900 | | | | (0.41 | )% | | | 7,002 | |
MillerKnoll, Inc. | | | 2,328 | | | | (1.16 | )% | | | 6,287 | |
Copart, Inc. | | | 736 | | | | (1.32 | )% | | | 3,376 | |
American Airlines Group, Inc. | | | 5,498 | | | | (1.44 | )% | | | (902 | ) |
Royal Caribbean Cruises Ltd. | | | 255 | | | | (0.31 | )% | | | (910 | ) |
Carnival Corp. | | | 1,033 | | | | (0.30 | )% | | | (1,948 | ) |
Lululemon Athletica, Inc. | | | 83 | | | | (0.43 | )% | | | (4,318 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 61,339 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Americold Realty Trust | | | 1,835 | | | | (0.73 | )% | | | 16,196 | |
Western Alliance Bancorporation | | | 811 | | | | (0.96 | )% | | | 13,527 | |
SVB Financial Group | | | 77 | | | | (0.62 | )% | | | 8,964 | |
Equinix, Inc. | | | 118 | | | | (1.25 | )% | | | 8,594 | |
First Republic Bank | | | 337 | | | | (0.78 | )% | | | 7,736 | |
BOK Financial Corp. | | | 375 | | | | (0.51 | )% | | | 7,637 | |
CBRE Group, Inc. — Class A | | | 468 | | | | (0.61 | )% | | | 5,045 | |
Equitable Holdings, Inc. | | | 3,316 | | | | (1.48 | )% | | | 4,903 | |
Crown Castle International Corp. | | | 451 | | | | (1.19 | )% | | | 3,852 | |
Invitation Homes, Inc. | | | 2,602 | | | | (1.50 | )% | | | 3,784 | |
Lincoln National Corp. | | | 537 | | | | (0.50 | )% | | | 2,960 | |
SBA Communications Corp. | | | 193 | | | | (0.95 | )% | | | 1,980 | |
Digital Realty Trust, Inc. | | | 287 | | | | (0.58 | )% | | | 1,653 | |
Ameriprise Financial, Inc. | | | 154 | | | | (0.66 | )% | | | 1,553 | |
Signature Bank | | | 174 | | | | (0.73 | )% | | | 1,015 | |
Safehold, Inc. | | | 680 | | | | (0.54 | )% | | | 773 | |
Park Hotels & Resorts, Inc. | | | 4,990 | | | | (1.40 | )% | | | 597 | |
Wells Fargo & Co. | | | 1,024 | | | | (0.71 | )% | | | 458 | |
State Street Corp. | | | 1,167 | | | | (1.46 | )% | | | 233 | |
UDR, Inc. | | | 956 | | | | (0.79 | )% | | | 152 | |
Zions Bancorp North America | | | 1,118 | | | | (1.05 | )% | | | (50 | ) |
Sunstone Hotel Investors, Inc. | | | 5,528 | | | | (0.93 | )% | | | (562 | ) |
RLJ Lodging Trust | | | 7,351 | | | | (1.49 | )% | | | (935 | ) |
Boston Properties, Inc. | | | 212 | | | | (0.39 | )% | | | (1,419 | ) |
KKR & Company, Inc. — Class A | | | 745 | | | | (0.62 | )% | | | (1,769 | ) |
Sun Communities, Inc. | | | 519 | | | | (1.30 | )% | | | (2,091 | ) |
Ryman Hospitality Properties, Inc. | | | 756 | | | | (1.01 | )% | | | (2,965 | ) |
Apple Hospitality REIT, Inc. | | | 1,536 | | | | (0.40 | )% | | | (3,078 | ) |
Northern Trust Corp. | | | 863 | | | | (1.44 | )% | | | (3,631 | ) |
Apartment Income REIT Corp. | | | 2,387 | | | | (1.83 | )% | | | (3,922 | ) |
Comerica, Inc. | | | 988 | | | | (1.28 | )% | | | (4,976 | ) |
Xenia Hotels & Resorts, Inc. | | | 2,628 | | | | (0.73 | )% | | | (5,022 | ) |
Ventas, Inc. | | | 1,334 | | | | (1.18 | )% | | | (7,795 | ) |
Pebblebrook Hotel Trust | | | 3,266 | | | | (1.15 | )% | | | (9,135 | ) |
Welltower, Inc. | | | 981 | | | | (1.35 | )% | | | (9,221 | ) |
Kennedy-Wilson Holdings, Inc. | | | 5,799 | | | | (2.03 | )% | | | (11,211 | ) |
Outfront Media, Inc. | | | 3,342 | | | | (1.36 | )% | | | (13,245 | ) |
Iron Mountain, Inc. | | | 1,733 | | | | (1.38 | )% | | | (13,506 | ) |
Host Hotels & Resorts, Inc. | | | 6,274 | | | | (1.75 | )% | | | (15,154 | ) |
Howard Hughes Corp. | | | 1,078 | | | | (1.60 | )% | | | (17,817 | ) |
Total Financial | | | | | | | | | | | (35,892 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Entergy Corp. | | | 587 | | | | (0.98 | )% | | | (3,327 | ) |
Spire, Inc. | | | 685 | | | | (0.70 | )% | | | (3,790 | ) |
ONE Gas, Inc. | | | 1,452 | | | | (1.84 | )% | | | (16,172 | ) |
Black Hills Corp. | | | 1,738 | | | | (1.92 | )% | | | (17,649 | ) |
CenterPoint Energy, Inc. | | | 4,074 | | | | (1.79 | )% | | | (18,012 | ) |
Atmos Energy Corp. | | | 1,064 | | | | (1.82 | )% | | | (19,416 | ) |
Edison International | | | 1,888 | | | | (1.90 | )% | | | (21,493 | ) |
Total Utilities | | | | | | | | | | | (99,859 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Ceridian HCM Holding, Inc. | | | 567 | | | | (0.56 | )% | | $ | 13,512 | |
Atlassian Corporation plc — Class A | | | 62 | | | | (0.26 | )% | | | 253 | |
Datadog, Inc. — Class A | | | 175 | | | | (0.38 | )% | | | (1,181 | ) |
Zscaler, Inc. | | | 117 | | | | (0.40 | )% | | | (2,136 | ) |
Bill.com Holdings, Inc. | | | 116 | | | | (0.38 | )% | | | (2,206 | ) |
Cloudflare, Inc. — Class A | | | 224 | | | | (0.38 | )% | | | (2,435 | ) |
Leidos Holdings, Inc. | | | 338 | | | | (0.52 | )% | | | (4,379 | ) |
MongoDB, Inc. | | | 75 | | | | (0.48 | )% | | | (5,990 | ) |
Crowdstrike Holdings, Inc. — Class A | | | 128 | | | | (0.42 | )% | | | (6,077 | ) |
KBR, Inc. | | | 1,796 | | | | (1.41 | )% | | | (24,450 | ) |
Total Technology | | | | | | | | | | | (35,089 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Stericycle, Inc. | | | 1,446 | | | | (1.22 | )% | | | 20,897 | |
Boeing Co. | | | 540 | | | | (1.48 | )% | | | 15,667 | |
MSA Safety, Inc. | | | 333 | | | | (0.63 | )% | | | 2,311 | |
Jacobs Engineering Group, Inc. | | | 849 | | | | (1.68 | )% | | | 1,862 | |
J.B. Hunt Transport Services, Inc. | | | 167 | | | | (0.48 | )% | | | 748 | |
TransDigm Group, Inc. | | | 67 | | | | (0.63 | )% | | | 343 | |
CH Robinson Worldwide, Inc. | | | 421 | | | | (0.65 | )% | | | (498 | ) |
General Electric Co. | | | 505 | | | | (0.66 | )% | | | (1,113 | ) |
Waste Management, Inc. | | | 449 | | | | (1.02 | )% | | | (5,853 | ) |
Howmet Aerospace, Inc. | | | 2,028 | | | | (1.05 | )% | | | (10,232 | ) |
Republic Services, Inc. — Class A | | | 564 | | | | (1.07 | )% | | | (12,083 | ) |
Tetra Tech, Inc. | | | 400 | | | | (0.95 | )% | | | (21,379 | ) |
Casella Waste Systems, Inc. — Class A | | | 1,157 | | | | (1.45 | )% | | | (31,062 | ) |
Total Industrial | | | | | | | | | | | (40,392 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
NOV, Inc. | | | 2,340 | | | | (0.66 | )% | | | (16,659 | ) |
Patterson-UTI Energy, Inc. | | | 5,612 | | | | (1.25 | )% | | | (42,804 | ) |
Halliburton Co. | | | 3,675 | | | | (2.00 | )% | | | (59,780 | ) |
Total Energy | | | | | | | | | | | (119,243 | ) |
Total GS Equity Short Custom Basket | | | | | | $ | (241,719 | ) |
* | 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 March 31, 2022. |
2 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | 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 ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
LONG SHORT EQUITY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 15,776,103 | | | $ | — | | | $ | — | | | $ | 15,776,103 | |
Money Market Fund | | | 394,054 | | | | — | | | | — | | | | 394,054 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 673,585 | | | | — | | | | 673,585 | |
Total Assets | | $ | 16,170,157 | | | $ | 673,585 | | | $ | — | | | $ | 16,843,742 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 479,668 | | | $ | — | | | $ | 479,668 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $15,121,800) | | $ | 16,170,157 | |
Cash | | | 792 | |
Unrealized appreciation on OTC swap agreements | | | 673,585 | |
Receivables: |
Swap settlement | | | 113,758 | |
Dividends | | | 13,138 | |
Fund shares sold | | | 29 | |
Total assets | | | 16,971,459 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 479,668 | |
Payable for: |
Management fees | | | 12,749 | |
Transfer agent and administrative fees | | | 3,810 | |
Distribution and service fees | | | 3,166 | |
Portfolio accounting fees | | | 1,416 | |
Trustees’ fees* | | | 185 | |
Fund shares redeemed | | | 10 | |
Miscellaneous | | | 13,740 | |
Total liabilities | | | 514,744 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 16,456,715 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 17,630,574 | |
Total distributable earnings (loss) | | | (1,173,859 | ) |
Net assets | | $ | 16,456,715 | |
| | | | | |
A-Class: |
Net assets | | $ | 7,344,072 | |
Capital shares outstanding | | | 384,260 | |
Net asset value per share | | $ | 19.11 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 20.06 | |
| | | | | |
C-Class: |
Net assets | | $ | 269,585 | |
Capital shares outstanding | | | 16,186 | |
Net asset value per share | | $ | 16.66 | |
| | | | | |
P-Class: |
Net assets | | $ | 6,281,034 | |
Capital shares outstanding | | | 327,616 | |
Net asset value per share | | $ | 19.17 | |
| | | | | |
Institutional Class: |
Net assets | | $ | 2,562,024 | |
Capital shares outstanding | | | 130,363 | |
Net asset value per share | | $ | 19.65 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends | | $ | 337,664 | |
Income from securities lending, net | | | 42 | |
Total investment income | | | 337,706 | |
| | | | | |
Expenses: |
Management fees | | | 154,911 | |
Distribution and service fees: |
A-Class | | | 19,684 | |
C-Class | | | 3,398 | |
P-Class | | | 16,317 | |
Transfer agent and administrative fees | | | 47,936 | |
Portfolio accounting fees | | | 17,212 | |
