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
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Rydex Series Funds
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(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
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(Address of principal executive offices) (Zip code)
Carl G. Verboncoeur
Rydex Series Funds
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
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(Name and address of agent for service)
Registrant's telephone number, including area code: 301-296-5100
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Date of fiscal year end: March 31, 2006
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Date of reporting period: September 30, 2006
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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. ss. 3507.
Item 1. Reports to Stockholders.
SEPTEMBER 30, 2006
RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
BENCHMARK FUNDS
NOVA FUND
S&P 500 FUND
INVERSE S&P 500 FUND
OTC FUND
INVERSE OTC FUND
MID-CAP ADVANTAGE FUND
INVERSE MID-CAP FUND
RUSSELL 2000(R) ADVANTAGE FUND
RUSSELL 2000(R) FUND
INVERSE RUSSELL 2000(R) FUND
GOVERNMENT LONG BOND ADVANTAGE FUND
INVERSE GOVERNMENT LONG BOND FUND
EUROPE ADVANTAGE FUND
JAPAN ADVANTAGE FUND
SMALL-CAP VALUE FUND
MID-CAP VALUE FUND
LARGE-CAP VALUE FUND
SMALL-CAP GROWTH FUND
MID-CAP GROWTH FUND
LARGE-CAP GROWTH FUND
DYNAMIC STRENGTHENING DOLLAR FUND
DYNAMIC WEAKENING DOLLAR FUND
U.S. GOVERNMENT MONEY MARKET FUND
NOVA MASTER PORTFOLIO
INVERSE S&P 500 MASTER PORTFOLIO
INVERSE OTC MASTER PORTFOLIO
INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO
[LOGO] RYDEXINVESTMENTS
Essential for modern markets(TM)
This report and the financial statements contained herein are submitted for the
general information of our shareholders. The report is not authorized for
distribution to prospective investors unless preceded or accompanied by an
effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
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LETTER TO OUR SHAREHOLDERS ................................................ 2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS ................................ 3
ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 4
FUND PROFILES ............................................................. 9
SCHEDULES OF INVESTMENTS .................................................. 22
BENCHMARK FUNDS
STATEMENTS OF ASSETS AND LIABILITIES .................................. 92
STATEMENTS OF OPERATIONS .............................................. 96
STATEMENTS OF CHANGES IN NET ASSETS ................................... 100
FINANCIAL HIGHLIGHTS .................................................. 108
BENCHMARK PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES .................................. 120
STATEMENTS OF OPERATIONS .............................................. 121
STATEMENTS OF CHANGES IN NET ASSETS ................................... 122
FINANCIAL HIGHLIGHTS .................................................. 124
NOTES TO FINANCIAL STATEMENTS ............................................. 125
OTHER INFORMATION ......................................................... 137
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 140
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
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DEAR SHAREHOLDER:
Financial markets over the six-months ended September 30, 2006, were driven by a
widely anticipated "soft-landing" in the U.S. economy. This "goldilocks"
scenario had economic growth slowing, inflation and interest rates coming down
and the Federal Reserve ("Fed") ending its protracted string of increases. In
this environment, stocks rallied as corporate earnings continued to grow at
double digit rates without competition from higher interest rates. The icing on
the cake was relief from higher energy prices, which had risen relentlessly
since 2005.
While the rally in stocks was fairly broad-based, it definitely exhibited a
defensive bias. Large caps, value stocks and traditionally defensive sectors
generally outperformed small caps, growth stocks and more aggressive sectors.
This pattern is perfectly in keeping with the "late cycle" nature of the stock
market rally. Investors wanted to ride prices up, but wanted to hedge their bets
at the same time.
The large-cap nature of the rally was clearly evident in the performance of the
major averages. The home of the country's industrial giants--the Dow Jones
Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R)
Index, which returned 4.14%. If we look at the extremes of the capitalization
spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM)
Index returned 7.13% for the six month period versus a LOSS of 4.61% for the
small-cap Russell 2000(R) Index.
In a defensive rally, investors are often wary of overpaying for stocks. That
was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a
0.7% decline for the Russell 1000(R) Growth Index. Although developed market
international stocks did well as the MSCI EAFE Index gained 3.2%, emerging
market stocks fared poorly as the MSCI EM Index fell 1.2%.
A major catalyst for the rally in stocks was the rally in bonds. While yields on
the short end of the curve actually rose, longer dated maturities rallied with
the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85%
during the six-month period. The catalyst for falling rates was the decline in
inflation and the Fed's pause from its extended interest rate increases. The
result was a steeply inverted yield curve. Historically, inverted yield curves
presage an economic slowdown or recession. While that remains a possibility, the
decline in long-term rates also signals the market's anticipation of an eventual
easing campaign by the Fed.
The performance of stocks at the sector level highlighted the defensive bias
towards the gains in stock prices over the past six months. The S&P 500
Utilities sector led the way with a gain of 10.2%. Although telecommunications
services, a more aggressive sector, was number two with a gain of 8.1%, consumer
staples and financials were the next best performers, gaining 7.5% and 6.5%,
respectively. It is worth noting that falling interest rates also helped both
financials and utilities. Sectors that typically perform well in a rapidly
expanding economic environment, specifically materials, industrials and
technology declined between 1.0% and 2.3% as the economy slowed.
Going into the fourth quarter, we expect that Gross Domestic Product will pick
up slightly, the Fed will remain on hold and equities will remain range-bound.
As we head into 2007, we also see the appetite for risk continuing to decline.
We appreciate the trust you have placed in our firm by investing with us.
Sincerely,
/s/ David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (UNAUDITED)
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Many of the Rydex Funds described in this report are benchmarked daily to
leveraged or inverse versions of published indices. To properly evaluate the
performance of these funds, it is essential to understand the effect of
mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible
for a fund to perform in line with its benchmark for several individual periods
in a row, yet seem to trail the benchmark over the entire period. It is also
possible that a fund that performs in-line with its benchmark on a daily basis
may seem to outperform its benchmark over longer periods.
AN EXAMPLE OF COMPOUNDING
For example, consider a hypothetical fund that is designed to produce returns
that correspond to 150% of an index. On the first day of a period, the index
rises from a level of 100 to a level of 106, producing a 6% gain and an
expectation that the fund will rise by 9%. On the same day, the fund's net asset
value ("NAV") increases from $10.00 to $10.90 for a gain of 9.0%-in line with
its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The
fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund
performed exactly in line with its benchmark, but for the two-day period, the
fund was down 1.8%, while the index was down only 1.0%. Without taking into
account the daily compounding of returns, one would expect the fund to lose 1.5%
and would see the fund as trailing by 0.3% when in fact it had performed
perfectly. This example is summarized in the table below.
INDEX INDEX FUND FUND
LEVEL PERFORMANCE EXPECTATION FUND NAV PERFORMANCE ASSESSMENT
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Start 100 $10.00
Day 1 106 6.00% 9.00% $10.90 9.00% In line
Day 2 99 -6.60% -9.90% $ 9.82 -9.90% In line
Cumulative -1.00% -1.50% -1.80% -0.30%
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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.
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.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)
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All mutual funds have operating expenses and it is important for our
shareholders to understand the impact of costs on their investments. As a
shareholder of the fund, you incur two types of costs: (i) transaction costs,
including sales charges (loads) on purchase payments, reinvested dividends, or
other distributions; redemption fees; 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 you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the
period and held for the entire six-month period beginning March 31, 2006 and
ending September 30, 2006.
The following tables illustrate your fund's costs in two ways:
TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown
is derived from the fund's actual return, and the fourth column shows the
dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the
period. Simply divide your 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 given for your fund under the heading "Expenses Paid During
Period."
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your 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 you 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. You can assess your fund's
costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are charged
an annual $15 maintenance fee. Upon liquidating your retirement account, a $15
account-closing fee will be taken from the proceeds of your redemption.
The calculations above assume no shares were bought or sold during the period.
Your actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help you
compare ongoing costs only and do not reflect any transactional costs which may
be incurred by some of the Fund's classes. These costs may include, but are not
limited to, sales charges (loads), redemption fees, and exchange fees.
You can find more information about the Fund's expenses, including annual
expense ratios for the past five years, in the Financial Highlights section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate Fund prospectus.
4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
NOVA FUND
Investor Class 1.26%++ $1,000.00 $1,037.40 $ 6.42
Advisor Class 1.75%++ 1,000.00 1,035.00 8.91
A-Class 1.50%++ 1,000.00 1,035.90 7.64
C-Class 2.25%++ 1,000.00 1,032.10 11.45
S&P 500 FUND**
A-Class 1.58% 1,000.00 1,048.00 8.11
C-Class 2.31% 1,000.00 1,045.60 11.85
H-Class 1.55% 1,000.00 1,047.60 7.96
INVERSE S&P 500 FUND
Investor Class 1.39%++ 1,000.00 996.30 6.96
Advisor Class 1.89%++ 1,000.00 994.80 9.45
A-Class 1.64%++ 1,000.00 994.80 8.20
C-Class 2.39%++ 1,000.00 990.80 11.93
OTC FUND
Investor Class 1.23% 1,000.00 967.40 6.07
Advisor Class 1.74% 1,000.00 964.20 8.57
A-Class 1.48% 1,000.00 965.30 7.29
C-Class 2.22% 1,000.00 961.80 10.92
INVERSE OTC FUND
Investor Class 1.41%++ 1,000.00 1,058.70 7.28
Advisor Class 1.91%++ 1,000.00 1,056.30 9.85
A-Class 1.66%++ 1,000.00 1,056.90 8.56
C-Class 2.41%++ 1,000.00 1,053.80 12.41
MID-CAP ADVANTAGE FUND
A-Class 1.66% 1,000.00 914.50 7.97
C-Class 2.40% 1,000.00 911.10 11.50
H-Class 1.66% 1,000.00 914.40 7.97
INVERSE MID-CAP FUND
A-Class 1.67% 1,000.00 1,071.30 8.67
C-Class 2.43% 1,000.00 1,066.70 12.59
H-Class 1.67% 1,000.00 1,071.30 8.67
RUSSELL 2000(R) ADVANTAGE FUND
A-Class 1.65% 1,000.00 905.40 7.88
C-Class 2.39% 1,000.00 902.00 11.40
H-Class 1.63% 1,000.00 905.70 7.79
RUSSELL 2000(R) FUND**
A-Class 1.55% 1,000.00 1,007.60 7.80
C-Class 2.47% 1,000.00 1,005.60 12.42
H-Class 1.53% 1,000.00 1,007.60 7.70
INVERSE RUSSELL 2000(R) FUND
A-Class 1.68% 1,000.00 1,068.50 8.71
C-Class 2.42% 1,000.00 1,064.30 12.52
H-Class 1.66% 1,000.00 1,068.40 8.61
GOVERNMENT LONG BOND ADVANTAGE FUND
Investor Class 0.97% 1,000.00 1,048.30 4.98
Advisor Class 1.47% 1,000.00 1,039.90 7.52
A-Class 1.22% 1,000.00 1,048.00 6.26
C-Class 1.96% 1,000.00 1,043.20 10.04
INVERSE GOVERNMENT LONG BOND FUND
Investor Class 5.02%++*** 1,000.00 986.80 25.00
Advisor Class 5.51%++*** 1,000.00 984.60 27.41
A-Class 5.27%++*** 1,000.00 985.70 26.23
C-Class 6.01%++*** 1,000.00 981.90 29.86
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
A-Class 1.54% $1,000.00 $1,069.30 $ 7.99
C-Class 2.35% 1,000.00 1,065.50 12.17
H-Class 1.67% 1,000.00 1,069.80 8.67
JAPAN ADVANTAGE FUND
A-Class 1.66% 1,000.00 920.20 7.99
C-Class 2.39% 1,000.00 916.60 11.48
H-Class 1.64% 1,000.00 920.30 7.89
SMALL-CAP VALUE FUND
A-Class 1.53% 1,000.00 950.60 7.48
C-Class 2.24% 1,000.00 946.70 10.93
H-Class 1.48% 1,000.00 950.30 7.24
MID-CAP VALUE FUND
A-Class 1.51% 1,000.00 1,002.80 7.58
C-Class 2.25% 1,000.00 999.40 11.28
H-Class 1.50% 1,000.00 1,003.10 7.53
LARGE-CAP VALUE FUND
A-Class 1.51% 1,000.00 1,042.90 7.73
C-Class 2.24% 1,000.00 1,038.70 11.45
H-Class 1.52% 1,000.00 1,042.90 7.78
SMALL-CAP GROWTH FUND
A-Class 1.50% 1,000.00 907.00 7.17
C-Class 2.25% 1,000.00 903.50 10.74
H-Class 1.49% 1,000.00 907.00 7.12
MID-CAP GROWTH FUND
A-Class 1.51% 1,000.00 902.60 7.20
C-Class 2.24% 1,000.00 899.30 10.67
H-Class 1.49% 1,000.00 903.00 7.11
LARGE-CAP GROWTH FUND
A-Class 1.53% 1,000.00 982.00 7.60
C-Class 2.30% 1,000.00 977.90 11.40
H-Class 1.54% 1,000.00 982.00 7.65
DYNAMIC STRENGTHENING DOLLAR FUND
A-Class 1.67% 1,000.00 952.40 8.17
C-Class 2.42% 1,000.00 948.50 11.82
H-Class 1.67% 1,000.00 952.40 8.17
DYNAMIC WEAKENING DOLLAR FUND
A-Class 1.67% 1,000.00 1,074.00 8.68
C-Class 2.42% 1,000.00 1,070.10 12.56
H-Class 1.67% 1,000.00 1,074.00 8.68
U.S. GOVERNMENT MONEY MARKET FUND
Investor Class 0.91% 1,000.00 1,020.40 4.61
Advisor Class 1.41% 1,000.00 1,017.90 7.13
A-Class 1.16% 1,000.00 1,019.20 5.87
C-Class 1.91% 1,000.00 1,015.40 9.65
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
NOVA FUND
Investor Class 1.26%++ $1,000.00 $1,018.67 $ 6.40
Advisor Class 1.75%++ 1,000.00 1,016.18 8.88
A-Class 1.50%++ 1,000.00 1,017.45 7.61
C-Class 2.25%++ 1,000.00 1,013.65 11.42
S&P 500 FUND**
A-Class 1.58% 1,000.00 1,017.05 8.02
C-Class 2.31% 1,000.00 1,013.34 11.73
H-Class 1.55% 1,000.00 1,017.20 7.87
INVERSE S&P 500 FUND
Investor Class 1.39%++ 1,000.00 1,018.01 7.06
Advisor Class 1.89%++ 1,000.00 1,015.47 9.59
A-Class 1.64%++ 1,000.00 1,016.74 8.33
C-Class 2.39%++ 1,000.00 1,012.94 12.13
OTC FUND
Investor Class 1.23% 1,000.00 1,018.82 6.24
Advisor Class 1.74% 1,000.00 1,016.24 8.83
A-Class 1.48% 1,000.00 1,017.56 7.51
C-Class 2.22% 1,000.00 1,013.80 11.27
INVERSE OTC FUND
Investor Class 1.41%++ 1,000.00 1,017.91 7.16
Advisor Class 1.91%++ 1,000.00 1,015.37 9.70
A-Class 1.66%++ 1,000.00 1,016.64 8.43
C-Class 2.41%++ 1,000.00 1,012.83 12.23
MID-CAP ADVANTAGE FUND
A-Class 1.66% 1,000.00 1,016.64 8.43
C-Class 2.40% 1,000.00 1,012.88 12.18
H-Class 1.66% 1,000.00 1,016.64 8.43
INVERSE MID-CAP FUND
A-Class 1.67% 1,000.00 1,016.59 8.48
C-Class 2.43% 1,000.00 1,012.73 12.34
H-Class 1.67% 1,000.00 1,016.59 8.48
RUSSELL 2000(R) ADVANTAGE FUND
A-Class 1.65% 1,000.00 1,016.69 8.38
C-Class 2.39% 1,000.00 1,012.94 12.13
H-Class 1.63% 1,000.00 1,016.79 8.27
RUSSELL 2000(R) FUND**
A-Class 1.55% 1,000.00 1,017.20 7.87
C-Class 2.47% 1,000.00 1,012.53 12.54
H-Class 1.53% 1,000.00 1,017.30 7.77
INVERSE RUSSELL 2000(R) FUND
A-Class 1.68% 1,000.00 1,016.54 8.53
C-Class 2.42% 1,000.00 1,012.78 12.29
H-Class 1.66% 1,000.00 1,016.64 8.43
GOVERNMENT LONG BOND ADVANTAGE FUND
Investor Class 0.97% 1,000.00 1,020.14 4.92
Advisor Class 1.47% 1,000.00 1,017.61 7.46
A-Class 1.22% 1,000.00 1,018.88 6.19
C-Class 1.96% 1,000.00 1,015.12 9.95
INVERSE GOVERNMENT LONG BOND FUND
Investor Class 5.02%++*** 1,000.00 999.58 25.48
Advisor Class 5.51%++*** 1,000.00 997.10 27.97
A-Class 5.27%++*** 1,000.00 998.32 26.75
C-Class 6.01%++*** 1,000.00 994.56 30.51
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
A-Class 1.54% $1,000.00 $1,017.25 $ 7.82
C-Class 2.35% 1,000.00 1,013.14 11.93
H-Class 1.67% 1,000.00 1,016.59 8.48
JAPAN ADVANTAGE FUND
A-Class 1.66% 1,000.00 1,016.64 8.43
C-Class 2.39% 1,000.00 1,012.94 12.13
H-Class 1.64% 1,000.00 1,016.74 8.33
SMALL-CAP VALUE FUND
A-Class 1.53% 1,000.00 1,017.30 7.77
C-Class 2.24% 1,000.00 1,013.70 11.37
H-Class 1.48% 1,000.00 1,017.56 7.51
MID-CAP VALUE FUND
A-Class 1.51% 1,000.00 1,017.40 7.67
C-Class 2.25% 1,000.00 1,013.65 11.42
H-Class 1.50% 1,000.00 1,017.45 7.61
LARGE-CAP VALUE FUND
A-Class 1.51% 1,000.00 1,017.40 7.67
C-Class 2.24% 1,000.00 1,013.70 11.37
H-Class 1.52% 1,000.00 1,017.35 7.72
SMALL-CAP GROWTH FUND
A-Class 1.50% 1,000.00 1,017.45 7.61
C-Class 2.25% 1,000.00 1,013.65 11.42
H-Class 1.49% 1,000.00 1,017.50 7.56
MID-CAP GROWTH FUND
A-Class 1.51% 1,000.00 1,017.40 7.67
C-Class 2.24% 1,000.00 1,013.70 11.37
H-Class 1.49% 1,000.00 1,017.50 7.56
LARGE-CAP GROWTH FUND
A-Class 1.53% 1,000.00 1,017.30 7.77
C-Class 2.30% 1,000.00 1,013.39 11.68
H-Class 1.54% 1,000.00 1,017.25 7.82
DYNAMIC STRENGTHENING DOLLAR FUND
A-Class 1.67% 1,000.00 1,016.59 8.48
C-Class 2.42% 1,000.00 1,012.78 12.29
H-Class 1.67% 1,000.00 1,016.59 8.48
DYNAMIC WEAKENING DOLLAR FUND
A-Class 1.67% 1,000.00 1,016.59 8.48
C-Class 2.42% 1,000.00 1,012.78 12.29
H-Class 1.67% 1,000.00 1,016.59 8.48
U.S. GOVERNMENT MONEY MARKET FUND
Investor Class 0.91% 1,000.00 1,020.45 4.62
Advisor Class 1.41% 1,000.00 1,017.91 7.16
A-Class 1.16% 1,000.00 1,019.18 5.89
C-Class 1.91% 1,000.00 1,015.37 9.70
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY
THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF
DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365.
** SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
*** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE INTEREST EXPENSE FROM
SECURITIES SOLD SHORT. EXCLUDING SHORT INTEREST DIVIDENDS, THE OPERATING
EXPENSE RATIOS WOULD BE REDUCED BY 3.66%.
+ ANNUALIZED
++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER
PORTFOLIO.
8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
NOVA FUND
OBJECTIVE: To provide investment results that match 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.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
NOVA FUND S&P 500 INDEX
--------- -------------
Other 7.1% 8.8%
Financials 16.3% 21.2%
Information Technology 11.4% 15.7%
Health Care 10.3% 12.8%
Industrials 7.4% 11.6%
Energy 6.9% 10.3%
Consumer Discretionary 8.8% 10.0%
Consumer Staples 7.1% 9.6%
Futures Contracts 20.5%
Equity Index Swap Agreements 54.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class July 12, 1993
Advisor Class October 15, 1998
A-Class March 31, 2004
C-Class March 14, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Exxon Mobil Corp. 2.3%
General Electric Co. 2.0%
Bank of America Corp. 1.8%
J.P. Morgan Chase & Co. 1.3%
Altria Group, Inc. 1.3%
Citigroup, Inc. 1.2%
Microsoft Corp. 1.2%
International Business Machines Corp. 1.1%
Pfizer, Inc. 1.1%
Wells Fargo & Co. 1.1%
- --------------------------------------------------------
Top Ten Total 14.4%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
S&P 500 FUND
OBJECTIVE: To provide investment results that match the performance of a
specific benchmark on a daily basis. The Fund's current benchmark is the S&P 500
Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P 500 FUND S&P 500 INDEX
------------ -------------
Other 19.5% 8.8%
Financials 6.9% 21.2%
Information Technology 4.8% 15.7%
Health Care 12.8%
Industrials 11.6%
Energy 10.3%
Consumer Discretionary 10.0%
Consumer Staples 9.6%
Futures Contracts 16.7%
Equity Index Swap Agreements 52.1%
"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)
- --------------------------------------------------------
Exxon Mobil Corp. 1.0%
General Electric Co. 0.9%
Citigroup, Inc. 0.6%
Bank of America Corp. 0.6%
Microsoft Corp. 0.6%
Pfizer, Inc. 0.5%
Procter & Gamble Co. 0.5%
Johnson & Johnson, Inc. 0.5%
American International Group, Inc. 0.4%
J.P. Morgan Chase & Co. 0.4%
- --------------------------------------------------------
Top Ten Total 6.0%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE S&P 500 FUND
OBJECTIVE: To provide investment results that will inversely correlate to the
performance of the S&P 500 Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE S&P 500 FUND S&P 500 INDEX
-------------------- -------------
Other 8.8%
Financials 21.2%
Information Technology 15.7%
Health Care 12.8%
Industrials 11.6%
Consumer Discretionary 10.0%
Energy 10.3%
Consumer Staples 9.6%
Futures Contracts Sold Short -7.3%
Equity Index Swap Agreements Sold Short -92.5%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class January 7, 1994
Advisor Class August 5, 1998
A-Class March 31, 2004
C-Class March 15, 2001
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
OTC FUND
OBJECTIVE: To provide investment results that correspond to a benchmark for
over-the-counter securities. The Fund's current benchmark is the Nasdaq 100
Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
OTC FUND NASDAQ 100 INDEX
-------- ----------------
Other 6.9% 9.2%
Information Technology 59.3% 60.4%
Consumer Discretionary 15.0% 16.0%
Health Care 13.5% 14.3%
Futures Contracts 4.5%
Equity Index Swap Agreements 1.0%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class February 14, 1994
Advisor Class September 22, 1998
A-Class March 31, 2004
C-Class March 26, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Apple Computer, Inc. 6.2%
Microsoft Corp. 5.9%
Qualcomm, Inc. 5.0%
Google, Inc. -- Class A 3.5%
Cisco Systems, Inc. 3.5%
Amgen, Inc. 3.2%
Oracle Corp. 2.7%
Intel Corp. 2.6%
Comcast Corp. -- Class A 2.5%
Starbucks Corp. 2.5%
- --------------------------------------------------------
Top Ten Total 37.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE OTC FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark. The Fund's current benchmark is the inverse of the
performance of the Nasdaq 100 Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE OTC FUND NASDAQ 100 INDEX
---------------- ----------------
Other 8.5%
Information Technology 60.4%
Consumer Discretionary 16.0%
Health Care 14.3%
Futures Contracts Short Sales -5.5%
Equity Index Swap Agreements Short Sales -95.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class September 3, 1998
Advisor Class August 1, 2003
A-Class March 31, 2004
C-Class March 7, 2001
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
MID-CAP ADVANTAGE FUND
OBJECTIVE: To provide investment results that correlate to the performance of a
specific benchmark for mid-cap securities. The Fund's current benchmark is the
S&P MidCap 400 Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX
---------------------- --------------------
Other 6.8% 2.4%
Financials 16.8% 17.8%
Information Technology 13.7% 16.5%
Industrials 14.2% 14.5%
Consumer Discretionary 13.7% 14.4%
Energy 7.9% 10.5%
Health Care 10.0% 10.0%
Utilities 7.6% 9.0%
Materials 5.0%
Futures Contracts 18.4%
Equity Index Swap Agreements 40.9%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class August 20, 2001
H-Class August 16, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Peabody Energy Corp. 1.1%
Noble Energy, Inc. 1.1%
Lam Research Corp. 1.0%
American Eagle Outfitters, Inc. 1.0%
W.R. Berkley Corp. 1.0%
Michaels Stores, Inc. 1.0%
Macerich Co. 0.9%
Manpower, Inc. 0.9%
Health Net, Inc. 0.9%
Old Republic International Corp. 0.9%
- --------------------------------------------------------
Top Ten Total 9.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE MID-CAP FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark. The Fund's current benchmark is the inverse of the
performance of the S&P MidCap 400 Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE MID-CAP S&P MIDCAP 400
FUND INDEX
----------------- ----------------
Other 2.4%
Financials 17.8%
Information Technology 16.5%
Industrials 14.5%
Consumer Discretionary 14.4%
Energy 10.5%
Health Care 10.0%
Utilities 9.0%
Materials 5.0%
Futures Contracts Short Sales -31.1%
Equity Index Swap Agreements Short Sales -68.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class February 20, 2004
H-Class February 20, 2004
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
RUSSELL 2000(R) ADVANTAGE FUND
OBJECTIVE: To provide investment results that correlate to the performance of a
specific benchmark for small-cap securities. The Fund's current benchmark is the
Russell 2000(R) Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
RUSSELL 2000(R) RUSSELL 2000(R)
ADVANTAGE FUND INDEX
----------------- -----------------
Other 11.6% 9.0%
Financials 15.9% 19.4%
Information Technology 13.3% 19.1%
Consumer Discretionary 11.1% 17.0%
Industrials 9.7% 12.4%
Health Care 8.6% 11.5%
Materials 6.1%
Energy 5.7%
Futures Contracts 22.5%
Equity Index Swap Agreements 57.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class January 23, 2001
H-Class November 1, 2000
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Cathay General Bancorp 0.2%
Umpqua Holdings Corp. 0.2%
Westamerica Bancorporation 0.2%
UCBH Holdings, Inc. 0.2%
Alexandria Real Estate Equities, Inc. 0.2%
Phillips-Van Heusen Corp. 0.2%
Big Lots, Inc. 0.2%
International Bancshares Corp. 0.2%
Greater Bay Bancorp 0.2%
Realty Income Corp. 0.2%
- --------------------------------------------------------
Top Ten Total 2.0%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark on a daily basis. The Fund's current benchmark is the Russell
2000(R) Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX
-------------------- ---------------------
Other 7.4% 9.0%
Financials 10.1% 19.4%
Information Technology 8.5% 19.1%
Consumer Discretionary 7.1% 17.0%
Industrials 6.2% 12.4%
Health Care 5.5% 11.5%
Materials 6.1%
Energy 5.7%
Consumer Staples
Futures Contracts 23.9%
Equity Index Swap Agreements 31.3%
"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)
- --------------------------------------------------------
Cathay General Bancorp 0.2%
Umpqua Holdings Corp. 0.1%
Westamerica Bancorporation 0.1%
Alexandria Real Estate Equities, Inc. 0.1%
UCBH Holdings, Inc. 0.1%
Phillips-Van Heusen Corp. 0.1%
International Bancshares Corp. 0.1%
Big Lots, Inc. 0.1%
Hologic, Inc. 0.1%
Greater Bay Bancorp 0.1%
- --------------------------------------------------------
Top Ten Total 1.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
INVERSE RUSSELL 2000(R) FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark. The Fund's current benchmark is the inverse of the
performance of the Russell 2000(R) Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE RUSSELL RUSSELL 2000(R)
2000(R) FUND INDEX
--------------- ---------------
Other 9.0%
Financials 19.4%
Information Technology 19.1%
Consumer Discretionary 17.0%
Industrials 12.4%
Health Care 11.5%
Materials 6.1%
Energy 5.7%
Futures Contracts Short Sales -16.8%
Equity Index Swap Agreements Short Sales -83.2%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class February 20, 2004
H-Class February 20, 2004
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND
OBJECTIVE: To provide investment results that correspond to a benchmark for U.S.
Government securities. The Fund's current benchmark is 120% of the 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.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
GOVERNMENT LONG BOND ADVANTAGE FUND
-----------------------------------
U.S. Treasury Obligations 97.0%
Futures Contracts 25.7%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class January 3, 1994
Advisor Class August 1, 2003
A-Class March 31, 2004
C-Class May 2, 2001
The Fund invests principally in U.S. Government securities and in derivative
investments such as futures and options contracts.
INVERSE GOVERNMENT LONG BOND FUND
OBJECTIVE: To provide total returns that will inversely correlate to the price
movements of a benchmark for U.S. Treasury debt instruments or futures contracts
on a specified debt instrument. The Fund's current benchmark is the inverse 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.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE GOVERNMENT LONG BOND FUND
---------------------------------
U.S. Treasury Obligations Short Sales -75.1%
Futures Contracts Short Sales -25.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class March 3, 1995
Advisor Class August 1, 2003
A-Class March 31, 2004
C-Class March 28, 2001
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
OBJECTIVE: To provide investment results that correlate to the performance of a
specific benchmark. The Fund's current benchmark is the Dow Jones STOXX 50
Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
EUROPE DOW JONES
ADVANTAGE FUND STOXX 50 INDEX
---------------- ----------------
Other 18.1% 12.9%
Financial 15.7% 36.9%
Consumer, Non-cyclical 21.7%
Energy 9.6% 15.7%
Communications 12.8%
Telecommunication Services 6.1%
Health Care 6.9%
Equity Index Swap Agreements 68.3%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class May 10, 2001
H-Class May 8, 2000
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
BP PLC -- SP ADR 3.6%
HSBC Holdings PLC -- SP ADR 3.5%
Novartis AG -- SP ADR 2.5%
GlaxoSmithKline PLC -- SP ADR 2.4%
Royal Dutch Shell PLC -- SP ADR 2.2%
Total SA -- SP ADR 1.9%
UBS AG 1.8%
Vodafone Group PLC -- SP ADR 1.8%
E.ON AG -- SP ADR 1.8%
Telefonica SA -- SP ADR 1.6%
- --------------------------------------------------------
Top Ten Total 23.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
JAPAN ADVANTAGE FUND
OBJECTIVE: To provide investment results that correlate to the performance of a
specific benchmark. The Fund's current benchmark is the Topix 100 Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
JAPAN ADVANTAGE FUND TOPIX 100 INDEX
-------------------- ---------------
Other 5.7%
Financial 29.9%
Consumer, Cyclical 23.7%
Industrial 14.6%
Consumer, Non-cyclical 8.7%
Communications 5.8%
Basic Materials 5.8%
Technology 5.8%
Futures Contracts 9.4%
Equity Index Swap Agreements 115.9%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class March 31, 2004
C-Class March 1, 2002
H-Class May 8, 2000
The Fund invests principally in derivative investments such as equity index swap
agreements, futures contracts, and options on index futures.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
OBJECTIVE: To provide investment results that match the performance of a
benchmark for small-cap value securities. The Fund's current benchmark is the
S&P SmallCap 600/Citigroup Pure Value Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P SMALLCAP 600/
SMALL-CAP VALUE FUND CITIGROUP PURE VALUE INDEX
-------------------- --------------------------
Other 3.1% 3.3%
Consumer Discretionary 21.5% 23.1%
Industrials 17.5% 18.4%
Materials 18.3% 18.2%
Utilities 12.5% 11.7%
Financials 12.8% 11.7%
Information Technology 8.5% 8.1%
Consumer Staples 5.2% 5.6%
"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)
- --------------------------------------------------------
Group 1 Automotive, Inc. 1.3%
Volt Information Sciences, Inc. 1.3%
Kellwood Co. 1.3%
Alliance One International, Inc. 1.3%
Rock-Tenn Co. -- Class A 1.3%
Central Vermont Public Service Corp. 1.3%
Standard Motor Products, Inc. 1.2%
Chaparral Steel Co. 1.2%
A. Schulman, Inc. 1.2%
LandAmerica Financial Group, Inc. 1.2%
- --------------------------------------------------------
Top Ten Total 12.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
MID-CAP VALUE FUND
OBJECTIVE: To provide investment results that match the performance of the
benchmark for mid-cap value securities. The Fund's current benchmark is the S&P
MidCap 400/Citigroup Pure Value Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/
MID-CAP VALUE FUND CITIGROUP PURE VALUE INDEX
------------------ --------------------------
Other 7.0% 7.4%
Utilities 26.6% 24.9%
Financials 17.5% 16.2%
Industrials 14.7% 14.6%
Consumer Discretionary 13.6% 13.5%
Materials 11.7% 12.5%
Information Technology 8.6% 10.8%
"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)
- --------------------------------------------------------
Atmel Corp. 3.5%
Northeast Utilities 2.4%
NSTAR 2.2%
Pepco Holdings, Inc. 1.9%
American Financial Group, Inc. 1.9%
Alaska Air Group, Inc. 1.7%
Sequa Corp. -- Class A 1.7%
ArvinMeritor, Inc. 1.6%
Furniture Brands International, Inc. 1.6%
OGE Energy Corp. 1.6%
- --------------------------------------------------------
Top Ten Total 20.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
OBJECTIVE: To provide investment results that match the performance of a
benchmark for large-cap value securities. The Fund's current benchmark is the
S&P 500/Citigroup Pure Value Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP
LARGE-CAP VALUE FUND PURE VALUE INDEX
-------------------- ----------------
Other 9.2% 8.9%
Financials 20.8% 20.8%
Consumer Discretionary 16.6% 16.9%
Utilities 18.0% 16.6%
Materials 9.8% 11.5%
Industrials 10.2% 10.2%
Consumer Staples 8.8% 8.8%
Information Technology 6.4%
Telecommunication Services 6.3%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class September 1, 2004
C-Class February 20, 2004
H-Class February 20, 2004
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Dillard's, Inc.-- Class A 2.1%
Ryder System, Inc. 1.8%
General Motors Corp. 1.7%
United States Steel Corp. 1.5%
Big Lots, Inc. 1.4%
OfficeMax, Inc. 1.4%
Ford Motor Co. 1.3%
Allied Waste Industries, Inc. 1.3%
ConocoPhillips 1.2%
KeySpan Corp. 1.1%
- --------------------------------------------------------
Top Ten Total 14.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
SMALL-CAP GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a
benchmark for small-cap growth securities. The Fund's current benchmark is the
S&P SmallCap 600/Citigroup Pure Growth Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P SMALLCAP 600/CITIGROUP
SMALL-CAP GROWTH FUND PURE GROWTH INDEX
--------------------- --------------------------
Other 5.1% 7.9%
Consumer Discretionary 23.4% 24.6%
Health Care 24.2% 21.7%
Information Technology 19.9% 19.8%
Energy 9.1% 9.1%
Financials 10.1% 8.9%
Industrials 7.8% 8.1%
"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)
- --------------------------------------------------------
Christopher & Banks Corp. 2.1%
Coinstar, Inc. 2.0%
j2 Global Communications, Inc. 1.9%
Hansen Natural Corp. 1.7%
Frontier Oil Corp. 1.6%
Biolase Technology, Inc. 1.4%
CNS, Inc. 1.3%
Factset Research Systems, Inc. 1.3%
Portfolio Recovery Associates, Inc. 1.3%
Shuffle Master, Inc. 1.2%
- --------------------------------------------------------
Top Ten Total 15.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a
benchmark for mid-cap growth securities. The Fund's current benchmark is the S&P
MidCap 400/Citigroup Pure Growth Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/CITIGROUP
MID-CAP GROWTH FUND PURE GROWTH INDEX
------------------- ------------------------
Other 1.2% 2.2%
Consumer Discretionary 29.1% 27.4%
Information Technology 19.3% 18.4%
Health Care 17.8% 16.0%
Industrials 15.3% 15.3%
Energy 7.9% 10.9%
Financials 8.9% 9.8%
"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)
- --------------------------------------------------------
Cognizant Technology Solutions Corp. -- Class A 3.1%
Aeropostale, Inc. 2.6%
GameStop Corp. -- Class A 2.3%
Corporate Executive Board Co. 2.1%
ITT Educational Services, Inc. 2.0%
Brown & Brown, Inc. 1.9%
Western Digital Corp. 1.9%
SEI Investments Co. 1.9%
Scientific Games Corp. -- Class A 1.9%
Abercrombie & Fitch Co. -- Class A 1.9%
- --------------------------------------------------------
Top Ten Total 21.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
LARGE-CAP GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a
benchmark for large-cap growth securities. The Fund's current benchmark is the
S&P 500/Citigroup Pure Growth Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP
LARGE-CAP GROWTH FUND PURE GROWTH INDEX
--------------------- -----------------
Other 4.8% 5.6%
Consumer Discretionary 26.7% 26.3%
Health Care 25.1% 25.1%
Information Technology 17.1% 17.2%
Financials 9.8% 9.3%
Consumer Staples 8.7% 8.6%
Energy 7.4% 8.5%
"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)
- --------------------------------------------------------
Nvidia Corp. 2.2%
International Game Technology, Inc. 2.1%
Google, Inc. -- Class A 1.6%
XTO Energy, Inc. 1.6%
Forest Laboratories, Inc. 1.5%
Fisher Scientific International, Inc. 1.4%
AutoZone, Inc. 1.4%
Chicago Mercantile Exchange Holdings, Inc. 1.4%
TJX Cos., Inc. 1.3%
Devon Energy Corp. 1.3%
- --------------------------------------------------------
Top Ten Total 15.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DOLLAR FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark on a daily basis. The Fund's current benchmark is 200% of the
performance of the U.S. Dollar Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
DYNAMIC STRENGTHENING
DOLLAR FUND U.S. DOLLAR INDEX
--------------------- -----------------
Other 7.8%
Euro 57.6%
Japanese Yen 13.6%
British Pound 11.9%
Canadian Dollar 9.1%
Currency Index Swap Agreements 190.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class May 25, 2005
C-Class May 25, 2005
H-Class May 25, 2005
The Fund invests principally in derivative investments such as currency index
swap agreements, futures contracts, and options on index futures.
DYNAMIC WEAKENING DOLLAR FUND
OBJECTIVE: To provide investment results that will match the performance of a
specific benchmark on a daily basis. The Fund's current benchmark is 200% of the
inverse performance of the U.S. Dollar Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
DYNAMIC WEAKENING U.S. DOLLAR
DOLLAR FUND INDEX
----------------- ------------
Other 7.8%
Euro 57.6%
Japanese Yen 13.6%
British Pound 11.9%
Canadian Dollar 9.1%
Currency Index Swap Agreements Short Sales -205.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class May 25, 2005
C-Class May 25, 2005
H-Class May 25, 2005
The Fund invests principally in derivative investments such as currency index
swap agreements, futures contracts, and options on index futures.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19
FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: To provide security of principal, high current income and liquidity.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
U.S. GOVERNMENT
MONEY MARKET FUND
-------------------
Federal Home Loan Bank 7.4%
Freddie Mac 35.2%
Farmer Mac 20.5%
Federal Farm Credit Bank 20.5%
Repurchase Agreements 7.6%
FADN -- Federal Agency Discount Notes.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class December 1, 1993
Advisor Class April 1, 1998
A-Class March 31, 2004
C-Class October 19, 2000
The Fund invests principally in U.S. Government securities.
20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
MASTER-FEEDER ARRANGEMENT
- --------------------------------------------------------------------------------
Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long
Bond Fund are operating under a `master-feeder arrangement'. Under a
master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of
its assets in the Master Portfolio ("master"), a separate open-ended investment
company that has the same investment objectives as the feeder, e.g., the Nova
Fund would act as a feeder, holding shares of the Nova Master Portfolio as its
only investment. The Master Portfolio, in turn, invests in securities and
derivatives to meet its investment objective.
The Feeder Fund is the sole shareholder of the Master Portfolio and is the only
part of the master-feeder relationship in which shareholders can invest. As a
shareholder of a Feeder Fund, you have indirect ownership of the investments of
the corresponding Master Portfolio. Therefore, the Schedules of Investments of
the masters are provided here to illustrate securities in which the masters
invest and, indirectly, what the feeders hold. Please see Notes to Financial
Statements for more information about the master-feeder arrangement.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 75.4%
FINANCIALS 16.3%
DIVERSIFIED FINANCIALS 4.4%
Bank of America Corp. 72,050 $ 3,859,718
J.P. Morgan Chase & Co. 59,810 2,808,678
Citigroup, Inc. 53,150 2,639,961
---------------
TOTAL DIVERSIFIED FINANCIALS 9,308,357
---------------
BANKS 3.7%
Wells Fargo & Co. 62,600 2,264,868
Wachovia Corp.+ 32,630 1,820,754
PNC Financial Services Group, Inc. 12,570 910,571
National City Corp.+ 24,020 879,132
U.S. Bancorp+ 24,800 823,856
KeyCorp+ 21,830 817,315
Zions Bancorporation 6,000 478,860
---------------
TOTAL BANKS 7,995,356
---------------
INSURANCE 3.3%
American International Group, Inc. 24,610 1,630,659
Hartford Financial Services Group,
Inc.+ 11,370 986,347
Principal Financial Group, Inc.+ 15,210 825,599
Loews Corp. 21,660 820,914
Genworth Financial, Inc. --
Class A 22,970 804,180
Aon Corp.+ 21,290 721,092
Ambac Financial Group, Inc.+ 8,180 676,895
ACE Ltd. 10,070 551,131
AFLAC, Inc. 150 6,864
---------------
TOTAL INSURANCE 7,023,681
---------------
CAPITAL MARKETS 2.1%
Charles Schwab Corp.+ 51,830 927,757
State Street Corp. 13,310 830,544
Goldman Sachs Group, Inc.+ 4,890 827,241
Bank of New York Co., Inc. 16,840 593,778
E*Trade Financial Corp.*+ 23,450 560,924
Morgan Stanley 4,750 346,323
Merrill Lynch & Co., Inc. 3,860 301,929
---------------
TOTAL CAPITAL MARKETS 4,388,496
---------------
THRIFTS & MORTGAGE FINANCE 1.5%
Washington Mutual, Inc.+ 27,730 1,205,423
MGIC Investment Corp.+ 11,890 713,044
Golden West Financial Corp. 7,880 608,730
Countrywide Financial Corp.+ 16,600 581,664
Fannie Mae 730 40,814
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 3,149,675
---------------
CONSUMER FINANCE 0.7%
Capital One Financial Corp.+ 12,550 987,183
American Express Co. 9,910 555,753
---------------
TOTAL CONSUMER FINANCE 1,542,936
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE 0.6%
Boston Properties, Inc.+ 7,220 $ 746,115
Archstone-Smith Trust+ 5,720 311,397
ProLogis 4,760 271,605
---------------
TOTAL REAL ESTATE 1,329,117
---------------
TOTAL FINANCIALS 34,737,618
---------------
INFORMATION TECHNOLOGY 11.4%
SOFTWARE 2.7%
Microsoft Corp. 91,970 2,513,540
Oracle Corp.* 77,306 1,371,408
Citrix Systems, Inc.*+ 22,248 805,600
Compuware Corp.* 71,076 553,682
Autodesk, Inc.* 10,610 369,016
Intuit, Inc.* 1,590 51,023
---------------
TOTAL SOFTWARE 5,664,269
---------------
COMPUTERS & PERIPHERALS 2.5%
International Business Machines
Corp. 28,250 2,314,805
Hewlett-Packard Co. 54,190 1,988,231
NCR Corp.*+ 20,510 809,735
Apple Computer, Inc.*+ 2,200 169,466
Lexmark International, Inc.* 1,110 64,003
Dell, Inc.*+ 2,180 49,791
---------------
TOTAL COMPUTERS & PERIPHERALS 5,396,031
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.1%
Freescale Semiconductor, Inc. --
Class B*+ 25,740 978,377
Intel Corp. 45,450 934,906
Micron Technology, Inc.*+ 45,910 798,834
National Semiconductor Corp.+ 30,650 721,195
Teradyne, Inc.* 48,460 637,734
LSI Logic Corp.*+ 52,011 427,530
Texas Instruments, Inc.+ 910 30,258
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 4,528,834
---------------
COMMUNICATIONS EQUIPMENT 1.9%
Cisco Systems, Inc.* 52,680 1,211,640
Motorola, Inc. 43,670 1,091,750
Avaya, Inc.* 65,580 750,235
Tellabs, Inc.* 67,610 741,006
Qualcomm, Inc. 8,790 319,516
---------------
TOTAL COMMUNICATIONS EQUIPMENT 4,114,147
---------------
IT CONSULTING & SERVICES 1.0%
Electronic Data Systems Corp.+ 33,020 809,651
Convergys Corp.* 31,660 653,779
Sabre Holdings Corp. 26,070 609,777
---------------
TOTAL IT CONSULTING & SERVICES 2,073,207
---------------
INTERNET SOFTWARE & SERVICES 0.8%
Google, Inc. -- Class A* 2,670 1,073,073
VeriSign, Inc.* 34,260 692,052
---------------
TOTAL INTERNET SOFTWARE & SERVICES 1,765,125
---------------
See Notes to Financial Statements.
22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3%
Agilent Technologies, Inc.* 14,210 $ 464,525
Symbol Technologies, Inc. 10,220 151,869
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 616,394
---------------
OFFICE ELECTRONICS 0.1%
Xerox Corp.* 12,190 189,676
---------------
TOTAL OFFICE ELECTRONICS 189,676
---------------
TOTAL INFORMATION TECHNOLOGY 24,347,683
---------------
HEALTH CARE 10.3%
PHARMACEUTICALS 5.3%
Pfizer, Inc. 80,500 2,282,980
Johnson & Johnson, Inc. 32,650 2,120,291
Merck & Co., Inc.+ 44,270 1,854,913
Wyeth 30,650 1,558,246
Bristol-Myers Squibb Co. 53,470 1,332,473
King Pharmaceuticals, Inc.* 41,710 710,321
Mylan Laboratories, Inc.+ 33,680 677,978
Abbott Laboratories 7,430 360,801
Eli Lilly & Co. 4,150 236,550
Watson Pharmaceuticals, Inc.*+ 2,380 62,285
Barr Pharmaceuticals, Inc.* 10 519
---------------
TOTAL PHARMACEUTICALS 11,197,357
---------------
HEALTH CARE PROVIDERS & SERVICES 2.2%
McKesson Corp. 16,130 850,374
Humana, Inc.* 12,390 818,855
Patterson Cos., Inc.*+ 22,140 744,125
UnitedHealth Group, Inc. 14,570 716,844
Coventry Health Care, Inc.* 13,570 699,126
AmerisourceBergen Corp.+ 6,440 291,088
Laboratory Corporation of
America Holdings*+ 3,280 215,070
Express Scripts, Inc.* 2,260 170,607
IMS Health, Inc. 2,640 70,330
WellPoint, Inc.* 250 19,263
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 4,595,682
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.5%
Becton, Dickinson & Co. 12,210 862,881
Fisher Scientific International, Inc.* 9,660 755,798
Zimmer Holdings, Inc.*+ 11,120 750,600
Hospira, Inc.* 16,280 623,035
Medtronic, Inc.+ 3,920 182,045
C.R. Bard, Inc.+ 390 29,250
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,203,609
---------------
BIOTECHNOLOGY 1.3%
Amgen, Inc.*+ 24,810 1,774,659
Applera Corp. - Applied
Biosystems Group 22,540 746,300
Gilead Sciences, Inc.* 4,330 297,471
---------------
TOTAL BIOTECHNOLOGY 2,818,430
---------------
TOTAL HEALTH CARE 21,815,078
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY 8.8%
MEDIA 2.5%
Walt Disney Co.+ 49,980 $ 1,544,882
McGraw-Hill Cos., Inc. 15,800 916,874
Omnicom Group, Inc.+ 9,210 862,056
Meredith Corp. 13,510 666,448
Gannett Co., Inc.+ 10,160 577,393
Time Warner, Inc. 22,940 418,196
Comcast Corp. -- Class A*+ 10,220 376,607
---------------
TOTAL MEDIA 5,362,456
---------------
SPECIALTY RETAIL 2.0%
TJX Cos., Inc.+ 29,490 826,605
Office Depot, Inc.*+ 20,740 823,378
Sherwin-Williams Co.+ 13,680 763,070
AutoZone, Inc.*+ 7,300 754,090
Lowe's Cos., Inc.+ 26,170 734,330
Home Depot, Inc.+ 12,100 438,867
---------------
TOTAL SPECIALTY RETAIL 4,340,340
---------------
HOTELS, RESTAURANTS & LEISURE 1.1%
Starwood Hotels & Resorts
Worldwide, Inc. 14,400 823,536
Darden Restaurants, Inc. 19,180 814,575
Starbucks Corp.*+ 16,490 561,484
McDonald's Corp. 5,940 232,373
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 2,431,968
---------------
HOUSEHOLD DURABLES 1.0%
Whirlpool Corp.+ 8,700 731,757
Newell Rubbermaid, Inc.+ 20,450 579,144
Lennar Corp. -- Class A+ 8,640 390,960
Stanley Works+ 5,850 291,623
Black & Decker Corp.+ 780 61,893
---------------
TOTAL HOUSEHOLD DURABLES 2,055,377
---------------
MULTILINE RETAIL 0.9%
Kohl's Corp.* 13,510 877,069
Big Lots, Inc.*+ 33,540 664,427
Federated Department Stores,
Inc.+ 4,060 175,433
Nordstrom, Inc.+ 3,430 145,089
---------------
TOTAL MULTILINE RETAIL 1,862,018
---------------
TEXTILES & APPAREL 0.5%
Jones Apparel Group, Inc. 17,850 579,054
VF Corp. 5,010 365,480
---------------
TOTAL TEXTILES & APPAREL 944,534
---------------
AUTO COMPONENTS 0.4%
Johnson Controls, Inc.+ 11,210 804,205
---------------
TOTAL AUTO COMPONENTS 804,205
---------------
AUTOMOBILES 0.3%
Harley-Davidson, Inc.+ 10,600 665,150
---------------
TOTAL AUTOMOBILES 665,150
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Brunswick Corp. 7,670 $ 239,227
Mattel, Inc. 130 2,561
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 241,788
---------------
TOTAL CONSUMER DISCRETIONARY 18,707,836
---------------
INDUSTRIALS 7.4%
INDUSTRIAL CONGLOMERATES 2.9%
General Electric Co. 119,450 4,216,585
Tyco International Ltd. 37,660 1,054,103
Textron, Inc. 8,310 727,125
3M Co. 1,180 87,816
---------------
TOTAL INDUSTRIAL CONGLOMERATES 6,085,629
---------------
AEROSPACE & DEFENSE 1.5%
Lockheed Martin Corp.+ 12,179 1,048,125
Boeing Co.+ 13,250 1,044,762
General Dynamics Corp. 13,360 957,511
United Technologies Corp. 3,768 238,703
---------------
TOTAL AEROSPACE & DEFENSE 3,289,101
---------------
MACHINERY 0.9%
Caterpillar, Inc.+ 18,210 1,198,218
Cummins, Inc.+ 6,100 727,303
Navistar International Corp.* 1,010 26,078
---------------
TOTAL MACHINERY 1,951,599
---------------
ROAD & RAIL 0.8%
CSX Corp.+ 26,550 871,636
Norfolk Southern Corp.+ 16,910 744,886
---------------
TOTAL ROAD & RAIL 1,616,522
---------------
AIR FREIGHT & COURIERS 0.6%
FedEx Corp. 7,330 796,624
United Parcel Service, Inc. --
Class B+ 5,490 394,951
---------------
TOTAL AIR FREIGHT & COURIERS 1,191,575
---------------
AIRLINES 0.3%
Southwest Airlines Co.+ 45,870 764,194
---------------
TOTAL AIRLINES 764,194
---------------
COMMERCIAL SERVICES & SUPPLIES 0.2%
Equifax, Inc. 10,670 391,696
Monster Worldwide, Inc.* 1,900 68,761
Waste Management, Inc. 50 1,834
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 462,291
---------------
ELECTRICAL EQUIPMENT 0.2%
Cooper Industries Ltd. -- Class A 4,500 383,490
---------------
TOTAL ELECTRICAL EQUIPMENT 383,490
---------------
TOTAL INDUSTRIALS 15,744,401
---------------
CONSUMER STAPLES 7.1%
HOUSEHOLD PRODUCTS 1.7%
Procter & Gamble Co. 33,310 2,064,554
Colgate-Palmolive Co. 17,000 1,055,700
Clorox Co. 7,680 483,840
---------------
TOTAL HOUSEHOLD PRODUCTS 3,604,094
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BEVERAGES 1.6%
PepsiCo, Inc. 12,250 $ 799,435
Brown-Forman Corp. -- Class B 9,180 703,647
Pepsi Bottling Group, Inc. 19,680 698,640
Molson Coors Brewing Co. --
Class B+ 9,700 668,330
Coca-Cola Co. 14,190 634,009
---------------
TOTAL BEVERAGES 3,504,061
---------------
TOBACCO 1.6%
Altria Group, Inc. 35,170 2,692,264
Reynolds American, Inc.+ 11,940 739,922
UST, Inc.+ 210 11,514
---------------
TOTAL TOBACCO 3,443,700
---------------
FOOD & DRUG RETAILING 1.3%
Wal-Mart Stores, Inc. 34,890 1,720,775
Kroger Co.+ 36,050 834,197
Costco Wholesale Corp.+ 3,510 174,377
Walgreen Co.+ 730 32,404
---------------
TOTAL FOOD & DRUG RETAILING 2,761,753
---------------
FOOD PRODUCTS 0.8%
General Mills, Inc.+ 16,260 920,316
Campbell Soup Co.+ 19,070 696,055
---------------
TOTAL FOOD PRODUCTS 1,616,371
---------------
PERSONAL PRODUCTS 0.1%
Estee Lauder Cos., Inc. --
Class A+ 6,330 255,289
---------------
TOTAL PERSONAL PRODUCTS 255,289
---------------
TOTAL CONSUMER STAPLES 15,185,268
---------------
ENERGY 6.9%
OIL & GAS 5.6%
Exxon Mobil Corp.+ 71,480 4,796,308
Chevron Corp.+ 20,230 1,312,118
ConocoPhillips 21,686 1,290,968
Occidental Petroleum Corp. 22,700 1,092,097
Valero Energy Corp. 19,020 978,959
Marathon Oil Corp.+ 12,170 935,873
EOG Resources, Inc.+ 11,770 765,638
Hess Corp.+ 14,740 610,531
Consol Energy, Inc. 4,790 151,987
---------------
TOTAL OIL & GAS 11,934,479
---------------
ENERGY EQUIPMENT & SERVICES 1.3%
Schlumberger Ltd.+ 18,710 1,160,581
Weatherford International Ltd.* 17,030 710,492
Halliburton Co. 24,760 704,422
Smith International, Inc. 2,610 101,268
Baker Hughes, Inc.+ 590 40,238
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 2,717,001
---------------
TOTAL ENERGY 14,651,480
---------------
See Notes to Financial Statements.
24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
UTILITIES 2.9%
ELECTRIC UTILITIES 1.5%
Edison International+ 18,700 $ 778,668
TXU Corp. 11,400 712,728
Allegheny Energy, Inc.* 17,300 694,941
FirstEnergy Corp.+ 8,890 496,595
American Electric Power Co., Inc. 8,370 304,417
PPL Corp. 6,520 214,508
Progress Energy, Inc.+ 160 7,261
---------------
TOTAL ELECTRIC UTILITIES 3,209,118
---------------
MULTI-UTILITIES 1.4%
PG&E Corp.+ 19,690 820,088
Sempra Energy+ 15,690 788,422
Xcel Energy, Inc.+ 35,630 735,760
CenterPoint Energy, Inc. 47,350 678,052
---------------
TOTAL MULTI-UTILITIES 3,022,322
---------------
TOTAL UTILITIES 6,231,440
---------------
TELECOMMUNICATION SERVICES 2.7%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.3%
AT&T, Inc.+ 62,020 2,019,371
Verizon Communications, Inc.+ 20,950 777,873
Embarq Corp. 15,350 742,480
CenturyTel, Inc.+ 17,260 684,704
BellSouth Corp. 8,740 373,635
Qwest Communications
International, Inc.*+ 26,980 235,266
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 4,833,329
---------------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Alltel Corp.+ 13,600 754,800
Sprint Nextel Corp.+ 2,640 45,276
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 800,076
---------------
TOTAL TELECOMMUNICATION SERVICES 5,633,405
---------------
MATERIALS 1.6%
METALS & MINING 0.9%
United States Steel Corp.+ 12,040 694,467
Nucor Corp.+ 13,500 668,115
Phelps Dodge Corp. 2,740 232,078
Allegheny Technologies, Inc.+ 2,990 185,948
Newmont Mining Corp.+ 3,860 165,015
---------------
TOTAL METALS & MINING 1,945,623
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CHEMICALS 0.4%
Rohm & Haas Co. 15,340 $ 726,349
PPG Industries, Inc. 2,270 152,272
---------------
TOTAL CHEMICALS 878,621
---------------
PAPER & FOREST PRODUCTS 0.3%
Louisiana-Pacific Corp. 25,040 470,001
---------------
TOTAL PAPER & FOREST PRODUCTS 470,001
---------------
CONTAINERS & PACKAGING 0.0%
Temple-Inland, Inc.+ 720 28,872
---------------
TOTAL CONTAINERS & PACKAGING 28,872
---------------
TOTAL MATERIALS 3,323,117
---------------
TOTAL COMMON STOCKS
(Cost $130,620,041) 160,377,326
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 22.7%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 896,838 896,838
4.95% due 10/02/06 13,587,449 13,587,449
4.94% due 10/02/06++ 8,641,006 8,641,006
4.89% due 10/02/06 8,831,842 8,831,842
4.80% due 10/02/06 16,304,939 16,304,939
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $48,262,074) 48,262,074
---------------
SECURITIES LENDING COLLATERAL 20.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 43,523,273 43,523,273
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $43,523,273) 43,523,273
---------------
TOTAL INVESTMENTS 118.5%
(Cost $222,405,388) $ 252,162,673
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (18.5)% $ (39,340,963)
===============
NET ASSETS - 100.0% $ 212,821,710
================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
- --------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $43,637,138) 649 $ 642,626
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
December 2006 S&P 500 Index
Swap, Maturing 12/12/06**
(Notional Market Value
$22,642,483) 16,950 66,085
December 2006 S&P 500 Index
Swap, Maturing 12/27/06**
(Notional Market Value
$92,509,121) 69,251 $ (240,501)
---------------
(TOTAL NOTIONAL MARKET
VALUE $115,151,604) $ (174,416)
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 31.3%
FINANCIALS 7.0%
DIVERSIFIED FINANCIALS 1.8%
Citigroup, Inc. 1,800 $ 89,406
Bank of America Corp. 1,646 88,176
J.P. Morgan Chase & Co. 1,270 59,639
Moody's Corp. 90 5,884
Chicago Mercantile Exchange
Holdings, Inc. 10 4,783
CIT Group, Inc. 70 3,404
---------------
TOTAL DIVERSIFIED FINANCIALS 251,292
---------------
INSURANCE 1.5%
American International Group, Inc. 950 62,947
MetLife, Inc. 280 15,870
Allstate Corp. 230 14,428
Prudential Financial, Inc. 180 13,725
St. Paul Travelers Cos., Inc. 250 11,722
Hartford Financial Services
Group, Inc. 110 9,542
AFLAC, Inc. 180 8,237
Chubb Corp. 150 7,794
Progressive Corp. 280 6,871
ACE Ltd. 120 6,568
Loews Corp. 170 6,443
Lincoln National Corp. 100 6,208
Genworth Financial, Inc. --
Class A 170 5,952
Marsh & McLennan Cos., Inc. 200 5,630
Principal Financial Group, Inc. 100 5,428
XL Capital Ltd. 70 4,809
Aon Corp. 110 3,726
Ambac Financial Group, Inc. 40 3,310
MBIA, Inc. 50 3,072
Cincinnati Financial Corp. 60 2,884
Torchmark Corp. 40 2,524
SAFECO Corp. 40 2,357
UnumProvident Corp. 120 2,327
---------------
TOTAL INSURANCE 212,374
---------------
BANKS 1.3%
Wells Fargo & Co. 1,230 44,502
Wachovia Corp. 580 32,364
U.S. Bancorp 650 21,593
SunTrust Banks, Inc. 130 10,046
BB&T Corp. 200 8,756
National City Corp. 220 8,052
PNC Financial Services Group,
Inc. 110 7,968
Fifth Third Bancorp 200 7,616
Regions Financial Corp. 170 6,254
KeyCorp 150 5,616
North Fork Bancorporation, Inc. 170 4,869
Marshall & Ilsley Corp. 90 4,336
M&T Bank Corp. 30 3,599
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Synovus Financial Corp. 120 $ 3,524
AmSouth Bancorp 120 3,485
Comerica, Inc. 60 3,415
Zions Bancorporation 40 3,192
Compass Bancshares, Inc. 50 2,849
Commerce Bancorp, Inc. 70 2,570
Huntington Bancshares, Inc. 90 2,154
First Horizon National Corp. 50 1,901
---------------
TOTAL BANKS 188,661
---------------
CAPITAL MARKETS 1.2%
Morgan Stanley 390 28,435
Goldman Sachs Group, Inc. 160 27,067
Merrill Lynch & Co., Inc. 320 25,031
Lehman Brothers Holdings, Inc. 200 14,772
Bank of New York Co., Inc. 280 9,873
State Street Corp. 120 7,488
Charles Schwab Corp. 380 6,802
Franklin Resources, Inc. 60 6,345
Mellon Financial Corp. 150 5,865
Bear Stearns Cos., Inc. 40 5,604
Legg Mason, Inc. 50 5,043
T. Rowe Price Group, Inc. 100 4,785
Ameriprise Financial, Inc. 90 4,221
Northern Trust Corp. 70 4,090
E*Trade Financial Corp.* 160 3,827
Janus Capital Group, Inc. 80 1,578
Federated Investors, Inc. --
Class B 30 1,014
---------------
TOTAL CAPITAL MARKETS 161,840
---------------
THRIFTS & MORTGAGE FINANCE 0.5%
Fannie Mae 350 19,568
Freddie Mac 250 16,583
Washington Mutual, Inc. 350 15,215
Golden West Financial Corp. 100 7,725
Countrywide Financial Corp. 220 7,709
Sovereign Bancorp, Inc. 130 2,796
MGIC Investment Corp. 30 1,799
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 71,395
---------------
REAL ESTATE 0.4%
Simon Property Group, Inc. 80 7,249
Equity Residential 110 5,564
Equity Office Properties Trust 130 5,169
ProLogis 90 5,135
Vornado Realty Trust 40 4,360
Archstone-Smith Trust 80 4,355
Boston Properties, Inc. 40 4,134
Public Storage, Inc. 40 3,440
KIMCO Realty Corp. 80 3,430
Plum Creek Timber Co., Inc. (REIT) 70 2,383
Apartment Investment &
Management Co. -- Class A 40 2,176
Realogy Corp.* 80 1,814
---------------
TOTAL REAL ESTATE 49,209
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER FINANCE 0.3%
American Express Co. 440 $ 24,675
Capital One Financial Corp. 110 8,653
SLM Corp. 150 7,797
---------------
TOTAL CONSUMER FINANCE 41,125
---------------
TOTAL FINANCIALS 975,896
---------------
INFORMATION TECHNOLOGY 4.8%
COMPUTERS & PERIPHERALS 1.1%
International Business Machines
Corp. 550 45,067
Hewlett-Packard Co. 1,000 36,690
Apple Computer, Inc.* 310 23,879
Dell, Inc.* 830 18,957
EMC Corp.* 840 10,063
Sun Microsystems, Inc.* 1,280 6,362
Network Appliance, Inc.* 140 5,181
SanDisk Corp.* 70 3,748
NCR Corp.* 70 2,764
Lexmark International, Inc.* 40 2,306
QLogic Corp.* 60 1,134
---------------
TOTAL COMPUTERS & PERIPHERALS 156,151
---------------
SOFTWARE 1.1%
Microsoft Corp. 3,150 86,089
Oracle Corp.* 1,470 26,078
Adobe Systems, Inc.* 210 7,864
Symantec Corp.* 360 7,661
Electronic Arts, Inc.* 110 6,125
Intuit, Inc.* 120 3,851
CA, Inc. 150 3,554
Autodesk, Inc.* 80 2,782
Citrix Systems, Inc.* 70 2,535
BMC Software, Inc.* 70 1,905
Compuware Corp.* 140 1,091
Novell, Inc.* 120 734
Parametric Technology Corp.* 40 698
---------------
TOTAL SOFTWARE 150,967
---------------
COMMUNICATIONS EQUIPMENT 0.9%
Cisco Systems, Inc.* 2,230 51,290
Motorola, Inc. 890 22,250
Qualcomm, Inc. 600 21,810
Corning, Inc.* 570 13,914
Lucent Technologies, Inc.* 1,630 3,814
Juniper Networks, Inc.* 210 3,629
Avaya, Inc.* 170 1,945
Tellabs, Inc.* 160 1,753
Comverse Technology, Inc.* 70 1,501
JDS Uniphase Corp.* 610 1,336
Ciena Corp.* 31 856
ADC Telecommunications, Inc.* 40 600
---------------
TOTAL COMMUNICATIONS EQUIPMENT 124,698
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.9%
Intel Corp. 2,100 $ 43,197
Texas Instruments, Inc. 560 18,620
Applied Materials, Inc. 510 9,042
Freescale Semiconductor, Inc.
-- Class B* 150 5,702
Broadcom Corp. -- Class A* 170 5,158
Micron Technology, Inc.* 270 4,698
Advanced Micro Devices, Inc.* 180 4,473
Nvidia Corp.* 130 3,847
Analog Devices, Inc. 130 3,821
Linear Technology Corp. 110 3,423
Maxim Integrated Products, Inc. 120 3,369
KLA-Tencor Corp. 70 3,113
Xilinx, Inc. 120 2,634
National Semiconductor Corp. 110 2,588
Altera Corp.* 130 2,389
LSI Logic Corp.* 150 1,233
Novellus Systems, Inc.* 40 1,106
Teradyne, Inc.* 70 921
PMC - Sierra, Inc.* 80 475
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 119,809
---------------
INTERNET SOFTWARE & SERVICES 0.4%
Google, Inc. -- Class A* 80 32,152
eBay, Inc.* 430 12,195
Yahoo!, Inc.* 450 11,376
VeriSign, Inc.* 90 1,818
---------------
TOTAL INTERNET SOFTWARE & SERVICES 57,541
---------------
IT CONSULTING & SERVICES 0.3%
First Data Corp. 280 11,760
Automatic Data Processing, Inc. 200 9,468
Electronic Data Systems Corp. 190 4,659
Paychex, Inc. 120 4,422
Computer Sciences Corp.* 60 2,947
Fiserv, Inc.* 60 2,825
Affiliated Computer Services,
Inc. -- Class A* 40 2,074
Sabre Holdings Corp. 50 1,170
Convergys Corp.* 50 1,033
Unisys Corp.* 130 736
---------------
TOTAL IT CONSULTING & SERVICES 41,094
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.1%
Agilent Technologies, Inc.* 150 4,903
Jabil Circuit, Inc. 70 2,000
Molex, Inc. 50 1,949
Symbol Technologies, Inc. 90 1,337
Solectron Corp.* 330 1,076
Tektronix, Inc. 30 868
Sanmina-SCI Corp.* 190 711
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 12,844
---------------
See Notes to Financial Statements.
28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
OFFICE ELECTRONICS 0.0%
Xerox Corp.* 360 $ 5,602
---------------
TOTAL OFFICE ELECTRONICS 5,602
---------------
TOTAL INFORMATION TECHNOLOGY 668,706
---------------
HEALTH CARE 4.0%
PHARMACEUTICALS 2.1%
Pfizer, Inc. 2,656 75,324
Johnson & Johnson, Inc. 1,070 69,486
Merck & Co., Inc. 790 33,101
Abbott Laboratories 560 27,194
Wyeth 490 24,912
Eli Lilly & Co. 360 20,520
Bristol-Myers Squibb Co. 720 17,942
Schering-Plough Corp. 540 11,929
Forest Laboratories, Inc.* 120 6,073
Allergan, Inc. 50 5,630
Barr Pharmaceuticals, Inc.* 40 2,078
Mylan Laboratories, Inc. 80 1,610
King Pharmaceuticals, Inc.* 90 1,533
Watson Pharmaceuticals, Inc.* 40 1,047
---------------
TOTAL PHARMACEUTICALS 298,379
---------------
HEALTH CARE PROVIDERS & SERVICES 0.9%
UnitedHealth Group, Inc. 490 24,108
WellPoint, Inc.* 230 17,721
Cardinal Health, Inc. 150 9,861
Caremark Rx, Inc. 160 9,067
Aetna, Inc. 200 7,910
HCA, Inc. 150 7,483
Medco Health Solutions, Inc.* 110 6,612
McKesson Corp. 110 5,799
CIGNA Corp. 40 4,653
Humana, Inc.* 60 3,965
Express Scripts, Inc.* 50 3,775
Quest Diagnostics, Inc. 60 3,670
Laboratory Corporation of
America Holdings* 50 3,279
AmerisourceBergen Corp. 70 3,164
Coventry Health Care, Inc.* 60 3,091
Health Management Associates,
Inc. -- Class A 90 1,881
IMS Health, Inc. 70 1,865
Patterson Cos., Inc.* 50 1,681
Manor Care, Inc. 30 1,568
Tenet Healthcare Corp.* 170 1,384
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 122,537
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.6%
Medtronic, Inc. 420 19,505
Baxter International, Inc. 240 10,910
Becton, Dickinson & Co. 90 6,360
Boston Scientific Corp.* 430 6,360
Zimmer Holdings, Inc.* 90 6,075
Stryker Corp. 110 5,455
St. Jude Medical, Inc.* 130 4,588
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Fisher Scientific International, Inc.* 50 $ 3,912
C.R. Bard, Inc. 40 3,000
Biomet, Inc. 90 2,897
Thermo Electron Corp.* 60 2,360
Hospira, Inc.* 60 2,296
Waters Corp.* 40 1,811
Millipore Corp.* 20 1,226
Bausch & Lomb, Inc. 20 1,003
PerkinElmer, Inc. 50 946
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 78,704
---------------
BIOTECHNOLOGY 0.4%
Amgen, Inc.* 430 30,758
Gilead Sciences, Inc.* 170 11,679
Genzyme Corp.* 100 6,747
Biogen Idec, Inc.* 130 5,808
Medimmune, Inc.* 90 2,629
Applera Corp. - Applied
Biosystems Group 70 2,318
---------------
TOTAL BIOTECHNOLOGY 59,939
---------------
TOTAL HEALTH CARE 559,559
---------------
INDUSTRIALS 3.4%
INDUSTRIAL CONGLOMERATES 1.3%
General Electric Co. 3,760 132,728
Tyco International Ltd. 730 20,433
3M Co. 270 20,093
Textron, Inc. 50 4,375
---------------
TOTAL INDUSTRIAL CONGLOMERATES 177,629
---------------
AEROSPACE & DEFENSE 0.8%
United Technologies Corp. 370 23,439
Boeing Co. 290 22,867
Honeywell International, Inc. 300 12,270
Lockheed Martin Corp. 130 11,188
General Dynamics Corp. 150 10,751
Northrop Grumman Corp. 130 8,849
Raytheon Co. 160 7,682
Rockwell Collins, Inc. 60 3,290
L-3 Communications Holdings,
Inc. 40 3,133
Goodrich Corp. 50 2,026
---------------
TOTAL AEROSPACE & DEFENSE 105,495
---------------
MACHINERY 0.5%
Caterpillar, Inc. 240 15,792
Illinois Tool Works, Inc. 150 6,735
Deere & Co. 80 6,713
Danaher Corp. 90 6,180
Paccar, Inc. 90 5,132
Ingersoll-Rand Co. -- Class A 120 4,558
ITT Industries, Inc. 70 3,589
Eaton Corp. 50 3,442
Dover Corp. 70 3,321
Parker Hannifin Corp. 40 3,109
Cummins, Inc. 20 2,385
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Pall Corp. 50 $ 1,540
Navistar International Corp.* 20 516
---------------
TOTAL MACHINERY 63,012
---------------
AIR FREIGHT & COURIERS 0.3%
United Parcel Service, Inc. --
Class B 390 28,056
FedEx Corp. 110 11,955
---------------
TOTAL AIR FREIGHT & COURIERS 40,011
---------------
ROAD & RAIL 0.2%
Burlington Northern Santa Fe
Corp. 130 9,547
Union Pacific Corp. 100 8,800
Norfolk Southern Corp. 150 6,607
CSX Corp. 160 5,253
Ryder System, Inc. 20 1,034
---------------
TOTAL ROAD & RAIL 31,241
---------------
COMMERCIAL SERVICES & SUPPLIES 0.2%
Waste Management, Inc. 200 7,336
Pitney Bowes, Inc. 80 3,550
RR Donnelley & Sons Co. 80 2,637
Cintas Corp. 50 2,041
Robert Half International, Inc. 60 2,038
Equifax, Inc. 50 1,836
Monster Worldwide, Inc.* 50 1,810
Avery Dennison Corp. 30 1,805
Allied Waste Industries, Inc.* 90 1,014
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 24,067
---------------
ELECTRICAL EQUIPMENT 0.1%
Emerson Electric Co. 150 12,579
Rockwell Automation, Inc. 60 3,486
Cooper Industries Ltd. -- Class A 30 2,556
American Power Conversion Corp. 60 1,318
---------------
TOTAL ELECTRICAL EQUIPMENT 19,939
---------------
BUILDING PRODUCTS 0.0%
Masco Corp. 150 4,113
American Standard Cos., Inc. 60 2,518
---------------
TOTAL BUILDING PRODUCTS 6,631
---------------
AIRLINES 0.0%
Southwest Airlines Co. 290 4,831
---------------
TOTAL AIRLINES 4,831
---------------
CONSTRUCTION & ENGINEERING 0.0%
Fluor Corp. 30 2,307
---------------
TOTAL CONSTRUCTION & ENGINEERING 2,307
---------------
TRADING COMPANIES & DISTRIBUTORS 0.0%
W.W. Grainger, Inc. 30 2,011
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 2,011
---------------
TOTAL INDUSTRIALS 477,174
---------------
CONSUMER DISCRETIONARY 3.1%
MEDIA 1.1%
Comcast Corp. -- Class A* 760 28,006
Time Warner, Inc. 1,480 26,980
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Walt Disney Co. 760 $ 23,491
News Corp. -- Class A 850 16,702
Viacom, Inc. -- Class B* 260 9,667
CBS Corp. 280 7,888
McGraw-Hill Cos., Inc. 130 7,544
Omnicom Group, Inc. 60 5,616
Clear Channel Communications,
Inc. 180 5,193
Gannett Co., Inc. 90 5,115
Univision Communications, Inc.
-- Class A* 90 3,091
Tribune Co. 70 2,290
Interpublic Group of Cos., Inc.* 160 1,584
EW Scripps Co. -- Class A 30 1,438
New York Times Co. -- Class A 50 1,149
Dow Jones & Co., Inc. 20 671
Meredith Corp. 10 493
---------------
TOTAL MEDIA 146,918
---------------
SPECIALTY RETAIL 0.6%
Home Depot, Inc. 750 27,202
Lowe's Cos., Inc. 560 15,714
Best Buy Co., Inc. 150 8,034
Staples, Inc. 260 6,326
TJX Cos., Inc. 160 4,485
Office Depot, Inc.* 100 3,970
Bed Bath & Beyond, Inc.* 100 3,826
The Gap, Inc. 200 3,790
Limited Brands, Inc. 120 3,179
Sherwin-Williams Co. 40 2,231
AutoZone, Inc.* 20 2,066
Tiffany & Co. 50 1,660
Circuit City Stores, Inc. 50 1,255
AutoNation, Inc.* 60 1,254
OfficeMax, Inc. 30 1,222
RadioShack Corp. 50 965
---------------
TOTAL SPECIALTY RETAIL 87,179
---------------
HOTELS, RESTAURANTS & LEISURE 0.5%
McDonald's Corp. 450 17,604
Starbucks Corp.* 280 9,534
Carnival Corp. 160 7,525
Yum! Brands, Inc. 100 5,205
Marriott International, Inc. --
Class A 130 5,023
International Game Technology,
Inc. 120 4,980
Harrah's Entertainment, Inc. 70 4,650
Starwood Hotels & Resorts
Worldwide, Inc. 80 4,575
Hilton Hotels Corp. 140 3,899
Wendy's International, Inc. 40 2,680
Darden Restaurants, Inc. 50 2,124
Wyndham Worldwide Corp.* 70 1,958
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 69,757
---------------
See Notes to Financial Statements.
30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 0.4%
Target Corp. 310 $ 17,128
Federated Department Stores, Inc. 200 8,642
Kohl's Corp.* 120 7,790
J.C. Penney Holding Co., Inc. 80 5,471
Sears Holdings Corp.* 30 4,743
Nordstrom, Inc. 80 3,384
Family Dollar Stores, Inc. 60 1,754
Dollar General Corp. 110 1,499
Big Lots, Inc.* 40 792
Dillard's, Inc. -- Class A 20 655
---------------
TOTAL MULTILINE RETAIL 51,858
---------------
HOUSEHOLD DURABLES 0.2%
Fortune Brands, Inc. 60 4,507
Newell Rubbermaid, Inc. 100 2,832
Pulte Homes, Inc. 80 2,549
Whirlpool Corp. 30 2,523
D.R. Horton, Inc. 100 2,395
Black & Decker Corp. 30 2,380
Lennar Corp. -- Class A 50 2,262
Centex Corp. 40 2,105
Leggett & Platt, Inc. 70 1,752
Harman International Industries,
Inc. 20 1,669
Stanley Works 30 1,496
KB HOME 30 1,314
Snap-On, Inc. 20 891
---------------
TOTAL HOUSEHOLD DURABLES 28,675
---------------
AUTOMOBILES 0.1%
General Motors Corp. 210 6,985
Harley-Davidson, Inc. 100 6,275
Ford Motor Co. 690 5,582
---------------
TOTAL AUTOMOBILES 18,842
---------------
TEXTILES & APPAREL 0.1%
Nike, Inc. -- Class B 70 6,133
Coach, Inc.* 130 4,472
VF Corp. 30 2,189
Liz Claiborne, Inc. 40 1,580
Jones Apparel Group, Inc. 40 1,298
---------------
TOTAL TEXTILES & APPAREL 15,672
---------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Mattel, Inc. 140 2,758
Eastman Kodak Co. 100 2,240
Hasbro, Inc. 60 1,365
Brunswick Corp. 30 936
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 7,299
---------------
AUTO COMPONENTS 0.0%
Johnson Controls, Inc. 70 5,022
Goodyear Tire & Rubber Co.* 60 870
---------------
TOTAL AUTO COMPONENTS 5,892
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 0.0%
H&R Block, Inc. 120 $ 2,609
Apollo Group, Inc. -- Class A* 50 2,462
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 5,071
---------------
INTERNET & CATALOG RETAIL 0.0%
Amazon.com, Inc.* 110 3,533
---------------
TOTAL INTERNET & CATALOG RETAIL 3,533
---------------
DISTRIBUTORS 0.0%
Genuine Parts Co. 60 2,588
---------------
TOTAL DISTRIBUTORS 2,588
---------------
TOTAL CONSUMER DISCRETIONARY 443,284
---------------
CONSUMER STAPLES 3.0%
FOOD & DRUG RETAILING 0.7%
Wal-Mart Stores, Inc. 900 44,388
Walgreen Co. 370 16,424
CVS Corp. 300 9,636
Costco Wholesale Corp. 170 8,446
Sysco Corp. 230 7,693
Kroger Co. 260 6,016
Safeway, Inc. 160 4,856
Whole Foods Market, Inc. 50 2,972
Supervalu, Inc. 80 2,372
---------------
TOTAL FOOD & DRUG RETAILING 102,803
---------------
HOUSEHOLD PRODUCTS 0.7%
Procter & Gamble Co. 1,160 71,897
Colgate-Palmolive Co. 190 11,799
Kimberly-Clark Corp. 170 11,111
Clorox Co. 60 3,780
---------------
TOTAL HOUSEHOLD PRODUCTS 98,587
---------------
BEVERAGES 0.7%
PepsiCo, Inc. 600 39,156
Coca-Cola Co. 740 33,063
Anheuser-Busch Cos., Inc. 280 13,303
Constellation Brands, Inc. --
Class A* 80 2,302
Brown-Forman Corp. -- Class B 30 2,300
Coca-Cola Enterprises, Inc. 100 2,083
Pepsi Bottling Group, Inc. 50 1,775
Molson Coors Brewing Co. --
Class B 20 1,378
---------------
TOTAL BEVERAGES 95,360
---------------
TOBACCO 0.5%
Altria Group, Inc. 760 58,178
Reynolds American, Inc. 60 3,718
UST, Inc. 60 3,290
---------------
TOTAL TOBACCO 65,186
---------------
FOOD PRODUCTS 0.3%
Archer-Daniels-Midland Co. 240 9,091
General Mills, Inc. 130 7,358
H.J. Heinz Co. 120 5,031
ConAgra Foods, Inc. 190 4,651
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Sara Lee Corp. 280 $ 4,500
Kellogg Co. 90 4,457
WM Wrigley Jr Co. 80 3,685
Hershey Co. 60 3,207
Campbell Soup Co. 80 2,920
Dean Foods Co.* 50 2,101
McCormick & Co., Inc. 50 1,899
Tyson Foods, Inc. -- Class A 90 1,429
---------------
TOTAL FOOD PRODUCTS 50,329
---------------
PERSONAL PRODUCTS 0.1%
Avon Products, Inc. 160 4,906
Estee Lauder Cos., Inc. -- Class A 50 2,016
Alberto-Culver Co. -- Class B 30 1,518
---------------
TOTAL PERSONAL PRODUCTS 8,440
---------------
TOTAL CONSUMER STAPLES 420,705
---------------
ENERGY 2.9%
OIL & GAS 2.4%
Exxon Mobil Corp. 2,170 145,607
Chevron Corp. 800 51,888
ConocoPhillips 600 35,718
Occidental Petroleum Corp. 310 14,914
Valero Energy Corp. 220 11,323
Devon Energy Corp. 160 10,104
Marathon Oil Corp. 130 9,997
Apache Corp. 120 7,584
Anadarko Petroleum Corp. 170 7,451
EOG Resources, Inc. 90 5,855
XTO Energy, Inc. 130 5,477
Williams Cos., Inc. 220 5,251
Kinder Morgan, Inc. 40 4,194
Chesapeake Energy Corp. 140 4,057
Hess Corp. 90 3,728
El Paso Corp. 250 3,410
Murphy Oil Corp. 70 3,329
Sunoco, Inc. 50 3,110
Consol Energy, Inc. 70 2,221
---------------
TOTAL OIL & GAS 335,218
---------------
ENERGY EQUIPMENT & SERVICES 0.5%
Schlumberger Ltd. 430 26,673
Halliburton Co. 380 10,811
Baker Hughes, Inc. 120 8,184
Transocean, Inc.* 110 8,055
Weatherford International Ltd.* 130 5,424
Nabors Industries Ltd.* 120 3,570
National-Oilwell Varco, Inc.* 60 3,513
BJ Services Co. 110 3,314
Noble Corp. 50 3,209
Smith International, Inc. 70 2,716
Rowan Cos., Inc. 40 1,265
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 76,734
---------------
TOTAL ENERGY 411,952
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 1.1%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.9%
AT&T, Inc. 1,420 $ 46,235
Verizon Communications, Inc. 1,060 39,358
BellSouth Corp. 660 28,215
Qwest Communications
International, Inc.* 580 5,058
Embarq Corp. 50 2,418
Windstream Corp. 169 2,229
Citizens Communications Co. 120 1,685
CenturyTel, Inc. 40 1,587
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 126,785
---------------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
Sprint Nextel Corp. 1,090 18,693
Alltel Corp. 140 7,770
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 26,463
---------------
TOTAL TELECOMMUNICATION SERVICES 153,248
---------------
UTILITIES 1.1%
ELECTRIC UTILITIES 0.6%
Exelon Corp. 240 14,530
TXU Corp. 170 10,629
Southern Co. 270 9,304
FPL Group, Inc. 150 6,750
FirstEnergy Corp. 120 6,703
Entergy Corp. 80 6,258
American Electric Power Co., Inc. 140 5,092
Edison International 120 4,997
PPL Corp. 140 4,606
Progress Energy, Inc. 90 4,084
Allegheny Energy, Inc.* 60 2,410
Pinnacle West Capital Corp. 40 1,802
---------------
TOTAL ELECTRIC UTILITIES 77,165
---------------
MULTI-UTILITIES 0.5%
Duke Energy Corp. 460 13,892
Dominion Resources, Inc. 130 9,944
Public Service Enterprise Group,
Inc. 90 5,507
PG&E Corp. 130 5,414
Sempra Energy 100 5,025
AES Corp.* 240 4,894
Ameren Corp. 80 4,223
Consolidated Edison, Inc. 90 4,158
Constellation Energy Group, Inc. 70 4,144
Xcel Energy, Inc. 150 3,097
DTE Energy Co. 60 2,491
KeySpan Corp. 60 2,468
NiSource, Inc. 100 2,174
CenterPoint Energy, Inc. 110 1,575
TECO Energy, Inc. 80 1,252
CMS Energy Corp.* 80 1,155
Dynegy, Inc. -- Class A* 140 776
---------------
TOTAL MULTI-UTILITIES 72,189
---------------
See Notes to Financial Statements.
32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
GAS UTILITIES 0.0%
Nicor, Inc. 20 $ 855
Peoples Energy Corp. 10 407
---------------
TOTAL GAS UTILITIES 1,262
---------------
TOTAL UTILITIES 150,616
---------------
MATERIALS 0.9%
CHEMICALS 0.5%
E.I. du Pont de Nemours and Co. 340 14,566
Dow Chemical Co. 350 13,643
Monsanto Co. 200 9,402
Praxair, Inc. 120 7,099
Air Products & Chemicals, Inc. 80 5,310
PPG Industries, Inc. 60 4,025
Ecolab, Inc. 70 2,997
Rohm & Haas Co. 50 2,367
Eastman Chemical Co. 30 1,621
Sigma-Aldrich Corp. 20 1,513
Ashland, Inc. 20 1,276
International Flavors &
Fragrances, Inc. 30 1,186
Hercules, Inc.* 40 631
---------------
TOTAL CHEMICALS 65,636
---------------
METALS & MINING 0.2%
Alcoa, Inc. 320 8,973
Newmont Mining Corp. 160 6,840
Phelps Dodge Corp. 70 5,929
Nucor Corp. 110 5,444
Freeport-McMoRan Copper &
Gold, Inc. -- Class B 70 3,728
Allegheny Technologies, Inc. 40 2,488
United States Steel Corp. 40 2,307
---------------
TOTAL METALS & MINING 35,709
---------------
PAPER & FOREST PRODUCTS 0.1%
International Paper Co. 170 5,887
Weyerhaeuser Co. 90 5,537
MeadWestvaco Corp. 70 1,856
Louisiana-Pacific Corp. 40 751
---------------
TOTAL PAPER & FOREST PRODUCTS 14,031
---------------
CONTAINERS & PACKAGING 0.1%
Sealed Air Corp. 30 1,624
Ball Corp. 40 1,618
Temple-Inland, Inc. 40 1,604
Pactiv Corp.* 50 1,421
Bemis Co. 40 1,314
---------------
TOTAL CONTAINERS & PACKAGING 7,581
---------------
CONSTRUCTION MATERIALS 0.0%
Vulcan Materials Co. 40 3,130
---------------
TOTAL CONSTRUCTION MATERIALS 3,130
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TOTAL MATERIALS $ 126,087
---------------
TOTAL COMMON STOCKS
(Cost $4,173,098) 4,387,227
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 54.1%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 160,641 160,641
4.95% due 10/02/06 2,433,771 2,433,771
4.94% due 10/02/06+ 472,943 472,943
4.89% due 10/02/06 1,581,951 1,581,951
4.80% due 10/02/06 2,920,525 2,920,525
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,569,831) 7,569,831
---------------
TOTAL INVESTMENTS 85.4%
(Cost $11,742,929) $ 11,957,058
===============
OTHER ASSETS IN EXCESS OF
LIABILITIES - 14.6% $ 2,048,129
===============
NET ASSETS - 100.0% $ 14,005,187
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $2,353,313) 35 $ 31,334
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
December 2006 S&P 500 Index
Swap, Maturing 12/12/06**
(Notional Market Value
$2,368,754) 1,773 $ 24,034
December 2006 S&P 500 Index
Swap, Maturing 12/27/06**
(Notional Market Value
$4,947,213) 3,703 (12,862)
---------------
(TOTAL NOTIONAL MARKET
VALUE $7,315,967) $ 11,172
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE S&P 500 MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 57.1%
Farmer Mac*
5.25% due 10/13/06 $ 25,000,000 $ 24,959,896
Federal Farm Credit Bank*
5.05% due 10/25/06 50,000,000 49,837,722
Federal Home Loan Bank*
5.15% due 10/13/06 25,000,000 24,960,698
Freddie Mac*
5.00% due 10/10/06 50,000,000 49,944,500
5.00% due 11/14/06 50,000,000 49,701,389
5.09% due 12/01/06 50,000,000 49,575,833
5.14% due 01/04/07 50,000,000 49,328,945
---------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $298,308,983) 298,308,983
---------------
REPURCHASE AGREEMENTS 43.4%
Repurchase Agreement (Note 6)
5.00% due 10/02/06+ 50,421,902 50,421,902
4.95% due 10/02/06 57,146,590 57,146,590
4.94% due 10/02/06+ 13,276,484 13,276,484
4.89% due 10/02/06 37,145,284 37,145,284
4.80% due 10/02/06 68,575,908 68,575,908
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $226,566,168) 226,566,168
---------------
TOTAL INVESTMENTS 100.5%
(Cost $524,875,151) $ 524,875,151
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (0.5)% $ (2,677,940)
===============
NET ASSETS - 100.0% $ 522,197,211
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $38,056,425) 566 $ (849,310)
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
SOLD SHORT
December 2006 S&P 500 Index
Swap, Maturing 12/12/06**
(Notional Market Value
$410,696,844) 307,442 $ (4,575,121)
December 2006 S&P 500 Index
Swap, Maturing 12/27/06**
(Notional Market Value
$72,420,457) 54,213 179,521
---------------
(TOTAL NOTIONAL MARKET
VALUE $483,117,301) $ (4,395,600)
===============
* THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A
CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY
THE U.S. GOVERNMENT.
** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 94.7%
INFORMATION TECHNOLOGY 59.3%
SOFTWARE 15.0%
Microsoft Corp.+ 1,616,382 $ 44,175,720
Oracle Corp.* 1,124,950 19,956,613
Adobe Systems, Inc.*+ 273,340 10,236,583
Symantec Corp.*+ 411,280 8,752,038
Intuit, Inc.* 243,300 7,807,497
Electronic Arts, Inc.*+ 86,723 4,828,737
Citrix Systems, Inc.*+ 130,920 4,740,613
Autodesk, Inc.*+ 126,228 4,390,210
BEA Systems, Inc.*+ 253,280 3,849,856
Red Hat, Inc.*+ 108,698 2,291,354
Check Point Software
Technologies Ltd.*+ 119,340 2,273,427
---------------
TOTAL SOFTWARE 113,302,648
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 10.9%
Intel Corp.+ 963,340 19,815,904
Altera Corp.*+ 524,092 9,632,811
Applied Materials, Inc. 513,140 9,097,972
Broadcom Corp. -- Class A*+ 219,300 6,653,562
Lam Research Corp.*+ 132,188 5,992,082
Maxim Integrated Products, Inc.+ 208,950 5,865,226
Xilinx, Inc. 262,820 5,768,899
Nvidia Corp.*+ 182,480 5,399,583
Marvell Technology Group Ltd.*+ 274,250 5,312,223
Linear Technology Corp.+ 152,616 4,749,410
Microchip Technology, Inc. 122,919 3,985,034
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 82,272,706
---------------
COMMUNICATIONS EQUIPMENT 10.4%
Qualcomm, Inc. 1,035,140 37,627,339
Cisco Systems, Inc.*+ 1,141,440 26,253,120
Research In Motion Ltd.*+ 35,100 3,603,366
Juniper Networks, Inc.*+ 151,020 2,609,626
Tellabs, Inc.* 235,550 2,581,628
JDS Uniphase Corp.*+ 915,050 2,003,959
Telefonaktiebolaget LM Ericsson
-- SP ADR+ 53,800 1,853,410
Comverse Technology, Inc.* 82,830 1,775,875
---------------
TOTAL COMMUNICATIONS EQUIPMENT 78,308,323
---------------
COMPUTERS & PERIPHERALS 9.6%
Apple Computer, Inc.*+ 604,690 46,579,271
Dell, Inc.*+ 417,760 9,541,638
Network Appliance, Inc.*+ 233,540 8,643,315
SanDisk Corp.*+ 89,540 4,793,972
Sun Microsystems, Inc.* 493,940 2,454,882
---------------
TOTAL COMPUTERS & PERIPHERALS 72,013,078
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES 8.4%
Google, Inc. -- Class A*+ 65,930 $ 26,497,267
eBay, Inc.*+ 494,120 14,013,243
VeriSign, Inc.*+ 523,160 10,567,832
Yahoo!, Inc.*+ 271,830 6,871,862
Akamai Technologies, Inc.*+ 99,324 4,965,207
---------------
TOTAL INTERNET SOFTWARE & SERVICES 62,915,411
---------------
IT CONSULTING & SERVICES 3.5%
Fiserv, Inc.* 291,173 13,711,337
Cognizant Technology Solutions
Corp. -- Class A* 61,400 4,547,284
CheckFree Corp.*+ 104,007 4,297,569
Paychex, Inc. 101,600 3,743,960
---------------
TOTAL IT CONSULTING & SERVICES 26,300,150
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5%
CDW Corp.+ 182,156 11,235,382
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 11,235,382
---------------
TOTAL INFORMATION TECHNOLOGY 446,347,698
---------------
CONSUMER DISCRETIONARY 15.0%
MEDIA 5.0%
Comcast Corp. -- Class A*+ 513,790 18,933,161
EchoStar Communications Corp.* 189,852 6,215,754
Sirius Satellite Radio, Inc.*+ 1,241,458 4,854,101
Lamar Advertising Co. --
Class A*+ 69,250 3,698,643
Liberty Global, Inc. -- Class A*+ 55,730 1,434,490
NTL, Inc. 55,730 1,417,214
XM Satellite Radio Holdings, Inc.* 68,920 888,379
---------------
TOTAL MEDIA 37,441,742
---------------
HOTELS, RESTAURANTS & LEISURE 3.0%
Starbucks Corp.*+ 554,180 18,869,829
Wynn Resorts Ltd.*+ 54,740 3,722,868
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 22,592,697
---------------
SPECIALTY RETAIL 2.5%
Bed Bath & Beyond, Inc.* 192,030 7,347,068
Staples, Inc. 201,390 4,899,819
Ross Stores, Inc.+ 160,202 4,070,733
Urban Outfitters, Inc.*+ 77,470 1,370,444
Petsmart, Inc.+ 32,230 894,382
---------------
TOTAL SPECIALTY RETAIL 18,582,446
---------------
MULTILINE RETAIL 1.7%
Sears Holdings Corp.*+ 83,020 13,124,632
---------------
TOTAL MULTILINE RETAIL 13,124,632
---------------
INTERNET & CATALOG RETAIL 1.5%
Amazon.com, Inc.*+ 136,470 4,383,416
IAC/InterActiveCorp*+ 132,500 3,810,700
Expedia, Inc.*+ 202,770 3,179,434
---------------
TOTAL INTERNET & CATALOG RETAIL 11,373,550
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOUSEHOLD DURABLES 0.7%
Garmin Ltd.+ 109,271 $ 5,330,239
---------------
TOTAL HOUSEHOLD DURABLES 5,330,239
---------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Apollo Group, Inc. -- Class A*+ 88,660 4,365,618
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 4,365,618
---------------
TOTAL CONSUMER DISCRETIONARY 112,810,924
---------------
HEALTH CARE 13.5%
BIOTECHNOLOGY 9.3%
Amgen, Inc.*+ 338,483 24,211,689
Gilead Sciences, Inc.*+ 239,554 16,457,360
Genzyme Corp.*+ 159,430 10,756,742
Celgene Corp.*+ 184,896 8,005,997
Biogen Idec, Inc.*+ 172,140 7,691,215
Amylin Pharmaceuticals, Inc.*+ 58,860 2,593,960
Medimmune, Inc.*+ 2,250 65,723
---------------
TOTAL BIOTECHNOLOGY 69,782,686
---------------
PHARMACEUTICALS 1.8%
Teva Pharmaceutical Industries
Ltd. -- SP ADR+ 317,910 10,837,552
Sepracor, Inc.*+ 51,760 2,507,254
---------------
TOTAL PHARMACEUTICALS 13,344,806
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.3%
Biomet, Inc. 175,896 5,662,092
Intuitive Surgical, Inc.*+ 18,650 1,966,643
DENTSPLY International, Inc.+ 61,440 1,849,958
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 9,478,693
---------------
HEALTH CARE PROVIDERS & SERVICES 1.1%
Express Scripts, Inc.* 63,710 4,809,468
Patterson Cos., Inc.*+ 73,359 2,465,596
Lincare Holdings, Inc.*+ 41,020 1,420,933
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 8,695,997
---------------
TOTAL HEALTH CARE 101,302,182
---------------
INDUSTRIALS 4.1%
MACHINERY 1.4%
Paccar, Inc. 144,250 8,225,135
Joy Global, Inc. 59,270 2,229,145
---------------
TOTAL MACHINERY 10,454,280
---------------
AIR FREIGHT & COURIERS 1.1%
Expeditors International
Washington, Inc.+ 105,600 4,707,648
CH Robinson Worldwide, Inc.+ 84,930 3,786,179
---------------
TOTAL AIR FREIGHT & COURIERS 8,493,827
---------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Cintas Corp. 100,070 4,085,858
Monster Worldwide, Inc.* 68,630 2,483,720
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 6,569,578
---------------
TRADING COMPANIES & DISTRIBUTORS 0.4%
Fastenal Co.+ 75,236 2,901,853
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 2,901,853
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 0.3%
American Power Conversion
Corp.+ 102,367 $ 2,247,979
---------------
TOTAL ELECTRICAL EQUIPMENT 2,247,979
---------------
TOTAL INDUSTRIALS 30,667,517
---------------
CONSUMER STAPLES 1.4%
FOOD & DRUG RETAILING 1.4%
Costco Wholesale Corp.+ 129,842 6,450,550
Whole Foods Market, Inc.+ 65,560 3,896,231
---------------
TOTAL FOOD & DRUG RETAILING 10,346,781
---------------
TOTAL CONSUMER STAPLES 10,346,781
---------------
TELECOMMUNICATION SERVICES 0.9%
WIRELESS TELECOMMUNICATION SERVICES 0.9%
NII Holdings, Inc. -- Class B*+ 73,500 4,568,760
Millicom International Cellular
SA*+ 51,960 2,126,203
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 6,694,963
---------------
TOTAL TELECOMMUNICATION SERVICES 6,694,963
---------------
MATERIALS 0.3%
CHEMICALS 0.3%
Sigma-Aldrich Corp.+ 28,110 2,127,084
---------------
TOTAL CHEMICALS 2,127,084
---------------
TOTAL MATERIALS 2,127,084
---------------
ENERGY 0.2%
ENERGY EQUIPMENT & SERVICES 0.2%
Patterson-UTI Energy, Inc.+ 82,410 1,958,062
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,958,062
---------------
TOTAL ENERGY 1,958,062
---------------
TOTAL COMMON STOCKS
(Cost $439,963,057) 712,255,211
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 5.4%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 908,300 908,300
4.95% due 10/02/06 13,761,105 13,761,105
4.94% due 10/02/06++ 654,864 654,864
4.89% due 10/02/06 8,944,718 8,944,718
4.80% due 10/02/06 16,513,326 16,513,326
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $40,782,313) 40,782,313
---------------
SECURITIES LENDING COLLATERAL 34.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 256,156,878 256,156,878
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $256,156,878) 256,156,878
---------------
See Notes to Financial Statements.
36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS 134.2%
(Cost $736,902,248) $ 1,009,194,402
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (34.2)% $ (257,090,444)
===============
NET ASSETS - 100.0% $ 752,103,958
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 Nasdaq 100 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $33,561,975) 1,005 $ 893,008
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
December 2006 Nasdaq 100 Index
Swap, Maturing 12/12/06**
(Notional Market Value
$ 2,885,139) 1,744 $ 29,524
December 2006 Nasdaq 100 Index
Swap, Maturing 12/27/06**
(Notional Market Value
$4,522,462) 2,734 (21,473)
---------------
(TOTAL NOTIONAL MARKET
VALUE $7,407,601) $ 8,051
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE OTC MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 99.0%
Repurchase Agreement (Note 6)
5.00% due 10/02/06+ $ 19,022,656 $ 19,022,656
4.95% due 10/02/06 58,204,235 58,204,235
4.94% due 10/02/06+ 9,800,585 9,800,585
4.89% due 10/02/06 37,832,752 37,832,752
4.80% due 10/02/06 69,845,081 69,845,081
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $194,705,309) 194,705,309
---------------
TOTAL INVESTMENTS 99.0%
(Cost $194,705,309) $ 194,705,309
===============
OTHER ASSETS IN EXCESS OF
LIABILITIES - 1.0% $ 1,931,340
===============
NET ASSETS - 100.0% $ 196,636,649
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
December 2006 Nasdaq 100 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $10,853,375) 325 $ (512,945)
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
SOLD SHORT
December 2006 Nasdaq 100 Index
Swap, Maturing 12/12/06*
(Notional Market Value
$127,726,128) 77,216 $ (1,997,643)
December 2006 Nasdaq 100 Index
Swap, Maturing 12/27/06*
(Notional Market Value
$58,120,558) 35,137 247,866
---------------
(TOTAL NOTIONAL MARKET
VALUE $185,846,686) $ (1,749,777)
===============
* PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 90.8%
FINANCIALS 16.8%
INSURANCE 4.9%
W.R. Berkley Corp. 12,928 $ 457,522
Old Republic International Corp. 19,085 422,733
HCC Insurance Holdings, Inc. 11,070 363,982
Protective Life Corp. 7,470 341,752
AmerUs Group Co.+ 4,900 333,249
Brown & Brown, Inc. 8,900 271,984
Fidelity National Financial, Inc. 1,670 69,556
Everest Re Group Ltd. 310 30,234
Ohio Casualty Corp.+ 860 22,248
---------------
TOTAL INSURANCE 2,313,260
---------------
REAL ESTATE 4.2%
Macerich Co. 5,790 442,125
AMB Property Corp. 7,400 407,814
Rayonier, Inc. 8,540 322,812
Highwoods Properties, Inc. 7,910 294,331
Longview Fibre Co. 12,820 260,502
Hospitality Properties Trust+ 2,510 118,472
Developers Diversified Realty
Corp.+ 1,493 83,250
Potlatch Corp. 1,370 50,827
---------------
TOTAL REAL ESTATE 1,980,133
---------------
BANKS 3.1%
Colonial BancGroup, Inc. 14,708 360,346
Cullen/Frost Bankers, Inc. 5,580 322,636
Texas Regional Bancshares, Inc.
-- Class A 7,360 282,992
Greater Bay Bancorp 9,630 271,662
Wilmington Trust Corp. 5,050 224,977
---------------
TOTAL BANKS 1,462,613
---------------
THRIFTS & MORTGAGE FINANCE 2.1%
Radian Group, Inc.+ 6,860 411,600
PMI Group, Inc.+ 8,530 373,699
IndyMac Bancorp, Inc. 4,920 202,507
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 987,806
---------------
CAPITAL MARKETS 1.8%
SEI Investments Co. 4,600 258,474
Investors Financial Services Corp. 4,970 214,108
Raymond James Financial, Inc. 7,250 211,990
Waddell & Reed Financial, Inc. --
Class A 3,130 77,467
A.G. Edwards, Inc.+ 1,058 56,370
Eaton Vance Corp. 1,078 31,111
---------------
TOTAL CAPITAL MARKETS 849,520
---------------
DIVERSIFIED FINANCIALS 0.4%
Leucadia National Corp. 6,580 172,199
---------------
TOTAL DIVERSIFIED FINANCIALS 172,199
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER FINANCE 0.3%
AmeriCredit Corp.*+ 5,220 $ 130,448
---------------
TOTAL CONSUMER FINANCE 130,448
---------------
TOTAL FINANCIALS 7,895,979
---------------
INDUSTRIALS 14.2%
COMMERCIAL SERVICES & SUPPLIES 3.7%
Manpower, Inc.+ 7,130 436,855
Adesa, Inc.+ 13,490 311,754
Avis Budget Group, Inc. 15,190 277,825
Navigant Consulting, Inc.* 12,970 260,178
Korn/Ferry International, Inc.* 12,220 255,887
Deluxe Corp. 8,230 140,733
Stericycle, Inc.* 290 20,239
Dun & Bradstreet Corp.* 260 19,498
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,722,969
---------------
MACHINERY 3.6%
Kennametal, Inc. 5,570 315,540
Crane Co. 7,370 308,066
Timken Co.+ 10,070 299,885
Nordson Corp. 6,740 268,656
Graco, Inc.+ 5,650 220,689
Lincoln Electric Holdings, Inc. 2,860 155,727
Joy Global, Inc. 1,890 71,083
AGCO Corp.*+ 2,788 70,676
---------------
TOTAL MACHINERY 1,710,322
---------------
AIR FREIGHT & COURIERS 1.4%
CH Robinson Worldwide, Inc.+ 8,210 366,002
Expeditors International
Washington, Inc.+ 7,140 318,301
---------------
TOTAL AIR FREIGHT & COURIERS 684,303
---------------
AEROSPACE & DEFENSE 1.1%
DRS Technologies, Inc.+ 6,311 275,601
Precision Castparts Corp. 3,910 246,956
---------------
TOTAL AEROSPACE & DEFENSE 522,557
---------------
ELECTRICAL EQUIPMENT 1.1%
Thomas & Betts Corp.* 5,660 270,039
Hubbell, Inc. -- Class B 3,714 177,901
Roper Industries, Inc. 1,210 54,135
AMETEK, Inc. 160 6,968
---------------
TOTAL ELECTRICAL EQUIPMENT 509,043
---------------
TRADING COMPANIES & DISTRIBUTORS 0.9%
United Rentals, Inc.* 12,280 285,510
MSC Industrial Direct Co. --
Class A 2,450 99,813
GATX Corp. 840 34,751
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 420,074
---------------
CONSTRUCTION & ENGINEERING 0.7%
Granite Construction, Inc.+ 4,750 253,412
Quanta Services, Inc.*+ 5,930 99,980
---------------
TOTAL CONSTRUCTION & ENGINEERING 353,392
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ROAD & RAIL 0.7%
Con-way, Inc. 5,690 $ 255,026
J.B. Hunt Transport Services, Inc.+ 4,630 96,165
Swift Transportation Co., Inc.*+ 40 949
---------------
TOTAL ROAD & RAIL 352,140
---------------
INDUSTRIAL CONGLOMERATES 0.5%
Carlisle Cos., Inc. 2,580 216,978
---------------
TOTAL INDUSTRIAL CONGLOMERATES 216,978
---------------
AIRLINES 0.3%
AirTran Holdings, Inc.* 14,710 145,923
---------------
TOTAL AIRLINES 145,923
---------------
MARINE 0.2%
Alexander & Baldwin, Inc.+ 1,760 78,091
---------------
TOTAL MARINE 78,091
---------------
TOTAL INDUSTRIALS 6,715,792
---------------
INFORMATION TECHNOLOGY 13.7%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.3%
Lam Research Corp.*+ 10,760 487,751
Intersil Corp. -- Class A+ 14,300 351,065
Cree, Inc.*+ 14,758 296,783
MEMC Electronic Materials, Inc.*+ 6,440 235,897
Microchip Technology, Inc. 2,280 73,918
Atmel Corp.* 10,902 65,848
RF Micro Devices, Inc.* 5,080 38,507
Semtech Corp.* 240 3,062
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 1,552,831
---------------
IT CONSULTING & SERVICES 3.2%
CheckFree Corp.*+ 9,690 400,391
MoneyGram International, Inc. 10,200 296,412
CSG Systems International, Inc.* 9,930 262,450
Acxiom Corp. 10,390 256,217
Cognizant Technology Solutions
Corp. -- Class A* 2,519 186,557
BISYS Group, Inc.* 6,840 74,282
Alliance Data Systems Corp.*+ 600 33,114
---------------
TOTAL IT CONSULTING & SERVICES 1,509,423
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.2%
Tech Data Corp.* 8,380 306,121
Vishay Intertechnology, Inc.* 18,690 262,407
Ingram Micro, Inc. -- Class A*+ 13,660 261,726
Plexus Corp.* 10,370 199,104
CDW Corp.+ 310 19,121
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,048,479
---------------
SOFTWARE 2.2%
Fair Isaac Corp.+ 8,680 317,427
Transaction Systems Architects,
Inc. -- Class A* 7,280 249,850
Advent Software, Inc.* 5,070 183,585
Mentor Graphics Corp.* 10,110 142,349
Synopsys, Inc.*+ 5,540 109,249
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Sybase, Inc.* 1,080 $ 26,179
---------------
TOTAL SOFTWARE 1,028,639
---------------
COMMUNICATIONS EQUIPMENT 1.7%
F5 Networks, Inc.* 5,930 318,560
Polycom, Inc.*+ 12,530 307,361
Harris Corp. 3,435 152,823
CommScope, Inc.* 1,600 52,576
---------------
TOTAL COMMUNICATIONS EQUIPMENT 831,320
---------------
COMPUTERS & PERIPHERALS 0.9%
Palm, Inc.*+ 17,890 260,478
Western Digital Corp.* 7,420 134,302
Imation Corp. 340 13,651
---------------
TOTAL COMPUTERS & PERIPHERALS 408,431
---------------
OFFICE ELECTRONICS 0.2%
Zebra Technologies Corp. --
Class A*+ 2,820 100,787
---------------
TOTAL OFFICE ELECTRONICS 100,787
---------------
TOTAL INFORMATION TECHNOLOGY 6,479,910
---------------
CONSUMER DISCRETIONARY 13.7%
SPECIALTY RETAIL 5.9%
American Eagle Outfitters, Inc.+ 10,650 466,790
Michaels Stores, Inc. 10,290 448,027
Ross Stores, Inc. 14,340 364,379
AnnTaylor Stores Corp.*+ 8,378 350,703
Payless Shoesource, Inc.* 11,680 290,832
Claire's Stores, Inc. 9,813 286,147
Williams-Sonoma, Inc.+ 8,680 281,145
Rent-A-Center, Inc.* 9,110 266,832
Chico's FAS, Inc.*+ 1,200 25,836
Abercrombie & Fitch Co. --
Class A+ 190 13,201
---------------
TOTAL SPECIALTY RETAIL 2,793,892
---------------
HOTELS, RESTAURANTS & LEISURE 1.6%
Bob Evans Farms, Inc. 8,960 271,309
Ruby Tuesday, Inc.+ 9,540 268,933
Scientific Games Corp. --
Class A*+ 7,040 223,872
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 764,114
---------------
HOUSEHOLD DURABLES 1.5%
Mohawk Industries, Inc.*+ 5,150 383,417
Furniture Brands International, Inc.+ 13,061 248,681
Tupperware Brands Corp.+ 2,460 47,872
American Greetings Corp. --
Class A+ 290 6,705
---------------
TOTAL HOUSEHOLD DURABLES 686,675
---------------
MEDIA 1.3%
Lee Enterprises, Inc.+ 10,320 260,477
Harte-Hanks, Inc. 9,060 238,731
Catalina Marketing Corp. 2,470 67,925
Valassis Communications, Inc.*+ 3,180 56,127
---------------
TOTAL MEDIA 623,260
---------------
See Notes to Financial Statements.
40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 1.1%
Career Education Corp.* 11,045 $ 248,512
ITT Educational Services, Inc.* 2,723 180,535
Sotheby's Holdings, Inc. --
Class A+ 3,240 104,458
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 533,505
---------------
AUTO COMPONENTS 0.8%
BorgWarner, Inc.+ 5,965 341,019
ArvinMeritor, Inc.+ 1,704 24,265
---------------
TOTAL AUTO COMPONENTS 365,284
---------------
TEXTILES & APPAREL 0.6%
Timberland Co. -- Class A*+ 7,210 207,432
Hanesbrands, Inc.* 3,500 78,785
---------------
TOTAL TEXTILES & APPAREL 286,217
---------------
MULTILINE RETAIL 0.5%
Dollar Tree Stores, Inc.*+ 7,690 238,082
---------------
TOTAL MULTILINE RETAIL 238,082
---------------
INTERNET & CATALOG RETAIL 0.2%
Coldwater Creek, Inc.* 2,400 69,024
---------------
TOTAL INTERNET & CATALOG RETAIL 69,024
---------------
AUTOMOBILES 0.1%
Thor Industries, Inc.+ 1,370 56,403
---------------
TOTAL AUTOMOBILES 56,403
---------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Callaway Golf Co.+ 2,600 34,086
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 34,086
---------------
TOTAL CONSUMER DISCRETIONARY 6,450,542
---------------
HEALTH CARE 10.0%
HEALTH CARE PROVIDERS & SERVICES 4.1%
Health Net, Inc.* 9,730 423,450
VCA Antech, Inc.*+ 9,410 339,325
Covance, Inc.* 4,262 282,912
Pharmaceutical Product
Development, Inc. 6,850 244,476
Lincare Holdings, Inc.* 5,310 183,938
Omnicare, Inc.+ 4,120 177,531
Community Health Systems, Inc.* 3,746 139,913
Apria Healthcare Group, Inc.* 6,410 126,533
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,918,078
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 3.7%
Intuitive Surgical, Inc.* 3,640 383,838
Beckman Coulter, Inc.+ 6,030 347,087
Cytyc Corp.*+ 13,344 326,661
Edwards Lifesciences Corp.* 6,980 325,198
Varian, Inc.* 3,570 163,756
ResMed, Inc.* 3,010 121,152
Varian Medical Systems, Inc.*+ 1,190 63,534
Advanced Medical Optics, Inc.*+ 380 15,029
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,746,255
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BIOTECHNOLOGY 1.3%
Cephalon, Inc.*+ 4,305 $ 265,834
Millennium Pharmaceuticals, Inc.*+ 22,440 223,278
Vertex Pharmaceuticals, Inc.*+ 1,420 47,783
Techne Corp.* 570 28,990
Invitrogen Corp.*+ 380 24,096
Martek Biosciences Corp.*+ 710 15,272
Charles River Laboratories
International, Inc.*+ 90 3,907
---------------
TOTAL BIOTECHNOLOGY 609,160
---------------
PHARMACEUTICALS 0.9%
Sepracor, Inc.*+ 4,180 202,479
Perrigo Co. 10,060 170,718
Par Pharmaceutical Cos., Inc.* 3,510 64,023
---------------
TOTAL PHARMACEUTICALS 437,220
---------------
TOTAL HEALTH CARE 4,710,713
---------------
ENERGY 7.9%
OIL & GAS 4.5%
Peabody Energy Corp. 14,578 536,179
Noble Energy, Inc.+ 11,450 522,005
Plains Exploration & Production
Co.* 8,000 343,280
Pogo Producing Co.+ 6,900 282,555
Overseas Shipholding Group, Inc. 4,370 269,935
Denbury Resources, Inc.*+ 2,830 81,787
Arch Coal, Inc.+ 1,110 32,090
Southwestern Energy Co.*+ 1,050 31,363
Newfield Exploration Co.* 270 10,406
Pioneer Natural Resources Co.+ 80 3,130
---------------
TOTAL OIL & GAS 2,112,730
---------------
ENERGY EQUIPMENT & SERVICES 3.4%
Grant Prideco, Inc.* 10,300 391,709
Pride International, Inc.*+ 13,540 371,267
Tidewater, Inc.+ 6,820 301,376
FMC Technologies, Inc.* 4,470 240,039
Patterson-UTI Energy, Inc.+ 4,720 112,147
ENSCO International, Inc.+ 2,378 104,228
Helmerich & Payne, Inc.+ 3,720 85,671
Cameron International Corp.*+ 419 20,242
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,626,679
---------------
TOTAL ENERGY 3,739,409
---------------
UTILITIES 7.6%
MULTI-UTILITIES 3.2%
Wisconsin Energy Corp. 9,560 412,418
MDU Resources Group, Inc.+ 16,006 357,574
OGE Energy Corp.+ 9,410 339,795
Aquila, Inc.* 47,140 204,116
Vectren Corp.+ 6,770 181,775
NSTAR+ 780 26,021
---------------
TOTAL MULTI-UTILITIES 1,521,699
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES 2.1%
Pepco Holdings, Inc. 16,040 $ 387,687
Westar Energy, Inc.+ 12,290 288,938
Hawaiian Electric Industries, Inc. 7,640 206,739
Sierra Pacific Resources*+ 5,030 72,130
Black Hills Corp.+ 1,320 44,365
---------------
TOTAL ELECTRIC UTILITIES 999,859
---------------
GAS UTILITIES 2.0%
Oneok, Inc. 9,980 377,144
AGL Resources, Inc.+ 9,083 331,529
National Fuel Gas Co.+ 3,680 133,768
Questar Corp. 1,050 85,859
---------------
TOTAL GAS UTILITIES 928,300
---------------
WATER UTILITIES 0.3%
Aqua America, Inc.+ 5,180 113,649
---------------
TOTAL WATER UTILITIES 113,649
---------------
TOTAL UTILITIES 3,563,507
---------------
MATERIALS 4.5%
CHEMICALS 2.8%
Airgas, Inc. 8,660 313,232
Albemarle Corp. 5,460 296,642
Valspar Corp. 11,090 294,994
FMC Corp.+ 3,820 244,747
Cytec Industries, Inc.* 2,861 159,043
---------------
TOTAL CHEMICALS 1,308,658
---------------
METALS & MINING 0.7%
Steel Dynamics, Inc. 4,400 221,980
Commercial Metals Co. 4,520 91,891
---------------
TOTAL METALS & MINING 313,871
---------------
CONSTRUCTION MATERIALS 0.5%
Martin Marietta Materials, Inc.+ 2,180 184,472
Florida Rock Industries, Inc. 1,100 42,581
---------------
TOTAL CONSTRUCTION MATERIALS 227,053
---------------
CONTAINERS & PACKAGING 0.4%
Sonoco Products Co. 5,640 189,730
---------------
TOTAL CONTAINERS & PACKAGING 189,730
---------------
PAPER & FOREST PRODUCTS 0.1%
Glatfelter+ 5,304 71,869
---------------
TOTAL PAPER & FOREST PRODUCTS 71,869
---------------
TOTAL MATERIALS 2,111,181
---------------
CONSUMER STAPLES 1.9%
FOOD PRODUCTS 0.8%
Hormel Foods Corp. 8,770 315,544
Smithfield Foods, Inc.* 3,050 82,411
---------------
TOTAL FOOD PRODUCTS 397,955
---------------
HOUSEHOLD PRODUCTS 0.6%
Energizer Holdings, Inc.*+ 3,676 264,635
Church & Dwight Co., Inc.+ 160 6,258
---------------
TOTAL HOUSEHOLD PRODUCTS 270,893
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FOOD & DRUG RETAILING 0.3%
BJ's Wholesale Club, Inc.*+ 4,027 $ 117,508
---------------
TOTAL FOOD & DRUG RETAILING 117,508
---------------
BEVERAGES 0.1%
PepsiAmericas, Inc. 2,390 51,002
---------------
TOTAL BEVERAGES 51,002
---------------
TOBACCO 0.1%
Universal Corp.+ 1,020 37,261
---------------
TOTAL TOBACCO 37,261
---------------
TOTAL CONSUMER STAPLES 874,619
---------------
TELECOMMUNICATION SERVICES 0.5%
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Telephone & Data Systems, Inc. 4,110 173,031
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 173,031
---------------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.1%
Cincinnati Bell, Inc.* 9,890 47,670
---------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 47,670
---------------
TOTAL TELECOMMUNICATION SERVICES 220,701
---------------
TOTAL COMMON STOCKS
(Cost $40,689,536) 42,762,353
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 22.8%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 217,376 217,376
4.95% due 10/02/06 3,293,338 3,293,338
4.94% due 10/02/06++ 1,150,788 1,150,788
4.89% due 10/02/06 2,140,670 2,140,670
4.80% due 10/02/06 3,952,006 3,952,006
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $10,754,178) 10,754,178
---------------
SECURITIES LENDING COLLATERAL 18.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 8,682,175 8,682,175
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $8,682,175) 8,682,175
---------------
TOTAL INVESTMENTS 132.0%
(Cost $60,125,889) $ 62,198,706
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (32.0)% $ (15,066,450)
===============
NET ASSETS - 100.0% $ 47,132,256
================================================================================
See Notes to Financial Statements.
42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P MidCap 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $8,669,700) 114 $ 92,385
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENT
November 2006 S&P MidCap 400 Index
Swap, Maturing 11/21/06**
(Notional Market Value
$ 19,289,557) 25,574 $ 227,458
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE MID-CAP FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 97.1%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 1,083,743 $ 1,083,743
4.95% due 10/02/06 16,419,145 16,419,145
4.94% due 10/02/06+ 3,152,603 3,152,603
4.89% due 10/02/06 10,672,444 10,672,444
4.80% due 10/02/06 19,702,973 19,702,973
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $51,030,908) 51,030,908
---------------
TOTAL INVESTMENTS 97.1%
(Cost $51,030,908) $ 51,030,908
===============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 2.9% $ 1,541,192
===============
NET ASSETS - 100.0% $ 52,572,100
================================================================================
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
December 2006 S&P MidCap 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $16,350,750) 215 $ (134,384)
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENT
SOLD SHORT
November 2006 S&P MidCap 400 Index
Swap, Maturing 11/21/06*
(Notional Market Value
$36,088,772) 47,847 $ (322,225)
===============
* PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 70.1%
FINANCIALS 15.9%
REAL ESTATE 5.6%
Alexandria Real Estate Equities,
Inc.+ 2,110 $ 197,918
Realty Income Corp.+ 7,560 186,808
Home Properties, Inc.+ 3,130 178,911
Post Properties, Inc.+ 3,710 176,299
Nationwide Health Properties,
Inc.+ 6,560 175,414
KKR Financial Corp.+ 7,120 174,725
Sunstone Hotel Investors, Inc.+ 5,402 160,547
American Home Mortgage
Investment Corp. 4,600 160,402
LaSalle Hotel Properties+ 3,690 159,925
Washington Real Estate
Investment Trust+ 3,840 152,832
BioMed Realty Trust, Inc.+ 4,790 145,329
Pennsylvania Real Estate
Investment Trust 3,350 142,610
Corporate Office Properties
Trust SBI 3,130 140,099
Potlatch Corp.+ 3,650 135,415
Strategic Hotel Capital, Inc.+ 6,602 131,248
Trammell Crow Co.*+ 3,542 129,318
Mid-America Apartment
Communities, Inc.+ 1,970 120,603
Senior Housing Properties Trust 5,642 120,400
Entertainment Properties Trust 2,410 118,861
Newcastle Investment Corp. 4,280 117,315
Cousins Properties, Inc. 3,300 112,893
FelCor Lodging Trust, Inc. 5,580 111,879
Eastgroup Properties, Inc.+ 2,080 103,709
Spirit Finance Corp. 8,672 100,682
Tanger Factory Outlet
Centers, Inc.+ 2,820 100,448
DiamondRock Hospitality Co. 6,040 100,324
Sovran Self Storage, Inc.+ 1,790 99,435
Highwoods Properties, Inc. 2,660 98,979
Longview Fibre Co. 4,830 98,146
Glenborough Realty Trust, Inc. 3,760 96,745
Heritage Property Investment
Trust 2,640 96,254
Anthracite Capital, Inc. 7,250 93,235
Franklin Street Properties
Corp., Inc. 4,650 92,349
PS Business Parks, Inc. 1,490 89,847
Highland Hospitality Corp.+ 6,170 88,416
Equity Lifestyle Properties, Inc. 1,920 87,763
Acadia Realty Trust 3,390 86,445
Equity Inns, Inc.+ 5,300 84,376
Innkeepers USA Trust+ 4,750 77,378
Impac Mortgage Holdings, Inc.+ 7,990 74,866
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Deerfield Triarc Capital Corp. 5,220 $ 68,434
First Potomac Realty Trust+ 1,950 58,929
Capital Trust, Inc. -- Class A 1,040 42,359
---------------
TOTAL REAL ESTATE 5,088,870
---------------
BANKS 5.2%
Cathay General Bancorp 6,040 218,046
Umpqua Holding Corp. 7,202 205,977
Westamerica Bancorporation 4,030 203,555
UCBH Holdings, Inc.+ 11,490 200,615
International Bancshares Corp. 6,500 192,920
Greater Bay Bancorp+ 6,690 188,725
Chittenden Corp. 6,472 185,682
SVB Financial Group*+ 3,462 154,544
Provident Bankshares Corp. 4,162 154,202
Sterling Financial Corp. 4,692 152,162
Wintrust Financial Corp. 3,030 151,954
Citizens Banking Corp.+ 5,740 150,732
Pacific Capital Bancorp 5,530 149,144
Central Pacific Financial Corp.+ 4,032 147,491
Boston Private Financial Holdings,
Inc.+ 5,112 142,523
MB Financial Corp. 3,790 139,737
First Republic Bank+ 3,090 131,510
CVB Financial Corp. 8,860 130,862
Sterling Bancshares, Inc. 6,352 128,628
Prosperity Bancshares, Inc. 3,740 127,310
Hanmi Financial Corp. 6,480 127,008
UMB Financial Corp. 3,242 118,560
First Bancorp Puerto Rico 9,700 107,282
First Community Bancorp+ 1,890 105,746
Signature Bank* 3,060 94,646
PrivateBancorp, Inc.+ 2,070 94,640
Capitol Bancorp Ltd. 2,070 92,115
Banner Corp. 1,980 81,259
Texas Capital Bancshares, Inc.* 4,180 78,250
Western Alliance Bancorp, Inc.*+ 2,190 72,051
Old National Bancorp+ 3,350 63,985
Bank of the Ozarks, Inc.+ 1,770 59,950
Preferred Bank 990 59,370
Virginia Commerce Bancorp, Inc.* 2,610 57,942
Wilshire Bancorp, Inc. 2,990 56,930
Intervest Bancshares Corp.*+ 1,300 56,628
Texas United Bancshares, Inc. 1,670 55,093
Placer Sierra Bancshares 2,420 53,748
Chemical Financial Corp. 1,770 52,534
---------------
TOTAL BANKS 4,744,056
---------------
INSURANCE 1.8%
Selective Insurance Group, Inc.+ 2,910 153,095
Delphi Financial Group, Inc. --
Class A+ 3,810 151,943
ProAssurance Corp.* 2,822 139,068
Ohio Casualty Corp.+ 5,302 137,163
National Financial Partners Corp.+ 3,332 136,712
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Zenith National Insurance Corp. 3,400 $ 135,626
LandAmerica Financial Group,
Inc.+ 1,750 115,132
Argonaut Group, Inc.*+ 3,472 107,736
RLI Corp.+ 2,100 106,659
Safety Insurance Group, Inc. 1,820 88,561
Infinity Property & Casualty Corp. 2,110 86,784
Tower Group, Inc. 1,670 55,695
Navigators Group, Inc.* 1,150 55,212
SeaBright Insurance Holdings,
Inc.* 3,380 47,219
Odyssey Re Holdings Corp.+ 1,360 45,941
American Physicians Capital, Inc.* 680 32,898
---------------
TOTAL INSURANCE 1,595,444
---------------
THRIFTS & MORTGAGE FINANCE 1.6%
First Niagara Financial Group, Inc. 10,020 146,091
MAF Bancorp, Inc. 3,492 144,185
Downey Financial Corp.+ 1,920 127,757
FirstFed Financial Corp.*+ 1,890 107,201
Corus Bankshares, Inc.+ 4,592 102,677
PFF Bancorp, Inc. 2,740 101,490
Fremont General Corp.+ 6,260 87,577
Harbor Florida Bancshares, Inc. 1,960 86,848
Accredited Home Lenders
Holding Co.*+ 2,100 75,474
W Holding Co., Inc.+ 12,200 72,102
TierOne Corp. 2,080 70,574
Triad Guaranty, Inc.* 1,360 69,591
Flagstar Bancorp, Inc.+ 4,692 68,269
Franklin Bank Corp.* 3,130 62,224
Ocwen Financial Corp., Inc.*+ 4,090 60,941
Fidelity Bankshares, Inc. 1,090 42,521
Commercial Capital Bancorp, Inc. 1,980 31,561
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,457,083
---------------
CAPITAL MARKETS 0.9%
Waddell & Reed Financial, Inc. --
Class A 7,390 182,903
Knight Capital Group, Inc. --
Class A* 9,520 173,264
Piper Jaffray Cos., Inc.* 2,000 121,240
Calamos Asset Management, Inc.
-- Class A 2,640 77,405
LaBranche & Co., Inc.*+ 7,390 76,634
optionsXpress Holdings, Inc.+ 2,230 62,172
Apollo Investment Corp. 2,600 53,326
GFI Group, Inc.* 620 34,280
---------------
TOTAL CAPITAL MARKETS 781,224
---------------
CONSUMER FINANCE 0.6%
Cash America International, Inc.+ 2,670 104,343
World Acceptance Corp.* 2,110 92,798
Advanta Corp.+ 1,970 72,693
CompuCredit Corp.*+ 2,380 71,900
First Cash Financial Services, Inc.* 2,570 52,916
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Advance America Cash Advance
Centers, Inc.+ 3,204 $ 46,202
Asta Funding, Inc.+ 1,230 46,113
Ezcorp, Inc. -- Class A* 1,170 45,255
---------------
TOTAL CONSUMER FINANCE 532,220
---------------
DIVERSIFIED FINANCIALS 0.2%
Financial Federal Corp.+ 2,942 78,846
Portfolio Recovery Associates,
Inc.*+ 1,790 78,527
International Securities Exchange
Holdings, Inc.+ 1,150 53,923
---------------
TOTAL DIVERSIFIED FINANCIALS 211,296
---------------
TOTAL FINANCIALS 14,410,193
---------------
INFORMATION TECHNOLOGY 13.3%
SOFTWARE 2.9%
Sybase, Inc.* 7,700 186,648
Hyperion Solutions Corp.* 5,080 175,158
TIBCO Software, Inc.* 19,180 172,236
Micros Systems, Inc.*+ 3,482 170,339
Ansys, Inc.*+ 3,060 135,191
Transaction Systems Architects,
Inc. -- Class A* 3,482 119,502
Kronos, Inc.* 3,450 117,610
Intergraph Corp.* 2,710 116,205
MicroStrategy, Inc. -- Class A*+ 1,110 113,031
Internet Security Systems, Inc.* 4,060 112,706
Informatica Corp.*+ 7,902 107,388
Macrovision Corp.*+ 4,522 107,126
Net 1 UEPS Technologies, Inc.*+ 4,250 97,155
Quest Software, Inc.*+ 6,780 96,818
Lawson Software, Inc.* 13,260 96,135
Nuance Communications, Inc.*+ 11,270 92,076
Advent Software, Inc.*+ 2,080 75,317
Open Solutions, Inc.* 2,380 68,568
Quality Systems, Inc.+ 1,540 59,737
Progress Software Corp.* 2,240 58,240
Ultimate Software Group, Inc.* 2,460 57,884
Witness Systems, Inc.* 3,060 53,642
i2 Technologies, Inc.*+ 2,610 48,885
Aspen Technology, Inc.* 4,390 47,939
SPSS, Inc.* 1,820 45,373
Filenet Corp.* 1,240 43,189
Smith Micro Software, Inc.*+ 2,220 31,924
---------------
TOTAL SOFTWARE 2,606,022
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7%
Varian Semiconductor Equipment
Associates, Inc.* 4,982 182,839
Formfactor, Inc.*+ 3,990 168,099
Cymer, Inc.*+ 3,332 146,308
RF Micro Devices, Inc.* 17,365 131,627
Trident Microsystems, Inc.*+ 5,420 126,069
Microsemi Corp.*+ 6,252 117,850
Silicon Image, Inc.* 8,694 110,588
See Notes to Financial Statements.
46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ATMI, Inc.* 3,759 $ 109,274
Zoran Corp.* 6,002 96,512
Diodes, Inc.* 2,230 96,269
Atheros Communications, Inc.*+ 5,122 92,862
ON Semiconductor Corp.* 14,990 88,141
OmniVision Technologies, Inc.*+ 6,082 86,790
MKS Instruments, Inc.* 4,082 82,905
Cabot Microelectronics Corp.*+ 2,842 81,906
Micrel, Inc.* 8,480 81,323
DSP Group, Inc.* 3,350 76,547
Cirrus Logic, Inc.* 9,990 72,827
Kulicke & Soffa Industries, Inc.* 7,620 67,361
Advanced Energy Industries, Inc.* 3,760 64,070
Amkor Technology, Inc.*+ 12,230 63,107
Cohu, Inc. 2,820 50,281
Supertex, Inc.*+ 1,280 49,754
Semtech Corp.* 3,860 49,254
Veeco Instruments, Inc.* 2,410 48,562
Intevac, Inc.* 2,830 47,544
AMIS Holdings, Inc.* 4,900 46,501
Netlogic Microsystems, Inc.*+ 1,750 44,398
Asyst Technologies, Inc.* 4,340 29,338
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 2,508,906
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.1%
Flir Systems, Inc.*+ 6,200 168,392
Benchmark Electronics, Inc.*+ 5,852 157,302
Itron, Inc.*+ 2,420 135,036
Global Imaging Systems, Inc.* 5,200 114,764
Rogers Corp.* 1,710 105,592
Coherent, Inc.*+ 2,922 101,277
Anixter International, Inc.+ 1,710 96,564
Rofin-Sinar Technologies, Inc.* 1,580 96,017
Littelfuse, Inc.*+ 2,410 83,627
Plexus Corp.* 4,212 80,870
Scansource, Inc.*+ 2,660 80,678
Daktronics, Inc. 3,650 75,518
Cogent, Inc.* 5,220 71,671
Brightpoint, Inc.* 4,660 66,265
Park Electrochemical Corp. 2,070 65,578
MTS Systems Corp.+ 1,980 64,033
Electro Scientific Industries, Inc.* 2,782 57,309
TTM Technologies, Inc.* 4,712 55,130
CTS Corp. 3,540 48,781
SYNNEX Corp.* 1,980 45,560
Zygo Corp., Inc.* 3,340 42,585
Agilsys, Inc. 2,860 40,154
Checkpoint Systems, Inc.* 1,860 30,709
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,883,412
---------------
INTERNET SOFTWARE & SERVICES 1.8%
Digital River, Inc.*+ 3,472 177,489
ValueClick, Inc.* 9,040 167,602
aQuantive, Inc.*+ 6,512 153,813
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
j2 Global Communications, Inc.*+ 4,652 $ 126,395
RealNetworks, Inc.*+ 10,810 114,694
EarthLink, Inc.* 14,300 103,961
Digitas, Inc.*+ 10,804 103,934
Websense, Inc.*+ 4,752 102,691
Digital Insight Corp.* 3,100 90,892
United Online, Inc.+ 7,042 85,771
CNET Networks, Inc.* 7,520 72,042
WebEx Communications, Inc.* 1,660 64,773
SonicWALL, Inc.* 5,930 64,756
InfoSpace, Inc.* 3,130 57,717
Vignette Corp.* 3,120 42,245
Internap Network Services Corp.* 2,770 42,159
Click Commerce, Inc.* 1,610 36,418
TheStreet.com, Inc. 2,870 30,537
---------------
TOTAL INTERNET SOFTWARE & SERVICES 1,637,889
---------------
COMMUNICATIONS EQUIPMENT 1.7%
Polycom, Inc.*+ 7,580 185,938
Foundry Networks, Inc.* 13,510 177,657
Interdigital Communications
Corp.* 4,990 170,159
CommScope, Inc.*+ 5,092 167,323
ADTRAN, Inc.+ 6,410 152,814
Avocent Corp.* 4,240 127,709
Arris Group, Inc.* 10,190 116,777
Redback Networks, Inc.* 5,522 76,645
Black Box Corp.+ 1,850 72,002
Netgear, Inc.*+ 2,830 58,270
ViaSat, Inc.* 2,070 51,916
Blue Coat Systems, Inc.* 2,500 45,025
Radyne Corp., Inc.* 3,550 43,452
Packeteer, Inc.* 4,530 39,003
Sirenza Microdevices, Inc.* 3,650 28,835
---------------
TOTAL COMMUNICATIONS EQUIPMENT 1,513,525
---------------
IT CONSULTING & SERVICES 1.3%
CACI International, Inc. --
Class A* 2,990 164,480
MPS Group, Inc.* 9,850 148,833
BISYS Group, Inc.* 11,170 121,306
CSG Systems International, Inc.* 4,220 111,535
eFunds Corp.* 4,392 106,199
Perot Systems Corp. -- Class A* 7,522 103,728
Talx Corp.+ 3,752 91,999
Mantech International Corp. --
Class A* 2,070 68,331
Keane, Inc.* 4,490 64,701
SRA International, Inc. --
Class A*+ 1,880 56,513
SYKES Enterprises, Inc.* 2,280 46,398
Lightbridge, Inc.* 3,620 42,426
Euronet Worldwide, Inc.*+ 1,250 30,688
---------------
TOTAL IT CONSULTING & SERVICES 1,157,137
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 0.8%
Brocade Communications Systems,
Inc.*+ 24,100 $ 170,146
Imation Corp. 3,600 144,540
Palm, Inc.*+ 9,914 144,348
Electronics for Imaging, Inc.*+ 5,002 114,446
Komag, Inc.*+ 3,350 107,066
Synaptics, Inc.*+ 2,450 59,706
---------------
TOTAL COMPUTERS & PERIPHERALS 740,252
---------------
TOTAL INFORMATION TECHNOLOGY 12,047,143
---------------
CONSUMER DISCRETIONARY 11.1%
SPECIALTY RETAIL 2.9%
Rent-A-Center, Inc.* 6,020 176,326
Charming Shoppes, Inc.*+ 11,860 169,361
Aeropostale, Inc.*+ 5,610 163,980
Men's Wearhouse, Inc.+ 4,340 161,491
Regis Corp. 4,152 148,849
Payless Shoesource, Inc.* 5,822 144,968
Pantry, Inc.* 2,210 124,578
Tween Brands, Inc.*+ 3,270 122,952
Group 1 Automotive, Inc.+ 2,460 122,754
Gymboree Corp.*+ 2,910 122,744
Dress Barn, Inc.*+ 5,462 119,181
Pacific Sunwear of California, Inc.* 7,030 106,012
Stage Stores, Inc. 3,610 105,917
Select Comfort Corp.*+ 4,793 104,871
Guess ?, Inc.*+ 2,100 101,913
Christopher & Banks Corp. 3,432 101,175
Hibbett Sporting Goods, Inc.*+ 3,860 101,055
Genesco, Inc.*+ 2,590 89,277
Cato Corp. -- Class A+ 4,060 88,955
CSK Auto Corp.* 5,220 73,602
Sonic Automotive, Inc. 3,160 72,964
Talbots, Inc.+ 2,160 58,860
Shoe Carnival, Inc.* 1,980 49,936
Citi Trends, Inc.*+ 1,000 34,510
---------------
TOTAL SPECIALTY RETAIL 2,666,231
---------------
HOTELS, RESTAURANTS & LEISURE 2.1%
Jack in the Box, Inc.* 3,382 176,473
Sonic Corp.*+ 7,520 170,027
Ruby Tuesday, Inc.+ 5,712 161,021
Pinnacle Entertainment, Inc.* 4,542 127,721
CBRL Group, Inc. 2,820 114,013
CKE Restaurants, Inc. 6,542 109,382
Vail Resorts, Inc.* 2,650 106,053
Rare Hospitality International, Inc.* 3,350 102,376
Bob Evans Farms, Inc. 3,320 100,530
CEC Entertainment, Inc.* 3,112 98,059
Domino's Pizza, Inc.+ 3,742 95,982
Papa John's International, Inc.* 2,560 92,442
IHOP Corp.+ 1,940 89,919
WMS Industries, Inc.*+ 2,980 87,046
Texas Roadhouse Co., Inc.* 4,740 58,207
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ameristar Casinos, Inc.+ 2,510 $ 54,492
Speedway Motorsports, Inc. 1,480 53,887
Landry's Restaurants, Inc. 1,680 50,652
Dover Downs Gaming &
Entertainment, Inc. 3,450 41,917
Monarch Casino & Resort, Inc.* 1,760 34,126
Shuffle Master, Inc.*+ 1,150 31,062
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,955,387
---------------
TEXTILES & APPAREL 1.4%
Phillips-Van Heusen Corp.+ 4,660 194,648
Wolverine World Wide, Inc.+ 5,335 151,034
Brown Shoe Co., Inc. 2,762 98,990
K-Swiss, Inc. -- Class A 3,062 92,044
Carter's, Inc.* 3,450 91,046
Warnaco Group, Inc.* 4,680 90,511
Kellwood Co. 2,842 81,935
Fossil, Inc.* 3,790 81,637
Steven Madden Ltd. 1,830 71,809
Columbia Sportswear Co.*+ 1,240 69,229
Oxford Industries, Inc. 1,430 61,361
Iconix Brand Group, Inc.*+ 3,560 57,316
Deckers Outdoor Corp.*+ 1,180 55,838
True Religion Apparel, Inc.*+ 1,710 36,098
---------------
TOTAL TEXTILES & APPAREL 1,233,496
---------------
MEDIA 1.3%
Catalina Marketing Corp. 4,320 118,800
Lee Enterprises, Inc. 4,590 115,852
Scholastic Corp.* 3,352 104,415
Arbitron, Inc. 2,730 101,037
Valassis Communications, Inc.*+ 5,530 97,604
RCN Corp.* 3,260 92,258
Entercom Communications Corp. 3,270 82,404
CKX, Inc.* 6,260 77,937
Interactive Data Corp.* 3,850 76,807
Westwood One, Inc. 8,860 62,729
Morningstar, Inc.*+ 1,360 50,184
Cumulus Media, Inc. -- Class A* 4,330 41,395
Journal Register Co. 6,470 36,685
Citadel Broadcasting Corp. 3,590 33,746
Playboy Enterprises, Inc. --
Class B* 3,410 32,088
World Wrestling Entertainment,
Inc. 1,860 30,560
---------------
TOTAL MEDIA 1,154,501
---------------
HOUSEHOLD DURABLES 0.9%
American Greetings Corp. --
Class A+ 5,730 132,478
Yankee Candle Co., Inc. 4,202 122,992
Ethan Allen Interiors, Inc.+ 3,292 114,101
Meritage Homes Corp.*+ 2,500 104,025
Tempur-Pedic International,
Inc.*+ 6,050 103,878
Furniture Brands International,
Inc.+ 4,932 93,905
See Notes to Financial Statements.
48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Champion Enterprises, Inc.* 9,800 $ 67,620
Interface, Inc. -- Class A* 5,062 65,199
Brookfield Homes Corp.+ 1,880 52,941
---------------
TOTAL HOUSEHOLD DURABLES 857,139
---------------
COMMERCIAL SERVICES & SUPPLIES 0.8%
Sotheby's Holdings, Inc. --
Class A+ 5,340 172,162
Strayer Education, Inc.+ 1,340 145,001
DeVry, Inc.* 6,040 128,471
Bright Horizons Family Solutions,
Inc.* 2,670 111,419
Jackson Hewitt Tax Service, Inc.+ 3,100 93,031
Corinthian Colleges, Inc.*+ 7,520 81,291
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 731,375
---------------
AUTO COMPONENTS 0.4%
Tenneco Automotive, Inc.* 4,620 108,062
ArvinMeritor, Inc.+ 7,220 102,813
LKQ Corp.*+ 4,264 93,680
Drew Industries, Inc.*+ 1,830 46,226
Aftermarket Technology Corp.* 2,170 38,539
---------------
TOTAL AUTO COMPONENTS 389,320
---------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Marvel Entertainment, Inc.*+ 4,600 111,044
RC2 Corp.* 2,269 76,079
Jakks Pacific, Inc.* 2,690 47,963
MarineMax, Inc.*+ 1,880 47,846
Oakley, Inc. 2,560 43,648
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 326,580
---------------
INTERNET & CATALOG RETAIL 0.3%
Priceline.com, Inc.*+ 2,970 109,266
Netflix, Inc.*+ 3,650 83,147
Stamps.com, Inc.* 2,020 38,501
PetMed Express, Inc.*+ 3,160 32,991
---------------
TOTAL INTERNET & CATALOG RETAIL 263,905
---------------
MULTILINE RETAIL 0.3%
Big Lots, Inc.*+ 9,770 193,544
Bon-Ton Stores, Inc.+ 1,420 42,231
---------------
TOTAL MULTILINE RETAIL 235,775
---------------
DISTRIBUTORS 0.2%
Building Material Holding Corp.+ 3,630 94,452
Keystone Automotive Industries,
Inc.* 1,880 71,478
---------------
TOTAL DISTRIBUTORS 165,930
---------------
AUTOMOBILES 0.1%
Winnebago Industries, Inc.+ 3,242 101,734
---------------
TOTAL AUTOMOBILES 101,734
---------------
TOTAL CONSUMER DISCRETIONARY 10,081,373
---------------
INDUSTRIALS 9.7%
COMMERCIAL SERVICES & SUPPLIES 2.6%
Watson Wyatt & Co. Holdings+ 3,940 161,225
Waste Connections, Inc.*+ 3,990 151,261
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Brady Corp. -- Class A 3,992 $ 140,359
United Stationers, Inc.* 2,910 135,344
Herman Miller, Inc. 3,340 114,261
Resources Connection, Inc.* 3,913 104,829
John H. Harland Co. 2,840 103,518
Banta Corp.+ 2,140 101,864
Korn/Ferry International, Inc.* 4,837 101,287
Deluxe Corp. 5,740 98,154
Advisory Board Co.*+ 1,860 93,967
Mine Safety Appliances Co.+ 2,610 93,020
FTI Consulting, Inc.*+ 3,682 92,271
Viad Corp. 2,600 92,066
American Reprographics Co.* 2,570 82,394
Administaff, Inc.+ 2,380 80,206
Labor Ready, Inc.* 4,892 77,930
Heidrick & Struggles International,
Inc.* 1,890 68,040
CoStar Group, Inc.* 1,570 64,872
Consolidated Graphics, Inc.* 1,040 62,577
Clean Harbors, Inc.* 1,390 60,534
Rollins, Inc. 2,590 54,675
Amrep Corp. PLC -- SP ADR+ 1,040 50,825
School Specialty, Inc.* 1,213 42,807
Kenexa Corp. -- Class A* 1,570 39,595
ICT Group, Inc.* 1,240 39,023
Volt Information Sciences, Inc.* 990 35,195
Spherion Corp.* 4,830 34,535
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 2,376,634
---------------
MACHINERY 1.9%
Navistar International Corp.* 6,370 164,473
Mueller Industries, Inc. 4,042 142,157
Actuant Corp. -- Class A+ 2,670 133,767
Wabtec Corp.+ 4,222 114,543
Nordson Corp. 2,860 114,000
Briggs & Stratton Corp.+ 3,850 106,067
Kaydon Corp.+ 2,650 98,103
Watts Industries, Inc. -- Class A 3,030 96,233
Freightcar America, Inc.+ 1,600 84,800
NACCO Industries, Inc. --
Class A 590 80,187
Albany International Corp. --
Class A 2,420 77,004
Barnes Group, Inc. 4,110 72,172
EnPro Industries, Inc.* 2,070 62,224
Bucyrus International, Inc. --
Class A 1,420 60,236
Middleby Corp.* 640 49,318
American Science & Engineering,
Inc.*+ 930 45,124
Accuride Corp.* 3,970 43,710
Ampco-Pittsburgh Corp. PLC --
SP ADR 1,400 43,302
Dynamic Materials Corp. 1,280 41,498
Astec Industries, Inc.*+ 1,530 38,633
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Columbus McKinnon Corp. --
Class A* 1,570 $ 28,307
---------------
TOTAL MACHINERY 1,695,858
---------------
ELECTRICAL EQUIPMENT 1.2%
Acuity Brands, Inc. 4,010 182,054
General Cable Corp.* 4,283 163,654
Belden CDT, Inc.+ 4,110 157,125
Genlyte Group, Inc.*+ 2,100 149,520
Regal-Beloit Corp. 3,090 134,415
Woodward Governor Co.+ 2,942 98,675
A.O. Smith Corp. 1,980 78,071
Superior Essex, Inc.* 1,940 66,445
Lamson & Sessions Co., Inc.*+ 1,710 40,732
---------------
TOTAL ELECTRICAL EQUIPMENT 1,070,691
---------------
AEROSPACE & DEFENSE 1.1%
Teledyne Technologies, Inc.* 3,082 122,047
Hexcel Corp.*+ 8,500 120,275
Moog, Inc. -- Class A* 3,440 119,231
BE Aerospace, Inc.*+ 5,390 113,675
Ceradyne, Inc.*+ 2,530 103,958
Orbital Sciences Corp.* 5,330 100,044
Triumph Group, Inc. 1,760 74,536
United Industrial Corp.+ 1,090 58,315
EDO Corp. 1,880 43,014
Ladish Co., Inc.* 1,480 42,742
Esterline Technologies Corp.* 1,225 41,356
Herley Industries, Inc.* 2,590 32,064
---------------
TOTAL AEROSPACE & DEFENSE 971,257
---------------
BUILDING PRODUCTS 0.6%
NCI Building Systems, Inc.*+ 1,860 108,196
Universal Forest Products, Inc.+ 2,050 100,552
Simpson Manufacturing Co., Inc.+ 3,692 99,795
ElkCorp 1,920 52,128
Builders FirstSource, Inc.* 2,830 43,101
American Woodmark Corp.+ 1,250 42,112
Ameron International Corp. 590 39,200
PW Eagle, Inc.+ 1,260 37,813
Insteel Industries, Inc. 1,570 31,196
---------------
TOTAL BUILDING PRODUCTS 554,093
---------------
CONSTRUCTION & ENGINEERING 0.5%
EMCOR Group, Inc.* 3,042 166,823
Granite Construction, Inc.+ 3,080 164,318
Washington Group International,
Inc. 2,710 159,511
---------------
TOTAL CONSTRUCTION & ENGINEERING 490,652
---------------
TRADING COMPANIES & DISTRIBUTORS 0.5%
Watsco, Inc. 2,510 115,485
Beacon Roofing Supply, Inc.*+ 5,260 106,463
UAP Holding Corp. 4,872 104,115
Applied Industrial Technologies,
Inc. 4,120 100,528
BlueLinx Holdings, Inc. 3,020 28,750
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 455,341
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ROAD & RAIL 0.5%
Genesee & Wyoming, Inc. --
Class A* 4,262 $ 98,964
Arkansas Best Corp. 2,280 98,108
Heartland Express, Inc.+ 5,640 88,435
Knight Transportation, Inc.+ 5,110 86,614
Amerco, Inc.* 950 70,443
---------------
TOTAL ROAD & RAIL 442,564
---------------
AIR FREIGHT & COURIERS 0.4%
EGL, Inc.* 2,790 101,668
Pacer International, Inc. 3,290 91,330
HUB Group, Inc. -- Class A*+ 3,950 89,981
Atlas Air Worldwide Holdings
Co., Inc.*+ 1,970 85,734
Forward Air Corp.+ 930 30,774
---------------
TOTAL AIR FREIGHT & COURIERS 399,487
---------------
AIRLINES 0.4%
SkyWest, Inc.+ 6,190 151,779
AirTran Holdings, Inc.*+ 7,780 77,177
Republic Airways Holdings, Inc.* 3,970 61,614
ExpressJet Holdings, Inc.*+ 6,570 43,428
---------------
TOTAL AIRLINES 333,998
---------------
TOTAL INDUSTRIALS 8,790,575
---------------
HEALTH CARE 8.6%
HEALTH CARE EQUIPMENT & SUPPLIES 3.1%
Hologic, Inc.* 4,290 186,701
Mentor Corp.+ 3,362 169,411
Immucor, Inc.* 6,634 148,668
Steris Corp. 6,170 148,450
Kyphon, Inc.*+ 3,950 147,809
Varian, Inc.* 3,040 139,445
Bio--Rad Laboratories, Inc. --
Class A* 1,960 138,631
Haemonetics Corp.*+ 2,620 122,616
West Pharmaceutical Services, Inc. 2,862 112,391
American Medical Systems
Holdings, Inc.*+ 5,970 110,027
Dionex Corp.* 2,140 109,012
ArthroCare Corp.* 2,300 107,778
Lifecell Corp.*+ 3,312 106,713
PolyMedica Corp.+ 2,420 103,600
DJ Orthopedics, Inc.*+ 2,410 100,087
Thoratec Corp.* 5,670 88,509
Biosite, Inc.*+ 1,800 83,214
Integra LifeSciences Holdings
Corp.*+ 2,130 79,832
Palomar Medical Technologies,
Inc.*+ 1,860 78,492
ICU Medical, Inc.*+ 1,480 67,310
Conmed Corp.* 2,620 55,308
OraSure Technologies, Inc.* 6,590 52,984
Abaxis, Inc.* 2,240 52,394
SurModics, Inc.*+ 1,420 49,870
Quidel Corp.* 3,460 48,855
See Notes to Financial Statements.
50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Meridian Bioscience, Inc. 2,070 $ 48,666
PharmaNet Development Group,
Inc.*+ 2,390 46,438
Candela Corp.* 4,230 46,149
Zoll Medical Corp.* 890 31,942
Molecular Devices Corp.* 1,700 31,433
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,812,735
---------------
BIOTECHNOLOGY 2.3%
OSI Pharmaceuticals, Inc.*+ 4,840 181,645
ICOS Corp.* 6,340 158,880
Myogen, Inc.*+ 4,330 151,896
Alkermes, Inc.*+ 9,512 150,765
Illumina, Inc.*+ 4,152 137,182
BioMarin Pharmaceuticals, Inc.* 8,460 120,386
United Therapeutics Corp.*+ 2,280 119,791
Cubist Pharmaceuticals, Inc.*+ 5,140 111,744
Digene Corp.* 2,282 98,468
Myriad Genetics, Inc.*+ 3,912 96,431
Nuvelo, Inc.* 5,280 96,307
Martek Biosciences Corp.*+ 4,300 92,493
Telik, Inc.*+ 5,150 91,619
Pharmion Corp.*+ 3,390 73,055
Senomyx, Inc.* 4,100 63,017
Progenics Pharmaceuticals, Inc.* 2,590 60,761
Alnylam Pharmaceuticals, Inc.*+ 3,560 51,300
Savient Pharmaceuticals, Inc.* 6,990 45,505
Tanox, Inc.*+ 3,380 39,952
Keryx Biopharmaceuticals, Inc.* 3,310 39,157
BioCryst Pharmaceuticals, Inc.* 3,130 39,031
Alexion Pharmaceuticals, Inc.*+ 1,090 37,038
Phase Forward, Inc.* 2,880 34,387
Renovis, Inc.* 2,110 29,034
---------------
TOTAL BIOTECHNOLOGY 2,119,844
---------------
HEALTH CARE PROVIDERS & SERVICES 2.0%
Psychiatric Solutions, Inc.*+ 4,762 162,337
Magellan Health Services, Inc.*+ 3,570 152,082
AMERIGROUP Corp.* 5,070 149,818
Sunrise Senior Living, Inc.* 4,790 143,077
Owens & Minor, Inc. 3,502 115,181
United Surgical Partners
International, Inc.*+ 4,232 105,081
inVentiv Health, Inc.* 3,100 99,293
Apria Healthcare Group, Inc.* 5,010 98,897
Chemed Corp. 2,540 81,940
Per-Se Technologies, Inc.*+ 3,582 81,598
LCA-Vision, Inc.+ 1,850 76,423
Centene Corp.*+ 4,400 72,336
Amedisys, Inc.*+ 1,670 66,249
HealthExtras, Inc.*+ 2,250 63,697
PRA International* 2,350 62,722
The Trizetto Group, Inc.* 3,890 58,895
Gentiva Health Services, Inc.* 3,530 58,033
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Molina Healthcare, Inc.* 1,180 $ 41,725
Computer Programs & Systems,
Inc. 1,250 40,963
Omnicell, Inc.* 2,270 40,610
Odyssey HealthCare, Inc.* 2,395 33,961
Air Methods Corp. -- SP ADR* 1,390 32,804
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,837,722
---------------
PHARMACEUTICALS 1.2%
Valeant Pharmaceuticals
International+ 8,450 167,141
MGI Pharma, Inc.*+ 6,960 119,782
Perrigo Co. 6,720 114,039
KV Pharmaceutical Co.*+ 4,390 104,043
Viropharma, Inc.* 8,240 100,281
Alpharma, Inc. -- Class A 4,106 96,039
Noven Pharmaceuticals, Inc.* 2,820 68,018
Sciele Pharma, Inc.*+ 3,470 65,375
Kendle International, Inc.* 1,600 51,232
Pain Therapeutics, Inc.*+ 5,510 47,496
Bradley Pharmaceuticals, Inc.*+ 2,710 43,143
New River Pharmaceuticals,
Inc.*+ 1,640 42,197
CNS, Inc. 1,370 38,675
Medicis Pharmaceutical Corp. --
Class A+ 1,090 35,262
---------------
TOTAL PHARMACEUTICALS 1,092,723
---------------
TOTAL HEALTH CARE 7,863,024
---------------
ENERGY 3.6%
OIL & GAS 1.8%
Houston Exploration Co.*+ 2,460 135,669
Giant Industries, Inc.* 1,430 116,116
Swift Energy Co.*+ 2,620 109,568
World Fuel Services Corp. 2,690 108,810
Penn Virginia Corp. 1,710 108,431
Stone Energy Corp.* 2,670 108,082
Comstock Resources, Inc.*+ 3,650 99,098
USEC, Inc. 9,910 95,532
Alpha Natural Resources, Inc.*+ 5,780 91,093
Berry Petroleum Co. -- Class A+ 3,122 87,916
Atlas America, Inc.* 1,960 83,653
Parallel Petroleum Corp.*+ 3,640 73,018
PetroHawk Energy Corp.*+ 6,490 67,366
Carrizo Oil & Gas, Inc.* 2,460 63,443
Petroleum Development Corp.* 1,540 61,431
Vaalco Energy, Inc.* 7,620 54,712
Crosstex Energy, Inc.+ 560 50,159
Energy Partners Ltd.*+ 1,670 41,166
Harvest Natural Resources, Inc.* 3,860 39,951
Alon USA Energy, Inc. 1,280 37,747
GMX Resources, Inc.*+ 1,050 32,960
Edge Petroleum Corp.* 1,660 27,340
---------------
TOTAL OIL & GAS 1,693,261
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 1.8%
Hanover Compressor Co.*+ 8,900 $ 162,158
Universal Compression Holdings,
Inc.* 2,970 158,746
Lone Star Technologies, Inc.*+ 3,160 152,881
NS Group, Inc.*+ 2,220 143,301
Grey Wolf, Inc.*+ 19,666 131,369
Oil States International, Inc.* 4,340 119,350
Atwood Oceanics, Inc.*+ 2,620 117,821
W-H Energy Services, Inc.* 2,730 113,213
Hydril*+ 1,713 96,031
Parker Drilling Co.* 13,104 92,776
Dril-Quip, Inc.* 1,250 84,600
Input/Output, Inc.*+ 8,300 82,419
Lufkin Industries, Inc.+ 1,540 81,497
Trico Marine Services, Inc.* 1,250 42,188
Natco Group, Inc.* 1,390 40,032
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,618,382
---------------
TOTAL ENERGY 3,311,643
---------------
MATERIALS 3.1%
METALS & MINING 1.3%
Oregon Steel Mills, Inc.* 3,230 157,850
Cleveland-Cliffs, Inc.+ 3,960 150,915
Aleris International, Inc.* 2,920 147,577
Chaparral Steel Co.* 4,160 141,690
Coeur d'Alene Mines Corp.*+ 26,790 126,181
AK Steel Holding Corp.* 10,130 122,978
Schnitzer Steel Industries, Inc. --
Class A 2,800 88,312
Quanex Corp.+ 2,840 86,194
RTI International Metals, Inc.* 1,970 85,853
Ryerson Tull, Inc.+ 3,022 66,151
---------------
TOTAL METALS & MINING 1,173,701
---------------
CHEMICALS 1.2%
Hercules, Inc.*+ 9,780 154,231
OM Group, Inc.*+ 2,900 127,426
H.B. Fuller Co. 5,020 117,669
NewMarket Corp. 1,800 104,688
Georgia Gulf Corp.+ 3,770 103,373
PolyOne Corp.* 11,370 94,712
Olin Corp. 6,142 94,341
Spartech Corp.+ 3,492 93,481
Rockwood Holdings, Inc.* 3,700 73,926
A. Schulman, Inc. 2,930 68,884
Pioneer Cos., Inc.* 1,760 43,138
Zoltek Cos., Inc.*+ 1,180 30,149
---------------
TOTAL CHEMICALS 1,106,018
---------------
CONTAINERS & PACKAGING 0.4%
AptarGroup, Inc.+ 3,060 155,693
Greif, Inc. -- Class A 1,575 126,173
Silgan Holdings, Inc. 2,350 88,266
---------------
TOTAL CONTAINERS & PACKAGING 370,132
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSTRUCTION MATERIALS 0.2%
Headwaters, Inc.*+ 4,700 $ 109,745
U S Concrete, Inc.* 7,460 48,565
---------------
TOTAL CONSTRUCTION MATERIALS 158,310
---------------
PAPER & FOREST PRODUCTS 0.0%
Deltic Timber Corp. 920 43,847
---------------
TOTAL PAPER & FOREST PRODUCTS 43,847
---------------
TOTAL MATERIALS 2,852,008
---------------
UTILITIES 2.1%
ELECTRIC UTILITIES 1.0%
Westar Energy, Inc.+ 7,410 174,209
IDACORP, Inc.+ 3,940 148,971
Cleco Corp.+ 5,852 147,705
Allete, Inc.+ 2,540 110,363
El Paso Electric Co.* 4,800 107,232
Unisource Energy Corp.+ 3,100 103,323
Otter Tail Power Co. 3,050 89,182
---------------
TOTAL ELECTRIC UTILITIES 880,985
---------------
GAS UTILITIES 0.9%
Piedmont Natural Gas Co.+ 6,680 169,071
Nicor, Inc.+ 3,830 163,771
Southwest Gas Corp.+ 3,942 131,347
WGL Holdings, Inc. 3,340 104,676
Northwest Natural Gas Co. 2,510 98,593
South Jersey Industries, Inc. 3,102 92,781
Laclede Group, Inc. 2,130 68,330
Southern Union Co. 1 18
---------------
TOTAL GAS UTILITIES 828,587
---------------
MULTI-UTILITIES 0.2%
Avista Corp. 4,300 101,824
PNM Resources, Inc. 3,550 97,874
Ormat Technologies, Inc.+ 870 28,466
---------------
TOTAL MULTI-UTILITIES 228,164
---------------
TOTAL UTILITIES 1,937,736
---------------
CONSUMER STAPLES 1.8%
FOOD PRODUCTS 0.7%
Flowers Foods, Inc.+ 4,752 127,734
Ralcorp Holdings, Inc.* 2,320 111,893
Lancaster Colony Corp. 2,270 101,605
Tootsie Roll Industries, Inc. 3,332 97,661
Hain Celestial Group, Inc.* 3,260 83,326
Seaboard Corp. 50 60,250
Imperial Sugar Co., Inc. 1,360 42,323
---------------
TOTAL FOOD PRODUCTS 624,792
---------------
FOOD & DRUG RETAILING 0.5%
Longs Drug Stores Corp. 3,042 139,963
United Natural Foods, Inc.*+ 4,020 124,580
Central European Distribution
Corp.*+ 3,330 77,955
Wild Oats Markets, Inc.*+ 2,830 45,761
See Notes to Financial Statements.
52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Nash Finch Co.+ 1,770 $ 41,648
Andersons, Inc. 1,200 40,980
---------------
TOTAL FOOD & DRUG RETAILING 470,887
---------------
PERSONAL PRODUCTS 0.5%
NBTY, Inc.* 5,260 153,960
Chattem, Inc.* 1,980 69,538
American Oriental Bioengineering,
Inc. PLC -- SP ADR*+ 8,140 49,491
Elizabeth Arden, Inc.* 2,920 47,187
Prestige Brands Holdings, Inc. --
Class A* 4,180 46,565
USANA Health Sciences, Inc.*+ 780 34,780
---------------
TOTAL PERSONAL PRODUCTS 401,521
---------------
HOUSEHOLD PRODUCTS 0.1%
Central Garden and Pet Co.* 2,170 104,724
---------------
TOTAL HOUSEHOLD PRODUCTS 104,724
---------------
BEVERAGES 0.0%
MGP Ingredients, Inc.+ 1,280 27,226
---------------
TOTAL BEVERAGES 27,226
---------------
TOTAL CONSUMER STAPLES 1,629,150
---------------
TELECOMMUNICATION SERVICES 0.9%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.6%
Time Warner Telecom, Inc. --
Class A* 6,790 129,078
Cincinnati Bell, Inc.* 23,430 112,933
Commonwealth Telephone
Enterprises, Inc. 2,610 107,610
Iowa Telecommunications
Services, Inc.+ 3,620 71,640
Golden Telecom, Inc. 2,070 62,617
CT Communications, Inc. 2,600 56,472
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 540,350
---------------
WIRELESS TELECOMMUNICATION SERVICES 0.3%
Dobson Communications Corp.
-- Class A* 13,553 95,142
iPCS, Inc. -- Class A*+ 1,680 89,964
USA Mobility, Inc. 3,030 69,205
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 254,311
---------------
TOTAL TELECOMMUNICATION SERVICES 794,661
---------------
TOTAL COMMON STOCKS
(Cost $57,025,818) 63,717,506
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 34.6%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 670,027 $ 670,027
4.95% due 10/02/06 10,151,180 10,151,180
4.94% due 10/02/06++ 1,885,514 1,885,514
4.89% due 10/02/06 6,598,267 6,598,267
4.80% due 10/02/06 12,181,416 12,181,416
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $31,486,404) 31,486,404
---------------
SECURITIES LENDING COLLATERAL 15.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 14,084,000 14,084,000
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $14,084,000) 14,084,000
---------------
TOTAL INVESTMENTS 120.2%
(Cost $102,596,222) $ 109,287,910
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (20.2)% $ (18,385,029)
===============
NET ASSETS - 100.0% $ 90,902,881
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $20,437,200) 280 $ (3,950)
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
November 2006 Russell 2000(R) Index
Swap, Maturing 11/21/06**
(Notional Market Value
$23,914,657) 32,959 $ 452,130
December 2006 Russell 2000(R) Index
Swap, Maturing 12/27/06**
(Notional Market Value
$28,510,227) 38,919 (274,686)
---------------
(TOTAL NOTIONAL MARKET
VALUE $52,424,884) $ 177,444
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 44.8%
FINANCIALS 10.1%
REAL ESTATE 3.6%
Alexandria Real Estate Equities,
Inc. 150 $ 14,070
Realty Income Corp. 520 12,849
Home Properties, Inc. 220 12,575
Post Properties, Inc. 260 12,355
Nationwide Health Properties,
Inc. 450 12,033
KKR Financial Corp. 490 12,025
American Home Mortgage Investment Corp. 320 11,158
Sunstone Hotel Investors, Inc. 366 10,878
LaSalle Hotel Properties 250 10,835
Washington Real Estate Investment Trust 260 10,348
BioMed Realty Trust, Inc. 330 10,012
Corporate Office Properties
Trust SBI 220 9,847
Pennsylvania Real Estate Investment Trust 230 9,791
Potlatch Corp. 250 9,275
Strategic Hotel Capital, Inc. 450 8,946
Trammell Crow Co.* 240 8,762
Mid-America Apartment
Communities, Inc. 140 8,571
Entertainment Properties Trust 170 8,384
Senior Housing Properties Trust 390 8,323
Newcastle Investment Corp. 300 8,223
Cousins Properties, Inc. 230 7,868
FelCor Lodging Trust, Inc. 390 7,819
Eastgroup Properties, Inc. 140 6,980
DiamondRock Hospitality Co. 420 6,976
Spirit Finance Corp. 600 6,966
Tanger Factory Outlet Centers,
Inc. 190 6,768
Longview Fibre Co. 330 6,706
Highwoods Properties, Inc. 180 6,698
Glenborough Realty Trust, Inc. 260 6,690
Heritage Property Investment
Trust 180 6,563
Sovran Self Storage, Inc. 116 6,444
Anthracite Capital, Inc. 500 6,430
Franklin Street Properties Corp., Inc. 320 6,355
Highland Hospitality Corp. 430 6,162
PS Business Parks, Inc. 100 6,030
Equity Lifestyle Properties, Inc. 130 5,942
Equity Inns, Inc. 370 5,890
Acadia Realty Trust 230 5,865
Innkeepers USA Trust 330 5,376
Impac Mortgage Holdings, Inc. 550 5,154
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Deerfield Triarc Capital Corp. 360 $ 4,720
First Potomac Realty Trust 126 3,808
Capital Trust, Inc. -- Class A 70 2,851
---------------
TOTAL REAL ESTATE 350,321
---------------
BANKS 3.3%
Cathay General Bancorp 420 15,168
Umpqua Holding Corp. 502 14,357
Westamerica Bancorporation 280 14,143
UCBH Holdings, Inc. 786 13,724
International Bancshares Corp. 450 13,356
Greater Bay Bancorp 460 12,977
Chittenden Corp. 452 12,968
Provident Bankshares Corp. 290 10,744
SVB Financial Group* 240 10,714
Citizens Banking Corp. 400 10,504
Sterling Financial Corp. 320 10,378
Wintrust Financial Corp. 206 10,331
Pacific Capital Bancorp 380 10,249
Central Pacific Financial Corp. 276 10,096
Boston Private Financial
Holdings, Inc. 346 9,646
MB Financial Corp. 260 9,586
CVB Financial Corp. 610 9,010
Sterling Bancshares, Inc. 440 8,910
First Republic Bank 208 8,852
Prosperity Bancshares, Inc. 260 8,850
Hanmi Financial Corp. 450 8,820
UMB Financial Corp. 220 8,045
First Bancorp Puerto Rico 670 7,410
First Community Bancorp 130 7,274
Signature Bank* 210 6,495
PrivateBancorp, Inc. 140 6,401
Capitol Bancorp, Ltd. 140 6,230
Banner Corp. 140 5,746
Texas Capital Bancshares, Inc.* 290 5,429
Western Alliance Bancorp, Inc.* 150 4,935
Old National Bancorp 230 4,393
Preferred Bank 70 4,198
Bank of the Ozarks, Inc. 120 4,064
Wilshire Bancorp, Inc. 210 3,998
Virginia Commerce Bancorp, Inc.* 180 3,996
Texas United Bancshares, Inc. 120 3,959
Intervest Bancshares Corp.* 90 3,920
Placer Sierra Bancshares 170 3,776
Chemical Financial Corp. 120 3,562
Independent Bank Corp. 1 12
---------------
TOTAL BANKS 327,226
---------------
INSURANCE 1.1%
Selective Insurance Group, Inc. 200 10,522
Delphi Financial Group, Inc. --
Class A 260 10,369
Ohio Casualty Corp. 370 9,572
National Financial Partners Corp. 230 9,437
See Notes to Financial Statements.
54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ProAssurance Corp.* 190 $ 9,363
Zenith National Insurance Corp. 230 9,175
LandAmerica Financial Group, Inc. 116 7,632
Argonaut Group, Inc.* 240 7,447
RLI Corp. 146 7,415
Infinity Property & Casualty Corp. 150 6,169
Safety Insurance Group, Inc. 126 6,131
Tower Group, Inc. 120 4,002
Navigators Group, Inc.* 76 3,649
SeaBright Insurance Holdings, Inc.* 230 3,213
Odyssey Re Holdings Corp. 90 3,040
American Physicians Capital, Inc.* 50 2,419
---------------
TOTAL INSURANCE 109,555
---------------
THRIFTS & MORTGAGE FINANCE 1.0%
First Niagara Financial Group, Inc. 690 10,060
MAF Bancorp, Inc. 240 9,910
Downey Financial Corp. 130 8,650
Corus Bankshares, Inc. 320 7,155
FirstFed Financial Corp.* 126 7,147
PFF Bancorp, Inc. 190 7,038
Harbor Florida Bancshares, Inc. 140 6,203
Fremont General Corp. 430 6,016
Accredited Home Lenders Holding Co.* 150 5,391
W Holding Co., Inc. 840 4,964
TierOne Corp. 140 4,750
Flagstar Bancorp, Inc. 320 4,656
Triad Guaranty, Inc.* 90 4,605
Franklin Bank Corp.* 220 4,374
Ocwen Financial Corp., Inc.* 280 4,172
Fidelity Bankshares, Inc. 80 3,121
Commercial Capital Bancorp, Inc. 140 2,232
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 100,444
---------------
CAPITAL MARKETS 0.6%
Waddell & Reed Financial, Inc. -- Class A 510 12,622
Knight Capital Group, Inc. -- Class A* 660 12,012
Piper Jaffray Cos., Inc.* 140 8,487
LaBranche & Co., Inc.* 510 5,289
Calamos Asset Management, Inc. -- Class A 180 5,277
optionsXpress Holdings, Inc. 150 4,182
Apollo Investment Corp. 180 3,692
GFI Group, Inc.* 40 2,212
---------------
TOTAL CAPITAL MARKETS 53,773
---------------
CONSUMER FINANCE 0.4%
Cash America International, Inc. 180 7,035
World Acceptance Corp.* 150 6,597
Advanta Corp. 140 5,166
CompuCredit Corp.* 160 4,834
First Cash Financial Services, Inc.* 180 3,706
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Advance America Cash Advance Centers, Inc. 220 $ 3,172
Ezcorp, Inc. -- Class A* 80 3,094
Asta Funding, Inc. 80 2,999
---------------
TOTAL CONSUMER FINANCE 36,603
---------------
DIVERSIFIED FINANCIALS 0.1%
Financial Federal Corp. 200 5,360
Portfolio Recovery Associates, Inc.* 116 5,089
International Securities Exchange
Holdings, Inc. 80 3,751
---------------
TOTAL DIVERSIFIED FINANCIALS 14,200
---------------
TOTAL FINANCIALS 992,122
---------------
INFORMATION TECHNOLOGY 8.5%
SOFTWARE 1.8%
Sybase, Inc.* 530 12,847
Hyperion Solutions Corp.* 350 12,068
TIBCO Software, Inc.* 1,320 11,854
Micros Systems, Inc.* 240 11,741
Ansys, Inc.* 210 9,278
Transaction Systems Architects,
Inc. -- Class A* 240 8,237
Kronos, Inc.* 240 8,182
Intergraph Corp.* 190 8,147
MicroStrategy, Inc. -- Class A* 80 8,146
Internet Security Systems, Inc.* 280 7,773
Macrovision Corp.* 310 7,344
Informatica Corp.* 540 7,339
Quest Software, Inc.* 470 6,712
Net 1 UEPS Technologies, Inc.* 290 6,629
Lawson Software, Inc.* 910 6,597
Nuance Communications, Inc.* 780 6,373
Advent Software, Inc.* 140 5,069
Open Solutions, Inc.* 156 4,494
Quality Systems, Inc. 106 4,112
Ultimate Software Group, Inc.* 170 4,000
Progress Software Corp.* 150 3,900
Witness Systems, Inc.* 210 3,681
i2 Technologies, Inc.* 180 3,371
Aspen Technology, Inc.* 300 3,276
SPSS, Inc.* 130 3,241
Filenet Corp.* 90 3,135
Smith Micro Software, Inc.* 150 2,157
---------------
TOTAL SOFTWARE 179,703
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.8%
Varian Semiconductor Equipment
Associates, Inc.* 340 12,478
Formfactor, Inc.* 270 11,375
Cymer, Inc.* 230 10,099
RF Micro Devices, Inc.* 1,200 9,096
Trident Microsystems, Inc.* 370 8,606
Microsemi Corp.* 426 8,030
Silicon Image, Inc.* 600 7,632
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 55
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ATMI, Inc.* 258 $ 7,500
Zoran Corp.* 408 6,561
Diodes, Inc.* 150 6,476
Atheros Communications, Inc.* 350 6,346
ON Semiconductor Corp.* 1,030 6,056
OmniVision Technologies, Inc.* 420 5,993
Cabot Microelectronics Corp.* 196 5,649
MKS Instruments, Inc.* 276 5,606
Micrel, Inc.* 580 5,562
DSP Group, Inc.* 230 5,256
Cirrus Logic, Inc.* 690 5,030
Kulicke & Soffa Industries, Inc.* 530 4,685
Advanced Energy Industries, Inc.* 260 4,430
Amkor Technology, Inc.* 840 4,334
Supertex, Inc.* 90 3,498
Semtech Corp.* 270 3,445
Veeco Instruments, Inc.* 170 3,426
Cohu, Inc. 190 3,388
Intevac, Inc.* 200 3,360
AMIS Holdings, Inc.* 340 3,227
Netlogic Microsystems, Inc.* 120 3,044
Asyst Technologies, Inc.* 300 2,028
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 172,216
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3%
Flir Systems, Inc.* 430 11,679
Benchmark Electronics, Inc.* 400 10,752
Itron, Inc.* 166 9,263
Global Imaging Systems, Inc.* 360 7,945
Rogers Corp.* 120 7,410
Coherent, Inc.* 196 6,793
Anixter International, Inc. 120 6,777
Rofin-Sinar Technologies, Inc.* 108 6,563
Littelfuse, Inc.* 170 5,899
Plexus Corp.* 286 5,491
Scansource, Inc.* 180 5,460
Daktronics, Inc. 250 5,173
Cogent, Inc.* 360 4,943
Brightpoint, Inc.* 320 4,550
Park Electrochemical Corp. 140 4,435
MTS Systems Corp. 136 4,398
Electro Scientific Industries, Inc.* 190 3,914
TTM Technologies, Inc.* 320 3,744
CTS Corp. 240 3,307
SYNNEX Corp.* 140 3,221
Zygo Corp., Inc.* 230 2,933
Agilsys, Inc. 200 2,808
Checkpoint Systems, Inc.* 130 2,146
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 129,604
---------------
INTERNET SOFTWARE & SERVICES 1.2%
Digital River, Inc.* 240 12,269
ValueClick, Inc.* 620 11,495
aQuantive, Inc.* 450 10,629
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
j2 Global Communications, Inc.* 316 $ 8,586
RealNetworks, Inc.* 740 7,851
EarthLink, Inc.* 990 7,197
Digitas, Inc.* 740 7,119
Websense, Inc.* 326 7,045
Digital Insight Corp.* 210 6,157
United Online, Inc. 490 5,968
CNET Networks, Inc.* 520 4,982
SonicWALL, Inc.* 410 4,477
WebEx Communications, Inc.* 110 4,292
InfoSpace, Inc.* 220 4,057
Vignette Corp.* 220 2,979
Internap Network Services Corp.* 190 2,892
Click Commerce, Inc.* 110 2,488
TheStreet.com, Inc. 200 2,128
---------------
TOTAL INTERNET SOFTWARE & SERVICES 112,611
---------------
COMMUNICATIONS EQUIPMENT 1.1%
Polycom, Inc.* 520 12,756
Foundry Networks, Inc.* 930 12,229
Interdigital Communications Corp.* 340 11,594
CommScope, Inc.* 346 11,369
ADTRAN, Inc. 440 10,490
Avocent Corp.* 290 8,735
Arris Group, Inc.* 700 8,022
Redback Networks, Inc.* 380 5,274
Black Box Corp. 126 4,904
Netgear, Inc.* 200 4,118
ViaSat, Inc.* 140 3,511
Blue Coat Systems, Inc.* 170 3,062
Radyne Corp., Inc.* 240 2,938
Packeteer, Inc.* 310 2,669
Sirenza Microdevices, Inc.* 250 1,975
---------------
TOTAL COMMUNICATIONS EQUIPMENT 103,646
---------------
IT CONSULTING & SERVICES 0.8%
CACI International, Inc. -- Class A* 210 11,552
MPS Group, Inc.* 680 10,275
BISYS Group, Inc.* 770 8,362
CSG Systems International, Inc.* 290 7,665
eFunds Corp.* 300 7,254
Perot Systems Corp. -- Class A* 520 7,171
Talx Corp. 260 6,375
Mantech International Corp. -- Class A* 136 4,489
Keane, Inc.* 310 4,467
SRA International, Inc. -- Class A* 130 3,908
SYKES Enterprises, Inc.* 160 3,256
Lightbridge, Inc.* 250 2,930
Euronet Worldwide, Inc.* 90 2,209
---------------
TOTAL IT CONSULTING & SERVICES 79,913
---------------
COMPUTERS & PERIPHERALS 0.5%
Brocade Communications Systems, Inc.* 1,660 11,720
Imation Corp. 250 10,037
Palm, Inc.* 680 9,901
See Notes to Financial Statements.