Registration fees | | | 8,624 | |
Professional fees | | | 6,504 | |
Custodian fees | | | 2,453 | |
Trustees’ fees* | | | 2,279 | |
Miscellaneous | | | 3,280 | |
Total expenses | | | 282,598 | |
Net investment income | | | 55,108 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,289,464 | |
Swap agreements | | | (1,691,749 | ) |
Net realized gain | | | 1,597,715 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,903,745 | ) |
Swap agreements | | | 425,919 | |
Net change in unrealized appreciation (depreciation) | | | (1,477,826 | ) |
Net realized and unrealized gain | | | 119,884 | |
Net increase in net assets resulting from operations | | $ | 174,997 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 55,108 | | | $ | 97,883 | |
Net realized gain (loss) on investments | | | 1,597,715 | | | | (798,753 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,477,826 | ) | | | 5,450,564 | |
Net increase in net assets resulting from operations | | | 174,997 | | | | 4,749,694 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | (27,317 | ) | | | (34,330 | ) |
P-Class | | | (23,390 | ) | | | (28,015 | ) |
Institutional Class | | | (11,910 | ) | | | (12,375 | ) |
Total distributions to shareholders | | | (62,617 | ) | | | (74,720 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 200,135 | | | | 196,419 | |
C-Class | | | 14,100 | | | | 8,000 | |
P-Class | | | 732,232 | | | | 288,465 | |
Institutional Class | | | 519,578 | | | | 204,066 | |
Distributions reinvested | | | | | | | | |
A-Class | | | 26,405 | | | | 33,556 | |
P-Class | | | 21,004 | | | | 25,294 | |
Institutional Class | | | 11,910 | | | | 12,308 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (994,414 | ) | | | (1,413,489 | ) |
C-Class | | | (128,923 | ) | | | (328,519 | ) |
P-Class | | | (930,247 | ) | | | (1,001,225 | ) |
Institutional Class | | | (211,165 | ) | | | (367,376 | ) |
Net decrease from capital share transactions | | | (739,385 | ) | | | (2,342,501 | ) |
Net increase (decrease) in net assets | | | (627,005 | ) | | | 2,332,473 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 17,083,720 | | | | 14,751,247 | |
End of year | | $ | 16,456,715 | | | $ | 17,083,720 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 10,132 | | | | 11,844 | |
C-Class | | | 848 | | | | 564 | |
P-Class | | | 35,907 | | | | 16,987 | |
Institutional Class | | | 25,124 | | | | 12,752 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | 1,281 | | | | 1,950 | |
P-Class | | | 1,016 | | | | 1,465 | |
Institutional Class | | | 562 | | | | 697 | |
Shares redeemed | | | | | | | | |
A-Class | | | (50,960 | ) | | | (87,189 | ) |
C-Class | | | (7,402 | ) | | | (23,557 | ) |
P-Class | | | (46,182 | ) | | | (60,649 | ) |
Institutional Class | | | (10,582 | ) | | | (22,057 | ) |
Net decrease in shares | | | (40,256 | ) | | | (147,193 | ) |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 18.98 | | | $ | 14.12 | | | $ | 16.20 | | | $ | 17.41 | | | $ | 15.80 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .06 | | | | .10 | | | | .09 | | | | .10 | | | | — | b |
Net gain (loss) on investments (realized and unrealized) | | | .14 | | | | 4.84 | | | | (2.04 | ) | | | (1.02 | ) | | | 1.61 | |
Total from investment operations | | | .20 | | | | 4.94 | | | | (1.95 | ) | | | (.92 | ) | | | 1.61 | |
Less distributions from: |
Net investment income | | | (.07 | ) | | | (.08 | ) | | | (.13 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (.29 | ) | | | — | |
Total distributions | | | (.07 | ) | | | (.08 | ) | | | (.13 | ) | | | (.29 | ) | | | — | |
Net asset value, end of period | | $ | 19.11 | | | $ | 18.98 | | | $ | 14.12 | | | $ | 16.20 | | | $ | 17.41 | |
|
Total Returnc | | | 1.03 | % | | | 35.04 | % | | | (12.15 | %) | | | (5.31 | %) | | | 10.19 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,344 | | | $ | 8,044 | | | $ | 7,021 | | | $ | 10,143 | | | $ | 4,012 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.30 | % | | | 0.61 | % | | | 0.58 | % | | | 0.58 | % | | | 0.01 | % |
Total expensesd,e | | | 1.66 | % | | | 1.75 | % | | | 1.78 | % | | | 1.78 | % | | | 1.77 | % |
Portfolio turnover rate | | | 233 | % | | | 162 | % | | | 119 | % | | | 170 | % | | | 328 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 16.61 | | | $ | 12.39 | | | $ | 14.21 | | | $ | 15.43 | | | $ | 14.11 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.08 | ) | | | (.02 | ) | | | (.02 | ) | | | (.07 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .13 | | | | 4.24 | | | | (1.80 | ) | | | (.86 | ) | | | 1.43 | |
Total from investment operations | | | .05 | | | | 4.22 | | | | (1.82 | ) | | | (.93 | ) | | | 1.32 | |
Less distributions from: |
Net realized gains | | | — | | | | — | | | | — | | | | (.29 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (.29 | ) | | | — | |
Net asset value, end of period | | $ | 16.66 | | | $ | 16.61 | | | $ | 12.39 | | | $ | 14.21 | | | $ | 15.43 | |
|
Total Returnc | | | 0.30 | % | | | 34.06 | % | | | (12.81 | %) | | | (6.00 | %) | | | 9.36 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 270 | | | $ | 378 | | | $ | 567 | | | $ | 1,424 | | | $ | 11,394 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.46 | %) | | | (0.16 | %) | | | (0.18 | %) | | | (0.43 | %) | | | (0.74 | %) |
Total expensesd,e | | | 2.41 | % | | | 2.51 | % | | | 2.53 | % | | | 2.50 | % | | | 2.52 | % |
Portfolio turnover rate | | | 233 | % | | | 162 | % | | | 119 | % | | | 170 | % | | | 328 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 19.04 | | | $ | 14.17 | | | $ | 16.25 | | | $ | 17.47 | | | $ | 15.86 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .06 | | | | .10 | | | | .09 | | | | .08 | | | | — | b |
Net gain (loss) on investments (realized and unrealized) | | | .14 | | | | 4.85 | | | | (2.04 | ) | | | (1.01 | ) | | | 1.61 | |
Total from investment operations | | | .20 | | | | 4.95 | | | | (1.95 | ) | | | (.93 | ) | | | 1.61 | |
Less distributions from: |
Net investment income | | | (.07 | ) | | | (.08 | ) | | | (.13 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (.29 | ) | | | — | |
Total distributions | | | (.07 | ) | | | (.08 | ) | | | (.13 | ) | | | (.29 | ) | | | — | |
Net asset value, end of period | | $ | 19.17 | | | $ | 19.04 | | | $ | 14.17 | | | $ | 16.25 | | | $ | 17.47 | |
|
Total Return | | | 1.03 | % | | | 35.09 | % | | | (12.17 | %) | | | (5.35 | %) | | | 10.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,281 | | | $ | 6,415 | | | $ | 5,370 | | | $ | 9,303 | | | $ | 12,614 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.30 | % | | | 0.61 | % | | | 0.57 | % | | | 0.47 | % | | | 0.01 | % |
Total expensesd,e | | | 1.66 | % | | | 1.75 | % | | | 1.78 | % | | | 1.77 | % | | | 1.76 | % |
Portfolio turnover rate | | | 233 | % | | | 162 | % | | | 119 | % | | | 170 | % | | | 328 | % |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 19.50 | | | $ | 14.49 | | | $ | 16.60 | | | $ | 17.79 | | | $ | 16.11 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .11 | | | | .15 | | | | .14 | | | | .12 | | | | .05 | |
Net gain (loss) on investments (realized and unrealized) | | | .14 | | | | 4.97 | | | | (2.10 | ) | | | (1.02 | ) | | | 1.63 | |
Total from investment operations | | | .25 | | | | 5.12 | | | | (1.96 | ) | | | (.90 | ) | | | 1.68 | |
Less distributions from: |
Net investment income | | | (.10 | ) | | | (.11 | ) | | | (.15 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | �� | | (.29 | ) | | | — | |
Total distributions | | | (.10 | ) | | | (.11 | ) | | | (.15 | ) | | | (.29 | ) | | | — | |
Net asset value, end of period | | $ | 19.65 | | | $ | 19.50 | | | $ | 14.49 | | | $ | 16.60 | | | $ | 17.79 | |
|
Total Return | | | 1.24 | % | | | 35.47 | % | | | (11.96 | %) | | | (5.08 | %) | | | 10.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,562 | | | $ | 2,247 | | | $ | 1,794 | | | $ | 2,018 | | | $ | 2,722 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.86 | % | | | 0.85 | % | | | 0.72 | % | | | 0.31 | % |
Total expensesd,e | | | 1.41 | % | | | 1.50 | % | | | 1.53 | % | | | 1.51 | % | | | 1.50 | % |
Portfolio turnover rate | | | 233 | % | | | 162 | % | | | 119 | % | | | 170 | % | | | 328 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Less than $0.01 per share. |
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 | Excluding interest and dividend expense related to short sales, the operating expense ratios for the years or periods presented was as follows: |
| | | 03/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 |
| | A-Class | 1.66% | 1.75% | 1.78% | 1.78% | 1.68% |
| | C-Class | 2.41% | 2.51% | 2.53% | 2.50% | 2.44% |
| | P-Class | 1.66% | 1.75% | 1.78% | 1.77% | 1.69% |
| | Institutional Class | 1.41% | 1.50% | 1.53% | 1.51% | 1.43% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Emerging Markets 2x Strategy Fund H-Class returned -41.31%, while the underlying index returned -19.52% over the same period.
The Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the underlying index during the period.
The industries that contributed the most to the performance of the underlying index over the past 12 months were oil, gas & consumable fuels; metals & mining, and IT services. The sectors that detracted the most were internet & direct marketing retail, diversified consumer services, and semiconductors & semiconductor equipment.
The stocks that contributed the most to the return of the underlying index over the past 12 months were Infosys Ltd. ADR, Vale S.A. ADR, and Petroleo Brasileiro Preferred S.A. ADR. The stocks that detracted the most were Alibaba Group Holding Ltd., ADR, Taiwan Semiconductor Manufacturing Co. ADR, and Pinduoduo, Inc. ADR - Class A.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were factors in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | October 29, 2010 |
C-Class | October 29, 2010 |
H-Class | October 29, 2010 |
COUNTRY DIVERSIFICATION
Country | % of Total
Net Assets |
Taiwan, Province of China | 22.7% |
China | 18.7% |
India | 17.2% |
Brazil | 14.3% |
Cayman Islands | 13.3% |
Republic of Korea | 4.6% |
Mexico | 4.0% |
Other | 5.2% |
Total Long-Term Investments | 100.0% |
32 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Ten Largest Holdings | % of Total Net Assets |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 11.3% |
Alibaba Group Holding Ltd. ADR | 8.1% |
Infosys Ltd. ADR | 3.7% |
HDFC Bank Ltd. ADR | 3.4% |
Vale S.A. ADR | 2.7% |
JD.com, Inc. ADR | 2.5% |
ICICI Bank Ltd. ADR | 2.0% |
Baidu, Inc. ADR | 1.5% |
NetEase, Inc. ADR | 1.4% |
Petroleo Brasileiro S.A. ADR | 1.3% |
Top Ten Total | 37.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | (41.30%) | 2.40% | (2.24%) |
A-Class Shares with sales charge‡ | (44.09%) | 1.41% | (2.71%) |
C-Class Shares | (41.74%) | 1.63% | (2.93%) |
C-Class Shares with CDSC§ | (42.33%) | 1.63% | (2.93%) |
H-Class Shares | (41.31%) | 2.40% | (2.28%) |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
BNY Mellon Emerging Markets 50 ADR Index | (19.52%) | 5.90% | 2.72% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
EMERGING MARKETS 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 56.6% |
| | | | | | | | | |
Technology - 18.4% |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 3,607 | | | $ | 376,066 | |
Infosys Ltd. ADR | | | 4,887 | | | | 121,638 | |
NetEase, Inc. ADR | | | 504 | | | | 45,204 | |
United Microelectronics Corp. ADR1 | | | 3,137 | | | | 28,609 | |
ASE Technology Holding Company Ltd. ADR1 | | | 2,322 | | | | 16,463 | |
Wipro Ltd. ADR | | | 1,999 | | | | 15,412 | |
Bilibili, Inc. ADR*,1 | | | 301 | | | | 7,699 | |
Total Technology | | | | | | | 611,091 | |
| | | | | | | | | |
Communications - 16.1% |
Alibaba Group Holding Ltd. ADR* | | | 2,463 | | | | 267,974 | |
JD.com, Inc. ADR* | | | 1,403 | | | | 81,192 | |
Baidu, Inc. ADR* | | | 383 | | | | 50,671 | |
America Movil SAB de CV — Class L ADR | | | 1,526 | | | | 32,275 | |
Pinduoduo, Inc. ADR* | | | 593 | | | | 23,785 | |
Chunghwa Telecom Company Ltd. ADR | | | 514 | | | | 22,847 | |
Telkom Indonesia Persero Tbk PT ADR | | | 642 | | | | 20,512 | |
Trip.com Group Ltd. ADR* | | | 663 | | | | 15,328 | |
Grupo Televisa SAB ADR | | | 684 | | | | 8,003 | |
SK Telecom Company Ltd. ADR | | | 261 | | | | 6,689 | |
GDS Holdings Ltd. ADR*,1 | | | 154 | | | | 6,045 | |
Total Communications | | | | | | | 535,321 | |
| | | | | | | | | |
Financial - 8.8% |
HDFC Bank Ltd. ADR | | | 1,827 | | | | 112,050 | |
ICICI Bank Ltd. ADR | | | 3,472 | | | | 65,760 | |
Banco Bradesco S.A. ADR | | | 6,550 | | | | 30,392 | |
KB Financial Group, Inc. ADR | | | 528 | | | | 25,782 | |
Shinhan Financial Group Company Ltd. ADR | | | 698 | | | | 23,334 | |
China Life Insurance Company Ltd. ADR | | | 2,010 | | | | 15,256 | |
Woori Financial Group, Inc. ADR | | | 255 | | | | 9,603 | |
KE Holdings, Inc. ADR* | | | 678 | | | | 8,387 | |
Total Financial | | | | | | | 290,564 | |
| | | | | | | | | |
Basic Materials - 6.6% |
Vale S.A. ADR | | | 4,551 | | | | 90,974 | |
POSCO Holdings, Inc. ADR | | | 410 | | | | 24,301 | |
Sasol Ltd. ADR* | | | 782 | | | | 18,909 | |
Gold Fields Ltd. ADR | | | 1,199 | | | | 18,537 | |
Sociedad Quimica y Minera de Chile S.A. ADR | | | 193 | | | | 16,521 | |
Sibanye Stillwater Ltd. ADR | | | 901 | | | | 14,623 | |
AngloGold Ashanti Ltd. ADR | | | 564 | | | | 13,361 | |
Suzano S.A. ADR1 | | | 1,067 | | | | 12,398 | |
Gerdau S.A. ADR | | | 1,548 | | | | 9,954 | |
Total Basic Materials | | | | | | | 219,578 | |
| | | | | | | | | |
Energy - 2.1% |
Petroleo Brasileiro S.A. ADR | | | 2,514 | | | | 37,207 | |
China Petroleum & Chemical Corp. ADR | | | 345 | | | | 17,084 | |
PetroChina Company Ltd. ADR1 | | | 285 | | | | 14,407 | |
Total Energy | | | | | | | 68,698 | |
| | | | | | | | | |
Consumer, Non-cyclical - 1.9% |
Fomento Economico Mexicano SAB de CV ADR | | | 248 | | | | 20,547 | |
Ambev S.A. ADR | | | 5,955 | | | | 19,234 | |
BeiGene Ltd. ADR* | | | 71 | | | | 13,391 | |
Dr Reddy’s Laboratories Ltd. ADR | | | 164 | | | | 9,140 | |
Total Consumer, Non-cyclical | | | | | | | 62,312 | |
| | | | | | | | | |
Consumer, Cyclical - 1.7% |
NIO, Inc. ADR* | | | 1,810 | | | | 38,101 | |
Tata Motors Ltd. ADR*,1 | | | 476 | | | | 13,304 | |
Huazhu Group Ltd. ADR | | | 199 | | | | 6,565 | |
Total Consumer, Cyclical | | | | | | | 57,970 | |
| | | | | | | | | |
Industrial - 1.0% |
ZTO Express Cayman, Inc. ADR | | | 596 | | | | 14,900 | |
Cemex SAB de CV ADR* | | | 2,045 | | | | 10,818 | |
Grupo Aeroportuario del Pacifico SAB de CV ADR* | | | 47 | | | | 7,578 | |
Total Industrial | | | | | | | 33,296 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,542,827) | | | | | | | 1,878,830 | |
| | | | | | | | | |
PREFERRED STOCKS† - 2.4% |
Energy - 1.3% |
Petroleo Brasileiro S.A. |
ADR | | | 3,103 | | | | 43,380 | |
| | | | | | | | | |
Financial - 1.1% |
Itau Unibanco Holding S.A. |
ADR | | | 6,546 | | | | 37,377 | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $52,126) | | | | | | | 80,757 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 61.2% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/223 | | $ | 1,364,990 | | | | 1,364,990 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/223 | | | 525,733 | | | | 525,733 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/223 | | | 136,691 | | | | 136,691 | |
Total Repurchase Agreements | | | | |
(Cost $2,027,414) | | | | | | | 2,027,414 | |
| | | | | | | | | |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2022 |
EMERGING MARKETS 2x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,4 - 2.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.15%5 | | | 71,513 | | | $ | 71,513 | |
Total Securities Lending Collateral | | | | |
(Cost $71,513) | | | | | | | 71,513 | |
| | | | | | | | | |
Total Investments - 122.4% | | | | |
(Cost $3,693,880) | | $ | 4,058,514 | |
Other Assets & Liabilities, net - (22.4)% | | | (744,083 | ) |
Total Net Assets - 100.0% | | $ | 3,314,431 | |
Total Return Swap Agreements |
Counterparty | Index | Type | | Financing
Rate | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | Pay | | 0.88% (Federal Funds Rate + 0.55%) | | At Maturity | | 04/14/22 | | 492 | | | $ | 1,392,604 | | | $ | 100,758 | |
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | Pay | | 0.93% (Federal Funds Rate + 0.60%) | | At Maturity | | 04/14/22 | | 1,189 | | | | 3,365,312 | | | | (125,667 | ) |
| | | | | | | | | | | | | | $ | 4,757,916 | | | $ | (24,909 | ) |
* | 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 March 31, 2022 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
4 | Securities lending collateral — See Note 7. |
5 | Rate indicated is the 7-day yield as of March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
EMERGING MARKETS 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | 1,878,830 | | | $ | — | | | $ | — | | | $ | 1,878,830 | |
Preferred Stocks | | | 80,757 | | �� | | — | | | | — | | | | 80,757 | |
Repurchase Agreements | | | — | | | | 2,027,414 | | | | — | | | | 2,027,414 | |
Securities Lending Collateral | | | 71,513 | | | | — | | | | — | | | | 71,513 | |
Equity Index Swap Agreements** | | | — | | | | 100,758 | | | | — | | | | 100,758 | |
Total Assets | | $ | 2,031,100 | | | $ | 2,128,172 | | | $ | — | | | $ | 4,159,272 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 125,667 | | | $ | — | | | $ | 125,667 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value - including $66,708 of securities loaned (cost $1,666,466) | | $ | 2,031,100 | |