56 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Electronics for Imaging, Inc.* 340 $ 7,779
Komag, Inc.* 230 7,351
Synaptics, Inc.* 166 4,045
---------------
TOTAL COMPUTERS & PERIPHERALS 50,833
---------------
TOTAL INFORMATION TECHNOLOGY 828,526
---------------
CONSUMER DISCRETIONARY 7.1%
SPECIALTY RETAIL 1.9%
Rent-A-Center, Inc.* 420 12,302
Charming Shoppes, Inc.* 820 11,710
Aeropostale, Inc.* 390 11,400
Men's Wearhouse, Inc. 300 11,163
Regis Corp. 286 10,253
Payless Shoesource, Inc.* 398 9,910
Tween Brands, Inc.* 230 8,648
Pantry, Inc.* 150 8,455
Gymboree Corp.* 200 8,436
Group 1 Automotive, Inc. 166 8,283
Dress Barn, Inc.* 376 8,204
Pacific Sunwear of California, Inc.* 490 7,389
Stage Stores, Inc. 250 7,335
Select Comfort Corp.* 330 7,220
Guess ?, Inc.* 148 7,182
Hibbett Sporting Goods, Inc.* 270 7,069
Christopher & Banks Corp. 236 6,957
Cato Corp. -- Class A 280 6,135
Genesco, Inc.* 176 6,067
Sonic Automotive, Inc. 220 5,080
CSK Auto Corp.* 360 5,076
Talbots, Inc. 150 4,088
Shoe Carnival, Inc.* 140 3,531
Citi Trends, Inc.* 70 2,416
---------------
TOTAL SPECIALTY RETAIL 184,309
---------------
HOTELS, RESTAURANTS & LEISURE 1.3%
Jack in the Box, Inc.* 228 11,897
Sonic Corp.* 520 11,757
Ruby Tuesday, Inc. 390 10,994
Pinnacle Entertainment, Inc.* 310 8,717
CBRL Group, Inc. 190 7,682
CKE Restaurants, Inc. 446 7,457
Vail Resorts, Inc.* 180 7,204
Rare Hospitality International, Inc.* 230 7,029
Bob Evans Farms, Inc. 230 6,965
CEC Entertainment, Inc.* 210 6,617
Domino's Pizza, Inc. 256 6,566
Papa John's International, Inc.* 176 6,355
WMS Industries, Inc.* 210 6,134
IHOP Corp. 128 5,933
Texas Roadhouse Co., Inc.* 330 4,052
Ameristar Casinos, Inc. 170 3,691
Landry's Restaurants, Inc. 116 3,497
Speedway Motorsports, Inc. 96 3,495
Dover Downs Gaming & Entertainment, Inc. 240 2,916
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Monarch Casino & Resort, Inc.* 120 $ 2,327
Shuffle Master, Inc.* 80 2,161
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 133,446
---------------
TEXTILES & APPAREL 0.9%
Phillips-Van Heusen Corp. 320 13,366
Wolverine World Wide, Inc. 370 10,475
Brown Shoe Co., Inc. 190 6,810
Carter's, Inc.* 240 6,334
K-Swiss, Inc. -- Class A 208 6,252
Warnaco Group, Inc.* 320 6,189
Kellwood Co. 200 5,766
Fossil, Inc.* 260 5,600
Steven Madden Ltd. 130 5,101
Columbia Sportswear Co.* 90 5,025
Oxford Industries, Inc. 100 4,291
Iconix Brand Group, Inc.* 250 4,025
Deckers Outdoor Corp.* 80 3,786
True Religion Apparel, Inc.* 120 2,533
---------------
TOTAL TEXTILES & APPAREL 85,553
---------------
MEDIA 0.8%
Catalina Marketing Corp. 300 8,250
Lee Enterprises, Inc. 320 8,077
Scholastic Corp.* 230 7,164
Arbitron, Inc. 190 7,032
Valassis Communications, Inc.* 380 6,707
RCN Corp.* 220 6,226
Entercom Communications Corp. 230 5,796
Interactive Data Corp.* 270 5,386
CKX, Inc.* 430 5,354
Westwood One, Inc. 610 4,319
Morningstar, Inc.* 90 3,321
Cumulus Media, Inc. -- Class A* 300 2,868
Journal Register Co. 450 2,552
Citadel Broadcasting Corp. 250 2,350
Playboy Enterprises, Inc. -- Class B* 240 2,258
World Wrestling Entertainment, Inc. 130 2,136
---------------
TOTAL MEDIA 79,796
---------------
HOUSEHOLD DURABLES 0.6%
American Greetings Corp. -- Class A 400 9,248
Yankee Candle Co., Inc. 286 8,371
Ethan Allen Interiors, Inc. 230 7,972
Tempur-Pedic International, Inc.* 420 7,211
Meritage Homes Corp.* 170 7,074
Furniture Brands International, Inc. 340 6,474
Champion Enterprises, Inc.* 680 4,692
Interface, Inc. -- Class A* 346 4,456
Brookfield Homes Corp. 130 3,661
---------------
TOTAL HOUSEHOLD DURABLES 59,159
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 57
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 0.5%
Sotheby's Holdings, Inc. -- Class A 370 $ 11,929
Strayer Education, Inc. 90 9,739
DeVry, Inc.* 420 8,934
Bright Horizons Family Solutions, Inc.* 180 7,511
Jackson Hewitt Tax Service, Inc. 210 6,302
Corinthian Colleges, Inc.* 520 5,621
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 50,036
---------------
AUTO COMPONENTS 0.3%
Tenneco Automotive, Inc.* 320 7,485
ArvinMeritor, Inc. 500 7,120
LKQ Corp.* 290 6,371
Drew Industries, Inc.* 130 3,284
Aftermarket Technology Corp.* 150 2,664
---------------
TOTAL AUTO COMPONENTS 26,924
---------------
LEISURE EQUIPMENT & PRODUCTS 0.2%
Marvel Entertainment, Inc.* 320 7,725
RC2 Corp.* 160 5,365
Jakks Pacific, Inc.* 186 3,316
MarineMax, Inc.* 130 3,308
Oakley, Inc. 180 3,069
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 22,783
---------------
INTERNET & CATALOG RETAIL 0.2%
Priceline.com, Inc.* 200 7,358
Netflix, Inc.* 250 5,695
Stamps.com, Inc.* 138 2,630
PetMed Express, Inc.* 220 2,297
---------------
TOTAL INTERNET & CATALOG RETAIL 17,980
---------------
MULTILINE RETAIL 0.2%
Big Lots, Inc.* 670 13,273
Bon-Ton Stores, Inc. 100 2,974
---------------
TOTAL MULTILINE RETAIL 16,247
---------------
DISTRIBUTORS 0.1%
Building Material Holding Corp. 250 6,505
Keystone Automotive Industries, Inc.* 130 4,942
---------------
TOTAL DISTRIBUTORS 11,447
---------------
AUTOMOBILES 0.1%
Winnebago Industries, Inc. 220 6,904
---------------
TOTAL AUTOMOBILES 6,904
---------------
TOTAL CONSUMER DISCRETIONARY 694,584
---------------
INDUSTRIALS 6.2%
COMMERCIAL SERVICES & SUPPLIES 1.7%
Watson Wyatt & Co. Holdings 270 11,048
Waste Connections, Inc.* 270 10,236
Brady Corp. -- Class A 278 9,775
United Stationers, Inc.* 200 9,302
Herman Miller, Inc. 230 7,868
John H. Harland Co. 200 7,290
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Resources Connection, Inc.* 270 $ 7,233
Banta Corp. 150 7,140
Korn/Ferry International, Inc.* 330 6,910
Deluxe Corp. 400 6,840
Advisory Board Co.* 128 6,467
Mine Safety Appliances Co. 176 6,273
FTI Consulting, Inc.* 250 6,265
Viad Corp. 176 6,232
American Reprographics Co.* 180 5,771
Labor Ready, Inc.* 340 5,416
Administaff, Inc. 160 5,392
Heidrick & Struggles International, Inc.* 130 4,680
CoStar Group, Inc.* 110 4,545
Clean Harbors, Inc.* 100 4,355
Consolidated Graphics, Inc.* 66 3,971
Rollins, Inc. 180 3,800
Amrep Corp. PLC -- SP ADR 70 3,421
ICT Group, Inc.* 90 2,832
School Specialty, Inc.* 80 2,823
Kenexa Corp. -- Class A* 110 2,774
Volt Information Sciences, Inc.* 70 2,489
Spherion Corp.* 330 2,360
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 163,508
---------------
MACHINERY 1.2%
Navistar International Corp.* 440 11,361
Mueller Industries, Inc. 280 9,848
Actuant Corp. -- Class A 180 9,018
Nordson Corp. 200 7,972
Wabtec Corp. 290 7,868
Briggs & Stratton Corp. 270 7,438
Watts Industries, Inc. -- Class A 210 6,670
Kaydon Corp. 180 6,664
Freightcar America, Inc. 110 5,830
NACCO Industries, Inc. -- Class A 40 5,436
Albany International Corp. -- Class A 170 5,409
Barnes Group, Inc. 276 4,847
Bucyrus International, Inc. -- Class A 100 4,242
EnPro Industries, Inc.* 140 4,208
Ampco-Pittsburgh Corp. PLC -- SP ADR 100 3,093
Middleby Corp.* 40 3,082
Accuride Corp.* 270 2,973
Dynamic Materials Corp. 90 2,918
American Science & Engineering, Inc.* 60 2,911
Astec Industries, Inc.* 110 2,777
Columbus McKinnon Corp. -- Class A* 110 1,983
---------------
TOTAL MACHINERY 116,548
---------------
See Notes to Financial Statements.
58 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 0.8%
Acuity Brands, Inc. 280 $ 12,712
General Cable Corp.* 300 11,463
Belden CDT, Inc. 280 10,704
Genlyte Group, Inc.* 140 9,968
Regal-Beloit Corp. 210 9,135
Woodward Governor Co. 196 6,574
A.O. Smith Corp. 136 5,363
Superior Essex, Inc.* 126 4,316
Lamson & Sessions Co., Inc.* 120 2,858
---------------
TOTAL ELECTRICAL EQUIPMENT 73,093
---------------
AEROSPACE & DEFENSE 0.7%
Hexcel Corp.* 590 8,349
Moog, Inc. -- Class A* 240 8,319
Teledyne Technologies, Inc.* 206 8,158
BE Aerospace, Inc.* 370 7,803
Ceradyne, Inc.* 170 6,985
Orbital Sciences Corp.* 370 6,945
Triumph Group, Inc. 120 5,082
United Industrial Corp. 80 4,280
EDO Corp. 130 2,974
Ladish Co., Inc.* 100 2,888
Esterline Technologies Corp.* 80 2,701
Herley Industries, Inc.* 180 2,228
---------------
TOTAL AEROSPACE & DEFENSE 66,712
---------------
BUILDING PRODUCTS 0.4%
NCI Building Systems, Inc.* 126 7,329
Universal Forest Products, Inc. 140 6,867
Simpson Manufacturing Co., Inc. 250 6,757
ElkCorp 126 3,421
Builders FirstSource, Inc.* 200 3,046
American Woodmark Corp. 90 3,032
PW Eagle, Inc. 90 2,701
Ameron International Corp. 40 2,658
Insteel Industries, Inc. 110 2,186
---------------
TOTAL BUILDING PRODUCTS 37,997
---------------
CONSTRUCTION & ENGINEERING 0.3%
EMCOR Group, Inc.* 210 11,516
Granite Construction, Inc. 210 11,204
Washington Group International, Inc. 190 11,183
---------------
TOTAL CONSTRUCTION & ENGINEERING 33,903
---------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
Watsco, Inc. 170 7,822
Beacon Roofing Supply, Inc.* 360 7,286
UAP Holding Corp. 338 7,223
Applied Industrial Technologies, Inc. 280 6,832
BlueLinx Holdings, Inc. 210 1,999
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 31,162
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ROAD & RAIL 0.3%
Arkansas Best Corp. 160 $ 6,885
Genesee & Wyoming, Inc. -- Class A* 286 6,641
Heartland Express, Inc. 390 6,115
Knight Transportation, Inc. 350 5,932
Amerco, Inc.* 70 5,191
---------------
TOTAL ROAD & RAIL 30,764
---------------
AIR FREIGHT & COURIERS 0.3%
EGL, Inc.* 190 6,924
Pacer International, Inc. 230 6,385
Atlas Air Worldwide Holdings Co., Inc.* 140 6,093
HUB Group, Inc. -- Class A* 266 6,059
Forward Air Corp. 60 1,985
---------------
TOTAL AIR FREIGHT & COURIERS 27,446
---------------
AIRLINES 0.2%
SkyWest, Inc. 430 10,544
AirTran Holdings, Inc.* 540 5,357
Republic Airways Holdings, Inc.* 270 4,190
ExpressJet Holdings, Inc.* 450 2,974
---------------
TOTAL AIRLINES 23,065
---------------
TOTAL INDUSTRIALS 604,198
---------------
HEALTH CARE 5.5%
HEALTH CARE EQUIPMENT & SUPPLIES 2.0%
Hologic, Inc.* 300 13,056
Mentor Corp. 230 11,590
Steris Corp. 430 10,346
Immucor, Inc.* 460 10,308
Kyphon, Inc.* 270 10,103
Varian, Inc.* 210 9,633
Bio--Rad Laboratories, Inc. -- Class A* 136 9,619
Haemonetics Corp.* 180 8,424
West Pharmaceutical Services, Inc. 196 7,697
Dionex Corp.* 150 7,641
American Medical Systems Holdings, Inc.* 410 7,556
ArthroCare Corp.* 160 7,498
Lifecell Corp.* 226 7,282
PolyMedica Corp. 166 7,106
DJ Orthopedics, Inc.* 168 6,977
Thoratec Corp.* 390 6,088
Biosite, Inc.* 120 5,548
Integra LifeSciences Holdings Corp.* 148 5,547
Palomar Medical Technologies, Inc.* 128 5,402
ICU Medical, Inc.* 100 4,548
Conmed Corp.* 180 3,800
OraSure Technologies, Inc.* 450 3,618
SurModics, Inc.* 100 3,512
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 59
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Abaxis, Inc.* 150 $ 3,508
Quidel Corp.* 240 3,389
PharmaNet Development Group, Inc.* 170 3,303
Meridian Bioscience, Inc. 140 3,291
Candela Corp.* 290 3,164
Zoll Medical Corp.* 60 2,153
Molecular Devices Corp.* 116 2,145
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 193,852
---------------
BIOTECHNOLOGY 1.5%
OSI Pharmaceuticals, Inc.* 330 12,385
ICOS Corp.* 440 11,027
Myogen, Inc.* 300 10,524
Alkermes, Inc.* 660 10,461
Illumina, Inc.* 290 9,582
BioMarin Pharmaceuticals, Inc.* 580 8,253
United Therapeutics Corp.* 156 8,196
Cubist Pharmaceuticals, Inc.* 350 7,609
Digene Corp.* 156 6,731
Myriad Genetics, Inc.* 270 6,656
Nuvelo, Inc.* 360 6,566
Martek Biosciences Corp.* 300 6,453
Telik, Inc.* 360 6,404
Pharmion Corp.* 230 4,957
Senomyx, Inc.* 276 4,242
Progenics Pharmaceuticals, Inc.* 180 4,223
Alnylam Pharmaceuticals, Inc.* 250 3,603
Savient Pharmaceuticals, Inc.* 480 3,125
BioCryst Pharmaceuticals, Inc.* 220 2,743
Keryx Biopharmaceuticals, Inc.* 230 2,721
Alexion Pharmaceuticals, Inc.* 80 2,718
Tanox, Inc.* 228 2,695
Phase Forward, Inc.* 200 2,388
Renovis, Inc.* 150 2,064
---------------
TOTAL BIOTECHNOLOGY 146,326
---------------
HEALTH CARE PROVIDERS & SERVICES 1.3%
Psychiatric Solutions, Inc.* 330 11,250
Magellan Health Services, Inc.* 250 10,650
AMERIGROUP Corp.* 350 10,342
Sunrise Senior Living, Inc.* 330 9,857
Owens & Minor, Inc. 238 7,828
United Surgical Partners
International, Inc.* 288 7,151
Apria Healthcare Group, Inc.* 350 6,909
inVentiv Health, Inc.* 210 6,726
Per-Se Technologies, Inc.* 246 5,604
Chemed Corp. 170 5,484
LCA-Vision, Inc. 128 5,288
Centene Corp.* 300 4,932
Amedisys, Inc.* 120 4,760
HealthExtras, Inc.* 160 4,530
PRA International* 160 4,270
The Trizetto Group, Inc.* 270 4,088
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Gentiva Health Services, Inc.* 240 $ 3,946
Computer Programs & Systems, Inc. 90 2,949
Omnicell, Inc.* 160 2,862
Molina Healthcare, Inc.* 80 2,829
Air Methods Corp. -- SP ADR* 100 2,360
Odyssey HealthCare, Inc.* 160 2,269
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 126,884
---------------
PHARMACEUTICALS 0.7%
Valeant Pharmaceuticals International 580 11,472
MGI Pharma, Inc.* 480 8,261
Perrigo Co. 460 7,806
KV Pharmaceutical Co.* 300 7,110
Viropharma, Inc.* 570 6,937
Alpharma, Inc. -- Class A 276 6,456
Noven Pharmaceuticals, Inc.* 190 4,583
Sciele Pharma, Inc.* 240 4,521
Kendle International, Inc.* 110 3,522
Pain Therapeutics, Inc.* 380 3,276
Bradley Pharmaceuticals, Inc.* 190 3,025
New River Pharmaceuticals, Inc.* 110 2,830
Medicis Pharmaceutical Corp. -- Class A 80 2,588
CNS, Inc. 90 2,541
---------------
TOTAL PHARMACEUTICALS 74,928
---------------
TOTAL HEALTH CARE 541,990
---------------
ENERGY 2.3%
OIL & GAS 1.2%
Houston Exploration Co.* 170 9,375
Giant Industries, Inc.* 98 7,958
World Fuel Services Corp. 190 7,686
Penn Virginia Corp. 120 7,609
Swift Energy Co.* 180 7,528
Stone Energy Corp.* 180 7,286
Comstock Resources, Inc.* 250 6,788
USEC, Inc. 680 6,555
Alpha Natural Resources, Inc.* 400 6,304
Berry Petroleum Co. -- Class A 216 6,083
Atlas America, Inc.* 140 5,975
Parallel Petroleum Corp.* 250 5,015
PetroHawk Energy Corp.* 450 4,671
Carrizo Oil & Gas, Inc.* 170 4,384
Petroleum Development Corp.* 106 4,228
Vaalco Energy, Inc.* 530 3,805
Crosstex Energy, Inc. 36 3,225
Energy Partners Ltd.* 120 2,958
Harvest Natural Resources, Inc.* 270 2,795
Alon USA Energy, Inc. 90 2,654
GMX Resources, Inc.* 70 2,197
Edge Petroleum Corp.* 110 1,812
---------------
TOTAL OIL & GAS 116,891
---------------
See Notes to Financial Statements.
60 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 1.1%
Hanover Compressor Co.* 610 $ 11,114
Universal Compression Holdings, Inc.* 200 10,690
Lone Star Technologies, Inc.* 220 10,644
NS Group, Inc.* 146 9,424
Grey Wolf, Inc.* 1,362 9,098
Oil States International, Inc.* 300 8,250
Atwood Oceanics, Inc.* 180 8,095
W-H Energy Services, Inc.* 190 7,879
Hydril* 120 6,727
Parker Drilling Co.* 898 6,358
Dril-Quip, Inc.* 90 6,091
Lufkin Industries, Inc. 108 5,715
Input/Output, Inc.* 570 5,660
Trico Marine Services, Inc.* 90 3,038
Natco Group, Inc.* 100 2,880
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 111,663
---------------
TOTAL ENERGY 228,554
---------------
MATERIALS 2.0%
METALS & MINING 0.8%
Oregon Steel Mills, Inc.* 220 10,751
Cleveland-Cliffs, Inc. 270 10,290
Aleris International, Inc.* 200 10,108
Chaparral Steel Co.* 290 9,877
Coeur d'Alene Mines Corp.* 1,850 8,714
AK Steel Holding Corp.* 700 8,498
RTI International Metals, Inc.* 140 6,101
Quanex Corp. 200 6,070
Schnitzer Steel Industries, Inc. --
Class A 190 5,993
Ryerson Tull, Inc. 206 4,509
---------------
TOTAL METALS & MINING 80,911
---------------
CHEMICALS 0.8%
Hercules, Inc.* 680 10,724
OM Group, Inc.* 200 8,788
H.B. Fuller Co. 350 8,204
Georgia Gulf Corp. 260 7,129
NewMarket Corp. 120 6,979
PolyOne Corp.* 780 6,498
Olin Corp. 420 6,451
Spartech Corp. 240 6,425
Rockwood Holdings, Inc.* 250 4,995
A. Schulman, Inc. 200 4,702
Pioneer Cos., Inc.* 120 2,941
Zoltek Cos., Inc.* 80 2,044
---------------
TOTAL CHEMICALS 75,880
---------------
CONTAINERS & PACKAGING 0.3%
AptarGroup, Inc. 210 10,685
Greif, Inc. -- Class A 110 8,812
Silgan Holdings, Inc. 156 5,859
---------------
TOTAL CONTAINERS & PACKAGING 25,356
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSTRUCTION MATERIALS 0.1%
Headwaters, Inc.* 320 $ 7,472
U S Concrete, Inc.* 510 3,320
---------------
TOTAL CONSTRUCTION MATERIALS 10,792
---------------
PAPER & FOREST PRODUCTS 0.0%
Deltic Timber Corp. 60 2,860
---------------
TOTAL PAPER & FOREST PRODUCTS 2,860
---------------
TOTAL MATERIALS 195,799
---------------
UTILITIES 1.4%
ELECTRIC UTILITIES 0.6%
Westar Energy, Inc. 510 11,990
IDACORP, Inc. 270 10,209
Cleco Corp. 400 10,096
Allete, Inc. 170 7,387
El Paso Electric Co.* 330 7,372
Unisource Energy Corp. 210 6,999
Otter Tail Power Co. 210 6,140
---------------
TOTAL ELECTRIC UTILITIES 60,193
---------------
GAS UTILITIES 0.6%
Piedmont Natural Gas Co. 460 11,643
Nicor, Inc. 260 11,118
Southwest Gas Corp. 270 8,996
WGL Holdings, Inc. 230 7,208
Northwest Natural Gas Co. 170 6,678
South Jersey Industries, Inc. 210 6,281
Laclede Group, Inc. 150 4,812
---------------
TOTAL GAS UTILITIES 56,736
---------------
MULTI-UTILITIES 0.2%
Avista Corp. 300 7,104
PNM Resources, Inc. 240 6,617
Ormat Technologies, Inc. 60 1,963
---------------
TOTAL MULTI-UTILITIES 15,684
---------------
TOTAL UTILITIES 132,613
---------------
CONSUMER STAPLES 1.1%
FOOD PRODUCTS 0.4%
Flowers Foods, Inc. 330 8,870
Ralcorp Holdings, Inc.* 160 7,717
Lancaster Colony Corp. 160 7,162
Tootsie Roll Industries, Inc. 230 6,741
Hain Celestial Group, Inc.* 220 5,623
Imperial Sugar Co., Inc. 90 2,801
---------------
TOTAL FOOD PRODUCTS 38,914
---------------
FOOD & DRUG RETAILING 0.3%
Longs Drug Stores Corp. 210 9,662
United Natural Foods, Inc.* 280 8,677
Central European Distribution Corp.* 230 5,384
Wild Oats Markets, Inc.* 200 3,234
Nash Finch Co. 120 2,824
Andersons, Inc. 80 2,732
---------------
TOTAL FOOD & DRUG RETAILING 32,513
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 61
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PERSONAL PRODUCTS 0.3%
NBTY, Inc.* 360 $ 10,537
Chattem, Inc.* 140 4,917
American Oriental Bioengineering,
Inc. PLC -- SP ADR* 560 3,405
Elizabeth Arden, Inc.* 200 3,232
Prestige Brands Holdings, Inc. --
Class A* 290 3,231
USANA Health Sciences, Inc.* 50 2,229
---------------
TOTAL PERSONAL PRODUCTS 27,551
---------------
HOUSEHOLD PRODUCTS 0.1%
Central Garden and Pet Co.* 150 7,239
---------------
TOTAL HOUSEHOLD PRODUCTS 7,239
---------------
BEVERAGES 0.0%
MGP Ingredients, Inc. 90 1,914
---------------
TOTAL BEVERAGES 1,914
---------------
TOTAL CONSUMER STAPLES 108,131
---------------
TELECOMMUNICATION SERVICES 0.6%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.4%
Time Warner Telecom, Inc. -- Class A* 470 8,935
Cincinnati Bell, Inc.* 1,610 7,760
Commonwealth Telephone Enterprises, Inc. 180 7,421
Iowa Telecommunications Services, Inc. 250 4,947
Golden Telecom, Inc. 140 4,235
CT Communications, Inc. 180 3,910
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 37,208
---------------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
Dobson Communications Corp. -- Class A* 930 6,529
iPCS, Inc. -- Class A* 120 6,426
USA Mobility, Inc. 210 4,796
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 17,751
---------------
TOTAL TELECOMMUNICATION SERVICES 54,959
---------------
TOTAL COMMON STOCKS
(Cost $4,233,417) 4,381,476
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 62.6%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 137,444 $ 137,444
4.95% due 10/02/06 2,082,332 2,082,332
4.94% due 10/02/06+ 56,428 56,428
4.89% due 10/02/06 1,353,516 1,353,516
4.80% due 10/02/06 2,498,798 2,498,798
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,128,518) 6,128,518
---------------
TOTAL INVESTMENTS 107.4%
(Cost $10,361,935) $ 10,509,994
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (7.4)% $ (728,379)
===============
NET ASSETS - 100.0% $ 9,781,615
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $2,335,680) 32 $ 19,385
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENTS
November 2006 Russell 2000(R) Index
Swap, Maturing 11/21/06**
(Notional Market Value
$2,451,137) 3,378 $ (25,688)
December 2006 Russell 2000(R) Index
Swap, Maturing 12/27/06**
(Notional Market Value
$614,806) 847 (5,980)
---------------
(TOTAL NOTIONAL MARKET
VALUE $3,065,943) $ (31,668)
===============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
62 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 98.5%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 3,413,851 $ 3,413,851
4.95% due 10/02/06 51,721,220 51,721,220
4.94% due 10/02/06+ 16,079,027 16,079,027
4.89% due 10/02/06 33,618,793 33,618,793
4.80% due 10/02/06 62,065,464 62,065,464
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $166,898,355) 166,898,355
---------------
TOTAL INVESTMENTS 98.5%
(Cost $166,898,355) $ 166,898,355
===============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 1.5% $ 2,590,435
===============
NET ASSETS - 100.0% $ 169,488,790
================================================================================
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
December 2006 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $28,539,090) 391 $ (174,937)
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENT
SOLD SHORT
November 2006 Russell 2000(R) Index
Swap, Maturing 11/21/06*
(Notional Market Value
$141,006,263) 194,333 $ (4,091,077)
===============
* PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 63
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 94.8%
U.S. Treasury Bond at
4.50% due 02/15/36 $ 160,055,000 $ 153,327,688
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $143,828,639) 153,327,688
---------------
REPURCHASE AGREEMENTS 6.7%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 246,646 246,646
4.95% due 10/02/06 3,736,792 3,736,792
4.89% due 10/02/06 2,428,915 2,428,915
4.80% due 10/02/06 4,484,150 4,484,150
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $10,896,503) 10,896,503
---------------
TOTAL INVESTMENTS 101.5%
(Cost $154,725,142) $ 164,224,191
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (1.5)% $ (2,447,552)
===============
NET ASSETS - 100.0% $ 161,776,639
================================================================================
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 U.S. Treasury
Bond Futures Contracts
(Aggregate Market Value
of Contracts $63,267,125) 563 $ 1,123,906
===============
See Notes to Financial Statements.
64 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 40.1%
Farmer Mac*
5.13% due 12/15/06 $ 42,463,000 $ 42,015,228
Federal Home Loan Bank*
5.13% due 10/24/06 50,000,000 49,843,250
5.07% due 12/20/06 50,000,000 49,443,708
5.24% due 10/11/06 25,000,000 24,967,250
Freddie Mac*
4.97% due 10/17/06 50,000,000 49,896,458
5.01% due 10/17/06+ 50,000,000 49,895,625
5.02% due 11/21/06+ 50,000,000 49,651,389
5.00% due 12/29/06+ 50,000,000 49,388,889
---------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $365,101,797) 365,101,797
---------------
CONTRACTS
--------------
OPTIONS PURCHASED 0.0%
Call Options on:
December 2006 U.S. Treasury
Bond Index Futures Contracts
Expiring November 2006
with strike price of 120++ 1,980 --
---------------
TOTAL OPTIONS PURCHASED
(Cost $39,353) --
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 134.4%
Repurchase Agreement (Note 6)
5.00% due 10/02/06+ $ 12,500,438 12,500,438
4.95% due 10/02/06+ 189,386,637 189,386,637
4.89% due 10/02/06+ 123,101,314 123,101,314
4.80% due 10/02/06+ 227,263,965 227,263,965
Individual Repurchase Agreement
Lehman Brothers, Inc. at
4.85% due 10/02/06
(Secured by U.S. Treasury
Bonds, at a rate of 4.50%
and maturing 02/15/36 as
collateral, with a Market
Value of $492,276,576)
and a Maturity Value of
$482,800,053 482,605,000 482,605,000
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
Individual Repurchase Agreement
CitiGroup at 4.90% due 10/02/06
(Secured by U.S.Treasury Bonds,
at a rate of 4.50% and maturing
02/15/36 as collateral, with
a Market Value of $193,256,013)
and a Maturity Value of
$189,538,147 $ 189,460,784 $ 189,460,784
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,224,318,138) 1,224,318,138
---------------
TOTAL LONG TERM SECURITIES 174.5%
(Cost $1,589,459,288) 1,589,419,935
---------------
U.S. TREASURY OBLIGATION SOLD SHORT (75.1)%
U.S. Treasury Bond at
4.50% due 02/15/36 713,508,000 (683,518,367)
TOTAL U.S. TREASURY OBLIGATION
SOLD SHORT
(Proceeds $704,718,709) (683,518,367)
---------------
TOTAL SHORT SALES
(Proceeds $704,718,709) (683,518,367)
---------------
TOTAL INVESTMENTS 99.4%
(Cost $884,740,579) $ 905,901,568
===============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 0.6% $ 4,739,641
===============
NET ASSETS - 100.0% $ 910,641,209
================================================================================
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
December 2006 U.S. Treasury
Bond Futures Contracts
(Aggregate Market Value
of Contracts $356,004,000) 3,168 $ (6,018,153)
===============
* THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A
CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY
THE U.S. GOVERNMENT.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS COLLATERAL AT SEPTEMBER 30,
2006.
++ SECURITY IS FAIR VALUED. (NOTE 1)
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 65
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 56.4%
FINANCIALS 15.7%
BANKS 9.8%
HSBC Holdings PLC -- SP ADR 34,270 $ 3,136,733
Barclays PLC -- SP ADR 28,760 1,460,145
ABN AMRO Holding NV -- SP ADR 42,839 1,251,756
Banco Santander Central Hispano
SA -- SP ADR 78,730 1,243,147
Lloyds TSB Group PLC -- SP ADR 26,240 1,062,720
Banco Bilbao Vizcaya Argentaria
SA -- SP ADR 30,110 696,444
---------------
TOTAL BANKS 8,850,945
---------------
CAPITAL MARKETS 3.0%
UBS AG 27,910 1,655,342
Deutsche Bank AG 5,990 722,993
Credit Suisse Group -- SP ADR 6,580 381,311
---------------
TOTAL CAPITAL MARKETS 2,759,646
---------------
INSURANCE 1.6%
Allianz AG -- SP ADR 48,099 833,555
AXA -- SP ADR 16,570 611,599
---------------
TOTAL INSURANCE 1,445,154
---------------
DIVERSIFIED FINANCIALS 1.3%
ING Groep NV -- SP ADR 27,680 1,217,367
---------------
TOTAL DIVERSIFIED FINANCIALS 1,217,367
---------------
TOTAL FINANCIALS 14,273,112
---------------
ENERGY 9.6%
OIL & GAS 9.6%
BP PLC -- SP ADR 49,329 3,234,996
Royal Dutch Shell PLC -- SP ADR 29,900 1,976,390
Total SA -- SP ADR 26,600 1,754,004
ENI-Ente Nazionale Idrocarburi -- SP ADR 24,940 1,484,179
Repsol YPF SA -- SP ADR 9,000 268,470
---------------
TOTAL OIL & GAS 8,718,039
---------------
TOTAL ENERGY 8,718,039
---------------
HEALTH CARE 7.0%
PHARMACEUTICALS 6.5%
Novartis AG -- SP ADR 39,540 2,310,718
GlaxoSmithKline PLC -- SP ADR 40,130 2,136,120
AstraZeneca PLC -- SP ADR 22,790 1,424,375
---------------
TOTAL PHARMACEUTICALS 5,871,213
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.5%
Alcon, Inc. 3,750 429,375
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 429,375
---------------
TOTAL HEALTH CARE 6,300,588
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 6.1%
DIVERSIFIED TELECOMMUNICATION SERVICES 4.3%
Telefonica SA 28,680 $ 1,485,911
BT Group PLC -- SP ADR 22,520 1,138,837
Deutsche Telekom AG -- SP ADR 35,820 568,463
France Telecom SA -- SP ADR 19,830 462,237
Telecom Italia -- SP ADR 8,710 246,754
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 3,902,202
---------------
WIRELESS TELECOMMUNICATION SERVICES 1.8%
Vodafone Group PLC -- SP ADR 70,239 1,605,664
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,605,664
---------------
TOTAL TELECOMMUNICATION SERVICES 5,507,866
---------------
MATERIALS 4.0%
METALS & MINING 2.8%
Anglo American PLC -- ADR 66,689 1,407,138
Rio Tinto PLC -- SP ADR 3,250 616,297
BHP Billiton Ltd. -- SP ADR 13,970 529,184
---------------
TOTAL METALS & MINING 2,552,619
---------------
CHEMICALS 1.2%
BASF AG -- SP ADR 12,900 1,033,290
---------------
TOTAL CHEMICALS 1,033,290
---------------
TOTAL MATERIALS 3,585,909
---------------
INFORMATION TECHNOLOGY 3.9%
COMMUNICATIONS EQUIPMENT 2.3%
Nokia OYJ -- SP ADR 66,409 1,307,593
Telefonaktiebolaget LM Ericsson
-- SP ADR 22,150 763,068
---------------
TOTAL COMMUNICATIONS EQUIPMENT 2,070,661
---------------
SOFTWARE 1.1%
SAP AG -- SP ADR 15,490 766,755
Business Objects SA -- SP ADR* 8,710 296,924
---------------
TOTAL SOFTWARE 1,063,679
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.5%
STMicroelectronics 25,040 432,190
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 432,190
---------------
TOTAL INFORMATION TECHNOLOGY 3,566,530
---------------
UTILITIES 3.1%
ELECTRIC UTILITIES 1.7%
E.ON AG -- SP ADR 40,299 1,598,661
---------------
TOTAL ELECTRIC UTILITIES 1,598,661
---------------
MULTI-UTILITIES 1.4%
Suez SA -- SP ADR 27,980 1,238,115
---------------
TOTAL MULTI-UTILITIES 1,238,115
---------------
TOTAL UTILITIES 2,836,776
---------------
See Notes to Financial Statements.
66 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 3.1%
FOOD PRODUCTS 1.8%
Unilever NV 44,559 $ 1,093,478
Cadbury Schweppes PLC -- SP ADR 12,720 544,034
---------------
TOTAL FOOD PRODUCTS 1,637,512
---------------
BEVERAGES 1.3%
Diageo PLC -- SP ADR 16,420 1,166,477
---------------
TOTAL BEVERAGES 1,166,477
---------------
TOTAL CONSUMER STAPLES 2,803,989
---------------
CONSUMER DISCRETIONARY 2.4%
AUTOMOBILES 0.7%
DaimlerChrysler AG 12,670 632,993
---------------
TOTAL AUTOMOBILES 632,993
---------------
TEXTILES & APPAREL 0.6%
Luxottica Group 19,210 565,351
---------------
TOTAL TEXTILES & APPAREL 565,351
---------------
HOUSEHOLD DURABLES 0.6%
Koninklijke Philips Electronics NV 14,790 517,798
---------------
TOTAL HOUSEHOLD DURABLES 517,798
---------------
MEDIA 0.5%
WPP Group PLC -- SP ADR 8,070 498,161
---------------
TOTAL MEDIA 498,161
---------------
TOTAL CONSUMER DISCRETIONARY 2,214,303
---------------
INDUSTRIALS 1.5%
INDUSTRIAL CONGLOMERATES 1.0%
Siemens AG -- SP ADR 10,260 893,646
---------------
TOTAL INDUSTRIAL CONGLOMERATES 893,646
---------------
AIRLINES 0.5%
Ryanair Holdings PLC -- SP ADR* 7,380 467,080
---------------
TOTAL AIRLINES 467,080
---------------
TOTAL INDUSTRIALS 1,360,726
---------------
TOTAL COMMON STOCKS
(Cost $47,657,496) 51,167,838
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 44.4%
Repurchase Agreement (Note 6)
5.00% due 10/02/06+ $ 6,227,435 6,227,435
4.95% due 10/02/06 11,059,636 11,059,636
4.94% due 10/02/06+ 2,475,747 2,475,747
4.89% due 10/02/06 7,188,763 7,188,763
4.80% due 10/02/06 13,271,563 13,271,563
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $40,223,144) 40,223,144
---------------
MARKET
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS 100.8%
(Cost $87,880,640) $ 91,390,982
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (0.8)% $ (718,216)
===============
NET ASSETS - 100.0% $ 90,672,766
================================================================================
UNREALIZED
GAIN (LOSS)
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS
December 2006 Dow Jones
STOXX 50 Index Swap,
Maturing 12/12/06**
(Notional Market Value
$37,028,108) 8,228 $ 342,513
December 2006 Dow Jones
STOXX 50 Index Swap,
Maturing 12/27/06**
(Notional Market Value
$24,781,100) 5,495 (75,843)
---------------
(TOTAL NOTIONAL MARKET
VALUE $61,809,208) $ 266,670
===============
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
COUNTRY DIVERSIFICATION
Australia 1%
Great Britain 45%
Germany 18%
Netherlands 7%
Switzerland 7%
Spain 5%
Italy 4%
France 4%
Sweden 4%
Ireland 3%
Finland 2%
The pie chart above reflects percentages of the market value of Common Stocks.
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON DOW JONES STOXX 50 INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 67
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
JAPAN ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 101.1%
Repurchase Agreement (Note 6)
5.00% due 10/02/06+ $ 9,948,205 $ 9,948,205
4.95% due 10/02/06 14,475,779 14,475,779
4.89% due 10/02/06 9,409,257 9,409,257
4.80% due 10/02/06 17,370,935 17,370,935
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $51,204,176) 51,204,176
---------------
TOTAL INVESTMENTS 101.1%
(Cost $51,204,176) $ 51,204,176
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (1.1)% $ (533,168)
===============
NET ASSETS - 100.0% $ 50,671,008
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 Nikkei 225 Index
Futures Contracts
(Aggregate Market Value
of Contracts $4,761,300) 59 $ 77,236
December 2006 Yen Currency
Exchange Futures Contracts
(Aggregate Market Value of
Contracts $4,386,488) 41 (15,994)
---------------
(TOTAL AGGREGATE MARKET VALUE
OF CONTRACTS $9,147,788) $ 61,242
===============
UNITS
--------------
EQUITY INDEX SWAP AGREEMENT
December 2006 Topix 100 Index
Swap, Maturing 12/12/06*
(Notional Market Value
$58,705,345) 6,030,314 $ 610,175
===============
* PRICE RETURN BASED ON TOPIX 100 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
68 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.4%
CONSUMER DISCRETIONARY 21.5%
SPECIALTY RETAIL 7.1%
Group 1 Automotive, Inc.+ 15,878 $ 792,312
Haverty Furniture Cos., Inc.+ 39,759 634,156
PEP Boys-Manny Moe & Jack 44,448 571,157
Sonic Automotive, Inc. 23,592 544,739
Jo-Ann Stores, Inc.*+ 28,056 469,096
Stage Stores, Inc. 15,635 458,731
Cato Corp. -- Class A+ 17,351 380,161
Hancock Fabrics, Inc.* 93,012 266,945
Zale Corp.* 5,545 153,818
---------------
TOTAL SPECIALTY RETAIL 4,271,115
---------------
TEXTILES & APPAREL 3.3%
Kellwood Co. 27,137 782,331
Brown Shoe Co., Inc. 16,743 600,069
Ashworth, Inc.* 54,731 374,907
Stride Rite Corp. 11,027 153,937
Oxford Industries, Inc. 2,207 94,703
---------------
TOTAL TEXTILES & APPAREL 2,005,947
---------------
HOUSEHOLD DURABLES 3.2%
Bassett Furniture Industries, Inc. 23,660 384,238
La-Z-Boy, Inc.+ 26,998 376,892
Libbey, Inc.+ 30,926 346,062
Standard-Pacific Corp. 11,744 275,984
National Presto Industries, Inc. 4,819 266,346
Russ Berrie & Co., Inc.* 8,613 131,262
Lenox Group, Inc.* 20,076 121,460
---------------
TOTAL HOUSEHOLD DURABLES 1,902,244
---------------
HOTELS, RESTAURANTS & LEISURE 2.6%
O'Charleys, Inc.* 34,160 648,015
Ryan's Restaurant Group, Inc.* 22,221 352,647
Lone Star Steakhouse & Saloon, Inc. 9,393 260,844
Marcus Corp. 9,444 216,929
Bally Total Fitness Holding Corp.*+ 58,442 88,247
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,566,682
---------------
AUTO COMPONENTS 1.9%
Standard Motor Products, Inc.+ 60,396 724,148
Superior Industries International,
Inc.+ 24,283 407,712
---------------
TOTAL AUTO COMPONENTS 1,131,860
---------------
AUTOMOBILES 1.3%
Coachmen Industries, Inc. 44,456 480,569
Monaco Coach Corp. 28,703 319,752
---------------
TOTAL AUTOMOBILES 800,321
---------------
LEISURE EQUIPMENT & PRODUCTS 1.3%
K2, Inc.* 30,209 354,352
Jakks Pacific, Inc.*+ 15,962 284,602
Sturm Ruger & Co., Inc.* 15,937 123,352
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 762,306
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 0.6%
Fred's, Inc. 26,394 $ 333,092
---------------
TOTAL MULTILINE RETAIL 333,092
---------------
DISTRIBUTORS 0.2%
Audiovox Corp. -- Class A* 6,666 92,791
---------------
TOTAL DISTRIBUTORS 92,791
---------------
TOTAL CONSUMER DISCRETIONARY 12,866,358
---------------
MATERIALS 18.3%
CHEMICALS 6.3%
A. Schulman, Inc. 30,421 715,198
Quaker Chemical Corp. 30,304 589,413
Arch Chemicals, Inc. 15,358 436,935
Wellman, Inc.+ 103,414 412,622
Penford Corp. 25,635 388,114
H.B. Fuller Co. 15,540 364,257
PolyOne Corp.*+ 43,603 363,213
Georgia Gulf Corp.+ 11,594 317,907
Tronox, Inc.+ 16,727 213,604
---------------
TOTAL CHEMICALS 3,801,263
---------------
METALS & MINING 4.9%
Chaparral Steel Co.*+ 21,086 718,189
A.M. Castle & Co. 17,669 474,236
Ryerson Tull, Inc.+ 19,506 426,986
Steel Technologies, Inc. 19,838 389,420
Brush Engineered Materials, Inc.*+ 13,883 345,270
Aleris International, Inc.* 4,765 240,823
Century Aluminum Co.*+ 6,547 220,307
Quanex Corp.+ 4,020 122,007
---------------
TOTAL METALS & MINING 2,937,238
---------------
CONTAINERS & PACKAGING 3.6%
Rock-Tenn Co. -- Class A 38,951 771,230
Myers Industries, Inc. 39,864 677,688
Chesapeake Corp. 35,365 506,073
Caraustar Industries, Inc.* 24,454 194,898
---------------
TOTAL CONTAINERS & PACKAGING 2,149,889
---------------
PAPER & FOREST PRODUCTS 3.2%
Schweitzer-Mauduit International, Inc. 26,791 508,493
Pope & Talbot, Inc.*+ 66,067 379,886
Wausau Paper Corp. 26,160 353,160
Neenah Paper, Inc. 9,679 331,312
Buckeye Technologies, Inc.* 37,022 314,687
---------------
TOTAL PAPER & FOREST PRODUCTS 1,887,538
---------------
CONSTRUCTION MATERIALS 0.3%
Texas Industries, Inc. 3,189 166,020
---------------
TOTAL CONSTRUCTION MATERIALS 166,020
---------------
TOTAL MATERIALS 10,941,948
---------------
INDUSTRIALS 17.5%
COMMERCIAL SERVICES & SUPPLIES 5.9%
Volt Information Sciences, Inc.* 22,277 791,947
NCO Group, Inc.* 15,685 411,261
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 69
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Standard Register Co. 30,241 $ 399,181
Spherion Corp.* 52,766 377,277
Angelica Corp. 20,217 343,891
Bowne & Co., Inc. 22,201 317,030
United Stationers, Inc.* 3,863 179,668
Consolidated Graphics, Inc.* 2,868 172,568
ABM Industries, Inc. 8,667 162,593
Central Parking Corp. 9,063 149,540
Viad Corp. 3,336 118,128
CDI Corp. 4,476 92,698
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 3,515,782
---------------
ELECTRICAL EQUIPMENT 3.1%
A.O. Smith Corp. 14,653 577,768
MagneTek, Inc.* 127,282 440,396
Belden CDT, Inc.+ 9,506 363,414
Acuity Brands, Inc. 5,111 232,039
C&D Technologies, Inc. 32,286 229,231
---------------
TOTAL ELECTRICAL EQUIPMENT 1,842,848
---------------
MACHINERY 2.4%
Robbins & Myers, Inc. 14,889 460,368
Lydall, Inc.* 34,663 308,501
Mueller Industries, Inc.+ 5,755 202,403
Wolverine Tube, Inc.*+ 64,975 196,874
Briggs & Stratton Corp.+ 6,522 179,681
Barnes Group, Inc. 6,434 112,981
---------------
TOTAL MACHINERY 1,460,808
---------------
INDUSTRIAL CONGLOMERATES 1.5%
Tredegar Corp.+ 31,329 524,447
Standex International Corp. 13,443 374,791
---------------
TOTAL INDUSTRIAL CONGLOMERATES 899,238
---------------
CONSTRUCTION & ENGINEERING 1.0%
EMCOR Group, Inc.* 10,815 593,095
---------------
TOTAL CONSTRUCTION & ENGINEERING 593,095
---------------
AIR FREIGHT & COURIERS 0.8%
HUB Group, Inc. -- Class A*+ 19,917 453,709
---------------
TOTAL AIR FREIGHT & COURIERS 453,709
---------------
ROAD & RAIL 0.7%
Arkansas Best Corp. 10,245 440,842
---------------
TOTAL ROAD & RAIL 440,842
---------------
BUILDING PRODUCTS 0.7%
NCI Building Systems, Inc.*+ 2,997 174,335
Lennox International, Inc. 7,345 168,201
Griffon Corp.*+ 3,623 86,481
---------------
TOTAL BUILDING PRODUCTS 429,017
---------------
AEROSPACE & DEFENSE 0.6%
Cubic Corp. 10,426 204,141
Triumph Group, Inc. 3,946 167,113
---------------
TOTAL AEROSPACE & DEFENSE 371,254
---------------
TRADING COMPANIES & DISTRIBUTORS 0.6%
Lawson Products, Inc. 4,705 197,234
Kaman Corp. -- Class A 7,887 142,045
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 339,279
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AIRLINES 0.2%
Frontier Airlines Holdings, Inc.*+ 15,268 $ 125,961
---------------
TOTAL AIRLINES 125,961
---------------
TOTAL INDUSTRIALS 10,471,833
---------------
FINANCIALS 12.8%
INSURANCE 4.1%
LandAmerica Financial Group, Inc.+ 10,832 712,637
Safety Insurance Group, Inc. 7,398 359,987
Stewart Information Services Corp. 10,159 353,228
Selective Insurance Group, Inc.+ 6,256 329,128
Presidential Life Corp. 11,558 258,553
Infinity Property & Casualty Corp. 5,338 219,552
Delphi Financial Group, Inc. -- Class A+ 4,850 193,418
---------------
TOTAL INSURANCE 2,426,503
---------------
REAL ESTATE 3.8%
Glenborough Realty Trust, Inc. 17,195 442,427
National Retail Properties, Inc.+ 14,500 313,200
Senior Housing Properties Trust 13,760 293,638
Parkway Properties, Inc.+ 6,193 287,913
Colonial Properties Trust+ 5,093 243,496
Sovran Self Storage, Inc.+ 3,617 200,924
Lexington Corporate Properties Trust+ 8,832 187,062
Entertainment Properties Trust 3,778 186,331
Mid-America Apartment
Communities, Inc.+ 1,730 105,911
---------------
TOTAL REAL ESTATE 2,260,902
---------------
BANKS 2.8%
Whitney Holding Corp. 9,202 329,155
First Bancorp Puerto Rico+ 24,751 273,746
Sterling Financial Corp. 6,658 215,919
Community Bank System, Inc. 8,963 198,620
Susquehanna Bancshares, Inc. 7,544 184,375
First Commonwealth Financial Corp.+ 14,052 183,098
Provident Bankshares Corp. 4,376 162,131
South Financial Group, Inc. 5,858 152,484
---------------
TOTAL BANKS 1,699,528
---------------
CAPITAL MARKETS 1.9%
Piper Jaffray Cos., Inc.*+ 9,784 593,106
SWS Group, Inc. 22,166 551,712
---------------
TOTAL CAPITAL MARKETS 1,144,818
---------------
THRIFTS & MORTGAGE FINANCE 0.2%
Brookline Bancorp, Inc.+ 9,866 135,658
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 135,658
---------------
TOTAL FINANCIALS 7,667,409
---------------
UTILITIES 12.5%
GAS UTILITIES 6.4%
Southwest Gas Corp.+ 18,767 625,316
South Jersey Industries, Inc. 20,216 604,661
See Notes to Financial Statements.
70 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
UGI Corp. 21,031 $ 514,208
Cascade Natural Gas Corp. 19,101 498,345
Atmos Energy Corp.+ 17,347 495,257
Laclede Group, Inc. 12,591 403,919
Northwest Natural Gas Co. 6,603 259,366
Energen Corp. 5,407 226,391
Piedmont Natural Gas Co.+ 8,365 211,718
---------------
TOTAL GAS UTILITIES 3,839,181
---------------
ELECTRIC UTILITIES 4.3%
Central Vermont Public Service Corp. 33,927 750,126
UIL Holding Corp. 16,959 635,963
Green Mountain Power Corp. 12,487 416,691
Unisource Energy Corp.+ 8,768 292,237
Cleco Corp.+ 9,697 244,752
Allete, Inc.+ 4,711 204,693
---------------
TOTAL ELECTRIC UTILITIES 2,544,462
---------------
MULTI-UTILITIES 1.6%
Avista Corp. 23,949 567,112
CH Energy Group, Inc. 8,095 416,650
---------------
TOTAL MULTI-UTILITIES 983,762
---------------
WATER UTILITIES 0.2%
American States Water Co.+ 3,263 124,810
---------------
TOTAL WATER UTILITIES 124,810
---------------
TOTAL UTILITIES 7,492,215
---------------
INFORMATION TECHNOLOGY 8.5%
ELECTRONIC EQUIPMENT & INSTRUMENTS 5.3%
Gerber Scientific, Inc.* 42,406 635,242
Planar Systems, Inc.* 46,649 529,466
Technitrol, Inc. 16,804 501,599
Insight Enterprises, Inc.* 15,886 327,411
Bell Microproducts, Inc.* 41,724 216,548
Anixter International, Inc.+ 3,644 205,777
Agilsys, Inc. 13,336 187,237
CTS Corp. 10,819 149,086
Benchmark Electronics, Inc.*+ 5,390 144,883
Methode Electronics, Inc. -- Class A 12,732 121,081
Brightpoint, Inc.* 8,460 120,301
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 3,138,631
---------------
IT CONSULTING & SERVICES 1.4%
Startek, Inc. 43,911 547,570
Keane, Inc.*+ 11,213 161,579
Ciber, Inc.* 23,118 153,273
---------------
TOTAL IT CONSULTING & SERVICES 862,422
---------------
COMPUTERS & PERIPHERALS 0.7%
Adaptec, Inc.*+ 91,155 401,993
---------------
TOTAL COMPUTERS & PERIPHERALS 401,993
---------------
COMMUNICATIONS EQUIPMENT 0.4%
Ditech Networks, Inc.* 32,373 249,596
---------------
TOTAL COMMUNICATIONS EQUIPMENT 249,596
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SOFTWARE 0.4%
THQ, Inc.*+ 7,194 $ 209,849
---------------
TOTAL SOFTWARE 209,849
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3%
Axcelis Technologies, Inc.* 18,951 133,794
Photronics, Inc.*+ 4,714 66,609
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 200,403
---------------
TOTAL INFORMATION TECHNOLOGY 5,062,894
---------------
CONSUMER STAPLES 5.2%
FOOD PRODUCTS 2.1%
American Italian Pasta Co. -- Class A*+ 53,767 418,307
Corn Products International, Inc. 9,930 323,122
Lance, Inc. 14,464 318,498
Flowers Foods, Inc. 7,559 203,186
---------------
TOTAL FOOD PRODUCTS 1,263,113
---------------
FOOD & DRUG RETAILING 1.8%
Longs Drug Stores Corp. 6,535 300,675
Performance Food Group Co.*+ 9,883 277,614
Nash Finch Co.+ 11,614 273,277
Casey's General Stores, Inc. 8,733 194,484
---------------
TOTAL FOOD & DRUG RETAILING 1,046,050
---------------
TOBACCO 1.3%
Alliance One International, Inc.* 190,445 780,824
---------------
TOTAL TOBACCO 780,824
---------------
TOTAL CONSUMER STAPLES 3,089,987
---------------
HEALTH CARE 2.9%
HEALTH CARE PROVIDERS & SERVICES 1.9%
Genesis HealthCare Corp.* 7,725 367,942
Owens & Minor, Inc. 9,680 318,375
Hooper Holmes, Inc. 56,999 192,087
Chemed Corp. 4,617 148,944
Gentiva Health Services, Inc.* 5,682 93,412
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,120,760
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.7%
Datascope Corp. 10,485 350,933
Osteotech, Inc.* 21,688 88,704
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 439,637
---------------
BIOTECHNOLOGY 0.3%
Cambrex Corp.+ 8,798 182,207
---------------
TOTAL BIOTECHNOLOGY 182,207
---------------
TOTAL HEALTH CARE 1,742,604
---------------
ENERGY 0.2%
ENERGY EQUIPMENT & SERVICES 0.2%
Lufkin Industries, Inc.+ 2,183 115,524
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 115,524
---------------
TOTAL ENERGY 115,524
---------------
TOTAL COMMON STOCKS
(Cost $55,551,352) 59,450,772
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 71
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 2.2%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 29,847 $ 29,847
4.95% due 10/02/06 452,193 452,193
4.89% due 10/02/06 293,926 293,926
4.80% due 10/02/06 542,631 542,631
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,318,597) 1,318,597
---------------
SECURITIES LENDING COLLATERAL 11.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 6,834,204 6,834,204
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $6,834,204) 6,834,204
---------------
TOTAL INVESTMENTS 113.0%
(Cost $63,704,153) $ 67,603,573
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (13.0)% $ (7,782,542)
===============
NET ASSETS - 100.0% $ 59,821,031
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
72 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.7%
UTILITIES 26.6%
MULTI-UTILITIES 11.9%
NSTAR+ 20,170 $ 672,871
OGE Energy Corp.+ 13,530 488,568
Alliant Energy Corp.+ 12,418 443,695
Puget Energy, Inc. 18,776 426,779
Energy East Corp.+ 15,399 365,264
WPS Resources Corp. 6,384 316,838
Vectren Corp.+ 8,769 235,448
PNM Resources, Inc. 8,456 233,132
SCANA Corp.+ 5,658 227,848
Wisconsin Energy Corp. 4,300 185,502
MDU Resources Group, Inc.+ 3,992 89,181
---------------
TOTAL MULTI-UTILITIES 3,685,126
---------------
ELECTRIC UTILITIES 11.0%
Northeast Utilities 32,374 753,343
Pepco Holdings, Inc.+ 24,230 585,639
IDACORP, Inc.+ 10,849 410,201
Great Plains Energy, Inc.+ 12,049 373,760
Duquesne Light Holdings, Inc. 15,229 299,402
Westar Energy, Inc.+ 12,459 292,911
Hawaiian Electric Industries, Inc. 9,923 268,516
Sierra Pacific Resources*+ 18,643 267,341
Black Hills Corp.+ 4,884 164,151
---------------
TOTAL ELECTRIC UTILITIES 3,415,264
---------------
GAS UTILITIES 3.7%
Oneok, Inc. 9,115 344,456
National Fuel Gas Co.+ 8,520 309,702
WGL Holdings, Inc.+ 9,757 305,784
AGL Resources, Inc. 4,763 173,850
---------------
TOTAL GAS UTILITIES 1,133,792
---------------
TOTAL UTILITIES 8,234,182
---------------
FINANCIALS 17.5%
INSURANCE 10.3%
American Financial Group, Inc.+ 12,385 581,228
Old Republic International Corp. 15,167 335,949
HCC Insurance Holdings, Inc. 9,863 324,295
Protective Life Corp. 6,836 312,747
First American Corp.+ 6,630 280,714
Horace Mann Educators Corp.+ 11,547 222,049
Ohio Casualty Corp.+ 8,251 213,453
AmerUs Group Co.+ 2,963 201,514
Unitrin, Inc. 4,316 190,638
Hanover Insurance Group, Inc. 4,058 181,108
Stancorp Financial Group, Inc. 4,020 179,413
Mercury General Corp.+ 3,105 154,039
---------------
TOTAL INSURANCE 3,177,147
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE 5.4%
Highwoods Properties, Inc. 8,232 $ 306,313
New Plan Excel Realty Trust+ 10,222 276,505
Mack-Cali Realty Corp.+ 4,594 237,969
Hospitality Properties Trust+ 4,339 204,801
Liberty Property Trust+ 3,648 174,338
United Dominion Realty Trust, Inc.+ 4,190 126,538
Potlatch Corp.+ 3,352 124,359
Rayonier, Inc.+ 3,185 120,393
AMB Property Corp. 1,816 100,080
---------------
TOTAL REAL ESTATE 1,671,296
---------------
THRIFTS & MORTGAGE FINANCE 1.6%
New York Community Bancorp, Inc.+ 17,701 289,943
Webster Financial Corp. 2,202 103,736
Washington Federal, Inc. 4,218 94,652
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 488,331
---------------
BANKS 0.2%
FirstMerit Corp.+ 3,300 76,461
---------------
TOTAL BANKS 76,461
---------------
TOTAL FINANCIALS 5,413,235
---------------
INDUSTRIALS 14.7%
MACHINERY 4.1%
AGCO Corp.*+ 18,332 464,716
Timken Co.+ 8,890 264,744
SPX Corp. 4,630 247,427
Kennametal, Inc. 3,247 183,943
Harsco Corp. 1,510 117,252
---------------
TOTAL MACHINERY 1,278,082
---------------
ROAD & RAIL 4.0%
J.B. Hunt Transport Services, Inc.+ 18,900 392,553
Swift Transportation Co., Inc.*+ 14,313 339,504
YRC Worldwide, Inc.*+ 8,520 315,581
Werner Enterprises, Inc.+ 11,218 209,889
---------------
TOTAL ROAD & RAIL 1,257,527
---------------
COMMERCIAL SERVICES & SUPPLIES 2.9%
Manpower, Inc.+ 5,490 336,372
Kelly Services, Inc.+ 9,962 273,059
Brink's Co. 3,170 168,200
Banta Corp.+ 2,370 112,812
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 890,443
---------------
AIRLINES 1.7%
Alaska Air Group, Inc.*+ 13,856 527,082
---------------
TOTAL AIRLINES 527,082
---------------
INDUSTRIAL CONGLOMERATES 1.7%
Sequa Corp. -- Class A*+ 5,488 515,104
---------------
TOTAL INDUSTRIAL CONGLOMERATES 515,104
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 73
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
GATX Corp. 2,371 $ 98,088
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 98,088
---------------
TOTAL INDUSTRIALS 4,566,326
---------------
CONSUMER DISCRETIONARY 13.7%
AUTO COMPONENTS 4.3%
ArvinMeritor, Inc.+ 35,753 509,123
Lear Corp.+ 18,672 386,510
Bandag, Inc.+ 5,703 234,051
BorgWarner, Inc.+ 2,031 116,112
Modine Manufacturing Co. 4,154 101,067
---------------
TOTAL AUTO COMPONENTS 1,346,863
---------------
SPECIALTY RETAIL 2.9%
Borders Group, Inc.+ 15,267 311,447
Foot Locker, Inc. 10,172 256,843
Pier 1 Imports, Inc.+ 26,182 194,270
Payless Shoesource, Inc.* 5,418 134,908
---------------
TOTAL SPECIALTY RETAIL 897,468
---------------
HOUSEHOLD DURABLES 2.9%
Furniture Brands International,
Inc.+ 25,999 495,021
Blyth, Inc. 9,279 225,758
American Greetings Corp. -- Class A+ 4,320 99,878
Tupperware Brands Corp. 3,835 74,629
---------------
TOTAL HOUSEHOLD DURABLES 895,286
---------------
HOTELS, RESTAURANTS & LEISURE 1.8%
Bob Evans Farms, Inc. 13,395 405,601
CBRL Group, Inc. 3,719 150,359
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 555,960
---------------
MULTILINE RETAIL 0.8%
Saks, Inc.+ 14,226 245,825
---------------
TOTAL MULTILINE RETAIL 245,825
---------------
MEDIA 0.7%
Scholastic Corp.* 3,707 115,473
Media General, Inc. 2,330 87,888
---------------
TOTAL MEDIA 203,361
---------------
LEISURE EQUIPMENT & PRODUCTS 0.3%
Callaway Golf Co.+ 6,314 82,777
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 82,777
---------------
TOTAL CONSUMER DISCRETIONARY 4,227,540
---------------
MATERIALS 11.7%
CHEMICALS 5.3%
Sensient Technologies Corp. 17,446 341,418
Ferro Corp. 16,244 288,818
Lubrizol Corp. 5,772 263,954
Cabot Corp.+ 5,598 208,246
RPM International, Inc.+ 9,511 180,614
Albemarle Corp. 3,052 165,815
Lyondell Chemical Co.+ 4,605 116,829
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Chemtura Corp.+ 8,415 $ 72,958
---------------
TOTAL CHEMICALS 1,638,652
---------------
METALS & MINING 3.5%
Steel Dynamics, Inc. 7,700 388,465
Worthington Industries, Inc.+ 19,179 327,193
Commercial Metals Co. 9,560 194,355
Reliance Steel & Aluminum Co. 5,300 170,342
---------------
TOTAL METALS & MINING 1,080,355
---------------
CONTAINERS & PACKAGING 1.5%
Packaging Corporation of America 10,475 243,020
Sonoco Products Co. 6,904 232,251
---------------
TOTAL CONTAINERS & PACKAGING 475,271
---------------
PAPER & FOREST PRODUCTS 1.4%
Bowater, Inc.+ 12,266 252,311
Glatfelter+ 14,025 190,039
---------------
TOTAL PAPER & FOREST PRODUCTS 442,350
---------------
TOTAL MATERIALS 3,636,628
---------------
INFORMATION TECHNOLOGY 8.6%
ELECTRONIC EQUIPMENT & INSTRUMENTS 4.2%
Tech Data Corp.* 9,852 359,894
Ingram Micro, Inc. -- Class A*+ 15,295 293,052
Vishay Intertechnology, Inc.* 16,959 238,104
Avnet, Inc.*+ 10,373 203,518
Arrow Electronics, Inc.*+ 7,316 200,678
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,295,246
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.5%
Atmel Corp.* 177,539 1,072,336
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 1,072,336
---------------
SOFTWARE 0.5%
Mentor Graphics Corp.* 12,240 172,339
---------------
TOTAL SOFTWARE 172,339
---------------
COMMUNICATIONS EQUIPMENT 0.4%
Andrew Corp.* 12,910 119,159
---------------
TOTAL COMMUNICATIONS EQUIPMENT 119,159
---------------
TOTAL INFORMATION TECHNOLOGY 2,659,080
---------------
CONSUMER STAPLES 4.5%
FOOD & DRUG RETAILING 2.0%
Ruddick Corp.+ 14,400 374,832
BJ's Wholesale Club, Inc.*+ 8,550 249,489
---------------
TOTAL FOOD & DRUG RETAILING 624,321
---------------
TOBACCO 1.5%
Universal Corp.+ 12,675 463,018
---------------
TOTAL TOBACCO 463,018
---------------
FOOD PRODUCTS 1.0%
Smithfield Foods, Inc.* 11,707 316,323
---------------
TOTAL FOOD PRODUCTS 316,323
---------------
TOTAL CONSUMER STAPLES 1,403,662
---------------
See Notes to Financial Statements.
74 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 1.4%
WIRELESS TELECOMMUNICATION SERVICES 1.4%
Telephone & Data Systems, Inc. 10,387 $ 437,293
---------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 437,293
---------------
TOTAL TELECOMMUNICATION SERVICES 437,293
---------------
HEALTH CARE 0.7%
HEALTH CARE PROVIDERS & SERVICES 0.7%
Triad Hospitals, Inc.* 5,162 227,283
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 227,283
---------------
TOTAL HEALTH CARE 227,283
---------------
ENERGY 0.3%
OIL & GAS 0.3%
Forest Oil Corp.* 2,935 92,716
---------------
TOTAL OIL & GAS 92,716
---------------
TOTAL ENERGY 92,716
---------------
TOTAL COMMON STOCKS
(Cost $25,818,042) 30,897,945
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 3,907 3,907
4.95% due 10/02/06 59,195 59,195
4.89% due 10/02/06 38,476 38,476
4.80% due 10/02/06 71,034 71,034
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $172,612) 172,612
---------------
SECURITIES LENDING COLLATERAL 30.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 9,506,220 9,506,220
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $9,506,220) 9,506,220
---------------
TOTAL INVESTMENTS 131.0%
(Cost $35,496,874) $ 40,576,777
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (31.0)% $ (9,590,585)
===============
NET ASSETS - 100.0% $ 30,986,192
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 75
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.7%
FINANCIALS 20.8%
INSURANCE 8.8%
ACE Ltd. 33,041 $ 1,808,334
XL Capital Ltd. 25,834 1,774,796
UnumProvident Corp.+ 80,869 1,568,050
Chubb Corp. 26,471 1,375,433
St. Paul Travelers Cos., Inc. 27,790 1,303,073
Genworth Financial, Inc. -- Class A 33,681 1,179,172
MetLife, Inc.+ 18,988 1,076,240
Lincoln National Corp.+ 15,762 978,505
Allstate Corp.+ 15,014 941,828
SAFECO Corp. 14,575 858,905
Loews Corp. 20,989 795,483
Hartford Financial Services Group, Inc. 7,803 676,910
Aon Corp.+ 19,073 646,002
---------------
TOTAL INSURANCE 14,982,731
---------------
BANKS 6.0%
First Horizon National Corp.+ 28,738 1,092,331
KeyCorp 24,363 912,151
Regions Financial Corp.+ 24,595 904,850
National City Corp.+ 24,243 887,294
Huntington Bancshares, Inc. 36,084 863,490
SunTrust Banks, Inc. 10,629 821,409
North Fork Bancorporation, Inc. 28,278 809,882
PNC Financial Services Group, Inc. 9,674 700,785
BB&T Corp.+ 14,798 647,856
AmSouth Bancorp 22,073 641,000
Wells Fargo & Co. 15,904 575,407
Wachovia Corp.+ 8,661 483,284
U.S. Bancorp+ 14,250 473,385
Comerica, Inc. 7,471 425,249
---------------
TOTAL BANKS 10,238,373
---------------
REAL ESTATE 2.7%
Apartment Investment &
Management Co. -- Class A+ 25,859 1,406,988
Equity Office Properties Trust+ 32,369 1,286,992
KIMCO Realty Corp.+ 20,619 883,937
Archstone-Smith Trust+ 8,919 485,550
Equity Residential+ 9,335 472,164
---------------
TOTAL REAL ESTATE 4,535,631
---------------
DIVERSIFIED FINANCIALS 1.9%
J.P. Morgan Chase & Co. 35,825 1,682,342
Citigroup, Inc. 19,154 951,379
CIT Group, Inc. 14,129 687,093
---------------
TOTAL DIVERSIFIED FINANCIALS 3,320,814
---------------
CAPITAL MARKETS 0.7%
Morgan Stanley 9,310 678,792
Bear Stearns Cos., Inc.+ 3,854 539,946
---------------
TOTAL CAPITAL MARKETS 1,218,738
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE 0.7%
Washington Mutual, Inc.+ 27,313 $ 1,187,296
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,187,296
---------------
TOTAL FINANCIALS 35,483,583
---------------
UTILITIES 18.0%
MULTI-UTILITIES 10.8%
KeySpan Corp. 46,269 1,903,507
Dynegy, Inc. -- Class A* 323,251 1,790,810
Xcel Energy, Inc.+ 74,508 1,538,590
NiSource, Inc. 67,659 1,470,907
Duke Energy Corp. 47,534 1,435,527
Consolidated Edison, Inc.+ 29,733 1,373,665
DTE Energy Co.+ 31,166 1,293,701
CMS Energy Corp.*+ 88,770 1,281,839
PG&E Corp.+ 27,199 1,132,838
CenterPoint Energy, Inc.+ 71,545 1,024,524
Ameren Corp.+ 19,302 1,018,952
Sempra Energy+ 17,602 884,500
Constellation Energy Group, Inc. 13,118 776,586
Dominion Resources, Inc.+ 7,447 569,621
Public Service Enterprise Group,
Inc. 8,041 492,029
TECO Energy, Inc. 21,295 333,267
---------------
TOTAL MULTI-UTILITIES 18,320,863
---------------
ELECTRIC UTILITIES 5.4%
Progress Energy, Inc.+ 41,932 1,902,874
PPL Corp.+ 52,928 1,741,331
Pinnacle West Capital Corp.+ 28,349 1,277,123
American Electric Power Co., Inc. 31,188 1,134,308
Entergy Corp. 11,484 898,393
FirstEnergy Corp.+ 13,655 762,768
Southern Co.+ 20,991 723,350
FPL Group, Inc.+ 15,081 678,645
---------------
TOTAL ELECTRIC UTILITIES 9,118,792
---------------
GAS UTILITIES 1.8%
Peoples Energy Corp.+ 42,414 1,724,129
Nicor, Inc.+ 33,332 1,425,276
---------------
TOTAL GAS UTILITIES 3,149,405
---------------
TOTAL UTILITIES 30,589,060
---------------
CONSUMER DISCRETIONARY 16.6%
MULTILINE RETAIL 4.4%
Dillard's, Inc. -- Class A+ 107,487 3,518,050
Big Lots, Inc.*+ 123,440 2,445,346
Federated Department Stores,
Inc. 22,534 973,694
Nordstrom, Inc.+ 11,506 486,704
---------------
TOTAL MULTILINE RETAIL 7,423,794
---------------
SPECIALTY RETAIL 3.9%
OfficeMax, Inc.+ 59,696 2,432,015
Circuit City Stores, Inc.+ 71,584 1,797,474
AutoNation, Inc.*+ 66,790 1,395,911
Limited Brands, Inc.+ 38,070 1,008,475
---------------
TOTAL SPECIALTY RETAIL 6,633,875
---------------
See Notes to Financial Statements.
76 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AUTOMOBILES 3.0%
General Motors Corp.+ 86,590 $ 2,879,983
Ford Motor Co.+ 283,151 2,290,692
---------------
TOTAL AUTOMOBILES 5,170,675
---------------
HOUSEHOLD DURABLES 2.8%
Whirlpool Corp.+ 16,223 1,364,516
Pulte Homes, Inc.+ 31,939 1,017,577
Snap-On, Inc. 19,196 855,182
Newell Rubbermaid, Inc.+ 29,325 830,484
Leggett & Platt, Inc. 29,173 730,200
---------------
TOTAL HOUSEHOLD DURABLES 4,797,959
---------------
TEXTILES & APPAREL 0.9%
Jones Apparel Group, Inc. 45,787 1,485,330
---------------
TOTAL TEXTILES & APPAREL 1,485,330
---------------
LEISURE EQUIPMENT & PRODUCTS 0.8%
Eastman Kodak Co.+ 48,931 1,096,054
Brunswick Corp.+ 9,418 293,748
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 1,389,802
---------------
AUTO COMPONENTS 0.8%
Johnson Controls, Inc.+ 18,725 1,343,331
---------------
TOTAL AUTO COMPONENTS 1,343,331
---------------
TOTAL CONSUMER DISCRETIONARY 28,244,766
---------------
INDUSTRIALS 10.2%
ROAD & RAIL 3.0%
Ryder System, Inc.+ 60,776 3,140,903
Union Pacific Corp.+ 11,565 1,017,720
CSX Corp.+ 27,784 912,149
---------------
TOTAL ROAD & RAIL 5,070,772
---------------
MACHINERY 2.6%
Ingersoll-Rand Co. -- Class A+ 29,997 1,139,286
Deere & Co.+ 13,220 1,109,290
Cummins, Inc.+ 8,346 995,094
Caterpillar, Inc.+ 13,894 914,225
Navistar International Corp.* 13,771 355,567
---------------
TOTAL MACHINERY 4,513,462
---------------
COMMERCIAL SERVICES & SUPPLIES 2.1%
Allied Waste Industries, Inc.*+ 198,324 2,235,111
RR Donnelley & Sons Co. 25,927 854,554
Avery Dennison Corp.+ 8,462 509,159
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 3,598,824
---------------
AEROSPACE & DEFENSE 1.9%
United Technologies Corp. 20,235 1,281,888
Northrop Grumman Corp. 18,742 1,275,768
Raytheon Co. 15,523 745,259
---------------
TOTAL AEROSPACE & DEFENSE 3,302,915
---------------
BUILDING PRODUCTS 0.3%
Masco Corp.+ 15,779 432,660
---------------
TOTAL BUILDING PRODUCTS 432,660
---------------
INDUSTRIAL CONGLOMERATES 0.3%
Textron, Inc. 4,933 431,638
---------------
TOTAL INDUSTRIAL CONGLOMERATES 431,638
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TOTAL INDUSTRIALS $ 17,350,271
---------------
MATERIALS 9.8%
PAPER & FOREST PRODUCTS 3.1%
International Paper Co.+ 49,171 1,702,792
MeadWestvaco Corp.+ 51,005 1,352,142
Weyerhaeuser Co.+ 21,756 1,338,647
Louisiana-Pacific Corp. 49,444 928,064
---------------
TOTAL PAPER & FOREST PRODUCTS 5,321,645
---------------
CHEMICALS 2.9%
Ashland, Inc. 24,524 1,564,141
Eastman Chemical Co. 23,125 1,249,212
E.I. du Pont de Nemours and Co.+ 13,935 596,975
Rohm & Haas Co. 11,896 563,276
PPG Industries, Inc. 7,620 511,150
Dow Chemical Co.+ 10,777 420,087
---------------
TOTAL CHEMICALS 4,904,841
---------------
METALS & MINING 2.7%
United States Steel Corp.+ 44,577 2,571,202
Alcoa, Inc. 28,581 801,411
Phelps Dodge Corp. 8,177 692,592
Nucor Corp.+ 13,251 655,792
---------------
TOTAL METALS & MINING 4,720,997
---------------
CONTAINERS & PACKAGING 1.1%
Bemis Co. 31,542 1,036,470
Temple-Inland, Inc. 19,850 795,985
---------------
TOTAL CONTAINERS & PACKAGING 1,832,455
---------------
TOTAL MATERIALS 16,779,938
---------------
CONSUMER STAPLES 8.8%
FOOD & DRUG RETAILING 3.1%
Supervalu, Inc. 61,291 1,817,278
Safeway, Inc.+ 51,229 1,554,800
CVS Corp. 36,494 1,172,187
Costco Wholesale Corp.+ 16,089 799,302
---------------
TOTAL FOOD & DRUG RETAILING 5,343,567
---------------
FOOD PRODUCTS 2.6%
Archer-Daniels-Midland Co.+ 47,087 1,783,655
Tyson Foods, Inc. -- Class A+ 97,034 1,540,900
ConAgra Foods, Inc.+ 46,571 1,140,058
---------------
TOTAL FOOD PRODUCTS 4,464,613
---------------
BEVERAGES 2.2%
Molson Coors Brewing Co. --
Class B+ 23,876 1,645,056
Coca-Cola Enterprises, Inc. 64,427 1,342,015
Constellation Brands, Inc. --
Class A* 26,880 773,606
---------------
TOTAL BEVERAGES 3,760,677
---------------
TOBACCO 0.9%
Reynolds American, Inc.+ 23,280 1,442,662
---------------
TOTAL TOBACCO 1,442,662
---------------
TOTAL CONSUMER STAPLES 15,011,519
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 77
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 6.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 6.3%
Verizon Communications, Inc.+ 50,317 $ 1,868,270
AT&T, Inc.+ 53,322 1,736,165
BellSouth Corp. 40,167 1,717,139
Qwest Communications
International, Inc.*+ 157,860 1,376,539
Citizens Communications Co. 84,694 1,189,104
Windstream Corp.+ 78,400 1,034,096
Embarq Corp. 20,251 979,541
CenturyTel, Inc.+ 21,042 834,736
---------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 10,735,590
---------------
TOTAL TELECOMMUNICATION SERVICES 10,735,590
---------------
INFORMATION TECHNOLOGY 4.9%
IT CONSULTING & SERVICES 2.9%
Computer Sciences Corp.* 29,149 1,431,799
Electronic Data Systems Corp.+ 56,304 1,380,574
Unisys Corp.* 235,459 1,332,698
Sabre Holdings Corp. 36,969 864,705
---------------
TOTAL IT CONSULTING & SERVICES 5,009,776
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3%
Sanmina-SCI Corp.* 324,895 1,215,107
Solectron Corp.* 283,500 924,210
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,139,317
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.7%
Micron Technology, Inc.*+ 66,754 1,161,520
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 1,161,520
---------------
TOTAL INFORMATION TECHNOLOGY 8,310,613
---------------
ENERGY 3.1%
OIL & GAS 3.1%
ConocoPhillips 34,508 2,054,261
Sunoco, Inc. 19,099 1,187,767
Marathon Oil Corp. 14,365 1,104,668
El Paso Corp. 66,514 907,251
---------------
TOTAL OIL & GAS 5,253,947
---------------
TOTAL ENERGY 5,253,947
---------------
HEALTH CARE 1.2%
HEALTH CARE PROVIDERS & SERVICES 1.2%
WellPoint, Inc.* 13,281 1,023,301
Tenet Healthcare Corp.*+ 65,519 533,325
McKesson Corp. 9,454 498,415
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,055,041
---------------
TOTAL HEALTH CARE 2,055,041
---------------
TOTAL COMMON STOCKS
(Cost $152,140,424) 169,814,328
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.4%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 16,048 $ 16,048
4.95% due 10/02/06 243,133 243,133
4.89% due 10/02/06 158,036 158,036
4.80% due 10/02/06 291,760 291,760
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $708,977) 708,977
---------------
SECURITIES LENDING COLLATERAL 24.6%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 41,932,704 41,932,704
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $41,932,704) 41,932,704
---------------
TOTAL INVESTMENTS 124.7%
(Cost $194,782,105) $ 212,456,009
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (24.7)% $ (42,056,734)
===============
NET ASSETS - 100.0% $ 170,399,275
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
78 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
HEALTH CARE 24.2%
HEALTH CARE EQUIPMENT & SUPPLIES 12.0%
BioLase Technology, Inc.*+ 74,862 $ 467,888
Integra LifeSciences Holdings
Corp.*+ 9,928 372,101
Possis Medical, Inc.* 34,007 334,969
Biosite, Inc.*+ 5,974 276,178
ICU Medical, Inc.*+ 5,408 245,956
PolyMedica Corp.+ 5,189 222,141
SurModics, Inc.*+ 5,986 210,228
Immucor, Inc.* 9,154 205,141
Dionex Corp.* 3,939 200,653
Idexx Laboratories, Inc.* 1,932 176,083
Kensey Nash Corp.*+ 5,352 156,653
Mentor Corp.+ 3,081 155,252
Respironics, Inc.* 3,864 149,189
Cooper Cos., Inc.+ 2,680 143,380
American Medical Systems
Holdings, Inc.*+ 7,689 141,708
PharmaNet Development
Group, Inc.*+ 6,660 129,404
Greatbatch, Inc.*+ 5,285 119,547
Merit Medical Systems, Inc.* 8,499 115,416
ArthroCare Corp.*+ 2,454 114,994
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,936,881
---------------
HEALTH CARE PROVIDERS & SERVICES 8.0%
Odyssey HealthCare, Inc.* 26,590 377,046
AMERIGROUP Corp.* 10,279 303,745
Healthways, Inc.*+ 6,490 289,454
Sierra Health Services, Inc.*+ 6,831 258,485
Centene Corp.*+ 14,960 245,942
Sunrise Senior Living, Inc.* 6,866 205,087
Per-Se Technologies, Inc.*+ 8,169 186,090
United Surgical Partners
International, Inc.*+ 7,419 184,214
AmSurg Corp.*+ 7,020 156,265
Cerner Corp.* 3,109 141,149
Amedisys, Inc.*+ 3,045 120,795
Pediatrix Medical Group, Inc.* 2,552 116,371
Dendrite International, Inc.* 4,977 48,675
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,633,318
---------------
PHARMACEUTICALS 4.2%
CNS, Inc. 15,367 433,810
Bradley Pharmaceuticals, Inc.*+ 20,193 321,473
Connetics Corp.*+ 24,741 269,677
Noven Pharmaceuticals, Inc.* 9,850 237,582
Sciele Pharma, Inc.*+ 7,289 137,325
---------------
TOTAL PHARMACEUTICALS 1,399,867
---------------
TOTAL HEALTH CARE 7,970,066
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY 23.4%
SPECIALTY RETAIL 7.2%
Christopher & Banks Corp. 23,342 $ 688,122
HOT Topic, Inc.* 24,389 271,694
Children's Place Retail Stores,
Inc.*+ 3,738 239,344
Tween Brands, Inc.*+ 6,070 228,232
Select Comfort Corp.*+ 10,256 224,401
Hibbett Sporting Goods, Inc.*+ 7,557 197,842
Tractor Supply Co.*+ 3,884 187,442
Genesco, Inc.*+ 4,641 159,975
Guitar Center, Inc.* 3,574 159,687
---------------
TOTAL SPECIALTY RETAIL 2,356,739
---------------
HOTELS, RESTAURANTS & LEISURE 5.9%
Shuffle Master, Inc.*+ 14,599 394,319
Multimedia Games, Inc.*+ 43,189 392,156
Papa John's International, Inc.* 8,456 305,346
Panera Bread Co. -- Class A*+ 5,088 296,376
Sonic Corp.*+ 11,142 251,921
CEC Entertainment, Inc.* 4,778 150,555
P.F. Chang's China Bistro, Inc.*+ 4,261 147,899
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,938,572
---------------
LEISURE EQUIPMENT & PRODUCTS 2.4%
Pool Corp. 9,388 361,438
Nautilus, Inc.+ 17,335 238,356
Polaris Industries, Inc.+ 4,307 177,233
---------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 777,027
---------------
COMMERCIAL SERVICES & SUPPLIES 2.0%
Pre-Paid Legal Services, Inc.+ 9,844 390,512
Vertrue, Inc.* 7,142 280,823
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 671,335
---------------
TEXTILES & APPAREL 1.6%
K-Swiss, Inc. -- Class A+ 9,896 297,474
Fossil, Inc.* 10,440 224,877
---------------
TOTAL TEXTILES & APPAREL 522,351
---------------
HOUSEHOLD DURABLES 1.5%
NVR, Inc.*+ 499 266,965
Meritage Homes Corp.*+ 5,355 222,822
---------------
TOTAL HOUSEHOLD DURABLES 489,787
---------------
MEDIA 1.1%
Arbitron, Inc. 5,350 198,003
Advo, Inc. 6,221 174,064
---------------
TOTAL MEDIA 372,067
---------------
INTERNET & CATALOG RETAIL 1.0%
PetMed Express, Inc.*+ 32,949 343,988
---------------
TOTAL INTERNET & CATALOG RETAIL 343,988
---------------
AUTOMOBILES 0.7%
Winnebago Industries, Inc.+ 6,803 213,478
---------------
TOTAL AUTOMOBILES 213,478
---------------
TOTAL CONSUMER DISCRETIONARY 7,685,344
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 79
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY 19.9%
INTERNET SOFTWARE & SERVICES 5.4%
j2 Global Communications, Inc.*+ 22,436 $ 609,586
Websense, Inc.*+ 15,384 332,448
Bankrate, Inc.*+ 10,401 276,251
MIVA, Inc.*+ 77,323 255,166
WebEx Communications, Inc.*+ 4,612 179,960
Digital Insight Corp.* 4,488 131,588
---------------
TOTAL INTERNET SOFTWARE & SERVICES 1,784,999
---------------
SOFTWARE 5.3%
Factset Research Systems, Inc. 8,808 427,805
Internet Security Systems, Inc.* 12,027 333,869
Ansys, Inc.*+ 5,414 239,191
Manhattan Associates, Inc.* 8,473 204,538
Quality Systems, Inc.+ 4,640 179,986
EPIQ Systems, Inc.*+ 9,606 141,304
Take-Two Interactive Software,
Inc.*+ 9,313 132,803
Kronos, Inc.* 3,068 104,588
---------------
TOTAL SOFTWARE 1,764,084
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.5%
Scansource, Inc.*+ 11,189 339,363
Flir Systems, Inc.*+ 11,558 313,915
Daktronics, Inc. 14,103 291,791
LoJack Corp.* 9,127 178,798
Mercury Computer Systems, Inc.* 3,100 36,735
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,160,602
---------------
IT CONSULTING & SERVICES 2.6%
eFunds Corp.* 10,592 256,115
Talx Corp.+ 9,601 235,416
Mantech International Corp. --
Class A* 6,902 227,835
CACI International, Inc. --
Class A* 2,412 132,684
---------------
TOTAL IT CONSULTING & SERVICES 852,050
---------------
COMPUTERS & PERIPHERALS 2.0%
Synaptics, Inc.*+ 12,392 301,993
Komag, Inc.*+ 7,951 254,114
Neoware, Inc.*+ 6,870 93,363
---------------
TOTAL COMPUTERS & PERIPHERALS 649,470
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.7%
Cabot Microelectronics Corp.* 7,580 218,456
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 218,456
---------------
COMMUNICATIONS EQUIPMENT 0.4%
Comtech Telecommunications
Corp.*+ 3,713 124,311
---------------
TOTAL COMMUNICATIONS EQUIPMENT 124,311
---------------
TOTAL INFORMATION TECHNOLOGY 6,553,972
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FINANCIALS 10.0%
BANKS 3.6%
Nara Bancorp, Inc. 17,333 $ 317,021
Wilshire Bancorp, Inc. 13,118 249,767
PrivateBancorp, Inc.+ 5,153 235,595
UCBH Holdings, Inc.+ 7,848 137,026
Wintrust Financial Corp. 2,555 128,133
East-West Bancorp, Inc. 2,709 107,303
---------------
TOTAL BANKS 1,174,845
---------------
THRIFTS & MORTGAGE FINANCE 1.8%
Flagstar Bancorp, Inc.+ 23,452 341,227
Fremont General Corp.+ 18,343 256,618
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 597,845
---------------
INSURANCE 1.6%
Hilb Rogal & Hobbs Co.+ 6,633 282,898
Philadelphia Consolidated
Holding Corp.*+ 6,495 258,371
---------------
TOTAL INSURANCE 541,269
---------------
DIVERSIFIED FINANCIALS 1.3%
Portfolio Recovery Associates,
Inc.*+ 9,551 419,003
---------------
TOTAL DIVERSIFIED FINANCIALS 419,003
---------------
CONSUMER FINANCE 1.0%
World Acceptance Corp.*+ 7,439 327,167
---------------
TOTAL CONSUMER FINANCE 327,167
---------------
CAPITAL MARKETS 0.7%
Investment Technology Group,
Inc.* 5,584 249,884
---------------
TOTAL CAPITAL MARKETS 249,884
---------------
TOTAL FINANCIALS 3,310,013
---------------
ENERGY 9.1%
OIL & GAS 7.4%
Frontier Oil Corp.+ 19,904 529,048
St. Mary Land & Exploration Co.+ 9,406 345,294
World Fuel Services Corp.+ 6,324 255,806
Stone Energy Corp.* 5,970 241,666
Penn Virginia Corp. 3,469 219,969
Swift Energy Co.*+ 4,998 209,016
Petroleum Development Corp.* 5,014 200,008
Cimarex Energy Co. 4,490 158,003
Cabot Oil & Gas Corp. 2,761 132,335
Helix Energy Solutions Group,
Inc.*+ 3,919 130,895
---------------
TOTAL OIL & GAS 2,422,040
---------------
ENERGY EQUIPMENT & SERVICES 1.7%
W-H Energy Services, Inc.* 5,674 235,301
Unit Corp.* 3,169 145,679
Hydril*+ 2,136 119,744
CARBO Ceramics, Inc.+ 2,132 76,816
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 577,540
---------------
TOTAL ENERGY 2,999,580
---------------
See Notes to Financial Statements.