Repurchase agreements, at value (cost $2,027,414) | | | 2,027,414 | |
Unrealized appreciation on OTC swap agreements | | | 100,758 | |
Receivables: |
Fund shares sold | | | 255,499 | |
Dividends | | | 2,210 | |
Securities lending income | | | 72 | |
Foreign tax reclaims | | | 42 | |
Interest | | | 15 | |
Total assets | | | 4,417,110 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 125,667 | |
Payable for: |
Fund shares redeemed | | | 620,864 | |
Swap settlement | | | 274,695 | |
Return of securities lending collateral | | | 71,513 | |
Management fees | | | 2,985 | |
Distribution and service fees | | | 1,023 | |
Transfer agent and administrative fees | | | 892 | |
Portfolio accounting fees | | | 498 | |
Trustees’ fees* | | | 58 | |
Miscellaneous | | | 4,484 | |
Total liabilities | | | 1,102,679 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 3,314,431 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 17,067,134 | |
Total distributable earnings (loss) | | | (13,752,703 | ) |
Net assets | | $ | 3,314,431 | |
| | | | | |
A-Class: |
Net assets | | $ | 193,355 | |
Capital shares outstanding | | | 2,832 | |
Net asset value per share | | $ | 68.28 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 71.69 | |
| | | | | |
C-Class: |
Net assets | | $ | 310,734 | |
Capital shares outstanding | | | 4,896 | |
Net asset value per share | | $ | 63.47 | |
| | | | | |
H-Class: |
Net assets | | $ | 2,810,342 | |
Capital shares outstanding | | | 41,170 | |
Net asset value per share | | $ | 68.26 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Dividends (net of foreign withholding tax of $3,161) | | $ | 96,213 | |
Interest | | | 764 | |
Income from securities lending, net | | | 537 | |
Total investment income | | | 97,514 | |
| | | | | |
Expenses: |
Management fees | | | 49,490 | |
Distribution and service fees: |
A-Class | | | 1,023 | |
C-Class | | | 4,016 | |
H-Class | | | 11,724 | |
Transfer agent and administrative fees | | | 15,495 | |
Portfolio accounting fees | | | 8,250 | |
Registration fees | | | 3,396 | |
Professional fees | | | 2,547 | |
Trustees’ fees* | | | 987 | |
Custodian fees | | | 935 | |
Line of credit fees | | | 54 | |
Interest expense | | | 24 | |
Miscellaneous | | | 1,396 | |
Total expenses | | | 99,337 | |
Net investment loss | | | (1,823 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (783,592 | ) |
Swap agreements | | | (2,791,615 | ) |
Net realized loss | | | (3,575,207 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (295,062 | ) |
Swap agreements | | | 874,018 | |
Net change in unrealized appreciation (depreciation) | | | 578,956 | |
Net realized and unrealized loss | | | (2,996,251 | ) |
Net decrease in net assets resulting from operations | | $ | (2,998,074 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (1,823 | ) | | $ | (81,228 | ) |
Net realized gain (loss) on investments | | | (3,575,207 | ) | | | 4,340,653 | |
Net change in unrealized appreciation (depreciation) on investments | | | 578,956 | | | | (166,042 | ) |
Net increase (decrease) in net assets resulting from operations | | | (2,998,074 | ) | | | 4,093,383 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 2,008,573 | | | | 8,376,517 | |
C-Class | | | 443,457 | | | | 412,755 | |
H-Class | | | 145,256,853 | | | | 119,205,321 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (2,263,993 | ) | | | (9,178,674 | ) |
C-Class | | | (373,860 | ) | | | (426,896 | ) |
H-Class | | | (146,662,640 | ) | | | (116,830,877 | ) |
Net increase (decrease) from capital share transactions | | | (1,591,610 | ) | | | 1,558,146 | |
Net increase (decrease) in net assets | | | (4,589,684 | ) | | | 5,651,529 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 7,904,115 | | | | 2,252,586 | |
End of year | | $ | 3,314,431 | | | $ | 7,904,115 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 23,982 | | | | 77,226 | |
C-Class | | | 4,972 | | | | 4,706 | |
H-Class | | | 1,624,614 | | | | 1,339,008 | |
Shares redeemed | | | | | | | | |
A-Class | | | (26,712 | ) | | | (85,834 | ) |
C-Class | | | (4,202 | ) | | | (4,440 | ) |
H-Class | | | (1,641,977 | ) | | | (1,313,520 | ) |
Net increase (decrease) in shares | | | (19,323 | ) | | | 17,146 | |
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 116.33 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.20 | | | $ | 60.99 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.03 | ) | | | (.94 | ) | | | .17 | | | | .40 | | | | (.24 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (48.02 | ) | | | 72.98 | | | | (26.42 | ) | | | (16.58 | ) | | | 26.45 | |
Total from investment operations | | | (48.05 | ) | | | 72.04 | | | | (26.25 | ) | | | (16.18 | ) | | | 26.21 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 68.28 | | | $ | 116.33 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.20 | |
|
Total Returnb | | | (41.30 | %) | | | 162.66 | % | | | (37.27 | %) | | | (18.56 | %) | | | 42.97 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 193 | | | $ | 647 | | | $ | 628 | | | $ | 2,247 | | | $ | 3,187 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.03 | %) | | | (1.10 | %) | | | 0.25 | % | | | 0.54 | % | | | (0.30 | %) |
Total expenses | | | 1.75 | % | | | 1.83 | % | | | 1.86 | % | | | 1.84 | % | | | 1.76 | % |
Portfolio turnover rate | | | 266 | % | | | 632 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 108.94 | | | $ | 41.79 | | | $ | 67.53 | | | $ | 83.55 | | | $ | 58.90 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.48 | ) | | | (1.69 | ) | | | (.28 | ) | | | (.22 | ) | | | (.61 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (44.99 | ) | | | 68.84 | | | | (24.98 | ) | | | (15.80 | ) | | | 25.26 | |
Total from investment operations | | | (45.47 | ) | | | 67.15 | | | | (25.26 | ) | | | (16.02 | ) | | | 24.65 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 63.47 | | | $ | 108.94 | | | $ | 41.79 | | | $ | 67.53 | | | $ | 83.55 | |
|
Total Returnb | | | (41.74 | %) | | | 160.68 | % | | | (37.73 | %) | | | (19.17 | %) | | | 41.87 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 311 | | | $ | 449 | | | $ | 161 | | | $ | 423 | | | $ | 522 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.55 | %) | | | (1.95 | %) | | | (0.44 | %) | | | (0.33 | %) | | | (0.82 | %) |
Total expenses | | | 2.50 | % | | | 2.57 | % | | | 2.60 | % | | | 2.59 | % | | | 2.56 | % |
Portfolio turnover rate | | | 266 | % | | | 632 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
EMERGING MARKETS 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 116.30 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.21 | | | $ | 61.01 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .01 | | | | (1.28 | ) | | | (.05 | ) | | | .50 | | | | (.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (48.05 | ) | | | 73.29 | | | | (26.20 | ) | | | (16.69 | ) | | | 26.45 | |
Total from investment operations | | | (48.04 | ) | | | 72.01 | | | | (26.25 | ) | | | (16.19 | ) | | | 26.20 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.48 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 68.26 | | | $ | 116.30 | | | $ | 44.29 | | | $ | 71.02 | | | $ | 87.21 | |
|
Total Return | | | (41.31 | %) | | | 162.59 | % | | | (37.27 | %) | | | (18.56 | %) | | | 42.95 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,810 | | | $ | 6,808 | | | $ | 1,464 | | | $ | 6,636 | | | $ | 27,270 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.01 | % | | | (1.29 | %) | | | (0.07 | %) | | | 0.71 | % | | | (0.32 | %) |
Total expenses | | | 1.75 | % | | | 1.81 | % | | | 1.87 | % | | | 1.85 | % | | | 1.77 | % |
Portfolio turnover rate | | | 266 | % | | | 632 | % | | | 974 | % | | | 1,978 | % | | | 1,006 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2022, Inverse Emerging Markets 2x Strategy Fund H-Class returned 20.97%, while the underlying index returned -19.52% over the same period.
The Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the underlying index during the period.
The industries that contributed the most to the performance of the underlying index over the past 12 months were oil, gas & consumable fuels; metals & mining, and IT services. The sectors that detracted the most were internet & direct marketing retail, diversified consumer services, and semiconductors & semiconductor equipment.
The stocks that contributed the most to the return of the underlying index over the past 12 months were Infosys Ltd. ADR, Vale S.A. ADR, and Petroleo Brasileiro Preferred S.A. ADR. The stocks that detracted the most were Alibaba Group Holding Ltd., ADR, Taiwan Semiconductor Manufacturing Co. ADR, and Pinduoduo, Inc. ADR - Class A.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | October 29, 2010 |
C-Class | October 29, 2010 |
H-Class | October 29, 2010 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| | THE RYDEX FUNDS ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 20.82% | (24.86%) | (18.38%) |
A-Class Shares with sales charge‡ | 15.08% | (25.59%) | (18.77%) |
C-Class Shares | 21.13% | (25.06%) | (18.78%) |
C-Class Shares with CDSC§ | 20.13% | (25.06%) | (18.78%) |
H-Class Shares | 20.97% | (24.62%) | (18.30%) |
BNY Mellon Emerging Markets 50 ADR Index | (19.52%) | 5.90% | 2.72% |
S&P 500 Index | 15.65% | 15.99% | 14.64% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only: performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
42 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 121.4% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/222 | | $ | 1,051,696 | | | $ | 1,051,696 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/222 | | | 405,066 | | | | 405,066 | |
Barclays Capital, Inc. issued 03/31/22 at 0.24% due 04/01/222 | | | 105,317 | | | | 105,317 | |
Total Repurchase Agreements | | | | |
(Cost $1,562,079) | | | | | | | 1,562,079 | |
| | | | | | | | | |
Total Investments - 121.4% | | | | |
(Cost $1,562,079) | | $ | 1,562,079 | |
Other Assets & Liabilities, net - (21.4)% | | | (275,332 | ) |
Total Net Assets - 100.0% | | $ | 1,286,747 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | Receive | 0.13% (Federal Funds Rate - 0.20%) | | | At Maturity | | | | 04/14/22 | | | | 348 | | | $ | 986,345 | | | $ | 39,035 | |
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | Pay | (0.12)% (Federal Funds Rate - 0.45%) | | | At Maturity | | | | 04/14/22 | | | | 549 | | | | 1,555,018 | | | | 27,378 | |
| | | | | | | | | | | | | | | | | | $ | 2,541,363 | | | $ | 66,413 | |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2022. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | — | | | $ | 1,562,079 | | | $ | — | | | $ | 1,562,079 | |
Equity Index Swap Agreements** | | | — | | | | 66,413 | | | | — | | | | 66,413 | |
Total Assets | | $ | — | | | $ | 1,628,492 | | | $ | — | | | $ | 1,628,492 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Repurchase agreements, at value (cost $1,562,079) | | $ | 1,562,079 | |
Unrealized appreciation on OTC swap agreements | | | 66,413 | |
Receivables: |
Fund shares sold | | | 907,077 | |
Interest | | | 12 | |
Total assets | | | 2,535,581 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 50,000 | |
Payable for: |
Fund shares redeemed | | | 1,080,393 | |
Swap settlement | | | 116,440 | |
Management fees | | | 762 | |
Transfer agent and administrative fees | | | 228 | |
Distribution and service fees | | | 217 | |
Portfolio accounting fees | | | 127 | |
Trustees’ fees* | | | 7 | |
Miscellaneous | | | 660 | |
Total liabilities | | | 1,248,834 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,286,747 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 21,067,998 | |
Total distributable earnings (loss) | | | (19,781,251 | ) |
Net assets | | $ | 1,286,747 | |
| | | | | |
A-Class: |
Net assets | | $ | 14,441 | |
Capital shares outstanding | | | 961 | |
Net asset value per share | | $ | 15.03 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 15.78 | |
| | | | | |
C-Class: |
Net assets | | $ | 6,881 | |
Capital shares outstanding | | | 458 | |
Net asset value per share | | $ | 15.02 | |
| | | | | |
H-Class: |
Net assets | | $ | 1,265,425 | |
Capital shares outstanding | | | 83,416 | |
Net asset value per share | | $ | 15.17 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Interest | | $ | 348 | |
Total investment income | | | 348 | |
| | | | | |
Expenses: |
Management fees | | | 6,285 | |
Distribution and service fees: |
A-Class | | | 29 | |
C-Class | | | 80 | |
H-Class | | | 1,701 | |
Transfer agent and administrative fees | | | 1,932 | |
Portfolio accounting fees | | | 1,049 | |
Professional fees | | | 138 | |
Registration fees | | | 110 | |
Custodian fees | | | 90 | |
Trustees’ fees* | | | 72 | |
Interest expense | | | 11 | |
Miscellaneous | | | 798 | |
Total expenses | | | 12,295 | |
Net investment loss | | | (11,947 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | 101,770 | |
Futures contracts | | | (2,467 | ) |
Net realized gain | | | 99,303 | |
Net change in unrealized appreciation (depreciation) on: |
Swap agreements | | | 28,038 | |
Net change in unrealized appreciation (depreciation) | | | 28,038 | |
Net realized and unrealized gain | | | 127,341 | |
Net increase in net assets resulting from operations | | $ | 115,394 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (11,947 | ) | | $ | (16,822 | ) |
Net realized gain (loss) on investments | | | 99,303 | | | | (1,591,476 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 28,038 | | | | 36,619 | |
Net increase (decrease) in net assets resulting from operations | | | 115,394 | | | | (1,571,679 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 396,475 | | | | 55,618 | |
C-Class | | | 353,966 | | | | 256,178 | |
H-Class | | | 64,024,680 | | | | 66,477,775 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (371,963 | ) | | | (136,743 | ) |
C-Class | | | (351,071 | ) | | | (292,788 | ) |
H-Class | | | (63,288,384 | ) | | | (65,279,241 | ) |
Net increase from capital share transactions | | | 763,703 | | | | 1,080,799 | |
Net increase (decrease) in net assets | | | 879,097 | | | | (490,880 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 407,650 | | | | 898,530 | |
End of year | | $ | 1,286,747 | | | $ | 407,650 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 28,584 | | | | 3,229 | |
C-Class | | | 26,704 | | | | 11,803 | |
H-Class | | | 4,619,960 | | | | 3,478,109 | |
Shares redeemed | | | | | | | | |
A-Class | | | (27,764 | ) | | | (6,225 | ) |
C-Class | | | (26,690 | ) | | | (13,555 | ) |
H-Class | | | (4,568,477 | ) | | | (3,460,171 | ) |
Net increase in shares | | | 52,317 | | | | 13,190 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 12.44 | | | $ | 46.71 | | | $ | 40.57 | | | $ | 39.08 | | | $ | 63.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.23 | ) | | | (.54 | ) | | | (.16 | ) | | | .23 | | | | (.28 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.82 | | | | (33.73 | ) | | | 6.64 | | | | 1.26 | c | | | (24.06 | ) |
Total from investment operations | | | 2.59 | | | | (34.27 | ) | | | 6.48 | | | | 1.49 | | | | (24.34 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 15.03 | | | $ | 12.44 | | | $ | 46.71 | | | $ | 40.57 | | | $ | 39.08 | |
|
Total Returnb | | | 20.82 | % | | | (73.37 | %) | | | 16.30 | % | | | 3.81 | % | | | (38.35 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 14 | | | $ | 2 | | | $ | 147 | | | $ | 16 | | | $ | 43 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.86 | %) | | | (1.81 | %) | | | (0.37 | %) | | | 0.51 | % | | | (0.64 | %) |
Total expenses | | | 1.87 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.76 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 12.40 | | | $ | 46.82 | | | $ | 40.45 | | | $ | 39.34 | | | $ | 64.21 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.36 | ) | | | (.69 | ) | | | (.31 | ) | | | (.29 | ) | | | (.74 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.98 | | | | (33.73 | ) | | | 7.02 | | | | 1.40 | c | | | (24.13 | ) |
Total from investment operations | | | 2.62 | | | | (34.42 | ) | | | 6.71 | | | | 1.11 | | | | (24.87 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 15.02 | | | $ | 12.40 | | | $ | 46.82 | | | $ | 40.45 | | | $ | 39.34 | |
|
Total Returnb | | | 21.13 | % | | | (73.52 | %) | | | 16.96 | % | | | (2.82 | %) | | | (38.77 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7 | | | $ | 6 | | | $ | 103 | | | $ | 3 | | | $ | 19 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.44 | %) | | | (2.62 | %) | | | (1.09 | %) | | | (0.63 | %) | | | (1.46 | %) |
Total expenses | | | 2.48 | % | | | 2.66 | % | | | 2.79 | % | | | 2.53 | % | | | 2.49 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
46 | THE RYDEX FUNDS 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 | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 12.54 | | | $ | 46.39 | | | $ | 40.27 | | | $ | 38.77 | | | $ | 63.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.23 | ) | | | (.42 | ) | | | .07 | | | | .19 | | | | (.30 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.86 | | | | (33.43 | ) | | | 6.39 | | | | 1.31 | c | | | (23.93 | ) |
Total from investment operations | | | 2.63 | | | | (33.85 | ) | | | 6.46 | | | | 1.50 | | | | (24.23 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Total distributions | | | — | | | | — | | | | (.34 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 15.17 | | | $ | 12.54 | | | $ | 46.39 | | | $ | 40.27 | | | $ | 38.77 | |
|
Total Return | | | 20.97 | % | | | (72.97 | %) | | | 16.40 | % | | | 3.87 | % | | | (38.46 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,265 | | | $ | 400 | | | $ | 649 | | | $ | 1,756 | | | $ | 743 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.70 | %) | | | (1.85 | %) | | | 0.19 | % | | | 0.42 | % | | | (0.68 | %) |
Total expenses | | | 1.75 | % | | | 1.89 | % | | | 1.87 | % | | | 1.87 | % | | | 1.77 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss 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 ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2022 |
EMERGING MARKETS BOND STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the emerging markets bond market as defined by the Adviser.