80 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIALS 7.8%
COMMERCIAL SERVICES & SUPPLIES 2.5%
Coinstar, Inc.* 22,678 $ 652,673
Waste Connections, Inc.*+ 4,867 184,508
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 837,181
---------------
ROAD & RAIL 1.9%
Landstar System, Inc.+ 6,452 275,500
Knight Transportation, Inc.+ 12,100 205,095
Heartland Express, Inc.+ 10,260 160,877
---------------
TOTAL ROAD & RAIL 641,472
---------------
AEROSPACE & DEFENSE 1.9%
Ceradyne, Inc.*+ 9,171 376,836
Curtiss-Wright Corp.+ 6,010 182,404
Gencorp, Inc.*+ 4,335 55,661
---------------
TOTAL AEROSPACE & DEFENSE 614,901
---------------
MACHINERY 0.7%
EnPro Industries, Inc.* 5,203 156,402
ASV, Inc.*+ 4,707 70,182
---------------
TOTAL MACHINERY 226,584
---------------
AIR FREIGHT & COURIERS 0.5%
Forward Air Corp.+ 4,721 156,218
---------------
TOTAL AIR FREIGHT & COURIERS 156,218
---------------
BUILDING PRODUCTS 0.3%
Simpson Manufacturing Co., Inc.+ 3,403 91,983
---------------
TOTAL BUILDING PRODUCTS 91,983
---------------
TOTAL INDUSTRIALS 2,568,339
---------------
CONSUMER STAPLES 4.2%
PERSONAL PRODUCTS 1.7%
NBTY, Inc.* 10,009 292,963
USANA Health Sciences, Inc.*+ 6,276 279,847
---------------
TOTAL PERSONAL PRODUCTS 572,810
---------------
BEVERAGES 1.7%
Hansen Natural Corp.*+ 17,039 553,427
---------------
TOTAL BEVERAGES 553,427
---------------
FOOD PRODUCTS 0.8%
Delta & Pine Land Co. 4,643 188,041
Peet's Coffee & Tea, Inc.*+ 2,583 64,601
---------------
TOTAL FOOD PRODUCTS 252,642
---------------
TOTAL CONSUMER STAPLES 1,378,879
---------------
MATERIALS 0.9%
CONSTRUCTION MATERIALS 0.9%
Headwaters, Inc.*+ 12,257 286,201
---------------
TOTAL CONSTRUCTION MATERIALS 286,201
---------------
TOTAL MATERIALS 286,201
---------------
TOTAL COMMON STOCKS
(Cost $29,135,890) 32,752,394
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 1.2%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 8,742 $ 8,742
4.95% due 10/02/06 132,455 132,455
4.89% due 10/02/06 86,096 86,096
4.80% due 10/02/06 158,946 158,946
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $386,239) 386,239
---------------
SECURITIES LENDING COLLATERAL 27.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 9,036,922 9,036,922
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $9,036,922) 9,036,922
---------------
TOTAL INVESTMENTS 128.2%
(Cost $38,559,051) $ 42,175,555
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (28.2)% $ (9,282,794)
===============
NET ASSETS - 100.0% $ 32,892,761
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 81
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
CONSUMER DISCRETIONARY 29.1%
SPECIALTY RETAIL 15.2%
Aeropostale, Inc.*+ 17,696 $ 517,254
GameStop Corp. -- Class A*+ 9,856 456,136
Abercrombie & Fitch Co. --
Class A+ 5,295 367,897
American Eagle Outfitters, Inc.+ 7,319 320,792
Chico's FAS, Inc.*+ 12,267 264,108
Ross Stores, Inc. 9,572 243,225
Petsmart, Inc.+ 8,615 239,066
Advance Auto Parts, Inc. 5,864 193,160
Williams-Sonoma, Inc. 4,855 157,253
Pacific Sunwear of California,
Inc.*+ 10,002 150,830
Urban Outfitters, Inc.*+ 6,044 106,918
---------------
TOTAL SPECIALTY RETAIL 3,016,639
---------------
COMMERCIAL SERVICES & SUPPLIES 4.4%
ITT Educational Services, Inc.* 5,986 396,872
Corinthian Colleges, Inc.*+ 27,717 299,621
Career Education Corp.* 8,306 186,885
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 883,378
---------------
HOTELS, RESTAURANTS & LEISURE 3.4%
Scientific Games Corp. --
Class A*+ 11,624 369,643
Applebee's International, Inc.+ 7,354 158,185
Cheesecake Factory, Inc.*+ 5,402 146,880
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 674,708
---------------
HOUSEHOLD DURABLES 3.3%
M.D.C. Holdings, Inc.+ 3,834 178,089
Hovnanian Enterprises, Inc. --
Class A*+ 5,975 175,307
Ryland Group, Inc.+ 3,921 169,426
Toll Brothers, Inc.*+ 4,984 139,951
---------------
TOTAL HOUSEHOLD DURABLES 662,773
---------------
TEXTILES & APPAREL 1.1%
Timberland Co. -- Class A*+ 7,445 214,193
---------------
TOTAL TEXTILES & APPAREL 214,193
---------------
AUTOMOBILES 1.0%
Thor Industries, Inc.+ 4,647 191,317
---------------
TOTAL AUTOMOBILES 191,317
---------------
MEDIA 0.7%
Catalina Marketing Corp. 4,854 133,485
---------------
TOTAL MEDIA 133,485
---------------
TOTAL CONSUMER DISCRETIONARY 5,776,493
---------------
INFORMATION TECHNOLOGY 19.3%
IT CONSULTING & SERVICES 8.0%
Cognizant Technology Solutions
Corp. -- Class A* 8,408 622,696
CSG Systems International, Inc.* 8,861 234,196
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Fidelity National Information
Services, Inc. 6,081 $ 224,997
Alliance Data Systems Corp.*+ 3,441 189,909
DST Systems, Inc.*+ 3,052 188,217
BISYS Group, Inc.* 12,062 130,993
---------------
TOTAL IT CONSULTING & SERVICES 1,591,008
---------------
SOFTWARE 2.9%
Macrovision Corp.*+ 8,219 194,708
Jack Henry & Associates, Inc.+ 6,923 150,714
Activision, Inc.*+ 5,607 84,666
McAfee, Inc.* 3,331 81,476
Fair Isaac Corp.+ 1,767 64,619
---------------
TOTAL SOFTWARE 576,183
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.4%
Cree, Inc.*+ 12,438 250,128
Silicon Laboratories, Inc.*+ 7,476 231,906
---------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 482,034
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.3%
Amphenol Corp. -- Class A+ 3,768 233,352
CDW Corp.+ 3,654 225,379
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 458,731
---------------
COMPUTERS & PERIPHERALS 1.9%
Western Digital Corp.* 21,180 383,358
---------------
TOTAL COMPUTERS & PERIPHERALS 383,358
---------------
COMMUNICATIONS EQUIPMENT 1.4%
F5 Networks, Inc.* 2,903 155,949
Plantronics, Inc.+ 7,026 123,166
---------------
TOTAL COMMUNICATIONS EQUIPMENT 279,115
---------------
OFFICE ELECTRONICS 0.4%
Zebra Technologies Corp. --
Class A*+ 1,964 70,193
---------------
TOTAL OFFICE ELECTRONICS 70,193
---------------
TOTAL INFORMATION TECHNOLOGY 3,840,622
---------------
HEALTH CARE 17.8%
HEALTH CARE EQUIPMENT & SUPPLIES 6.7%
Cytyc Corp.*+ 13,673 334,715
ResMed, Inc.* 7,330 295,033
Gen-Probe, Inc.* 4,410 206,785
DENTSPLY International, Inc.+ 6,600 198,726
Intuitive Surgical, Inc.* 1,475 155,539
Beckman Coulter, Inc. 2,590 149,080
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,339,878
---------------
HEALTH CARE PROVIDERS & SERVICES 4.1%
Lincare Holdings, Inc.* 5,653 195,820
Apria Healthcare Group, Inc.* 9,126 180,147
Pharmaceutical Product
Development, Inc. 4,821 172,061
Community Health Systems, Inc.* 3,710 138,569
LifePoint Hospitals, Inc.*+ 3,422 120,865
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 807,462
---------------
See Notes to Financial Statements.
82 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PHARMACEUTICALS 3.9%
Sepracor, Inc.*+ 7,543 $ 365,383
Par Pharmaceutical Cos., Inc.* 15,495 282,629
Medicis Pharmaceutical Corp. --
Class A+ 3,967 128,332
---------------
TOTAL PHARMACEUTICALS 776,344
---------------
BIOTECHNOLOGY 3.1%
Cephalon, Inc.*+ 5,639 348,208
Techne Corp.* 2,530 128,676
Invitrogen Corp.*+ 1,355 85,921
Martek Biosciences Corp.*+ 2,534 54,506
---------------
TOTAL BIOTECHNOLOGY 617,311
---------------
TOTAL HEALTH CARE 3,540,995
---------------
INDUSTRIALS 15.3%
COMMERCIAL SERVICES & SUPPLIES 5.4%
Corporate Executive Board Co.+ 4,637 416,913
Stericycle, Inc.* 3,510 244,963
Copart, Inc.* 7,927 223,462
Rollins, Inc. 6,064 128,011
ChoicePoint, Inc.* 1,750 62,650
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,075,999
---------------
AIR FREIGHT & COURIERS 2.6%
Expeditors International
Washington, Inc.+ 7,082 315,716
CH Robinson Worldwide, Inc.+ 4,507 200,922
---------------
TOTAL AIR FREIGHT & COURIERS 516,638
---------------
AIRLINES 2.6%
AirTran Holdings, Inc.*+ 25,725 255,192
JetBlue Airways Corp.*+ 27,221 252,339
---------------
TOTAL AIRLINES 507,531
---------------
MACHINERY 1.7%
Graco, Inc.+ 5,349 208,932
Donaldson Co., Inc.+ 3,483 128,523
---------------
TOTAL MACHINERY 337,455
---------------
AEROSPACE & DEFENSE 1.5%
Alliant Techsystems, Inc.* 3,789 307,136
---------------
TOTAL AEROSPACE & DEFENSE 307,136
---------------
TRADING COMPANIES & DISTRIBUTORS 0.8%
Fastenal Co. 3,957 152,621
---------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 152,621
---------------
CONSTRUCTION & ENGINEERING 0.7%
Jacobs Engineering Group, Inc.* 1,933 144,453
---------------
TOTAL CONSTRUCTION & ENGINEERING 144,453
---------------
TOTAL INDUSTRIALS 3,041,833
---------------
FINANCIALS 8.9%
CAPITAL MARKETS 6.1%
SEI Investments Co. 6,685 375,630
Investors Financial Services Corp.+ 6,913 297,812
Eaton Vance Corp. 9,919 286,263
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Waddell & Reed Financial, Inc. --
Class A 10,411 $ 257,672
---------------
TOTAL CAPITAL MARKETS 1,217,377
---------------
INSURANCE 1.9%
Brown & Brown, Inc. 12,579 384,414
---------------
TOTAL INSURANCE 384,414
---------------
THRIFTS & MORTGAGE FINANCE 0.9%
Radian Group, Inc.+ 2,824 169,440
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 169,440
---------------
TOTAL FINANCIALS 1,771,231
---------------
ENERGY 7.9%
OIL & GAS 6.9%
Denbury Resources, Inc.*+ 12,039 347,927
Pogo Producing Co.+ 6,286 257,412
Newfield Exploration Co.* 6,133 236,366
Plains Exploration & Production
Co.* 3,875 166,276
Southwestern Energy Co.*+ 4,403 131,517
Noble Energy, Inc.+ 2,546 116,072
Pioneer Natural Resources Co.+ 2,883 112,783
---------------
TOTAL OIL & GAS 1,368,353
---------------
ENERGY EQUIPMENT & SERVICES 1.0%
Grant Prideco, Inc.* 2,758 104,887
Patterson-UTI Energy, Inc.+ 4,233 100,576
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 205,463
---------------
TOTAL ENERGY 1,573,816
---------------
CONSUMER STAPLES 1.3%
HOUSEHOLD PRODUCTS 1.3%
Energizer Holdings, Inc.*+ 2,157 155,283
Church & Dwight Co., Inc.+ 2,303 90,070
---------------
TOTAL HOUSEHOLD PRODUCTS 245,353
---------------
TOTAL CONSUMER STAPLES 245,353
---------------
TOTAL COMMON STOCKS
(Cost $17,744,834) 19,790,343
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 2,861 2,861
4.95% due 10/02/06 43,347 43,347
4.89% due 10/02/06 28,176 28,176
4.80% due 10/02/06 52,017 52,017
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $126,401) 126,401
---------------
SECURITIES LENDING COLLATERAL 24.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 4,795,078 4,795,078
---------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 83
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,795,078) $ 4,795,078
---------------
TOTAL INVESTMENTS 124.3%
(Cost $22,666,313) $ 24,711,822
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (24.3)% $ (4,830,608)
===============
NET ASSETS - 100.0% $ 19,881,214
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
84 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
CONSUMER DISCRETIONARY 26.7%
SPECIALTY RETAIL 6.5%
AutoZone, Inc.*+ 10,760 $ 1,111,508
TJX Cos., Inc.+ 38,456 1,077,922
Bed Bath & Beyond, Inc.* 21,283 814,287
Best Buy Co., Inc.+ 14,043 752,143
Lowe's Cos., Inc.+ 16,186 454,179
Home Depot, Inc.+ 11,167 405,027
RadioShack Corp.+ 18,516 357,359
Tiffany & Co.+ 6,988 232,002
---------------
TOTAL SPECIALTY RETAIL 5,204,427
---------------
HOTELS, RESTAURANTS & LEISURE 5.2%
International Game Technology,
Inc.+ 41,127 1,706,770
Starbucks Corp.*+ 24,402 830,888
Darden Restaurants, Inc. 12,513 531,427
Yum! Brands, Inc. 8,631 449,244
Wendy's International, Inc. 5,870 393,290
Starwood Hotels & Resorts
Worldwide, Inc. 4,830 276,228
---------------
TOTAL HOTELS, RESTAURANTS & LEISURE 4,187,847
---------------
HOUSEHOLD DURABLES 4.4%
Black & Decker Corp.+ 10,953 869,120
Lennar Corp. -- Class A+ 14,800 669,700
Fortune Brands, Inc.+ 7,461 560,396
D.R. Horton, Inc.+ 23,038 551,760
Centex Corp.+ 10,350 544,617
Harman International Industries,
Inc.+ 4,116 343,439
---------------
TOTAL HOUSEHOLD DURABLES 3,539,032
---------------
TEXTILES & APPAREL 2.0%
Coach, Inc.*+ 28,866 992,990
Liz Claiborne, Inc.+ 9,986 394,547
Nike, Inc. -- Class B+ 2,844 249,191
---------------
TOTAL TEXTILES & APPAREL 1,636,728
---------------
MEDIA 2.0%
Omnicom Group, Inc. 5,472 512,179
Clear Channel Communications,
Inc.+ 15,180 437,943
Dow Jones & Co., Inc.+ 10,756 360,756
Univision Communications, Inc.
-- Class A*+ 9,006 309,266
---------------
TOTAL MEDIA 1,620,144
---------------
COMMERCIAL SERVICES & SUPPLIES 1.8%
Apollo Group, Inc. -- Class A*+ 15,757 775,875
H&R Block, Inc.+ 31,785 691,006
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,466,881
---------------
MULTILINE RETAIL 1.8%
Kohl's Corp.* 11,738 762,031
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Sears Holdings Corp.* 2,498 $ 394,909
Target Corp.+ 4,657 257,299
---------------
TOTAL MULTILINE RETAIL 1,414,239
---------------
AUTOMOBILES 1.2%
Harley-Davidson, Inc.+ 14,969 939,305
---------------
TOTAL AUTOMOBILES 939,305
---------------
INTERNET & CATALOG RETAIL 1.0%
Amazon.com, Inc.*+ 25,522 819,767
---------------
TOTAL INTERNET & CATALOG RETAIL 819,767
---------------
AUTO COMPONENTS 0.8%
Goodyear Tire & Rubber Co.*+ 41,588 603,026
---------------
TOTAL AUTO COMPONENTS 603,026
---------------
TOTAL CONSUMER DISCRETIONARY 21,431,396
---------------
HEALTH CARE 25.1%
HEALTH CARE PROVIDERS & SERVICES 10.7%
Express Scripts, Inc.* 12,630 953,439
AmerisourceBergen Corp.+ 20,685 934,962
Manor Care, Inc.+ 16,346 854,569
Humana, Inc.* 12,092 799,160
UnitedHealth Group, Inc. 15,775 776,130
Coventry Health Care, Inc.* 14,631 753,789
Caremark Rx, Inc.+ 12,848 728,096
Quest Diagnostics, Inc. 9,773 597,717
IMS Health, Inc. 21,459 571,668
Cardinal Health, Inc.+ 7,810 513,430
Patterson Cos., Inc.*+ 13,674 459,583
Health Management Associates,
Inc. -- Class A+ 20,630 431,167
Laboratory Corporation of
America Holdings*+ 3,504 229,757
---------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 8,603,467
---------------
HEALTH CARE EQUIPMENT & SUPPLIES 7.5%
Fisher Scientific International,
Inc.* 14,406 1,127,125
Zimmer Holdings, Inc.*+ 12,534 846,045
Stryker Corp. 16,950 840,550
Hospira, Inc.* 18,163 695,098
Waters Corp.* 13,110 593,621
Biomet, Inc.+ 13,882 446,862
Medtronic, Inc.+ 7,824 363,347
St. Jude Medical, Inc.* 9,985 352,371
Becton, Dickinson & Co. 3,738 264,164
Boston Scientific Corp.* 15,581 230,443
Millipore Corp.*+ 3,534 216,634
---------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 5,976,260
---------------
PHARMACEUTICALS 5.7%
Forest Laboratories, Inc.* 24,016 1,215,450
King Pharmaceuticals, Inc.* 36,118 615,089
Barr Pharmaceuticals, Inc.* 11,724 608,944
Schering-Plough Corp. 18,711 413,326
Mylan Laboratories, Inc.+ 20,260 407,834
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 85
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Pfizer, Inc. 13,852 $ 392,843
Johnson & Johnson, Inc. 4,718 306,387
Wyeth 4,905 249,370
Eli Lilly & Co.+ 3,883 221,331
Watson Pharmaceuticals, Inc.*+ 6,804 178,061
---------------
TOTAL PHARMACEUTICALS 4,608,635
---------------
BIOTECHNOLOGY 1.2%
Gilead Sciences, Inc.*+ 7,044 483,923
Amgen, Inc.*+ 3,440 246,063
Medimmune, Inc.*+ 7,463 217,994
---------------
TOTAL BIOTECHNOLOGY 947,980
---------------
TOTAL HEALTH CARE 20,136,342
---------------
INFORMATION TECHNOLOGY 17.1%
SOFTWARE 4.4%
Adobe Systems, Inc.*+ 21,661 811,204
Oracle Corp.* 36,434 646,339
Citrix Systems, Inc.*+ 16,726 605,649
Electronic Arts, Inc.*+ 8,949 498,280
Symantec Corp.*+ 18,505 393,786
Microsoft Corp. 10,493 286,774
Intuit, Inc.* 8,832 283,419
---------------
TOTAL SOFTWARE 3,525,451
---------------
COMPUTERS & PERIPHERALS 4.1%
QLogic Corp.* 36,420 688,338
Network Appliance, Inc.* 17,341 641,791
Lexmark International, Inc.* 10,538 607,621
Dell, Inc.*+ 23,198 529,842
SanDisk Corp.*+ 9,564 512,057
International Business Machines
Corp. 3,277 268,517
---------------
TOTAL COMPUTERS & PERIPHERALS 3,248,166
---------------
INTERNET SOFTWARE & SERVICES 3.5%
Google, Inc. -- Class A*+ 3,282 1,319,036
eBay, Inc.* 23,640 670,430
Yahoo!, Inc.*+ 20,727 523,979
VeriSign, Inc.*+ 13,454 271,771
---------------
TOTAL INTERNET SOFTWARE & SERVICES 2,785,216
---------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7%
Nvidia Corp.* 60,822 1,799,723
Maxim Integrated Products, Inc.+ 6,856 192,448
Broadcom Corp. -- Class A*+ 5,213 158,162
---------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 2,150,333
---------------
IT CONSULTING & SERVICES 1.9%
First Data Corp.+ 14,027 589,134
Fiserv, Inc.* 10,350 487,381
Affiliated Computer Services, Inc.
-- Class A* 8,981 465,755
---------------
TOTAL IT CONSULTING & SERVICES 1,542,270
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 0.3%
Cisco Systems, Inc.*+ 9,361 $ 215,303
---------------
TOTAL COMMUNICATIONS EQUIPMENT 215,303
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2%
Jabil Circuit, Inc.+ 6,864 196,105
---------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 196,105
---------------
TOTAL INFORMATION TECHNOLOGY 13,662,844
---------------
FINANCIALS 9.8%
THRIFTS & MORTGAGE FINANCE 2.7%
Countrywide Financial Corp.+ 25,314 887,003
Freddie Mac 12,471 827,201
MGIC Investment Corp.+ 7,608 456,252
---------------
TOTAL THRIFTS & MORTGAGE FINANCE 2,170,456
---------------
CONSUMER FINANCE 2.2%
Capital One Financial Corp.+ 10,385 816,884
SLM Corp.+ 14,071 731,411
American Express Co. 3,619 202,953
---------------
TOTAL CONSUMER FINANCE 1,751,248
---------------
CAPITAL MARKETS 1.6%
Federated Investors, Inc. --
Class B 22,057 745,747
Janus Capital Group, Inc.+ 17,768 350,385
Legg Mason, Inc.+ 1,910 192,643
---------------
TOTAL CAPITAL MARKETS 1,288,775
---------------
INSURANCE 1.4%
Progressive Corp. 25,343 621,917
Ambac Financial Group, Inc. 6,072 502,458
---------------
TOTAL INSURANCE 1,124,375
---------------
DIVERSIFIED FINANCIALS 1.4%
Chicago Mercantile Exchange
Holdings, Inc.+ 2,300 1,099,975
---------------
TOTAL DIVERSIFIED FINANCIALS 1,099,975
---------------
BANKS 0.5%
Commerce Bancorp, Inc.+ 11,469 421,027
---------------
TOTAL BANKS 421,027
---------------
TOTAL FINANCIALS 7,855,856
---------------
CONSUMER STAPLES 8.7%
FOOD PRODUCTS 2.9%
General Mills, Inc.+ 13,081 740,384
Campbell Soup Co.+ 15,216 555,384
Kellogg Co.+ 8,586 425,179
McCormick & Co., Inc. 9,521 361,607
WM Wrigley Jr Co.+ 4,494 206,994
---------------
TOTAL FOOD PRODUCTS 2,289,548
---------------
FOOD & DRUG RETAILING 2.0%
Sysco Corp.+ 14,000 468,300
Wal-Mart Stores, Inc. 8,806 434,312
Walgreen Co.+ 8,964 397,912
Whole Foods Market, Inc.+ 4,488 266,722
---------------
TOTAL FOOD & DRUG RETAILING 1,567,246
---------------
See Notes to Financial Statements.
86 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 1.9%
Colgate-Palmolive Co. 10,361 $ 643,418
Clorox Co. 9,944 626,472
Procter & Gamble Co. 4,669 289,385
---------------
TOTAL HOUSEHOLD PRODUCTS 1,559,275
---------------
BEVERAGES 1.2%
Anheuser-Busch Cos., Inc. 14,236 676,352
PepsiCo, Inc. 3,867 252,361
---------------
TOTAL BEVERAGES 928,713
---------------
TOBACCO 0.7%
UST, Inc.+ 10,936 599,621
---------------
TOTAL TOBACCO 599,621
---------------
TOTAL CONSUMER STAPLES 6,944,403
---------------
ENERGY 7.4%
OIL & GAS 6.8%
XTO Energy, Inc.+ 30,806 1,297,857
Devon Energy Corp. 15,950 1,007,242
Apache Corp.+ 10,720 677,504
Anadarko Petroleum Corp.+ 15,400 674,982
Valero Energy Corp. 12,698 653,566
Chesapeake Energy Corp.+ 19,896 576,586
EOG Resources, Inc.+ 8,530 554,877
---------------
TOTAL OIL & GAS 5,442,614
---------------
ENERGY EQUIPMENT & SERVICES 0.6%
BJ Services Co.+ 10,377 312,659
Nabors Industries Ltd.*+ 4,920 146,370
---------------
TOTAL ENERGY EQUIPMENT & SERVICES 459,029
---------------
TOTAL ENERGY 5,901,643
---------------
INDUSTRIALS 2.7%
AEROSPACE & DEFENSE 1.2%
General Dynamics Corp.+ 7,026 503,554
L-3 Communications Holdings,
Inc. 6,404 501,625
---------------
TOTAL AEROSPACE & DEFENSE 1,005,179
---------------
MACHINERY 0.9%
ITT Industries, Inc. 6,978 357,762
Danaher Corp.+ 5,035 345,753
---------------
TOTAL MACHINERY 703,515
---------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Equifax, Inc. 6,274 230,318
Cintas Corp. 5,420 221,299
---------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 451,617
---------------
TOTAL INDUSTRIALS 2,160,311
---------------
MATERIALS 2.1%
CHEMICALS 1.1%
Ecolab, Inc.+ 12,666 542,358
Sigma-Aldrich Corp.+ 4,870 368,513
---------------
TOTAL CHEMICALS 910,871
---------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING 1.0%
Ball Corp.+ 19,123 $ 773,525
---------------
TOTAL CONTAINERS & PACKAGING 773,525
---------------
TOTAL MATERIALS 1,684,396
---------------
TOTAL COMMON STOCKS
(Cost $76,446,030) 79,777,191
---------------
FACE
AMOUNT
--------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 10,054 10,054
4.95% due 10/02/06 152,318 152,318
4.89% due 10/02/06 99,007 99,007
4.80% due 10/02/06 182,782 182,782
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $444,161) 444,161
---------------
SECURITIES LENDING COLLATERAL 18.9%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 15,146,000 15,146,000
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $15,146,000) 15,146,000
---------------
TOTAL INVESTMENTS 119.0%
(Cost $92,036,191) $ 95,367,352
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (19.0)% $ (15,239,629)
===============
NET ASSETS - 100.0% $ 80,127,723
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 87
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DOLLAR FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 99.6%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 424,187 $ 424,187
4.95% due 10/02/06 6,426,611 6,426,611
4.94% due 10/02/06+ 8,204,325 8,204,325
4.89% due 10/02/06 4,177,297 4,177,297
4.80% due 10/02/06 7,711,933 7,711,933
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $26,944,353) 26,944,353
---------------
TOTAL INVESTMENTS 99.6%
(Cost $26,944,353) $ 26,944,353
===============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 0.4% $ 117,429
===============
NET ASSETS - 100.0% $ 27,061,782
================================================================================
UNREALIZED
GAIN
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
CURRENCY INDEX SWAP AGREEMENT
November 2006 U.S. Dollar Index
Swap, Maturing 11/28/06*
(Notional Market Value
$54,036,453) 630,326 $ 531,484
===============
* PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
88 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
DYNAMIC WEAKENING DOLLAR FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 103.9%
Repurchase Agreement (Note 6)
5.00% due 10/02/06 $ 2,552,800 $ 2,552,800
4.95% due 10/02/06 38,675,940 38,675,940
4.94% due 10/02/06+ 50,691,199 50,691,199
4.89% due 10/02/06 25,139,361 25,139,361
4.80% due 10/02/06 46,411,129 46,411,129
---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $163,470,429) 163,470,429
---------------
TOTAL INVESTMENTS 103.9%
(Cost $163,470,429) $ 163,470,429
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (3.9)% $ (6,090,679)
===============
NET ASSETS - 100.0% $ 157,379,750
================================================================================
UNREALIZED
LOSS
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
CURRENCY INDEX SWAP AGREEMENT
SOLD SHORT
November 2006 U.S. Dollar Index
Swap, Maturing 11/29/06*
(Notional Market Value
$315,787,588) 3,683,608 $ (4,437,142)
===============
* PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT SEPTEMBER 30, 2006.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 89
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 83.6%
Farmer Mac*
5.28% due 10/06/06 $ 50,000,000 $ 49,970,667
5.24% due 10/13/06 50,000,000 49,919,944
5.25% due 10/30/06 50,000,000 49,795,833
5.00% due 11/03/06 50,000,000 49,777,778
5.24% due 11/03/06 50,000,000 49,767,111
5.15% due 11/07/06 25,000,000 24,871,250
Federal Farm Credit Bank*
4.98% due 10/18/06 50,000,000 49,889,333
5.11% due 10/23/06 50,000,000 49,850,958
5.00% due 10/30/06 50,000,000 49,805,556
5.21% due 11/20/06 50,000,000 49,645,431
4.96% due 11/16/06 25,000,000 24,845,000
4.98% due 11/17/06 25,000,000 24,840,917
4.99% due 11/22/06 25,000,000 24,823,271
Federal Home Loan Bank*
5.23% due 10/13/06 50,000,000 49,920,097
5.15% due 11/17/06 25,000,000 24,835,486
5.24% due 12/15/06 25,000,000 24,730,722
Freddie Mac*
5.16% due 11/14/06+ 50,000,000 49,691,833
5.27% due 11/21/06+ 50,000,000 49,634,375
5.24% due 12/11/06 50,000,000 49,490,556
5.24% due 12/19/06 50,000,000 49,432,333
5.06% due 02/22/07 50,000,000 48,996,021
5.25% due 10/10/06 25,000,000 24,970,833
5.24% due 10/17/06 25,000,000 24,945,417
5.27% due 10/17/06 25,000,000 24,945,104
5.30% due 11/01/06 25,000,000 24,889,583
5.27% due 12/05/06 25,000,000 24,766,000
5.26% due 12/19/06+ 25,000,000 24,715,083
5.20% due 01/02/07 25,000,000 24,667,778
5.18% due 01/03/07 25,000,000 24,665,458
5.29% due 01/02/07 25,000,000 24,662,028
---------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $1,117,761,756) 1,117,761,756
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 7.6%
Individual Repurchase Agreement
Lehman Brothers, Inc. at 5.00%
due 10/02/06 (Secured by U.S.
Treasury Notes, as collateral,
maturing 11/15/08 and
02/15/16 with a Market
Value of $98,205,449
and secured by U.S.
Treasury Bills, as collateral,
maturing 11/15/06 with a Market
Value of $4,677,123) having a
Maturity Value of $100,936,034 $ 100,893,995 $ 100,893,995
TOTAL REPURCHASE AGREEMENTS ---------------
(Cost $100,893,995) 100,893,995
---------------
SECURITIES LENDING COLLATERAL 10.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 9) 140,000,000 140,000,000
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $140,000,000) 140,000,000
---------------
TOTAL INVESTMENTS 101.7%
(Cost $1,358,655,751) $ 1,358,655,751
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (1.7)% $ (22,150,878)
===============
NET ASSETS - 100.0% $ 1,336,504,873
* THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A
CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY
THE U.S. GOVERNMENT.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 9.
See Notes to Financial Statements.
90 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
MASTER-FEEDER ARRANGEMENT
- --------------------------------------------------------------------------------
Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long
Bond Fund are operating under a 'master-feeder arrangement'. Under a
master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of
its assets in the Master Portfolio ("master"), a separate open-ended investment
company that has the same investment objectives as the feeder, e.g., the Nova
Fund would act as a feeder, holding shares of the Nova Master Portfolio as its
only investment. The Master Portfolio, in turn, invests in securities and
derivatives to meet its investment objective.
The following statements represent the Feeder Funds, which is the part of the
master-feeder arrangement in which shareholders invest. Please see Notes to
Financial Statements for more information about the master-feeder arrangement.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 91
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
- --------------------------------------------------------------------------------
INVERSE
NOVA S&P 500 S&P 500 OTC
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ -- $ 11,957,058 $ -- $1,009,194,402
Investments in Master Portfolio** (Note 3) 212,821,710 -- 522,197,211 --
Segregated Cash with Broker -- 2,183,987 -- 3,287,384
Cash in Custodian Bank -- 26 -- --
Receivable for Equity Index Swap Settlement (Note 1) -- 24,034 -- 138,253
Receivable for Futures Contracts Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) -- 554 -- --
Receivable for Fund Shares Purchased 806,923 121,736 1,944,419 1,685,737
Investment Income Receivable (Note 1) -- 7,859 -- 37,225
Other Assets -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 213,628,633 14,295,254 524,141,630 1,014,343,001
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- 12,862 -- 34,551
Payable for Futures Contracts Settlement (Note 1) -- 4,462 -- 75,375
Payable upon Return of Securities Loaned (Note 9) -- -- -- 256,156,878
Payable for Securities Purchased (Note 1) 123,656 2,716 608,148 --
Liability for Fund Shares Redeemed 606,017 249,168 1,158,196 4,997,106
Investment Advisory Fees Payable (Note 4) -- 10,283 -- 462,037
Transfer Agent and Administrative Fees Payable (Note 4) 42,059 3,428 118,346 154,012
Distribution and Service Fees Payable (Note 4) 18,366 1,556 20,135 9,868
Portfolio Accounting Fees Payable (Note 4) 16,824 1,371 39,594 46,695
Custody Fees Payable -- 329 -- 14,785
Dividends Payable -- -- -- --
Other Liabilities 82,842 3,892 223,525 287,736
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 889,764 290,067 2,167,944 262,239,043
================================================================================================================================
NET ASSETS $ 212,738,869 $ 14,005,187 $ 521,973,686 $ 752,103,958
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 187,708,695 13,403,794 546,265,017 1,301,314,974
Undistributed Net Investment Income (Loss) 6,377,110 45,956 1,096,953 (2,352,965)
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts 7,814,396 298,802 (8,006,793) (820,051,264)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, and Futures Contracts 10,838,668 256,635 (17,381,491) 273,193,213
================================================================================================================================
NET ASSETS $ 212,738,869 $ 14,005,187 $ 521,973,686 $ 752,103,958
================================================================================================================================
Investor Class $ 110,206,371 N/A $ 421,739,660 $ 689,101,812
Advisor Class 39,639,197 N/A 33,361,656 47,981,634
A-Class 18,671,165 $ 843,097 17,541,217 1,976,299
C-Class 44,222,136 2,739,192 49,331,153 13,044,213
H-Class N/A 10,422,898 N/A N/A
SHARES OUTSTANDING
Investor Class 3,677,376 N/A 52,492,303 62,817,635
Advisor Class 1,381,386 N/A 4,351,810 4,567,223
A-Class 646,757 32,176 2,284,347 186,712
C-Class 1,564,197 104,808 6,505,702 1,263,742
H-Class N/A 397,961 N/A N/A
NET ASSET VALUES
Investor Class $ 29.97 N/A $ 8.03 $ 10.97
Advisor Class 28.70 N/A 7.67 10.51
A-Class 28.87 $ 26.20 7.68 10.58
A-Class Maximum Offering Price*** 30.31 27.51 8.06 11.11
C-Class 28.27 26.14 7.58 10.32
H-Class N/A 26.19 N/A N/A
* THE COST OF SECURITIES AT VALUE IS $0, $11,742,929, $0, $736,902,248, $0,
$60,125,889, $51,030,908, $102,596,222, $10,361,935, $166,898,355,
$154,725,142, AND $0, RESPECTIVELY.
** THE COST OF INVESTMENT IN MASTER PORTFOLIO IS $201,983,042, $0,
$539,578,702, $0, $205,717,131, $0, $0, $0, $0, $0, $0, AND $888,479,350,
RESPECTIVELY.
*** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
See Notes to Financial Statements.
92 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
September 30, 2006
- --------------------------------------------------------------------------------
INVERSE MID-CAP INVERSE RUSSELL 2000(R)
OTC ADVANTAGE MID-CAP ADVANTAGE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ -- $ 62,198,706 $ 51,030,908 $ 109,287,910
Investments in Master Portfolio** (Note 3) 196,636,649 -- -- --
Segregated Cash with Broker -- 537,300 580,500 3,725,838
Cash in Custodian Bank -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- 274,352 -- --
Receivable for Futures Contracts Settlement (Note 1) -- -- 92,450 --
Receivable for Securities Sold (Note 1) -- 352,333 -- --
Receivable for Fund Shares Purchased 3,764,905 328,565 1,882,221 421,137
Investment Income Receivable (Note 1) -- 32,464 20,752 67,118
Other Assets -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 200,401,554 63,723,720 53,606,831 113,502,003
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- -- 617,514 53,695
Payable for Futures Contracts Settlement (Note 1) -- 91,519 -- 259,364
Payable upon Return of Securities Loaned (Note 9) -- 8,682,175 -- 14,084,000
Payable for Securities Purchased (Note 1) 2,780,705 121,153 -- --
Liability for Fund Shares Redeemed 913,709 7,608,679 338,848 8,044,359
Investment Advisory Fees Payable (Note 4) -- 39,673 39,759 73,511
Transfer Agent and Administrative Fees Payable (Note 4) 44,434 11,020 11,044 20,420
Distribution and Service Fees Payable (Note 4) 8,284 7,265 4,252 11,606
Portfolio Accounting Fees Payable (Note 4) 17,774 4,408 4,418 8,168
Custody Fees Payable -- 1,058 1,060 1,960
Dividends Payable -- -- -- --
Other Liabilities 86,754 24,514 17,836 42,039
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 3,851,660 16,591,464 1,034,731 22,599,122
================================================================================================================================
NET ASSETS $ 196,549,894 $ 47,132,256 $ 52,572,100 $ 90,902,881
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 189,338,535 48,112,130 54,928,879 91,333,865
Undistributed Net Investment Income (Loss) 408,337 (43,878) 859,483 98,713
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts 15,883,504 (3,328,656) (2,759,653) (7,394,879)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, and Futures Contracts (9,080,482) 2,392,660 (456,609) 6,865,182
================================================================================================================================
NET ASSETS $ 196,549,894 $ 47,132,256 $ 52,572,100 $ 90,902,881
================================================================================================================================
Investor Class $ 153,673,928 N/A N/A N/A
Advisor Class 16,019,720 N/A N/A N/A
A-Class 7,087,964 $ 3,581,328 $ 931,682 $ 3,973,861
C-Class 19,768,282 18,346,484 4,464,897 24,430,119
H-Class N/A 25,204,444 47,175,521 62,498,901
SHARES OUTSTANDING
Investor Class 6,658,744 N/A N/A N/A
Advisor Class 704,984 N/A N/A N/A
A-Class 310,269 97,565 23,484 117,557
C-Class 909,449 518,883 114,887 753,700
H-Class N/A 686,145 1,188,770 1,848,919
NET ASSET VALUES
Investor Class $ 23.08 N/A N/A N/A
Advisor Class 22.72 N/A N/A N/A
A-Class 22.84 $ 36.71 $ 39.67 $ 33.80
A-Class Maximum Offering Price*** 23.98 38.54 41.65 35.49
C-Class 21.74 35.36 38.86 32.41
H-Class N/A 36.73 39.68 33.80
GOVERNMENT INVERSE
INVERSE LONG BOND GOVERNMENT
RUSSELL 2000(R) RUSSELL 2000(R) ADVANTAGE LONG BOND
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ 10,509,994 $ 166,898,355 $ 164,224,191 $ --
Investments in Master Portfolio** (Note 3) -- -- -- 910,641,209
Segregated Cash with Broker 346,400 901,800 663,300 --
Cash in Custodian Bank 52,825 -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- --
Receivable for Futures Contracts Settlement (Note 1) -- 252,649 -- --
Receivable for Securities Sold (Note 1) -- -- 48,119,628 --
Receivable for Fund Shares Purchased 33,832 7,669,276 255,736 5,393,572
Investment Income Receivable (Note 1) 6,224 67,902 943,881 --
Other Assets 8 -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 10,949,283 175,789,982 214,206,736 916,034,781
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) 28,993 5,657,293 -- --
Payable for Futures Contracts Settlement (Note 1) 24,000 -- 23,771 --
Payable upon Return of Securities Loaned (Note 9) -- -- -- --
Payable for Securities Purchased (Note 1) -- -- -- 1,772,323
Liability for Fund Shares Redeemed 1,100,544 383,428 52,115,884 3,255,172
Investment Advisory Fees Payable (Note 4) 6,853 131,458 91,497 --
Transfer Agent and Administrative Fees Payable (Note 4) 2,284 36,516 36,599 209,876
Distribution and Service Fees Payable (Note 4) 1,027 14,910 14,855 102,351
Portfolio Accounting Fees Payable (Note 4) 914 14,606 18,299 53,850
Custody Fees Payable 220 3,506 4,786 --
Dividends Payable -- -- 40,982 --
Other Liabilities 2,833 59,475 83,424 492,041
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 1,167,668 6,301,192 52,430,097 5,885,613
================================================================================================================================
NET ASSETS $ 9,781,615 $ 169,488,790 $ 161,776,639 $ 910,149,168
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 10,382,628 189,020,330 165,652,409 885,057,606
Undistributed Net Investment Income (Loss) 47,097 2,819,103 183,622 2,389,536
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts (783,886) (18,084,629) (14,682,347) 540,167
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, and Futures Contracts 135,776 (4,266,014) 10,622,955 22,161,859
================================================================================================================================
NET ASSETS $ 9,781,615 $ 169,488,790 $ 161,776,639 $ 910,149,168
================================================================================================================================
Investor Class N/A N/A $ 111,181,579 $ 444,757,127
Advisor Class N/A N/A 27,190,089 54,109,953
A-Class $ 33,060 $ 27,390,710 8,568,683 92,586,987
C-Class 3,429,359 17,193,803 14,836,288 318,695,101
H-Class 6,319,196 124,904,277 N/A N/A
SHARES OUTSTANDING
Investor Class N/A N/A 10,299,796 22,889,950
Advisor Class N/A N/A 2,533,081 2,829,024
A-Class 1,313 693,573 793,569 4,811,332
C-Class 136,412 443,785 1,375,184 17,279,647
H-Class 250,864 3,161,161 N/A N/A
NET ASSET VALUES
Investor Class N/A N/A $ 10.79 $ 19.43
Advisor Class N/A N/A 10.73 19.13
A-Class $ 25.19 $ 39.49 10.80 19.24
A-Class Maximum Offering Price*** 26.45 41.46 11.34 20.20
C-Class 25.14 38.74 10.79 18.44
H-Class 25.19 39.51 N/A N/A
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 93
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
EUROPE JAPAN SMALL-CAP MID-CAP
ADVANTAGE ADVANTAGE VALUE VALUE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ 91,390,982 $ 51,204,176 $ 67,603,573 $ 40,576,777
Segregated Cash with Broker -- 303,250 -- --
Cash in Custodian Bank -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) 382,547 673,487 -- --
Receivable for Futures Contracts Settlement (Note 1) -- 2,512 -- --
Receivable for Securities Sold (Note 1) -- -- -- 5,345,842
Receivable for Fund Shares Purchased 8,032,942 5,834,072 16,921 276,530
Investment Income Receivable (Note 1) 132,628 20,899 47,495 44,717
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 99,939,099 58,038,396 67,667,989 46,243,866
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) 75,842 -- -- --
Payable upon Return of Securities Loaned (Note 9) -- -- 6,834,204 9,506,220
Payable for Securities Purchased (Note 1) 7,792,095 -- -- 139,188
Liability for Fund Shares Redeemed 1,280,924 7,259,381 955,043 5,554,648
Investment Advisory Fees Payable (Note 4) 60,260 49,901 23,016 24,495
Transfer Agent and Administrative Fees Payable (Note 4) 16,739 13,861 7,672 8,165
Distribution and Service Fees Payable (Note 4) 7,596 5,125 6,003 3,711
Portfolio Accounting Fees Payable (Note 4) 6,696 5,545 3,069 3,266
Custody Fees Payable 1,607 1,331 737 784
Cash Due to Custodian Bank -- -- -- --
Dividends Payable -- -- -- --
Other Liabilities 24,574 32,244 17,214 17,197
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 9,266,333 7,367,388 7,846,958 15,257,674
================================================================================================================================
NET ASSETS $ 90,672,766 $ 50,671,008 $ 59,821,031 $ 30,986,192
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 88,472,310 35,732,380 64,086,737 30,743,052
Undistributed Net Investment Income (Loss) 1,752,386 3,199,943 50,192 244,385
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts (3,328,942) 11,067,268 (8,215,318) (5,081,148)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts 3,777,012 671,417 3,899,420 5,079,903
================================================================================================================================
NET ASSETS $ 90,672,766 $ 50,671,008 $ 59,821,031 $ 30,986,192
================================================================================================================================
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class $ 3,330,703 $ 4,483,702 $ 1,183,491 $ 1,346,820
C-Class 11,079,413 7,536,417 14,166,117 5,502,195
H-Class 76,262,650 38,650,889 44,471,423 24,137,177
SHARES OUTSTANDING
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class 155,280 119,981 37,276 42,191
C-Class 540,126 208,308 455,556 175,682
H-Class 3,553,909 1,033,455 1,402,170 756,287
NET ASSET VALUES
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class $ 21.45 $ 37.37 $ 31.75 $ 31.92
A-Class Maximum Offering Price** 22.52 39.23 33.33 33.51
C-Class 20.51 36.18 31.10 31.32
H-Class 21.46 37.40 31.72 31.92
* THE COST OF SECURITIES AT VALUE IS $87,880,640, $51,204,176, $63,704,153,
$35,496,874, $194,782,105, $38,559,051, $22,666,313, $92,036,191,
$26,944,353, $163,470,429, AND $1,358,655,751, RESPECTIVELY.
** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
See Notes to Financial Statements.
94 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ 212,456,009 $ 42,175,555 $ 24,711,822 $ 95,367,352
Segregated Cash with Broker -- -- -- --
Cash in Custodian Bank 9,475 -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- --
Receivable for Futures Contracts Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) 421,517 350,054 2,041,611 3,105,205
Receivable for Fund Shares Purchased 6,866,260 42,937 3,144 274,983
Investment Income Receivable (Note 1) 298,534 6,718 7,559 18,976
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 220,051,795 42,575,264 26,764,136 98,766,516
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 9) 41,932,704 9,036,922 4,795,078 15,146,000
Payable for Securities Purchased (Note 1) 1,983,706 449,268 320,793 --
Liability for Fund Shares Redeemed 5,495,269 158,853 1,739,229 3,422,749
Investment Advisory Fees Payable (Note 4) 112,100 15,405 10,462 33,559
Transfer Agent and Administrative Fees Payable (Note 4) 37,367 5,135 3,487 11,186
Distribution and Service Fees Payable (Note 4) 12,829 2,420 1,920 6,202
Portfolio Accounting Fees Payable (Note 4) 14,947 2,054 1,395 4,475
Custody Fees Payable 3,727 726 335 1,074
Cash Due to Custodian Bank -- -- -- --
Dividends Payable -- -- -- --
Other Liabilities 59,871 11,720 10,223 13,548
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 49,652,520 9,682,503 6,882,922 18,638,793
================================================================================================================================
NET ASSETS $ 170,399,275 $ 32,892,761 $ 19,881,214 $ 80,127,723
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 162,232,657 37,503,431 16,749,301 82,883,608
Undistributed Net Investment Income (Loss) 620,126 (190,161) (133,214) (144,356)
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts (10,127,412) (8,037,013) 1,219,618 (5,942,690)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts 17,673,904 3,616,504 2,045,509 3,331,161
================================================================================================================================
NET ASSETS $ 170,399,275 $ 32,892,761 $ 19,881,214 $ 80,127,723
================================================================================================================================
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class $ 1,407,011 $ 777,253 $ 1,488,073 $ 1,589,219
C-Class 4,091,430 1,777,697 2,521,430 14,097,976
H-Class 164,900,834 30,337,811 15,871,711 64,440,528
SHARES OUTSTANDING
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class 46,327 26,570 51,623 61,975
C-Class 137,383 61,829 89,094 560,195
H-Class 5,430,153 1,036,479 550,104 2,512,941
NET ASSET VALUES
Investor Class N/A N/A N/A N/A
Advisor Class N/A N/A N/A N/A
A-Class $ 30.37 $ 29.25 $ 28.83 $ 25.64
A-Class Maximum Offering Price** 31.88 30.71 30.27 26.92
C-Class 29.78 28.75 28.30 25.17
H-Class 30.37 29.27 28.85 25.64
DYNAMIC DYNAMIC U.S.
STRENGTHENING WEAKENING GOVERNMENT
DOLLAR DOLLAR MONEY MARKET
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6 and 9) $ 26,944,353 $ 163,470,429 $1,358,655,751
Segregated Cash with Broker -- -- --
Cash in Custodian Bank -- -- --
Receivable for Equity Index Swap Settlement (Note 1) 500,404 -- --
Receivable for Futures Contracts Settlement (Note 1) -- -- --
Receivable for Securities Sold (Note 1) -- -- --
Receivable for Fund Shares Purchased 107,057 323,227 166,372,147
Investment Income Receivable (Note 1) 10,992 66,694 42,039
- --------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 27,562,806 163,860,350 1,525,069,937
==============================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- 4,841,555 --
Payable upon Return of Securities Loaned (Note 9) -- -- 140,000,000
Payable for Securities Purchased (Note 1) -- -- --
Liability for Fund Shares Redeemed 466,122 1,396,363 46,907,100
Investment Advisory Fees Payable (Note 4) 16,910 123,418 575,591
Transfer Agent and Administrative Fees Payable (Note 4) 4,697 34,283 230,236
Distribution and Service Fees Payable (Note 4) 2,313 13,768 58,890
Portfolio Accounting Fees Payable (Note 4) 1,879 13,713 63,200
Custody Fees Payable 451 3,291 27,628
Cash Due to Custodian Bank -- -- 2,793
Dividends Payable -- -- 141,326
Other Liabilities 8,652 54,209 558,300
- --------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 501,024 6,480,600 188,565,064
==============================================================================================================
NET ASSETS $ 27,061,782 $ 157,379,750 $1,336,504,873
==============================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 28,664,854 157,715,676 1,336,976,233
Undistributed Net Investment Income (Loss) (658,583) (1,732,056) --
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts (1,475,973) 5,833,272 (471,360)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity Index Swaps, Currency Index Swaps,
and Futures Contracts 531,484 (4,437,142) --
==============================================================================================================
NET ASSETS $ 27,061,782 $ 157,379,750 $1,336,504,873
==============================================================================================================
Investor Class N/A N/A $1,064,152,272
Advisor Class N/A N/A 146,316,567
A-Class $ 481,245 $ 11,888,014 12,617,041
C-Class 2,675,619 13,363,339 113,418,993
H-Class 23,904,918 132,128,397 N/A
SHARES OUTSTANDING
Investor Class N/A N/A 1,064,584,804
Advisor Class N/A N/A 146,572,898
A-Class 18,218 487,672 12,617,118
C-Class 102,359 553,880 113,419,023
H-Class 905,896 5,420,661 N/A
NET ASSET VALUES
Investor Class N/A N/A $ 1.00
Advisor Class N/A N/A 1.00
A-Class $ 26.42 $ 24.38 1.00
A-Class Maximum Offering Price** 27.74 25.60 1.00
C-Class 26.14 24.13 1.00
H-Class 26.39 24.37 N/A
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 95
STATEMENTS OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
INVERSE
NOVA S&P 500 S&P 500 OTC
FUND FUND*** FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ -- $ 82,982 $ -- $ 579,928
Interest from Securities Lending, net (Note 9) -- -- -- 89,093
Dividends, Net of Foreign Tax Withheld* (Note 1) -- 26,046 -- 1,503,876
Other Income -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Income -- 109,028 -- 2,172,897
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) -- 29,196 -- 2,667,001
Transfer Agent and Administrative Fees (Note 4) 258,388 9,732 699,916 889,000
Distribution & Service Fees (Note 4):
Advisor Class 91,470 -- 131,836 51,227
A-Class 25,401 468 18,423 2,353
C-Class 211,341 4,222 239,375 61,727
H-Class -- 8,208 -- --
Portfolio Accounting Fees (Note 4) 103,268 3,893 231,746 269,288
Registration Fees 51,663 210 92,525 177,972
Trustees' Fees** 8,107 128 18,146 27,902
Custody Fees -- 1,903 -- 87,414
Miscellaneous 84,928 5,112 281,281 291,978
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 834,566 63,072 1,713,248 4,525,862
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (834,566) 45,956 (1,713,248) (2,352,965)
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 7,814,396 3,621 (8,006,793) 58,907,669
Equity Index Swaps -- 243,655 -- (28,229)
Futures Contracts -- 51,526 -- (232,608)
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 7,814,396 298,802 (8,006,793) 58,646,832
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (2,596,669) 214,129 729,517 (85,553,487)
Equity Index Swaps -- 11,172 -- (42,609)
Futures Contracts -- 31,334 -- 906,976
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (2,596,669) 256,635 729,517 (84,689,120)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 5,217,727 555,437 (7,277,276) (26,042,288)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 4,383,161 $ 601,393 $ (8,990,524) $ (28,395,253)
================================================================================================================================
* NET OF FOREIGN TAX WITHHELD OF $0, $0, $0, $15,520, $0, $0, $0, $368, $8,
$0, $0, AND $0, RESPECTIVELY.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(A)(19) OF THE 1940 ACT.
*** SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
See Notes to Financial Statements.
96 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
Period Ended September 30, 2006
- --------------------------------------------------------------------------------
INVERSE MID-CAP INVERSE RUSSELL 2000(R)
OTC ADVANTAGE MID-CAP ADVANTAGE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ -- $ 309,199 $ 1,103,351 $ 674,254
Interest from Securities Lending, net (Note 9) -- 3,625 -- 19,599
Dividends, Net of Foreign Tax Withheld* (Note 1) -- 265,899 -- 400,345
Other Income 963 -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 963 578,723 1,103,351 1,094,198
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) -- 289,361 195,123 492,193
Transfer Agent and Administrative Fees (Note 4) 269,429 80,378 54,201 136,720
Distribution & Service Fees (Note 4):
Advisor Class 52,439 -- -- --
A-Class 5,919 4,608 1,417 6,389
C-Class 91,206 112,654 7,825 113,541
H-Class -- 47,607 50,828 101,946
Portfolio Accounting Fees (Note 4) 107,384 32,151 21,680 54,688
Registration Fees 36,698 16,623 4,824 32,858
Trustees' Fees** 7,077 2,605 1,167 4,772
Custody Fees -- 10,830 5,111 13,445
Miscellaneous 107,104 25,784 24,361 38,933
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 677,256 622,601 366,537 995,485
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (676,293) (43,878) 736,814 98,713
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 15,883,504 2,035,641 -- 11,279,798
Equity Index Swaps -- (3,487,590) 1,094,910 (6,098,884)
Futures Contracts -- (692,744) (822,768) (5,427,773)
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 15,883,504 (2,144,693) 272,142 (246,859)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (5,574,479) (5,804,894) -- (18,047,090)
Equity Index Swaps -- (207,342) (152,769) (1,798,456)
Futures Contracts -- (519,863) (31,620) (2,968,140)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (5,574,479) (6,532,099) (184,389) (22,813,686)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 10,309,025 (8,676,792) 87,753 (23,060,545)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 9,632,732 $ (8,720,670) $ 824,567 $ (22,961,832)
================================================================================================================================
GOVERNMENT INVERSE
INVERSE LONG BOND GOVERNMENT
RUSSELL 2000(R) RUSSELL 2000(R) ADVANTAGE LONG BOND
FUND*** FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 77,897 $ 3,624,881 $ 3,138,328 $ --
Interest from Securities Lending, net (Note 9) -- -- -- --
Dividends, Net of Foreign Tax Withheld* (Note 1) 15,573 -- -- --
Other Income -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Income 93,470 3,624,881 3,138,328 --
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 22,504 636,580 314,694 --
Transfer Agent and Administrative Fees (Note 4) 7,502 176,828 125,878 1,634,362
Distribution & Service Fees (Note 4):
Advisor Class -- -- 94,655 197,111
A-Class 31 20,166 7,912 149,428
C-Class 1,137 64,616 58,681 2,207,731
H-Class 7,186 140,508 -- --
Portfolio Accounting Fees (Note 4) 3,001 70,731 62,939 364,412
Registration Fees -- 15,394 19,511 308,355
Trustees' Fees** 116 3,762 3,548 49,281
Custody Fees 803 16,683 15,241 --
Miscellaneous 4,093 79,930 65,075 524,920
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 46,373 1,225,198 768,134 5,435,600
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 47,097 2,399,683 2,370,194 (5,435,600)
===================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (330,675) -- (1,953,623) 540,167
Equity Index Swaps (293,761) 2,473,423 -- --
Futures Contracts (159,450) (2,687,665) 1,771,442 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (783,886) (214,242) (182,181) 540,167
- -----------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 148,059 -- 10,717,412 3,096,533
Equity Index Swaps (31,668) (2,155,789) -- --
Futures Contracts 19,385 (52,198) 1,386,383 --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 135,776 (2,207,987) 12,103,795 3,096,533
- -----------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (648,110) (2,422,229) 11,921,614 3,636,700
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (601,013) $ (22,546) $ 14,291,808 $ (1,798,900)
===================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 97
STATEMENTS OF OPERATIONS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
EUROPE JAPAN SMALL-CAP MID-CAP
ADVANTAGE ADVANTAGE VALUE VALUE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 548,147 $ 2,139,444 $ 7,131 $ 4,672
Interest from Securities Lending, net (Note 9) -- -- 21,468 7,671
Dividends, Net of Foreign Tax Withheld* (Note 1) 1,113,098 -- 405,605 554,343
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 1,661,245 2,139,444 434,204 566,686
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 280,382 407,842 167,127 148,779
Transfer Agent and Administrative Fees (Note 4) 77,884 113,290 55,709 49,593
Distribution & Service Fees (Note 4):
Advisor Class -- -- -- --
A-Class 1,940 4,196 754 1,548
C-Class 44,292 55,341 59,389 28,760
H-Class 64,871 95,258 40,108 40,855
Portfolio Accounting Fees (Note 4) 31,154 45,316 22,284 19,837
Registration Fees 13,471 24,507 15,914 10,842
Trustees' Fees** 1,733 3,660 2,197 1,656
Custody Fees 7,319 10,787 7,445 5,157
Miscellaneous 28,411 35,278 13,085 15,274
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 551,457 795,475 384,012 322,301
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,109,788 1,343,969 50,192 244,385
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 322,296 -- 708,180 45,071
Equity Index Swaps and Currency Index Swaps (410,594) (7,340,421) -- --
Futures Contracts -- (1,539,456) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (88,298) (8,879,877) 708,180 45,071
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (949,769) -- (8,341,614) (773,322)
Equity Index Swaps and Currency Index Swaps (1,910) (3,364,247) -- --
Futures Contracts -- (1,500,226) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (951,679) (4,864,473) (8,341,614) (773,322)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (1,039,977) (13,744,350) (7,633,434) (728,251)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 69,811 $ (12,400,381) $ (7,583,242) $ (483,866)
================================================================================================================================
* NET OF FOREIGN TAX WITHHELD OF $141,082, $0, $324, $0, $0, $0, $0, $0, $0,
$0, AND $0, RESPECTIVELY.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(A)(19) OF THE 1940 ACT.
See Notes to Financial Statements.
98 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
Period Ended September 30, 2006
- --------------------------------------------------------------------------------
LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP
VALUE GROWTH GROWTH GROWTH
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 18,124 $ 5,143 $ 3,747 $ 4,389
Interest from Securities Lending, net (Note 9) 17,705 29,268 3,517 1,410
Dividends, Net of Foreign Tax Withheld* (Note 1) 1,672,108 37,158 46,018 109,621
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 1,707,937 71,569 53,282 115,420
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 517,553 122,749 88,632 116,796
Transfer Agent and Administrative Fees (Note 4) 172,518 40,916 29,544 38,932
Distribution & Service Fees (Note 4):
Advisor Class -- -- -- --
A-Class 1,151 674 1,580 877
C-Class 56,244 17,618 9,272 27,488
H-Class 157,305 35,838 25,646 31,183
Portfolio Accounting Fees (Note 4) 69,007 16,367 11,818 15,573
Registration Fees 15,806 10,421 13,813 7,255
Trustees' Fees** 3,677 1,470 1,639 1,068
Custody Fees 17,423 4,652 3,459 4,509
Miscellaneous 77,127 11,025 1,093 16,095
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,087,811 261,730 186,496 259,776
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 620,126 (190,161) (133,214) (144,356)
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (5,378,199) 731,847 3,126,119 (1,915,425)
Equity Index Swaps and Currency Index Swaps -- -- -- --
Futures Contracts -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (5,378,199) 731,847 3,126,119 (1,915,425)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 12,844,507 (4,420,901) (6,819,324) 1,240,477
Equity Index Swaps and Currency Index Swaps -- -- -- --
Futures Contracts -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 12,844,507 (4,420,901) (6,819,324) 1,240,477
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 7,466,308 (3,689,054) (3,693,205) (674,948)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 8,086,434 $ (3,879,215) $ (3,826,419) $ (819,304)
================================================================================================================================
DYNAMIC DYNAMIC U.S.
STRENGTHENING WEAKENING GOVERNMENT
DOLLAR DOLLAR MONEY MARKET
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 568,479 $ 3,417,480 $ 35,229,453
Interest from Securities Lending, net (Note 9) -- -- 14,008
Dividends, Net of Foreign Tax Withheld* (Note 1) -- -- --
- --------------------------------------------------------------------------------------------------------------
Total Income 568,479 3,417,480 35,243,461
- --------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 100,272 598,204 3,502,479
Transfer Agent and Administrative Fees (Note 4) 27,853 166,168 1,400,992
Distribution & Service Fees (Note 4):
Advisor Class -- -- 528,400
A-Class 339 13,057 16,639
C-Class 11,337 47,743 691,293
H-Class 24,680 141,175 --
Portfolio Accounting Fees (Note 4) 11,141 66,467 378,437
Registration Fees 3,014 14,173 269,359
Trustees' Fees** 694 3,462 48,518
Custody Fees 2,626 15,674 168,538
Miscellaneous 11,890 75,420 671,150
- --------------------------------------------------------------------------------------------------------------
Total Expenses 193,846 1,141,543 7,675,805
- --------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 374,633 2,275,937 27,567,656
==============================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities -- -- --
Equity Index Swaps and Currency Index Swaps (1,448,452) 5,772,277 --
Futures Contracts (25,796) 100,228 --
- --------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (1,474,248) 5,872,505 --
- --------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities -- -- --
Equity Index Swaps and Currency Index Swaps 407,649 (6,332,445) --
Futures Contracts 4,352 (15,006) --
- --------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 412,001 (6,347,451) --
- --------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (1,062,247) (474,946) --
- --------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (687,614) $ 1,800,991 $ 27,567,656
==============================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 99
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
NOVA FUND S&P 500 FUND
- -----------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30,
2006+ 2006 2006*+
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (834,566) $ (2,182,869) $ 45,956
Net Realized Gain (Loss) on Investments 7,814,396 28,284,949 298,802
Net Change in Unrealized Appreciation (Depreciation) on Investments (2,596,669) 12,837,485 256,635
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 4,383,161 38,939,565 601,393
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- (5,878,827) --
Advisor Class -- (1,716,091) --
A-Class -- (1,004,034) --
C-Class -- (1,703,672) --
H-Class -- -- --
Realized Gain on Investment
Investor Class -- -- --
Advisor Class -- -- --
A-Class -- -- --
C-Class -- -- --
H-Class -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (10,302,624) --
=======================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 179,782,445 736,237,994 --
Advisor Class 103,063,046 276,701,402 --
A-Class 6,814,539 33,284,583 925,916
C-Class 30,770,513 72,463,609 4,950,116
H-Class -- -- 44,020,350
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- 5,560,691 --
Advisor Class -- 1,694,759 --
A-Class -- 807,597 --
C-Class -- 1,595,196 --
H-Class -- -- --
COST OF SHARES REDEEMED
Investor Class (211,067,366) (793,440,174) --
Advisor Class (105,255,475) (294,779,541) --
A-Class (18,122,046) (25,982,121) (122,811)
C-Class (37,864,184) (78,156,275) (2,337,503)
H-Class -- -- (34,032,274)
=======================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (51,878,528) (64,012,280) 13,403,794
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (47,495,367) (35,375,339) 14,005,187
NET ASSETS--BEGINNING OF PERIOD 260,234,236 295,609,575 --
=======================================================================================================================
NET ASSETS--END OF PERIOD $ 212,738,869 $ 260,234,236 $ 14,005,187
=======================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 6,377,110 $ 7,211,676 $ 45,956
=======================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
+ UNAUDITED
See Notes to Financial Statements.
100 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
INVERSE
S&P 500 FUND OTC FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (1,713,248) $ (2,682,013) $ (2,352,965) $ (5,075,913)
Net Realized Gain (Loss) on Investments (8,006,793) (21,038,614) 58,646,832 104,428,478
Net Change in Unrealized Appreciation (Depreciation)
on Investments 729,517 (8,192,929) (84,689,120) 25,826,165
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (8,990,524) (31,913,556) (28,395,253) 125,178,730
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- (5,250,255) -- (3,192,385)
Advisor Class -- (572,209) -- (69,604)
A-Class -- (144,298) -- (8,523)
C-Class -- (636,915) -- (69,305)
H-Class -- -- -- --
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (6,603,677) -- (3,339,817)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 628,714,350 845,995,157 371,636,010 1,115,530,088
Advisor Class 86,244,439 192,242,268 137,299,739 234,138,125
A-Class 18,678,163 19,132,752 2,249,298 2,766,322
C-Class 51,074,547 75,508,695 29,461,513 69,549,300
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- 4,196,538 -- 3,083,904
Advisor Class -- 500,635 -- 63,938
A-Class -- 116,511 -- 8,454
C-Class -- 557,818 -- 64,916
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (529,844,913) (816,851,107) (549,452,936) (1,144,096,335)
Advisor Class (97,538,659) (184,556,305) (116,142,799) (228,278,778)
A-Class (9,544,139) (16,679,580) (2,602,523) (2,355,979)
C-Class (40,013,644) (76,581,732) (34,274,733) (67,299,316)
H-Class -- -- -- --
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 107,770,144 43,581,650 (161,826,431) (16,825,361)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 98,779,620 5,064,417 (190,221,684) 105,013,552
NET ASSETS--BEGINNING OF PERIOD 423,194,066 418,129,649 942,325,642 837,312,090
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 521,973,686 $ 423,194,066 $ 752,103,958 $ 942,325,642
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,096,953 $ 2,810,201 $ (2,352,965) $ --
==================================================================================================================================
INVERSE MID-CAP
OTC FUND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (676,293) $ (1,125,418) $ (43,878) $ (135,206)
Net Realized Gain (Loss) on Investments 15,883,504 (14,726,982) (2,144,693) 11,280,982
Net Change in Unrealized Appreciation (Depreciation)
on Investments (5,574,479) (9,842,202) (6,532,099) 5,315,034
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 9,632,732 (25,694,602) (8,720,670) 16,460,810
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- (2,286,362) -- --
Advisor Class -- (145,402) -- --
A-Class -- (31,062) -- --
C-Class -- (196,818) -- --
H-Class -- -- -- --
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- (109,079)
C-Class -- -- -- (227,505)
H-Class -- -- -- (751,208)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (2,659,644) -- (1,087,792)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 391,671,365 675,734,722 -- --
Advisor Class 50,125,283 48,969,561 -- --
A-Class 14,948,242 5,872,149 2,965,709 46,186,398
C-Class 33,146,066 60,203,469 29,669,963 106,985,217
H-Class -- -- 223,563,039 811,085,500
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- 1,652,055 -- --
Advisor Class -- 140,822 -- --
A-Class -- 19,809 -- 31,792
C-Class -- 177,151 -- 217,708
H-Class -- -- -- 725,380
COST OF SHARES REDEEMED
Investor Class (390,699,631) (708,129,990) -- --
Advisor Class (45,110,124) (54,169,513) -- --
A-Class (9,674,255) (9,077,950) (3,940,511) (42,968,626)
C-Class (27,256,442) (60,009,939) (37,800,392) (100,780,875)
H-Class -- -- (243,271,898) (830,424,070)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 17,150,504 (38,617,654) (28,814,090) (8,941,576)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 26,783,236 (66,971,900) (37,534,760) 6,431,442
NET ASSETS--BEGINNING OF PERIOD 169,766,658 236,738,558 84,667,016 78,235,574
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 196,549,894 $ 169,766,658 $ 47,132,256 $ 84,667,016
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 408,337 $ 1,084,630 $ (43,878) $ --
==================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 101
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE RUSSELL 2000(R)
MID-CAP FUND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 736,814 $ 267,788 $ 98,713 $ (83,490)
Net Realized Gain (Loss) on Investments 272,142 (1,492,000) (246,859) 23,157,165
Net Change in Unrealized Appreciation (Depreciation)
on Investments (184,389) (351,431) (22,813,686) 20,603,217
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 824,567 (1,575,643) (22,961,832) 43,676,892
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- (1,301) -- --
C-Class -- (31,866) -- --
H-Class -- (149,091) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (182,258) -- --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class 2,914,554 770,417 1,573,036 30,528,640
C-Class 20,149,651 17,258,913 30,485,257 201,961,994
H-Class 160,646,436 249,211,191 582,636,643 2,330,412,471
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- 1,265 -- --
C-Class -- 28,010 -- --
H-Class -- 134,396 -- --
COST OF SHARES REDEEMED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class (2,157,189) (674,165) (3,583,376) (30,054,603)
C-Class (16,814,203) (16,902,821) (34,838,614) (197,597,629)
H-Class (132,774,351) (259,430,871) (671,850,950) (2,259,824,185)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 31,964,898 (9,603,665) (95,578,004) 75,426,688
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 32,789,465 (11,361,566) (118,539,836) 119,103,580
NET ASSETS--BEGINNING OF PERIOD 19,782,635 31,144,201 209,442,717 90,339,137
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 52,572,100 $ 19,782,635 $ 90,902,881 $ 209,442,717
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 859,483 $ 122,669 $ 98,713 $ --
==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
+ UNAUDITED
See Notes to Financial Statements.
102 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
RUSSELL 2000(R) INVERSE
FUND RUSSELL 2000(R) FUND
- -----------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
2006*+ 2006+ 2006
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 47,097 $ 2,399,683 $ 1,103,222
Net Realized Gain (Loss) on Investments (783,886) (214,242) (10,078,052)
Net Change in Unrealized Appreciation (Depreciation) on Investments 135,776 (2,207,987) (2,742,654)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (601,013) (22,546) (11,717,484)
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- --
Advisor Class -- -- --
A-Class -- -- (6,688)
C-Class -- -- (63,693)
H-Class -- -- (616,316)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- (686,697)
=======================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- --
Advisor Class -- -- --
A-Class 74,832 31,711,865 14,621,450
C-Class 4,614,928 34,969,732 53,985,719
H-Class 42,707,102 553,680,198 747,684,697
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- --
Advisor Class -- -- --
A-Class -- -- 4,765
C-Class -- -- 43,760
H-Class -- -- 541,952
COST OF SHARES REDEEMED
Investor Class -- -- --
Advisor Class -- -- --
A-Class (43,733) (4,960,485) (13,085,276)
C-Class (1,135,622) (20,898,767) (53,941,848)
H-Class (35,834,879) (481,422,003) (732,206,379)
=======================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 10,382,628 113,080,540 17,648,840
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 9,781,615 113,057,994 5,244,659
NET ASSETS--BEGINNING OF PERIOD -- 56,430,796 51,186,137
=======================================================================================================================
NET ASSETS--END OF PERIOD $ 9,781,615 $ 169,488,790 $ 56,430,796
=======================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 47,097 $ 2,819,103 $ 419,420
=======================================================================================================================
GOVERNMENT LONG BOND INVERSE GOVERNMENT
ADVANTAGE FUND LONG BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 2,370,194 $ 3,861,800 $ (5,435,600) $ (16,070,650)
Net Realized Gain (Loss) on Investments (182,181) 687,562 540,167 (214,541,087)
Net Change in Unrealized Appreciation (Depreciation)
on Investments 12,103,795 (8,751,213) 3,096,533 235,783,809
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 14,291,808 (4,201,851) (1,798,900) 5,172,072
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class (1,405,990) (1,380,177) -- --
Advisor Class (665,771) (2,185,482) -- --
A-Class (119,636) (38,187) -- --
C-Class (178,794) (255,827) -- --
H-Class -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (2,370,191) (3,859,673) -- --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 465,807,040 676,151,203 390,987,285 1,082,711,749
Advisor Class 1,008,281,344 1,393,454,965 67,670,920 296,689,441
A-Class 11,031,130 5,347,730 23,664,637 48,738,930
C-Class 29,643,719 103,129,103 32,036,593 140,633,685
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class 1,333,311 1,246,558 -- --
Advisor Class 665,771 2,174,627 -- --
A-Class 34,788 19,509 -- --
C-Class 129,590 239,221 -- --
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (395,090,252) (666,859,256) (713,676,507 (1,789,673,369)
Advisor Class (1,007,763,279) (1,423,175,700) (113,497,066) (428,087,534)
A-Class (4,618,487) (5,605,967) (54,855,442) (105,237,928)
C-Class (22,818,525) (106,824,692) (247,057,890) (499,279,551)
H-Class -- -- -- --
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 86,636,150 (20,702,699) (614,727,470) (1,253,504,577)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 98,557,767 (28,764,223) (616,526,370) (1,248,332,505)
NET ASSETS--BEGINNING OF PERIOD 63,218,872 91,983,095 1,526,675,538 2,775,008,043
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 161,776,639 $ 63,218,872 $ 910,149,168 $ 1,526,675,538
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 183,622 $ 183,619 $ 2,389,536 $ 7,825,136
==================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 103
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
EUROPE JAPAN
ADVANTAGE FUND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 1,109,788 $ 642,598 $ 1,343,969 $ 1,855,974
Net Realized Gain (Loss) on Investments (88,298) (3,240,646) (8,879,877) 20,960,578
Net Change in Unrealized Appreciation (Depreciation)
on Investments (951,679) 8,214,837 (4,864,473) 7,875,689
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 69,811 5,616,789 (12,400,381) 30,692,241
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
Realized Gain on Investment
A-Class -- (31,490) -- --
C-Class -- (72,864) -- --
H-Class -- (640,580) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (744,934) -- --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 4,628,123 5,809,082 4,947,143 12,798,304
C-Class 53,064,994 69,823,329 23,502,319 38,447,864
H-Class 346,414,695 378,405,617 353,040,404 731,956,788
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
A-Class -- 20,432 -- --
C-Class -- 68,263 -- --
H-Class -- 602,902 -- --
COST OF SHARES REDEEMED
A-Class (2,804,933) (4,800,570) (3,629,267) (10,022,225)
C-Class (50,920,051) (67,768,440) (28,154,207) (30,888,838)
H-Class (315,926,795) (399,739,338) (415,044,058) (683,208,245)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 34,456,033 (17,578,723) (65,337,666) 59,083,648
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 34,525,844 (12,706,868) (77,738,047) 89,775,889
NET ASSETS--BEGINNING OF PERIOD 56,146,922 68,853,790 128,409,055 38,633,166
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 90,672,766 $ 56,146,922 $ 50,671,008 $ 128,409,055
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,752,386 $ 642,598 $ 3,199,943 $ 1,855,974
==================================================================================================================================
+ UNAUDITED
See Notes to Financial Statements.
104 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
SMALL-CAP MID-CAP
VALUE FUND VALUE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 50,192 $ 70,733 $ 244,385 $ 204,411
Net Realized Gain (Loss) on Investments 708,180 6,141,711 45,071 14,337,674
Net Change in Unrealized Appreciation (Depreciation)
on Investments (8,341,614) 2,738,151 (773,322) (4,779,148)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (7,583,242) 8,950,595 (483,866) 9,762,937
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
A-Class -- -- -- (90)
C-Class -- -- -- (871)
H-Class -- -- -- (9,433)
Realized Gain on Investment
A-Class -- (7,180) -- (4,159)
C-Class -- (60,392) -- (40,240)
H-Class -- (803,658) -- (435,700)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (871,230) -- (490,493)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 3,917,424 13,541,282 3,205,447 3,865,281
C-Class 97,317,015 153,513,441 8,486,738 84,655,088
H-Class 171,676,625 597,522,929 164,730,776 575,823,029
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
A-Class -- 1,823 -- 1,703
C-Class -- 59,901 -- 40,372
H-Class -- 780,717 -- 437,509
COST OF SHARES REDEEMED
A-Class (2,992,960) (14,123,926) (3,287,311) (2,958,343)
C-Class (99,495,798) (148,570,668) (10,154,274) (86,925,166)
H-Class (224,579,583) (577,825,036) (171,602,412) (668,923,822)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (54,157,277) 24,900,463 (8,621,036) (93,984,349)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (61,740,519) 32,979,828 (9,104,902) (84,711,905)
NET ASSETS--BEGINNING OF PERIOD 121,561,550 88,581,722 40,091,094 124,802,999
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 59,821,031 $ 121,561,550 $ 30,986,192 $ 40,091,094
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 50,192 $ -- $ 244,385 $ --
==================================================================================================================================
LARGE-CAP SMALL-CAP
VALUE FUND GROWTH FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 620,126 $ 411,202 $ (190,161) $ (497,918)
Net Realized Gain (Loss) on Investments (5,378,199) 2,255,312 731,847 2,120,121
Net Change in Unrealized Appreciation (Depreciation)
on Investments 12,844,507 972,098 (4,420,901) 3,243,300
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 8,086,434 3,638,612 (3,879,215) 4,865,503
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
Realized Gain on Investment
A-Class -- (13,790) -- (8,946)
C-Class -- (90,835) -- (111,385)
H-Class -- (622,223) -- (1,815,221)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (726,848) -- (1,935,552)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 2,584,033 4,419,527 1,550,559 5,970,174
C-Class 167,766,809 275,576,847 17,711,000 101,801,723
H-Class 480,890,326 467,474,814 83,657,624 638,040,933
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
A-Class -- 2,394 -- 8,819
C-Class -- 88,399 -- 111,292
H-Class -- 606,934 -- 1,773,462
COST OF SHARES REDEEMED
A-Class (1,919,445) (4,042,549) (1,658,496) (5,365,219)
C-Class (169,009,924) (276,257,759) (21,547,033) (99,782,182)
H-Class (379,060,168) (439,539,568) (123,346,060) (594,016,548)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 101,251,631 28,329,039 (43,632,406) 48,542,454
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 109,338,065 31,240,803 (47,511,621) 51,472,405
NET ASSETS--BEGINNING OF PERIOD 61,061,210 29,820,407 80,404,382 28,931,977
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 170,399,275 $ 61,061,210 $ 32,892,761 $ 80,404,382
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 620,126 $ -- $ (190,161) $ --
==================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 105
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
- --------------------------------------------------------------------------------
MID-CAP LARGE-CAP
GROWTH FUND GROWTH FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (133,214) $ (522,159) $ (144,356) $ (164,712)
Net Realized Gain (Loss) on Investments 3,126,119 11,165,161 (1,915,425) (656,400)
Net Change in Unrealized Appreciation (Depreciation)
on Investments (6,819,324) 6,053,506 1,240,477 1,286,644
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (3,826,419) 16,696,508 (819,304) 465,532
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- (3,249) -- (519)
C-Class -- (32,454) -- (29,600)
H-Class -- (599,853) -- (41,534)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (635,556) -- (71,653)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class 5,147,650 5,801,197 2,393,073 5,626,821
C-Class 7,773,930 44,747,648 64,817,659 252,511,122
H-Class 60,434,163 513,177,835 171,007,843 317,579,358
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- 3,044 -- 399
C-Class -- 31,627 -- 29,566
H-Class -- 592,285 -- 39,820
COST OF SHARES REDEEMED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class (4,990,464) (5,080,905) (1,707,434) (4,782,363)
C-Class (8,362,998) (44,071,769) (55,987,683) (266,451,515)
H-Class (90,017,867) (504,138,775) (137,996,885) (298,065,610)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (30,015,586) 11,062,187 42,526,573 6,487,598
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (33,842,005) 27,123,139 41,707,269 6,881,477
NET ASSETS--BEGINNING OF PERIOD 53,723,219 26,600,080 38,420,454 31,538,977
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 19,881,214 $ 53,723,219 $ 80,127,723 $ 38,420,454
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (133,214) $ -- $ (144,356) $ --
==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005.
+ UNAUDITED
See Notes to Financial Statements.