The Emerging Markets Bond Fund H-Class returned -10.93% for the one-year period ended March 31, 2022. By comparison, the ICE Bank of America BBB & Lower Sovereign USD External Debt Index returned -8.10% over the same period.
During 2021, credit default swap spreads were stable for most emerging market countries while global and local events contributed to negative performance for the Fund. Beginning in the fall of 2021, global inflationary pressures started to materialize, increasing credit default swap spreads for some emerging market countries. In the first quarter of 2022, the military conflict in Ukraine led to a further increase in credit default swap spreads. The emerging markets countries that saw some of the largest increases in credit default swap spreads were Russia, Ukraine, and Turkey. During this period, Russia was removed from the credit default swap and the Arab Republic of Egypt was added to the credit default swap.
Argentina, South Africa, and the Kingdom of Saudi Arabia experienced some of the largest decreases in credit default swap spreads. These countries benefited from the increase in commodity prices related to inflationary pressures and an expected decrease in the global supply of commodities.
Derivatives in the Fund were used to help provide efficient exposure to the emerging markets bond market and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | October 8, 2013 |
C-Class | October 8, 2013 |
H-Class | October 8, 2013 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
48 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2022 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2022
| 1 Year | 5 Year | Since
Inception
(10/08/13) |
A-Class Shares | (10.98%) | (0.93%) | 0.01% |
A-Class Shares with sales charge‡ | (15.17%) | (1.89%) | (0.56%) |
C-Class Shares | (11.62%) | (1.67%) | (0.79%) |
C-Class Shares with CDSC§ | (12.47%) | (1.67%) | (0.79%) |
H-Class Shares | (10.93%) | (0.94%) | (0.04%) |
ICE BofA BBB & Lower Sovereign USD External Debt Index | (8.10%) | 0.98% | 3.11% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA BBB & Lower Sovereign USD External Debt Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS | March 31, 2022 |
EMERGING MARKETS BOND STRATEGY FUND | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 0.3% |
U.S. Treasury Bills |
0.12% due 05/05/221,2 | | $ | 2,000 | | | $ | 2,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $2,000) | | | | | | | 2,000 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 49.6% |
J.P. Morgan Securities LLC
issued 03/31/22 at 0.28%
due 04/01/224 | | | 201,227 | | | | 201,227 | |
BofA Securities, Inc.
issued 03/31/22 at 0.25%
due 04/01/224 | | | 77,504 | | | | 77,504 | |
Barclays Capital, Inc.
issued 03/31/22 at 0.24%
due 04/01/224 | | | 20,151 | | | | 20,151 | |
Total Repurchase Agreements | | | | |
(Cost $298,882) | | | | | | | 298,882 | |
| | | | | | | | | |
Total Investments - 49.9% | | | | |
(Cost $300,882) | | $ | 300,882 | |
Other Assets & Liabilities, net - 50.1% | | | 302,168 | |
Total Net Assets - 100.0% | | $ | 603,050 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 5 Year Note Futures Contracts | | | 1 | | | | Jun 2022 | | | $ | 114,555 | | | $ | 6 | |
U.S. Treasury 10 Year Note Futures Contracts | | | 1 | | | | Jun 2022 | | | | 122,765 | | | | (455 | ) |
| | | | | | | | | | | $ | 237,320 | | | $ | (449 | ) |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† | | | | | | | | | | | | | | |
| Counterparty | | Exchange | | Index | | Protection
Premium
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | | Value | | | | Upfront
Premiums
Received | | | | Unrealized
Appreciation** | |
| Barclays Bank plc | | ICE | | CDX.EM.37.V1 | | 1.00% | | Quarterly | | 06/20/27 | | $ | 350,000 | | | $ | (20,475 | ) | | $ | (20,857 | ) | | $ | 382 | |
Total Return Swap Agreements | | | | | | | | | | | | | | | | |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | Invesco Emerging Markets Sovereign Debt ETF | Pay | 0.93% (Federal Funds Rate + 0.60%) | | | At Maturity | | | | 04/28/22 | | | | 13,019 | | | $ | 294,360 | | | $ | 4,758 | |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2022 |
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 March 31, 2022. |
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 equity index swap collateral at March 31, 2022. |
| | CDX.EM.37.V1 — Credit Default Swap Emerging Markets Series 37 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2022 (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 | | $ | — | | | $ | 2,000 | | | $ | — | | | $ | 2,000 | |
Repurchase Agreements | | | — | | | | 298,882 | | | | — | | | | 298,882 | |
Interest Rate Futures Contracts** | | | 6 | | | | — | | | | — | | | | 6 | |
Credit Default Swap Agreements** | | | — | | | | 382 | | | | — | | | | 382 | |
Credit Index Swap Agreements** | | | — | | | | 4,758 | | | | — | | | | 4,758 | |
Total Assets | | $ | 6 | | | $ | 306,022 | | | $ | — | | | $ | 306,022 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Interest Rate Futures Contracts** | | $ | 455 | | | $ | — | | | $ | — | | | $ | 455 | |
Total Liabilities | | $ | 455 | | | $ | — | | | $ | — | | | $ | 455 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
EMERGING MARKETS BOND STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2022 |
Assets: |
Investments, at value (cost $2,000) | | $ | 2,000 | |
Repurchase agreements, at value (cost $298,882) | | | 298,882 | |
Cash | | | 4 | |
Segregated cash with broker | | | 43,700 | |
Unrealized appreciation on OTC swap agreements | | | 4,758 | |
Receivables: |
Fund shares sold | | | 264,684 | |
Swap settlement | | | 11,551 | |
Variation margin on futures contracts | | | 147 | |
Protection fees on credit default swap agreements | | | 61 | |
Total assets | | | 625,787 | |
| | | | | |
Liabilities: |
Unamortized upfront premiums received on credit default swap agreements | | | 20,857 | |
Payable for: |
Fund shares redeemed | | | 997 | |
Variation margin on credit default swap agreements | | | 198 | |
Management fees | | | 170 | |
Distribution and service fees | | | 97 | |
Transfer agent and administrative fees | | | 61 | |
Portfolio accounting fees | | | 34 | |
Trustees’ fees* | | | 5 | |
Miscellaneous | | | 318 | |
Total liabilities | | | 22,737 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 603,050 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 817,072 | |
Total distributable earnings (loss) | | | (214,022 | ) |
Net assets | | $ | 603,050 | |
| | | | | |
A-Class: |
Net assets | | $ | 45,681 | |
Capital shares outstanding | | | 732 | |
Net asset value per share | | $ | 62.44 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 65.55 | |
| | | | | |
C-Class: |
Net assets | | $ | 63,026 | |
Capital shares outstanding | | | 1,096 | |
Net asset value per share | | $ | 57.52 | |
| | | | | |
H-Class: |
Net assets | | $ | 494,343 | |
Capital shares outstanding | | | 7,969 | |
Net asset value per share | | $ | 62.03 | |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2022 |
Investment Income: |
Interest | | $ | 174 | |
Total investment income | | | 174 | |
| | | | | |
Expenses: |
Management fees | | | 3,731 | |
Distribution and service fees: |
A-Class | | | 122 | |
C-Class | | | 656 | |
H-Class | | | 962 | |
Transfer agent and administrative fees | | | 1,393 | |
Portfolio accounting fees | | | 748 | |
Professional fees | | | 189 | |
Trustees’ fees* | | | 73 | |
Custodian fees | | | 66 | |
Miscellaneous | | | 301 | |
Total expenses | | | 8,241 | |
Net investment loss | | | (8,067 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Swap agreements | | | (24,135 | ) |
Futures contracts | | | (8,972 | ) |
Net realized loss | | | (33,107 | ) |
Net change in unrealized appreciation (depreciation) on: |
Swap agreements | | | 6,475 | |
Futures contracts | | | 1,573 | |
Net change in unrealized appreciation (depreciation) | | | 8,048 | |
Net realized and unrealized loss | | | (25,059 | ) |
Net decrease in net assets resulting from operations | | $ | (33,126 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (8,067 | ) | | $ | (16,355 | ) |
Net realized gain (loss) on investments | | | (33,107 | ) | | | 184,128 | |
Net change in unrealized appreciation (depreciation) on investments | | | 8,048 | | | | 7,784 | |
Net increase (decrease) in net assets resulting from operations | | | (33,126 | ) | | | 175,557 | |
| | | | | | | | | |
Distributions to shareholders: | | | | | | | | |
A-Class | | | — | | | | (403 | ) |
C-Class | | | — | | | | (847 | ) |
H-Class | | | — | | | | (6,005 | ) |
Total distributions to shareholders | | | — | | | | (7,255 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 70,844 | | | | 344,712 | |
C-Class | | | 35,000 | | | | — | |
H-Class | | | 3,150,944 | | | | 5,679,241 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 403 | |
C-Class | | | — | | | | 847 | |
H-Class | | | — | | | | 6,005 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (67,827 | ) | | | (1,470,337 | ) |
C-Class | | | (14,478 | ) | | | (17,197 | ) |
H-Class | | | (2,980,902 | ) | | | (5,743,063 | ) |
Net increase (decrease) from capital share transactions | | | 193,581 | | | | (1,199,389 | ) |
Net increase (decrease) in net assets | | | 160,455 | | | | (1,031,087 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 442,595 | | | | 1,473,682 | |
End of year | | $ | 603,050 | | | $ | 442,595 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 993 | | | | 4,998 | |
C-Class | | | 520 | | | | — | |
H-Class | | | 46,834 | | | | 80,788 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 5 | |
C-Class | | | — | | | | 12 | |
H-Class | | | — | | | | 82 | |
Shares redeemed | | | | | | | | |
A-Class | | | (945 | ) | | | (21,600 | ) |
C-Class | | | (221 | ) | | | (255 | ) |
H-Class | | | (43,787 | ) | | | (80,778 | ) |
Net increase (decrease) in shares | | | 3,394 | | | | (16,748 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
EMERGING MARKETS BOND STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.11 | | | $ | 63.93 | | | $ | 74.95 | | | $ | 73.42 | | | $ | 71.93 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.07 | ) | | | (1.14 | ) | | | .03 | | | | .10 | | | | (.55 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (6.60 | ) | | | 8.16 | | | | (4.86 | ) | | | 1.43 | | | | 2.13 | |
Total from investment operations | | | (7.67 | ) | | | 7.02 | | | | (4.83 | ) | | | 1.53 | | | | 1.58 | |
Less distributions from: |