106 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DYNAMIC WEAKENING
DOLLAR FUND DOLLAR FUND
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006* 2006+ 2006*
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 374,633 $ 214,226 $ 2,275,937 $ 516,832
Net Realized Gain (Loss) on Investments (1,474,248) (1,441,899) 5,872,505 (4,354,007)
Net Change in Unrealized Appreciation (Depreciation)
on Investments 412,001 119,483 (6,347,451) 1,910,309
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (687,614) (1,108,190) 1,800,991 (1,926,866)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- (506) -- (9,955)
C-Class -- (3,782) -- (12,618)
H-Class -- (44,901) -- (162,365)
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (49,189) -- (184,938)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class 1,308,265 992,045 18,053,295 3,959,866
C-Class 11,239,829 8,667,647 14,201,271 9,819,669
H-Class 148,125,200 205,734,257 299,214,535 202,663,781
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- 506 -- 8,044
C-Class -- 3,557 -- 12,537
H-Class -- 41,934 -- 149,875
COST OF SHARES REDEEMED
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class (913,005) (871,405) (9,050,106) (958,514)
C-Class (9,367,801) (7,884,080) (4,977,421) (5,791,974)
H-Class (130,773,748) (197,396,426) (220,477,606) (149,136,689)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 19,618,740 9,288,035 96,963,968 60,726,595
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 18,931,126 8,130,656 98,764,959 58,614,791
NET ASSETS--BEGINNING OF PERIOD 8,130,656 -- 58,614,791 --
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 27,061,782 $ 8,130,656 $ 157,379,750 $ 58,614,791
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (658,583) $ (1,033,216) $ (1,732,056) $ (4,007,993)
==================================================================================================================================
U.S. GOVERNMENT
MONEY MARKET FUND
- ----------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- ----------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 27,567,656 $ 37,165,132
Net Realized Gain (Loss) on Investments -- (7,014)
Net Change in Unrealized Appreciation (Depreciation)
on Investments -- --
- ----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 27,567,656 37,158,118
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class (21,323,622) (30,220,373)
Advisor Class (3,839,965) (4,053,830)
A-Class (256,155) (338,428)
C-Class (2,147,914) (2,552,501)
H-Class -- --
Realized Gain on Investment
Investor Class -- --
Advisor Class -- --
A-Class -- --
C-Class -- --
H-Class -- --
- ----------------------------------------------------------------------------------------------
Total Distributions to Shareholders (27,567,656) (37,165,132)
==============================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 8,900,575,560 18,360,372,731
Advisor Class 1,629,617,864 2,927,374,399
A-Class 35,777,954 89,972,004
C-Class 846,475,228 2,268,195,735
H-Class -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class 21,007,446 29,752,455
Advisor Class 3,810,033 3,987,098
A-Class 240,606 197,533
C-Class 1,784,511 2,402,985
H-Class -- --
COST OF SHARES REDEEMED
Investor Class (8,832,518,730) (18,611,041,219)
Advisor Class (1,638,939,809) (3,025,421,814)
A-Class (37,725,701) (83,180,177)
C-Class (865,886,037) (2,295,221,007)
H-Class -- --
==============================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 64,218,925 (332,609,277)
- ----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 64,218,925 (332,616,291)
NET ASSETS--BEGINNING OF PERIOD 1,272,285,948 1,604,902,239
==============================================================================================
NET ASSETS--END OF PERIOD $ 1,336,504,873 $ 1,272,285,948
==============================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ -- $ --
==============================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 107
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
NOVA FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ $ 28.89 $ (.07) $ 1.15 $ 1.08 $ -- $ -- $ --
March 31, 2006 25.96 (.12) 3.90 3.78 (.85) -- (.85)
March 31, 2005 24.12 (.11) 1.95 1.84 -- -- --
March 31, 2004 15.54 .07 8.51 8.58 -- -- --
March 31, 2003 25.56 .08 (10.10) (10.02) -- -- --
March 31, 2002 26.85 .12 (1.28) (1.16) (.13) -- (.13)
NOVA FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 27.73 (.13) 1.10 .97 -- -- --
March 31, 2006 25.08 (.25) 3.75 3.50 (.85) -- (.85)
March 31, 2005 23.42 (.23) 1.89 1.66 -- -- --
March 31, 2004 15.17 (.05) 8.30 8.25 -- -- --
March 31, 2003 25.11 (.03) (9.91) (9.94) -- -- --
March 31, 2002 26.52 (.01) (1.27) (1.28) (.13) -- (.13)
NOVA FUND A-CLASS
SEPTEMBER 30, 2006@ 27.87 (.10) 1.10 1.00 -- -- --
March 31, 2006 25.15 (.19) 3.76 3.57 (.85) -- (.85)
March 31, 2005 23.42 (.17) 1.90 1.73 -- -- --
March 31, 2004* 23.42 -- -- -- -- -- --
NOVA FUND C-CLASS
SEPTEMBER 30, 2006@ 27.39 (.20) 1.08 .88 -- -- --
March 31, 2006 24.89 (.38) 3.73 3.35 (.85) -- (.85)
March 31, 2005 23.36 (.35) 1.88 1.53 -- -- --
March 31, 2004 15.20 (.12) 8.28 8.16 -- -- --
March 31, 2003 25.28 (.08) (10.00) (10.08) -- -- --
March 31, 2002 26.84 (.18) (1.25) (1.43) (.13) -- (.13)
S&P 500 FUND A-CLASS
SEPTEMBER 30, 2006*@ 25.00 .10 1.10 1.20 -- -- --
S&P 500 FUND C-CLASS
SEPTEMBER 30, 2006*@ 25.00 .08 1.06 1.14 -- -- --
S&P 500 FUND H-CLASS
SEPTEMBER 30, 2006*@ 25.00 .10 1.09 1.19 -- -- --
INVERSE S&P 500 FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ 8.06 (.02) (.01) (.03) -- -- --
March 31, 2006 8.69 (.04) (.47) (.51) (.12) -- (.12)
March 31, 2005 9.17 (.04) (.44) (.48) -- -- --
March 31, 2004 13.06 (.04) (3.45) (3.49) -- (.40) (.40)
March 31, 2003 10.45 .01 2.67 2.68 (.07) -- (.07)
March 31, 2002 10.43 .16 (.10) .06 (.04) -- (.04)
RATIOS TO
AVERAGE NET ASSETS:
----------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------------------
NOVA FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ $ 1.08 $29.97 3.74% 1.26%**++ 1.26%**++ (0.49)%** 76% $ 110,206
March 31, 2006 2.93 28.89 14.68% 1.35%++ 1.23%++ (0.45)% 192% 139,786
March 31, 2005 1.84 25.96 7.63% 1.21%++ 1.21%++ (0.44)% 388% 175,042
March 31, 2004 8.58 24.12 55.25% 1.25%++ 1.25%++ 0.35% 540% 187,051
March 31, 2003 (10.02) 15.54 (39.20)% 1.27%++ 1.27%++ 0.44% 603% 130,951
March 31, 2002 (1.29) 25.56 (4.36)% 1.16%++ 1.16%++ 0.44% 401% 222,251
NOVA FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ .97 28.70 3.50% 1.75%**++ 1.75%**++ (0.98)%** 76% 39,639
March 31, 2006 2.65 27.73 14.07% 1.85%++ 1.74%++ (0.96)% 192% 41,002
March 31, 2005 1.66 25.08 7.09% 1.71%++ 1.71%++ (0.94)% 388% 52,642
March 31, 2004 8.25 23.42 54.42% 1.74%++ 1.74%++ (0.24)% 540% 46,405
March 31, 2003 (9.94) 15.17 (39.59)% 1.77%++ 1.77%++ (0.17)% 603% 27,130
March 31, 2002 (1.41) 25.11 (4.87)% 1.55%++ 1.55%++ (0.02)% 401% 59,375
NOVA FUND A-CLASS
SEPTEMBER 30, 2006@ 1.00 28.87 3.59% 1.50%**++ 1.50%**++ (0.73)%** 76% 18,671
March 31, 2006 2.72 27.87 14.32% 1.60%++ 1.49%++ (0.71)% 192% 29,315
March 31, 2005 1.73 25.15 7.39% 1.45%++ 1.45%++ (0.68)% 388% 18,463
March 31, 2004* -- 23.42 0.00% 0.00%**++# 0.00%**++# 0.00%** 540% 1
NOVA FUND C-CLASS
SEPTEMBER 30, 2006@ .88 28.27 3.21% 2.25%**++ 2.25%**++ (1.48)%** 76% 44,222
March 31, 2006 2.50 27.39 13.58% 2.35%++ 2.24%++ (1.46)% 192% 50,131
March 31, 2005 1.53 24.89 6.55% 2.21%++ 2.21%++ (1.44)% 388% 49,464
March 31, 2004 8.16 23.36 53.72% 2.26%++ 2.26%++ (0.56)% 540% 32,710
March 31, 2003 (10.08) 15.20 (39.87)% 2.28%++ 2.28%++ (0.46)% 603% 12,627
March 31, 2002 (1.56) 25.28 (5.37)% 2.27%++ 2.27%++ (0.72)% 401% 10,355
S&P 500 FUND A-CLASS
SEPTEMBER 30, 2006*@ 1.20 26.20 4.80% 1.58%** 1.58%** 1.14% 23% 843
S&P 500 FUND C-CLASS
SEPTEMBER 30, 2006*@ 1.14 26.14 4.56% 2.31%** 2.31%** 0.93% 23% 2,739
S&P 500 FUND H-CLASS
SEPTEMBER 30, 2006*@ 1.19 26.19 4.76% 1.55%** 1.55%** 1.23%** 23% 10,423
INVERSE S&P 500 FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ (.03) 8.03 (0.37)% 1.39%**++ 1.39%**++ (0.47)%** -- 421,740
March 31, 2006 (.63) 8.06 (5.84)% 1.41%++ 1.38%++ (0.45)% -- 329,785
March 31, 2005 (.48) 8.69 (5.23)% 1.38%++ 1.38%++ (0.46)% -- 326,085
March 31, 2004 (3.89) 9.17 (26.90)% 1.38%++ 1.38%++ (0.37)% -- 353,496
March 31, 2003 2.61 13.06 25.65% 1.41%++ 1.41%++ 0.06% -- 471,600
March 31, 2002 .02 10.45 0.60% 1.31%++ 1.31%++ 1.56% -- 214,498
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--NOVA FUND A-CLASS;
MAY 31, 2006--S&P 500 FUND A-CLASS, C-CLASS, AND H-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER
PORTFOLIO.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
108 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
INVERSE S&P 500 FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ $ 7.71 $ (.04) $ -- $ (.04) $ -- $ -- $ --
March 31, 2006 8.36 (.08) (.45) (.53) (.12) -- (.12)
March 31, 2005 8.87 (.08) (.43) (.51) -- -- --
March 31, 2004 12.70 (.09) (3.34) (3.43) -- (.40) (.40)
March 31, 2003 10.22 (.06) 2.61 2.55 (.07) -- (.07)
March 31, 2002 10.26 .09 (.09) -- (.04) -- (.04)
INVERSE S&P 500 FUND A-CLASS
SEPTEMBER 30, 2006@ 7.72 (.03) (.01) (.04) -- -- --
March 31, 2006 8.37 (.06) (.47) (.53) (.12) -- (.12)
March 31, 2005 8.87 (.06) (.44) (.50) -- -- --
March 31, 2004* 8.87 -- -- -- -- -- --
INVERSE S&P 500 FUND C-CLASS
SEPTEMBER 30, 2006@ 7.65 (.06) (.01) (.07) -- -- --
March 31, 2006 8.33 (.12) (.44) (.56) (.12) -- (.12)
March 31, 2005 8.89 (.13) (.43) (.56) -- -- --
March 31, 2004 12.80 (.14) (3.37) (3.51) -- (.40) (.40)
March 31, 2003 10.35 (.12) 2.64 2.52 (.07) -- (.07)
March 31, 2002 10.43 (.03) (.01) (.04) (.04) -- (.04)
OTC FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ 11.34 (.03) (.34) (.37) -- -- --
March 31, 2006 9.94 (.05) 1.49 1.44 (.04) -- (.04)
March 31, 2005 9.73 .04 .17 .21 -- -- --
March 31, 2004 7.02 (.09) 2.80 2.71 -- -- --
March 31, 2003 10.16 (.08) (3.06) (3.14) -- -- --
March 31, 2002 11.19 (.11) (.92) (1.03) -- -- --
OTC FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 10.90 (.06) (.33) (.39) -- -- --
March 31, 2006 9.60 (.10) 1.44 1.34 (.04) -- (.04)
March 31, 2005 9.46 (.02) .16 .14 -- -- --
March 31, 2004 6.85 (.13) 2.74 2.61 -- -- --
March 31, 2003 9.97 (.11) (3.01) (3.12) -- -- --
March 31, 2002 11.04 (.16) (.91) (1.07) -- -- --
OTC FUND A-CLASS
SEPTEMBER 30, 2006@ 10.96 (.05) (.33) (.38) -- -- --
March 31, 2006 9.63 (.08) 1.45 1.37 (.04) -- (.04)
March 31, 2005 9.46 .06 .11 .17 -- -- --
March 31, 2004* 9.46 -- -- -- -- -- --
OTC FUND C-CLASS
SEPTEMBER 30, 2006@ 10.73 (.08) (.33) (.41) -- -- --
March 31, 2006 9.50 (.16) 1.43 1.27 (.04) -- (.04)
March 31, 2005 9.41 (.03) .12 .09 -- -- --
March 31, 2004 6.86 (.18) 2.73 2.55 -- -- --
March 31, 2003 10.03 (.14) (3.03) (3.17) -- -- --
March 31, 2002 11.20 (.21) (.96) (1.17) -- -- --
RATIOS TO
AVERAGE NET ASSETS:
----------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
INVERSE S&P 500 FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ $ (.04) $ 7.67 (0.52)% 1.89%**++ 1.89%**++ (0.97)%** -- $ 33,362
March 31, 2006 (.65) 7.71 (6.32)% 1.91%++ 1.88%++ (0.95)% -- 45,332
March 31, 2005 (.51) 8.36 (5.75)% 1.88%++ 1.88%++ (0.96)% -- 40,964
March 31, 2004 (3.83) 8.87 (27.19)% 1.87%++ 1.87%++ (0.86)% -- 45,073
March 31, 2003 2.48 12.70 24.95% 1.89%++ 1.89%++ (0.45)% -- 39,686
March 31, 2002 (.04) 10.22 0.02% 1.85%++ 1.85%++ 0.87% -- 7,036
INVERSE S&P 500 FUND A-CLASS
SEPTEMBER 30, 2006@ (.04) 7.68 (0.52)% 1.64%**++ 1.64%**++ (0.72)%** -- 17,541
March 31, 2006 (.65) 7.72 (6.31)% 1.66%++ 1.63%++ (0.70)% -- 8,932
March 31, 2005 (.50) 8.37 (5.64)% 1.63%++ 1.63%++ (0.71)% -- 7,318
March 31, 2004* -- 8.87 0.00% 0.00%**++# 0.00%**++# 0.00%** -- 1
INVERSE S&P 500 FUND C-CLASS
SEPTEMBER 30, 2006@ (.07) 7.58 (0.92)% 2.39%**++ 2.39%**++ (1.47)%** -- 49,331
March 31, 2006 (.68) 7.65 (6.70)% 2.41%++ 2.38%++ (1.45)% -- 39,146
March 31, 2005 (.56) 8.33 (6.30)% 2.38%++ 2.38%++ (1.46)% -- 43,763
March 31, 2004 (3.91) 8.89 (27.62)% 2.39%++ 2.39%++ (1.42)% -- 45,604
March 31, 2003 2.45 12.80 24.35% 2.40%++ 2.40%++ (0.97)% -- 17,540
March 31, 2002 (.08) 10.35 (0.36)% 2.47%++ 2.47%++ (0.34)% -- 7,007
OTC FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ (.37) 10.97 (3.26)% 1.23%** 1.23%** (0.62)%** 46% 689,102
March 31, 2006 1.40 11.34 14.45% 1.20% 1.20% (0.49)% 122% 893,295
March 31, 2005 .21 9.94 2.16% 1.20% 1.20% 0.40% 132% 801,185
March 31, 2004 2.71 9.73 38.60% 1.22% 1.22% (0.98)% 139% 858,816
March 31, 2003 (3.14) 7.02 (30.91)% 1.27% 1.27% (1.08)% 180% 653,999
March 31, 2002 (1.03) 10.16 (9.20)% 1.08% 1.08% (0.96)% 109% 783,637
OTC FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ (.39) 10.51 (3.58)% 1.74%** 1.74%** (1.15)%** 46% 47,982
March 31, 2006 1.30 10.90 13.92% 1.70% 1.70% (1.00)% 122% 27,832
March 31, 2005 .14 9.60 1.48% 1.69% 1.69% (0.25)% 132% 19,887
March 31, 2004 2.61 9.46 38.10% 1.71% 1.71% (1.47)% 139% 57,535
March 31, 2003 (3.12) 6.85 (31.29)% 1.76% 1.76% (1.56)% 180% 43,839
March 31, 2002 (1.07) 9.97 (9.69)% 1.60% 1.60% (1.47)% 109% 20,837
OTC FUND A-CLASS
SEPTEMBER 30, 2006@ (.38) 10.58 (3.47)% 1.48%** 1.48%** (0.89)%** 46% 1,976
March 31, 2006 1.33 10.96 14.18% 1.46% 1.46% (0.78)% 122% 2,491
March 31, 2005 .17 9.63 1.80% 1.45% 1.45% 0.59% 132% 1,818
March 31, 2004* -- 9.46 0.00% 0.00%**# 0.00%**# 0.00%** 139% 1
OTC FUND C-CLASS
SEPTEMBER 30, 2006@ (.41) 10.32 (3.82)% 2.22%** 2.22%** (1.62)%** 46% 13,044
March 31, 2006 1.23 10.73 13.33% 2.21% 2.21% (1.52)% 122% 18,707
March 31, 2005 .09 9.50 0.96% 2.19% 2.19% (0.33)% 132% 14,422
March 31, 2004 2.55 9.41 37.17% 2.23% 2.23% (1.97)% 139% 13,653
March 31, 2003 (3.17) 6.86 (31.61)% 2.26% 2.26% (1.98)% 180% 8,331
March 31, 2002 (1.17) 10.03 (10.45)% 2.24% 2.24% (2.13)% 109% 3,545
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--INVERSE S&P 500 FUND
A-CLASS AND OTC FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER
PORTFOLIO.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 109
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
INVERSE OTC FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ $ 21.80 $ (.06) $ 1.34 $ 1.28 $ -- $ -- $ --
March 31, 2006 24.55 (.11) (2.31) (2.42) (.33) -- (.33)
March 31, 2005 25.69 (.11) (1.03) (1.14) -- -- --
March 31, 2004 37.79 (.13) (11.97) (12.10) -- -- --
March 31, 2003 32.29 7.34 (.70) 6.64 (1.14) -- (1.14)
March 31, 2002 35.76 1.01 (4.19) (3.18) (.29) -- (.29)
INVERSE OTC FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 21.51 (.12) 1.33 1.21 -- -- --
March 31, 2006 24.34 (.22) (2.28) (2.50) (.33) -- (.33)
March 31, 2005 25.60 (.24) (1.02) (1.26) -- -- --
March 31, 2004* 29.97 (.16) (4.21) (4.37) -- -- --
INVERSE OTC FUND A-CLASS
SEPTEMBER 30, 2006@ 21.61 (.09) 1.32 1.23 -- -- --
March 31, 2006 24.39 (.16) (2.29) (2.45) (.33) -- (.33)
March 31, 2005 25.60 (.17) (1.04) (1.21) -- -- --
March 31, 2004* 25.60 -- -- -- -- -- --
INVERSE OTC FUND C-CLASS
SEPTEMBER 30, 2006@ 20.63 (.17) 1.28 1.11 -- -- --
March 31, 2006 23.48 (.32) (2.20) (2.52) (.33) -- (.33)
March 31, 2005 24.83 (.35) (1.00) (1.35) -- -- --
March 31, 2004 36.92 (.38) (11.71) (12.09) -- -- --
March 31, 2003 31.93 3.08 3.05 6.13 (1.14) -- (1.14)
March 31, 2002 35.74 .43 (3.95) (3.52) (.29) -- (.29)
MID-CAP ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ 40.14 .02 (3.45) (3.43) -- -- --
March 31, 2006 31.86 .01 8.65 8.66 -- (.38) (.38)
March 31, 2005 28.30 (.03) 3.59 3.56 -- -- --
March 31, 2004* 28.30 -- -- -- -- -- --
MID-CAP ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 38.81 (.11) (3.34) (3.45) -- -- --
March 31, 2006 31.03 (.25) 8.41 8.16 -- (.38) (.38)
March 31, 2005 27.76 (.26) 3.53 3.27 -- -- --
March 31, 2004 15.85 (.31) 12.22 11.91 -- -- --
March 31, 2003 26.00 (.17) (9.87) (10.04) (.11) -- (.11)
March 31, 2002* 24.53 (.13) 1.60 1.47 -- -- --
RATIOS TO
AVERAGE NET ASSETS:
----------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------------------
INVERSE OTC FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ $ 1.28 $ 23.08 5.87% 1.41%**++ 1.41%**++ (0.49)%** -- $ 153,674
March 31, 2006 (2.75) 21.80 (9.85)% 1.39%++ 1.38%++ (0.45)% -- 143,742
March 31, 2005 (1.14) 24.55 (4.44)% 1.38%++ 1.38%++ (0.46)% -- 198,288
March 31, 2004 (12.10) 25.69 (32.02)% 1.40%++ 1.40%++ (0.47)% -- 209,994
March 31, 2003 5.50 37.79 20.39% 1.42%++ 1.42%++ 18.11% -- 146,416
March 31, 2002 (3.47) 32.29 (8.84)% 1.35%++ 1.35%++ 3.16% -- 113,904
INVERSE OTC FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 1.21 22.72 5.63% 1.91%**++ 1.91%**++ (0.99)%** -- 16,020
March 31, 2006 (2.83) 21.51 (10.27)% 1.89%++ 1.89%++ (0.96)% -- 10,390
March 31, 2005 (1.26) 24.34 (4.92)% 1.88%++ 1.88%++ (0.96)% -- 17,059
March 31, 2004* (4.37) 25.60 (14.58)% 1.90%**++ 1.90%**++ (0.97)%** -- 17,975
INVERSE OTC FUND A-CLASS
SEPTEMBER 30, 2006@ 1.23 22.84 5.69% 1.66%**++ 1.66%**++ (0.74)%** -- 7,088
March 31, 2006 (2.78) 21.61 (10.04)% 1.63%++ 1.63%++ (0.70)% -- 2,108
March 31, 2005 (1.21) 24.39 (4.73)% 1.62%++ 1.62%++ (0.70)% -- 5,697
March 31, 2004* -- 25.60 0.00% 0.00%**++# 0.00%**++# 0.00%** -- 1
INVERSE OTC FUND C-CLASS
SEPTEMBER 30, 2006@ 1.11 21.74 5.38% 2.41%**++ 2.41%**++ (1.49)%** -- 19,768
March 31, 2006 (2.85) 20.63 (10.73)% 2.40%++ 2.39%++ (1.46)% -- 13,527
March 31, 2005 (1.35) 23.48 (5.44)% 2.38%++ 2.38%++ (1.46)% -- 15,693
March 31, 2004 (12.09) 24.83 (32.75)% 2.41%++ 2.41%++ (1.48)% -- 34,375
March 31, 2003 4.99 36.92 19.02% 2.41%++ 2.41%++ 8.23% -- 2,673
March 31, 2002 (3.81) 31.93 (9.80)% 2.38%++ 2.38%++ 1.45% -- 1,996
MID-CAP ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ (3.43) 36.71 (8.55)% 1.66%** 1.66%** 0.11%** 179% 3,581
March 31, 2006 8.28 40.14 27.27% 1.92% 1.66% 0.03% 528% 4,948
March 31, 2005 3.56 31.86 12.58% 1.63% 1.63% (0.10)% 669% 1,050
March 31, 2004* -- 28.30 0.00% 0.00%**# 0.00%**# 0.00%** 1,239% 4
MID-CAP ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ (3.45) 35.36 (8.89)% 2.40%** 2.40%** (0.62)%** 179% 18,346
March 31, 2006 7.78 38.81 26.38% 2.66% 2.40% (0.72)% 528% 28,836
March 31, 2005 3.27 31.03 11.78% 2.37% 2.37% (0.91)% 669% 17,912
March 31, 2004 11.91 27.76 75.14% 2.41% 2.41% (1.31)% 1,239% 14,444
March 31, 2003 (10.15) 15.85 (38.65)% 2.43% 2.43% (0.95)% 2,322% 5,610
March 31, 2002* 1.47 26.00 5.99% 2.44%** 2.44%** (0.96)%** 893% 1,734
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 20, 2001--MID-CAP ADVANTAGE
FUND C-CLASS; AUGUST 1, 2003--INVERSE OTC FUND ADVISOR CLASS; MARCH 31,
2004--INVERSE OTC FUND A-CLASS AND MID-CAP ADVANTAGE FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER
PORTFOLIO.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
110 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ $ 40.17 $ .03 $ (3.47) $ (3.44) $ -- $ -- $ --
March 31, 2006 31.86 -- 8.69 8.69 -- (.38) (.38)
March 31, 2005 28.30 (.06) 3.62 3.56 -- -- --
March 31, 2004 16.04 (.14) 12.40 12.26 -- -- --
March 31, 2003 26.08 (.07) (9.86) (9.93) (.11) -- (.11)
March 31, 2002* 25.00 (.03) 1.11 1.08 -- -- --
INVERSE MID-CAP FUND A-CLASS
SEPTEMBER 30, 2006@ 37.03 .68 1.96 2.64 -- -- --
March 31, 2006 44.01 .87 (7.20) (6.33) (.65) -- (.65)
March 31, 2005 49.01 (.06) (4.94) (5.00) -- -- --
March 31, 2004* 49.01 -- -- -- -- -- --
INVERSE MID-CAP FUND C-CLASS
SEPTEMBER 30, 2006@ 36.43 .51 1.92 2.43 -- -- --
March 31, 2006 43.62 .15 (6.69) (6.54) (.65) -- (.65)
March 31, 2005 48.98 (.27) (5.09) (5.36) -- -- --
March 31, 2004* 50.00 (.08) (.94) (1.02) -- -- --
INVERSE MID-CAP FUND H-CLASS
SEPTEMBER 30, 2006@ 37.04 .67 1.97 2.64 -- -- --
March 31, 2006 44.01 .83 (7.15) (6.32) (.65) -- (.65)
March 31, 2005 49.01 .18 (5.18) (5.00) -- -- --
March 31, 2004* 50.00 (.05) (.94) (.99) -- -- --
RUSSELL 2000(R) ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ 37.33 .05 (3.58) (3.53) -- -- --
March 31, 2006 27.54 .04 9.75 9.79 -- -- --
March 31, 2005 26.22 (.03) 1.51 1.48 -- (.16) (.16)
March 31, 2004* 26.22 -- -- -- -- -- --
RUSSELL 2000(R) ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 35.93 (.07) (3.45) (3.52) -- -- --
March 31, 2006 26.69 (.21) 9.45 9.24 -- -- --
March 31, 2005 25.63 (.26) 1.48 1.22 -- (.16) (.16)
March 31, 2004 12.75 (.28) 13.16 12.88 -- -- --
March 31, 2003 22.47 (.15) (9.53) (9.68) -- (.04) (.04)
March 31, 2002 19.99 (.07) 2.55 2.48 -- -- --
RUSSELL 2000(R) ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ 37.32 .06 (3.58) (3.52) -- -- --
March 31, 2006 27.51 .03 9.78 9.81 -- -- --
March 31, 2005 26.22 (.07) 1.52 1.45 -- (.16) (.16)
March 31, 2004 12.94 (.14) 13.42 13.28 -- -- --
March 31, 2003 22.61 (.03) (9.60) (9.63) -- (.04) (.04)
March 31, 2002 19.99 .16 2.46 2.62 -- -- --
RATIOS TO
AVERAGE NET ASSETS:
----------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ $ (3.44) $ 36.73 (8.56)% 1.66%** 1.66%** 0.13%** 179% $ 25,204
March 31, 2006 8.31 40.17 27.36% 1.90% 1.64% 0.01% 528% 50,883
March 31, 2005 3.56 31.86 12.58% 1.62% 1.62% (0.21)% 669% 59,274
March 31, 2004 12.26 28.30 76.43% 1.66% 1.66% (0.56)% 1,239% 68,193
March 31, 2003 (10.04) 16.04 (38.11)% 1.69% 1.69% (0.32)% 2,322% 14,634
March 31, 2002* 1.08 26.08 4.32% 1.71%** 1.71%** (0.19)%** 893% 116,176
INVERSE MID-CAP FUND A-CLASS
SEPTEMBER 30, 2006@ 2.64 39.67 7.13% 1.67%** 1.67%** 3.45%** -- 932
March 31, 2006 (6.98) 37.03 (14.44)% 1.66% 1.66% 2.12% -- 161
March 31, 2005 (5.00) 44.01 (10.20)% 1.63% 1.63% (0.13)% -- 61
March 31, 2004* -- 49.01 0.00% 0.00%**# 0.00%**# 0.00%** -- 1
INVERSE MID-CAP FUND C-CLASS
SEPTEMBER 30, 2006@ 2.43 38.86 6.67% 2.43%** 2.43%** 2.69%** -- 4,465
March 31, 2006 (7.19) 36.43 (15.05)% 2.41% 2.41% 1.54% -- 1,147
March 31, 2005 (5.36) 43.62 (10.94)% 2.36% 2.36% (0.58)% -- 1,011
March 31, 2004* (1.02) 48.98 (2.04)% 2.23%** 2.23%** (1.45)%** -- 137
INVERSE MID-CAP FUND H-CLASS
SEPTEMBER 30, 2006@ 2.64 39.68 7.13% 1.67%** 1.67%** 3.43%** -- 47,176
March 31, 2006 (6.97) 37.04 (14.42)% 1.64% 1.64% 2.01% -- 18,475
March 31, 2005 (5.00) 44.01 (10.20)% 1.60% 1.60% 0.39% -- 30,073
March 31, 2004* (.99) 49.01 (1.98)% 1.54%** 1.54%** (0.74)%** -- 2,678
RUSSELL 2000(R) ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ (3.53) 33.80 (9.46)% 1.65%** 1.65%** 0.31%** 99% 3,974
March 31, 2006 9.79 37.33 35.55% 2.06% 1.65% 0.13% 441% 6,789
March 31, 2005 1.32 27.54 5.63% 1.61% 1.61% (0.10)% 501% 3,340
March 31, 2004* -- 26.22 0.00% 0.00%**# 0.00%**# 0.00%** 965% 4
RUSSELL 2000(R) ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ (3.52) 32.41 (9.80)% 2.39%** 2.39%** (0.41)%** 99% 24,430
March 31, 2006 9.24 35.93 34.62% 2.81% 2.40% (0.70)% 441% 31,956
March 31, 2005 1.06 26.69 4.75% 2.37% 2.37% (1.00)% 501% 18,915
March 31, 2004 12.88 25.63 101.02% 2.41% 2.41% (1.34)% 965% 48,851
March 31, 2003 (9.72) 12.75 (43.12)% 2.43% 2.43% (0.91)% 746% 13,530
March 31, 2002 2.48 22.47 12.41% 2.44% 2.44% (0.33)% 714% 20,604
RUSSELL 2000(R) ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ (3.52) 33.80 (9.43)% 1.63%** 1.63%** 0.33%** 99% 62,499
March 31, 2006 9.81 37.32 35.66% 2.05% 1.64% 0.10% 441% 170,698
March 31, 2005 1.29 27.51 5.52% 1.62% 1.62% (0.26)% 501% 68,084
March 31, 2004 13.28 26.22 102.63% 1.66% 1.66% (0.62)% 965% 174,320
March 31, 2003 (9.67) 12.94 (42.63)% 1.69% 1.69% (0.20)% 746% 32,101
March 31, 2002 2.62 22.61 13.11% 1.61% 1.61% 0.74% 714% 120,045
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 16, 2001--MID-CAP ADVANTAGE
FUND H-CLASS; FEBRUARY 20, 2004 --INVERSE MID-CAP FUND C-CLASS AND INVERSE
MID-CAP FUND H-CLASS; MARCH 31, 2004--INVERSE MID-CAP FUND A-CLASS AND
RUSSELL 2000(R) ADVANTAGE FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 111
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 FUND A-CLASS
SEPTEMBER 30, 2006*@ $ 25.00 $ .16 $ .03 $ .19 $ -- $ -- $ --
RUSSELL 2000 FUND C-CLASS
SEPTEMBER 30, 2006*@ 25.00 .09 .05 .14 -- -- --
RUSSELL 2000 FUND H CLASS
SEPTEMBER 30, 2006*@ 25.00 .13 .06 .19 -- -- --
INVERSE RUSSELL 2000 FUND A-CLASS
SEPTEMBER 30, 2006@ 36.96 .70 1.83 2.53 -- -- --
March 31, 2006 46.09 .85 (9.26) (8.41) (.72) -- (.72)
March 31, 2005 48.80 (.02) (2.69) (2.71) -- -- --
March 31, 2004* 48.80 -- -- -- -- -- --
INVERSE RUSSELL 2000 FUND C-CLASS
SEPTEMBER 30, 2006@ 36.40 .53 1.81 2.34 -- -- --
March 31, 2006 45.71 .56 (9.15) (8.59) (.72) -- (.72)
March 31, 2005 48.77 (.49) (2.57) (3.06) -- -- --
March 31, 2004* 50.00 (.08) (1.15) (1.23) -- -- --
INVERSE RUSSELL 2000 FUND H-CLASS
SEPTEMBER 30, 2006@ 36.98 .68 1.85 2.53 -- -- --
March 31, 2006 46.09 .91 (9.30) (8.39) (.72) -- (.72)
March 31, 2005 48.80 .04 (2.75) (2.71) -- -- --
March 31, 2004* 50.00 (.04) (1.16) (1.20) -- -- --
GOVERNMENT LONG BOND ADVANTAGE FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ 10.50 .21 .28 .49 (.20) -- (.20)
March 31, 2006 11.04 .42 (.54) (.12) (.42) -- (.42)
March 31, 2005 11.03 .42 -- .42 (.41) -- (.41)
March 31, 2004 10.95 .41 .08 .49 (.41) -- (.41)
March 31, 2003 9.12 .41 1.83 2.24 (.41) -- (.41)
March 31, 2002 9.82 .43 (.70) (.27) (.43) -- (.43)
GOVERNMENT LONG BOND ADVANTAGE FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 10.50 .19 .22 .41 (.18) -- (.18)
March 31, 2006 11.07 .37 (.57) (.20) (.37) -- (.37)
March 31, 2005 11.04 .36 .04 .40 (.37) -- (.37)
March 31, 2004* 10.00 .23 1.04 1.27 (.23) -- (.23)
RATIOS TO
AVERAGE NET ASSETS:
----------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- -----------------------------------------------------------------------------------------------------------------
RUSSELL 2000 FUND A-CLASS
SEPTEMBER 30, 2006*@ $ .19 $ 25.19 0.76% 1.55%** 1.96%** 161% $ 33
RUSSELL 2000 FUND C-CLASS
SEPTEMBER 30, 2006*@ .14 25.14 0.56% 2.47%** 1.09%** 161% 3,429
RUSSELL 2000 FUND H CLASS
SEPTEMBER 30, 2006*@ .19 25.19 0.76% 1.53%** 1.60%** 161% 6,319
INVERSE RUSSELL 2000 FUND A-CLASS
SEPTEMBER 30, 2006@ 2.53 39.49 6.85% 1.68%** 3.56%** -- 27,391
March 31, 2006 (9.13) 36.96 (18.40)% 1.63% 1.97% -- 1,067
March 31, 2005 (2.71) 46.09 (5.55)% 1.63% (0.03)% -- 404
March 31, 2004* -- 48.80 0.00% 0.00%**# 0.00%** -- 1
INVERSE RUSSELL 2000 FUND C-CLASS
SEPTEMBER 30, 2006@ 2.34 38.74 6.43% 2.42%** 2.74%** -- 17,194
March 31, 2006 (9.31) 36.40 (18.95)% 2.40% 1.33% -- 3,164
March 31, 2005 (3.06) 45.71 (6.27)% 2.39% (0.97)% -- 3,951
March 31, 2004* (1.23) 48.77 (2.46)% 2.24%** (1.42)%** -- 492
INVERSE RUSSELL 2000 FUND H-CLASS
SEPTEMBER 30, 2006@ 2.53 39.51 6.84% 1.66%** 3.45%** -- 124,904
March 31, 2006 (9.11) 36.98 (18.36)% 1.65% 2.14% -- 52,201
March 31, 2005 (2.71) 46.09 (5.55)% 1.63% 0.09% -- 46,832
March 31, 2004* (1.20) 48.80 (2.40)% 1.54%** (0.72)%** -- 5,054
GOVERNMENT LONG BOND ADVANTAGE FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ .29 10.79 4.83% 0.97%** 4.03%** 882% 111,182
March 31, 2006 (.54) 10.50 (1.37)% 0.94% 3.69% 1,451% 33,223
March 31, 2005 .01 11.04 4.04% 0.93% 3.95% 737% 25,992
March 31, 2004 .08 11.03 4.65% 0.95% 3.84% 1,143% 25,188
March 31, 2003 1.83 10.95 24.93% 0.97% 4.00% 2,404% 51,370
March 31, 2002 (.70) 9.12 (2.88)% 0.88% 4.39% 860% 14,138
GOVERNMENT LONG BOND ADVANTAGE FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ .23 10.73 3.99% 1.47%** 3.53%** 882% 27,190
March 31, 2006 (.57) 10.50 (2.10)% 1.42% 3.16% 1,451% 21,200
March 31, 2005 .03 11.07 3.75% 1.41% 3.32% 737% 53,283
March 31, 2004* 1.04 11.04 12.84% 1.45%** 3.21%** 1,143% 46,690
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 1, 2003--GOVERNMENT LONG BOND
ADVANTAGE FUND ADVISOR CLASS; FEBRUARY 20, 2004--INVERSE RUSSELL 2000(R)
FUND C-CLASS AND INVERSE RUSSELL 2000(R) FUND H-CLASS; MARCH 31,
2004--INVERSE RUSSELL 2000(R) FUND A-CLASS; MAY 31, 2006--RUSSELL 2000(R)
FUND A-CLASS, RUSSELL 2000(R) FUND C-CLASS, AND RUSSELL 2000(R) FUND
H-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
112 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ $10.50 $ .19 $ .30 $ .49 $ (.19) $ -- $ (.19)
March 31, 2006 11.07 .40 (.58) (.18) (.39) -- (.39)
March 31, 2005 11.05 .39 .02 .41 (.39) -- (.39)
March 31, 2004* 11.05 -- -- -- -- -- --
GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 10.50 .15 .29 .44 (.15) -- (.15)
March 31, 2006 11.07 .31 (.57) (.26) (.31) -- (.31)
March 31, 2005 11.05 .31 .02 .33 (.31) -- (.31)
March 31, 2004 10.97 .30 .08 .38 (.30) -- (.30)
March 31, 2003 9.12 .31 1.85 2.16 (.31) -- (.31)
March 31, 2002* 9.42 .32 (.32) -- (.30) -- (.30)
INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ 19.69 (.04) (.22) (.26) -- -- --
March 31, 2006 18.94 (.07) .82 .75 -- -- --
March 31, 2005 19.77 (.08) (.75) (.83) -- -- --
March 31, 2004 21.23 (.09) (1.37) (1.46) -- -- --
March 31, 2003 26.40 (.04) (5.13) (5.17) -- -- --
March 31, 2002+++ 25.59 .27 .54 .81 -- -- --
INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 19.43 (.09) (.21) (.30) -- -- --
March 31, 2006 18.79 (.16) .80 .64 -- -- --
March 31, 2005 19.71 (.17) (.75) (.92) -- -- --
March 31, 2004* 22.41 (.13) (2.57) (2.70) -- -- --
INVERSE GOVERNMENT LONG BOND FUND A-CLASS
SEPTEMBER 30, 2006@ 19.52 (.07) (.21) (.28) -- -- --
March 31, 2006 18.84 (.12) .80 .68 -- -- --
March 31, 2005 19.71 (.13) (.74) (.87) -- -- --
March 31, 2004* 19.71 -- -- -- -- -- --
INVERSE GOVERNMENT LONG BOND FUND C-CLASS
SEPTEMBER 30, 2006@ 18.78 (.14) (.20) (.34) -- -- --
March 31, 2006 18.25 (.25) .78 .53 -- -- --
March 31, 2005 19.24 (.27) (.72) (.99) -- -- --
March 31, 2004 20.88 (.29) (1.35) (1.64) -- -- --
March 31, 2003 26.16 (.17) (5.11) (5.28) -- -- --
March 31, 2002+++ 25.59 .15 .42 .57 -- -- --
RATIOS TO
AVERAGE NET ASSETS:
--------------------------------------------
NET INCREASE NET ASSET NET
(DECREASE) IN VALUE, TOTAL INVESTMENT
NET ASSET END OF INVESTMENT GROSS NET OPERATING INCOME
VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES ss. (LOSS)
- --------------------------------------------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ $ .30 $ 10.80 4.80% 1.22%** 1.22%** 1.22%** 3.80%**
March 31, 2006 (.57) 10.50 (1.88)% 1.17% 1.17% 1.17% 3.45%
March 31, 2005 .02 11.07 3.86% 1.15% 1.15% 1.15% 3.63%
March 31, 2004* -- 11.05 0.00% 0.00%**# 0.00%**# 0.00%**# 0.00%**
GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ .29 10.79 4.32% 1.96%** 1.96%** 1.96%** 3.05%**
March 31, 2006 (.57) 10.50 (2.61)% 1.93% 1.93% 1.93% 2.69%
March 31, 2005 .02 11.07 3.10% 1.92% 1.92% 1.92% 2.86%
March 31, 2004 .08 11.05 3.59% 1.96% 1.96% 1.96% 2.85%
March 31, 2003 1.85 10.97 23.93% 1.95% 1.95% 1.95% 2.86%
March 31, 2002* (.30) 9.12 (0.14)% 1.79%** 1.79%** 1.79%** 3.53%**
INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ (.26) 19.43 (1.32)% 5.02%**++ 5.02%**++ 1.36%**++ (0.44)%**
March 31, 2006 .75 19.69 3.96% 4.66%++ 4.66%++ 1.33%++ (0.40)%
March 31, 2005 (.83) 18.94 (4.20)% 5.11%++ 5.11%++ 1.32%++ (0.40)%
March 31, 2004 (1.46) 19.77 (6.88)% 5.57%++^ 5.57%++^ 1.38%++ (0.45)%
March 31, 2003 (5.17) 21.23 (19.53)% 5.65%++^@ 5.65%++^@ 1.41%++ (0.45)%
March 31, 2002+++ .81 26.40 3.17% 1.41%++ 1.41%++ 1.41%++ 1.12%
INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ (.30) 19.13 (1.54)% 5.51%**++ 5.51%**++ 1.85%**++ (0.93)%**
March 31, 2006 .64 19.43 3.41% 5.16%++ 5.16%++ 1.83%++ (0.90)%
March 31, 2005 (.92) 18.79 (4.67)% 5.61%++ 5.61%++ 1.82%++ (0.90)%
March 31, 2004* (2.70) 19.71 (12.05)% 6.05%**++^ 6.05%**++^ 1.86%**++ (0.93)%**
INVERSE GOVERNMENT LONG BOND FUND A-CLASS
SEPTEMBER 30, 2006@ (.28) 19.24 (1.43)% 5.27%**++ 5.27%**++ 1.61%**++ (0.69)%**
March 31, 2006 .68 19.52 3.61% 4.91%++ 4.91%++ 1.58%++ (0.65)%
March 31, 2005 (.87) 18.84 (4.41)% 5.35%++ 5.35%++ 1.56%++ (0.64)%
March 31, 2004* -- 19.71 0.00% 0.00%**++# 0.00%**++# 0.00%**++# 0.00%**
INVERSE GOVERNMENT LONG BOND FUND C-CLASS
SEPTEMBER 30, 2006@ (.34) 18.44 (1.81)% 6.01%**++ 6.01%**++ 2.35%**++ (1.43)%**
March 31, 2006 .53 18.78 2.90% 5.66%++ 5.66%++ 2.33%++ (1.40)%
March 31, 2005 (.99) 18.25 (5.15)% 6.11%++ 6.11%++ 2.32%++ (1.40)%
March 31, 2004 (1.64) 19.24 (7.85)% 6.57%++^ 6.57%++^ 2.38%++ (1.45)%
March 31, 2003 (5.28) 20.88 (20.13)% 6.64%++^@ 6.64%++^@ 2.40%++ (1.64)%
March 31, 2002+++ .57 26.16 2.23% 2.47%++ 2.47%++ 2.47%++ 0.55%
NET ASSETS,
PORTFOLIO END OF
TURNOVER PERIOD (000'S
RATE*** OMITTED)
- ------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ 882% $ 8,569
March 31, 2006 1,451% 1,503
March 31, 2005 737% 1,703
March 31, 2004* 1,143% 1
GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 882% 14,836
March 31, 2006 1,451% 7,293
March 31, 2005 737% 11,005
March 31, 2004 1,143% 3,828
March 31, 2003 2,404% 2,163
March 31, 2002* 860% 209
INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ 37% 444,757
March 31, 2006 179% 768,588
March 31, 2005 101% 1,472,040
March 31, 2004 187% 898,294
March 31, 2003 -- 128,958
March 31, 2002+++ -- 32,293
INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 37% 54,110
March 31, 2006 179% 99,546
March 31, 2005 101% 232,541
March 31, 2004* 187% 52,298
INVERSE GOVERNMENT LONG BOND FUND A-CLASS
SEPTEMBER 30, 2006@ 37% 92,587
March 31, 2006 179% 124,679
March 31, 2005 101% 177,178
March 31, 2004* 187% 5,057
INVERSE GOVERNMENT LONG BOND FUND C-CLASS
SEPTEMBER 30, 2006@ 37% 318,695
March 31, 2006 179% 533,862
March 31, 2005 101% 893,249
March 31, 2004 187% 489,918
March 31, 2003 -- 60,969
March 31, 2002+++ -- 877
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 2, 2001--GOVERNMENT LONG BOND
ADVANTAGE FUND C-CLASS; AUGUST 1, 2003--INVERSE GOVERNMENT LONG BOND FUND
ADVISOR CLASS; MARCH 31, 2004--GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS
AND INVERSE GOVERNMENT LONG BOND FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER
PORTFOLIO.
+++ INVERSE GOVERNMENT LONG BOND FUND--PER SHARE AMOUNTS FOR THE YEAR ENDED
THROUGH MARCH 31, 2002 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK
SPLIT EFFECTIVE FEBRUARY 10, 2003.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
^ THE INVERSE GOVERNMENT LONG BOND FUND HAS RESTATED ITS RATIOS OF GROSS AND
NET EXPENSES TO AVERAGE NET ASSETS IN THE FINANCIAL HIGHLIGHTS IN ORDER TO
REFLECT THE RECLASSIFICATION OF INTEREST EXPENSE FROM SECURITIES SOLD
SHORT. THIS RESTATEMENT HAD NO EFFECT ON THE INVERSE GOVERNMENT LONG BOND
FUND'S NET ASSET VALUE, PER SHARE VALUE, NET INVESTMENT INCOME RATIOS AND
TOTAL INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS DURING ANY PERIOD.
ss. OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT.
@ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 113
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ $ 20.06 $ .36 $ 1.03 $ 1.39 $ -- $ -- $ --
March 31, 2006 17.14 .18 3.06 3.24 -- (.32) (.32)
March 31, 2005 14.98 .05 2.59 2.64 (.47) (.01) (.48)
March 31, 2004* 14.98 -- -- -- -- -- --
EUROPE ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 19.25 .25 1.01 1.26 -- -- --
March 31, 2006 16.57 .10 2.90 3.00 -- (.32) (.32)
March 31, 2005 14.62 (.09) 2.52 2.43 (.47) (.01) (.48)
March 31, 2004 9.74 (1.18) 6.77 5.59 -- (.71) (.71)
March 31, 2003 15.22 (.10) (5.38) (5.48) -- -- --
March 31, 2002* 19.09 (.11) (3.76) (3.87) -- -- --
EUROPE ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ 20.06 .39 1.01 1.40 -- -- --
March 31, 2006 17.13 .22 3.03 3.25 -- (.32) (.32)
March 31, 2005 14.98 .05 2.58 2.63 (.47) (.01) (.48)
March 31, 2004 9.88 (1.65) 7.46 5.81 -- (.71) (.71)
March 31, 2003 15.30 (.02) (5.40) (5.42) -- -- --
March 31, 2002 17.72 .19 (2.61) (2.42) -- -- --
JAPAN ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ 40.61 .16 (3.40) (3.24) -- -- --
March 31, 2006 29.20 .74 10.67 11.41 -- -- --
March 31, 2005 34.60 .05 (3.96) (3.91) (.56) (.93) (1.49)
March 31, 2004* 34.60 -- -- -- -- -- --
JAPAN ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 39.47 .58 (3.87) (3.29) -- -- --
March 31, 2006 28.61 .12 10.74 10.86 -- -- --
March 31, 2005 34.18 (.25) (3.83) (4.08) (.56) (.93) (1.49)
March 31, 2004 18.96 (.80) 16.26 15.46 -- (.24) (.24)
March 31, 2003++ 27.24 (.18) (8.10) (8.28) -- -- --
March 31, 2002*++ 25.65 (.03) 1.62 1.59 -- -- --
JAPAN ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ 40.64 .61 (3.85) (3.24) -- -- --
March 31, 2006 29.22 .76 10.66 11.42 -- -- --
March 31, 2005 34.60 (.05) (3.84) (3.89) (.56) (.93) (1.49)
March 31, 2004 19.05 (.40) 16.19 15.79 -- (.24) (.24)
March 31, 2003++ 27.27 (.03) (8.19) (8.22) -- -- --
March 31, 2002++ 39.12 .48 (12.33) (11.85) -- -- --
RATIOS TO
AVERAGE NET ASSETS:
----------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ $ 1.39 $ 21.45 6.93% 1.54%** 1.54%** 3.52%** 232% $ 3,331
March 31, 2006 2.92 20.06 19.10% 1.67% 1.66% 1.02% 454% 1,378
March 31, 2005 2.16 17.14 17.56% 1.62% 1.62% 0.29% -- 180
March 31, 2004* -- 14.98 0.00% 0.00%**# 0.00%**# 0.00%** -- 1
EUROPE ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ 1.26 20.51 6.55% 2.35%** 2.35%** 2.55%** 232% 11,079
March 31, 2006 2.68 19.25 18.30% 2.42% 2.41% 0.59% 454% 8,703
March 31, 2005 1.95 16.57 16.55% 2.37% 2.37% (0.57)% -- 5,717
March 31, 2004 4.88 14.62 57.29% 2.47% 2.47% (8.31)% -- 1,999
March 31, 2003 (5.48) 9.74 (36.01)% 2.45% 2.45% (0.96)% -- 1,957
March 31, 2002* (3.87) 15.22 (20.27)% 2.69%** 2.69%** (0.82)%** -- 116
EUROPE ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ 1.40 21.46 6.98% 1.67%** 1.67%** 3.73%** 232% 76,263
March 31, 2006 2.93 20.06 19.17% 1.64% 1.63% 1.21% 454% 46,066
March 31, 2005 2.15 17.13 17.49% 1.61% 1.61% 0.28% -- 62,957
March 31, 2004 5.10 14.98 58.72% 1.73% 1.73% (11.25)% -- 35,914
March 31, 2003 (5.42) 9.88 (35.42)% 1.68% 1.68% (0.13)% -- 4,698
March 31, 2002 (2.42) 15.30 (13.66)% 1.76% 1.76% 1.18% -- 9,697
JAPAN ADVANTAGE FUND A-CLASS
SEPTEMBER 30, 2006@ (3.24) 37.37 (7.98)% 1.66%** 1.66%** 0.81%** -- 4,484
March 31, 2006 11.41 40.61 39.08% 1.67% 1.66% 2.20% -- 3,432
March 31, 2005 (5.40) 29.20 (11.31)% 1.62% 1.62% 0.15% -- 280
March 31, 2004* -- 34.60 0.00% 0.00%**# 0.00%**# 0.00%** -- 55
JAPAN ADVANTAGE FUND C-CLASS
SEPTEMBER 30, 2006@ (3.29) 36.18 (8.34)% 2.39%** 2.39%** 3.01%** -- 7,536
March 31, 2006 10.86 39.47 37.96% 2.43% 2.42% 1.49% -- 13,082
March 31, 2005 (5.57) 28.61 (11.96)% 2.38% 2.38% (0.83)% -- 3,381
March 31, 2004 15.22 34.18 81.72% 2.42% 2.42% (2.85)% -- 5,572
March 31, 2003++ (8.28) 18.96 (30.40)% 2.36% 2.36% (0.68)% -- 9
March 31, 2002*++ 1.59 27.24 6.20% 2.20%** 2.20%** (0.72)%** -- 12
JAPAN ADVANTAGE FUND H-CLASS
SEPTEMBER 30, 2006@ (3.24) 37.40 (7.97)% 1.64%** 1.64%** 3.01%** -- 38,651
March 31, 2006 11.42 40.64 39.08% 1.67% 1.66% 2.19% -- 111,896
March 31, 2005 (5.38) 29.22 (11.25)% 1.63% 1.63% (0.17)% -- 34,972
March 31, 2004 15.55 34.60 83.07% 1.66% 1.66% 1.46% -- 177,760
March 31, 2003++ (8.22) 19.05 (30.14)% 1.69% 1.69% (0.06)% -- 2,683
March 31, 2002++ (11.85) 27.27 (30.29)% 1.84% 1.84% 1.44% -- 23,873
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 10, 2001--EUROPE ADVANTAGE
C-CLASS; MARCH 1, 2002--JAPAN ADVANTAGE FUND C-CLASS; MARCH 31,
2004--EUROPE ADVANTAGE FUND A-CLASS AND JAPAN ADVANTAGE FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ JAPAN ADVANTAGE FUND--PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31,
2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE
STOCK SPLIT EFFECTIVE APRIL 21, 2003.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
@ UNAUDITED.
114 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ $ 33.40 $ .06 $ (1.71) $ (1.65) $ -- $ -- $ --
March 31, 2006 28.22 (.03) 5.71 5.68 -- (.50) (.50)
March 31, 2005* 25.28 (.06) 3.13 3.07 -- (.13) (.13)
SMALL-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ 32.85 (.03) (1.72) (1.75) -- -- --
March 31, 2006 28.01 (.18) 5.52 5.34 -- (.50) (.50)
March 31, 2005 25.59 (.24) 2.79 2.55 -- (.13) (.13)
March 31, 2004* 25.00 (.05) .64 .59 -- -- --
SMALL-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ 33.38 .06 (1.72) (1.66) -- -- --
March 31, 2006 28.24 .06 5.58 5.64 -- (.50) (.50)
March 31, 2005 25.62 (.01) 2.76 2.75 -- (.13) (.13)
March 31, 2004* 25.00 (.01) .63 .62 -- -- --
MID-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ 31.83 .20 (.11) .09 -- -- --
March 31, 2006 27.49 .06 4.47 4.53 (--)ss. (.19) (.19)
March 31, 2005* 24.58 .11 2.91 3.02 (--)ss.ss. (.11) (.11)
MID-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ 31.34 .07 (.09) (.02) -- -- --
March 31, 2006 27.29 (.10) 4.34 4.24 (--)ss. (.19) (.19)
March 31, 2005 25.11 (.07) 2.36 2.29 (--)ss.ss. (.11) (.11)
March 31, 2004* 25.00 (.02) .13 .11 -- -- --
MID-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ 31.82 .21 (.11) .10 -- -- --
March 31, 2006 27.49 .07 4.45 4.52 (--)ss. (.19) (.19)
March 31, 2005 25.13 .21 2.26 2.47 (--)ss.ss. (.11) (.11)
March 31, 2004* 25.00 .01 .12 .13 -- -- --
LARGE-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ 29.12 .16 1.09 1.25 -- -- --
March 31, 2006 26.56 .19 2.77 2.96 -- (.40) (.40)
March 31, 2005* 24.68 .12 1.81 1.93 (--)ss.ss. (.05) (.05)
LARGE-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ 28.67 .04 1.07 1.11 -- -- --
March 31, 2006 26.38 .04 2.65 2.69 -- (.40) (.40)
March 31, 2005 24.85 .01 1.57 1.58 (--)ss.ss. (.05) (.05)
March 31, 2004* 25.00 (.02) (.13) (.15) -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ $ (1.65) $ 31.75 (4.94)% 1.53%** 0.39%** 354% $ 1,183
March 31, 2006 5.18 33.40 20.35% 1.46% (0.11)% 806% 335
March 31, 2005* 2.94 28.22 12.14% 1.43%** (0.37)%** 744% 714
SMALL-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ (1.75) 31.10 (5.33)% 2.24%** (0.18)%** 354% 14,166
March 31, 2006 4.84 32.85 19.29% 2.27% (0.60)% 806% 18,779
March 31, 2005 2.42 28.01 9.96% 2.21% (0.89)% 744% 12,119
March 31, 2004* .59 25.59 2.36% 2.11%** (1.68)%** 177% 2,207
SMALL-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ (1.66) 31.72 (4.97)% 1.48%** 0.36%** 354% 44,471
March 31, 2006 5.14 33.38 20.20% 1.50% 0.19% 806% 102,448
March 31, 2005 2.62 28.24 10.73% 1.47% (0.04)% 744% 75,748
March 31, 2004* .62 25.62 2.48% 1.41%** (0.21)%** 177% 19,900
MID-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ .09 31.92 0.28% 1.51%** 1.25%** 346% 1,347
March 31, 2006 4.34 31.83 16.51% 1.48% 0.21% 558% 1,480
March 31, 2005* 2.91 27.49 12.29% 1.42%** 0.69%** 731% 312
MID-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ (.02) 31.32 (0.06)% 2.25%** 0.46%** 346% 5,502
March 31, 2006 4.05 31.34 15.57% 2.25% (0.35)% 558% 7,270
March 31, 2005 2.18 27.29 9.12% 2.21% (0.28)% 731% 8,831
March 31, 2004* .11 25.11 0.44% 2.11%** (0.50)%** 172% 710
MID-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ .10 31.92 0.31% 1.50%** 1.35%** 346% 24,137
March 31, 2006 4.33 31.82 16.47% 1.48% 0.25% 558% 31,340
March 31, 2005 2.36 27.49 9.83% 1.46% 0.77% 731% 115,660
March 31, 2004* .13 25.13 0.52% 1.41%** 0.19%** 172% 18,064
LARGE-CAP VALUE FUND A-CLASS
SEPTEMBER 30, 2006@ 1.25 30.37 4.29% 1.51%** 1.04%** 278% 1,407
March 31, 2006 2.56 29.12 11.20% 1.47% 0.70% 1054% 713
March 31, 2005* 1.88 26.56 7.82% 1.43%** 0.77%** 747% 211
LARGE-CAP VALUE FUND C-CLASS
SEPTEMBER 30, 2006@ 1.11 29.78 3.87% 2.24%** 0.27%** 278% 4,091
March 31, 2006 2.29 28.67 10.25% 2.26% 0.14% 1,054% 4,344
March 31, 2005 1.53 26.38 6.35% 2.20% 0.03% 747% 4,636
March 31, 2004* (.15) 24.85 (0.60)% 2.10%** (0.53)%** 202% 2,612
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--SMALL-CAP VALUE
FUND C-CLASS, SMALL-CAP VALUE FUND H-CLASS, MID-CAP VALUE FUND C-CLASS,
MID-CAP VALUE FUND H-CLASS AND LARGE-CAP VALUE FUND C-CLASS; SEPTEMBER
1, 2004--SMALL-CAP VALUE FUND A-CLASS, MID-CAP VALUE FUND A-CLASS AND
LARGE-CAP VALUE FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
ss. LESS THAN $.01 PER SHARE: MID-CAP VALUE FUND A-CLASS, C-CLASS AND
H-CLASS ACTUAL AMOUNT= $.0040.
ss.ss. LESS THAN $.01 PER SHARE: MID-CAP VALUE FUND A-CLASS, C-CLASS AND
H-CLASS ACTUAL AMOUNT = $.0007; LARGE-CAP VALUE FUND A-CLASS AND
C-CLASS ACTUAL AMOUNT = $.0001.
@ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 115
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
LARGE-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ $ 29.12 $ .14 $ 1.11 $ 1.25 $ -- $ -- $ --
March 31, 2006 26.56 .23 2.73 2.96 -- (.40) (.40)
March 31, 2005 24.87 .16 1.58 1.74 (--)ss. (.05) (.05)
March 31, 2004* 25.00 .01 (.14) (.13) -- -- --
SMALL-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ 32.25 (.15) (2.85) (3.00) -- -- --
March 31, 2006 27.96 (.18) 5.27 5.09 -- (.80) (.80)
March 31, 2005* 24.43 (.12) 3.90 3.78 -- (.25) (.25)
SMALL-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ 31.82 (.30) (2.77) (3.07) -- -- --
March 31, 2006 27.78 (.47) 5.31 4.84 -- (.80) (.80)
March 31, 2005 25.33 (.44) 3.14 2.70 -- (.25) (.25)
March 31, 2004* 25.00 (.04) .37 .33 -- -- --
SMALL-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ 32.27 (.17) (2.83) (3.00) -- -- --
March 31, 2006 27.97 (.22) 5.32 5.10 -- (.80) (.80)
March 31, 2005 25.34 (.23) 3.11 2.88 -- (.25) (.25)
March 31, 2004* 25.00 (.02) .36 .34 -- -- --
MID-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ 31.94 (.16) (2.95) (3.11) -- -- --
March 31, 2006 26.85 (.17) 5.39 5.22 -- (.13) (.13)
March 31, 2005* 23.91 (.09) 3.04 2.95 -- (.01) (.01)
MID-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ 31.47 (.26) (2.91) (3.17) -- -- --
March 31, 2006 26.66 (.42) 5.36 4.94 -- (.13) (.13)
March 31, 2005 25.15 (.37) 1.89 1.52 -- (.01) (.01)
March 31, 2004* 25.00 (.05) .20 .15 -- -- --
MID-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ 31.95 (.16) (2.94) (3.10) -- -- --
March 31, 2006 26.86 (.19) 5.41 5.22 -- (.13) (.13)
March 31, 2005 25.17 (.17) 1.87 1.70 -- (.01) (.01)
March 31, 2004* 25.00 (.02) .19 .17 -- -- --
LARGE-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ 26.11 (.10) (.37) (.47) -- -- --
March 31, 2006 24.48 (.07) 1.72 1.65 -- (.02) (.02)
March 31, 2005* 23.44 .09 .95 1.04 -- (--)ss. (--)ss.
RATIOS TO
AVERAGE NET ASSETS:
---------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------
LARGE-CAP VALUE FUND H-CLASS
SEPTEMBER 30, 2006@ $ 1.25 $ 30.37 4.29% 1.52%** 0.96%** 278% $164,901
March 31, 2006 2.56 29.12 11.20% 1.49% 0.82% 1,054% 56,005
March 31, 2005 1.69 26.56 6.99% 1.47% 0.63% 747% 24,974
March 31, 2004* (.13) 24.87 (0.52)% 1.41%** 0.34%** 202% 8,094
SMALL-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ (3.00) 29.25 (9.30)% 1.50%** (0.99)%** 203% 777
March 31, 2006 4.29 32.25 18.41% 1.47% (0.61)% 1,003% 943
March 31, 2005* 3.53 27.96 15.49% 1.43%** (0.74)%** 983% 76
SMALL-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ (3.07) 28.75 (9.65)% 2.25%** (1.90)%** 203% 1,778
March 31, 2006 4.04 31.82 17.63% 2.27% (1.57)% 1,003% 5,972
March 31, 2005 2.45 27.78 10.68% 2.21% (1.58)% 983% 2,710
March 31, 2004* .33 25.33 1.32% 2.08%** (1.31)%** 117% 2,505
SMALL-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ (3.00) 29.27 (9.30)% 1.49%** (1.05)%** 203% 30,338
March 31, 2006 4.30 32.27 18.44% 1.50% (0.73)% 1,003% 73,489
March 31, 2005 2.63 27.97 11.38% 1.46% (0.84)% 983% 26,145
March 31, 2004* .34 25.34 1.36% 1.41%** (0.85)%** 117% 2,544
MID-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ (3.11) 28.83 (9.74)% 1.51%** (1.04)%** 213% 1,488
March 31, 2006 5.09 31.94 19.47% 1.48% (0.60)% 681% 1,530
March 31, 2005* 2.94 26.85 12.33% 1.46%** (0.58)%** 1,211% 553
MID-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ (3.17) 28.30 (10.07)% 2.24%** (1.76)%** 213% 2,521
March 31, 2006 4.81 31.47 18.55% 2.26% (1.43)% 681% 3,305
March 31, 2005 1.51 26.66 6.04% 2.21% (1.43)% 1,211% 2,313
March 31, 2004* .15 25.15 0.60% 2.10%** (1.50)%** 356% 1,172
MID-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ (3.10) 28.85 (9.70)% 1.49%** (1.05)%** 213% 15,872
March 31, 2006 5.09 31.95 19.46% 1.50% (0.63)% 681% 48,888
March 31, 2005 1.69 26.86 6.75% 1.46% (0.66)% 1,211% 23,733
March 31, 2004* .17 25.17 0.68% 1.41%** (0.75)%** 356% 625
LARGE-CAP GROWTH FUND A-CLASS
SEPTEMBER 30, 2006@ (.47) 25.64 (1.80)% 1.53%** (0.77)%** 460% 1,589
March 31, 2006 1.63 26.11 6.76% 1.48% (0.29)% 1,276% 914
March 31, 2005* 1.04 24.48 4.45% 1.45%** 0.62%** 2,018% 74
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--LARGE CAP VALUE
FUND H-CLASS, SMALL-CAP GROWTH FUND C-CLASS, SMALL-CAP GROWTH FUND
H-CLASS, MID-CAP GROWTH FUND C-CLASS AND MID-CAP GROWTH FUND H-CLASS;
SEPTEMBER 1, 2004--SMALL-CAP GROWTH FUND A-CLASS, MID-CAP GROWTH FUND
A-CLASS AND LARGE-CAP GROWTH FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
ss. LESS THAN $.01 PER SHARE: LARGE-CAP VALUE FUND H-CLASS ACTUAL AMOUNT =
$.0001; LARGE-CAP GROWTH FUND A-CLASS ACTUAL AMOUNT = $.0042.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
@ UNAUDITED.
116 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ $25.74 $ (.20) $ (.37) $ (.57) -- $ -- $ --
March 31, 2006 24.30 (.26) 1.72 1.46 -- (.02) (.02)
March 31, 2005 24.18 (.01) .13 .12 -- (--)ss. (--)ss.
March 31, 2004* 25.00 (.05) (.77) (.82) -- -- --
LARGE-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ 26.11 (.10) (.37) (.47) -- -- --
March 31, 2006 24.49 (.05) 1.69 1.64 -- (.02) (.02)
March 31, 2005 24.18 .37 (.06) .31 -- (--)ss. (--)ss.
March 31, 2004* 25.00 -- (.82) (.82) -- -- --
DYNAMIC STRENGTHENING DOLLAR FUND A-CLASS
SEPTEMBER 30, 2006@ 27.74 .44 (1.76) (1.32) -- -- --
March 31, 2006* 25.00 .50 2.37 2.87 (.13) -- (.13)
DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS
SEPTEMBER 30, 2006 27.56 .34 (1.76) (1.42) -- -- --
March 31, 2006* 25.00 .36 2.33 2.69 (.13) -- (.13)
DYNAMIC STRENGTHENING DOLLAR FUND H-CLASS
SEPTEMBER 30, 2006 27.71 .44 (1.76) (1.32) -- -- --
March 31, 2006* 25.00 .51 2.33 2.84 (.13) -- (.13)
DYNAMIC WEAKENING DOLLAR FUND A-CLASS
SEPTEMBER 30, 2006@ 22.70 .43 1.25 1.68 -- -- --
March 31, 2006* 25.00 .51 (2.67) (2.16) (.14) -- (.14)
DYNAMIC WEAKENING DOLLAR FUND C-CLASS
SEPTEMBER 30, 2006@ 22.55 .33 1.25 1.58 -- -- --
March 31, 2006* 25.00 .34 (2.65) (2.31) (.14) -- (.14)
DYNAMIC WEAKENING DOLLAR FUND H-CLASS
SEPTEMBER 30, 2006@ 22.69 .43 1.25 1.68 -- -- --
March 31, 2006* 25.00 .49 (2.66) (2.17) (.14) -- (.14)
RATIOS TO
AVERAGE NET ASSETS:
---------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND C-CLASS
SEPTEMBER 30, 2006@ $ (.57) $ 25.17 (2.21)% 2.30%** (1.59)%** 460% $ 14,098
March 31, 2006 1.44 25.74 6.03% 2.23% (1.04)% 1,276% 5,249
March 31, 2005 .12 24.30 0.51% 2.20% (0.06)% 2,018% 19,703
March 31, 2004* (.82) 24.18 (3.28)% 2.08%** (1.25)%** 296% --
LARGE-CAP GROWTH FUND H-CLASS
SEPTEMBER 30, 2006@ (.47) 25.64 (1.80)% 1.54%** (0.79)%** 460% 64,441
March 31, 2006 1.62 26.11 6.71% 1.49% (0.19)% 1,276% 32,258
March 31, 2005 .31 24.49 1.30% 1.47% 1.52% 2,018% 11,762
March 31, 2004* (.82) 24.18 (3.28)% 1.41%** (0.16)%** 296% 793
DYNAMIC STRENGTHENING DOLLAR FUND A-CLASS
SEPTEMBER 30, 2006@ (1.32) 26.42 (4.76)% 1.67%** 3.50%** -- 481
March 31, 2006* 2.74 27.74 11.47% 1.68%** 2.17%** -- 91
DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS
SEPTEMBER 30, 2006 (1.42) 26.14 (5.15)% 2.42%** 2.69%** -- 2,676
March 31, 2006* 2.56 27.56 10.75% 2.41%** 1.51%** -- 769
DYNAMIC STRENGTHENING DOLLAR FUND H-CLASS
SEPTEMBER 30, 2006 (1.32) 26.39 (4.76)% 1.67%** 3.45%** -- 23,905
March 31, 2006* 2.71 27.71 11.35% 1.66%** 2.19%** -- 7,270
DYNAMIC WEAKENING DOLLAR FUND A-CLASS
SEPTEMBER 30, 2006@ 1.68 24.38 7.40% 1.67%** 3.53%** -- 11,888
March 31, 2006* (2.30) 22.70 (8.65)% 1.70%** 2.66%** -- 2,989
DYNAMIC WEAKENING DOLLAR FUND C-CLASS
SEPTEMBER 30, 2006@ 1.58 24.13 7.01% 2.42%** 2.74%** -- 13,363
March 31, 2006* (2.45) 22.55 (9.25)% 2.46%** 1.79%** -- 3,916
DYNAMIC WEAKENING DOLLAR FUND H-CLASS
SEPTEMBER 30, 2006@ 1.68 24.37 7.40% 1.67%** 3.48%** -- 132,128
March 31, 2006* (2.31) 22.69 (8.69)% 1.68%** 2.53%** -- 51,710
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--LARGE-CAP GROWTH
FUND C-CLASS AND LARGE-CAP GROWTH FUND H-CLASS; MAY 25, 2005--DYNAMIC
WEAKENING DOLLAR FUND A-CLASS, DYNAMIC WEAKENING DOLLAR FUND C-CLASS,
DYNAMIC WEAKENING DOLLAR FUND H-CLASS, DYNAMIC STRENGTHENING DOLLAR FUND
A-CLASS, DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS AND DYNAMIC
STRENGTHENING DOLLAR FUND H-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
ss. LESS THAN $.01 PER SHARE: LARGE-CAP GROWTH FUND C-CLASS AND H-CLASS ACTUAL
AMOUNT = $.0042.
@ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 117
FINANCIAL HIGHLIGHTS (CONCLUDED)
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET
REALIZED
AND
UNREALIZED
NET ASSET NET GAINS (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT (LOSSES) IN NET ASSET FROM NET FROM NET
BEGINNING INCOME ON VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ $ 1.00 $.02 $ -- $ .02 $(.02) $ -- $(.02)
March 31, 2006 1.00 .03 -- .03 (.03) -- (.03)
March 31, 2005 1.00 .01 -- .01 (.01) -- (.01)
March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss.
March 31, 2003 1.00 .01 -- .01 (.01) -- (.01)
March 31, 2002 1.00 .02 -- .02 (.02) -- (.02)
U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02)
March 31, 2006 1.00 .02 -- .02 (.02) -- (.02)
March 31, 2005 1.00 --ss. -- --ss. (--)ss. -- (--)ss.
March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss.
March 31, 2003 1.00 --ss.ss.ss. -- --ss.ss.ss. (--)ss.ss.ss. -- (--)ss.ss.ss.
March 31, 2002 1.00 .02 -- .02 (.02) -- (.02)
U.S. GOVERNMENT MONEY MARKET FUND A-CLASS
SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02)
March 31, 2006 1.00 .03 -- .03 (.03) -- (.03)
March 31, 2005 1.00 .01 -- .01 (.01) -- (.01)
March 31, 2004* 1.00 -- -- -- -- -- --
U.S. GOVERNMENT MONEY MARKET FUND C-CLASS
SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02)
March 31, 2006 1.00 .02 -- .02 (.02) -- (.02)
March 31, 2005 1.00 --ss. -- --ss. (--)ss. -- (--)ss.
March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss.
March 31, 2003 1.00 --ss.ss.ss. -- --ss.ss.ss. (--)ss.ss.ss. -- (--)ss.ss.ss.
March 31, 2002 1.00 .01 -- .01 (.01) -- (.01)
RATIOS TO
AVERAGE NET ASSETS:
---------------------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND INVESTOR CLASS
SEPTEMBER 30, 2006@ -- $ 1.00 2.04% 0.91%** 0.91%** 4.09%** -- $1,064,152
March 31, 2006 -- 1.00 2.79% 0.88% 0.88% 2.74% -- 975,088
March 31, 2005 -- 1.00 0.82% 0.87% 0.87% 0.81% -- 1,196,009
March 31, 2004 -- 1.00 0.18% 0.90% 0.90% 0.18% -- 1,057,062
March 31, 2003 -- 1.00 0.71% 0.92% 0.92% 0.71% -- 1,218,676
March 31, 2002 -- 1.00 2.35% 0.85% 0.85% 2.23% -- 979,433
U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS
SEPTEMBER 30, 2006@ -- 1.00 1.79% 1.41%** 1.41%** 3.62%** -- 146,317
March 31, 2006 -- 1.00 2.28% 1.39% 1.39% 2.21% -- 151,828
March 31, 2005 -- 1.00 0.43% 1.38% 1.25% 0.39% -- 245,890
March 31, 2004 -- 1.00 0.01% 1.38% 1.08% 0.01% -- 249,599
March 31, 2003 -- 1.00 0.27% 1.41% 1.37% 0.32% -- 187,513
March 31, 2002 -- 1.00 1.84% 1.32% 1.32% 1.87% -- 371,356
U.S. GOVERNMENT MONEY MARKET FUND A-CLASS
SEPTEMBER 30, 2006@ -- 1.00 1.92% 1.16%** 1.16%** 3.82%** -- 12,617
March 31, 2006 -- 1.00 2.51% 1.15% 1.15% 2.66% -- 14,324
March 31, 2005 -- 1.00 0.59% 1.10% 1.10% 0.93% -- 7,335
March 31, 2004* -- 1.00 0.00% 0.00%**# 0.00%**# 0.00%** -- 1
U.S. GOVERNMENT MONEY MARKET FUND C-CLASS
SEPTEMBER 30, 2006@ -- 1.00 1.54% 1.91%** 1.91%** 3.09%** -- 113,419
March 31, 2006 -- 1.00 1.76% 1.89% 1.89% 1.72% -- 131,045
March 31, 2005 -- 1.00 0.19% 1.87% 1.51% 0.19% -- 155,668
March 31, 2004 -- 1.00 0.01% 1.90% 1.08% 0.01% -- 131,704
March 31, 2003 -- 1.00 0.08% 1.91% 1.50% 0.06% -- 201,745
March 31, 2002 -- 1.00 1.35% 1.80% 1.80% 1.13% -- 47,920
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--U.S.
GOVERNMENT MONEY MARKET FUND A-CLASS.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE
PERIOD.
# EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED
FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND ADVISOR
CLASS ACTUAL AMOUNT = $.00433; U.S. GOVERNMENT MONEY MARKET FUND
C-CLASS ACTUAL AMOUNT = $.00185.
ss.ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND INVESTOR
CLASS ACTUAL AMOUNT = $.0019; U.S. GOVERNMENT MONEY MARKET FUND
ADVISOR CLASS ACTUAL AMOUNT = $.00005; U.S. GOVERNMENT MONEY MARKET
FUND C-CLASS ACTUAL AMOUNT = $.00006.
ss.ss.ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND ADVISOR
CLASS ACTUAL AMOUNT = $.003; U.S. GOVERNMENT MONEY MARKET FUND
C-CLASS ACTUAL AMOUNT = $.0006.
@ UNAUDITED
118 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
MASTER-FEEDER ARRANGEMENT
- --------------------------------------------------------------------------------
Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long
Bond Fund are operating under a `master-feeder arrangement'. Under a
master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of
its assets in the Master Portfolio ("master"), a separate open-ended investment
company that has the same investment objectives as the feeder, e.g., the Nova
Fund would act as a feeder, holding shares of the Nova Master Portfolio as its
only investment. The Master Portfolio, in turn, invests in securities and
derivatives to meet its investment objective.
The following statements represent the Master Portfolios, which is the part of
the master-feeder arrangement in which Feeder Funds invest. Please see Notes to
Financial Statements for more information about the master-feeder arrangement.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 119
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INVERSE
INVERSE GOVERNMENT
NOVA S&P 500 INVERSE OTC LONG BOND
MASTER MASTER MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 6, and 9) $ 252,162,673 $ 524,875,151 $ 194,705,309 $ 1,589,419,935
Segregated Cash with Broker 4,295,472 1,782,900 975,000 2,811,993
Receivable for Short Sale -- -- -- 4,525,221
Receivable for Equity Index Swap Settlement (Note 1) 100,619 179,520 247,866 --
Receivable for Futures Contracts Settlement (Note 1) -- 72,165 24,375 98,361
Receivable for Fund Shares Purchased 123,656 608,148 2,780,705 1,772,323
Investment Income Receivable (Note 1) 217,370 92,615 79,325 496,816
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 256,899,790 527,610,499 198,812,580 1,599,124,649
=================================================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) -- -- -- 683,518,367
Payable for Equity Index Swap Settlement (Note 1) 240,501 4,975,641 2,011,623 --
Payable for Futures Contracts Settlement (Note 1) 82,747 -- -- --
Payable upon Return of Securities Loaned (Note 9) 43,523,273 -- -- --
Payable for Securities Purchased (Note 1) 101,268 -- -- --
Investment Advisory Fees Payable (Note 4) 126,251 426,279 160,040 756,068
Custody Fees Payable 4,040 11,368 4,268 21,023
Interest Payable -- -- -- 4,187,982
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 44,078,080 5,413,288 2,175,931 688,483,440
=================================================================================================================================
NET ASSETS $ 212,821,710 $ 522,197,211 $ 196,636,649 $ 910,641,209
=================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 360,092,174 1,004,184,796 357,000,508 1,113,885,507
Undistributed Net Investment Income 1,591,656 11,788,159 4,437,522 26,324,479
Accumulated Net Realized Loss on Investments,
Equity Index Swaps, and Futures Contracts (179,087,615) (488,530,834) (162,538,659) (244,711,613)
Net Unrealized Appreciation (Depreciation) on
Investments, Equity Index Swaps, and
Futures Contracts 30,225,495 (5,244,910) (2,262,722) 15,142,836
=================================================================================================================================
NET ASSETS $ 212,821,710 $ 522,197,211 $ 196,636,649 $ 910,641,209
=================================================================================================================================
SHARES OUTSTANDING 3,874,314 9,770,197 3,518,801 26,269,986
NET ASSET VALUES $ 54.93 $ 53.45 $ 55.88 $ 34.66
* THE COST OF SECURITIES AT VALUE IS $222,405,388, $524,875,151,
$194,705,309, AND $1,589,459,288, RESPECTIVELY.
** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $0, $0 $0, AND
$704,718,709, RESPECTIVELY.
See Notes to Financial Statements.
120 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006
- --------------------------------------------------------------------------------
INVERSE
INVERSE GOVERNMENT
NOVA S&P 500 INVERSE OTC LONG BOND
MASTER MASTER MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 853,897 $ 14,374,808 $ 5,433,091 $ 56,548,348
Interest from Securities Lending, net (Note 9) 9,387 -- -- --
Dividends (Note 1) 1,528,167 -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 2,391,451 14,374,808 5,433,091 56,548,348
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 775,575 2,520,788 970,234 5,886,695
Interest Expense -- -- -- 24,180,418
Custody Fees 24,220 65,861 25,335 154,079
Tax Expense -- -- -- 2,677
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 799,795 2,586,649 995,569 30,223,869
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,591,656 11,788,159 4,437,522 26,324,479
=================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 11,799,364 -- -- (143,526)
Equity Index Swaps 1,479,423 (13,660,184) 2,333,569 --
Futures Contracts (708,967) (2,063,379) 2,009,819 21,012,127
Securities Sold Short -- -- -- 19,631,058
- ---------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 12,569,820 (15,723,563) 4,343,388 40,499,659
- ---------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (8,626,291) -- -- 36,590
Equity Index Swaps (252,386) (2,723,394) 1,076,398 --
Futures Contracts (65,069) (618,479) 451,714 (31,268,568)
Securities Sold Short -- -- -- (32,017,968)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (8,943,746) (3,341,873) 1,528,112 (63,249,946)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 3,626,074 (19,065,436) 5,871,500 (22,750,287)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,217,730 $ (7,277,277) $ 10,309,022 $ 3,574,192
=================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 121
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
NOVA MASTER INVERSE S&P 500 MASTER
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income $ 1,591,656 $ 4,148,818 $ 11,788,159 $ 12,325,304
Net Realized Gain (Loss) on Investments 12,569,820 27,423,468 (15,723,563) (31,152,100)
Net Change in Unrealized Appreciation
(Depreciation) on Investments (8,943,746) 9,550,148 (3,341,873) (10,404,747)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 5,217,730 41,122,434 (7,277,277) (29,231,543)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- -- --
=================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 138,376,403 530,645,270 427,928,557 474,543,851
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT -- -- -- --
COST OF SHARES REDEEMED (191,077,377) (607,131,473) (321,754,177) (440,278,711)
=================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (52,700,974) (76,486,203) 106,174,380 34,265,140
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (47,483,244) (35,363,769) 98,897,103 5,033,597
NET ASSETS--BEGINNING OF PERIOD 260,304,954 295,668,723 423,300,108 418,266,511
=================================================================================================================================
NET ASSETS--END OF PERIOD $ 212,821,710 $ 260,304,954 $ 522,197,211 $ 423,300,108
=================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,591,656 $ -- $ 11,788,159 $ --
=================================================================================================================================
TRANSACTIONS IN SHARES
Shares Purchased 2,653,087 10,948,780 7,706,370 8,493,346
Shares Purchased through Reinvestment -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Purchased 2,653,087 10,948,780 7,706,370 8,493,346
Shares Redeemed (3,706,166) (12,469,160) (5,846,419) (7,976,667)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Shares Purchased (Redeemed) (1,053,079) (1,520,380) 1,859,951 516,679
=================================================================================================================================
+ UNAUDITED
See Notes to Financial Statements.
122 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT
INVERSE OTC MASTER LONG BOND MASTER
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED, YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income $ 4,437,522 $ 5,333,357 $ 26,324,479 $ 23,895,786
Net Realized Gain (Loss) on Investments 4,343,388 (22,704,125) 40,499,659 (62,129,671)
Net Change in Unrealized Appreciation
(Depreciation) on Investments 1,528,112 (7,198,414) (63,249,946) 59,476,597
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 10,309,022 (24,569,182) 3,574,192 21,242,712
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- -- --
=================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 231,140,117 373,733,950 133,527,770 325,637,967
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT -- -- -- --
COST OF SHARES REDEEMED (214,600,982) (416,124,510) (753,539,156) (1,595,394,561)
=================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 16,539,135 (42,390,560) (620,011,386) (1,269,756,594)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 26,848,157 (66,959,742) (616,437,194) (1,248,513,882)
NET ASSETS--BEGINNING OF PERIOD 169,788,492 236,748,234 1,527,078,403 2,775,592,285
=================================================================================================================================
NET ASSETS--END OF PERIOD $ 196,636,649 $ 169,788,492 $ 910,641,209 $ 1,527,078,403
=================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 4,437,522 $ -- $ 26,324,479 $ --
=================================================================================================================================
TRANSACTIONS IN SHARES
Shares Purchased 3,996,106 6,714,992 3,610,099 10,007,468
Shares Purchased through Reinvestment -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Purchased 3,996,106 6,714,992 3,610,099 10,007,468
Shares Redeemed (3,701,985) (7,563,245) (20,917,912) (49,063,279)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Shares Purchased (Redeemed) 294,121 (848,253) (17,307,813) (39,055,811)
=================================================================================================================================
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 123
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET
INCREASE
(DECREASE)
IN NET
NET REALIZED ASSET
NET ASSET NET AND VALUE DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED RESULTING FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) FROM INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS) ON SECURITIES OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
SEPTEMBER 30, 2006@ $52.83 $ .41 $ 1.69 $ 2.10 $ -- $ -- $ --
March 31, 2006 45.86 1.05 5.92 6.97 -- -- --
March 31, 2005 42.41 .66 2.79 3.45 (--)ss. -- (--)ss.
March 31, 2004 27.42 .32 14.99 15.31 (.32) -- (.32)
March 31, 2003 45.36 .31 (17.94) (17.63) (.31) -- (.31)
March 31, 2002* 50.00 .34 (4.62) (4.28) (.36) -- (.36)
INVERSE S&P 500 MASTER PORTFOLIO
SEPTEMBER 30, 2006@ 53.51 1.21 (1.27) (0.06) -- -- --
March 31, 2006 56.57 1.56 (4.62) (3.06) -- -- --
March 31, 2005 59.44 .45 (3.32) (2.87) -- -- --
March 31, 2004 81.01 .06 (21.59) (21.53) (.04) -- (.04)
March 31, 2003 64.57 .46 16.44 16.90 (.46) -- (.46)
March 31, 2002 65.19 1.22 (.35) .87 (1.49) -- (1.49)
INVERSE OTC MASTER PORTFOLIO
SEPTEMBER 30, 2006@ 52.65 1.26 1.97 3.23 -- -- --
March 31, 2006 58.13 1.65 (7.13) (5.48) -- -- --
March 31, 2005 60.55 .37 (2.79) (2.42) -- -- --
March 31, 2004 88.73 (1.93) (26.25) (28.18) -- -- --
March 31, 2003 85.18 6.71 16.02 22.73 (19.18) -- (19.18)
March 31, 2002 96.47 1.37 (8.93) (7.56) (3.73) -- (3.73)
INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO
SEPTEMBER 30, 2006@ 35.04 1.00 (1.38) (0.38) -- -- --
March 31, 2006 33.59 .55 .90 1.45 -- -- --
March 31, 2005 34.90 (.62) (.69) (1.31) -- -- --
March 31, 2004 37.35 (.61) (1.84) (2.45) -- -- --
March 31, 2003 46.25 (.41) (8.49) (8.90) -- -- --
March 31, 2002 45.39 .69 1.14 1.83 (.97) -- (.97)
RATIOS TO
AVERAGE NET ASSETS:
-----------------------------------------
NET
INCREASE NET ASSET NET NET ASSETS,
(DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF
IN NET END OF INVESTMENT GROSS NET OPERATING INCOME TURNOVER PERIOD (000'S
ASSET VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSESf (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
NOVA MASTER PORTFOLIO
SEPTEMBER 30, 2006@ $ 2.10 $54.93 3.97% 0.77%** 0.77%** 0.77%** 1.53%** 76% $ 212,822
March 31, 2006 6.97 52.83 15.20% 0.78% 0.78% 0.78% 1.40% 192% 260,305
March 31, 2005 3.45 45.86 8.14% 0.77% 0.77% 0.77% 1.26% 388% 295,669
March 31, 2004 14.99 42.41 55.84% 0.78% 0.78% 0.78% 0.81% 540% 266,248
March 31, 2003 (17.94) 27.42 (38.94)% 0.79% 0.79% 0.79% 0.91% 603% 170,793
March 31, 2002* (4.64) 45.36 (8.54)% 0.86%** 0.86%** 0.86%** 0.69%** 401% 291,992
INVERSE S&P 500 MASTER PORTFOLIO
SEPTEMBER 30, 2006@ (0.06) 53.45 (0.11)% 0.92%** 0.92%** 0.92%** 4.20%** -- 522,197
March 31, 2006 (3.06) 53.51 (5.41)% 0.93% 0.93% 0.93% 2.74% -- 423,300
March 31, 2005 (2.87) 56.57 (4.83)% 0.92% 0.92% 0.92% 0.71% -- 418,267
March 31, 2004 (21.57) 59.44 (26.58)% 0.93% 0.93% 0.93% 0.09% -- 444,281
March 31, 2003 16.44 81.01 26.21% 0.94% 0.94% 0.94% 0.52% -- 529,062
March 31, 2002 (.62) 64.57 1.37% 0.94% 0.94% 0.94% 1.90% -- 228,485
INVERSE OTC MASTER PORTFOLIO
SEPTEMBER 30, 2006@ 3.23 55.88 6.13% 0.92%** 0.92%** 0.92%** 4.10%** -- 196,637
March 31, 2006 (5.48) 52.65 (9.43)% 0.93% 0.93% 0.93% 2.67% -- 169,788
March 31, 2005 (2.42) 58.13 (4.00)% 0.92% 0.92% 0.92% 0.66% -- 236,748
March 31, 2004 (28.18) 60.55 (31.76)% 0.93% 0.93% 0.93% 0.10% -- 262,356
March 31, 2003 3.55 88.73 20.95% 0.94% 0.94% 0.94% 0.51% -- 149,147
March 31, 2002 (11.29) 85.18 (8.03)% 0.94% 0.94% 0.94% 1.63% -- 115,929
INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO
SEPTEMBER 30, 2006@ (0.38) 34.66 (1.08)% 4.58%** 4.58%** 0.92%** 3.99%** 37% 910,641
March 31, 2006 1.45 35.04 4.32% 4.26% 4.26% 0.93% 1.18% 179% 1,527,078
March 31, 2005 (1.31) 33.59 (3.75)% 4.71% 4.71% 0.92% 1.93% 101% 2,775,592
March 31, 2004 (2.45) 34.90 (6.56)% 5.12%^ 5.12%^ 0.93% (3.39)% 187% 1,445,842
March 31, 2003 (8.90) 37.35 (19.24)% 5.18%^@ 5.18%^@ 0.94% (2.72)% -- 189,968
March 31, 2002 .86 46.25 4.12% 0.93% 0.93% 0.93% 1.61% -- 33,105
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 1, 2001-- NOVA MASTER
PORTFOLIO.
** ANNUALIZED.
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. THE INVERSE S&P 500
MASTER PORTFOLIO AND THE INVERSE OTC MASTER PORTFOLIO TYPICALLY HOLD MOST
OF THEIR INVESTMENTS IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED
SHORT-TERM SECURITIES.
f OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD.
ss. LESS THAN $.01 PER SHARE: NOVA MASTER PORTFOLIO = $.00009
@ UNAUDITED
^ THE INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO HAS RESTATED ITS RATIOS
OF GROSS AND NET EXPENSES TO AVERAGE NET ASSETS IN THE FINANCIAL
HIGHLIGHTS IN ORDER TO REFLECT THE RECLASSIFICATION OF INTEREST EXPENSE
FROM SECURITIES SOLD SHORT. THIS RESTATEMENT HAD NO EFFECT ON THE INVERSE
GOVERNMENT LONG BOND MASTER PORTFOLIO'S NET ASSET VALUE, PER SHARE VALUE,
NET INVESTMENT INCOME RATIOS AND TOTAL INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS DURING ANY PERIOD.
124 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Funds (the "Trust") is registered with the SEC under the
Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended
investment company, and is authorized to issue an unlimited number of no par
value shares. The Trust offers five separate classes of shares, Investor Class
Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class
Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if
Shares are redeemed within 12 months of purchase. Sales of shares of each Class
are made without a sales charge at the net asset value per share, with the
exception of A-Class Shares. A-Class Shares are sold at net asset value, plus
the applicable front-end sales charge. The sales charge varies depending on the
amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of
$1 million or more have a 1% CDSC if Shares are redeemed within 18 months of
purchase. The current sales charge rates are as follows:
SALES CHARGE SALES CHARGE
AMOUNT OF AS % OF AS % OF NET
INVESTMENT OFFERING PRICE AMOUNT INVESTED
- --------------------------------------------------------------------------------
Less than $100,000 4.75% 4.99%
$100,000 but less
than $250,000 3.75% 3.90%
$250,000 but less
than $500,000 2.75% 2.83%
$500,000 but less
than $1,000,000 1.60% 1.63%
$1,000,000 or greater 0.00% 0.00%
At September 30, 2006, the Trust consisted of fifty-three separate series:
twenty-six Benchmark Funds, one Money Market Fund, four Alternative Strategy
Funds, and three Essential Portfolio Funds. This report covers the twenty-six
Benchmark Funds and the Money Market Fund (the "Funds"), while the Sector Funds,
the Alternative Strategy Funds, and the Essential Portfolio Funds are contained
in separate reports.
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America and are
consistently followed by the Trust.
A. Effective May 31, 2006, the Trust began calculating a net asset value per
share ("NAV") twice each business day, first in the morning and again in the
afternoon for the Russell 2000 Fund and the S&P 500 Fund. All other Funds in the
Trust will price at the afternoon NAV. The morning NAV is calculated at 10:45
a.m., Eastern Time, and the afternoon NAV is calculated at the close of the New
York Stock Exchange ("NYSE"), usually 4:00 p.m., Eastern Time. The NAV is
calculated using the current market value of each Fund's total assets as of the
respective time of calculation. These financial statements are based on the
September 30, 2006 afternoon NAV.
B. All equity securities for the morning NAV are valued at the current sales
price as of 10:45 a.m., Eastern Time, on the valuation date. Equity securities
listed on an exchange (New York Stock Exchange ("NYSE") or American Stock
Exchange) are valued at the last quoted sales price as of the close of business
on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date for the
afternoon NAV. Equity securities listed on the Nasdaq market system are valued
at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on
the valuation date. Listed options held by the Trust are valued at the Official
Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time.
Over-the-Counter options held by the Trust are valued using the average bid
price obtained from one or more security dealers. The value of futures contracts
purchased and sold by the Trust are accounted for using the unrealized gain or
loss on the contracts that is determined by marking the contracts to their
current realized settlement prices. Financial futures contracts are valued as of
10:45 a.m., Eastern Time, on the valuation date for the morning pricing cycle.
Financial futures contracts are valued at the last quoted sales price, usually
as of 4:00 p.m., Eastern Time, on the valuation date for the afternoon NAV
cycle. In the event that the exchange for a specific futures contract closes
earlier than 4:00 p.m., Eastern Time, 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.,
Eastern Time, to determine if fair valuation would provide a more accurate
valuation. Short-term securities, if any, are valued at amortized cost, which
approximates market value.
The value of domestic equity index swap agreements entered into by a Fund is
accounted for using the unrealized gain or loss on the agreements that is
determined by marking the agreements to the last quoted value of the index that
the swap pertains to at 10:45 a.m., Eastern Time, for the morning NAV, and at
the close of the NYSE, usually 4:00 p.m., Eastern Time, for the afternoon NAV.
The swap's market value is then adjusted to include dividends accrued, financing
charges and/or interest associated with the swap agreements.
The value of foreign equity index, commodity index, and currency index swap
agreements entered into by a Fund is accounted for using the unrealized gain or
loss on the agreements that is determined by marking the agreements to the price
at which orders are being filled at the close of the NYSE, usually 4:00 p.m.,
Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time,
the security dealer provides a fair value quote at which the swap agreement is
valued. The swap's market value is then adjusted to include
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 125
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
dividends accrued, financing charges and/or interest associated with the swap
agreements.
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith by Rydex Investments (the "Advisor"), an
affiliated entity under direction of the Board of Trustees using methods
established or ratified by the Board of Trustees. These methods include, but are
not limited to: (i) general information as to how these securities and assets
trade; (ii) in connection with futures contracts and options thereupon, and
other derivative investments, information as to how (a) these contracts and
other derivative investments trade in the futures or other derivative markets,
respectively, and (b) the securities underlying these contracts and other
derivative investments trade in the cash market; and (iii) other information and
considerations, including current values in related markets. The shares of the
Master Portfolios held by the Feeder Funds are valued at their respective daily
Net Asset Value.