Net investment income | | | — | | | | (.84 | ) | | | (2.36 | ) | | | — | | | | (.09 | ) |
Net realized gains | | | — | | | | — | | | | (3.83 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.84 | ) | | | (6.19 | ) | | | — | | | | (.09 | ) |
Net asset value, end of period | | $ | 62.44 | | | $ | 70.11 | | | $ | 63.93 | | | $ | 74.95 | | | $ | 73.42 | |
|
Total Returnb | | | (10.98 | %) | | | 10.92 | % | | | (7.41 | %) | | | 2.08 | % | | | 2.18 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 46 | | | $ | 48 | | | $ | 1,105 | | | $ | 761 | | | $ | 116 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.54 | %) | | | (1.72 | %) | | | 0.03 | % | | | 0.14 | % | | | (0.74 | %) |
Total expenses | | | 1.57 | % | | | 1.74 | % | | | 1.68 | % | | | 1.66 | % | | | 1.58 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 65.07 | | | $ | 59.82 | | | $ | 71.05 | | | $ | 70.12 | | | $ | 69.22 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.47 | ) | | | (1.56 | ) | | | (.46 | ) | | | (.54 | ) | | | (1.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (6.08 | ) | | | 7.65 | | | | (4.58 | ) | | | 1.47 | | | | 2.05 | |
Total from investment operations | | | (7.55 | ) | | | 6.09 | | | | (5.04 | ) | | | .93 | | | | .99 | |
Less distributions from: |
Net investment income | | | — | | | | (.84 | ) | | | (2.36 | ) | | | — | | | | (.09 | ) |
Net realized gains | | | — | | | | — | | | | (3.83 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.84 | ) | | | (6.19 | ) | | | — | | | | (.09 | ) |
Net asset value, end of period | | $ | 57.52 | | | $ | 65.07 | | | $ | 59.82 | | | $ | 71.05 | | | $ | 70.12 | |
|
Total Returnb | | | (11.62 | %) | | | 10.10 | % | | | (8.13 | %) | | | 1.33 | % | | | 1.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 63 | | | $ | 52 | | | $ | 62 | | | $ | 59 | | | $ | 82 | |
Ratios to average net assets: |
Net investment income (loss) | | | (2.28 | %) | | | (2.36 | %) | | | (0.61 | %) | | | (0.79 | %) | | | (1.49 | %) |
Total expenses | | | 2.31 | % | | | 2.40 | % | | | 2.42 | % | | | 2.37 | % | | | 2.34 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS BOND STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Year Ended
March 31,
2022 | | | Year Ended
March 31,
2021 | | | Year Ended
March 31,
2020 | | | Year Ended
March 31,
2019 | | | Year Ended
March 29,
2018 | |
Per Share Data |
Net asset value, beginning of period | | $ | 69.64 | | | $ | 63.50 | | | $ | 74.52 | | | $ | 72.98 | | | $ | 71.51 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.07 | ) | | | (1.14 | ) | | | .15 | | | | .23 | | | | (.55 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (6.54 | ) | | | 8.12 | | | | (4.98 | ) | | | 1.31 | | | | 2.11 | |
Total from investment operations | | | (7.61 | ) | | | 6.98 | | | | (4.83 | ) | | | 1.54 | | | | 1.56 | |
Less distributions from: |
Net investment income | | | — | | | | (.84 | ) | | | (2.36 | ) | | | — | | | | (.09 | ) |
Net realized gains | | | — | | | | — | | | | (3.83 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.84 | ) | | | (6.19 | ) | | | — | | | | (.09 | ) |
Net asset value, end of period | | $ | 62.03 | | | $ | 69.64 | | | $ | 63.50 | | | $ | 74.52 | | | $ | 72.98 | |
|
Total Return | | | (10.93 | %) | | | 10.93 | % | | | (7.45 | %) | | | 2.11 | % | | | 2.19 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 494 | | | $ | 343 | | | $ | 307 | | | $ | 9,226 | | | $ | 615 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.52 | %) | | | (1.61 | %) | | | 0.20 | % | | | 0.32 | % | | | (0.75 | %) |
Total expenses | | | 1.56 | % | | | 1.65 | % | | | 1.67 | % | | | 1.70 | % | | | 1.58 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (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 March 31, 2022, the Trust consisted of fifty-two funds.
This report covers the following funds (collectively, the “Funds”):
Fund | 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 March 31, 2022, A-Class, C-Class, H-Class, P-Class, 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 March 31, 2022, 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,
56 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (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 March 31, 2022, 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.
58 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 0.33% at March 31, 2022.
(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 may 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (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 Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | $ | 268,786 | | | $ | — | |
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 swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 6,788,216 | | | $ | — | |
Inverse Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 1,541,571 | |
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 281,871 | | | | — | |
The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Long Short Equity Fund | Index exposure, Leverage | | $ | 13,262,458 | | | $ | 15,002,728 | |
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
60 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Sold | | | Protection Purchased | |
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | $ | 345,833 | | | $ | — | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2022:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest Rate futures contracts | Variation margin on futures contracts | — |
Credit/Equity swap contracts | Unrealized appreciation on OTC swap agreements | Unamortized upfront premiums received on credit default swap agreements Unrealized depreciation on OTC 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 March 31, 2022:
Asset Derivative Investments Value |
Fund | | Swaps
Equity
Risk* | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 31,
2022 | |
Long Short Equity Fund | | $ | 673,585 | | | $ | — | | | $ | — | | | $ | 673,585 | |
Emerging Markets 2x Strategy Fund | | | 100,758 | | | | — | | | | — | | | | 100,758 | |
Inverse Emerging Markets 2x Strategy Fund | | | 66,413 | | | | — | | | | — | | | | 66,413 | |
Emerging Markets Bond Strategy Fund | | | — | | | | 6 | | | | 5,140 | | | | 5,146 | |
Liability Derivative Investments Value |
Fund | | Swaps
Equity
Risk* | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 31,
2022 | |
Long Short Equity Fund | | $ | 479,668 | | | $ | — | | | $ | — | | | $ | 479,668 | |
Emerging Markets 2x Strategy Fund | | | 125,667 | | | | — | | | | — | | | | 125,667 | |
Emerging Markets Bond Strategy Fund | | | — | | | | 455 | | | | — | | | | 455 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives 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 RYDEX FUNDS ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2022:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Credit/Equity swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2022:
| 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 | | $ | — | | | $ | (1,691,749 | ) | | $ | — | | | $ | — | | | $ | (1,691,749 | ) |
| Emerging Markets 2x Strategy Fund | | | — | | | | (2,791,615 | ) | | | — | | | | — | | | | (2,791,615 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | (2,467 | ) | | | 101,770 | | | | — | | | | — | | | | 99,303 | |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | (8,972 | ) | | | (24,135 | ) | | | (33,107 | ) |
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 | | $ | — | | | $ | 425,919 | | | $ | — | | | $ | — | | | $ | 425,919 | |
Emerging Markets 2x Strategy Fund | | | — | | | | 874,018 | | | | — | | | | — | | | | 874,018 | |
Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 28,038 | | | | — | | | | — | | | | 28,038 | |
Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 1,573 | | | | 6,475 | | | | 8,048 | |
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 Funds may incur transaction costs in connection with conversions between various currencies. The Funds 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
62 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 63 |
NOTES TO FINANCIAL STATEMENTS (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 | | $ | 673,585 | | | $ | — | | | $ | 673,585 | | | $ | (579,030 | ) | | $ | — | | | $ | 94,555 | |
Emerging Markets 2x Strategy Fund | Swap equity contracts | | | 100,758 | | | | — | | | | 100,758 | | | | — | | | | — | | | | 100,758 | |
Inverse Emerging Markets 2x Strategy Fund | Swap equity contracts | | | 66,413 | | | | — | | | | 66,413 | | | | — | | | | (27,378 | ) | | | 39,035 | |
Emerging Markets Bond Strategy Fund | Credit index swap agreements | | | 4,758 | | | | — | | | | 4,758 | | | | — | | | | — | | | | 4,758 | |
| | | | | | | | | | | | | | | | 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 | | $ | 479,668 | | | $ | — | | | $ | 479,668 | | | $ | (479,668 | ) | | $ | — | | | $ | — | |
Emerging Markets 2x Strategy Fund | Swap equity contracts | | | 125,667 | | | | — | | | | 125,667 | | | | (125,667 | ) | | | — | | | | — | |
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 March 31, 2022.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Inverse Emerging Markets 2x Strategy Fund | Goldman Sachs International | Total return swap agreements | | $ | — | | | $ | 50,000 | |
Emerging Markets Bond Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | 43,700 | | | | — | |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
64 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 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 year ended March 31, 2022, GFD retained sales charges of $136,076 relating to sales of A-Class shares of the Trust.
| | THE RYDEX FUNDS ANNUAL REPORT | 65 |
NOTES TO FINANCIAL STATEMENTS (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 March 31, 2022, 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 Bond | | | | | | | | |
0.28% | | | | | | | | | | 2.38% | | | | | | | | |
Due 04/01/22 | | $ | 151,286,307 | | | $ | 151,287,484 | | | 05/15/51 | | $ | 155,999,600 | | | $ | 154,312,098 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.25% | | | | | | | | | | 1.25% | | | | | | | | |
Due 04/01/22 | | | 58,268,731 | | | | 58,269,135 | | | 04/30/28 | | | 63,485,700 | | | | 59,434,112 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.24% | | | | | | | | | | 0.13% | | | | | | | | |
Due 04/01/22 | | | 15,149,870 | | | | 15,149,971 | | | 01/15/30 | | | 14,626,728 | | | | 15,452,970 | |
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 year 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.