C. Securities transactions are recorded on the trade date for financial
reporting purposes. Realized gains and losses from securities transactions are
recorded using the identified cost basis. Proceeds from lawsuits related to
investment holdings are recorded as realized gains in the respective Fund.
Dividend income is recorded on the ex-dividend date, net of applicable taxes
withheld by foreign countries. Interest income, including amortization of
premiums and accretion of discount, is accrued on a daily basis.
D. Net investment income is computed and dividends are declared daily in the
Government Long Bond Advantage Fund and the U.S. Government Money Market Fund.
Income dividends in these Funds are paid daily. Dividends are reinvested in
additional shares unless shareholders request payment in cash. Distributions of
net investment income in the remaining Benchmark Funds and distributions of net
realized capital gains in all Funds are recorded on the ex-dividend date and are
determined in accordance with income tax regulations which may differ from
accounting principles generally accepted in the United States of America. These
differences are primarily due to differing treatments for items such as deferral
of wash sales and post-October losses and regulated futures contracts and
options. Net investment income and loss, net realized gains and losses, and net
assets are not affected by these differences.
E. When a Fund engages in a short sale, an amount equal to the proceeds is
reflected as an asset and an equivalent liability. The amount of the liability
is subsequently marked-to-market to reflect the market value of the short sale.
The Fund maintains a segregated account of cash and/or securities as collateral
for short sales. The Fund is exposed to market risk based on the amount, if any,
that the market value of the security exceeds the market value of the securities
in the segregated account. Fees, if any, paid to brokers to borrow securities in
connection with short sales are considered part of the cost of short sale
transactions. In addition, the Fund must pay out the dividend rate of the equity
or coupon rate of the treasury obligation to the purchaser and records this as
an expense. Short Dividends 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. Currently,
the Inverse Government Long Bond Master Portfolio is the only fund practicing
the use of short sales.
F. Upon the purchase of an option by a Fund, the premium paid is recorded as an
investment, the value of which is marked-to-market daily. When a purchased
option expires, the Fund will realize a loss in the amount of the cost of the
option. When the Fund enters into a closing sale transaction, the Fund will
realize a gain or loss depending on whether the proceeds from the closing sale
transaction are greater or less than the cost of the option. When a Fund
exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When a Fund exercises a call option, the cost of the
security that the Fund purchases upon exercise will be increased by the premium
originally paid. When a Fund writes (sells) an option, an amount equal to the
premium received is entered in the Trust's accounting records as an asset and
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a
written option expires, or if the Fund enters into a closing purchase
transaction, the Fund realizes a gain (or loss if the cost of a closing purchase
transaction exceeds the premium received when the option was sold).
G. The Trust may purchase or sell stock and bond index futures contracts and
options on such futures contracts. Futures contracts are contracts for delayed
delivery of securities at a specified future delivery date and at a specific
price. Upon entering into a contract, a Fund deposits and maintains as
collateral such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin
and are recorded by the Fund as unrealized gains or losses. When the contract is
closed, the Fund records a realized gain or loss equal to the difference between
the
126 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
value of the contract at the time it was opened and the value at the time it was
closed.
H. The Trust may enter into swap agreements, which are over-the-counter
contracts in which one party agrees to make periodic payments based on the
change in market value of a specified equity security, basket of equity
securities, equity index, commodity index, or U.S. Dollar index, in return for
periodic payments based on a fixed or variable interest rate or the change in
market value of a different equity security, basket of equity securities, equity
index, commodity index, or U.S. Dollar index. Swap agreements are used to obtain
exposure to an equity or market without owning or taking physical custody of
securities.
I. Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollar amounts at the date of valuation.
Purchases and sales of investment securities and income and expense items
denominated in foreign currencies are translated into U.S. dollar amounts on the
respective dates of such transactions. The Trust does not isolate that portion
of the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain and loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
foreign currencies and currency gains or losses realized between the trade and
settlement dates on investment transactions. Net unrealized exchange gains and
losses arise from changes in the fair values of assets and liabilities other
than investments in securities at the fiscal period end, resulting from changes
in exchange rates.
J. The Trust may enter into forward currency contracts primarily to hedge
against foreign currency exchange rate risks on its non-U.S. dollar denominated
investment securities. When entering into a forward currency contract, a Fund
agrees to receive or deliver a fixed quantity of foreign currency for an
agreed-upon price on an agreed future date. These contracts are valued daily and
the corresponding unrealized gain or loss on the contracts, as measured by the
difference between the forward foreign exchange rates at the dates of entry into
the contracts and the forward rates at the reporting date, is included in the
Statement of Assets and Liabilities. Realized and unrealized gains and losses
are included in the Statement of Operations.
K. The Funds may also purchase American Depository Receipts, U.S. Government
securities, enter into repurchase agreements, and engage in futures, options and
swap transactions.
L. The Funds may leave cash overnight in their cash account with the custodian,
U.S. Bancorp. Periodically, a Fund may have cash due to custodian bank as an
overdraft balance. A fee is incurred on this overdraft, calculated by
multiplying the overdraft by a rate based on the federal funds rate. Segregated
cash with the broker is held as collateral for investments in derivative
instruments such as futures contracts and index swap agreements.
M. Certain U.S. Government and Agency Obligations are traded on a discount
basis; the interest rates shown on the Schedules of Investments reflect the
discount rates paid at the time of purchase by a Fund. Other securities bear
interest at the rates shown, payable at fixed dates through maturity.
N. Interest and dividend income, most expenses, all realized gains and losses,
and all unrealized gains and losses are allocated to the Classes based upon the
value of the outstanding shares in each Class. Certain costs, such as
distribution fees relating to Advisor Class Shares, A-Class Shares and H-Class
Shares and service and distribution fees related to C-Class Shares, are charged
directly to specific Classes. In addition, certain expenses have been allocated
to the individual Funds in the Trust on a pro rata basis upon the respective
aggregate net asset value of each Fund included in the Trust.
O. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from these
estimates.
2. FINANCIAL INSTRUMENTS
As part of its investment strategy, the Trust may utilize a variety of
derivative instruments, including options, futures, options on futures, swap
agreements, and short sales. These investments involve, to varying degrees,
elements of market risk and risks in excess of the amounts recognized in the
Statements of Assets and Liabilities.
In 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 its affiliates that have not yet occurred. However, based on experience,
the Funds expect the risk of loss to be remote.
The risk associated with purchasing options is limited to the premium originally
paid. Options written by a Fund
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 127
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
involve, to varying degrees, risk of loss in excess of the option value
reflected in the Statements of Assets and Liabilities. The risk in writing a
covered call option is that a Fund may forego the opportunity for profit if the
market price of the underlying security increases and the option is exercised.
The risk in writing a covered put option is that a Fund may incur a loss if the
market price of the underlying security decreases and the option is exercised.
In addition, there is the risk that a Fund may not be able to enter into a
closing transaction because of an illiquid secondary market or, for
over-the-counter options, because of the counterparty's inability to perform.
The Trust has established strict counterparty credit guidelines and enters into
transactions only with financial institutions of investment grade or better.
There are several risks in connection with the use of futures contracts. Futures
contracts involve, to varying degrees, risk of loss in excess of amounts
reflected in the financial statements. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price of
the underlying securities. In addition, there is the risk that a Fund may not be
able to enter into a closing transaction because of an illiquid secondary
market.
The use of equity swaps and commodity linked notes involves risks that are
different from those associated with ordinary portfolio securities transactions.
Swap agreements may be considered to be illiquid. Although the Trust will not
enter into any swap agreement unless the Advisor believes that the other party
to the transaction is creditworthy, the Funds bear the risk of loss of the
amount expected to be received under a swap agreement in the event of the
default or bankruptcy of the agreement counterparty. The Trust has established
strict counterparty credit guidelines and enters into transactions only with
financial institutions of investment grade or better.
Short sales are transactions in which a Fund sells a security it does not own.
If the security the Fund sold short goes down 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 goes up 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.
In conjunction with the use of options, futures, options on futures, swap
agreements, as well as short sales of securities, the Funds are required to
maintain collateral in various forms. The Funds use, where appropriate,
depending on the financial instrument utilized and the broker involved, margin
deposits at the broker, cash and/or securities segregated at the custodian bank,
discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of options, futures contracts, options on futures
contracts, swap agreements, as well as short sales of securities, include i)
adverse changes in the value of such instruments; ii) imperfect correlation
between the price of the instruments and movements in the price of the
underlying securities, indices, or futures contracts; iii) the possible absence
of a liquid secondary market for any particular instrument at any time; and iv)
the potential of counterparty default.
3. MASTER-FEEDER ARRANGEMENT
Currently, the Nova Fund, the Inverse S&P 500 Fund, the Inverse Government Long
Bond Fund, and the Inverse OTC Fund are operating under a "master-feeder
arrangement." Under a master-feeder arrangement, a Fund invests substantially
all of its assets in the Master Portfolio, a separate open-ended investment
company that has the same investment objectives as the Fund, e.g., the Nova Fund
would act as a "feeder fund, "holding shares of its Master Portfolio as its only
investment. As a result, the Fund has an indirect interest in all of the
securities owned by the Master Portfolio. Because of this indirect interest, the
Fund's investment returns should be the same as those of the Master Portfolio,
adjusted for Fund expenses. The financial statements of the Master Portfolios,
including the Schedule of Investments, are included in this report and should be
read in conjunction with the Funds' financial statements. The percentage of Nova
Master Portfolio, Inverse S&P 500 Master Portfolio, Inverse OTC Master
Portfolio, and Inverse Government Long Bond Master Portfolio owned by the Nova
Fund, the Inverse S&P 500 Fund, the Inverse OTC Fund, and the Inverse Government
Long Bond Fund, respectively, at September 30, 2006, was 100 percent. The Funds
record their investments in the Master Portfolio at fair value. Valuation of
securities held by the Master Portfolio is discussed in Note 1, Significant
Accounting Policies.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of an investment advisory contract, the Trust pays the Advisor,
an affiliated entity, investment advisory fees calculated at an annualized rate
of 0.50% of the average daily net assets of the Government Long Bond Advantage
Fund and the U.S. Government Money Market Fund; 0.75% of the average daily net
assets of the S&P 500 Fund, the OTC Fund, the Russell 2000(R) Fund, the
Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the
Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, and
the Nova Master Portfolio; and 0.90% of the average daily net assets of the
Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Russell 2000(R) Advantage
Fund, the Inverse Russell 2000(R) Fund, the
128 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Europe Advantage Fund, the Japan Advantage Fund, the Dynamic Strengthening
Dollar Fund, the Dynamic Weakening Dollar Fund, the Inverse S&P 500 Master
Portfolio, the Inverse OTC Master Portfolio, and the Inverse Government Long
Bond Master Portfolio. Certain officers and trustees of the Trust are also
officers of the Advisor.
Rydex Investments, an affiliated entity, provides transfer agent and
administrative services to the Trust for fees calculated at an annualized rate
of 0.20% of the average daily net assets of the Government Long Bond Advantage
Fund and the U.S. Government Money Market Fund; and 0.25% of the average daily
net assets of the Nova Fund, the S&P 500 Fund, the Inverse S&P 500 Fund, the OTC
Fund, the Inverse OTC Fund, the Mid-Cap Advantage Fund, the Inverse Mid-Cap
Fund, the Russell 2000(R) Advantage Fund, the Russell 2000(R) Fund, the Inverse
Russell 2000(R) Fund, the Inverse Government Long Bond Fund, the Europe
Advantage Fund, the Japan Advantage Fund, the Small-Cap Value Fund, the Mid-Cap
Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap
Growth Fund, and the Large-Cap Growth Fund, the Dynamic Strengthening Dollar
Fund, and the Dynamic Weakening Dollar Fund.
Rydex Investments also provides accounting services to the Trust calculated at
an annualized rate of 0.10% on the first $250 million of the average daily net
assets, 0.075% on the next $250 million of the average daily net assets, 0.05%
on the next $250 million of the average daily net assets, and 0.03% on the
average daily net assets over $750 million of each of the Funds. Certain
officers and trustees of the Trust are also officers of Rydex Investments.
Rydex Investments also provides other necessary services to the Trust, such as
accounting and auditing services, legal services, printing and mailing, etc., on
a pass-through basis. Such expenses vary from Fund to Fund and are allocated to
the Funds based on relative net assets. The Trust has adopted a Distribution and
Shareholder Services Plan applicable to Advisor Class Shares and a Distribution
Plan applicable to A-Class Shares and H-Class Shares for which Rydex
Distributors, Inc. (the "Distributor"), an affiliated entity, and other firms
that provide distribution and/or shareholder services ("Service Providers") may
receive compensation. If a Service Provider provides distribution services, the
Trust will pay distribution fees to the Distributor at an annual rate not to
exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940
Act. The Distributor, in turn, will pay the Service Provider out of its fees.
The Distributor may, at its discretion, retain a portion of such payments to
compensate itself for distribution services. With regard to Advisor Class Shares
only, if a Service Provider provides shareholders services, the Distributor will
receive shareholder servicing fees from the Trust at an annual rate not to
exceed 0.25% of average daily net assets. The Distributor, in turn, will pay the
Service Provider out of its fees.
The Trust has adopted a separate Distribution and Shareholder Services Plan
applicable to its C-Class Shares that allows the Funds to pay annual
distribution and service fees of 1.00% of the Funds' C-Class Shares average
daily net assets. The annual 0.25% service fee compensates the shareholder's
financial advisor for providing on-going services to the shareholder. The annual
0.75% distribution fee reimburses the Distributor for paying the shareholder's
financial advisor an ongoing sales commission. The Distributor advances the
first year's service and distribution fees to the Financial Advisor. The
Distributor retains the service and distribution fees on accounts with no
authorized dealer of record. Certain officers and trustees of the Trust are also
officers of the Distributor.
5. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and will distribute all net
investment income and capital gains to shareholders. Therefore, no Federal
income tax provision is required.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments for derivatives, foreign currency transactions, losses
deferred due to wash sales, losses deferred due to post-October losses, and
excise tax regulations.
Permanent book and tax basis differences, if any, relating to shareholder
distributions will result in reclassifications to paid-in capital. This includes
net operating losses not utilized during the current period, net operating
losses offset with short-term capital gains, capital loss carryforward expired,
and the utilization of earnings and profits distributed to the shareholders on
redemption of shares as part of the dividends paid deduction for income tax
purposes. These reclassifications have no effect on net assets or net asset
values per share. Any taxable gain remaining at fiscal year end is distributed
in the following year.
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN
48). FIN 48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 129
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
taken in the course of preparing the Fund's tax returns 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.
Adoption of FIN 48 is required for fiscal years beginning after December 15,
2006 and is to be applied to all open tax years as of the effective date. At
this time, management is evaluating the implications of FIN 48 and its impact in
the financial statements has not yet been determined.
At September 30, 2006, the cost of securities for Federal income tax purposes,
the aggregate gross unrealized gain for all securities for which there was an
excess of value over tax cost and the aggregate gross unrealized loss for all
securities for which there was an excess of tax cost over value were as follows:
TAX TAX UNREALIZED TAX UNREALIZED NET UNREALIZED
FUND COST GAIN LOSS GAIN (LOSS)
- ----------------------------------------------------------------------------------------------------------------------
Nova Fund $ 201,983,042 $ 10,838,668 $ -- $ 10,838,668
S&P 500 Fund 11,742,929 338,109 (92,646) 245,463
Inverse S&P 500 Fund 539,578,702 -- (17,381,491) (17,381,491)
OTC Fund 736,902,248 284,111,718 (10,926,556) 273,185,162
Inverse OTC Fund 205,717,131 -- (9,080,482) (9,080,482)
Mid-Cap Advantage Fund 60,125,889 3,493,047 (1,327,845) 2,165,202
Inverse Mid-Cap Fund 51,030,908 -- (134,384) (134,384)
Russell 2000(R) Advantage Fund 102,596,222 8,649,896 (1,962,158) 6,687,738
Russell 2000(R) Fund 10,361,935 306,113 (138,669) 167,444
Inverse Russell 2000(R) Fund 166,898,355 -- (174,937) (174,937)
Government Long Bond Advantage Fund 154,725,142 10,622,955 -- 10,622,955
Inverse Government Long Bond Fund 888,479,350 22,161,859 -- 22,161,859
Europe Advantage Fund 87,880,640 3,523,533 (13,191) 3,510,342
Japan Advantage Fund 51,204,176 61,242 -- 61,242
Small-Cap Value Fund 63,704,153 4,013,272 (113,852) 3,899,420
Mid-Cap Value Fund 35,496,874 5,116,813 (36,910) 5,079,903
Large-Cap Value Fund 194,782,105 17,800,615 (126,711) 17,673,904
Small-Cap Growth Fund 38,559,051 3,753,978 (137,474) 3,616,504
Mid-Cap Growth Fund 22,666,313 2,148,202 (102,693) 2,045,509
Large-Cap Growth Fund 92,036,191 3,431,371 (100,210) 3,331,161
Dynamic Strengthening Dollar Fund 26,944,353 -- -- --
Dynamic Weakening Dollar Fund 163,470,429 -- -- --
U.S.Government Money Market Fund 1,358,655,751 -- -- --
Nova Master Portfolio 222,405,388 32,594,187 (2,194,276) 30,399,911
Inverse S&P 500 Master Portfolio 524,875,151 -- (849,310) (849,310)
Inverse OTC Master Portfolio 194,705,309 -- (512,945) (512,945)
Inverse Government Long Bond Master Portfolio 1,589,459,288 21,200,342 (6,057,506) 15,142,836
6. REPURCHASE AGREEMENTS
The Funds transfer uninvested cash balances into a single joint account, along
with uninvested cash balances of the Absolute Return Strategies Fund, the Hedged
Equity Fund and the Multi-Cap Core Equity Fund (all included in the Trust, but
contained in separate reports). The daily aggregate balance is invested in one
or more repurchase agreements collateralized by obligations of the U.S.
Treasury. The collateral is in the possession of the Trust's custodian and is
evaluated daily to ensure that its market value exceeds by, at a minimum, 102%
of the delivery value of the repurchase agreement at maturity.
The repurchase agreements executed by the joint account and outstanding as of
September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE
- -------------------------------------------------------------------------------------------------------------
Bear Stearns and Cos., Inc. 4.80% due 10/02/06 $ 600,000,000 $ 600,000,000 $ 600,240,000
Morgan Stanley 4.89% due 10/02/06 325,000,000 325,000,000 325,132,438
Credit Suisse First Boston 4.94% due 10/02/06 155,139,690 155,139,690 155,203,556
Mizuho 4.95% due 10/02/06 500,000,000 500,000,000 500,206,250
Lehman Brothers, Inc. 5.00% due 10/02/06 109,323,450 109,323,450 109,369,002
- -------------------------------------------------------------------------------------------------------------
$1,689,463,140 $1,690,151,246
=============================================================================================================
130 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
As of September 30, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE
- --------------------------------------------------------------------------------
U. S. Treasury Bonds 6.750% - 8.500% $ 481,470,000 $ 633,622,428
U. S. Treasury Notes 0.875% - 7.500% 754,857,327 779,207,541
U. S. Treasury Bills 0.000% 320,160,000 315,602,626
- --------------------------------------------------------------------------------
$1,728,432,595
================================================================================
In the event of counterparty default, the Trust has the right to collect the
collateral to offset losses incurred. There is potential loss to the Trust in
the event the Trust is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible decline
in the value of the underlying securities during the period while the Trust
seeks to assert its rights. The Trust's investment advisor, acting under the
supervision of the Board of Trustees, reviews the value of the collateral and
the credit worthiness of those banks and dealers with which the Trust enters
into repurchase agreements to evaluate potential risks.
7. SECURITIES TRANSACTIONS
During the period ended September 30, 2006, purchases and sales of investment
securities, excluding short-term and temporary cash, were:
MID-CAP INVERSE RUSSELL 2000(R) INVERSE
S&P 500 OTC ADVANTAGE MID-CAP ADVANTAGE RUSSELL 2000(R) RUSSELL 2000(R)
FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ 5,135,764 $ 329,646,298 $ 98,052,393 $ -- $ 87,016,389 $ 11,140,258 $ --
Sales $ 966,121 $ 516,795,115 $117,899,553 $ -- $ 158,176,409 $ 6,575,322 $ --
GOVERNMENT
LONG BOND EUROPE JAPAN SMALL-CAP MID-CAP LARGE-CAP SMALL-CAP
ADVANTAGE ADVANTAGE ADVANTAGE VALUE VALUE VALUE GROWTH
FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $1,030,333,160 $ 104,612,232 $ -- $192,068,904 $ 135,674,497 $ 478,470,366 $ 79,324,142
Sales $ 956,320,953 $ 95,521,734 $ -- $246,548,531 $ 143,899,453 $ 377,199,418 $ 123,144,406
U.S. INVERSE
MID-CAP LARGE-CAP DYNAMIC DYNAMIC GOVERNMENT S&P 500
GROWTH GROWTH STRENGTHENING WEAKENING MONEY MARKET NOVA MASTER MASTER
FUND FUND DOLLAR FUND DOLLAR FUND FUND PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ 55,938,874 $ 199,017,809 $ -- $ -- $ -- $ 134,076,826 $ --
Sales $ 85,958,213 $ 156,795,081 $ -- $ -- $ -- $ 198,133,480 $ --
INVERSE
GOVERNMENT
INVERSE OTC LONG BOND
MASTER MASTER
PORTFOLIO PORTFOLIO
- -----------------------------------------------
Purchases $ -- $ 690,233,785
Sales $ -- $1,111,254,835
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 131
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
8. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of no par value
shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006 2006+ 2006
- ------------------------------------------------------------------------------------------------------------------------------------
NOVA FUND
Investor Class 6,330,730 27,152,702 -- 198,159 (7,491,999) (29,254,209)
Advisor Class 3,799,199 10,544,111 -- 62,807 (3,896,300) (11,227,691)
A-Class 248,788 1,254,655 -- 29,825 (654,039) (966,693)
C-Class 1,148,682 2,803,550 -- 59,796 (1,414,825) (3,019,911)
S&P 500 FUND*
A-Class 37,093 -- -- -- (4,917) --
C-Class 198,150 -- -- -- (93,342) --
H-Class 1,755,261 -- -- -- (1,357,300) --
INVERSE S&P 500 FUND
Investor Class 75,390,919 99,234,506 -- 516,815 (63,803,591) (96,365,464)
Advisor Class 10,897,998 23,545,582 -- 64,349 (12,423,069) (22,632,096)
A-Class 2,336,953 2,329,170 -- 14,976 (1,209,751) (2,061,619)
C-Class 6,497,860 9,282,280 -- 72,163 (5,110,659) (9,486,705)
OTC FUND
Investor Class 35,117,928 104,021,968 -- 274,125 (51,040,482) (106,169,976)
Advisor Class 13,380,926 22,564,826 -- 5,909 (11,367,864) (22,088,194)
A-Class 219,549 267,199 -- 777 (260,109) (229,480)
C-Class 2,928,319 6,809,523 -- 6,084 (3,407,869) (6,590,660)
INVERSE OTC FUND
Investor Class 16,347,487 28,974,138 -- 75,748 (16,282,661) (30,534,418)
Advisor Class 2,160,388 2,091,015 -- 6,535 (1,938,416) (2,315,301)
A-Class 623,475 240,974 -- 916 (410,753) (377,939)
C-Class 1,475,183 2,673,747 -- 8,562 (1,221,425) (2,694,889)
MID-CAP ADVANTAGE FUND
A-Class 78,583 1,225,928 -- 858 (104,279) (1,136,471)
C-Class 821,590 3,140,186 -- 6,064 (1,045,754) (2,980,481)
H-Class 5,864,575 23,002,578 -- 19,563 (6,444,984) (23,615,838)
INVERSE MID-CAP FUND
A-Class 73,616 18,953 -- 33 (54,482) (16,014)
C-Class 515,508 425,791 -- 733 (432,106) (418,213)
H-Class 4,079,322 6,128,547 -- 3,464 (3,389,353) (6,316,570)
NET SHARES PURCHASED (REDEEMED)
- --------------------------------------------------------
PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- --------------------------------------------------------
NOVA FUND
Investor Class (1,161,269) (1,903,348)
Advisor Class (97,101) (620,773)
A-Class (405,251) 317,787
C-Class (266,143) (156,565)
S&P 500 FUND*
A-Class 32,176 --
C-Class 104,808 --
H-Class 397,961 --
INVERSE S&P 500 FUND
Investor Class 11,587,328 3,385,857
Advisor Class (1,525,071) 977,835
A-Class 1,127,202 282,527
C-Class 1,387,201 (132,262)
OTC FUND
Investor Class (15,922,554) (1,873,883)
Advisor Class 2,013,062 482,541
A-Class (40,560) 38,496
C-Class (479,550) 224,947
INVERSE OTC FUND
Investor Class 64,826 (1,484,532)
Advisor Class 221,972 (217,751)
A-Class 212,722 (136,049)
C-Class 253,758 (12,580)
MID-CAP ADVANTAGE FUND
A-Class (25,696) 90,315
C-Class (224,164) 165,769
H-Class (580,409) (593,697)
INVERSE MID-CAP FUND
A-Class 19,134 2,972
C-Class 83,402 8,311
H-Class 689,969 (184,559)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
+ UNAUDITED
132 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006 2006+ 2006
- ------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000(R) FUND*
A-Class 3,049 -- -- -- (1,736) --
C-Class 183,496 -- -- -- (47,084) --
H-Class 1,726,329 -- -- -- (1,475,465) --
RUSSELL 2000(R) ADVANTAGE FUND
A-Class 46,158 968,950 -- -- (110,456) (908,381)
C-Class 913,457 6,713,989 -- -- (1,049,225) (6,533,348)
H-Class 16,929,313 76,175,310 -- -- (19,653,810) (74,076,435)
INVERSE RUSSELL(R) 2000 FUND
A-Class 788,877 325,078 -- 117 (124,163) (305,093)
C-Class 895,720 1,263,716 -- 1,088 (538,846) (1,264,315)
H-Class 13,885,636 17,407,229 -- 13,290 (12,136,068) (17,025,082)
GOVERNMENT LONG BOND ADVANTAGE FUND
Investor Class 45,757,080 59,457,465 128,690 109,680 (38,749,520) (58,757,354)
Advisor Class 98,971,371 122,265,356 64,918 187,971 (98,522,309) (125,248,884)
A-Class 1,082,799 464,474 3,322 1,681 (435,694) (476,866)
C-Class 2,906,041 8,976,528 12,670 20,790 (2,238,215) (9,296,594)
INVERSE GOVERNMENT LONG BOND FUND
Investor Class 19,174,619 59,242,280 -- -- (35,327,183) (97,900,845)
Advisor Class 3,364,940 16,377,556 -- -- (5,660,188) (23,629,643)
A-Class 1,177,670 2,710,989 -- -- (2,753,381) (5,729,118)
C-Class 1,651,231 7,953,295 -- -- (12,800,127) (28,457,063)
EUROPE ADVANTAGE FUND
A-Class 222,609 311,944 -- 1,109 (135,989) (254,924)
C-Class 2,672,987 3,968,922 -- 3,854 (2,584,939) (3,865,661)
H-Class 16,594,395 20,643,373 -- 32,731 (15,336,982) (22,054,304)
JAPAN ADVANTAGE FUND
A-Class 129,057 346,530 -- -- (93,575) (271,617)
C-Class 627,538 1,114,445 -- -- (750,661) (901,210)
H-Class 8,927,469 21,290,967 -- -- (10,647,070) (19,734,592)
SMALL-CAP VALUE FUND
A-Class 125,090 461,835 -- 61 (97,830) (477,200)
C-Class 3,087,631 5,165,573 -- 2,036 (3,203,790) (5,028,538)
H-Class 5,403,690 19,707,435 -- 26,163 (7,070,640) (19,347,221)
MID-CAP VALUE FUND
A-Class 101,210 134,847 -- 56 (105,529) (99,758)
C-Class 273,658 2,981,901 -- 1,344 (329,969) (3,074,861)
H-Class 5,190,080 19,573,476 -- 14,373 (5,418,755) (22,810,820)
NET SHARES PURCHASED (REDEEMED)
- --------------------------------------------------------
PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- --------------------------------------------------------
RUSSELL 2000(R) FUND*
A-Class 1,313 --
C-Class 136,412 --
H-Class 250,864 --
RUSSELL 2000(R) ADVANTAGE FUND
A-Class (64,298) 60,569
C-Class (135,768) 180,641
H-Class (2,724,497) 2,098,875
INVERSE RUSSELL(R) 2000 FUND
A-Class 664,714 20,102
C-Class 356,874 489
H-Class 1,749,568 395,437
GOVERNMENT LONG BOND ADVANTAGE FUND
Investor Class 7,136,250 809,791
Advisor Class 513,980 (2,795,557)
A-Class 650,427 (10,711)
C-Class 680,496 (299,276)
INVERSE GOVERNMENT LONG BOND FUND
Investor Class (16,152,564) (38,658,565)
Advisor Class (2,295,248) (7,252,087)
A-Class (1,575,711) (3,018,129)
C-Class (11,148,896) (20,503,768)
EUROPE ADVANTAGE FUND
A-Class 86,620 58,129
C-Class 88,048 107,115
H-Class 1,257,413 (1,378,200)
JAPAN ADVANTAGE FUND
A-Class 35,482 74,913
C-Class (123,123) 213,235
H-Class (1,719,601) 1,556,375
SMALL-CAP VALUE FUND
A-Class 27,260 (15,304)
C-Class (116,159) 139,071
H-Class (1,666,950) 386,377
MID-CAP VALUE FUND
A-Class (4,319) 35,145
C-Class (56,311) (91,616)
H-Class (228,675) (3,222,971)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006.
+ UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 133
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006 2006+ 2006
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
A-Class 87,968 164,425 -- 85 (66,124) (147,956)
C-Class 5,858,084 9,967,333 -- 3,170 (5,872,183) (9,994,750)
H-Class 16,356,084 16,750,835 -- 21,477 (12,849,478) (15,788,889)
SMALL-CAP GROWTH FUND
A-Class 52,172 207,173 -- 293 (54,840) (180,958)
C-Class 592,669 3,429,315 -- 3,741 (718,540) (3,342,935)
H-Class 2,773,633 21,283,960 -- 58,880 (4,014,183) (20,000,689)
MID-CAP GROWTH FUND
A-Class 175,257 207,659 -- 100 (171,546) (180,462)
C-Class 269,320 1,576,700 -- 1,056 (285,232) (1,559,525)
H-Class 2,041,125 17,787,226 -- 19,515 (3,021,133) (17,160,129)
LARGE-CAP GROWTH FUND
A-Class 95,134 223,808 -- 15 (68,151) (191,834)
C-Class 2,616,896 10,263,007 -- 1,158 (2,260,613) (10,871,227)
H-Class 6,850,746 12,639,810 -- 1,540 (5,573,483) (11,886,023)
DYNAMIC STRENGTHENING DOLLAR FUND
A-Class 50,135 36,159* -- 18* (35,214) (32,880)*
C-Class 439,639 318,610* -- 128* (365,196) (290,822)*
H-Class 5,768,454 7,556,865* -- 1,500* (5,124,911) (7,296,012)*
DYNAMIC WEAKENING DOLLAR FUND
A-Class 721,031 172,682* -- 360* (365,031) (41,370)*
C-Class 582,028 426,708* -- 564* (201,840) (253,580)*
H-Class 12,061,588 8,784,802* -- 6,715* (8,919,623) (6,512,821)*
U.S. GOVERNMENT MONEY MARKET FUND
Investor Class 8,900,575,560 18,360,372,730 21,007,446 29,760,400 (8,832,518,729) (18,611,041,218)
Advisor Class 1,629,617,865 2,927,374,399 3,810,033 3,987,174 (1,638,939,809) (3,025,421,814)
A-Class 35,777,867 89,972,004 240,694 197,533 (37,725,702) (83,180,177)
C-Class 846,475,229 2,268,195,734 1,784,511 2,403,366 (865,886,037) (2,295,221,007)
NET SHARES PURCHASED (REDEEMED)
- --------------------------------------------------------
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- -------------------------------------------------------
LARGE-CAP VALUE FUND
A-Class 21,844 16,554
C-Class (14,099) (24,247)
H-Class 3,506,606 983,423
SMALL-CAP GROWTH FUND
A-Class (2,668) 26,508
C-Class (125,871) 90,121
H-Class (1,240,550) 1,342,151
MID-CAP GROWTH FUND
A-Class 3,711 27,297
C-Class (15,912) 18,231
H-Class (980,008) 646,612
LARGE-CAP GROWTH FUND
A-Class 26,983 31,989
C-Class 356,283 (607,062)
H-Class 1,277,263 755,327
DYNAMIC STRENGTHENING DOLLAR FUND
A-Class 14,921 3,297*
C-Class 74,443 27,916*
H-Class 643,543 262,353*
DYNAMIC WEAKENING DOLLAR FUND
A-Class 356,000 131,672*
C-Class 380,188 173,692*
H-Class 3,141,965 2,278,696*
U.S. GOVERNMENT MONEY MARKET FUND
Investor Class 89,064,277 (220,908,088)
Advisor Class (5,511,911) (94,060,241)
A-Class (1,707,141) 6,989,360
C-Class (17,626,297) (24,621,907)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005.
+ UNAUDITED
134 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
9. PORTFOLIO SECURITIES LOANED
The Trust lends 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 borrowers and earnings on cash collateral investments shared
with the lending agent. Within this arrangement, the Trust acts as the lender,
U.S. Bancorp acts as the agent, and other approved registered broker dealers act
as the borrowers. The Trust receives cash collateral, valued at 100% of the
value of the securities on loan, which is initially held in a segregated account
at U.S. Bancorp. As agent, U.S. Bancorp may, for investment purposes, pool the
Trust's collateral in joint accounts with cash collateral from one or more other
securities lending customers of U.S. Bancorp. Under the terms of the Trust's
securities lending agreement with U.S. Bancorp, cash collateral may be invested
by U.S. Bancorp in certain high quality, liquid investments. At September 30,
2006, the pooled cash collateral investments consisted of repurchase agreements
(46.60%), commercial paper (34.12%), fixed income securities (15.48%),
guaranteed investment contract (3.67%), and mutual funds (0.13%). 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 risk, the
Trust 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 Trust has
the right under the securities lending agreement to recover the securities from
the borrower on demand.
The following represents a breakdown of the collateral, its rates, and
maturities.
COLLATERAL TYPE RATES MATURITY
- -------------------------------------------------------------------------------------------------
Repurchase Agreements 5.350% - 5.445% 10/02/06
Commerical Paper 5.300% - 5.432% 10/02/06 - 10/30/06
Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33
Guaranteed Investment Contract 5.450% 11/24/06
Mutual Funds N/A N/A
At September 30, 2006, the following funds participated in securities lending
and received cash collateral:
VALUE OF
FUND CASH COLLATERAL SECURITIES LOANED
- -------------------------------------------------------------------------------------------------
OTC Fund $256,156,878 $246,485,229
Mid-Cap Advantage Fund 8,682,175 8,330,025
Russell 2000(R) Advantage Fund 14,084,000 13,422,831
Small-Cap Value Fund 6,834,204 6,392,141
Mid-Cap Value Fund 9,506,220 9,119,911
Large-Cap Value Fund 41,932,704 40,182,009
Small-Cap Growth Fund 9,036,922 8,620,344
Mid-Cap Growth Fund 4,795,078 4,569,393
Large-Cap Growth Fund 15,146,000 14,634,171
U.S. Government Money Market Fund 140,000,000 138,910,000
Nova Master Portfolio 43,523,273 42,145,653
10. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board has selected Ernst & Young LLP ("E&Y") to serve as the Funds'
independent registered public accounting firm for the fiscal year ended March
31, 2007. The decision to select E&Y was recommended by the Audit Committee and
was approved by the Board on September 25, 2006. During the Funds' fiscal years
ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor
anyone on their behalf consulted with E&Y on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Funds' financial statements; or (ii) concerned the subject of a disagreement
(as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable
events (as described in paragraph (a)(1)(iv) of said Item 304).
The selection of E&Y does not reflect any disagreements with or dissatisfaction
by the Funds or the Board with the performance of the Funds' prior auditor,
PricewaterhouseCoopers LLP ("PwC"). The decision to dismiss PwC effective upon
its completion of its audits for the fiscal year ended March 31, 2006 and to
select E&Y was recommended by the Funds' Audit Committee and approved by the
Funds' Board of Trustees. PwC's report on the Funds' financial statements for
the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Funds' fiscal years ended March
31, 2006
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 135
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
and March 31, 2005, (i) there were no disagreements with PwC on any matter of
accounting principles or practices, financial statement disclosure or auditing
scope or procedure, which disagreements, if not resolved to the satisfaction of
PwC, would have caused it to make reference to the subject matter of the
disagreements in connection with its report on the Funds' financial statements
for such years, and (ii) there were no "reportable events" of the kind described
in Item 304(a)(1)(v) of Regulation SK under the Securities and Exchange Act of
1934, as amended.
136 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES INFORMATION
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q; which are available on
the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 (the "1940 Act") requires that the initial
approval of, as well as the continuation of, a fund's investment advisory
agreement be specifically approved (1) by the vote of the trustees or by a vote
of the shareholders of the fund, and (2) by the vote of a majority of the
trustees who are not parties to the investment advisory agreement or "interested
persons" of any party (the "Independent Trustees"), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such
approvals, the fund's trustees must request and evaluate, and the investment
adviser is required to furnish, such information as may be reasonably necessary
to evaluate the terms of the advisory agreement. In addition, the Securities and
Exchange Commission (the "SEC") takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex Series Funds Board of Trustees
(the "Board") calls and holds one meeting each year that is dedicated to
considering whether to renew the investment advisory agreement between Rydex
Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under
the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement")
with respect to existing funds in the Trust, including the funds discussed in
this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to
reviewing certain other agreements pursuant to which Rydex Investments provides
investment advisory services to certain other registered investment companies.
In preparation for the meeting, the Board requests and reviews a wide variety of
materials provided by Rydex Investments, including information about Rydex
Investments' affiliates, personnel and operations. The Board also receives data
provided by third parties. This information is in addition to the detailed
information about the Funds that the Board reviews during the course of each
year, including information that relates to Fund operations and performance. The
Board also receives a memorandum from Fund counsel regarding the
responsibilities of the Board for the approval of investment advisory
agreements. In addition, the Independent Trustees receive advice from
independent counsel to the Independent Trustees, meet in executive session
outside the presence of fund management, and participate in question and answer
sessions with representatives of Rydex Investments.
At a meeting held on August 27 and 28, 2006, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on consideration and evaluation of a variety of specific
factors discussed at that meeting and at prior meetings, including:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS
The Board reviewed the scope of services to be provided by Rydex
Investments under the Advisory Agreement and noted that there would be no
significant differences between the scope of services required to be
provided by Rydex Investments for the past year and the scope of services
required to be provided by Rydex Investments for the upcoming year. In
reviewing the scope of services provided to the Funds by Rydex
Investments, the Board reviewed and discussed Rydex Investments'
investment experience, noting that Rydex Investments and its affiliates
have committed significant resources over time to the support of the
Funds. The Board also considered Rydex Investments' compliance program and
its compliance record with respect to the Funds. In that regard, the Board
noted that Rydex Investments provides information regarding the portfolio
management and compliance to the Board on a periodic basis in connection
with regularly scheduled meetings of the Board. In addition to the above
considerations, the Board reviewed and considered Rydex Investments'
investment processes and strategies, and matters related to Rydex
Investments' portfolio
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 137
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
transaction policies and procedures. In particular, the Board noted the
substantial volume of portfolio trades and shareholder transaction
activity, in general, processed by Rydex Investments due to the unlimited
exchange policy of the majority of the Funds. The Board further noted that
the Funds have met their investment objectives consistently since their
relevant inception dates. Based on this review, the Board concluded that
the nature, extent and quality of services to be provided by Rydex
Investments to the Funds under the Advisory Agreement were appropriate and
continued to support the Board's original selection of Rydex Investments
as investment adviser to the Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund in
comparison with the same information for other funds registered under the
1940 Act determined by Rydex Investments to comprise each Fund's
applicable peer group. Because few funds seek to provide unlimited
exchange privileges similar to those of the Funds (other than the
Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund,
Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's
applicable peer group is generally limited to the funds of two
unaffiliated mutual fund families. In addition, the Board reviewed
statistical information prepared by Rydex Investments relating to the
performance of each Fund, as well as each Fund's ability to successfully
track its benchmark over time, and a comparison of each Fund's performance
to funds with similar investment objectives for the same periods and to
appropriate indices/benchmarks, in light of total return, yield and market
trends. The Board further noted that despite the unique nature of the
Funds, the peer fund information presented to the Board was meaningful
because the peer funds' investment objectives and strategies were closely
aligned with those of the Funds. The Board noted that most of the Funds
either outperformed their peer funds or performed in line with them over
relevant periods. The Board also noted that the investment advisory fees
and overall expenses for the Funds were generally lower than or in line
with the investment advisory fee rates and overall expenses of the peer
funds. Based on this review, the Board concluded that the investment
advisory fees and expense levels and the historical performance of the
Funds, as managed by Rydex Investments, as compared to the investment
advisory fees and expense levels and performance of the peer funds, were
satisfactory for the purposes of approving the continuance of the Advisory
Agreement.
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to
Rydex Investments based on the advisory fees payable under the Advisory
Agreement for the last calendar year. Rydex Investments also presented the
Board with material discussing its methodology for determining the level
of advisory fees assessable to the Funds. The Board analyzed the Funds'
expenses, including the investment advisory fees paid to Rydex
Investments. The Board also reviewed information regarding direct revenue
received by Rydex Investments and ancillary revenue received by Rydex
Investments and/or its affiliates in connection with the services provided
to the Funds by Rydex Investments (as discussed below) and/or its
affiliates. The Board also discussed Rydex Investments' profit margin as
reflected in Rydex Investments' profitability analysis and reviewed
information regarding economies of scale (as discussed below). Based on
this review, the Board concluded that the profits to be realized by Rydex
Investments and its affiliates under the Advisory Agreement and from other
relationships between the Funds and Rydex Investments and/or its
affiliates, if any, were within the range the Board considered reasonable
and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the
Board reviewed information regarding economies of scale or other
efficiencies that may result from increases in the Funds' asset levels.
The Board noted that the Advisory Agreement for the Funds did not provide
for any breakpoints in the investment advisory fee rates as a result of
increases in the asset levels of such Funds. The Board also noted that
though Rydex Investments' assets under management were significant, the
amount is spread among more than 95 Funds. Further limiting the
realization of economies of scale is the ability of shareholders of a
majority of the Funds to engage in unlimited trading. The Board also
reviewed Rydex Investments' historic profitability as investment adviser
to the Funds and determined that reductions in fee rates or additions of
breakpoints were not warranted at this juncture. Based on this review, the
Board, recognizing its responsibility to consider this issue at least
annually, concluded that there are limited economies of scale to share
with the Funds' shareholders.
138 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES
In addition to evaluating the services provided by Rydex Investments, the
Board also considered the nature, extent, quality and cost of the
administrative, distribution, and shareholder services performed by Rydex
Investments' affiliates under separate agreements. The Board noted that
Rydex Investments reports its use of soft dollars to the Board on a
quarterly basis, as well as any portfolio transactions on behalf of the
Funds placed through an affiliate of the Funds or Rydex Investments
pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board
concluded that the nature and quality of the services provided by Rydex
Investments' affiliates to the Trust will benefit the Funds' shareholders,
and that any ancillary benefits would not be disadvantageous to the Funds'
shareholders, particularly in light of the Board's view that the Funds'
shareholders benefit from investing in a fund that is part of a large
family of funds offering a variety of investment strategies and services.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 139
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling
1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell
Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- -------------------------- ----------------------------- ----------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132
Trustee, President (1952) Rydex Variable Trust - 2004
Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and
Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive
Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II,
Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President
of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund
Services, Inc. and Rydex Distributors, Inc. (1997 to 2000)
-----------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 132
Trustee, Vice President (1970) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized
Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable
Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series
Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to
present); Vice President of Rydex Dynamic Funds (1999 to present); Vice
President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex
Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors
(2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex
Distributors, Inc. (2003 to 2004)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- -------------------------- ----------------------------- ----------------
JOHN O. DEMARET Rydex Series Funds - 1997 125
Trustee, Chairman of the Rydex Variable Trust - 1998
Board (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
-----------------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 125
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
-----------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 125
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
-----------------------------
140 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- -------------------------- ----------------------------- ----------------
WERNER E. KELLER Rydex Series Funds - 2005 125
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present);
Chairman, Centurion Capital Management (1991 to 2001)
-----------------------------
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
-----------------------------
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
-----------------------------
ROGER SOMERS Rydex Series Funds - 1993 125
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------------ ----------------------------------------
NICK BONOS* Chief Financial Officer of Rydex
Vice President and Specialized Products, LLC (2005 to
Treasurer (1963) present); Vice President and Treasurer
of Rydex Series Funds, Rydex Variable
Trust, Rydex Dynamic Funds, and Rydex
ETF Trust (2003 to present); Senior Vice
President of Rydex Fund Services, Inc.
(2003 to present); Vice President and
Treasurer of Rydex Capital Partners
SPhinX Fund (2003 to 2006); Vice
President of Accounting of Rydex Fund
Services, Inc. (2000 to 2003)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series
Chief Compliance Officer Funds, Rydex Variable Trust, and Rydex
and Secretary (1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds
(2000 to present); Secretary of Rydex
ETF Trust (2002 to present); Vice
President of Compliance of Rydex Fund
Services, Inc. (2000 to present);
Secretary of Rydex Capital Partners
SphinX Fund (2003 to 2006)
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 141
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------------ ----------------------------------------
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds, Rydex ETF Trust (2006);
Vice President of Rydex Fund Services,
Inc. (2004 to present); Director of
Accounting of Rydex Fund Services, Inc.
(2003 to 2004); Vice President of Mutual
Funds, State Street Bank & Trust (2000
to 2003)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds,
Rydex ETF Trust (2006); Director of Fund
Administration of Rydex Fund Services,
Inc. (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST,
WITHIN THE MEANING OF SECTION 2(A)(19) OF THE 1940 ACT, INASMUCH AS THIS
PERSON IS AFFILIATED WITH THE ADVISOR.
142 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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[LOGO] RYDEXINVESTMENTS
ESSENTIAL FOR MODERN MARKETS(TM)
9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800-820-0888
RBENF-SEMI-0906 x0307
BANKING FUND
BASIC MATERIALS FUND
BIOTECHNOLOGY FUND
COMMODITIES FUND
CONSUMER PRODUCTS FUND
ELECTRONICS FUND
ENERGY FUND
SEPTEMBER 30, 2006
RYDEX SERIES FUNDS SECTOR FUNDS SEMI-ANNUAL REPORT
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
[LOGO] RYDEXINVESTMENTS
Essential for modern markets(TM)
This report and the financial statements contained herein are submitted for the
general information of our shareholders. The report is not authorized for
distribution to prospective investors unless preceded or accompanied by an
effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO OUR SHAREHOLDERS ................................................ 2
ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3
FUND PROFILES ............................................................. 8
SCHEDULES OF INVESTMENTS .................................................. 18
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 48
STATEMENTS OF OPERATIONS .................................................. 52
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 56
FINANCIAL HIGHLIGHTS ...................................................... 62
NOTES TO FINANCIAL STATEMENTS ............................................. 74
OTHER INFORMATION ......................................................... 85
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 88
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
Financial markets over the six-months ended September 30, 2006, were driven by a
widely anticipated "soft-landing" in the U.S. economy. This "goldilocks"
scenario had economic growth slowing, inflation and interest rates coming down
and the Federal Reserve ("Fed") ending its protracted string of increases. In
this environment, stocks rallied as corporate earnings continued to grow at
double digit rates without competition from higher interest rates. The icing on
the cake was relief from higher energy prices, which had risen relentlessly
since 2005.
While the rally in stocks was fairly broad-based, it definitely exhibited a
defensive bias. Large caps, value stocks and traditionally defensive sectors
generally outperformed small caps, growth stocks and more aggressive sectors.
This pattern is perfectly in keeping with the "late cycle" nature of the stock
market rally. Investors wanted to ride prices up, but wanted to hedge their bets
at the same time.
The large-cap nature of the rally was clearly evident in the performance of the
major averages. The home of the country's industrial giants--the Dow Jones
Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R),
which returned 4.14%. If we look at the extremes of the capitalization spectrum,
the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned
7.13% for the six month period versus a loss of 4.61% for the small-cap Russell
2000(R) Index.
In a defensive rally, investors are often wary of overpaying for stocks. That
was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a
0.7% decline for the Russell 1000(R) Growth Index. Although developed market
international stocks did well as the MSCI EAFE Index gained 3.2%, emerging
market stocks fared poorly as the MSCI EM Index fell 1.2%.
A major catalyst for the rally in stocks was the rally in bonds. While yields on
the short end of the curve actually rose, longer dated maturities rallied with
the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85%
during the six-month period. The catalyst for falling rates was the decline in
inflation and the Fed's pause from its extended interest rate increases. The
result was a steeply inverted yield curve. Historically, inverted yield curves
presage an economic slowdown or recession. While that remains a possibility, the
decline in long-term rates also signals the market's anticipation of an eventual
easing campaign by the Fed.
The performance of stocks at the sector level highlighted the defensive bias
towards the gains in stock prices over the past six months. The S&P 500
Utilities sector led the way with a gain of 10.2%. Although telecommunications
services, a more aggressive sector, was number two with a gain of 8.1%, consumer
staples and financials were the next best performers, gaining 7.5% and 6.5%,
respectively. It is worth noting that falling interest rates also helped both
financials and utilities. Sectors that typically perform well in a rapidly
expanding economic environment, specifically materials, industrials and
technology declined between 1.0% and 2.3% as the economy slowed.
Going into the fourth quarter, we expect that Gross Domestic Product will pick
up slightly, the Fed will remain on hold and equities will remain range-bound.
As we head into 2007, we also see the appetite for risk continuing to decline.
We appreciate the trust you have placed in our firm by investing with us.
Sincerely,
/s/ David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)
- --------------------------------------------------------------------------------
All mutual funds have operating expenses and it is important for our
shareholders to understand the impact of costs on their investments. As a
shareholder of the fund, you incur two types of costs: (i) transaction costs,
including sales charges (loads) on purchase payments, reinvested dividends, or
other distributions; redemption fees; 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 you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the
period and held for the entire six-month period beginning March 31, 2006 and
ending September 30, 2006.
The following tables illustrate your fund's costs in two ways:
TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and the fourth column shows the dollar
amount that would have been paid by an investor who started with $1,000 in
the fund. You may use the information here, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply
divide your 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 given for
your fund under the heading "Expenses Paid During Period."
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your 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 you 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. You can assess your fund's costs by comparing this hypothetical
example with the hypothetical examples that appear in shareholder reports of
other funds.
Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are
charged an annual $15 maintenance fee. Upon liquidating your retirement
account, a $15 account-closing fee will be taken from the proceeds of your
redemption.
The calculations above assume no shares were bought or sold during the period.
Your actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help you
compare ongoing costs only and do not reflect any transactional costs which may
be incurred by some of the Fund's classes. These costs may include, but are not
limited to, sales charges (loads), redemption fees, and exchange fees.
You can find more information about the Fund's expenses, including annual
expense ratios for the past five years, in the Financial Highlights section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
BANKING FUND
Investor Class 1.37% $1,000.00 $1,034.10 $ 6.99
Advisor Class 1.88% 1,000.00 1,030.10 9.57
A-Class 1.64% 1,000.00 1,032.90 8.36
C-Class 2.38% 1,000.00 1,031.40 12.12
BASIC MATERIALS FUND
Investor Class 1.36% 1,000.00 965.10 6.70
Advisor Class 1.86% 1,000.00 962.70 9.15
A-Class 1.63% 1,000.00 964.30 8.03
C-Class 2.37% 1,000.00 960.30 11.65
BIOTECHNOLOGY FUND
Investor Class 1.36% 1,000.00 908.30 6.51
Advisor Class 1.84% 1,000.00 906.40 8.79
A-Class 1.59% 1,000.00 907.10 7.60
C-Class 2.33% 1,000.00 903.90 11.12
COMMODITIES FUND
A-Class 1.27% 1,000.00 884.60 6.00
C-Class 1.98% 1,000.00 881.20 9.34
H-Class 1.24% 1,000.00 884.20 5.86
CONSUMER PRODUCTS FUND
Investor Class 1.37% 1,000.00 1,082.50 7.15
Advisor Class 1.87% 1,000.00 1,079.80 9.75
A-Class 1.61% 1,000.00 1,081.10 8.40
C-Class 2.38% 1,000.00 1,077.20 12.39
ELECTRONICS FUND
Investor Class 1.37% 1,000.00 903.10 6.54
Advisor Class 1.84% 1,000.00 899.80 8.76
A-Class 1.62% 1,000.00 902.50 7.73
C-Class 2.38% 1,000.00 898.90 11.33
ENERGY FUND
Investor Class 1.36% 1,000.00 960.30 6.68
Advisor Class 1.86% 1,000.00 958.00 9.13
A-Class 1.62% 1,000.00 959.10 7.96
C-Class 2.36% 1,000.00 955.90 11.57
ENERGY SERVICES FUND
Investor Class 1.36% 1,000.00 904.60 6.49
Advisor Class 1.84% 1,000.00 902.40 8.78
A-Class 1.61% 1,000.00 903.40 7.68
C-Class 2.35% 1,000.00 900.30 11.19
FINANCIAL SERVICES FUND
Investor Class 1.37% 1,000.00 1,027.90 6.96
Advisor Class 1.88% 1,000.00 1,024.80 9.54
A-Class 1.60% 1,000.00 1,025.60 8.12
C-Class 2.37% 1,000.00 1,022.10 12.01
4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
HEALTH CARE FUND
Investor Class 1.36% $1,000.00 $1,002.80 $ 6.83
Advisor Class 1.87% 1,000.00 1,001.40 9.38
A-Class 1.58% 1,000.00 1,002.90 7.93
C-Class 2.35% 1,000.00 998.50 11.77
INTERNET FUND
Investor Class 1.36% 1,000.00 929.60 6.58
Advisor Class 1.85% 1,000.00 927.60 8.94
A-Class 1.59% 1,000.00 929.10 7.69
C-Class 2.33% 1,000.00 925.80 11.25
LEISURE FUND
Investor Class 1.37% 1,000.00 974.50 6.78
Advisor Class 1.88% 1,000.00 972.10 9.29
A-Class 1.64% 1,000.00 973.10 8.11
C-Class 2.38% 1,000.00 969.40 11.75
PRECIOUS METALS FUND
Investor Class 1.25% 1,000.00 902.40 5.96
Advisor Class 1.76% 1,000.00 900.20 8.38
A-Class 1.51% 1,000.00 901.30 7.20
C-Class 2.25% 1,000.00 897.90 10.70
REAL ESTATE FUND
A-Class 1.62% 1,000.00 1,049.10 8.32
C-Class 2.38% 1,000.00 1,044.80 12.20
H-Class 1.62% 1,000.00 1,048.00 8.32
RETAILING FUND
Investor Class 1.38% 1,000.00 991.10 6.89
Advisor Class 1.87% 1,000.00 988.50 9.32
A-Class 1.64% 1,000.00 990.80 8.18
C-Class 2.37% 1,000.00 986.70 11.80
TECHNOLOGY FUND
Investor Class 1.38% 1,000.00 952.20 6.75
Advisor Class 1.88% 1,000.00 949.70 9.19
A-Class 1.59% 1,000.00 950.60 7.77
C-Class 2.35% 1,000.00 947.50 11.47
TELECOMMUNICATIONS FUND
Investor Class 1.35% 1,000.00 980.80 6.70
Advisor Class 1.78% 1,000.00 978.40 8.83
A-Class 1.35% 1,000.00 976.70 6.69
C-Class 2.29% 1,000.00 976.30 11.35
TRANSPORTATION FUND
Investor Class 1.35% 1,000.00 936.00 6.55
Advisor Class 1.86% 1,000.00 933.80 9.02
A-Class 1.61% 1,000.00 934.50 7.81
C-Class 2.36% 1,000.00 931.10 11.42
UTILITIES FUND
Investor Class 1.37% 1,000.00 1,095.60 7.20
Advisor Class 1.88% 1,000.00 1,092.60 9.86
A-Class 1.64% 1,000.00 1,094.30 8.61
C-Class 2.37% 1,000.00 1,090.10 12.42
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
BANKING FUND
Investor Class 1.37% $1,000.00 $1,018.11 $ 6.95
Advisor Class 1.88% 1,000.00 1,015.52 9.54
A-Class 1.64% 1,000.00 1,016.74 8.33
C-Class 2.38% 1,000.00 1,012.99 12.08
BASIC MATERIALS FUND
Investor Class 1.36% 1,000.00 1,018.16 6.90
Advisor Class 1.86% 1,000.00 1,015.63 9.44
A-Class 1.63% 1,000.00 1,016.79 8.27
C-Class 2.37% 1,000.00 1,013.04 12.03
BIOTECHNOLOGY FUND
Investor Class 1.36% 1,000.00 1,018.16 6.90
Advisor Class 1.84% 1,000.00 1,015.73 9.34
A-Class 1.59% 1,000.00 1,017.00 8.07
C-Class 2.33% 1,000.00 1,013.24 11.83
COMMODITIES FUND
A-Class 1.27% 1,000.00 1,018.62 6.45
C-Class 1.98% 1,000.00 1,015.02 10.05
H-Class 1.24% 1,000.00 1,018.77 6.29
CONSUMER PRODUCTS FUND
Investor Class 1.37% 1,000.00 1,018.11 6.95
Advisor Class 1.87% 1,000.00 1,015.58 9.49
A-Class 1.61% 1,000.00 1,016.90 8.17
C-Class 2.38% 1,000.00 1,012.99 12.08
ELECTRONICS FUND
Investor Class 1.37% 1,000.00 1,018.11 6.95
Advisor Class 1.84% 1,000.00 1,015.73 9.34
A-Class 1.62% 1,000.00 1,016.84 8.22
C-Class 2.38% 1,000.00 1,012.99 12.08
ENERGY FUND
Investor Class 1.36% 1,000.00 1,018.16 6.90
Advisor Class 1.86% 1,000.00 1,015.63 9.44
A-Class 1.62% 1,000.00 1,016.84 8.22
C-Class 2.36% 1,000.00 1,013.09 11.98
ENERGY SERVICES FUND
Investor Class 1.36% 1,000.00 1,018.16 6.90
Advisor Class 1.84% 1,000.00 1,015.73 9.34
A-Class 1.61% 1,000.00 1,016.90 8.17
C-Class 2.35% 1,000.00 1,013.14 11.93
FINANCIAL SERVICES FUND
Investor Class 1.37% 1,000.00 1,018.11 6.95
Advisor Class 1.88% 1,000.00 1,015.52 9.54
A-Class 1.60% 1,000.00 1,016.95 8.12
C-Class 2.37% 1,000.00 1,013.04 12.03
HEALTH CARE FUND
Investor Class 1.36% 1,000.00 1,018.16 6.90
Advisor Class 1.87% 1,000.00 1,015.58 9.49
A-Class 1.58% 1,000.00 1,017.05 8.02
C-Class 2.35% 1,000.00 1,013.14 11.93
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
INTERNET FUND
Investor Class 1.36% $1,000.00 $1,018.16 $ 6.90
Advisor Class 1.85% 1,000.00 1,015.68 9.39
A-Class 1.59% 1,000.00 1,017.00 8.07
C-Class 2.33% 1,000.00 1,013.24 11.83
LEISURE FUND
Investor Class 1.37% 1,000.00 1,018.11 6.95
Advisor Class 1.88% 1,000.00 1,015.52 9.54
A-Class 1.64% 1,000.00 1,016.74 8.33
C-Class 2.38% 1,000.00 1,012.99 12.08
PRECIOUS METALS FUND
Investor Class 1.25% 1,000.00 1,018.72 6.35
Advisor Class 1.76% 1,000.00 1,016.13 8.93
A-Class 1.51% 1,000.00 1,017.40 7.67
C-Class 2.25% 1,000.00 1,013.65 11.42
REAL ESTATE FUND
A-Class 1.62% 1,000.00 1,016.84 8.22
C-Class 2.38% 1,000.00 1,012.99 12.08
H-Class 1.62% 1,000.00 1,016.84 8.22
RETAILING FUND
Investor Class 1.38% 1,000.00 1,018.06 7.01
Advisor Class 1.87% 1,000.00 1,015.58 9.49
A-Class 1.64% 1,000.00 1,016.74 8.33
C-Class 2.37% 1,000.00 1,013.04 12.03
TECHNOLOGY FUND
Investor Class 1.38% 1,000.00 1,018.06 7.01
Advisor Class 1.88% 1,000.00 1,015.52 9.54
A-Class 1.59% 1,000.00 1,017.00 8.07
C-Class 2.35% 1,000.00 1,013.14 11.93
TELECOMMUNICATIONS FUND
Investor Class 1.35% 1,000.00 1,018.22 6.85
Advisor Class 1.78% 1,000.00 1,016.03 9.04
A-Class 1.35% 1,000.00 1,018.22 6.85
C-Class 2.29% 1,000.00 1,013.44 11.63
TRANSPORTATION FUND
Investor Class 1.35% 1,000.00 1,018.22 6.85
Advisor Class 1.86% 1,000.00 1,015.63 9.44
A-Class 1.61% 1,000.00 1,016.90 8.17
C-Class 2.36% 1,000.00 1,013.09 11.98
UTILITIES FUND
Investor Class 1.37% 1,000.00 1,018.11 6.95
Advisor Class 1.88% 1,000.00 1,015.52 9.54
A-Class 1.64% 1,000.00 1,016.74 8.33
C-Class 2.37% 1,000.00 1,013.04 12.03
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY
THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF
DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365.
+ ANNUALIZED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7
FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
BANKING FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
BANKING FUND
Commercial Banks 62%
Thrifts & Mortgage Finance 28%
Diversified Financial Services 10%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 1, 1998
A-Class September 1, 2004
C-Class March 30, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
J.P. Morgan Chase & Co. 4.8%
Bank of America Corp. 4.7%
Wells Fargo & Co. 4.2%
Wachovia Corp. 3.5%
Fannie Mae 2.9%
U.S. Bancorp 2.9%
Freddie Mac 2.6%
Washington Mutual, Inc. 2.4%
SunTrust Banks, Inc. 2.0%
Golden West Financial Corp. 1.8%
- --------------------------------------------------------
Top Ten Total 31.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
BASIC MATERIALS FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
BASIC MATERIALS FUND
Chemicals 48%
Metals & Mining 26%
Containers & Packaging 12%
Paper & Forest Products 9%
Other 5%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 14, 1998
A-Class September 1, 2004
C-Class May 3, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
E.I. du Pont de Nemours and Co. 3.4%
Dow Chemical Co. 3.3%
Monsanto Co. 2.8%
Alcoa, Inc. 2.5%
Praxair, Inc. 2.4%
International Paper Co. 2.3%
Phelps Dodge Corp. 2.3%
Air Products & Chemicals, Inc. 2.1%
Weyerhaeuser Co. 2.1%
Newmont Mining Corp. 2.0%
- --------------------------------------------------------
Top Ten Total 25.2%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are
involved in the biotechnology industry, including companies involved in research
and development, genetic or biological engineering and in the design,
manufacture or sale of related biotechnology products or services.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
BIOTECHNOLOGY FUND
Biotechnology 90%
Life Sciences Tools & Services 10%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 1, 1998
A-Class September 1, 2004
C-Class March 30, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Amgen, Inc. 10.7%
Genentech, Inc. 10.4%
Gilead Sciences, Inc. 6.8%
Genzyme Corp. 4.9%
Biogen Idec, Inc. 4.3%
Celgene Corp. 4.1%
Medimmune, Inc. 3.2%
Amylin Pharmaceuticals, Inc. 2.4%
Cephalon, Inc. 2.2%
Charles River Laboratories International, Inc. 2.2%
- --------------------------------------------------------
Top Ten Total 51.2%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
COMMODITIES FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance
of a benchmark for commodities. The Funds' current benchmark is the GSCI Total
Return Index.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
COMMODITIES FUND
Exchange Traded Funds 18%
Commodity Linked Securities 82%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
A-Class May 25, 2005
C-Class May 25, 2005
H-Class May 25, 2005
The Fund invests principally in derivative investments; such as commodity linked
notes, futures contracts, and options on index futures.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in
manufacturing finished goods and services both domestically and internationally.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
CONSUMER PRODUCTS FUND
Food Products 35%
Beverages 21%
Household Products 16%
Tobacco 11%
Food & Staples Retailing 11%
Personal Products 6%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class July 6, 1998
Advisor Class August 17, 1998
A-Class September 1, 2004
C-Class July 24, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Procter & Gamble Co. 7.1%
Altria Group, Inc. 6.0%
PepsiCo, Inc. 5.1%
Coca-Cola Co. 4.9%
Kraft Foods, Inc. -- Class A 3.9%
Anheuser-Busch Cos., Inc. 2.9%
Colgate-Palmolive Co. 2.7%
Kimberly-Clark Corp. 2.6%
Archer-Daniels-Midland Co. 2.2%
Sysco Corp. 2.2%
- --------------------------------------------------------
Top Ten Total 39.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
ELECTRONICS FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
ELECTRONICS FUND
Semiconductors & Semiconductor Equipment 100%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 2, 1998
A-Class September 1, 2004
C-Class March 26, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Intel Corp. 9.5%
Texas Instruments, Inc. 6.3%
Applied Materials, Inc. 4.6%
Micron Technology, Inc. 3.2%
Nvidia Corp. 3.2%
Broadcom Corp. -- Class A 3.2%
Freescale Semiconductor, Inc. -- Class B 3.0%
Advanced Micro Devices, Inc. 2.9%
Analog Devices, Inc. 2.6%
KLA-Tencor Corp. 2.6%
- --------------------------------------------------------
Top Ten Total 41.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
ENERGY FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
ENERGY FUND
Oil, Gas & Consumable Fuels 70%
Energy Equipment & Services 30%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 21, 1998
Advisor Class May 5, 1998
A-Class September 1, 2004
C-Class April 19, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Exxon Mobil Corp. 7.6%
BP PLC -- SP ADR 5.1%
Total SA -- SP ADR 4.6%
Chevron Corp. 4.4%
Royal Dutch Shell PLC -- SP ADR 4.0%
ConocoPhillips 3.4%
Schlumberge, Ltd. 3.0%
Repsol YPF SA -- SP ADR 2.2%
Occidental Petroleum Corp. 2.2%
Devon Energy Corp. 1.9%
- --------------------------------------------------------
Top Ten Total 38.4%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
ENERGY SERVICES FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
ENERGY SERVICES FUND
Energy Equipment & Services 100%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 2, 1998
A-Class September 1, 2004
C-Class March 30, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Schlumberger, Ltd. 10.1%
Halliburton Co. 5.7%
Transocean, Inc. 5.6%
Baker Hughes, Inc. 5.3%
Weatherford International Ltd. 4.2%
National - Oilwell Varco, Inc. 3.7%
Nabors Industries Ltd. 3.4%
Diamond Offshore Drilling, Inc. 3.4%
BJ Services Co. 3.4%
Noble Corp. 3.3%
- --------------------------------------------------------
Top Ten Total 48.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are
involved in the financial services sector.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
FINANCIAL SERVICES FUND
Insurance 22%
Commercial Banks 22%
Real Estate Investment Trusts 17%
Capital Markets 16%
Thrifts & Mortgage Finance 9%
Diversified Financial Services 9%
Other 5%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 2, 1998
Advisor Class April 6, 1998
A-Class September 1, 2004
C-Class April 19, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Bank of America Corp. 2.0%
Citigroup, Inc. 1.8%
J.P. Morgan Chase & Co. 1.7%
American International Group, Inc. 1.6%
Wells Fargo & Co. 1.4%
Wachovia Corp. 1.2%
Goldman Sachs Group, Inc. 1.2%
Morgan Stanley 1.2%
Merrill Lynch & Co., Inc. 1.2%
Fannie Mae 1.1%
- --------------------------------------------------------
Top Ten Total 14.4%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
HEALTH CARE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are
involved in the health care industry.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
HEALTH CARE FUND
Pharmaceuticals 36%
Health Care Providers & Services 25%
Health Care Equipment & Supplies 19%
Biotechnology 14%
Other 6%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 17, 1998
Advisor Class May 11, 1998
A-Class September 1, 2004
C-Class March 30, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Pfizer, Inc. 6.9%
Johnson & Johnson, Inc. 6.3%
Merck & Co., Inc. 3.7%
Genentech, Inc. 3.4%
Amgen, Inc. 3.4%
Abbott Laboratories 3.1%
Wyeth 3.0%
UnitedHealth Group, Inc. 2.9%
Eli Lilly & Co. 2.8%
Medtronic, Inc. 2.4%
- --------------------------------------------------------
Top Ten Total 37.9%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INTERNET FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that provide
products or services designed for or related to the Internet.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
INTERNET FUND
Internet Software & Services 27%
Communications Equipment 25%
Software 16%
Internet & Catalog Retail 7%
Media 7%
Other 18%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 6, 2000
Advisor Class April 6, 2000
A-Class September 1, 2004
C-Class April 19, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Cisco Systems, Inc. 9.8%
Google, Inc. -- Class A 7.1%
Time Warner, Inc. 6.8%
Qualcomm, Inc. 5.7%
eBay, Inc. 4.7%
Symantec Corp. 4.2%
Research In Motion Ltd. 4.0%
Yahoo!, Inc. 4.0%
Sun Microsystems, Inc. 3.5%
Qwest Communications International, Inc. 3.2%
- --------------------------------------------------------
Top Ten Total 53.0%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
LEISURE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in
leisure and entertainment businesses.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
LEISURE FUND
Hotels, Restaurants & Leisure 62%
Media 21%
Leisure Equipment & Products 11%
Software 6%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class June 3, 1998
A-Class September 1, 2004
C-Class May 3, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Time Warner, Inc. 5.5%
Walt Disney Co. 5.1%
McDonald's Corp. 4.6%
News Corp. -- Class A 4.0%
Carnival Corp. 3.5%
Viacom Inc. -- Class B 3.1%
Starbucks Corp. 3.0%
Electronic Arts, Inc. 2.9%
Las Vegas Sands Corp. 2.8%
Marriott International Inc. -- Class A 2.5%
- --------------------------------------------------------
Top Ten Total 37.0%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
PRECIOUS METALS FUND
OBJECTIVE: 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
PRECIOUS METALS FUND
Metals & Mining 100%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class December 1, 1993
Advisor Class August 1, 2003
A-Class September 1, 2004
C-Class April 27, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc. -- Class B 9.5%
Newmont Mining Corp. 9.0%
Barrick Gold Corp. 7.2%
Goldcorp, Inc. 6.6%
Glamis Gold Ltd. 5.3%
Agnico-Eagle Mines Ltd. 4.3%
Coeur d'Alene Mines Corp. 4.1%
AngloGold Ashanti Ltd. -- SP ADR 4.0%
Pan American Silver Corp. 4.0%
Gold Fields Ltd. -- SP ADR 3.6%
- --------------------------------------------------------
Top Ten Total 57.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
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").
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
REAL ESTATE FUND
Real Estate Investment Trusts 96%
Other 4%
"Industry 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)
- --------------------------------------------------------
Public Storage, Inc. 2.9%
Simon Property Group, Inc. 2.5%
Vornado Realty Trust 2.2%
Equity Residential 2.2%
Equity Office Properties Trust 2.1%
ProLogis 2.1%
Boston Properties, Inc. 1.9%
Host Hotels & Resorts, Inc. 1.9%
Archstone-Smith Trust 1.9%
General Growth Properties, Inc. 1.9%
- --------------------------------------------------------
Top Ten Total 21.6%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
RETAILING FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in
merchandising finished goods and services, including department stores,
restaurant franchises, mail-order operations and other companies involved in
selling products to consumers.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
RETAILING FUND
Specialty Retail 55%
Multiline Retail 19%
Food & Staples Retailing 16%
Internet & Catalog Retail 8%
Other 2%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 21, 1998
A-Class September 1, 2004
C-Class May 9, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Wal-Mart Stores, Inc. 6.3%
Home Depot, Inc. 3.8%
Target Corp. 3.2%
Walgreen Co. 2.9%
Lowe's Cos., Inc. 2.7%
Federated Department Stores, Inc. 2.3%
CVS Corp. 2.3%
Best Buy Co., Inc. 2.2%
Sears Holdings Corp. 2.2%
Kohl's Corp. 2.1%
- --------------------------------------------------------
Top Ten Total 30.0%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
TECHNOLOGY FUND
OBJECTIVE: Seeks 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.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
TECHNOLOGY FUND
Semiconductors & Semiconductor Equipment 21%
Software 21%
Communications Equipment 14%
Computers & Peripherals 13%
IT Services 13%
Electronic Equipment & Instruments 11%
Internet Software & Services 6%
Other 1%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 14, 1998
Advisor Class April 29, 1998
A-Class September 1, 2004
C-Class April 18, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Microsoft Corp. 3.2%
Cisco Systems, Inc. 2.2%
International Business Machines Corp. 2.0%
Intel Corp. 2.0%
Hewlett-Packard Co. 1.9%
Oracle Corp. 1.9%
Apple Computer, Inc. 1.6%
Google, Inc. -- Class A 1.6%
Motorola, Inc. 1.5%
Texas Instruments, Inc. 1.3%
- --------------------------------------------------------
Top Ten Total 19.2%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15
FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the
development, manufacture or sale of communications services or communications
equipment.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
TELECOMMUNICATIONS FUND
Communications Equipment 52%
Diversified Telecommunication Services 27%
Wireless Telecommunication Services 20%
Other 1%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 1, 1998
Advisor Class April 1, 1998
A-Class September 1, 2004
C-Class April 18, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Cisco Systems, Inc. 6.7%
AT&T, Inc. 6.4%
Verizon Communications, Inc. 5.7%
Vodafone Group PLC -- SP ADR 5.6%
BellSouth Corp. 5.0%
Nokia OYJ -- SP ADR 4.6%
Motorola, Inc. 4.6%
Qualcomm, Inc. 3.9%
Telefonaktiebolaget LM Ericsson -- SP ADR 3.8%
Sprint Nextel Corp. 3.4%
- --------------------------------------------------------
Top Ten Total 49.7%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
TRANSPORTATION FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in
providing transportation services or companies engaged in the design,
manufacture, distribution or sale of transportation equipment.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
TRANSPORTATION FUND
Road & Rail 47%
Air Freight & Logistics 28%
Airlines 22%
Other 3%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 2, 1998
Advisor Class June 9, 1998
A-Class September 1, 2004
C-Class May 14, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
United Parcel Service, Inc. -- Class B 8.7%
FedEx Corp. 7.6%
Burlington Northern Santa Fe Corp. 6.8%
Union Pacific Corp. 6.4%
Norfolk Southern Corp. 5.3%
Southwest Airlines Co. 5.0%
CSX Corp. 5.0%
Expeditors International Washington, Inc. 3.7%
CH Robinson Worldwide, Inc. 3.5%
AMR Corp. 2.8%
- --------------------------------------------------------
Top Ten Total 54.8%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
UTILITIES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that operate
public utilities.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
UTILITIES FUND
Multi-Utilities 37%
Electric Utilities 36%
Gas Utilities 15%
Independent Power Producers & Energy Traders 11%
Other 1%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------
Investor Class April 3, 2000
Advisor Class April 3, 2000
A-Class September 1, 2004
C-Class April 27, 2001
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------
Exelon Corp. 3.5%
TXU Corp. 2.9%
Duke Energy Corp. 2.9%
Southern Co. 2.8%
Dominion Resources, Inc. 2.8%
FPL Group, Inc. 2.4%
FirstEnergy Corp. 2.3%
Entergy Corp. 2.3%
PG&E Corp. 2.1%
American Electric Power Co., Inc. 2.1%
- --------------------------------------------------------
Top Ten Total 26.1%
- --------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
BANKING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.0%
J.P. Morgan Chase & Co.+ 11,005 $ 516,795
Bank of America Corp. 9,502 509,022
Wells Fargo & Co. 12,372 447,619
Wachovia Corp.+ 6,768 377,654
Fannie Mae 5,614 313,879
U.S. Bancorp+ 9,373 311,371
Freddie Mac 4,281 283,959
Washington Mutual, Inc.+ 5,873 255,299
SunTrust Banks, Inc. 2,750 212,520
Golden West Financial Corp. 2,557 197,528
BB&T Corp. 4,460 195,259
National City Corp.+ 5,168 189,149
Countrywide Financial Corp.+ 5,344 187,254
PNC Financial Services Group, Inc. 2,560 185,446
Fifth Third Bancorp+ 4,728 180,042
Regions Financial Corp.+ 4,437 163,237
KeyCorp+ 4,136 154,852
North Fork Bancorporation, Inc. 5,182 148,412
M&T Bank Corp.+ 1,196 143,472
Marshall & Ilsley Corp.+ 2,951 142,179
Sovereign Bancorp, Inc.+ 5,999 129,039
AmSouth Bancorp 4,311 125,191
Synovus Financial Corp. 4,211 123,677
Comerica, Inc. 2,114 120,329
UnionBanCal Corp. 1,922 117,050
Zions Bancorporation 1,429 114,049
Hudson City Bancorp, Inc. 8,356 110,717
Commerce Bancorp, Inc.+ 2,964 108,808
Compass Bancshares, Inc. 1,871 106,610
TD Banknorth, Inc.+ 3,577 103,304
People's Bank 2,474 97,995
Huntington Bancshares, Inc. 3,966 94,906
Popular, Inc. 4,876 94,789
MGIC Investment Corp.+ 1,538 92,234
New York Community Bancorp, Inc.+ 5,324 87,207
Radian Group, Inc.+ 1,448 86,880
Associated Banc-Corp. 2,580 83,850
Mercantile Bankshares Corp. 2,307 83,675
First Horizon National Corp. 2,177 82,748
PMI Group, Inc.+ 1,808 79,208
Colonial BancGroup, Inc. 3,080 75,460
BOK Financial Corp. 1,417 74,534
Commerce Bancshares, Inc. 1,450 73,327
TCF Financial Corp. 2,756 72,455
City National Corp. 1,072 71,888
Cullen/Frost Bankers, Inc. 1,232 71,234
Astoria Financial Corp. 2,295 70,732
Wilmington Trust Corp. 1,571 69,988
Valley National Bancorp 2,677 68,451
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
IndyMac Bancorp, Inc. 1,615 $ 66,473
Fulton Financial Corp. 4,087 66,169
Sky Financial Group, Inc. 2,640 65,736
Capital Federal Financial+ 1,846 65,644
Webster Financial Corp. 1,326 62,468
East-West Bancorp, Inc. 1,560 61,792
Whitney Holding Corp. 1,723 61,632
Bank of Hawaii Corp. 1,269 61,115
Texas Regional Bancshares, Inc. -- Class A 1,518 58,367
First Midwest Bancorp, Inc.+ 1,484 56,229
Washington Federal, Inc. 2,485 55,763
Downey Financial Corp.+ 837 55,694
International Bancshares Corp. 1,868 55,442
South Financial Group, Inc. 2,115 55,053
FirstMerit Corp.+ 2,359 54,658
Cathay General Bancorp 1,485 53,609
Umpqua Holding Corp. 1,865 53,339
First Niagara Financial Group, Inc. 3,528 51,438
UCBH Holdings, Inc.+ 2,940 51,332
Westamerica Bancorporation 1,005 50,763
SVB Financial Group*+ 1,105 49,327
United Bankshares, Inc. 1,325 49,317
NewAlliance Bancshares, Inc.+ 3,296 48,286
Greater Bay Bancorp+ 1,688 47,618
MAF Bancorp, Inc. 1,125 46,451
Chittenden Corp. 1,603 45,990
Wintrust Financial Corp. 905 45,386
Susquehanna Bancshares, Inc. 1,825 44,603
Glacier Bancorp, Inc. 1,264 43,191
Provident Bankshares Corp. 1,165 43,163
Central Pacific Financial Corp.+ 1,160 42,433
Sterling Financial Corp. 1,301 42,191
Boston Private Financial Holdings, Inc.+ 1,507 42,015
First Bancorp Puerto Rico+ 3,767 41,663
First Republic Bank 975 41,496
W Holding Co., Inc.+ 7,000 41,370
Prosperity Bancshares, Inc.+ 1,215 41,359
Harbor Florida Bancshares, Inc. 930 41,208
Republic Bancorp, Inc.+ 3,053 40,697
Hanmi Financial Corp. 2,034 39,866
PrivateBancorp, Inc.+ 870 39,776
Fidelity Bankshares, Inc. 1,015 39,595
Fremont General Corp.+ 2,823 39,494
FirstFed Financial Corp.*+ 687 38,967
First Commonwealth Financial Corp.+ 2,961 38,582
Sterling Bancshares, Inc. 1,895 38,374
Doral Financial Corp.+ 5,775 38,057
Flagstar Bancorp, Inc.+ 2,612 38,005
See Notes to Financial Statements.
18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
BANKING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Brookline Bancorp, Inc.+ 2,730 $ 37,538
Bankunited Financial Corp. -- Class A+ 1,424 37,124
BankAtlantic Bancorp, Inc. -- Class A+ 2,524 35,891
TrustCo Bank Corp.+ 3,295 35,718
Bank Mutual Corp. 2,791 33,855
Community Bank System, Inc. 1,470 32,575
Anchor BanCorp Wisconsin, Inc. 1,091 31,159
Irwin Financial Corp.+ 1,582 30,944
Wilshire Bancorp, Inc. 1,553 29,569
Independent Bank Corp. 1,217 29,537
Dime Community Bancshares 2,004 29,519
Franklin Bank Corp.* 1,379 27,415
Nara Bancorp, Inc.+ 1,485 27,161
First Indiana Corp. 1,030 26,790
Sterling Bancorp 1,220 23,985
--------------
TOTAL COMMON STOCKS
(Cost $8,912,831) 10,625,259
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 66,594 66,594
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $66,594) 66,594
--------------
SECURITIES LENDING COLLATERAL 19.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 2,048,265 2,048,265
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $2,048,265) 2,048,265
--------------
TOTAL INVESTMENTS 118.7%
(Cost $11,027,690) $ 12,740,118
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (18.7)% $ (2,008,705)
==============
NET ASSETS - 100.0% $ 10,731,413
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
BASIC MATERIALS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
E.I. du Pont de Nemours and Co.+ 19,566 $ 838,207
Dow Chemical Co.+ 20,640 804,547
Monsanto Co. 14,902 700,543
Alcoa, Inc. 21,559 604,514
Praxair, Inc. 10,165 601,361
International Paper Co.+ 16,242 562,460
Phelps Dodge Corp. 6,544 554,277
Air Products & Chemicals, Inc. 7,786 516,757
Weyerhaeuser Co. 8,267 508,669
Newmont Mining Corp.+ 11,689 499,705
Southern Copper Corp. 5,342 494,135
Nucor Corp.+ 9,960 492,920
Ecolab, Inc.+ 10,379 444,429
PPG Industries, Inc. 6,587 441,856
Rohm & Haas Co. 8,780 415,733
Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 7,674 408,717
Vulcan Materials Co. 4,723 369,575
Lyondell Chemical Co.+ 13,738 348,533
The Mosaic Co.*+ 20,601 348,157
Cleveland-Cliffs, Inc.+ 8,774 334,377
Allegheny Technologies, Inc.+ 4,998 310,826
Sigma-Aldrich Corp.+ 3,993 302,150
United States Steel Corp.+ 5,187 299,186
Ball Corp.+ 6,990 282,746
Pactiv Corp.* 9,932 282,267
Sealed Air Corp.+ 5,201 281,478
MeadWestvaco Corp.+ 10,585 280,608
Eastman Chemical Co. 5,118 276,474
Ashland, Inc. 4,290 273,616
Huntsman Corp.* 14,865 270,543
Temple-Inland, Inc. 6,672 267,547
International Flavors & Fragrances, Inc. 6,679 264,088
Crown Holdings, Inc.* 13,646 253,816
Bemis Co. 7,689 252,661
Lubrizol Corp. 5,444 248,954
Martin Marietta Materials, Inc.+ 2,942 248,952
Sonoco Products Co. 7,353 247,355
Scotts Miracle-Gro Co. -- Class A 5,239 233,083
Smurfit-Stone Container Corp.* 20,051 224,571
Albemarle Corp. 4,133 224,546
Titanium Metals Corp.* 8,710 220,189
Nalco Holding Co.* 11,835 219,184
Carpenter Technology Corp.+ 2,033 218,568
Valspar Corp. 8,170 217,322
Airgas, Inc. 6,001 217,056
Cytec Industries, Inc.* 3,902 216,912
Valhi, Inc. 9,030 209,948
Cabot Corp.+ 5,635 209,622
Packaging Corporation of America 9,027 209,426
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Celanese Corp. 11,586 $ 207,389
FMC Corp.+ 3,236 207,331
RPM International, Inc.+ 10,674 202,699
Westlake Chemical Corp. 6,150 196,862
Owens-Illinois, Inc.*+ 12,575 193,907
Florida Rock Industries, Inc. 4,783 185,150
Commercial Metals Co. 8,994 182,848
Chemtura Corp.+ 21,086 182,816
Steel Dynamics, Inc. 3,580 180,611
Reliance Steel & Aluminum Co. 5,600 179,984
Hercules, Inc.*+ 11,347 178,942
OM Group, Inc.*+ 4,053 178,089
AptarGroup, Inc.+ 3,498 177,978
Aleris International, Inc.* 3,441 173,908
Louisiana-Pacific Corp. 9,157 171,877
Chaparral Steel Co.* 4,698 160,014
H.B. Fuller Co. 6,826 160,001
Worthington Industries, Inc.+ 8,550 145,863
Eagle Materials, Inc.+ 4,280 144,150
Texas Industries, Inc.+ 2,746 142,957
Minerals Technologies, Inc.+ 2,670 142,578
MacDermid, Inc. 4,306 140,462
Bowater, Inc.+ 6,520 134,116
Century Aluminum Co.*+ 3,965 133,422
Georgia Gulf Corp.+ 4,865 133,398
Olin Corp. 8,344 128,164
Headwaters, Inc.*+ 5,352 124,969
Rock-Tenn Co. -- Class A 6,295 124,641
Sensient Technologies Corp. 6,188 121,099
Ferro Corp. 6,801 120,922
Quanex Corp.+ 3,910 118,669
RTI International Metals, Inc.* 2,651 115,531
A. Schulman, Inc. 4,864 114,353
Wausau Paper Corp. 8,424 113,724
PolyOne Corp.*+ 13,497 112,430
Amcol International Corp.+ 4,429 110,326
Myers Industries, Inc. 5,927 100,759
Brush Engineered Materials, Inc.*+ 4,008 99,679
Neenah Paper, Inc. 2,893 99,027
Deltic Timber Corp. 2,037 97,083
Arch Chemicals, Inc. 3,393 96,531
Glatfelter+ 6,953 94,213
Ryerson Tull, Inc.+ 4,081 89,333
A.M. Castle & Co. 3,002 80,574
Buckeye Technologies, Inc.* 9,230 78,455
Tronox, Inc.+ 5,480 69,980
Schweitzer-Mauduit International, Inc. 3,514 66,696
Steel Technologies, Inc. 3,395 66,644
Chesapeake Corp. 4,568 65,368
Caraustar Industries, Inc.* 7,474 59,568
Quaker Chemical Corp. 3,006 58,467
Material Sciences Corp.* 5,310 52,888
See Notes to Financial Statements.