66 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 | | $ | 66,708 | | | $ | (66,708 | ) | | $ | — | | | | $ | 71,513 | | | $ | — | | | $ | 71,513 | |
(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.
The tax character of distributions paid during the year ended March 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Long Short Equity Fund | | $ | 62,617 | | | $ | — | | | $ | 62,617 | |
The tax character of distributions paid during the year ended March 31, 2021 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Long Short Equity Fund | | $ | 74,720 | | | $ | — | | | $ | 74,720 | |
Emerging Markets Bond Strategy Fund | | | 7,255 | | | | — | | | | 7,255 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
| | THE RYDEX FUNDS ANNUAL REPORT | 67 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of March 31, 2022 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Total | |
Long Short Equity Fund | | $ | 13,693 | | | $ | — | | | $ | 1,280,263 | | | $ | (2,467,815 | ) | | $ | (1,173,859 | ) |
Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | (2,395 | ) | | | (13,750,308 | ) | | | (13,752,703 | ) |
Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | 66,413 | | | | (19,847,664 | ) | | | (19,781,251 | ) |
Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 5,139 | | | | (219,161 | ) | | | (214,022 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of March 31, 2022, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | Total | |
| Fund | | Short-Term | | | | Long-Term | | | | Capital Loss
Carryforward | |
| Long Short Equity Fund | $ | (2,467,815 | ) | | $ | — | | | $ | (2,467,815 | ) |
| Emerging Markets 2x Strategy Fund | | (12,587,907 | ) | | | (1,162,401 | ) | | | (13,750,308 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | (18,965,464 | ) | | | (878,736 | ) | | | (19,844,200 | ) |
| Emerging Markets Bond Strategy Fund | | (214,722 | ) | | | (4,439 | ) | | | (219,161 | ) |
For the year ended March 31, 2022, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Long Short Equity Fund | | $ | 1,339,667 | |
Inverse Emerging Markets 2x Strategy Fund | | | 99,303 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts and swap agreements, losses deferred due to wash sales, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, the “mark-to-market” of certain derivatives, and the deferral of qualified late-year losses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 31, 2022 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Emerging Markets 2x Strategy Fund | | $ | (1,823 | ) | | $ | 1,823 | |
Inverse Emerging Markets 2x Strategy Fund | | | (10,718 | ) | | | 10,718 | |
Emerging Markets Bond Strategy Fund | | | (2,917 | ) | | | 2,917 | |
68 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At March 31, 2022, 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 | | $ | 15,197,568 | | | $ | 2,291,285 | | | $ | (1,011,022 | ) | | $ | 1,280,263 | |
| Emerging Markets 2x Strategy Fund | | | 4,036,000 | | | | 290,015 | | | | (292,410 | ) | | | (2,395 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | 1,562,079 | | | | 66,413 | | | | — | | | | 66,413 | |
| Emerging Markets Bond Strategy Fund | | | 300,883 | | | | 5,593 | | | | (454 | ) | | | 5,139 | |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until April 1, 2022:
Fund | | Ordinary | | | Capital | |
Inverse Emerging Markets 2x Strategy Fund | | $ | (3,464 | ) | | $ | — | |
Note 9 – Securities Transactions
For the year ended March 31, 2022, 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 | | $ | 39,423,548 | | | $ | 42,093,037 | |
Emerging Markets 2x Strategy Fund | | | 9,597,075 | | | | 10,606,875 | |
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 year ended March 31, 2022, 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) | |
Emerging Markets 2x Strategy Fund | | $ | — | | | $ | 170,817 | | | $ | 301 | |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.26% for the year ended March 31, 2022. The Funds did not have any borrowings outstanding under this agreement at March 31, 2022.
| | THE RYDEX FUNDS ANNUAL REPORT | 69 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The average daily balances borrowed for the year ended March 31, 2022, were as follows:
Fund | | Average Daily Balance | |
Emerging Markets 2x Strategy Fund | | $ | 4,268 | |
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.
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, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. On March 12, 2021, the
70 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Solicitor General filed an amicus brief recommending that certiorari be denied. Plaintiffs filed a supplemental brief in response to the Solicitor General’s amicus brief on March 31, 2021, and Defendants filed a supplemental brief on April 1, 2021. The Court denied the petition for certiorari on April 19, 2021.
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. On August 20, 2021, the Second Circuit affirmed the District Court’s orders: (1) dismissing the intentional fraudulent conveyance claims against the shareholder-defendants; and (2) denying the plaintiff leave to amend the complaint to add a constructive fraudulent conveyance claim against the shareholder-defendants. Plaintiff filed a petition for rehearing en banc on September 3, 2021. On October 7, 2021, the Second Circuit denied the petition. On January 5, 2022, Plaintiff filed a petition for certiorari in the U.S. Supreme Court. That petition was denied on February 22, 2022.
As a result of the dismissals above, there are no longer claims pending against Rydex Series Funds related to the Tribune LBO.
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 Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently,
| | THE RYDEX FUNDS ANNUAL REPORT | 71 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
Note 13 – Subsequent Events
On May 25, 2022, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This arrangement will take effect on August 1, 2022 and the end of the initial term is August 1, 2023. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board of Trustees upon sixty days’ written notice.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
72 | THE RYDEX FUNDS ANNUAL REPORT | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Long Short Equity Fund, Rydex Emerging Markets 2x Strategy Fund, Rydex Inverse Emerging Markets 2x Strategy Fund and Rydex Emerging Markets Bond Strategy Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Long Short Equity Fund, Rydex Emerging Markets 2x Strategy Fund, Rydex Inverse Emerging Markets 2x Strategy Fund and Rydex Emerging Markets Bond Strategy Fund (collectively referred to as the “Funds”), (four of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Rydex Series Funds) at March 31, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 26, 2022
| | THE RYDEX FUNDS ANNUAL REPORT | 73 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2022, the following fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Fund | | Qualified
Dividend
Income | | | Dividend
Received
Deduction | |
Long Short Equity Fund | | | 100.00 | % | | | 100.00 | % |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
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 may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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.
74 | THE RYDEX FUNDS ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge, upon request, 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 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). | 155 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
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). | 154 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
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 | | | |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present). | 154 | Current: US Global Investors, Inc. (GROW) (1995-present).
Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 155 | Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
76 | THE RYDEX FUNDS 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). | 154 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020). |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 77 |
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). | 154 | Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active 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. |
78 | THE RYDEX FUNDS 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 President of Mutual Funds Boards, 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); Managing 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 (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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 79 |
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: Director, 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. |
80 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | THE RYDEX FUNDS ANNUAL REPORT | 81 |
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
82 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
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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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended March 31, 2022 and March 31, 2021 were $893,061 and $893,061, respectively.
(b) Audit Related Fees. The aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item for the fiscal years ended March 31, 2022 and March 31, 2021 were $0 and $0, respectively.
The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended March 31, 2022 and March 31, 2021 were $0 and $0, respectively.
(c) Tax Fees: The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended March 31, 2022 and March 31, 2021 were $451,975 and $440,430, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations.
(d) All Other Fees. The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended March 31, 2022 and March 31, 2021 were $0 and $0, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures.
(1) Audit Committee pre-approval policies and procedures:
To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:
1. Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X).
(a) The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”).
(b) The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.
(c) For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee.
(d) For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.
(e) All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee.
(f) The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).
2. Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X).
(a) The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting.
(b) For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.
a. Pre-Approval Requirements
i. Categories of Services to be Reviewed and Considered for Pre-Approval
1. Audit Services
a. Annual financial statement audits
b. Seed audits (related to new product filings, as required)
c. SEC and regulatory filings and consents
2. Audit-Related Services
a. Accounting consultations
b. Fund merger/reorganization support services
c. Other accounting related matters
d. Agreed upon procedures reports
e. Attestation reports
f. Other internal control reports
3. Tax Services
a. Recurring tax services:
i. Preparation of Federal and state income tax returns, including extensions
ii. Preparation of calculations of taxable income, including fiscal year tax designations
iii. Preparation of annual Federal excise tax returns (if applicable)
iv. Preparation of calendar year excise distribution calculations
v. Calculation of tax equalization on an as-needed basis
vi. Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds
vii. Preparation of the estimated excise distribution calculations on an as-needed basis
viii.Preparation of calendar year shareholder reporting designations on Form 1099
ix. Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis
x. Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes
xi. Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes
b. Permissible non-recurring tax services upon request:
i. Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards
ii. Assistance with corporate actions and tax treatment of complex securities and structured products
iii. Assistance with IRS ruling requests and calculation of deficiency dividends
iv. Conduct training sessions for the Adviser’s internal tax resources
v. Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions
vi. Tax services related to amendments to Federal, state and local returns and sales and use tax compliance
vii. RIC qualification reviews
viii.Tax distribution analysis and planning
ix. Tax authority examination services
x. Tax appeals support services
xi. Tax accounting methods studies
xii. Fund merger, reorganization and liquidation support services
xiii.Tax compliance, planning and advice services and related projects
xiv. Assistance with out of state residency status
xv. Provision of tax compliance services in India for Funds with direct investments in India
(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X
(f) Not applicable.
(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $451,975 and $440,430, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.
(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
Item 11. Controls and Procedures.
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that 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) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Rydex Series Funds | |
| | | |
| By (Signature and Title)* | /s/ Brian E. Binder | |
| | Brian E. Binder, President and Chief Executive Officer | |
| | | |
| Date | June 9, 2022 | |
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 | June 9, 2022 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer | |
| | | |
| Date | June 9, 2022 | |
| * | Print the name and title of each signing officer under his or her signature. |