20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
BASIC MATERIALS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Wellman, Inc.+ 11,822 $ 47,170
Penford Corp. 3,017 45,677
Pope & Talbot, Inc.* 6,733 38,715
--------------
TOTAL COMMON STOCKS
(Cost $17,914,289) 24,502,173
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 146,884 146,884
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $146,884) 146,884
--------------
SECURITIES LENDING COLLATERAL 21.2%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 5,210,882 5,210,882
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $5,210,882) 5,210,882
--------------
TOTAL INVESTMENTS 121.3%
(Cost $23,272,055) $ 29,859,939
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (21.3)% $ (5,248,379)
==============
NET ASSETS - 100.0% $ 24,611,560
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
BIOTECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Amgen, Inc.*+ 144,522 $ 10,337,659
Genentech, Inc.*+ 120,964 10,003,723
Gilead Sciences, Inc.* 95,500 6,560,850
Genzyme Corp.*+ 70,711 4,770,871
Biogen Idec, Inc.*+ 92,880 4,149,878
Celgene Corp.*+ 92,353 3,998,885
Medimmune, Inc.*+ 104,231 3,044,588
Amylin Pharmaceuticals, Inc.*+ 51,487 2,269,032
Cephalon, Inc.*+ 33,950 2,096,413
Charles River Laboratories International, Inc.*+ 48,280 2,095,835
Vertex Pharmaceuticals, Inc.*+ 59,907 2,015,871
Invitrogen Corp.*+ 30,969 1,963,744
Millennium Pharmaceuticals, Inc.*+ 192,468 1,915,057
OSI Pharmaceuticals, Inc.*+ 45,860 1,721,126
PDL BioPharma, Inc.*+ 84,758 1,627,354
Techne Corp.* 29,985 1,525,037
ICOS Corp.*+ 59,172 1,482,850
Myogen, Inc.*+ 41,480 1,455,118
ImClone Systems, Inc.*+ 49,642 1,405,861
Illumina, Inc.*+ 39,845 1,316,479
Human Genome Sciences, Inc.*+ 112,369 1,296,738
Medarex, Inc.*+ 118,481 1,272,486
Alkermes, Inc.*+ 75,626 1,198,672
Affymetrix, Inc.*+ 55,423 1,194,920
BioMarin Pharmaceuticals, Inc.* 82,730 1,177,248
Applera Corp. - Celera Genomics Group* 82,678 1,150,878
United Therapeutics Corp.*+ 21,742 1,142,325
Crucell -- SP ADR*+ 47,972 1,141,734
Digene Corp.* 26,376 1,138,124
Regeneron Pharmaceuticals, Inc.* 71,689 1,124,800
Cubist Pharmaceuticals, Inc.*+ 50,524 1,098,392
Nektar Therapeutics*+ 76,144 1,097,235
Zymogenetics, Inc.*+ 64,984 1,096,280
Nuvelo, Inc.* 59,614 1,087,359
Alexion Pharmaceuticals, Inc.*+ 31,827 1,081,481
Telik, Inc.*+ 60,103 1,069,232
Myriad Genetics, Inc.*+ 43,145 1,063,524
Pharmion Corp.*+ 46,637 1,005,027
MannKind Corp.*+ 52,261 992,959
Onyx Pharmaceuticals, Inc.*+ 54,949 950,068
QLT, Inc.* 121,132 920,603
Exelixis, Inc.* 99,927 870,364
Arena Pharmaceuticals, Inc.*+ 70,570 845,429
Progenics Pharmaceuticals, Inc.* 34,986 820,772
Idenix Pharmaceuticals, Inc.*+ 83,942 814,237
InterMune, Inc.*+ 48,986 804,350
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Angiotech Pharmaceuticals, Inc.* 91,170 $ 799,561
Martek Biosciences Corp.*+ 35,748 768,940
Keryx Biopharmaceuticals, Inc.* 59,227 700,655
CV Therapeutics, Inc.*+ 62,263 693,610
--------------
TOTAL COMMON STOCKS
(Cost $55,525,497) 96,174,234
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 589,442 589,442
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $589,442) 589,442
--------------
SECURITIES LENDING COLLATERAL 37.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 36,179,253 36,179,253
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $36,179,253) 36,179,253
--------------
TOTAL INVESTMENTS 137.7%
(Cost $92,294,192) $ 132,942,929
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (37.7)% $ (36,395,175)
==============
NET ASSETS - 100.0% $ 96,547,754
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
COMMODITIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS 18.0%
IShares GSCI Commodity Indexed Trust* 168,646 $ 7,094,937
--------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $7,059,521) 7,094,937
--------------
FACE
AMOUNT
------------
COMMODITY LINKED NOTES 27.4%
Credit Suisse, Goldman Sachs
Commodity Index Total Return
Linked Notes (Note 2)
5.12% due 10/15/07+ $ 5,400,000 5,412,984
Swedish Export Credit Corp.,
Goldman Sachs Commodity
Index Total Return Linked
Notes (Note 2)
5.10% due 10/19/07+ 5,400,000 5,412,984
--------------
TOTAL COMMODITY LINKED NOTES
(Cost $10,800,000) 10,825,968
--------------
REPURCHASE AGREEMENTS 96.4%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 38,016,147 38,016,147
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $38,016,147) 38,016,147
--------------
TOTAL INVESTMENTS 141.8%
(Cost $55,875,668) $ 55,937,052
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (41.8)% $ (16,479,209)
==============
NET ASSETS - 100.0% $ 39,457,843
* NON-INCOME PRODUCING SECURITY.
+ COMMODITY LINKED NOTES ARE LEVERAGED, PROVIDING AN EXPOSURE TO THE
UNDERLYING BENCHMARK OF THREE TIMES THE FACE AMOUNT. THE TOTAL EXPOSURE TO
THE RETURN OF THE GOLDMAN SACHS COMMODITY INDEX IS $32,400,000 AS OF
SEPTEMBER 30, 2006.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Procter & Gamble Co.+ 89,320 $ 5,536,054
Altria Group, Inc. 61,974 4,744,110
PepsiCo, Inc. 61,077 3,985,885
Coca-Cola Co. 86,130 3,848,288
Kraft Foods, Inc. -- Class A+ 85,345 3,043,403
Anheuser-Busch Cos., Inc. 47,861 2,273,876
Colgate-Palmolive Co. 34,054 2,114,753
Kimberly-Clark Corp.+ 31,760 2,075,834
Archer-Daniels-Midland Co. 46,350 1,755,738
Sysco Corp.+ 52,278 1,748,699
General Mills, Inc.+ 30,450 1,723,470
Kellogg Co.+ 33,149 1,641,538
Reynolds American, Inc.+ 26,300 1,629,811
Kroger Co. 66,807 1,545,914
Safeway, Inc.+ 48,379 1,468,303
Campbell Soup Co.+ 38,421 1,402,366
H.J. Heinz Co. 33,160 1,390,399
ConAgra Foods, Inc.+ 56,366 1,379,840
Avon Products, Inc.+ 44,288 1,357,870
WM Wrigley Jr Co.+ 28,752 1,324,317
Hershey Co.+ 24,104 1,288,359
Sara Lee Corp. 80,122 1,287,561
UST, Inc.+ 22,030 1,207,905
Coca-Cola Enterprises, Inc.+ 56,110 1,168,771
Brown-Forman Corp. -- Class B 15,198 1,164,927
Clorox Co. 18,272 1,151,136
Pepsi Bottling Group, Inc. 31,507 1,118,498
Estee Lauder Cos., Inc. -- Class A+ 27,286 1,100,444
Whole Foods Market, Inc.+ 17,130 1,018,036
Constellation Brands, Inc. -- Class A* 34,765 1,000,537
Dean Foods Co.* 22,300 937,046
Tyson Foods, Inc. -- Class A+ 56,880 903,254
Molson Coors Brewing Co. -- Class B+ 13,030 897,767
McCormick & Co., Inc. 23,146 879,085
Energizer Holdings, Inc.*+ 11,910 857,401
Alberto-Culver Co. -- Class B 16,040 811,464
Hormel Foods Corp. 22,396 805,808
Loews Corp. - Carolina Group+ 13,320 737,795
Supervalu, Inc. 24,551 727,937
J.M. Smucker Co. 13,250 635,338
Smithfield Foods, Inc.* 22,872 618,001
Church & Dwight Co., Inc.+ 15,470 605,032
PepsiAmericas, Inc. 28,140 600,508
Corn Products International, Inc. 17,950 584,093
NBTY, Inc.* 19,540 571,936
Hansen Natural Corp.*+ 15,970 518,706
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Delta & Pine Land Co. 12,740 $ 515,970
Del Monte Foods Co. 49,000 512,050
Lancaster Colony Corp. 10,657 477,007
Tootsie Roll Industries, Inc. 15,943 467,289
Flowers Foods, Inc. 16,870 453,466
Ralcorp Holdings, Inc.* 9,150 441,305
Ruddick Corp.+ 16,110 419,343
United Natural Foods, Inc.*+ 13,180 408,448
Playtex Products, Inc.* 28,730 384,982
Great Atlantic & Pacific Tea Co.+ 15,690 377,815
Casey's General Stores, Inc. 16,530 368,123
Hain Celestial Group, Inc.* 14,251 364,256
USANA Health Sciences, Inc.*+ 8,060 359,395
Universal Corp.+ 9,660 352,880
Performance Food Group Co.*+ 12,400 348,316
Sanderson Farms, Inc.+ 9,870 319,393
TreeHouse Foods, Inc.* 13,256 313,504
WD-40 Co. 8,240 293,921
Lance, Inc. 13,290 292,646
J&J Snack Foods Corp. 8,618 268,020
Hanesbrands, Inc.* 10,002 225,145
Alliance One International, Inc.* 53,824 220,678
Nash Finch Co.+ 9,166 215,676
Peet's Coffee & Tea, Inc.*+ 7,920 198,079
Spectrum Brands, Inc.*+ 23,200 195,808
American Italian Pasta Co. -- Class A*+ 17,090 132,960
--------------
TOTAL COMMON STOCKS
(Cost $71,040,486) 78,114,288
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.4%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 297,353 297,353
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $297,353) 297,353
--------------
SECURITIES LENDING COLLATERAL 23.0%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 18,076,874 18,076,874
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $18,076,874) 18,076,874
--------------
TOTAL INVESTMENTS 123.0%
(Cost $89,414,713) $ 96,488,515
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (23.0)% $ (18,070,776)
==============
NET ASSETS - 100.0% $ 78,417,739
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ELECTRONICS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 100.3%
Intel Corp. 160,853 $ 3,308,746
Texas Instruments, Inc.+ 65,930 2,192,173
Applied Materials, Inc. 90,097 1,597,420
Micron Technology, Inc.*+ 63,784 1,109,842
Nvidia Corp.* 37,412 1,107,021
Broadcom Corp. -- Class A*+ 36,141 1,096,518
Freescale Semiconductor, Inc. -- Class B*+ 27,861 1,058,997
Advanced Micro Devices, Inc.*+ 40,936 1,017,260
Analog Devices, Inc.+ 30,816 905,682
KLA-Tencor Corp.+ 20,122 894,825
Linear Technology Corp.+ 27,682 861,464
Maxim Integrated Products, Inc.+ 29,056 815,602
National Semiconductor Corp.+ 34,590 813,903
MEMC Electronic Materials, Inc.*+ 21,752 796,776
Xilinx, Inc. 35,800 785,810
Altera Corp.*+ 41,581 764,259
Microchip Technology, Inc. 23,241 753,473
Lam Research Corp.*+ 15,951 723,059
Novellus Systems, Inc.*+ 20,861 577,015
Intersil Corp. -- Class A+ 22,723 557,850
Integrated Device Technology, Inc.* 34,385 552,223
Atmel Corp.* 86,098 520,032
Cypress Semiconductor Corp.*+ 28,492 506,303
LSI Logic Corp.*+ 61,202 503,080
Agere Systems, Inc.* 31,202 465,846
Teradyne, Inc.*+ 34,677 456,349
Varian Semiconductor Equipment Associates, Inc.* 12,182 447,079
Fairchild Semiconductor International, Inc.* 23,783 444,742
International Rectifier Corp.*+ 12,435 433,235
RF Micro Devices, Inc.* 52,056 394,584
Spansion, Inc.*+ 22,540 375,742
Cymer, Inc.*+ 8,404 369,020
Silicon Laboratories, Inc.* 11,557 358,498
Rambus, Inc.*+ 19,510 340,254
Cree, Inc.*+ 16,559 333,002
ATMI, Inc.* 11,335 329,508
Diodes, Inc.* 7,220 311,687
Brooks Automation, Inc.*+ 23,119 301,703
Advanced Energy Industries, Inc.* 16,886 287,737
Microsemi Corp.*+ 15,103 284,692
Lattice Semiconductor Corp.* 39,504 269,417
Axcelis Technologies, Inc.* 38,037 268,541
Triquint Semiconductor, Inc.*+ 51,445 267,514
Standard Microsystems Corp.* 9,263 263,254
Semtech Corp.* 20,558 262,320
Skyworks Solutions, Inc.* 49,596 257,403
PMC - Sierra, Inc.*+ 43,308 257,250
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Micrel, Inc.* 26,557 $ 254,682
FEI Co.* 11,244 237,361
Cabot Microelectronics Corp.*+ 8,216 236,785
Rudolph Technologies, Inc.*+ 12,869 235,889
DSP Group, Inc.* 10,151 231,950
Kulicke & Soffa Industries, Inc.* 25,436 224,854
Photronics, Inc.* 15,383 217,362
Supertex, Inc.*+ 5,381 209,159
Veeco Instruments, Inc.* 10,355 208,653
Exar Corp.* 15,130 201,078
Actel Corp.* 12,334 191,794
Cohu, Inc. 10,416 185,717
Pericom Semiconductor Corp.* 16,373 159,637
Ultratech, Inc.* 11,333 150,956
Credence Systems Corp.* 49,142 140,055
Kopin Corp.* 40,002 134,007
ESS Technologies, Inc.* 39,155 36,414
--------------
TOTAL COMMON STOCKS
(Cost $22,592,886) 34,855,063
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.4%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 159,836 159,836
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $159,836) 159,836
--------------
SECURITIES LENDING COLLATERAL 22.9%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 7,956,583 7,956,583
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,956,583) 7,956,583
--------------
TOTAL INVESTMENTS 123.6%
(Cost $30,709,305) $ 42,971,482
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (23.6)% $ (8,209,787)
==============
NET ASSETS - 100.0% $ 34,761,695
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ENERGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 100.0%
Exxon Mobil Corp.+ 118,541 $ 7,954,101
BP PLC -- SP ADR 82,581 5,415,662
Total SA -- SP ADR+ 73,294 4,833,006
Chevron Corp. 71,382 4,629,836
Royal Dutch Shell PLC -- SP ADR+ 63,720 4,211,892
ConocoPhillips 59,891 3,565,311
Schlumberger Ltd.+ 50,825 3,152,675
Repsol YPF SA -- SP ADR 78,706 2,347,800
Occidental Petroleum Corp. 48,770 2,346,325
Devon Energy Corp. 32,197 2,033,241
Marathon Oil Corp. 24,885 1,913,656
Valero Energy Corp. 36,262 1,866,405
Halliburton Co. 62,984 1,791,895
Transocean, Inc.* 24,050 1,761,181
Baker Hughes, Inc.+ 24,357 1,661,147
Apache Corp.+ 26,245 1,658,684
Anadarko Petroleum Corp. 36,991 1,621,316
EOG Resources, Inc.+ 22,365 1,454,843
Kinder Morgan, Inc. 13,802 1,447,140
XTO Energy, Inc.+ 34,215 1,441,478
Williams Cos., Inc. 60,259 1,438,382
Weatherford International Ltd.* 31,665 1,321,064
Chesapeake Energy Corp.+ 44,523 1,290,277
National-Oilwell Varco, Inc.*+ 19,884 1,164,208
Hess Corp.+ 27,522 1,139,961
El Paso Corp. 81,276 1,108,605
Nabors Industries Ltd.*+ 36,138 1,075,105
Diamond Offshore Drilling, Inc.+ 14,841 1,074,043
Noble Energy, Inc.+ 23,216 1,058,417
BJ Services Co.+ 35,036 1,055,635
Noble Corp.+ 16,232 1,041,770
Murphy Oil Corp.+ 21,849 1,038,920
Sunoco, Inc. 16,516 1,027,130
Smith International, Inc.+ 26,164 1,015,163
Peabody Energy Corp. 26,020 957,016
ENSCO International, Inc.+ 21,773 954,311
Cameron International Corp.*+ 18,546 895,957
Southwestern Energy Co.*+ 27,688 827,041
Pioneer Natural Resources Co.+ 19,921 779,309
Grant Prideco, Inc.* 20,455 777,904
Pride International, Inc.*+ 27,372 750,540
Consol Energy, Inc. 23,652 750,478
Newfield Exploration Co.*+ 19,296 743,668
Plains Exploration & Production Co.* 16,644 714,194
Patterson-UTI Energy, Inc.+ 29,110 691,654
Range Resources Corp. 26,909 679,183
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Denbury Resources, Inc.* 23,184 $ 670,018
Tesoro Corp.+ 11,458 664,335
Rowan Cos., Inc.+ 20,954 662,775
Veritas DGC, Inc.*+ 9,974 656,489
FMC Technologies, Inc.* 12,052 647,192
Arch Coal, Inc.+ 21,960 634,864
CNX Gas Corp.* 26,763 620,099
Overseas Shipholding Group, Inc. 9,735 601,331
Frontier Oil Corp.+ 22,336 593,691
Maverick Tube Corp.* 9,096 589,694
Tidewater, Inc.+ 13,196 583,131
Cimarex Energy Co.+ 16,512 581,057
Cabot Oil & Gas Corp. 11,950 572,763
Holly Corp.+ 13,000 563,290
Helix Energy Solutions Group, Inc.*+ 16,657 556,344
Quicksilver Resources, Inc.*+ 17,240 549,956
Pogo Producing Co.+ 13,404 548,894
SEACOR Holdings, Inc.* 6,583 543,097
St. Mary Land & Exploration Co. 14,216 521,869
Forest Oil Corp.* 16,455 519,813
Helmerich & Payne, Inc.+ 22,304 513,661
Todco -- Class A*+ 14,692 508,343
Hanover Compressor Co.*+ 27,862 507,646
Unit Corp.* 10,740 493,718
NS Group, Inc.*+ 7,595 490,257
Global Industries, Ltd.* 31,324 487,401
Superior Energy Services, Inc.* 18,353 481,950
Dresser-Rand Group, Inc.*+ 22,732 463,733
W&T Offshore, Inc. 15,578 455,033
Tetra Technologies, Inc.*+ 18,340 443,094
Lone Star Technologies, Inc.*+ 9,020 436,388
Atwood Oceanics, Inc.*+ 9,462 425,506
Cheniere Energy, Inc.*+ 14,146 420,278
Swift Energy Co.*+ 9,855 412,136
Oceaneering International, Inc.* 12,962 399,230
Penn Virginia Corp. 6,154 390,225
Foundation Coal Holdings, Inc. 11,800 381,966
Massey Energy Co.+ 18,010 377,129
World Fuel Services Corp. 9,274 375,133
Stone Energy Corp.* 9,222 373,307
Input/Output, Inc.*+ 34,589 343,469
Hydril*+ 6,097 341,798
Bristow Group, Inc.*+ 9,580 329,552
Lufkin Industries, Inc.+ 5,952 314,980
Petroleum Development Corp.* 7,745 308,948
CARBO Ceramics, Inc.+ 8,362 301,283
--------------
TOTAL COMMON STOCKS
(Cost $71,560,764) 105,134,395
--------------
See Notes to Financial Statements.
26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
ENERGY FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 538,770 $ 538,770
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $538,770) 538,770
--------------
SECURITIES LENDING COLLATERAL 26.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 27,903,856 27,903,856
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $27,903,856) 27,903,856
--------------
TOTAL INVESTMENTS 127.0%
(Cost $100,003,390) $ 133,577,021
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (27.0)% $ (28,418,304)
==============
NET ASSETS - 100.0% $ 105,158,717
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ENERGY SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Schlumberger Ltd.+ 209,922 $ 13,021,462
Halliburton Co. 260,131 7,400,727
Transocean, Inc.* 99,122 7,258,704
Baker Hughes, Inc.+ 100,604 6,861,193
Weatherford International Ltd.* 130,743 5,454,598
National-Oilwell Varco, Inc.*+ 81,975 4,799,636
Nabors Industries Ltd.* 149,395 4,444,501
Diamond Offshore Drilling, Inc.+ 61,108 4,422,386
BJ Services Co. 144,823 4,363,517
Noble Corp. 67,083 4,305,387
Smith International, Inc.+ 108,109 4,194,629
ENSCO International, Inc.+ 90,129 3,950,354
Cameron International Corp.*+ 76,635 3,702,237
Grant Prideco, Inc.* 84,381 3,209,010
Pride International, Inc.*+ 112,921 3,096,294
Patterson-UTI Energy, Inc.+ 120,216 2,856,332
Rowan Cos., Inc.+ 86,817 2,746,022
Veritas DGC, Inc.*+ 41,049 2,701,845
FMC Technologies, Inc.* 49,659 2,666,688
Maverick Tube Corp.* 37,686 2,443,183
Tidewater, Inc.+ 54,567 2,411,316
SEACOR Holdings, Inc.* 27,252 2,248,290
Helmerich & Payne, Inc. 92,008 2,118,944
Todco -- Class A*+ 60,653 2,098,594
Hanover Compressor Co.*+ 115,088 2,096,903
Unit Corp.* 44,455 2,043,596
NS Group, Inc.*+ 31,444 2,029,710
Global Industries, Ltd.* 129,500 2,015,020
Superior Energy Services, Inc.* 75,651 1,986,595
Dresser-Rand Group, Inc.*+ 94,039 1,918,396
Tetra Technologies, Inc.* 75,631 1,827,245
Lone Star Technologies, Inc.* 37,239 1,801,623
Atwood Oceanics, Inc.*+ 38,971 1,752,526
Oceaneering International, Inc.* 53,346 1,643,057
Input/Output, Inc.*+ 142,846 1,418,461
Hydril* 25,214 1,413,497
Bristow Group, Inc.*+ 39,747 1,367,297
Lufkin Industries, Inc.+ 24,633 1,303,578
CARBO Ceramics, Inc.+ 34,677 1,249,412
--------------
TOTAL COMMON STOCKS
(Cost $79,659,945) 128,642,765
--------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.4%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 597,551 $ 597,551
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $597,551) 597,551
--------------
SECURITIES LENDING COLLATERAL 25.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 32,381,122 32,381,122
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $32,381,122) 32,381,122
--------------
TOTAL INVESTMENTS 125.1%
(Cost $112,638,618) $ 161,621,438
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (25.1)% $ (32,441,351)
==============
NET ASSETS - 100.0% $ 129,180,087
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.7%
Bank of America Corp. 22,602 $ 1,210,789
Citigroup, Inc. 22,461 1,115,638
J.P. Morgan Chase & Co.+ 22,461 1,054,769
American International Group, Inc. 14,747 977,136
Wells Fargo & Co. 23,816 861,663
Wachovia Corp.+ 13,342 744,484
Goldman Sachs Group, Inc.+ 4,383 741,472
Morgan Stanley 9,891 721,153
Merrill Lynch & Co., Inc. 9,183 718,294
Fannie Mae 12,021 672,094
Lehman Brothers Holdings, Inc. 7,800 576,108
Freddie Mac 8,266 548,284
American Express Co. 9,335 523,507
U.S. Bancorp+ 15,728 522,484
Washington Mutual, Inc.+ 11,076 481,474
MetLife, Inc.+ 8,384 475,205
Public Storage, Inc.+ 5,448 468,474
Golden West Financial Corp. 6,010 464,272
Allstate Corp.+ 7,389 463,512
Prudential Financial, Inc. 6,074 463,142
Capital One Financial Corp.+ 5,678 446,631
Franklin Resources, Inc. 4,088 432,306
Countrywide Financial Corp.+ 12,016 421,041
Loews Corp. 11,009 417,241
AFLAC, Inc.+ 9,114 417,057
Bank of New York Co., Inc. 11,800 416,068
Charles Schwab Corp.+ 22,964 411,056
PNC Financial Services Group, Inc. 5,486 397,406
Moody's Corp. 5,958 389,534
CIT Group, Inc. 7,945 386,365
SunTrust Banks, Inc. 4,979 384,777
Comerica, Inc. 6,656 378,860
Hartford Financial Services Group, Inc.+ 4,304 373,372
St. Paul Travelers Cos., Inc. 7,906 370,712
M&T Bank Corp.+ 3,069 368,157
Simon Property Group, Inc.+ 4,044 366,467
Progressive Corp. 14,884 365,253
State Street Corp. 5,819 363,106
Bear Stearns Cos., Inc.+ 2,585 362,158
SLM Corp.+ 6,966 362,093
Hudson City Bancorp, Inc. 27,230 360,797
Marsh & McLennan Cos., Inc. 12,507 352,072
Chicago Mercantile Exchange Holdings, Inc.+ 736 351,992
Equity Residential+ 6,932 350,621
Chubb Corp. 6,742 350,314
TD Ameritrade Holding Corp. 18,507 348,857
Northern Trust Corp.+ 5,962 348,360
Torchmark Corp. 5,430 342,687
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
National City Corp.+ 9,276 $ 339,502
Plum Creek Timber Co., Inc. (REIT) 9,945 338,528
Fifth Third Bancorp+ 8,876 337,998
SAFECO Corp. 5,727 337,492
Legg Mason, Inc.+ 3,321 334,956
ACE Ltd. 6,104 334,072
AmSouth Bancorp 11,436 332,101
Markel Corp.* 803 329,760
Archstone-Smith Trust+ 6,037 328,654
Fidelity National Financial, Inc. 7,870 327,785
Boston Properties, Inc.+ 3,152 325,728
NYSE Group, Inc.*+ 4,349 325,088
Principal Financial Group, Inc. 5,984 324,812
Lincoln National Corp.+ 5,220 324,058
Vornado Realty Trust+ 2,949 321,441
BB&T Corp.+ 7,340 321,345
Marshall & Ilsley Corp. 6,659 320,831
Equity Office Properties Trust+ 8,051 320,108
CapitalSource, Inc.+ 12,393 319,987
MGIC Investment Corp.+ 5,325 319,340
Associated Banc-Corp. 9,812 318,890
First American Corp.+ 7,513 318,100
North Fork Bancorporation, Inc. 11,100 317,904
Assurant, Inc.+ 5,940 317,255
KIMCO Realty Corp. 7,400 317,238
T. Rowe Price Group, Inc.+ 6,624 316,958
Regions Financial Corp.+ 8,598 316,320
Huntington Bancshares, Inc. 13,025 311,688
ProLogis 5,460 311,548
Mercantile Bankshares Corp. 8,564 310,616
E*Trade Financial Corp.*+ 12,655 302,708
Ameriprise Financial, Inc. 6,440 302,036
UnumProvident Corp.+ 15,508 300,700
UnionBanCal Corp. 4,917 299,445
Zions Bancorporation 3,745 298,888
Host Hotels & Resorts, Inc.+ 12,979 297,608
Mellon Financial Corp. 7,593 296,886
Ambac Financial Group, Inc.+ 3,560 294,590
People's Bank 7,420 293,906
Commerce Bancorp, Inc.+ 7,989 293,276
AmeriCredit Corp.*+ 11,715 292,758
Erie Indemnity Co. -- Class A 5,590 292,748
TCF Financial Corp. 11,121 292,371
KeyCorp+ 7,657 286,678
Sovereign Bancorp, Inc.+ 13,270 285,438
Commerce Bancshares, Inc. 5,607 283,546
PMI Group, Inc.+ 6,454 282,750
Genworth Financial, Inc. -- Class A 8,075 282,706
First Horizon National Corp.+ 7,388 280,818
AvalonBay Communities, Inc.+ 2,332 280,773
Aon Corp.+ 8,240 279,089
Weingarten Realty Investors+ 6,460 277,909
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Regency Centers Corp. 4,032 $ 277,240
Wesco Financial Corp. 624 272,688
Compass Bancshares, Inc. 4,735 269,800
New York Community Bancorp, Inc.+ 16,444 269,353
CNA Financial Corp.*+ 7,368 265,395
Synovus Financial Corp. 9,035 265,358
American Financial Group, Inc.+ 5,645 264,920
Health Care Property Investors, Inc. 8,469 262,962
General Growth Properties, Inc.+ 5,398 257,215
Colonial BancGroup, Inc. 10,478 256,711
XL Capital Ltd. 3,716 255,289
AmerUs Group Co.+ 3,750 255,037
AMB Property Corp. 4,625 254,884
United Dominion Realty Trust, Inc. 8,381 253,106
Popular, Inc. 12,899 250,757
Federated Investors, Inc. -- Class B 7,413 250,634
iStar Financial, Inc. 6,000 250,200
W.R. Berkley Corp. 7,013 248,190
Apartment Investment & Management Co. -- Class A+ 4,554 247,783
Macerich Co.+ 3,230 246,643
Radian Group, Inc.+ 4,089 245,340
Cbot Holdings, Inc.*+ 2,019 243,875
HCC Insurance Holdings, Inc. 7,405 243,476
Forest City Enterprises, Inc. -- Class A+ 4,475 242,992
Cincinnati Financial Corp. 5,053 242,847
Bank of Hawaii Corp. 5,035 242,486
Trizec Properties, Inc. 8,354 241,514
SVB Financial Group*+ 5,368 239,628
Federal Realty Investment Trust 3,224 239,543
American National Insurance Co. 2,046 237,131
Transatlantic Holdings, Inc. 3,920 236,807
A.G. Edwards, Inc.+ 4,380 233,366
Eaton Vance Corp. 8,081 233,218
St. Joe Co.+ 4,226 231,881
CB Richard Ellis Group, Inc. -- Class A*+ 9,268 227,993
SEI Investments Co. 4,042 227,120
Everest Re Group Ltd. 2,325 226,757
Fidelity National Title Group, Inc. -- Class A+ 10,809 226,557
Janus Capital Group, Inc.+ 11,483 226,445
Protective Life Corp. 4,948 226,371
Liberty Property Trust+ 4,732 226,142
Developers Diversified Realty Corp.+ 4,047 225,661
Mercury General Corp.+ 4,465 221,509
Nuveen Investments, Inc. -- Class A 4,319 221,262
Downey Financial Corp.+ 3,270 217,586
Unitrin, Inc. 4,899 216,389
Reckson Associates Realty Corp. 5,019 214,813
Duke Realty Corp.+ 5,750 214,763
Astoria Financial Corp.+ 6,954 214,322
First Marblehead Corp.+ 3,090 214,013
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Health Care REIT, Inc.+ 5,340 $ 213,653
Ventas, Inc.+ 5,516 212,587
Dime Community Bancshares 14,423 212,451
UCBH Holdings, Inc.+ 12,112 211,476
Affiliated Managers Group, Inc.*+ 2,100 210,231
First Indiana Corp. 8,081 210,187
SL Green Realty Corp.+ 1,876 209,549
Philadelphia Consolidated Holding Corp.*+ 5,180 206,060
Brown & Brown, Inc. 6,737 205,883
New Plan Excel Realty Trust+ 7,580 205,039
Allied Capital Corp.+ 6,774 204,643
MBIA, Inc.+ 3,295 202,445
Camden Property Trust 2,658 202,035
Student Loan Corp. 1,050 201,789
Hanmi Financial Corp.+ 10,237 200,645
Westamerica Bancorporation 3,866 195,272
South Financial Group, Inc. 7,414 192,986
Alleghany Corp.* 667 192,770
Leucadia National Corp. 7,356 192,507
Cullen/Frost Bankers, Inc. 3,328 192,425
Bank Mutual Corp. 15,549 188,609
Susquehanna Bancshares, Inc. 7,542 184,326
TD Banknorth, Inc.+ 6,374 184,081
Jefferies Group, Inc.+ 6,415 182,828
Colonial Properties Trust+ 3,796 181,487
Nasdaq Stock Market, Inc.*+ 5,993 181,228
Thornburg Mortgage, Inc.+ 7,090 180,582
Essex Property Trust, Inc.+ 1,474 178,944
Raymond James Financial, Inc. 6,101 178,393
Arthur J. Gallagher & Co.+ 6,662 177,676
United Bankshares, Inc. 4,750 176,795
Wilmington Trust Corp. 3,954 176,151
Old Republic International Corp. 7,911 175,229
BRE Properties, Inc. -- Class A+ 2,930 175,009
Jones Lang LaSalle, Inc. 2,046 174,892
Chittenden Corp. 6,076 174,320
American Capital Strategies Ltd.+ 4,409 174,023
Hospitality Properties Trust+ 3,560 168,032
Investors Financial Services Corp.+ 3,882 167,237
IndyMac Bancorp, Inc.+ 4,030 165,875
New Century Financial Corp.+ 4,100 161,171
FirstMerit Corp.+ 6,946 160,939
Blackrock, Inc. 1,065 158,685
Valley National Bancorp 6,134 156,846
Prosperity Bancshares, Inc.+ 4,499 153,146
Kilroy Realty Corp.+ 2,021 152,262
Whitney Holding Corp. 4,227 151,200
Texas Regional Bancshares, Inc. -- Class A 3,813 146,610
Umpqua Holding Corp. 5,116 146,318
--------------
TOTAL COMMON STOCKS
(Cost $56,620,837) 61,640,543
--------------
See Notes to Financial Statements.
30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.9%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 522,333 $ 522,333
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $522,333) 522,333
--------------
SECURITIES LENDING COLLATERAL 20.4%
Investment in Securities Lending
Short Term Investment Portfolio
Held by U.S. Bancorp (Note 8) 12,613,797 12,613,797
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $12,613,797) 12,613,797
--------------
TOTAL INVESTMENTS 121.0%
(Cost $69,756,967) $ 74,776,673
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (21.0)% $ (12,962,530)
==============
NET ASSETS - 100.0% $ 61,814,143
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
HEALTH CARE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Pfizer, Inc. 236,503 $ 6,707,225
Johnson & Johnson, Inc. 94,852 6,159,689
Merck & Co., Inc.+ 85,428 3,579,433
Genentech, Inc.*+ 40,462 3,346,207
Amgen, Inc.*+ 46,520 3,327,576
Abbott Laboratories+ 62,403 3,030,290
Wyeth 56,621 2,878,612
UnitedHealth Group, Inc. 56,504 2,779,997
Eli Lilly & Co. 46,944 2,675,808
Medtronic, Inc.+ 49,708 2,308,440
WellPoint, Inc.* 28,593 2,203,091
Bristol-Myers Squibb Co. 85,736 2,136,541
Schering-Plough Corp. 75,100 1,658,959
Gilead Sciences, Inc.* 23,318 1,601,947
Baxter International, Inc. 34,554 1,570,825
Cardinal Health, Inc.+ 21,446 1,409,860
Caremark Rx, Inc.+ 23,865 1,352,430
Aetna, Inc. 30,376 1,201,371
HCA, Inc.+ 23,296 1,162,237
Stryker Corp. 23,370 1,158,918
Boston Scientific Corp.* 76,766 1,135,369
Medco Health Solutions, Inc.*+ 17,294 1,039,542
Becton, Dickinson & Co. 14,610 1,032,489
Genzyme Corp.*+ 15,264 1,029,862
Zimmer Holdings, Inc.*+ 14,956 1,009,530
Forest Laboratories, Inc.* 19,932 1,008,759
Allergan, Inc.+ 8,860 997,725
McKesson Corp. 18,260 962,667
Biogen Idec, Inc.*+ 20,085 897,398
CIGNA Corp. 7,540 877,053
Celgene Corp.*+ 20,122 871,283
St. Jude Medical, Inc.* 22,811 805,000
Quest Diagnostics, Inc. 12,526 766,090
Humana, Inc.* 11,122 735,053
Express Scripts, Inc.* 9,524 718,967
Fisher Scientific International, Inc.* 8,390 656,434
AmerisourceBergen Corp.+ 14,200 641,840
Laboratory Corporation of America Holdings*+ 8,766 574,787
Coventry Health Care, Inc.* 10,851 559,044
Biomet, Inc.+ 17,241 554,988
C.R. Bard, Inc.+ 7,300 547,500
Medimmune, Inc.*+ 17,995 525,634
Varian Medical Systems, Inc.*+ 9,676 516,602
Thermo Electron Corp.*+ 12,300 483,759
DaVita, Inc.* 8,002 463,076
Applera Corp. - Applied Biosystems Group 13,817 457,481
Hospira, Inc.* 11,319 433,178
Barr Pharmaceuticals, Inc.* 8,263 429,180
IMS Health, Inc. 15,316 408,018
Amylin Pharmaceuticals, Inc.*+ 9,190 405,003
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Health Management Associates, Inc. -- Class A+ 19,103 $ 399,253
Omnicare, Inc.+ 9,111 392,593
Health Net, Inc.* 8,931 388,677
Sepracor, Inc.*+ 8,017 388,343
DENTSPLY International, Inc.+ 12,492 376,134
Waters Corp.* 8,300 375,824
Abraxis BioScience, Inc.*+ 13,340 370,585
Patterson Cos., Inc.*+ 10,891 366,047
Henry Schein, Inc.*+ 7,206 361,309
Covance, Inc.* 5,300 351,814
Endo Pharmaceuticals Holdings, Inc.* 10,790 351,214
Manor Care, Inc.+ 6,700 350,276
Mylan Laboratories, Inc.+ 17,230 346,840
Pharmaceutical Product Development, Inc. 9,628 343,623
King Pharmaceuticals, Inc.* 19,900 338,897
Tenet Healthcare Corp.*+ 40,892 332,861
Triad Hospitals, Inc.* 7,509 330,621
Cerner Corp.* 6,970 316,438
Cephalon, Inc.*+ 5,096 314,678
Intuitive Surgical, Inc.* 2,970 313,186
Community Health Systems, Inc.* 8,347 311,760
Beckman Coulter, Inc. 5,414 311,630
Hillenbrand Industries, Inc. 5,420 308,832
Vertex Pharmaceuticals, Inc.*+ 9,074 305,340
Dade Behring Holdings, Inc. 7,350 295,176
Invitrogen Corp.*+ 4,555 288,833
Charles River Laboratories International, Inc.*+ 6,652 288,763
Universal Health Services, Inc. -- Class B 4,700 281,671
Lincare Holdings, Inc.* 8,060 279,198
Millipore Corp.*+ 4,550 278,915
Emdeon Corp.* 23,625 276,649
Millennium Pharmaceuticals, Inc.*+ 27,681 275,426
Brookdale Senior Living, Inc.+ 5,890 273,414
VCA Antech, Inc.*+ 7,580 273,335
Idexx Laboratories, Inc.* 2,990 272,509
Watson Pharmaceuticals, Inc.*+ 10,260 268,504
Respironics, Inc.* 6,710 259,073
ResMed, Inc.*+ 6,380 256,795
Edwards Lifesciences Corp.* 5,380 250,654
Cytyc Corp.*+ 10,220 250,186
Bausch & Lomb, Inc.+ 4,920 246,640
Cooper Cos., Inc.+ 4,410 235,935
Kos Pharmaceuticals, Inc.*+ 4,750 234,745
Advanced Medical Optics, Inc.*+ 5,850 231,367
WellCare Health Plans, Inc.* 4,010 227,086
Gen-Probe, Inc.* 4,697 220,242
PerkinElmer, Inc. 11,600 219,588
PDL BioPharma, Inc.*+ 11,057 212,294
Mentor Corp.+ 4,200 211,638
Pediatrix Medical Group, Inc.* 4,630 211,128
See Notes to Financial Statements.
32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
HEALTH CARE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
ImClone Systems, Inc.*+ 7,285 $ 206,311
LifePoint Hospitals, Inc.*+ 5,769 203,761
Kinetic Concepts, Inc.* 6,303 198,292
Sierra Health Services, Inc.*+ 5,220 197,525
Techne Corp.* 3,864 196,523
Medicis Pharmaceutical Corp. -- Class A+ 6,000 194,100
Valeant Pharmaceuticals International 9,728 192,420
Hologic, Inc.* 4,360 189,747
Steris Corp. 6,980 167,939
Perrigo Co. 9,880 167,664
Immucor, Inc.* 7,375 165,274
Sunrise Senior Living, Inc.* 5,400 161,298
AMERIGROUP Corp.* 5,370 158,683
Healthways, Inc.*+ 3,510 156,546
Varian, Inc.* 3,350 153,664
Owens & Minor, Inc. 4,520 148,663
Affymetrix, Inc.*+ 6,866 148,031
American Medical Systems Holdings, Inc.*+ 7,900 145,597
ArthroCare Corp.*+ 3,050 142,923
Haemonetics Corp.* 3,030 141,804
MGI Pharma, Inc.*+ 8,010 137,852
Intermagnetics General Corp.* 4,760 128,758
Integra LifeSciences Holdings Corp.*+ 3,290 123,309
PolyMedica Corp.+ 2,880 123,293
Dionex Corp.* 2,380 121,237
United Surgical Partners International, Inc.*+ 4,790 118,936
Alpharma, Inc. -- Class A 5,000 116,950
DJ Orthopedics, Inc.* 2,800 116,284
inVentiv Health, Inc.* 3,530 113,066
Parexel International Corp.* 3,404 112,638
Genesis HealthCare Corp.* 2,350 111,931
Regeneron Pharmaceuticals, Inc.* 6,995 109,752
Viasys Healthcare, Inc.* 4,000 108,960
Per-Se Technologies, Inc.*+ 4,546 103,558
Apria Healthcare Group, Inc.* 5,200 102,648
LCA-Vision, Inc.+ 2,460 101,623
Vital Signs, Inc. 1,760 99,634
Biosite, Inc.* 2,140 98,932
Analogic Corp. 1,900 97,508
Invacare Corp. 3,846 90,458
Chemed Corp. 2,800 90,328
SurModics, Inc.*+ 2,490 87,449
ICU Medical, Inc.* 1,910 86,867
Amedisys, Inc.*+ 2,150 85,291
Noven Pharmaceuticals, Inc.* 3,500 84,420
AmSurg Corp.*+ 3,790 84,365
Centene Corp.*+ 5,060 83,186
Matria Healthcare, Inc.*+ 2,980 82,814
Par Pharmaceutical Cos., Inc.* 4,540 82,810
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Martek Biosciences Corp.*+ 3,848 $ 82,770
Sciele Pharma, Inc.*+ 4,320 81,389
Conmed Corp.* 3,710 78,318
Cambrex Corp.+ 3,640 75,384
Datascope Corp. 2,220 74,303
Cross Country Healthcare, Inc.* 4,280 72,760
Greatbatch, Inc.*+ 3,010 68,086
Odyssey HealthCare, Inc.* 4,536 64,320
Gentiva Health Services, Inc.* 3,840 63,130
Kendle International, Inc.* 1,970 63,079
Dendrite International, Inc.* 6,430 62,885
Savient Pharmaceuticals, Inc.* 9,610 62,561
CNS, Inc. 2,170 61,259
Cyberonics, Inc.* 3,470 60,829
PharmaNet Development Group, Inc.*+ 3,000 58,290
Merit Medical Systems, Inc.* 4,080 55,406
Enzo Biochem, Inc.*+ 4,509 54,965
Connetics Corp.* 5,000 54,500
Kensey Nash Corp.*+ 1,820 53,271
Bradley Pharmaceuticals, Inc.*+ 3,120 49,670
WebMD Health Corp., Inc.*+ 1,222 41,963
Hooper Holmes, Inc. 11,530 38,856
RehabCare Group, Inc.* 2,750 36,025
Possis Medical, Inc.* 3,200 31,520
CryoLife, Inc.* 4,760 30,702
Arqule, Inc.* 6,210 26,144
BioLase Technology, Inc.*+ 4,090 25,563
Theragenics Corp.* 6,493 18,700
Osteotech, Inc.* 3,900 15,951
--------------
TOTAL COMMON STOCKS
(Cost $83,441,266) 96,763,527
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.3%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 353,844 353,844
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $353,844) 353,844
--------------
SECURITIES LENDING COLLATERAL 18.9%
Investment in Securities Lending
Short Term Investment Portfolio
Held by U.S. Bancorp (Note 8) 18,361,298 18,361,298
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $18,361,298) 18,361,298
--------------
TOTAL INVESTMENTS 118.8%
(Cost $102,156,408) $ 115,478,669
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (18.8)% $ (18,295,230)
==============
NET ASSETS - 100.0% $ 97,183,439
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
INTERNET FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Cisco Systems, Inc.* 100,378 $ 2,308,694
Google, Inc. -- Class A*+ 4,148 1,667,081
Time Warner, Inc. 88,354 1,610,693
Qualcomm, Inc. 36,716 1,334,627
eBay, Inc.* 39,394 1,117,214
Symantec Corp.*+ 46,337 986,051
Research In Motion, Ltd.* 9,281 952,787
Yahoo!, Inc.*+ 37,096 937,787
Sun Microsystems, Inc.* 164,817 819,140
Qwest Communications International, Inc.*+ 86,687 755,911
Broadcom Corp. -- Class A*+ 22,328 677,432
Intuit, Inc.* 19,076 612,149
Amazon.com, Inc.*+ 18,657 599,263
E*Trade Financial Corp.*+ 24,538 586,949
Juniper Networks, Inc.*+ 33,768 583,511
IAC/InterActiveCorp*+ 20,175 580,233
BEA Systems, Inc.*+ 31,074 472,325
Check Point Software Technologies Ltd.*+ 21,146 402,831
VeriSign, Inc.* 18,465 372,993
McAfee, Inc.* 14,557 356,064
Monster Worldwide, Inc.* 9,665 349,776
Red Hat, Inc.*+ 16,209 341,686
CheckFree Corp.*+ 7,714 318,742
Emdeon Corp.* 26,698 312,634
Digital River, Inc.*+ 5,617 287,141
TIBCO Software, Inc.* 31,017 278,533
Foundry Networks, Inc.* 20,990 276,018
F5 Networks, Inc.* 5,043 270,910
WebEx Communications, Inc.*+ 6,553 255,698
Ciena Corp.*+ 8,960 244,164
Internet Security Systems, Inc.* 8,741 242,650
Priceline.com, Inc.*+ 6,543 240,717
CNET Networks, Inc.* 24,603 235,697
RealNetworks, Inc.*+ 21,969 233,091
aQuantive, Inc.*+ 9,845 232,539
Palm, Inc.*+ 14,392 209,548
j2 Global Communications, Inc.*+ 7,162 194,592
Netflix, Inc.*+ 8,394 191,215
Websense, Inc.*+ 8,676 187,488
Digital Insight Corp.* 5,696 167,007
EarthLink, Inc.* 22,276 161,947
United Online, Inc. 13,134 159,972
webMethods, Inc.* 13,431 102,747
S1 Corp.* 21,838 100,673
NetBank, Inc. 15,001 90,756
--------------
TOTAL COMMON STOCKS
(Cost $20,135,345) 23,419,676
--------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.3%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 79,547 $ 79,547
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $79,547) 79,547
--------------
SECURITIES LENDING COLLATERAL 19.5%
Investment in Securities Lending
Short Term Investment Portfolio
Held by U.S. Bancorp (Note 8) 4,594,096 4,594,096
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,594,096) 4,594,096
--------------
TOTAL INVESTMENTS 119.4%
(Cost $24,808,988) $ 28,093,319
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (19.4)% $ (4,565,851)
==============
NET ASSETS - 100.0% $ 23,527,468
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE
NOTE 8.
See Notes to Financial Statements.
34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
LEISURE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Time Warner, Inc. 61,945 $ 1,129,257
Walt Disney Co. 34,049 1,052,455
McDonald's Corp. 24,235 948,073
News Corp. -- Class A+ 42,300 831,195
Carnival Corp.+ 15,420 725,203
Viacom, Inc. -- Class B* 17,056 634,142
Starbucks Corp.*+ 17,948 611,129
Electronic Arts, Inc.*+ 10,615 591,043
Las Vegas Sands Corp.*+ 8,490 580,291
Marriott International, Inc. -- Class A+ 13,112 506,648
International Game Technology, Inc.+ 11,894 493,601
Yum! Brands, Inc. 9,258 481,879
Starwood Hotels & Resorts Worldwide, Inc. 7,548 431,670
Harrah's Entertainment, Inc.+ 6,413 426,016
MGM Mirage, Inc.*+ 10,530 415,830
Hilton Hotels Corp.+ 14,683 408,922
Mattel, Inc. 19,333 380,860
Wendy's International, Inc. 5,631 377,277
Darden Restaurants, Inc. 7,722 327,953
Wynn Resorts Ltd.*+ 4,659 316,859
Eastman Kodak Co.+ 13,833 309,859
Activision, Inc.* 19,673 297,062
Tim Hortons, Inc.+ 10,910 286,933
Hasbro, Inc. 12,476 283,829
Brinker International, Inc. 6,082 243,827
Warner Music Group Corp. 8,930 231,733
Boyd Gaming Corp. 5,930 227,949
Station Casinos, Inc. 3,820 220,911
Penn National Gaming, Inc.*+ 5,880 214,738
Brunswick Corp.+ 6,712 209,347
Scientific Games Corp. -- Class A*+ 6,370 202,566
THQ, Inc.*+ 6,870 200,398
Jack in the Box, Inc.* 3,775 196,979
OSI Restaurant Partners, Inc.+ 5,855 185,662
Cheesecake Factory, Inc.*+ 6,820 185,436
Sonic Corp.*+ 8,090 182,915
Aztar Corp.* 3,420 181,294
Burger King Holdings, Inc.* 11,290 180,188
Ruby Tuesday, Inc. 6,190 174,496
Choice Hotels International, Inc.+ 4,142 169,408
Pool Corp. 4,380 168,630
Applebee's International, Inc.+ 7,827 168,359
International Speedway Corp. -- Class A 3,270 162,977
Polaris Industries, Inc.+ 3,888 159,991
Panera Bread Co. -- Class A*+ 2,730 159,022
CBRL Group, Inc.+ 3,800 153,634
DreamWorks Animation SKG, Inc. -- Class A*+ 6,022 150,008
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Take-Two Interactive Software, Inc.*+ 10,304 $ 146,935
Live Nation, Inc.* 7,040 143,757
Regal Entertainment Group -- Class A+ 7,240 143,497
Papa John's International, Inc.* 3,946 142,490
Pinnacle Entertainment, Inc.* 4,980 140,038
Bob Evans Farms, Inc. 4,360 132,021
Rare Hospitality International, Inc.* 4,320 132,019
CEC Entertainment, Inc.* 4,050 127,615
Callaway Golf Co.+ 9,610 125,987
WMS Industries, Inc.*+ 4,270 124,727
Ryan's Restaurant Group, Inc.* 7,490 118,866
P.F. Chang's China Bistro, Inc.*+ 3,420 118,708
Triarc Cos., Inc. -- Class B 7,820 118,238
Red Robin Gourmet Burgers, Inc.*+ 2,550 117,581
IHOP Corp.+ 2,530 117,266
Shuffle Master, Inc.*+ 4,120 111,281
Landry's Restaurants, Inc. 3,380 101,907
RC2 Corp.* 3,000 100,590
Lone Star Steakhouse & Saloon, Inc. 3,560 98,861
K2, Inc.* 8,250 96,773
Marcus Corp. 4,060 93,258
Steak n Shake Co.* 5,430 91,713
MarineMax, Inc.*+ 3,470 88,312
O'Charleys, Inc.* 4,640 88,021
Jakks Pacific, Inc.*+ 4,660 83,088
Nautilus, Inc.+ 5,750 79,063
Napster, Inc.* 15,198 64,895
Sturm Ruger & Co., Inc.* 8,260 63,932
4Kids Entertainment, Inc.* 3,680 60,720
Multimedia Games, Inc.*+ 6,510 59,111
Arctic Cat, Inc. 3,300 54,780
Bally Total Fitness Holding Corp.*+ 9,830 14,843
--------------
TOTAL COMMON STOCKS
(Cost $18,189,622) 20,479,347
--------------
FACE
AMOUNT
------------
SECURITIES LENDING COLLATERAL 20.2%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) $ 4,158,360 4,158,360
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,158,360) 4,158,360
--------------
TOTAL INVESTMENTS 119.8%
(Cost $22,347,982) $ 24,637,707
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (19.8)% $ (4,073,912)
==============
NET ASSETS - 100.0% $ 20,563,795
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
PRECIOUS METALS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.3%
Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 329,794 $ 17,564,828
Newmont Mining Corp. 391,280 16,727,220
Barrick Gold Corp.+ 437,159 13,429,525
Goldcorp, Inc.+ 520,679 12,288,024
Glamis Gold Ltd.* 248,244 9,788,261
Agnico-Eagle Mines Ltd.+ 255,001 7,938,181
Coeur d'Alene Mines Corp.*+ 1,626,017 7,658,540
AngloGold Ashanti Ltd. -- SP ADR+ 198,474 7,490,409
Pan American Silver Corp.*+ 377,842 7,383,033
Gold Fields Ltd. -- SP ADR 370,158 6,603,619
Apex Silver Mines Ltd.*+ 370,200 6,167,532
Kinross Gold Corp.*+ 439,701 5,505,057
Silver Standard Resources, Inc.*+ 244,443 5,397,301
Crystallex International Corp.*+ 1,841,863 5,249,310
Cia de Minas Buenaventura SA -- SP ADR 182,247 4,920,669
Bema Gold Corp.*+ 1,063,092 4,709,498
Meridian Gold, Inc.* 184,858 4,595,570
Silver Wheaton Corp.*+ 482,871 4,558,302
Yamana Gold, Inc.+ 483,018 4,467,917
Harmony Gold Mining Co. Ltd. -- SP ADR* 344,216 4,450,713
Royal Gold, Inc.+ 154,710 4,197,282
Hecla Mining Co.*+ 723,065 4,150,393
Northgate Minerals Corp*+ 1,290,722 4,130,310
Novagold Resources, Inc.* 231,499 3,632,219
Randgold Resources Ltd. -- SP ADR* 175,090 3,564,832
DRDGOLD Ltd. -- SP ADR*+ 1,985,714 2,740,285
Golden Star Resources Ltd.*+ 910,122 2,484,633
Stillwater Mining Co.* 280,979 2,360,224
--------------
TOTAL COMMON STOCKS
(Cost $102,356,452) 184,153,687
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 1,125,893 1,125,893
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,125,893) 1,125,893
--------------
SECURITIES LENDING COLLATERAL 37.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 68,651,694 68,651,694
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $68,651,694) 68,651,694
--------------
MARKET
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS 137.0%
(Cost $172,134,039) $ 253,931,274
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (37.0)% $ (68,527,260)
==============
NET ASSETS - 100.0% $ 185,404,014
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Public Storage, Inc.+ 20,454 $ 1,758,839
Simon Property Group, Inc.+ 16,569 1,501,483
Vornado Realty Trust+ 12,244 1,334,596
Equity Residential+ 25,947 1,312,399
Equity Office Properties Trust+ 32,123 1,277,210
ProLogis 21,992 1,254,863
Boston Properties, Inc.+ 11,379 1,175,906
Host Hotels & Resorts, Inc.+ 49,435 1,133,545
Archstone-Smith Trust+ 20,809 1,132,842
General Growth Properties, Inc.+ 23,479 1,118,774
KIMCO Realty Corp. 26,080 1,118,050
AvalonBay Communities, Inc.+ 8,344 1,004,618
Apartment Investment & Management
Co. -- Class A+ 15,145 824,039
Developers Diversified Realty Corp.+ 14,766 823,352
Plum Creek Timber Co., Inc. (REIT) 23,050 784,622
Macerich Co. 10,241 782,003
CB Richard Ellis Group, Inc. -- Class A*+ 30,383 747,422
Duke Realty Corp. 19,863 741,883
AMB Property Corp. 13,384 737,592
iStar Financial, Inc. 17,598 733,837
Regency Centers Corp. 10,667 733,463
Health Care Property Investors, Inc. 22,964 713,032
CapitalSource, Inc.+ 27,560 711,599
SL Green Realty Corp.+ 6,370 711,529
St. Joe Co.+ 12,846 704,860
Trizec Properties, Inc. 23,831 688,954
Liberty Property Trust+ 14,413 688,797
Ventas, Inc.+ 17,747 683,969
Forest City Enterprises, Inc. -- Class A+ 12,496 678,533
Camden Property Trust 8,919 677,933
United Dominion Realty Trust, Inc.+ 22,281 672,886
Weingarten Realty Investors+ 15,522 667,756
Federal Realty Investment Trust 8,862 658,447
Global Signal, Inc. 12,436 629,013
Reckson Associates Realty Corp. 14,405 616,534
Mack-Cali Realty Corp.+ 11,806 611,551
Hospitality Properties Trust+ 12,955 611,476
BRE Properties, Inc. -- Class A+ 9,772 583,682
New Plan Excel Realty Trust+ 20,881 564,831
Essex Property Trust, Inc.+ 4,628 561,839
Brandywine Realty Trust+ 17,066 555,498
Jones Lang LaSalle, Inc.+ 6,460 552,201
Rayonier, Inc.+ 14,420 545,076
CBL & Associates Properties, Inc.+ 13,005 545,040
Pan Pacific Retail Properties, Inc. 7,805 541,823
Health Care REIT, Inc.+ 13,497 540,015
Crescent Real Estate EQT Co.+ 23,813 519,361
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Thornburg Mortgage, Inc.+ 20,329 $ 517,780
HRPT Properties Trust+ 43,252 516,861
Taubman Centers, Inc. 11,567 513,806
Nationwide Health Properties, Inc.+ 18,537 495,679
Kilroy Realty Corp.+ 6,500 489,710
Realty Income Corp.+ 19,768 488,467
First Industrial Realty Trust, Inc.+ 11,059 486,596
Alexandria Real Estate Equities, Inc.+ 5,172 485,134
Healthcare Realty Trust, Inc.+ 12,409 476,630
Annaly Mortgage Management, Inc.+ 36,224 475,983
Post Properties, Inc.+ 9,924 471,588
Colonial Properties Trust+ 9,736 465,478
Equity One, Inc.+ 19,313 462,933
Highwoods Properties, Inc. 12,389 460,995
Home Properties, Inc.+ 7,987 456,537
Washington Real Estate Investment Trust+ 11,217 446,437
Corporate Office Properties Trust SBI+ 9,969 446,212
Cousins Properties, Inc. 12,967 443,601
New Century Financial Corp.+ 11,249 442,198
Senior Housing Properties Trust 20,323 433,693
Heritage Property Investment Trust+ 11,860 432,416
Sunstone Hotel Investors, Inc.+ 14,350 426,482
BioMed Realty Trust, Inc.+ 13,870 420,816
Pennsylvania Real Estate Investment Trust 9,664 411,396
LaSalle Hotel Properties+ 9,464 410,170
Mid-America Apartment Communities, Inc.+ 6,658 407,603
Entertainment Properties Trust 7,944 391,798
Digital Realty Trust, Inc. 12,277 384,516
Inland Real Estate Corp. 21,689 379,991
Potlatch Corp.+ 10,240 379,904
National Retail Properties, Inc.+ 17,251 372,622
PS Business Parks, Inc. 6,146 370,604
Tanger Factory Outlet Centers, Inc.+ 9,965 354,953
Eastgroup Properties, Inc.+ 6,972 347,624
FelCor Lodging Trust, Inc. 17,001 340,870
Equity Lifestyle Properties, Inc.+ 7,430 339,625
Lexington Corporate Properties Trust+ 15,910 336,974
Sovran Self Storage, Inc.+ 5,961 331,134
Glenborough Realty Trust, Inc.+ 12,393 318,872
Glimcher Realty Trust+ 12,330 305,537
Acadia Realty Trust 11,763 299,956
Equity Inns, Inc.+ 18,471 294,058
Saul Centers, Inc.+ 6,511 292,995
National Health Investors, Inc. 10,299 291,771
Trustreet Properties, Inc.+ 22,961 287,242
Parkway Properties, Inc.+ 5,697 264,854
Innkeepers USA Trust+ 16,046 261,389
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ramco-Gershenson Properties Trust 8,007 $ 255,824
First Potomac Realty Trust 8,420 254,452
LTC Properties, Inc. 10,339 250,721
Mills Corp.+ 14,801 247,325
Sun Communities, Inc. 7,525 240,499
Cedar Shopping Centers, Inc. 14,580 235,759
Universal Health Realty Income Trust 6,247 223,955
CentraCore Properties Trust 6,782 215,328
Windrose Medical Properties Trust 11,945 211,188
Urstadt Biddle Properties, Inc. 10,869 197,490
Winston Hotels, Inc. 14,927 183,901
Associated Estates Realty Corp. 11,875 183,706
American Land Lease, Inc. 5,717 135,779
Monmouth Real Estate Investment
Corp. -- Class A 15,887 127,096
--------------
TOTAL COMMON STOCKS
(Cost $54,255,703) 60,163,086
--------------
REPURCHASE AGREEMENTS 0.3%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 156,967 156,967
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $156,967) 156,967
--------------
SECURITIES LENDING COLLATERAL 26.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 15,912,302 15,912,302
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $15,912,302) 15,912,302
--------------
TOTAL INVESTMENTS 126.2%
(Cost $70,324,972) $ 76,232,355
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (26.2)% $ (15,837,228)
==============
NET ASSETS - 100.0% $ 60,395,127
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
RETAILING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 97.5%
Wal-Mart Stores, Inc. 46,067 $ 2,272,024
Home Depot, Inc.+ 37,576 1,362,881
Target Corp.+ 20,769 1,147,487
Walgreen Co.+ 23,572 1,046,361
Lowe's Cos., Inc.+ 35,550 997,533
Federated Department Stores, Inc.+ 19,364 836,718
CVS Corp. 25,680 824,842
Best Buy Co., Inc.+ 14,785 791,885
Sears Holdings Corp.* 4,992 789,185
Kohl's Corp.* 11,952 775,924
Costco Wholesale Corp.+ 14,163 703,618
Staples, Inc. 27,249 662,968
The Gap, Inc. 34,506 653,889
J.C. Penney Holding Co., Inc.+ 9,294 635,617
Liberty Media Holding Corp - Interactive* 30,706 625,788
TJX Cos., Inc.+ 22,304 625,181
Nordstrom, Inc.+ 13,472 569,866
Bed Bath & Beyond, Inc.* 14,419 551,671
Office Depot, Inc.*+ 13,585 539,324
Amazon.com, Inc.*+ 16,382 526,190
Limited Brands, Inc.+ 19,643 520,343
IAC/InterActiveCorp*+ 17,483 502,811
Sherwin-Williams Co.+ 8,455 471,620
AutoZone, Inc.*+ 4,512 466,090
American Eagle Outfitters, Inc.+ 10,494 459,952
Genuine Parts Co. 10,175 438,848
Abercrombie & Fitch Co. -- Class A+ 6,303 437,932
Michaels Stores, Inc. 8,955 389,901
Family Dollar Stores, Inc.+ 12,490 365,208
CarMax, Inc.*+ 8,641 360,416
Expedia, Inc.*+ 22,820 357,818
Tiffany & Co. 10,124 336,117
AutoNation, Inc.*+ 15,594 325,915
Petsmart, Inc.+ 11,607 322,094
Foot Locker, Inc. 12,620 318,655
Circuit City Stores, Inc.+ 12,660 317,893
Dollar General Corp. 23,174 315,862
O'Reilly Automotive, Inc.*+ 9,327 309,750
Advance Auto Parts, Inc. 9,381 309,010
Dollar Tree Stores, Inc.* 9,968 308,609
RadioShack Corp. 15,170 292,781
Williams-Sonoma, Inc. 9,020 292,158
Ross Stores, Inc.+ 11,315 287,514
Claire's Stores, Inc. 9,340 272,354
Chico's FAS, Inc.*+ 12,639 272,118
OfficeMax, Inc.+ 6,600 268,884
AnnTaylor Stores Corp.* 6,402 267,988
Urban Outfitters, Inc.*+ 15,043 266,111
Coldwater Creek, Inc.* 9,092 261,486
Dillard's, Inc. -- Class A+ 7,925 259,385
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Big Lots, Inc.*+ 13,010 $ 257,728
Rite Aid Corp.*+ 56,154 254,939
Barnes & Noble, Inc. 6,574 249,417
Saks, Inc.+ 14,380 248,486
Rent-A-Center, Inc.* 8,424 246,739
Men's Wearhouse, Inc.+ 6,477 241,009
United Auto Group, Inc. 10,260 240,084
Nutri/System, Inc.*+ 3,784 235,705
GameStop Corp. -- Class A*+ 5,060 234,177
Children's Place Retail Stores, Inc.*+ 3,496 223,849
Dick's Sporting Goods, Inc.* 4,878 222,046
BJ's Wholesale Club, Inc.*+ 7,583 221,272
Longs Drug Stores Corp. 4,586 211,002
Gymboree Corp.*+ 4,826 203,561
Tractor Supply Co.*+ 4,191 202,258
Aeropostale, Inc.*+ 6,875 200,956
Zale Corp.* 7,150 198,341
Payless Shoesource, Inc.* 7,787 193,896
Borders Group, Inc.+ 9,065 184,926
Tween Brands, Inc.*+ 4,661 175,254
Guitar Center, Inc.*+ 3,794 169,516
Dress Barn, Inc.* 7,748 169,061
Group 1 Automotive, Inc. 3,300 164,670
Christopher & Banks Corp. 5,547 163,525
Select Comfort Corp.*+ 7,444 162,875
Hibbett Sporting Goods, Inc.*+ 5,942 155,562
99 Cents Only Stores* 12,623 149,330
Aaron Rents, Inc.+ 6,490 149,140
Pacific Sunwear of California, Inc.* 9,753 147,075
Genesco, Inc.*+ 4,007 138,121
Stage Stores, Inc. 4,560 133,790
PEP Boys-Manny Moe & Jack 10,360 133,126
Sonic Automotive, Inc. 5,650 130,458
Jos. A. Bank Clothiers, Inc.*+ 4,327 129,637
Building Material Holding Corp.+ 4,926 128,174
Pier 1 Imports, Inc.+ 17,030 126,363
Stein Mart, Inc. 8,284 126,000
Tuesday Morning Corp.+ 8,858 122,949
Cato Corp. -- Class A+ 5,270 115,466
Finish Line, Inc. -- Class A 9,098 114,817
Fred's, Inc. 8,828 111,409
Jo-Ann Stores, Inc.*+ 6,500 108,680
HOT Topic, Inc.* 9,442 105,184
Midas, Inc.* 4,370 90,372
Haverty Furniture Cos., Inc.+ 5,550 88,522
Stamps.com, Inc.* 4,606 87,790
Audiovox Corp. -- Class A* 6,265 87,209
PetMed Express, Inc.*+ 7,288 76,087
Cost Plus, Inc.*+ 5,848 70,001
Hancock Fabrics, Inc.*+ 11,353 32,583
--------------
TOTAL COMMON STOCKS
(Cost $32,044,348) 35,447,712
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
RETAILING FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.7%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 236,933 $ 236,933
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $236,933) 236,933
--------------
SECURITIES LENDING COLLATERAL 15.8%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 5,752,120 5,752,120
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $5,752,120) 5,752,120
--------------
TOTAL INVESTMENTS 114.0%
(Cost $38,033,401) $ 41,436,765
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (14.0)% $ (5,097,036)
==============
NET ASSETS - 100.0% $ 36,339,729
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Microsoft Corp.+ 71,858 $ 1,963,879
Cisco Systems, Inc.* 60,767 1,397,641
International Business Machines Corp. 15,415 1,263,105
Intel Corp. 60,072 1,235,681
Hewlett-Packard Co. 32,223 1,182,262
Oracle Corp.* 65,897 1,169,013
Apple Computer, Inc.*+ 13,267 1,021,957
Google, Inc. -- Class A*+ 2,491 1,001,133
Motorola, Inc. 38,049 951,225
Texas Instruments, Inc.+ 24,667 820,178
Qualcomm, Inc. 22,232 808,133
Dell, Inc.*+ 33,122 756,506
eBay, Inc.* 23,818 675,478
Corning, Inc.*+ 27,600 673,716
EMC Corp.* 50,444 604,319
Symantec Corp.*+ 28,071 597,351
Applied Materials, Inc. 33,670 596,969
First Data Corp.+ 14,202 596,484
Automatic Data Processing, Inc. 12,271 580,909
Adobe Systems, Inc.*+ 15,270 571,862
Yahoo!, Inc.*+ 22,407 566,449
Electronic Arts, Inc.*+ 9,209 512,757
Sun Microsystems, Inc.* 99,683 495,425
Xerox Corp.* 27,871 433,673
CA, Inc.+ 18,229 431,845
Network Appliance, Inc.* 11,226 415,474
Micron Technology, Inc.*+ 23,825 414,555
Nvidia Corp.* 13,954 412,899
Agilent Technologies, Inc.* 12,570 410,913
Broadcom Corp. -- Class A*+ 13,479 408,953
Paychex, Inc. 10,764 396,653
Freescale Semiconductor, Inc. -- Class B*+ 10,404 395,456
Electronic Data Systems Corp.+ 15,922 390,407
Advanced Micro Devices, Inc.*+ 15,306 380,354
Intuit, Inc.* 11,509 369,324
Cognizant Technology Solutions Corp. -- Class A* 4,956 367,041
SanDisk Corp.*+ 6,762 362,037
Akamai Technologies, Inc.*+ 7,068 353,329
Juniper Networks, Inc.*+ 20,409 352,668
Lucent Technologies, Inc.*+ 147,752 345,740
Analog Devices, Inc.+ 11,488 337,632
Computer Sciences Corp.* 6,792 333,623
KLA-Tencor Corp.+ 7,502 333,614
Linear Technology Corp.+ 10,350 322,092
Fiserv, Inc.* 6,791 319,788
Mastercard, Inc.*+ 4,429 311,580
Autodesk, Inc.* 8,909 309,855
Maxim Integrated Products, Inc.+ 10,865 304,981
National Semiconductor Corp.+ 12,920 304,008
NCR Corp.*+ 7,609 300,403
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEMC Electronic Materials, Inc.*+ 8,086 $ 296,190
Fidelity National Information Services, Inc.+ 7,984 295,408
Xilinx, Inc. 13,372 293,515
BEA Systems, Inc.*+ 18,803 285,806
Altera Corp.*+ 15,497 284,835
Microchip Technology, Inc. 8,726 282,897
Jabil Circuit, Inc.+ 9,845 281,272
Iron Mountain, Inc.* 6,452 277,049
Harris Corp. 6,225 276,950
Lexmark International, Inc.* 4,763 274,635
BMC Software, Inc.* 10,037 273,207
Amphenol Corp. -- Class A+ 4,365 270,324
Lam Research Corp.*+ 5,955 269,940
Citrix Systems, Inc.*+ 7,346 265,999
Affiliated Computer Services, Inc. -- Class A* 5,039 261,323
Activision, Inc.*+ 16,946 255,885
CDW Corp.+ 4,109 253,443
Salesforce.com, Inc.*+ 7,003 251,268
Total System Services, Inc.+ 10,981 250,696
Avaya, Inc.*+ 21,836 249,804
Symbol Technologies, Inc.+ 16,693 248,058
Cadence Design Systems, Inc.* 13,931 236,270
Comverse Technology, Inc.* 10,966 235,111
DST Systems, Inc.*+ 3,766 232,249
Molex, Inc.+ 5,918 230,624
VeriSign, Inc.* 11,214 226,523
Alliance Data Systems Corp.*+ 4,026 222,195
Tellabs, Inc.* 19,910 218,214
Novellus Systems, Inc.*+ 7,827 216,495
McAfee, Inc.* 8,824 215,835
Intersil Corp. -- Class A+ 8,474 208,037
Western Digital Corp.* 11,453 207,299
Red Hat, Inc.*+ 9,825 207,111
Integrated Device Technology, Inc.* 12,850 206,371
AVX Corp. 11,359 200,941
Compuware Corp.* 25,775 200,787
Ingram Micro, Inc. -- Class A*+ 10,355 198,402
QLogic Corp.* 10,484 198,148
Sabre Holdings Corp. 8,431 197,201
Reynolds & Reynolds Co. -- Class A 4,948 195,495
Atmel Corp.* 32,175 194,337
Global Payments, Inc. 4,413 194,216
JDS Uniphase Corp.*+ 88,648 194,139
Diebold, Inc.+ 4,431 192,881
Convergys Corp.* 9,245 190,909
CheckFree Corp.*+ 4,620 190,898
Mettler Toledo International, Inc.* 2,860 189,189
Cypress Semiconductor Corp.*+ 10,599 188,344
Ceridian Corp.* 8,420 188,271
LSI Logic Corp.*+ 22,852 187,843
Synopsys, Inc.*+ 9,481 186,965
Arrow Electronics, Inc.*+ 6,728 184,549
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Solectron Corp.*+ 56,127 $ 182,974
Avnet, Inc.*+ 9,318 182,819
Trimble Navigation Ltd.* 3,834 180,505
Sybase, Inc.* 7,401 179,400
Parametric Technology Corp.* 10,213 178,319
Zebra Technologies Corp. -- Class A*+ 4,950 176,913
Anixter International, Inc.+ 3,094 174,718
Agere Systems, Inc.* 11,701 174,696
THQ, Inc.*+ 5,935 173,124
Hyperion Solutions Corp.* 5,020 173,090
Gartner, Inc. -- Class A*+ 9,763 171,731
Teradyne, Inc.*+ 12,939 170,277
Factset Research Systems, Inc. 3,478 168,926
Tektronix, Inc. 5,828 168,604
Polycom, Inc.*+ 6,871 168,546
Fair Isaac Corp.+ 4,576 167,344
Varian Semiconductor Equipment Associates, Inc.* 4,536 166,471
Fairchild Semiconductor International, Inc.* 8,895 166,337
Jack Henry & Associates, Inc.+ 7,455 162,295
Flir Systems, Inc.*+ 5,965 162,009
F5 Networks, Inc.* 2,992 160,730
International Rectifier Corp.*+ 4,613 160,717
National Instruments Corp.+ 5,878 160,705
Micros Systems, Inc.*+ 3,284 160,653
Acxiom Corp. 6,442 158,860
Vishay Intertechnology, Inc.* 11,305 158,722
MoneyGram International, Inc. 5,433 157,883
WebEx Communications, Inc.*+ 3,962 154,597
CommScope, Inc.*+ 4,628 152,076
ADTRAN, Inc.+ 6,373 151,932
Filenet Corp.*+ 4,324 150,605
Novell, Inc.* 24,602 150,564
Benchmark Electronics, Inc.*+ 5,573 149,802
Tech Data Corp.* 4,099 149,736
Belden CDT, Inc.+ 3,914 149,632
Internet Security Systems, Inc.* 5,325 147,822
RF Micro Devices, Inc.* 19,423 147,226
Ciena Corp.*+ 5,400 147,138
Hewitt Associates, Inc. -- Class A* 6,032 146,336
VeriFone Holdings, Inc.*+ 5,090 145,320
Unisys Corp.* 25,361 143,543
Avid Technology, Inc.*+ 3,885 141,492
Spansion, Inc.*+ 8,420 140,361
Avocent Corp.* 4,642 139,817
Sanmina-SCI Corp.* 37,009 138,414
CACI International, Inc. -- Class A* 2,514 138,295
Cymer, Inc.*+ 3,107 136,428
MPS Group, Inc.*+ 8,973 135,582
ADC Telecommunications, Inc.* 9,033 135,495
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ansys, Inc.*+ 3,058 $ 135,102
Technitrol, Inc. 4,526 135,101
Silicon Laboratories, Inc.*+ 4,348 134,875
Andrew Corp.*+ 14,537 134,177
3Com Corp.*+ 30,068 132,600
SRA International, Inc. -- Class A*+ 4,310 129,559
NAVTEQ Corp.*+ 4,953 129,323
Rambus, Inc.*+ 7,320 127,661
Palm, Inc.*+ 8,745 127,327
CSG Systems International, Inc.* 4,805 126,996
Take-Two Interactive Software, Inc.*+ 8,901 126,928
Macrovision Corp.*+ 5,350 126,742
Imation Corp. 3,130 125,670
ATMI, Inc.* 4,277 124,332
Itron, Inc.*+ 2,220 123,876
Cree, Inc.*+ 6,138 123,435
eFunds Corp.* 4,977 120,344
Mentor Graphics Corp.* 8,515 119,891
Utstarcom, Inc.*+ 13,512 119,851
j2 Global Communications, Inc.*+ 4,359 118,434
Progress Software Corp.* 4,531 117,806
Global Imaging Systems, Inc.* 5,270 116,309
Diodes, Inc.* 2,674 115,437
Cognex Corp. 4,566 115,337
Rogers Corp.* 1,867 115,287
Coherent, Inc.*+ 3,324 115,210
Wind River Systems, Inc.*+ 10,713 114,736
Quality Systems, Inc.+ 2,950 114,431
Websense, Inc.*+ 5,289 114,295
Transaction Systems Architects, Inc. -- Class A* 3,301 113,290
Advent Software, Inc.* 3,110 112,613
Insight Enterprises, Inc.* 5,460 112,531
Brooks Automation, Inc.* 8,595 112,165
Kronos, Inc.* 3,280 111,815
BISYS Group, Inc.* 10,226 111,054
Advanced Energy Industries, Inc.* 6,340 108,034
Keane, Inc.*+ 7,420 106,922
Microsemi Corp.* 5,606 105,673
Epicor Software Corp.* 7,854 102,966
Harmonic, Inc.*+ 13,952 102,547
Dycom Industries, Inc.*+ 4,769 102,534
Comtech Telecommunications Corp.*+ 3,030 101,444
Talx Corp. 4,137 101,439
MRO Software, Inc.* 3,945 101,268
Digital Insight Corp.* 3,449 101,125
Lattice Semiconductor Corp.* 14,776 100,772
Axcelis Technologies, Inc.* 14,242 100,549
Triquint Semiconductor, Inc.*+ 19,239 100,043
Standard Microsystems Corp.* 3,462 98,390
Semtech Corp.* 7,632 97,384
Paxar Corp.* 4,873 97,363
See Notes to Financial Statements.
42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
United Online, Inc. 7,945 $ 96,770
Manhattan Associates, Inc.* 3,990 96,319
PMC - Sierra, Inc.* 16,210 96,287
Park Electrochemical Corp. 3,034 96,117
Scansource, Inc.*+ 3,164 95,964
Skyworks Solutions, Inc.* 18,487 95,948
Micrel, Inc.* 9,917 95,104
Littelfuse, Inc.* 2,730 94,731
McData Corp. -- Class A* 18,669 93,905
Brightpoint, Inc.* 6,591 93,724
Altiris, Inc.* 4,373 92,227
Synaptics, Inc.*+ 3,758 91,582
Powerwave Technologies, Inc.* 12,013 91,299
Komag, Inc.*+ 2,850 91,086
Gateway, Inc.*+ 48,069 90,850
Electro Scientific Industries, Inc.* 4,384 90,310
Aeroflex, Inc.* 8,763 90,084
FEI Co.* 4,250 89,718
Black Box Corp. 2,288 89,049
ViaSat, Inc.* 3,548 88,984
Newport Corp.* 5,452 88,868
Rudolph Technologies, Inc.* 4,833 88,589
Netgear, Inc.*+ 4,292 88,372
Cabot Microelectronics Corp.*+ 3,057 88,103
Plantronics, Inc.+ 5,005 87,738
Power Integrations, Inc.* 4,460 87,416
DSP Group, Inc.* 3,822 87,333
MAXIMUS, Inc. 3,343 87,252
Mantech International Corp. -- Class A* 2,634 86,948
Open Solutions, Inc.* 3,000 86,430
KEMET Corp.*+ 10,518 84,880
Kulicke & Soffa Industries, Inc.* 9,481 83,812
Inter-Tel, Inc. 3,866 83,506
Daktronics, Inc. 3,987 82,491
Photronics, Inc.*+ 5,785 81,742
Supertex, Inc.*+ 2,040 79,295
Veeco Instruments, Inc.*+ 3,890 78,384
Adaptec, Inc.*+ 17,746 78,260
Gevity HR, Inc.+ 3,420 77,908
Hutchinson Technology, Inc.* 3,690 77,601
JDA Software Group, Inc.* 4,948 76,298
Plexus Corp.* 3,970 76,224
Checkpoint Systems, Inc.* 4,540 74,955
Exar Corp.* 5,613 74,597
MTS Systems Corp. 2,291 74,091
InfoSpace, Inc.* 4,017 74,073
CTS Corp.+ 5,354 73,778
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
C-COR, Inc.* 8,530 $ 73,187
Radisys Corp.* 3,388 71,995
Radiant Systems, Inc.* 5,904 71,320
Actel Corp.* 4,581 71,235
Symmetricom, Inc.* 8,794 70,968
Cohu, Inc. 3,912 69,751
Ciber, Inc.* 10,509 69,675
Gerber Scientific, Inc.* 4,514 67,620
LoJack Corp.* 3,430 67,194
SPSS, Inc.* 2,650 66,065
Sonic Solutions, Inc.*+ 4,332 66,020
Bankrate, Inc.*+ 2,420 64,275
Agilsys, Inc. 4,474 62,815
Digi International, Inc.* 4,621 62,384
Methode Electronics, Inc. -- Class A 6,464 61,473
Neoware, Inc.*+ 4,379 59,511
Pericom Semiconductor Corp.* 6,082 59,300
PC-Tel, Inc.* 5,504 57,792
Bel Fuse, Inc. -- Class B 1,792 57,505
Ultratech, Inc.* 4,278 56,983
Blue Coat Systems, Inc.* 3,155 56,822
MapInfo Corp.* 4,404 56,503
Napster, Inc.* 13,164 56,210
Novatel Wireless, Inc.* 5,808 55,931
Secure Computing Corp.*+ 8,579 54,305
EPIQ Systems, Inc.*+ 3,660 53,839
Photon Dynamics, Inc.* 4,000 53,080
Credence Systems Corp.* 18,352 52,303
X-Rite, Inc.+ 4,816 51,724
Ditech Networks, Inc.* 6,575 50,693
Kopin Corp.* 14,929 50,012
Captaris, Inc.* 8,456 49,552
Mercury Computer Systems, Inc.* 4,040 47,874
Keithley Instruments, Inc. 3,614 46,079
Planar Systems, Inc.* 3,889 44,140
Startek, Inc. 3,414 42,573
Bell Microproducts, Inc.* 8,083 41,951
Carreker Corp.* 6,471 39,732
Network Equipment Technologies, Inc.* 9,620 39,634
Tollgrade Communications, Inc.* 4,002 35,818
Phoenix Technologies Ltd.* 7,891 33,931
Catapult Communications Corp.* 3,994 33,390
MIVA, Inc.*+ 9,516 31,403
ESS Technologies, Inc.* 14,674 13,647
--------------
TOTAL COMMON STOCKS
(Cost $56,063,610) 62,005,472
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 346,119 $ 346,119
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $346,119) 346,119
--------------
SECURITIES LENDING COLLATERAL 21.8%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 13,562,602 13,562,602
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $13,562,602) 13,562,602
--------------
TOTAL INVESTMENTS 122.0%
(Cost $69,972,331) $ 75,914,193
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (22.0)% $ (13,670,762)
==============
NET ASSETS - 100.0% $ 62,243,431
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Cisco Systems, Inc.* 136,019 $ 3,128,437
AT&T, Inc.+ 90,843 2,957,848
Verizon Communications, Inc.+ 71,802 2,666,008
Vodafone Group, PLC -- SP ADR+ 113,135 2,586,266
BellSouth Corp. 54,635 2,335,646
Nokia OYJ -- SP ADR+ 109,364 2,153,377
Motorola, Inc. 85,178 2,129,450
Qualcomm, Inc. 49,754 1,808,558
Telefonaktiebolaget LM Ericsson -- SP ADR+ 51,528 1,775,140
Sprint Nextel Corp.+ 92,052 1,578,692
Corning, Inc.* 61,731 1,506,854
Alltel Corp.+ 18,991 1,054,001
American Tower Corp. -- Class A*+ 28,254 1,031,271
Qwest Communications International, Inc.*+ 117,471 1,024,347
Alcatel SA -- SP ADR+ 81,886 997,372
Juniper Networks, Inc.*+ 45,765 790,819
NII Holdings, Inc. -- Class B*+ 12,657 786,759
Lucent Technologies, Inc.*+ 331,027 774,603
Embarq Corp. 14,665 709,346
Crown Castle International Corp.*+ 19,189 676,220
Level 3 Communications, Inc.*+ 115,470 617,765
Harris Corp. 13,836 615,564
Avaya, Inc.*+ 48,925 559,702
CenturyTel, Inc.+ 13,605 539,710
Citizens Communications Co. 38,390 538,996
Comverse Technology, Inc.* 24,594 527,295
Tellabs, Inc.* 44,638 489,232
JDS Uniphase Corp.*+ 198,541 434,805
U.S. Cellular Corp.* 7,269 433,959
Leap Wireless International, Inc. -- Class B* 8,740 423,803
Polycom, Inc.*+ 15,345 376,413
SBA Communications Corp.* 15,270 371,519
Telephone & Data Systems, Inc. 8,550 359,955
F5 Networks, Inc.* 6,700 359,924
CommScope, Inc.*+ 10,450 343,387
ADTRAN, Inc.+ 14,231 339,267
Belden CDT, Inc.+ 8,729 333,710
Ciena Corp.*+ 12,151 331,103
Avocent Corp.*+ 10,506 316,441
NeuStar, Inc.*+ 11,230 311,633
ADC Telecommunications, Inc.* 20,290 304,350
Andrew Corp.*+ 32,658 301,433
3Com Corp.*+ 67,271 296,665
Cincinnati Bell, Inc.* 59,710 287,802
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Utstarcom, Inc.*+ 30,331 $ 269,036
Windstream Corp.+ 19,634 258,972
Commonwealth Telephone Enterprises, Inc. 6,185 255,008
Harmonic, Inc.* 31,307 230,106
Dycom Industries, Inc.*+ 10,590 227,685
Comtech Telecommunications Corp.*+ 6,790 227,329
Powerwave Technologies, Inc.*+ 26,977 205,025
Black Box Corp.+ 5,219 203,123
ViaSat, Inc.* 7,996 200,540
Plantronics, Inc.+ 11,240 197,037
Netgear, Inc.*+ 9,520 196,017
General Communication, Inc. -- Class A* 15,623 193,569
Inter-Tel, Inc. 8,609 185,954
C-COR, Inc.* 19,180 164,564
Symmetricom, Inc.* 19,615 158,293
Digi International, Inc.* 10,454 141,129
PC-Tel, Inc.* 12,370 129,885
Bel Fuse, Inc. -- Class B 4,043 129,740
Blue Coat Systems, Inc.* 7,150 128,772
Ditech Networks, Inc.* 14,813 114,208
Network Equipment Technologies, Inc.* 21,635 89,136
Tollgrade Communications, Inc.* 8,989 80,452
--------------
TOTAL COMMON STOCKS
(Cost $40,909,908) 46,271,027
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 308,965 308,965
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $308,965) 308,965
--------------
SECURITIES LENDING COLLATERAL 28.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 13,138,040 13,138,040
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $13,138,040) 13,138,040
--------------
TOTAL INVESTMENTS 128.5%
(Cost $54,356,913) $ 59,718,032
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (28.5)% $ (13,258,783)
==============
NET ASSETS - 100.0% $ 46,459,249
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
TRANSPORTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.5%
United Parcel Service, Inc. -- Class B+ 38,765 $ 2,788,754
FedEx Corp. 22,213 2,414,109
Burlington Northern Santa Fe Corp. 29,494 2,166,039
Union Pacific Corp.+ 23,390 2,058,320
Norfolk Southern Corp.+ 38,380 1,690,639
Southwest Airlines Co.+ 96,269 1,603,842
CSX Corp.+ 48,768 1,601,053
Expeditors International Washington, Inc.+ 26,834 1,196,260
CH Robinson Worldwide, Inc.+ 24,822 1,106,565
AMR Corp.*+ 38,196 883,855
US Airways Group, Inc.*+ 17,980 797,053
Laidlaw International, Inc. 27,100 740,643
Ryder System, Inc.+ 14,052 726,207
J.B. Hunt Transport Services, Inc.+ 34,232 710,999
Continental Airlines, Inc. -- Class B*+ 23,585 667,691
Landstar System, Inc.+ 15,366 656,128
UAL Corp.* 24,505 651,098
Kansas City Southern*+ 22,660 618,845
Alexander & Baldwin, Inc.+ 13,753 610,221
YRC Worldwide, Inc.*+ 16,056 594,714
Con-way, Inc. 12,988 582,122
SkyWest, Inc.+ 22,032 540,225
Alaska Air Group, Inc.*+ 13,784 524,343
Werner Enterprises, Inc.+ 27,050 506,106
Heartland Express, Inc.+ 32,237 505,476
Swift Transportation Co., Inc.*+ 21,079 499,994
Kirby Corp.* 15,879 497,489
JetBlue Airways Corp.*+ 52,003 482,068
Knight Transportation, Inc.+ 28,340 480,363
EGL, Inc.* 12,343 449,779
Arkansas Best Corp. 9,752 419,629
Old Dominion Freight Line, Inc.* 13,690 411,111
Forward Air Corp.+ 12,092 400,124
HUB Group, Inc. -- Class A*+ 17,557 399,948
AirTran Holdings, Inc.*+ 33,978 337,062
Frontier Airlines Holdings, Inc.*+ 30,969 255,494
Mesa Air Group, Inc.*+ 26,334 204,352
--------------
TOTAL COMMON STOCKS
(Cost $25,468,553) 31,778,720
--------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 185,264 $ 185,264
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $185,264) 185,264
--------------
SECURITIES LENDING COLLATERAL 32.0%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 10,213,425 10,213,425
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,213,425) 10,213,425
--------------
TOTAL INVESTMENTS 132.1%
(Cost $35,867,242) $ 42,177,409
==============
LIABILITIES IN EXCESS OF OTHER ASSETS - (32.1)% $ (10,244,609)
==============
NET ASSETS - 100.0% $ 31,932,800
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
UTILITIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Exelon Corp.+ 30,937 $ 1,872,926
TXU Corp. 25,066 1,567,126
Duke Energy Corp. 50,735 1,532,197
Southern Co.+ 43,455 1,497,459
Dominion Resources, Inc.+ 19,419 1,485,359
FPL Group, Inc.+ 28,176 1,267,920
FirstEnergy Corp.+ 22,243 1,242,494
Entergy Corp. 15,512 1,213,504
PG&E Corp.+ 26,798 1,116,137
American Electric Power Co., Inc. 30,616 1,113,504
AES Corp.*+ 53,923 1,099,490
Edison International+ 26,104 1,086,971
Sempra Energy+ 21,564 1,083,591
Public Service Enterprise Group, Inc.+ 17,599 1,076,883
PPL Corp.+ 30,961 1,018,617
Progress Energy, Inc.+ 21,918 994,639
Consolidated Edison, Inc.+ 21,174 978,239
Constellation Energy Group, Inc. 16,335 967,032
Ameren Corp.+ 18,149 958,086
Xcel Energy, Inc.+ 41,453 856,004
Mirant Corp.* 30,228 825,527
DTE Energy Co.+ 18,861 782,920
KeySpan Corp.+ 18,798 773,350
Allegheny Energy, Inc.* 18,946 761,061
Questar Corp.+ 9,261 757,272
NiSource, Inc. 31,902 693,549
NRG Energy, Inc.*+ 15,177 687,518
Wisconsin Energy Corp. 15,419 665,176
CenterPoint Energy, Inc.+ 45,060 645,259
Pinnacle West Capital Corp.+ 14,256 642,233
Oneok, Inc.+ 16,714 631,622
SCANA Corp.+ 15,643 629,944
Pepco Holdings, Inc.+ 25,686 620,831
Equitable Resources, Inc.+ 17,146 599,767
Alliant Energy Corp.+ 16,667 595,512
NSTAR+ 17,451 582,165
Northeast Utilities 24,615 572,791
Reliant Energy, Inc.*+ 45,634 561,755
MDU Resources Group, Inc.+ 24,525 547,888
CMS Energy Corp.*+ 37,258 538,006
Energy East Corp.+ 22,387 531,020
TECO Energy, Inc. 33,733 527,921
OGE Energy Corp.+ 14,537 524,931
Energen Corp. 12,530 524,631
DPL, Inc.+ 19,212 521,029
National Fuel Gas Co.+ 13,991 508,573
Sierra Pacific Resources*+ 34,146 489,654
Southern Union Co. 18,296 483,197
Puget Energy, Inc. 20,943 476,034
Aqua America, Inc.+ 21,682 475,703
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Great Plains Energy, Inc.+ 15,200 $ 471,504
AGL Resources, Inc.+ 12,916 471,434
UGI Corp. 18,691 456,995
Atmos Energy Corp.+ 15,340 437,957
Westar Energy, Inc.+ 18,308 430,421
Dynegy, Inc. -- Class A* 76,672 424,763
WPS Resources Corp.+ 8,429 418,331
Hawaiian Electric Industries, Inc.+ 15,433 417,617
PNM Resources, Inc. 14,956 412,337
Vectren Corp.+ 15,060 404,361
Piedmont Natural Gas Co.+ 15,900 402,429
Nicor, Inc.+ 9,291 397,283
Duquesne Light Holdings, Inc.+ 19,655 386,417
IDACORP, Inc.+ 10,087 381,389
Peoples Energy Corp.+ 9,290 377,638
Aquila, Inc.* 85,034 368,197
WGL Holdings, Inc.+ 11,714 367,117
New Jersey Resources Corp.+ 7,026 346,382
Southwest Gas Corp.+ 10,202 339,931
Cleco Corp.+ 13,282 335,238
Unisource Energy Corp.+ 9,624 320,768
Allete, Inc.+ 7,234 314,317
El Paso Electric Co.* 14,031 313,453
Avista Corp. 13,207 312,742
Northwest Natural Gas Co. 7,765 305,009
Black Hills Corp.+ 8,878 298,390
UIL Holding Corp. 7,675 287,812
South Jersey Industries, Inc. 9,270 277,266
CH Energy Group, Inc. 5,204 267,850
Laclede Group, Inc. 7,105 227,928
--------------
TOTAL COMMON STOCKS
(Cost $47,122,611) 53,178,293
--------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 0.8%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 411,727 $ 411,727
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $411,727) 411,727
--------------
SECURITIES LENDING COLLATERAL 31.6%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 16,888,517 16,888,517
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $16,888,517) 16,888,517
--------------
TOTAL INVESTMENTS 131.9%
(Cost $64,422,855) $ 70,478,537
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS - (31.9)% $ (17,031,949)
==============
NET ASSETS - 100.0% $ 53,446,588
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
- --------------------------------------------------------------------------------
BASIC BIO-
BANKING MATERIALS TECHNOLOGY COMMODITIES
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 12,740,118 $ 29,859,939 $ 132,942,929 $ 55,937,052
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- 655
Receivable for Securities Sold (Note 1) 251,323 932,249 795,741 --
Receivable for Fund Shares Purchased 396,621 114,054 71,759 198,442
Investment Income Receivable (Note 1) 19,307 31,588 246 15,840
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 13,407,369 30,937,830 133,810,675 56,151,989
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- -- -- 5,651,495
Payable upon Return of Securities Loaned (Note 8) 2,048,265 5,210,882 36,179,253 --
Payable for Securities Purchased (Note 1) 176,443 -- -- 10,800,000
Liability for Fund Shares Redeemed 433,922 1,071,860 938,270 191,947
Investment Advisory Fees Payable (Note 3) 7,878 19,312 70,620 15,299
Transfer Agent and Administrative Fees Payable (Note 3) 2,317 5,680 20,771 8,772
Distribution and Service Fees Payable (Note 3) 852 2,536 2,216 3,355
Portfolio Accounting Fees Payable (Note 3) 927 2,272 8,308 3,509
Custody Fees Payable 422 680 2,169 842
Cash Due to Custodian Bank -- -- -- --
Other Liabilities 4,930 13,048 41,314 18,927
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 2,675,956 6,326,270 37,262,921 16,694,146
================================================================================================================================
NET ASSETS $ 10,731,413 $ 24,611,560 $ 96,547,754 $ 39,457,843
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 54,099,821 41,416,663 248,877,722 47,663,560
Undistributed Net Investment Income (Loss) 113,553 277,181 (706,561) (237,641)
Accumulated Net Realized Loss on Investments and
Commodity Index Swaps (45,194,389) (23,670,168) (192,272,144) (8,029,460)
Net Unrealized Appreciation on Investments 1,712,428 6,587,884 40,648,737 61,384
================================================================================================================================
NET ASSETS $ 10,731,413 $ 24,611,560 $ 96,547,754 $ 39,457,843
================================================================================================================================
Investor Class $ 5,601,280 $ 12,009,972 $ 83,115,421 $ N/A
Advisor Class 3,108,059 4,407,876 9,032,593 N/A
A-Class 371,175 1,717,005 1,373,352 4,772,444
C-Class 1,650,899 6,476,707 3,026,388 3,520,028
H-Class N/A N/A N/A 31,165,371
SHARES OUTSTANDING
Investor Class 498,627 353,270 3,901,711 N/A
Advisor Class 292,835 134,530 444,152 N/A
A-Class 34,746 52,081 67,278 197,719
C-Class 156,959 201,438 150,313 147,388
H-Class N/A N/A N/A 1,291,324
NET ASSET VALUES
Investor Class $ 11.23 $ 34.00 $ 21.30 N/A
Advisor Class 10.61 32.76 20.34 N/A
A-Class 10.68 32.97 20.41 $ 24.14
A-Class Maximum Offering Price** 11.21 34.61 21.43 25.34
C-Class 10.52 32.15 20.13 23.88
H-Class N/A N/A N/A 24.13
* THE COST OF SECURITIES AT VALUE IS $11,027,690, $23,272,055, $92,294,192,
$55,875,668, $89,414,713, $30,709,305, $100,003,390, $112,638,618,
$69,756,967, $102,156,408, $24,808,988, AND $22,347,982, RESPECTIVELY.
** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
See Notes to Financial Statements.
48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
September 30, 2006
- --------------------------------------------------------------------------------
CONSUMER ENERGY
PRODUCTS ELECTRONICS ENERGY SERVICES
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 96,488,515 $ 42,971,482 $ 133,577,021 $ 161,621,438
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) 4,813,612 -- -- --
Receivable for Fund Shares Purchased 1,961,532 3,422,176 3,342,509 8,481,573
Investment Income Receivable (Note 1) 169,747 1,751 41,967 56,136
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 103,433,406 46,395,409 136,961,497 170,159,147
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) 18,076,874 7,956,583 27,903,856 32,381,122
Payable for Securities Purchased (Note 1) -- 2,583,024 -- 4,894,663
Liability for Fund Shares Redeemed 6,832,244 1,038,874 3,712,257 3,458,292
Investment Advisory Fees Payable (Note 3) 56,954 26,047 85,019 106,799
Transfer Agent and Administrative Fees Payable (Note 3) 16,751 7,661 25,006 31,412
Distribution and Service Fees Payable (Note 3) 4,367 1,936 7,751 9,006
Portfolio Accounting Fees Payable (Note 3) 6,700 3,064 10,002 12,565
Custody Fees Payable 1,645 1,837 4,384 4,711
Cash Due to Custodian Bank -- -- -- --
Other Liabilities 20,132 14,688 54,505 80,490
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 25,015,667 11,633,714 31,802,780 40,979,060
================================================================================================================================
NET ASSETS $ 78,417,739 $ 34,761,695 $ 105,158,717 $ 129,180,087
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 89,180,347 190,845,122 76,328,221 159,663,467
Undistributed Net Investment Income (Loss) 249,055 (188,365) (217,485) (1,271,798)
Accumulated Net Realized Loss on Investments and
Commodity Index Swaps (18,085,465) (168,157,239) (4,525,650) (78,194,402)
Net Unrealized Appreciation on Investments 7,073,802 12,262,177 33,573,631 48,982,820
================================================================================================================================
NET ASSETS $ 78,417,739 $ 34,761,695 $ 105,158,717 $ 129,180,087
================================================================================================================================
Investor Class $ 49,559,859 $ 26,082,561 $ 67,628,908 $ 84,629,129
Advisor Class 18,792,725 3,875,715 14,819,726 14,034,076
A-Class 2,638,711 203,883 4,743,574 7,584,467
C-Class 7,426,444 4,599,536 17,966,509 22,932,415
H-Class N/A N/A N/A N/A
SHARES OUTSTANDING
Investor Class 1,475,570 2,136,099 3,248,036 2,076,956
Advisor Class 580,923 331,739 738,068 357,811
A-Class 81,177 17,340 235,065 192,244
C-Class 233,304 397,928 911,752 593,552
H-Class N/A N/A N/A N/A
NET ASSET VALUES
Investor Class $ 33.59 $ 12.21 $ 20.82 $ 40.75
Advisor Class 32.35 11.68 20.08 39.22
A-Class 32.51 11.76 20.18 39.45
A-Class Maximum Offering Price** 34.13 12.35 21.19 41.42
C-Class 31.83 11.56 19.71 38.64
H-Class N/A N/A N/A N/A
FINANCIAL HEALTH
SERVICES CARE INTERNET LEISURE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 74,776,673 $ 115,478,669 $ 28,093,319 $ 24,637,707
Cash 1,184 -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) -- 4,638,544 441,538 550,135
Receivable for Fund Shares Purchased 1,635,312 327,258 10,616 80,798
Investment Income Receivable (Note 1) 89,661 47,295 33 2,431
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 76,502,830 120,491,766 28,545,506 25,271,071
================================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) 12,613,797 18,361,298 4,594,096 4,158,360
Payable for Securities Purchased (Note 1) 947,154 -- -- --
Liability for Fund Shares Redeemed 1,051,081 4,812,776 389,546 409,756
Investment Advisory Fees Payable (Note 3) 39,377 68,662 19,274 10,055
Transfer Agent and Administrative Fees Payable (Note 3) 11,582 20,195 5,669 2,957
Distribution and Service Fees Payable (Note 3) 4,248 6,415 892 869
Portfolio Accounting Fees Payable (Note 3) 4,633 8,078 2,268 1,183
Custody Fees Payable 1,165 1,997 605 511
Cash Due to Custodian Bank -- -- -- 118,500
Other Liabilities 15,650 28,906 5,688 5,085
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 14,688,687 23,308,327 5,018,038 4,707,276
================================================================================================================================
NET ASSETS $ 61,814,143 $ 97,183,439 $ 23,527,468 $ 20,563,795
================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 101,322,176 117,714,081 58,684,286 38,571,445
Undistributed Net Investment Income (Loss) 234,683 (186,103) (76,072) (60,920)
Accumulated Net Realized Loss on Investments and
Commodity Index Swaps (44,762,422) (33,666,800) (38,365,077) (20,236,455)
Net Unrealized Appreciation on Investments 5,019,706 13,322,261 3,284,331 2,289,725
================================================================================================================================
NET ASSETS $ 61,814,143 $ 97,183,439 $ 23,527,468 $ 20,563,795
================================================================================================================================
Investor Class $ 31,351,015 $ 53,340,752 $ 19,702,942 $ 14,582,445
Advisor Class 25,780,737 36,965,487 2,682,293 4,822,949
A-Class 1,140,076 888,850 140,797 81,290
C-Class 3,542,315 5,988,350 1,001,436 1,077,111
H-Class N/A N/A N/A N/A
SHARES OUTSTANDING
Investor Class 2,299,420 3,657,241 526,924 459,549
Advisor Class 1,953,728 2,648,666 74,260 159,229
A-Class 86,131 63,417 3,879 2,674
C-Class 273,575 434,918 28,241 35,783
H-Class N/A N/A N/A N/A
NET ASSET VALUES
Investor Class $ 13.63 $ 14.58 $ 37.39 $ 31.73
Advisor Class 13.20 13.96 36.12 30.29
A-Class 13.24 14.02 36.30 30.40
A-Class Maximum Offering Price** 13.90 14.72 38.11 31.92
C-Class 12.95 13.77 35.46 30.10
H-Class N/A N/A N/A N/A
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
PRECIOUS REAL
METALS ESTATE RETAILING TECHNOLOGY
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 253,931,274 $ 76,232,355 $ 41,436,765 $ 75,914,193
Receivable for Securities Sold (Note 1) -- 2,169,040 -- 9,088,304
Receivable for Fund Shares Purchased 5,663,738 2,672,425 5,375,002 368,056
Investment Income Receivable (Note 1) 11,587 222,639 9,091 7,174
- -------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 259,606,599 81,296,459 46,820,858 85,377,727
=========================================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 8) 68,651,694 15,912,302 5,752,120 13,562,602
Payable for Securities Purchased (Note 1) 2,378,114 -- 1,233,850 --
Liability for Fund Shares Redeemed 2,887,792 4,918,928 3,467,908 9,499,316
Investment Advisory Fees Payable (Note 3) 127,137 35,502 13,946 38,170
Transfer Agent and Administrative Fees Payable (Note 3) 42,379 10,442 4,102 11,226
Distribution and Service Fees Payable (Note 3) 7,952 5,134 1,444 3,872
Portfolio Accounting Fees Payable (Note 3) 16,952 4,177 1,641 4,491
Custody Fees Payable 4,400 1,207 885 1,174
Other Liabilities 86,165 13,640 5,233 13,445
- -------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 74,202,585 20,901,332 10,481,129 23,134,296
=========================================================================================================================
NET ASSETS $ 185,404,014 $ 60,395,127 $ 36,339,729 $ 62,243,431
=========================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 180,411,312 56,992,615 69,386,071 137,542,943
Undistributed Net Investment Income (Loss) (259,325) 251,814 (29,740) (168,275)
Accumulated Net Realized Gain (Loss) on Investments (76,545,208) (2,756,685) (36,419,966) (81,073,099)
Net Unrealized Appreciation on Investments 81,797,235 5,907,383 3,403,364 5,941,862
=========================================================================================================================
NET ASSETS $ 185,404,014 $ 60,395,127 $ 36,339,729 $ 62,243,431
=========================================================================================================================
Investor Class $ 146,507,743 N/A $ 28,398,423 $ 36,423,432
Advisor Class 11,073,214 N/A 4,844,546 23,568,157
A-Class 5,462,386 $ 444,536 160,022 121,359
C-Class 22,360,671 4,962,707 2,936,738 2,130,483
H-Class N/A 54,987,884 N/A N/A
SHARES OUTSTANDING
Investor Class 2,979,052 N/A 2,125,242 3,098,851
Advisor Class 228,525 N/A 374,915 2,079,027
A-Class 112,164 11,623 12,332 10,685
C-Class 478,734 132,207 232,532 190,416
H-Class N/A 1,438,569 N/A N/A
NET ASSET VALUES
Investor Class $ 49.18 N/A $ 13.36 $ 11.75
Advisor Class 48.46 N/A 12.92 11.34
A-Class 48.70 $ 38.25 12.98 11.36
A-Class Maximum Offering Price** 51.13 40.16 13.63 11.93
C-Class 46.71 37.54 12.63 11.19
H-Class N/A 38.22 N/A N/A
* THE COST OF SECURITIES AT VALUE IS $172,134,039, $70,324,972, $38,033,401,
$69,972,331, $54,356,913, $35,867,242, AND $64,422,855, RESPECTIVELY.
** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
See Notes to Financial Statements.
50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
September 30, 2006
- --------------------------------------------------------------------------------
TELECOM-
MUNICATIONS TRANSPORTATION UTILITIES
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 59,718,032 $ 42,177,409 $ 70,478,537
Receivable for Securities Sold (Note 1) 8,080,387 997,957 4,940,667
Receivable for Fund Shares Purchased 452,915 4,283,665 849,833
Investment Income Receivable (Note 1) 22,355 19,682 156,764
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS 68,273,689 47,478,713 76,425,801
========================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 8) 13,138,040 10,213,425 16,888,517
Payable for Securities Purchased (Note 1) -- -- --
Liability for Fund Shares Redeemed 8,626,785 5,282,896 5,994,968
Investment Advisory Fees Payable (Note 3) 25,948 20,192 48,852
Transfer Agent and Administrative Fees Payable (Note 3) 7,632 5,939 14,368
Distribution and Service Fees Payable (Note 3) 1,782 2,687 3,345
Portfolio Accounting Fees Payable (Note 3) 3,053 2,376 5,747
Custody Fees Payable 875 836 1,867
Other Liabilities 10,325 17,562 21,549
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 21,814,440 15,545,913 22,979,213
========================================================================================================
NET ASSETS $ 46,459,249 $ 31,932,800 $ 53,446,588
========================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 83,556,937 48,728,533 55,365,671
Undistributed Net Investment Income (Loss) 206,017 (181,827) 670,155
Accumulated Net Realized Gain (Loss) on Investments (42,664,824) (22,924,073) (8,644,920)
Net Unrealized Appreciation on Investments 5,361,119 6,310,167 6,055,682
========================================================================================================
NET ASSETS $ 46,459,249 $ 31,932,800 $ 53,446,588
========================================================================================================
Investor Class $ 35,358,506 $ 16,532,814 $ 35,669,477
Advisor Class 7,555,688 6,444,371 8,160,186
A-Class 306,729 2,907,957 2,518,973
C-Class 3,238,326 6,047,658 7,097,952
H-Class N/A N/A N/A
SHARES OUTSTANDING
Investor Class 2,032,385 624,199 1,307,344
Advisor Class 451,613 258,004 310,149
A-Class 18,308 115,788 95,211
C-Class 196,286 239,329 278,012
H-Class N/A N/A N/A
NET ASSET VALUES
Investor Class $ 17.40 $ 26.49 $ 27.28
Advisor Class 16.73 24.98 26.31
A-Class 16.75 25.11 26.46
A-Class Maximum Offering Price** 17.59 26.36 27.78
C-Class 16.50 25.27 25.53
H-Class N/A N/A N/A
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51
STATEMENTS OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
BASIC BIO-
BANKING MATERIALS TECHNOLOGY COMMODITIES
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 2,205 $ 3,877 $ 12,800 $ 1,237,343
Interest from Securities Lending, net (Note 8) 702 5,191 30,711 --
Dividends, Net of Foreign Tax Withheld* (Note 1) 182,007 398,095 4,444 --
Other Income -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 184,914 407,163 47,955 1,237,343
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 52,676 152,304 433,533 184,655
Transfer Agent and Administrative Fees (Note 3) 15,493 44,795 127,510 61,552
Distribution & Service Fees (Note 3):
Advisor Class 8,069 18,015 30,929 --
A-Class 272 2,658 3,281 6,614
C-Class 7,792 39,298 20,900 21,177
H-Class -- -- -- 49,643
Portfolio Accounting Fees (Note 3) 6,197 17,918 51,004 24,621
Trustees' Fees** 398 1,353 4,122 1,600
Custody Fees 2,493 6,607 15,955 5,780
Miscellaneous 8,278 23,733 67,282 32,868
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 101,668 306,681 754,516 388,510
- --------------------------------------------------------------------------------------------------------------------------------
Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- (64,988)
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 101,668 306,681 754,516 323,522
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 83,246 100,482 (706,561) 913,821
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (654,792) (364,499) 7,092,756 --
Commodity Index Swaps -- -- -- (7,624,978)
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (654,792) (364,499) 7,092,756 (7,624,978)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 490,963 (2,181,031) (19,205,434) 61,384
Commodity Index Swaps -- -- -- (1,151,462)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 490,963 (2,181,031) (19,205,434) (1,090,078)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (163,829) (2,545,530) (12,112,678) (8,715,056)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (80,583) $ (2,445,048) $ (12,819,239) $ (7,801,235)
================================================================================================================================
* FOREIGN TAX WITHHELD OF $237, $0, $0, $0, $0, $0, $33,189, $0, $256, $0,
$0, AND $0 RESPECTIVELY.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(a)(19) OF THE 1940 ACT.
See Notes to Financial Statements.
52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
Period Ended September 30, 2006
- --------------------------------------------------------------------------------
CONSUMER ENERGY
PRODUCTS ELECTRONICS ENERGY SERVICES
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 8,597 $ 6,539 $ 20,884 $ 33,718
Interest from Securities Lending, net (Note 8) 3,566 2,756 9,887 20,178
Dividends, Net of Foreign Tax Withheld* (Note 1) 509,505 102,631 838,771 388,017
Other Income -- 3,224 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 521,668 115,150 869,542 441,913
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 185,977 158,072 570,836 916,854
Transfer Agent and Administrative Fees (Note 3) 54,699 46,492 167,893 269,663
Distribution & Service Fees (Note 3):
Advisor Class 21,342 17,422 45,404 82,086
A-Class 2,269 1,356 5,259 10,241
C-Class 20,216 26,844 113,460 146,614
H-Class -- -- -- --
Portfolio Accounting Fees (Note 3) 21,880 18,597 67,157 107,473
Trustees' Fees** 1,079 1,540 4,889 7,866
Custody Fees 5,390 8,697 22,998 29,768
Miscellaneous 29,552 24,495 89,131 143,146
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 342,404 303,515 1,087,027 1,713,711
- --------------------------------------------------------------------------------------------------------------------------------
Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 342,404 303,515 1,087,027 1,713,711
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 179,264 (188,365) (217,485) (1,271,798)
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (1,026,743) 69,775 3,957,984 3,588,370
Commodity Index Swaps -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (1,026,743) 69,775 3,957,984 3,588,370
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 4,285,319 (5,451,339) (11,987,482) (25,670,650)
Commodity Index Swaps -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 4,285,319 (5,451,339) (11,987,482) (25,670,650)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 3,258,576 (5,381,564) (8,029,498) (22,082,280)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,437,840 $ (5,569,929) $ (8,246,983) $ (23,354,078)
================================================================================================================================
FINANCIAL HEALTH
SERVICES CARE INTERNET LEISURE
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 5,995 $ 8,747 $ 1,289 $ 2,567
Interest from Securities Lending, net (Note 8) 4,785 5,197 860 3,674
Dividends, Net of Foreign Tax Withheld* (Note 1) 388,551 328,352 11,661 49,745
Other Income -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 399,331 342,296 13,810 55,986
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 141,983 277,367 48,121 60,141
Transfer Agent and Administrative Fees (Note 3) 41,760 81,579 14,153 17,688
Distribution & Service Fees (Note 3):
Advisor Class 30,489 51,421 6,308 13,779
A-Class 2,404 1,259 283 73
C-Class 9,249 30,278 5,878 5,015
H-Class -- -- -- --
Portfolio Accounting Fees (Note 3) 16,704 32,631 5,661 7,075
Trustees' Fees** 1,013 2,125 363 502
Custody Fees 4,985 8,179 1,550 3,230
Miscellaneous 22,372 43,560 7,565 9,403
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 270,959 528,399 89,882 116,906
- --------------------------------------------------------------------------------------------------------------------------------
Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 270,959 528,399 89,882 116,906
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 128,372 (186,103) (76,072) (60,920)
================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 365,820 512,762 368,313 (90,243)
Commodity Index Swaps -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 365,820 512,762 368,313 (90,243)
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 1,319,926 824,015 (516,094) (429,433)
Commodity Index Swaps -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 1,319,926 824,015 (516,094) (429,433)
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 1,685,746 1,336,777 (147,781) (519,676)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,814,118 $ 1,150,674 $ (223,853) $ (580,596)
================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53
STATEMENTS OF OPERATIONS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
PRECIOUS REAL
METALS ESTATE RETAILING TECHNOLOGY
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 33,607 $ 4,165 $ 2,076 $ 5,306
Interest from Securities Lending, net (Note 8) 142,944 3,361 780 1,580
Dividends, Net of Foreign Tax Withheld* (Note 1) 1,148,119 489,119 61,817 62,704
Other Income -- -- -- 353
- ----------------------------------------------------------------------------------------------------------------------------------
Total Income 1,324,670 496,645 64,673 69,943
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 847,568 121,416 49,369 129,046
Transfer Agent and Administrative Fees (Note 3) 282,523 35,711 14,520 37,955
Distribution & Service Fees (Note 3):
Advisor Class 27,823 -- 6,746 20,672
A-Class 8,301 305 46 309
C-Class 119,509 15,882 7,837 8,484
H-Class -- 31,436 -- --
Portfolio Accounting Fees (Note 3) 111,900 14,284 5,808 15,182
Trustees' Fees** 8,119 927 381 1,048
Custody Fees 28,159 5,800 1,954 5,315
Miscellaneous 150,093 19,070 7,752 20,207
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,583,995 244,831 94,413 238,218
- ----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (259,325) 251,814 (29,740) (168,275)
==================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 14,316,662 705,034 (147,156) 2,473,549
- ----------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 14,316,662 705,034 (147,156) 2,473,549
- ----------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (42,510,521) (182,373) 254,219 (3,565,444)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (42,510,521) (182,373) 254,219 (3,565,444)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (28,193,859) 522,661 107,063 (1,091,895)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (28,453,184) $ 774,475 $ 77,323 $ (1,260,170)
==================================================================================================================================
* FOREIGN TAX WITHHELD OF $21,735, $0, $0, $0, $0, $0, AND $0, RESPECTIVELY.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(a)(19) OF THE 1940 ACT.
See Notes to Financial Statements.
54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
Period Ended September 30, 2006
- --------------------------------------------------------------------------------
TELECOM-
MUNICATIONS TRANSPORTATION UTILITIES
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 3,601 $ 7,061 $ 5,479
Interest from Securities Lending, net (Note 8) 4,114 9,005 2,859
Dividends, Net of Foreign Tax Withheld* (Note 1) 396,450 182,938 753,388
Other Income -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total Income 404,165 199,004 761,726
- ----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 109,988 201,925 189,714
Transfer Agent and Administrative Fees (Note 3) 32,349 59,390 55,798
Distribution & Service Fees (Note 3):
Advisor Class 10,441 23,687 18,342
A-Class 1,501 3,824 2,093
C-Class 11,615 28,258 27,298
H-Class -- -- --
Portfolio Accounting Fees (Note 3) 12,940 23,756 22,319
Trustees' Fees** 1,017 2,045 1,317
Custody Fees 3,878 6,733 6,971
Miscellaneous 14,419 31,213 29,930
- ----------------------------------------------------------------------------------------------------------------
Total Expenses 198,148 380,831 353,782
- ----------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 206,017 (181,827) 407,944
================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (404,052) (657,811) 1,028,149
- ----------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (404,052) (657,811) 1,028,149
- ----------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities (1,224,464) (6,949,886) 1,987,702
- ----------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (1,224,464) (6,949,886) 1,987,702
- ----------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (1,628,516) (7,607,697) 3,015,851
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (1,422,499) $ (7,789,524) $ 3,423,795
================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 55
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
BASIC
BANKING FUND MATERIALS FUND
- --------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 83,246 $ 138,952 $ 100,482 $ 275,013
Net Realized Gain (Loss) on Investments (654,792) (103,048) (364,499) (740,023)
Net Change in Unrealized Appreciation (Depreciation) on
Investments 490,963 659,740 (2,181,031) 2,910,645
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (80,583) 695,644 (2,445,048) 2,445,635
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- (214,427) -- (163,691)
Advisor Class -- (53,165) -- (42,795)
A-Class -- (561) -- (2,490)
C-Class -- (10,268) -- (30,622)
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (278,421) -- (239,598)
==========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 71,398,541 204,320,184 113,603,331 279,909,252
Advisor Class 23,533,617 39,149,881 35,343,194 77,286,943
A-Class 592,452 132,883 3,269,436 609,616
C-Class 7,157,479 13,242,639 10,539,556 47,906,414
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- 212,320 -- 153,634
Advisor Class -- 33,917 -- 35,335
A-Class -- 517 -- 2,472
C-Class -- 8,362 -- 27,804
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (74,513,536) (200,925,600) (124,155,597) (291,983,757)
Advisor Class (21,917,326) (40,818,579) (37,737,886) (82,668,932)
A-Class (323,175) (53,938) (2,121,873) (223,003)
C-Class (6,135,517) (13,437,135) (9,633,326) (49,969,464)
H-Class -- -- -- --
==========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (207,465) 1,865,451 (10,893,165) (18,913,686)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (288,048) 2,282,674 (13,338,213) (16,707,649)
NET ASSETS--BEGINNING OF PERIOD 11,019,461 8,736,787 37,949,773 54,657,422
==========================================================================================================================
NET ASSETS--END OF PERIOD $ 10,731,413 $ 11,019,461 $ 24,611,560 $ 37,949,773
==========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 113,553 $ 30,307 $ 277,181 $ 176,699
==========================================================================================================================
BIOTECHNOLOGY
FUND
- ------------------------------------------------------------------------------------------
PERIOD YEAR
ENDED ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- ------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (706,561) $ (1,969,489)
Net Realized Gain (Loss) on Investments 7,092,756 5,439,783
Net Change in Unrealized Appreciation (Depreciation) on
Investments (19,205,434) 32,543,773
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (12,819,239) 36,014,067
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- --
Advisor Class -- --
A-Class -- --
C-Class -- --
Realized Gain on Investment
Investor Class -- --
Advisor Class -- --
A-Class -- --
C-Class -- --
H-Class -- --
- ------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- --
==========================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 180,242,690 559,515,985
Advisor Class 23,939,743 130,742,290
A-Class 775,570 6,216,121
C-Class 27,401,177 26,453,099
H-Class -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- --
Advisor Class -- --
A-Class -- --
C-Class -- --
H-Class -- --
COST OF SHARES REDEEMED
Investor Class (191,466,000) (560,710,682)
Advisor Class (39,038,896) (118,636,207)
A-Class (4,082,585) (1,565,956)
C-Class (31,642,618) (22,611,412)
H-Class -- --
==========================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (33,870,919) 19,403,238
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (46,690,158) 55,417,305
NET ASSETS--BEGINNING OF PERIOD 143,237,912 87,820,607
==========================================================================================
NET ASSETS--END OF PERIOD $ 96,547,754 $ 143,237,912
==========================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (706,561) $ --
==========================================================================================
+ UNAUDITED.
See Notes to Financial Statements.
56 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
COMMODITIES CONSUMER
FUND PRODUCTS FUND
- --------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 913,821 $ 494,315 $ 179,264 $ 120,629
Net Realized Gain (Loss) on Investments (7,624,978) (4,048,096) (1,026,743) 933,392
Net Change in Unrealized Appreciation (Depreciation) on
Investments (1,090,078) 1,151,462 4,285,319 (1,131,158)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (7,801,235) (2,402,319) 3,437,840 (77,137)
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- (96,408)
Advisor Class -- -- -- (72,429)
A-Class -- -- -- (17,220)
C-Class -- -- -- (24,079)
Realized Gain on Investment
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- (210,136)
==========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- 140,373,940 139,858,909
Advisor Class -- -- 43,248,131 42,530,953
A-Class 6,229,251 10,336,843 1,364,783 1,508,341
C-Class 3,062,141 10,750,011 23,677,561 78,675,501
H-Class 95,998,602 156,991,485 -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- 92,503
Advisor Class -- -- -- 56,834
A-Class -- -- -- 16,626
C-Class -- -- -- 20,004
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class -- -- (105,176,368) (143,655,550)
Advisor Class -- -- (31,411,478) (63,000,981)
A-Class (9,841,235) (1,675,048) (348,145) (531,673)
C-Class (3,082,998) (6,473,670) (17,864,235) (85,001,139)
H-Class (87,013,517) (125,620,468) -- --
==========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 5,352,244 44,309,153 53,864,189 (29,429,672)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (2,448,991) 41,906,834 57,302,029 (29,716,945)
NET ASSETS--BEGINNING OF PERIOD 41,906,834 -- 21,115,710 50,832,655
==========================================================================================================================
NET ASSETS--END OF PERIOD $ 39,457,843 $ 41,906,834 $ 78,417,739 $ 21,115,710
==========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (237,641) $ (1,151,462) $ 249,055 $ 69,791
==========================================================================================================================
ELECTRONICS ENERGY
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (188,365) $ (551,843) $ (217,485) $ (215,284)
Net Realized Gain (Loss) on Investments 69,775 2,646,293 3,957,984 22,883,529
Net Change in Unrealized Appreciation (Depreciation) on
Investments (5,451,339) 7,330,596 (11,987,482) 11,137,621
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (5,569,929) 9,425,046 (8,246,983) 33,805,866
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- (194,789)
Advisor Class -- -- -- (29,334)
A-Class -- -- -- (8,404)
C-Class -- -- -- (38,715)
Realized Gain on Investment
Investor Class -- -- -- (2,873,081)
Advisor Class -- -- -- (432,664)
A-Class -- -- -- (123,902)
C-Class -- -- -- (571,040)
H-Class -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- (4,271,929)
==========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 189,785,043 612,961,027 353,062,366 843,697,429
Advisor Class 24,026,151 96,932,862 45,927,462 93,639,117
A-Class 956,408 1,901,735 5,026,955 19,499,848
C-Class 6,823,712 12,798,067 21,702,989 80,697,248
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- 2,987,632
Advisor Class -- -- -- 422,926
A-Class -- -- -- 127,827
C-Class -- -- -- 558,762
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (194,373,960) (612,517,070) (369,774,300) (888,612,720)
Advisor Class (33,205,295) (97,720,610) (48,423,760) (104,512,735)
A-Class (1,822,050) (749,217) (3,192,550) (17,937,164)
C-Class (6,409,798) (10,364,385) (26,359,607) (80,164,356)
H-Class -- -- -- --
==========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (14,219,789) 3,242,409 (22,030,445) (49,596,186)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (19,789,718) 12,667,455 (30,277,428) (20,062,249)
NET ASSETS--BEGINNING OF PERIOD 54,551,413 41,883,958 135,436,145 155,498,394
==========================================================================================================================
NET ASSETS--END OF PERIOD $ 34,761,695 $ 54,551,413 $ 105,158,717 $ 135,436,145
==========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (188,365) $ -- $ (217,485) $ --
==========================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 57
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
ENERGY SERVICES FINANCIAL SERVICES
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (1,271,798) $ (1,674,118) $ 128,372 $ 346,476
Net Realized Gain (Loss) on Investments 3,588,370 (802,696) 365,820 1,405,726
Net Change in Unrealized Appreciation (Depreciation) on
Investments (25,670,650) 48,738,972 1,319,926 3,575,861
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (23,354,078) 46,262,158 1,814,118 5,328,063
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- (229,765)
Advisor Class -- -- -- (198,103)
A-Class -- -- -- (6,465)
C-Class -- -- -- (33,856)
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- (468,189)
==========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 321,380,199 742,386,096 101,812,146 210,186,562
Advisor Class 46,555,398 145,929,179 35,767,316 75,780,551
A-Class 6,438,976 16,042,155 1,685,649 4,477,361
C-Class 23,703,481 47,967,272 4,825,457 22,663,438
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- 219,400
Advisor Class -- -- -- 171,741
A-Class -- -- -- 6,465
C-Class -- -- -- 31,449
COST OF SHARES REDEEMED
Investor Class (367,537,136) (725,065,846) (83,555,608) (207,649,812)
Advisor Class (74,077,972) (135,268,200) (17,647,664) (98,982,008)
A-Class (4,402,999) (10,632,621) (4,855,573) (306,686)
C-Class (25,108,819) (38,129,765) (3,435,101) (22,671,475)
==========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (73,048,872) 43,228,270 34,596,622 (16,073,014)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (96,402,950) 89,490,428 36,410,740 (11,213,140)
NET ASSETS--BEGINNING OF PERIOD 225,583,037 136,092,609 25,403,403 36,616,543
==========================================================================================================================
NET ASSETS--END OF PERIOD $ 129,180,087 $ 225,583,037 $ 61,814,143 $ 25,403,403
==========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (1,271,798) $ -- $ 234,683 $ 106,311
==========================================================================================================================
+ UNAUDITED.
See Notes to Financial Statements.
58 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
HEALTH CARE INTERNET
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ---------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (186,103) $ (487,148) $ (76,072) $ (236,147)
Net Realized Gain (Loss) on Investments 512,762 4,847,905 368,313 541,751
Net Change in Unrealized Appreciation (Depreciation) on
Investments 824,015 4,065,143 (516,094) 1,492,137
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 1,150,674 8,425,900 (223,853) 1,797,741
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- --
===========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 169,611,225 481,885,275 90,534,632 260,792,729
Advisor Class 55,349,851 92,074,770 20,744,246 59,768,520
A-Class 3,075,713 2,904,197 218,139 709,829
C-Class 9,593,249 33,285,608 2,381,395 8,858,919
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (163,313,426) (476,650,900) (87,079,659) (250,443,522)
Advisor Class (33,670,948) (95,923,651) (21,688,538) (57,455,538)
A-Class (4,334,374) (735,551) (510,160) (304,904)
C-Class (10,639,750) (30,934,146) (3,576,631) (8,635,688)
===========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 25,671,540 5,905,602 1,023,424 13,290,345
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 26,822,214 14,331,502 799,571 15,088,086
NET ASSETS--BEGINNING OF PERIOD 70,361,225 56,029,723 22,727,897 7,639,811
===========================================================================================================================
NET ASSETS--END OF PERIOD $ 97,183,439 $ 70,361,225 $ 23,527,468 $ 22,727,897
===========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (186,103) $ -- $ (76,072) $ --
===========================================================================================================================
LEISURE PRECIOUS
FUND METALS FUND
- ---------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ---------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (60,920) $ (180,028) $ (259,325) $ (601,875)
Net Realized Gain (Loss) on Investments (90,243) 163,450 14,316,662 6,116,575
Net Change in Unrealized Appreciation (Depreciation) on
Investments (429,433) (559,461) (42,510,521) 82,313,881
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (580,596) (576,039) (28,453,184) 87,828,581
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- --
===========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 75,569,289 128,662,532 691,624,775 1,274,815,208
Advisor Class 29,455,442 44,175,551 46,030,066 60,242,976
A-Class 30,858 84,034 9,072,349 8,218,350
C-Class 1,973,071 17,795,634 37,652,268 41,496,054
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (77,387,735) (127,210,653) (735,440,937) (1,268,641,782)
Advisor Class (29,488,097) (66,133,356) (47,036,333) (56,399,724)
A-Class (17,530) (29,907) (8,370,828) (3,767,710)
C-Class (1,846,318) (19,256,785) (36,745,092) (46,678,017)
===========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,711,020) (21,912,950) (43,213,732) 9,285,355
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (2,291,616) (22,488,989) (71,666,916) 97,113,936
NET ASSETS--BEGINNING OF PERIOD 22,855,411 45,344,400 257,070,930 159,956,994
===========================================================================================================================
NET ASSETS--END OF PERIOD $ 20,563,795 $ 22,855,411 $ 185,404,014 $ 257,070,930
===========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (60,920) $ -- $ (259,325) $ --
===========================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 59
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
- --------------------------------------------------------------------------------
REAL ESTATE RETAILING
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 251,814 $ 567,302 $ (29,740) $ (188,301)
Net Realized Gain (Loss) on Investments 705,034 954,434 (147,156) 1,264,104
Net Change in Unrealized Appreciation (Depreciation)
on Investments (182,373) 4,704,869 254,219 (131,984)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 774,475 6,226,605 77,323 943,819
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- -- -- --
C-Class -- -- -- --
Realized Gain on Investment
A-Class -- (610) -- --
C-Class -- (11,483) -- --
H-Class -- (91,311) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (103,404) -- --
================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class -- -- 99,955,888 247,082,441
Advisor Class -- -- 16,743,376 45,536,275
A-Class 1,891,973 1,499,608 154,042 262,572
C-Class 8,936,663 21,238,488 2,542,220 7,193,600
H-Class 372,896,459 661,120,592 -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- --
Advisor Class -- -- -- --
A-Class -- 610 -- --
C-Class -- 11,366 -- --
H-Class -- 90,688 -- --
COST OF SHARES REDEEMED
Investor Class -- -- (79,222,455) (247,878,157)
Advisor Class -- -- (15,270,109) (48,558,619)
A-Class (1,826,453) (1,275,850) (43,926) (208,024)
C-Class (7,691,492) (19,427,126) (1,222,455) (7,497,639)
H-Class (368,100,233) (625,418,314) -- --
================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 6,106,917 37,840,062 23,636,581 (4,067,551)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 6,881,392 43,963,263 23,713,904 (3,123,732)
NET ASSETS--BEGINNING OF PERIOD 53,513,735 9,550,472 12,625,825 15,749,557
================================================================================================================================
NET ASSETS--END OF PERIOD $ 60,395,127 $ 53,513,735 $ 36,339,729 $ 12,625,825
================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 251,814 $ -- $ (29,740) $ --
================================================================================================================================
+ UNAUDITED.
See Notes to Financial Statements.
60 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
TECHNOLOGY TELECOMMUNICATIONS
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (168,275) $ (443,708) $ 206,017 $ 199,534
Net Realized Gain (Loss) on Investments 2,473,549 1,114,427 (404,052) 351,807
Net Change in Unrealized Appreciation (Depreciation)
on Investments (3,565,444) 4,439,647 (1,224,464) 3,772,038
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (1,260,170) 5,110,366 (1,422,499) 4,323,379
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- (79,039) -- (164,065)
Advisor Class -- (41,726) -- (75,001)
A-Class -- (1,852) -- (79)
C-Class -- (10,046) -- (39,119)
Realized Gain on Investment
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (132,663) -- (278,264)
================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 116,482,634 202,362,770 99,060,491 216,469,561
Advisor Class 38,806,483 79,399,708 21,008,671 48,174,352
A-Class 866,434 2,364,076 241,640 4,148,893
C-Class 4,715,218 30,059,319 5,708,459 15,050,401
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- 77,670 -- 160,260
Advisor Class -- 36,447 -- 74,735
A-Class -- 1,852 -- 79
C-Class -- 9,497 -- 38,007
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (100,665,530) (197,542,071) (119,589,688) (168,743,891)
Advisor Class (27,399,615) (79,116,520) (21,671,877) (42,353,091)
A-Class (1,368,877) (1,771,212) (3,858,189) (155,378)
C-Class (5,284,333) (28,836,213) (5,221,342) (14,416,680)
H-Class -- -- -- --
================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 26,152,414 7,045,323 (24,321,835) 58,447,248
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 24,892,244 12,023,026 (25,744,334) 62,492,363
NET ASSETS--BEGINNING OF PERIOD 37,351,187 25,328,161 72,203,583 9,711,220
================================================================================================================================
NET ASSETS--END OF PERIOD $ 62,243,431 $ 37,351,187 $ 46,459,249 $ 72,203,583
================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (168,275) $ -- $ 206,017 $ --
================================================================================================================================
TRANSPORTATION UTILITIES
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (181,827) $ (195,636) $ 407,944 $ 972,278
Net Realized Gain (Loss) on Investments (657,811) (477,426) 1,028,149 1,494,706
Net Change in Unrealized Appreciation (Depreciation)
on Investments (6,949,886) 9,632,801 1,987,702 769,594
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (7,789,524) 8,959,739 3,423,795 3,236,578
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
Investor Class -- -- -- (620,014)
Advisor Class -- -- -- (126,059)
A-Class -- -- -- (21,140)
C-Class -- -- -- (127,871)
Realized Gain on Investment
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- -- (895,084)
================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
Investor Class 175,540,930 309,190,617 279,247,719 545,633,316
Advisor Class 31,269,699 90,227,733 47,606,893 87,980,415
A-Class 2,548,654 3,227,729 5,098,886 2,814,317
C-Class 10,806,401 9,357,466 13,510,701 25,902,554
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT
Investor Class -- -- -- 548,915
Advisor Class -- -- -- 100,838
A-Class -- -- -- 19,391
C-Class -- -- -- 114,209
H-Class -- -- -- --
COST OF SHARES REDEEMED
Investor Class (202,369,800) (275,106,805) (257,517,254) (554,075,170)
Advisor Class (31,751,538) (89,074,061) (41,574,669) (94,994,900)
A-Class (2,334,934) (405,189) (3,304,719) (2,322,837)
C-Class (9,473,546) (6,358,001) (12,160,212) (25,788,376)
H-Class -- -- -- --
================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (25,764,134) 41,059,489 30,907,345 (14,067,328)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (33,553,658) 50,019,228 34,331,140 (11,725,834)
NET ASSETS--BEGINNING OF PERIOD 65,486,458 15,467,230 19,115,448 30,841,282
================================================================================================================================
NET ASSETS--END OF PERIOD $ 31,932,800 $ 65,486,458 $ 53,446,588 $ 19,115,448
================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (181,827) $ -- $ 670,155 $ 262,211
================================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 61
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS
- -------------------------------------------------------------------------------------------------------------------------
BANKING FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ 10.86 $ .09 $ .28 $ .37 $ -- $ --
March 31, 2006 10.17 .16 .69 .85 (.16) --
March 31, 2005 10.25 .13 .05 .18 (.26) --
March 31, 2004 7.30 .14 2.89 3.03 (.08) --
March 31, 2003 8.63 .12 (1.24) (1.12) (.21) --
March 31, 2002 8.27 .12 .53 .65 (.29) --
BANKING FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 10.30 .05 .26 .31 -- --
March 31, 2006 9.72 .12 .62 .74 (.16) --
March 31, 2005 9.85 .06 .07 .13 (.26) --
March 31, 2004 7.06 .09 2.78 2.87 (.08) --
March 31, 2003 8.41 .07 (1.21) (1.14) (.21) --
March 31, 2002 8.13 .08 .49 .57 (.29) --
BANKING FUND A-CLASS
SEPTEMBER 30, 2006# 10.34 .06 .28 .34 -- --
March 31, 2006 9.72 .14 .64 .78 (.16) --
March 31, 2005* 10.06 .06 (.14) (.08) (.26) --
BANKING FUND C-CLASS
SEPTEMBER 30, 2006# 10.20 .03 .29 .32 -- --
March 31, 2006 9.66 .06 .64 .70 (.16) --
March 31, 2005 9.87 .04 .01 .05 (.26) --
March 31, 2004 7.12 .04 2.79 2.83 (.08) --
March 31, 2003 8.54 .02 (1.23) (1.21) (.21) --
March 31, 2002 8.27 .03 .53 .56 (.29) --
BASIC MATERIALS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 35.23 .14 (1.37) (1.23) -- --
March 31, 2006 30.66 .32 4.44 4.76 (.19) --
March 31, 2005 25.46 .14 5.06 5.20 -- --
March 31, 2004 17.22 .05 8.32 8.37 (.13) --
March 31, 2003++ 24.30 .12 (7.17) (7.05) (.03) --
March 31, 2002++ 21.03 .27 3.27 3.54 (.27) --
BASIC MATERIALS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 34.03 .08 (1.35) (1.27) -- --
March 31, 2006 29.78 .16 4.28 4.44 (.19) --
March 31, 2005 24.85 .01 4.92 4.93 -- --
March 31, 2004 16.89 .02 8.07 8.09 (.13) --
March 31, 2003++ 23.91 (.06) (6.93) (6.99) (.03) --
March 31, 2002++ 20.79 .15 3.24 3.39 (.27) --
BASIC MATERIALS FUND A-CLASS
SEPTEMBER 30, 2006# 34.19 .11 (1.33) (1.22) -- --
March 31, 2006 29.84 .29 4.25 4.54 (.19) --
March 31, 2005* 25.80 .07 3.97 4.04 -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
BANKING FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ -- $ .37 $ 11.23 3.41% 1.37%** 1.66%** 559% $ 5,601
March 31, 2006 (.16) .69 10.86 8.41% 1.34% 1.48% 1,834% 8,713
March 31, 2005 (.26) (.08) 10.17 1.61% 1.34% 1.26% 1,692% 4,899
March 31, 2004 (.08) 2.95 10.25 41.53% 1.36% 1.51% 1,435% 12,504
March 31, 2003 (.21) (1.33) 7.30 (13.15)% 1.38% 1.52% 1,495% 7,352
March 31, 2002 (.29) .36 8.63 8.30% 1.50% 1.49% 1,292% 28,992
BANKING FUND ADVISOR CLASS
SEPTEMBER 30, 2006# -- .31 10.61 3.01% 1.88%** 0.97%** 559% 3,108
March 31, 2006 (.16) .58 10.30 7.66% 1.84% 1.20% 1,834% 1,537
March 31, 2005 (.26) (.13) 9.72 1.17% 1.86% 0.60% 1,692% 2,955
March 31, 2004 (.08) 2.79 9.85 40.67% 1.86% 1.04% 1,435% 3,712
March 31, 2003 (.21) (1.35) 7.06 (13.73)% 1.89% 0.91% 1,495% 390
March 31, 2002 (.29) .28 8.41 7.44% 1.91% 0.95% 1,292% 23,281
BANKING FUND A-CLASS
SEPTEMBER 30, 2006# -- .34 10.68 3.29% 1.64%** 1.28%** 559% 371
March 31, 2006 (.16) .62 10.34 8.07% 1.62% 1.40% 1,834% 97
March 31, 2005* (.26) (.34) 9.72 (0.95)% 1.57%** 1.03%** 1,692% 15
BANKING FUND C-CLASS
SEPTEMBER 30, 2006# -- .32 10.52 3.14% 2.38%** 0.52%** 559% 1,651
March 31, 2006 (.16) .54 10.20 7.29% 2.35% 0.59% 1,834% 673
March 31, 2005 (.26) (.21) 9.66 0.35% 2.34% 0.43% 1,692% 867
March 31, 2004 (.08) 2.75 9.87 39.76% 2.37% 0.41% 1,435% 1,829
March 31, 2003 (.21) (1.42) 7.12 (14.35)% 2.38% 0.23% 1,495% 76
March 31, 2002 (.29) .27 8.54 7.19% 2.40% 0.42% 1,292% 15
BASIC MATERIALS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# -- (1.23) 34.00 (3.49)% 1.36%** 0.83%** 261% 12,010
March 31, 2006 (.19) 4.57 35.23 15.60% 1.35% 1.04% 826% 23,630
March 31, 2005 -- 5.20 30.66 20.42% 1.33% 0.51% 891% 34,039
March 31, 2004 (.13) 8.24 25.46 48.70% 1.38% 0.20% 1,669% 29,749
March 31, 2003++ (.03) (7.08) 17.22 (29.02)% 1.39% 0.53% 1,943% 3,360
March 31, 2002++ (.27) 3.27 24.30 16.89% 1.41% 1.12% 1,523% 45,716
BASIC MATERIALS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# -- (1.27) 32.76 (3.73)% 1.86%** 0.50%** 261% 4,408
March 31, 2006 (.19) 4.25 34.03 14.98% 1.85% 0.55% 826% 7,619
March 31, 2005 -- 4.93 29.78 19.84% 1.82% 0.03% 891% 12,987
March 31, 2004 (.13) 7.96 24.85 47.99% 1.87% 0.09% 1,669% 13,483
March 31, 2003++ (.03) (7.02) 16.89 (29.24)% 1.89% (0.23)% 1,943% 2,419
March 31, 2002++ (.27) 3.12 23.91 16.36% 2.00% 0.65% 1,523% 30,839
BASIC MATERIALS FUND A-CLASS
SEPTEMBER 30, 2006# -- (1.22) 32.97 (3.57)% 1.63%** 0.64%** 261% 1,717
March 31, 2006 (.19) 4.35 34.19 15.29% 1.63% 0.97% 826% 659
March 31, 2005* -- 4.04 29.84 15.66% 1.55%** 0.44%** 891% 210
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 1, 2004 -- BANKING FUND
A-CLASS AND BASIC MATERIALS A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
62 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS
- -------------------------------------------------------------------------------------------------------------------------
BASIC MATERIALS FUND C-CLASS
SEPTEMBER 30, 2006# $ 33.48 $ (.01) $ (1.32) $ (1.33) $ -- $ --
March 31, 2006 29.44 .03 4.20 4.23 (.19) --
March 31, 2005 24.68 (.12) 4.88 4.76 -- --
March 31, 2004 16.86 (.14) 8.09 7.95 (.13) --
March 31, 2003++ 24.03 (.06) (7.08) (7.14) (.03) --
March 31, 2002*++ 23.13 (.03) 1.20 1.17 (.27) --
BIOTECHNOLOGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 23.45 (.13) (2.02) (2.15) -- --
March 31, 2006 17.59 (.26) 6.12 5.86 -- --
March 31, 2005 20.56 (.24) (2.73) (2.97) -- --
March 31, 2004 13.75 (.24) 7.05 6.81 -- --
March 31, 2003 20.86 (.19) (6.92) (7.11) -- --
March 31, 2002 21.66 (.28) (.52) (.80) -- --
BIOTECHNOLOGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 22.44 (.18) (1.92) (2.10) -- --
March 31, 2006 16.91 (.36) 5.89 5.53 -- --
March 31, 2005 19.86 (.32) (2.63) (2.95) -- --
March 31, 2004 13.35 (.32) 6.83 6.51 -- --
March 31, 2003 20.36 (.25) (6.76) (7.01) -- --
March 31, 2002 21.25 (.40) (.49) (.89) -- --
BIOTECHNOLOGY FUND A-CLASS
SEPTEMBER 30, 2006# 22.50 (.16) (1.93) (2.09) -- --
March 31, 2006 16.93 (.33) 5.90 5.57 -- --
March 31, 2005* 17.89 (.16) (.80) (.96) -- --
BIOTECHNOLOGY FUND C-CLASS
SEPTEMBER 30, 2006# 22.27 (.23) (1.91) (2.14) -- --
March 31, 2006 16.87 (.47) 5.87 5.40 -- --
March 31, 2005 19.92 (.42) (2.63) (3.05) -- --
March 31, 2004 13.47 (.43) 6.88 6.45 -- --
March 31, 2003 20.66 (.33) (6.86) (7.19) -- --
March 31, 2002 21.66 (.54) (.46) (1.00) -- --
COMMODITIES FUND A-CLASS
SEPTEMBER 30, 2006# 27.29 .51 (3.66) (3.15) -- --
March 31, 2006* 25.00 .61 1.68 2.29 -- --
COMMODITIES FUND C-CLASS
SEPTEMBER 30, 2006# 27.10 .43 (3.65) (3.22) -- --
March 31, 2006* 25.00 .42 1.68 2.10 -- --
COMMODITIES FUND H-CLASS
SEPTEMBER 30, 2006# 27.29 .54 (3.70) (3.16) -- --
March 31, 2006+ 25.00 .61 1.68 2.29 -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
BASIC MATERIALS FUND C-CLASS
SEPTEMBER 30, 2006# $ -- $ (1.33) $ 32.15 (3.97)% 2.37%** (0.08)%** 261% $ 6,477
March 31, 2006 (.19) 4.04 33.48 14.44% 2.36% 0.11% 826% 6,041
March 31, 2005 -- 4.76 29.44 19.29% 2.32% (0.43)% 891% 7,421
March 31, 2004 (.13) 7.82 24.68 47.25% 2.38% (0.62)% 1,669% 5,311
March 31, 2003++ (.03) (7.17) 16.86 (29.72)% 2.39% (0.23)% 1,943% 294
March 31, 2002*++ (.27) .90 24.03 5.10% 2.60%** (0.13)%** 1,523% 525
BIOTECHNOLOGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# -- (2.15) 21.30 (9.17)% 1.36%** (1.27)%** 160% 83,115
March 31, 2006 -- 5.86 23.45 33.31% 1.34% (1.25)% 338% 104,126
March 31, 2005 -- (2.97) 17.59 (14.45)% 1.33% (1.25)% 585% 74,890
March 31, 2004 -- 6.81 20.56 49.53% 1.35% (1.31)% 548% 135,619
March 31, 2003 -- (7.11) 13.75 (34.08)% 1.38% (1.31)% 477% 111,003
March 31, 2002 -- (.80) 20.86 (3.69)% 1.23% (1.20)% 390% 218,263
BIOTECHNOLOGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# -- (2.10) 20.34 (9.36)% 1.84%** (1.75)%** 160% 9,033
March 31, 2006 -- 5.53 22.44 32.70% 1.86% (1.76)% 338% 26,240
March 31, 2005 -- (2.95) 16.91 (14.85)% 1.83% (1.75)% 585% 10,231
March 31, 2004 -- 6.51 19.86 48.76% 1.84% (1.79)% 548% 12,708
March 31, 2003 -- (7.01) 13.35 (34.43)% 1.88% (1.82)% 477% 24,280
March 31, 2002 -- (.89) 20.36 (4.19)% 1.72% (1.69)% 390% 20,931
BIOTECHNOLOGY FUND A-CLASS
SEPTEMBER 30, 2006# -- (2.09) 20.41 (9.29)% 1.59%** (1.50)%** 160% 1,373
March 31, 2006 -- 5.57 22.50 32.90% 1.63% (1.52)% 338% 5,087
March 31, 2005* -- (.96) 16.93 (5.37)% 1.53%** (1.47)%** 585% 74
BIOTECHNOLOGY FUND C-CLASS
SEPTEMBER 30, 2006# -- (2.14) 20.13 (9.61)% 2.33%** (2.24)%** 160% 3,026
March 31, 2006 -- 5.40 22.27 32.01% 2.36% (2.27)% 338% 7,786
March 31, 2005 -- (3.05) 16.87 (15.31)% 2.33% (2.23)% 585% 2,625
March 31, 2004 -- 6.45 19.92 47.88% 2.36% (2.32)% 548% 3,567
March 31, 2003 -- (7.19) 13.47 (34.80)% 2.38% (2.30)% 477% 1,667
March 31, 2002 -- (1.00) 20.66 (4.62)% 2.38% (2.36)% 390% 967
COMMODITIES FUND A-CLASS
SEPTEMBER 30, 2006# -- (3.15) 24.14 (11.54)% 1.27%** 3.54%** -- 4,772
March 31, 2006* -- 2.29 27.29 9.16% 1.71%** 2.76%** -- 8,751
COMMODITIES FUND C-CLASS
SEPTEMBER 30, 2006# -- (3.22) 23.88 (11.88)% 1.98%** 3.03%** -- 3,520
March 31, 2006* -- 2.10 27.10 8.40% 2.34%** 1.79%** -- 4,128
COMMODITIES FUND H-CLASS
SEPTEMBER 30, 2006# -- (3.16) 24.13 (11.58)% 1.24%** 3.78%** -- 31,165
March 31, 2006+ -- 2.29 27.29 9.16% 1.57%** 2.56%** -- 29,028
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 3, 2001 -- BASIC MATERIALS FUND
C-CLASS; SEPTEMBER 1, 2004 -- BIOTECHNOLOGY FUND A-CLASS; MAY 25, 2005 --
COMMODITIES FUND A-CLASS, C-CLASS AND H-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 63
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS
- -----------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ 31.03 $ .17 $ 2.39 $ 2.56 $ -- $ --
March 31, 2006 30.50 .30 .65 .95 (.42) --
March 31, 2005 28.68 .18 1.65 1.83 (.01) --
March 31, 2004 20.85 .14 7.74 7.88 (.05) --
March 31, 2003++ 25.08 .12 (4.23) (4.11) (.12) --
March 31, 2002++ 21.54 .12 3.48 3.60 (.06) --
CONSUMER PRODUCTS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 29.96 .07 2.32 2.39 -- --
March 31, 2006 29.66 .03 .69 .72 (.42) --
March 31, 2005 27.99 .05 1.63 1.68 (.01) --
March 31, 2004 20.46 (.04) 7.62 7.58 (.05) --
March 31, 2003++ 24.69 (.03) (4.08) (4.11) (.12) --
March 31, 2002++ 21.24 .03 3.48 3.51 (.06) --
CONSUMER PRODUCTS FUND A-CLASS
SEPTEMBER 30, 2006# 30.07 .11 2.33 2.44 -- --
March 31, 2006 29.69 .18 .62 .80 (.42) --
March 31, 2005* 27.42 .06 2.22 2.28 (.01) --
CONSUMER PRODUCTS FUND C-CLASS
SEPTEMBER 30, 2006# 29.55 (.02) 2.30 2.28 -- --
March 31, 2006 29.53 (.03) .47 .44 (.42) --
March 31, 2005 27.92 (.13) 1.75 1.62 (.01) --
March 31, 2004 20.52 (.20) 7.65 7.45 (.05) --
March 31, 2003++ 24.93 (.09) (4.20) (4.29) (.12) --
March 31, 2002*++ 21.81 (.03) 3.21 3.18 (.06) --
ELECTRONICS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 13.52 (.05) (1.26) (1.31) -- --
March 31, 2006 10.31 (.11) 3.32 3.21 -- --
March 31, 2005 13.43 (.08) (3.04) (3.12) -- --
March 31, 2004 8.08 (.15) 5.50 5.35 -- --
March 31, 2003 16.96 (.12) (8.76) (8.88) -- --
March 31, 2002 16.54 (.18) .60 .42 -- --
ELECTRONICS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 12.98 (.08) (1.22) (1.30) -- --
March 31, 2006 9.95 (.16) 3.19 3.03 -- --
March 31, 2005 13.02 (.14) (2.93) (3.07) -- --
March 31, 2004 7.87 (.21) 5.36 5.15 -- --
March 31, 2003 16.62 (.16) (8.59) (8.75) -- --
March 31, 2002 16.28 (.26) .60 .34 -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ -- $ 2.56 $ 33.59 8.25% 1.37%** 1.07%** 210% $ 49,560
March 31, 2006 (.42) .53 31.03 3.13% 1.32% 0.98% 813% 11,815
March 31, 2005 (.01) 1.82 30.50 6.40% 1.33% 0.60% 907% 15,470
March 31, 2004 (.05) 7.83 28.68 37.84% 1.36% 0.56% 914% 23,560
March 31, 2003++ (.12) (4.23) 20.85 (16.38)% 1.39% 0.53% 1,205% 1,640
March 31, 2002++ (.06) 3.54 25.08 16.71% 1.56% 0.53% 890% 20,083
CONSUMER PRODUCTS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# -- 2.39 32.35 7.98% 1.87%** 0.46%** 210% 18,793
March 31, 2006 (.42) .30 29.96 2.44% 1.82% 0.08% 813% 6,487
March 31, 2005 (.01) 1.67 29.66 6.02% 1.82% 0.19% 907% 26,851
March 31, 2004 (.05) 7.53 27.99 37.10% 1.86% (0.18)% 914% 13,357
March 31, 2003++ (.12) (4.23) 20.46 (16.64)% 1.89% (0.09)% 1,205% 3,120
March 31, 2002++ (.06) 3.45 24.69 16.52% 2.02% 0.18% 890% 33,201
CONSUMER PRODUCTS FUND A-CLASS
SEPTEMBER 30, 2006# -- 2.44 32.51 8.11% 1.61%** 0.74%** 210% 2,639
March 31, 2006 (.42) .38 30.07 2.71% 1.60% 0.62% 813% 1,475
March 31, 2005* (.01) 2.27 29.69 8.33% 1.56%** 0.42%** 907% 463
CONSUMER PRODUCTS FUND C-CLASS
SEPTEMBER 30, 2006# -- 2.28 31.83 7.72% 2.38%** (0.16)%** 210% 7,426
March 31, 2006 (.42) .02 29.55 1.50% 2.33% (0.11)% 813% 1,340
March 31, 2005 (.01) 1.61 29.53 5.82% 2.31% (0.44)% 907% 8,048
March 31, 2004 (.05) 7.40 27.92 36.36% 2.37% (0.79)% 914% 4,259
March 31, 2003++ (.12) (4.41) 20.52 (17.20)% 2.39% (0.35)% 1,205% 196
March 31, 2002*++ (.06) 3.12 24.93 14.57% 2.57%** (0.19)%** 890% 501
ELECTRONICS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# -- (1.31) 12.21 (9.69)% 1.37%** (0.78)%** 350% 26,083
March 31, 2006 -- 3.21 13.52 31.13% 1.34% (0.91)% 911% 34,194
March 31, 2005 -- (3.12) 10.31 (23.23)% 1.33% (0.76)% 1,106% 27,150
March 31, 2004 -- 5.35 13.43 66.21% 1.36% (1.20)% 1,359% 46,200
March 31, 2003 -- (8.88) 8.08 (52.36)% 1.39% (1.20)% 2,413% 31,655
March 31, 2002 -- .42 16.96 2.54% 1.29% (1.08)% 1,279% 96,671
ELECTRONICS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# -- (1.30) 11.68 (10.02)% 1.84%** (1.20)%** 350% 3,876
March 31, 2006 -- 3.03 12.98 30.45% 1.84% (1.39)% 911% 14,089
March 31, 2005 -- (3.07) 9.95 (23.58)% 1.83% (1.32)% 1,106% 12,613
March 31, 2004 -- 5.15 13.02 65.44% 1.85% (1.70)% 1,359% 3,341
March 31, 2003 -- (8.75) 7.87 (52.65)% 1.87% (1.72)% 2,413% 7,389
March 31, 2002 -- .34 16.62 2.09% 1.75% (1.50)% 1,279% 9,528
* SINCE THE COMMENCEMENT OF OPERATIONS: JULY 24, 2001 -- CONSUMER PRODUCTS
FUND C-CLASS; SEPTEMBER 1, 2004 -- CONSUMER PRODUCTS FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
64 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRONICS FUND A-CLASS
SEPTEMBER 30, 2006# $ 13.03 $ (.06) $ (1.21) $ (1.27) $ -- $ -- $ --
March 31, 2006 9.96 (.14) 3.21 3.07 -- -- --
March 31, 2005* 9.22 (.07) .81 .74 -- -- --
ELECTRONICS FUND C-CLASS
SEPTEMBER 30, 2006# 12.86 (.10) (1.20) (1.30) -- -- --
March 31, 2006 9.90 (.21) 3.17 2.96 -- -- --
March 31, 2005 13.00 (.20) (2.90) (3.10) -- -- --
March 31, 2004 7.91 (.27) 5.36 5.09 -- -- --
March 31, 2003 16.82 (.22) (8.69) (8.91) -- -- --
March 31, 2002 16.54 (.37) .65 .28 -- -- --
ENERGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 21.68 (.01) (.85) (.86) -- -- --
March 31, 2006 17.12 .02 5.02 5.04 (.03) (.45) (.48)
March 31, 2005 11.94 .05 5.14 5.19 (.01) -- (.01)
March 31, 2004 8.80 -- 3.17 3.17 (.03) -- (.03)
March 31, 2003 11.26 .02 (2.47) (2.45) (.01) -- (.01)
March 31, 2002 11.43 .12 (.19) (.07) (.10) -- (.10)
ENERGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 20.96 (.06) (.82) (.88) -- -- --
March 31, 2006 16.65 (.07) 4.86 4.79 (.03) (.45) (.48)
March 31, 2005 11.68 (.02) 5.00 4.98 (.01) -- (.01)
March 31, 2004 8.63 (.03) 3.11 3.08 (.03) -- (.03)
March 31, 2003 11.09 -- (2.45) (2.45) (.01) -- (.01)
March 31, 2002 11.33 .05 (.19) (.14) (.10) -- (.10)
ENERGY FUND A-CLASS
SEPTEMBER 30, 2006# 21.04 (.04) (.82) (.86) -- -- --
March 31, 2006 16.68 (.05) 4.89 4.84 (.03) (.45) (.48)
March 31, 2005* 12.79 .02 3.88 3.90 (.01) -- (.01)
ENERGY FUND C-CLASS
SEPTEMBER 30, 2006# 20.62 (.11) (.80) (.91) -- -- --
March 31, 2006 16.47 (.16) 4.79 4.63 (.03) (.45) (.48)
March 31, 2005 11.60 (.08) 4.96 4.88 (.01) -- (.01)
March 31, 2004 8.63 (.12) 3.12 3.00 (.03) -- (.03)
March 31, 2003 11.14 (.07) (2.43) (2.50) (.01) -- (.01)
March 31, 2002* 11.87 (.09) (.54) (.63) (.10) -- (.10)
ENERGY SERVICES FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 45.05 (.21) (4.09) (4.30) -- -- --
March 31, 2006 30.12 (.30) 15.23 14.93 -- -- --
March 31, 2005 21.74 (.22) 8.60 8.38 -- -- --
March 31, 2004 17.37 (.18) 4.55 4.37 -- -- --
March 31, 2003++ 22.47 (.15) (4.95) (5.10) -- -- --
March 31, 2002++ 27.30 (.18) (4.65) (4.83) -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF
IN NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------
ELECTRONICS FUND A-CLASS
SEPTEMBER 30, 2006# $ (1.27) $ 11.76 (9.75)% 1.62%** 1.62%** (0.95)%** 350% $ 204
March 31, 2006 3.07 13.03 30.82% 1.64% 1.64% (1.18)% 911% 1,253
March 31, 2005* .74 9.96 8.03% 1.59%** 1.59%** (1.21)%** 1,106% 1
ELECTRONICS FUND C-CLASS
SEPTEMBER 30, 2006# (1.30) 11.56 (10.11)% 2.38%** 2.38%** (1.75)%** 350% 4,600
March 31, 2006 2.96 12.86 29.90% 2.36% 2.36% (1.91)% 911% 5,015
March 31, 2005 (3.10) 9.90 (23.85)% 2.33% 2.33% (1.86)% 1,106% 2,119
March 31, 2004 5.09 13.00 64.35% 2.36% 2.36% (2.20)% 1,359% 1,111
March 31, 2003 (8.91) 7.91 (52.97)% 2.39% 2.39% (2.21)% 2,413% 940
March 31, 2002 .28 16.82 1.69% 2.49% 2.49% (2.27)% 1,279% 388
ENERGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (.86) 20.82 (3.97)% 1.36%** 1.36%** (0.07)%** 161% 67,629
March 31, 2006 4.56 21.68 29.60% 1.34% 1.34% 0.08% 415% 90,331
March 31, 2005 5.18 17.12 43.43% 1.33% 1.33% 0.40% 546% 111,762
March 31, 2004 3.14 11.94 36.12% 1.36% 1.36% 0.04% 913% 61,800
March 31, 2003 (2.46) 8.80 (21.79)% 1.39% 1.39% 0.24% 1,362% 4,703
March 31, 2002 (.17) 11.26 (0.52)% 1.32% 1.32% 1.06% 1,502% 31,769
ENERGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (.88) 20.08 (4.20)% 1.86%** 1.86%** (0.58)%** 161% 14,820
March 31, 2006 4.31 20.96 28.93% 1.85% 1.84% (0.38)% 415% 18,162
March 31, 2005 4.97 16.65 42.60% 1.82% 1.82% (0.11)% 546% 25,000
March 31, 2004 3.05 11.68 35.79% 1.92% 1.92% (0.25)% 913% 4,895
March 31, 2003 (2.46) 8.63 (22.13)% 1.88% 1.88% (0.03)% 1,362% 7,039
March 31, 2002 (.24) 11.09 (1.14)% 1.80% 1.80% 0.42% 1,502% 9,621
ENERGY FUND A-CLASS
SEPTEMBER 30, 2006# (.86) 20.18 (4.09)% 1.62%** 1.62%** (0.38)%** 161% 4,744
March 31, 2006 4.36 21.04 29.18% 1.61% 1.60% (0.25)% 415% 3,210
March 31, 2005* 3.89 16.68 30.46% 1.45%** 1.45%** 0.19%** 546% 744
ENERGY FUND C-CLASS
SEPTEMBER 30, 2006# (.91) 19.71 (4.41)% 2.36%** 2.36%** (1.08)%** 161% 17,967
March 31, 2006 4.15 20.62 28.27% 2.35% 2.35% (0.88)% 415% 23,734
March 31, 2005 4.87 16.47 42.03% 2.33% 2.33% (0.61)% 546% 17,993
March 31, 2004 2.97 11.60 34.86% 2.36% 2.36% (1.08)% 913% 6,571
March 31, 2003 (2.51) 8.63 (22.48)% 2.38% 2.38% (0.81)% 1,362% 1,471
March 31, 2002* (.73) 11.14 (5.22)% 2.51%** 2.51%** (0.92)%** 1,502% 392
ENERGY SERVICES FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (4.30) 40.75 (9.54)% 1.36%** 1.36%** (0.95)%** 83% 84,629
March 31, 2006 14.93 45.05 49.57% 1.35% 1.35% (0.81)% 324% 147,439
March 31, 2005 8.38 30.12 38.55% 1.31% 1.31% (0.85)% 501% 99,603
March 31, 2004 4.37 21.74 25.16% 1.37% 1.37% (0.96)% 1,009% 47,344
March 31, 2003++ (5.10) 17.37 (22.70)% 1.39% 1.39% (0.72)% 971% 15,144
March 31, 2002++ (4.83) 22.47 (17.69)% 1.54% 1.54% (0.74)% 949% 51,983
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- ENERGY FUND
C-CLASS; SEPTEMBER 1, 2004 -- ELECTRONICS FUND A-CLASS AND ENERGY FUND
A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 65
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY SERVICES FUND ADVISOR CLASS
SEPTEMBER 30, 2006# $43.46 $ (.32) $ (3.92) $ (4.24) $ -- $ -- $ --
March 31, 2006 29.21 (.47) 14.72 14.25 -- -- --
March 31, 2005 21.18 (.33) 8.36 8.03 -- -- --
March 31, 2004 17.01 (.27) 4.44 4.17 -- -- --
March 31, 2003++ 22.08 (.24) (4.83) (5.07) -- -- --
March 31, 2002++ 26.97 (.27) (4.62) (4.89) -- -- --
ENERGY SERVICES FUND A-CLASS
SEPTEMBER 30, 2006# 43.67 (.26) (3.96) (4.22) -- -- --
March 31, 2006 29.25 (.39) 14.81 14.42 -- -- --
March 31, 2005* 23.18 (.18) 6.25 6.07 -- -- --
ENERGY SERVICES FUND C-CLASS
SEPTEMBER 30, 2006# 42.92 (.41) (3.87) (4.28) -- -- --
March 31, 2006 28.98 (.65) 14.59 13.94 -- -- --
March 31, 2005 21.12 (.45) 8.31 7.86 -- -- --
March 31, 2004 17.04 (.35) 4.43 4.08 -- -- --
March 31, 2003++ 22.23 (.30) (4.89) (5.19) -- -- --
March 31, 2002++ 27.30 (.30) (4.77) (5.07) -- -- --
FINANCIAL SERVICES FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 13.26 .07 .30 .37 -- -- --
March 31, 2006 11.40 .17 1.81 1.98 (.12) -- (.12)
March 31, 2005 11.09 .10 .29 .39 (.08) -- (.08)
March 31, 2004 7.66 .09 3.38 3.47 (.04) -- (.04)
March 31, 2003 10.23 .07 (2.62) (2.55) (.02) -- (.02)
March 31, 2002 10.00 .04 .29 .33 (.10) -- (.10)
FINANCIAL SERVICES FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 12.88 .04 .28 .32 -- -- --
March 31, 2006 11.13 .10 1.77 1.87 (.12) -- (.12)
March 31, 2005 10.89 .05 .27 .32 (.08) -- (.08)
March 31, 2004 7.57 .04 3.32 3.36 (.04) -- (.04)
March 31, 2003 10.08 .03 (2.52) (2.49) (.02) -- (.02)
March 31, 2002 9.89 (.01) .30 .29 (.10) -- (.10)
FINANCIAL SERVICES FUND A-CLASS
SEPTEMBER 30, 2006# 12.91 .05 .28 .33 -- -- --
March 31, 2006 11.13 .14 1.76 1.90 (.12) -- (.12)
March 31, 2005* 10.75 .05 .41 .46 (.08) -- (.08)
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- --------------------------------------------------------------------------------------------------------------------------------
ENERGY SERVICES FUND ADVISOR CLASS
SEPTEMBER 30, 2006# $ (4.24) $ 39.22 (9.76)% 1.84%** 1.84%** (1.45)%** 83% $14,034
March 31, 2006 14.25 43.46 48.78% 1.85% 1.85% (1.33)% 324% 44,033
March 31, 2005 8.03 29.21 37.91% 1.82% 1.82% (1.37)% 501% 24,647
March 31, 2004 4.17 21.18 24.51% 1.87% 1.87% (1.39)% 1,009% 25,302
March 31, 2003++ (5.07) 17.01 (22.96)% 1.88% 1.88% (1.26)% 971% 1,961
March 31, 2002++ (4.89) 22.08 (18.13)% 1.97% 1.97% (1.21)% 949% 22,051
ENERGY SERVICES FUND A-CLASS
SEPTEMBER 30, 2006# (4.22) 39.45 (9.66)% 1.61%** 1.61%** (1.20)%** 83% 7,584
March 31, 2006 14.42 43.67 49.30% 1.63% 1.63% (1.00)% 324% 6,569
March 31, 2005* 6.07 29.25 26.19% 1.53%** 1.53%** (1.13)%** 501% 313
ENERGY SERVICES FUND C-CLASS
SEPTEMBER 30, 2006# (4.28) 38.64 (9.97)% 2.35%** 2.35%** (1.94)%** 83% 22,932
March 31, 2006 13.94 42.92 48.10% 2.36% 2.36% (1.82)% 324% 27,542
March 31, 2005 7.86 28.98 37.22% 2.31% 2.31% (1.84)% 501% 11,529
March 31, 2004 4.08 21.12 23.94% 2.37% 2.37% (1.86)% 1,009% 2,833
March 31, 2003++ (5.19) 17.04 (23.35)% 2.39% 2.39% (1.60)% 971% 651
March 31, 2002++ (5.07) 22.23 (18.57)% 2.57% 2.57% (1.60)% 949% 697
FINANCIAL SERVICES FUND INVESTOR CLASS
SEPTEMBER 30, 2006# .37 13.63 2.79% 1.37%** 1.37%** 1.00%** 229% 31,351
March 31, 2006 1.86 13.26 17.42% 1.36% 1.34% 1.32% 821% 12,226
March 31, 2005 .31 11.40 3.46% 1.33% 1.33% 0.91% 1,005% 7,741
March 31, 2004 3.43 11.09 45.36% 1.36% 1.36% 0.94% 1,200% 34,423
March 31, 2003 (2.57) 7.66 (24.97)% 1.38% 1.38% 0.82% 2,336% 6,671
March 31, 2002 .23 10.23 3.39% 1.51% 1.51% 0.43% 1,110% 25,147
FINANCIAL SERVICES FUND ADVISOR CLASS
SEPTEMBER 30, 2006# .32 13.20 2.48% 1.88%** 1.88%** 0.56%** 229% 25,781
March 31, 2006 1.75 12.88 16.85% 1.85% 1.83% 0.82% 821% 6,801
March 31, 2005 .24 11.13 2.88% 1.83% 1.83% 0.43% 1,005% 27,181
March 31, 2004 3.32 10.89 44.45% 1.86% 1.86% 0.39% 1,200% 40,885
March 31, 2003 (2.51) 7.57 (24.74)% 1.88% 1.88% 0.35% 2,336% 15,074
March 31, 2002 .19 10.08 3.02% 2.02% 2.02% (0.08)% 1,110% 40,968
FINANCIAL SERVICES FUND A-CLASS
SEPTEMBER 30, 2006# .33 13.24 2.56% 1.60%** 1.60%** 0.70%** 229% 1,140
March 31, 2006 1.78 12.91 17.12% 1.65% 1.64% 1.18% 821% 4,295
March 31, 2005* .38 11.13 4.22% 1.55%** 1.55%** 0.70%** 1,005% 5
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 1, 2004 -- ENERGY SERVICES
FUND A-CLASS AND FINANCIAL SERVICES A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
66 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES FUND C-CLASS
SEPTEMBER 30, 2006# $12.67 $ -- $ .28 $ .28 $ -- $ -- $ --
March 31, 2006 11.01 .01 1.77 1.78 (.12) -- (.12)
March 31, 2005 10.84 (.01) .26 .25 (.08) -- (.08)
March 31, 2004 7.57 (.02) 3.33 3.31 (.04) -- (.04)
March 31, 2003 10.14 (.02) (2.53) (2.55) (.02) -- (.02)
March 31, 2002* 10.46 (.05) (.17) (.22) (.10) -- (.10)
HEALTH CARE FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 14.54 (.02) .06 .04 -- -- --
March 31, 2006 12.71 (.05) 1.88 1.83 -- -- --
March 31, 2005 12.50 (.05) .26 .21 -- -- --
March 31, 2004 9.21 (.07) 3.36 3.29 -- -- --
March 31, 2003 11.36 (.02) (2.13) (2.15) -- -- --
March 31, 2002 11.25 (.04) .15 .11 -- -- --
HEALTH CARE FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 13.94 (.06) .08 .02 -- -- --
March 31, 2006 12.25 (.12) 1.81 1.69 -- -- --
March 31, 2005 12.11 (.10) .24 .14 -- -- --
March 31, 2004 8.97 (.12) 3.26 3.14 -- -- --
March 31, 2003 11.11 (.06) (2.08) (2.14) -- -- --
March 31, 2002 11.06 (.09) .14 .05 -- -- --
HEALTH CARE FUND A-CLASS
SEPTEMBER 30, 2006# 13.98 (.05) .09 .04 -- -- --
March 31, 2006 12.25 (.08) 1.81 1.73 -- -- --
March 31, 2005* 11.65 (.05) .65 .60 -- -- --
HEALTH CARE FUND C-CLASS
SEPTEMBER 30, 2006# 13.79 (.09) .07 (.02) -- -- --
March 31, 2006 12.19 (.18) 1.78 1.60 -- -- --
March 31, 2005 12.11 (.16) .24 .08 -- -- --
March 31, 2004 9.03 (.18) 3.26 3.08 -- -- --
March 31, 2003 11.25 (.12) (2.10) (2.22) -- -- --
March 31, 2002 11.25 (.18) .18 -- -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF
IN NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- --------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES FUND C-CLASS
SEPTEMBER 30, 2006# $ .28 $ 12.95 2.21% 2.37%** 2.37%** 0.02%** 229% $ 3,542
March 31, 2006 1.66 12.67 16.21% 2.36% 2.34% 0.11% 821% 2,081
March 31, 2005 .17 11.01 2.24% 2.33% 2.33% (0.10)% 1,005% 1,689
March 31, 2004 3.27 10.84 43.78% 2.37% 2.37% (0.23)% 1,200% 2,242
March 31, 2003 (2.57) 7.57 (25.19)% 2.37% 2.37% (0.19)% 2,336% 222
March 31, 2002* (.32) 10.14 (2.02)% 2.52%** 2.52%** (0.50)%** 1,110% 526
HEALTH CARE FUND INVESTOR CLASS
SEPTEMBER 30, 2006# .04 14.58 0.28% 1.36%** 1.36%** (0.30)%** 205% 53,341
March 31, 2006 1.83 14.54 14.40% 1.33% 1.33% (0.35)% 568% 46,432
March 31, 2005 .21 12.71 1.68% 1.34% 1.34% (0.42)% 610% 35,500
March 31, 2004 3.29 12.50 35.72% 1.36% 1.36% (0.56)% 1,204% 19,801
March 31, 2003 (2.15) 9.21 (18.93)% 1.38% 1.38% (0.25)% 1,395% 13,400
March 31, 2002 .11 11.36 0.98% 1.37% 1.37% (0.36)% 936% 20,567
HEALTH CARE FUND ADVISOR CLASS
SEPTEMBER 30, 2006# .02 13.96 0.14% 1.87%** 1.87%** (0.84)%** 205% 36,965
March 31, 2006 1.69 13.94 13.80% 1.84% 1.84% (0.89)% 568% 14,577
March 31, 2005 .14 12.25 1.16% 1.84% 1.84% (0.83)% 610% 16,511
March 31, 2004 3.14 12.11 35.01% 1.85% 1.85% (1.05)% 1,204% 27,102
March 31, 2003 (2.14) 8.97 (19.26)% 1.88% 1.88% (0.66)% 1,395% 23,127
March 31, 2002 .05 11.11 0.45% 1.85% 1.85% (0.81)% 936% 29,504
HEALTH CARE FUND A-CLASS
SEPTEMBER 30, 2006# .04 14.02 0.29% 1.58%** 1.58%** (0.68)%** 205% 889
March 31, 2006 1.73 13.98 14.12% 1.62% 1.62% (0.60)% 568% 2,239
March 31, 2005* .60 12.25 5.15% 1.56%** 1.56%** (0.65)%** 610% 1
HEALTH CARE FUND C-CLASS
SEPTEMBER 30, 2006# (.02) 13.77 (0.15)% 2.35%** 2.35%** (1.32)%** 205% 5,988
March 31, 2006 1.60 13.79 13.13% 2.34% 2.34% (1.39)% 568% 7,114
March 31, 2005 .08 12.19 0.66% 2.33% 2.33% (1.36)% 610% 4,017
March 31, 2004 3.08 12.11 34.11% 2.37% 2.37% (1.60)% 1,204% 2,865
March 31, 2003 (2.22) 9.03 (19.73)% 2.37% 2.37% (1.30)% 1,395% 421
March 31, 2002 -- 11.25 0.00% 2.54% 2.54% (1.59)% 936% 1,085
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- FINANCIAL SERVICES
FUND C-CLASS; SEPTEMBER 1, 2004 -- HEALTH CARE FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 67
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ 40.22 $ (.20) $ (2.63) $ (2.83) $ -- $ -- $ --
March 31, 2006 32.29 (.40) 8.33 7.93 -- -- --
March 31, 2005 35.66 (.43) (2.94) (3.37) -- -- --
March 31, 2004 20.43 (.41) 15.64 15.23 -- -- --
March 31, 2003 30.55 (.29) (9.83) (10.12) -- -- --
March 31, 2002 41.80 (.31) (10.94) (11.25) -- -- --
INTERNET FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 38.94 (.31) (2.51) (2.82) -- -- --
March 31, 2006 31.41 (.55) 8.08 7.53 -- -- --
March 31, 2005 34.85 (.60) (2.84) (3.44) -- -- --
March 31, 2004 20.05 (.54) 15.34 14.80 -- -- --
March 31, 2003 30.18 (.40) (9.73) (10.13) -- -- --
March 31, 2002 41.60 (.64) (10.78) (11.42) -- -- --
INTERNET FUND A-CLASS
SEPTEMBER 30, 2006# 39.07 (.26) (2.51) (2.77) -- -- --
March 31, 2006 31.45 (.50) 8.12 7.62 -- -- --
March 31, 2005* 30.65 (.31) 1.11 .80 -- -- --
INTERNET FUND C-CLASS
SEPTEMBER 30, 2006# 38.30 (.37) (2.47) (2.84) -- -- --
March 31, 2006 31.06 (.73) 7.97 7.24 -- -- --
March 31, 2005 34.64 (.73) (2.85) (3.58) -- -- --
March 31, 2004 20.04 (.72) 15.32 14.60 -- -- --
March 31, 2003 30.28 (.50) (9.74) (10.24) -- -- --
March 31, 2002* 53.40 (.78) (22.34) (23.12) -- -- --
LEISURE FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 32.56 (.10) (.73) (.83) -- -- --
March 31, 2006 30.50 (.07) 2.13 2.06 -- -- --
March 31, 2005 27.66 (.17) 3.01 2.84 -- -- --
March 31, 2004 17.88 (.06) 9.84 9.78 -- -- --
March 31, 2003++ 24.00 (.15) (5.97) (6.12) -- -- --
March 31, 2002++ 25.56 (.33) (1.23) (1.56) -- -- --
LEISURE FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 31.15 (.16) (.70) (.86) -- -- --
March 31, 2006 29.34 (.32) 2.13 1.81 -- -- --
March 31, 2005 26.74 (.30) 2.90 2.60 -- -- --
March 31, 2004 17.37 (.23) 9.60 9.37 -- -- --
March 31, 2003++ 23.34 (.39) (5.58) (5.97) -- -- --
March 31, 2002++ 24.93 (.51) (1.08) (1.59) -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------------------------
INTERNET FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ (2.83) $ 37.39 (7.04)% 1.36%** (1.10)%** 593% $ 19,703
March 31, 2006 7.93 40.22 24.56% 1.34% (1.10)% 1,371% 16,288
March 31, 2005 (3.37) 32.29 (9.45)% 1.34% (1.23)% 1,947% 5,210
March 31, 2004 15.23 35.66 74.55% 1.36% (1.31)% 1,340% 15,292
March 31, 2003 (10.12) 20.43 (33.13)% 1.38% (1.34)% 2,052% 3,335
March 31, 2002 (11.25) 30.55 (26.91)% 1.21% (1.15)% 2,186% 3,124
INTERNET FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (2.82) 36.12 (7.24)% 1.85%** (1.67)%** 593% 2,682
March 31, 2006 7.53 38.94 23.97% 1.85% (1.58)% 1,371% 3,696
March 31, 2005 (3.44) 31.41 (9.87)% 1.83% (1.72)% 1,947% 829
March 31, 2004 14.80 34.85 73.82% 1.86% (1.81)% 1,340% 12,090
March 31, 2003 (10.13) 20.05 (33.57)% 1.82% (1.79)% 2,052% 717
March 31, 2002 (11.42) 30.18 (27.45)% 1.74% (1.68)% 2,186% 396
INTERNET FUND A-CLASS
SEPTEMBER 30, 2006# (2.77) 36.30 (7.09)% 1.59%** (1.38)%** 593% 141
March 31, 2006 7.62 39.07 24.23% 1.63% (1.36)% 1,371% 470
March 31, 2005* .80 31.45 2.61% 1.55%** (1.46)%** 1,947% 4
INTERNET FUND C-CLASS
SEPTEMBER 30, 2006# (2.84) 35.46 (7.42)% 2.33%** (2.09)%** 593% 1,001
March 31, 2006 7.24 38.30 23.31% 2.35% (2.09)% 1,371% 2,273
March 31, 2005 (3.58) 31.06 (10.33)% 2.33% (2.19)% 1,947% 1,596
March 31, 2004 14.60 34.64 72.85% 2.36% (2.31)% 1,340% 1,556
March 31, 2003 (10.24) 20.04 (33.82)% 2.37% (2.34)% 2,052% 234
March 31, 2002* (23.12) 30.28 (43.30)% 2.36%** (2.33)%** 2,186% 149
LEISURE FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (.83) 31.73 (2.55)% 1.37%** (0.62)%** 503% 14,582
March 31, 2006 2.06 32.56 6.75% 1.34% (0.25)% 734% 16,418
March 31, 2005 2.84 30.50 10.27% 1.31% (0.57)% 1,046% 15,080
March 31, 2004 9.78 27.66 54.70% 1.36% (0.31)% 1,870% 25,030
March 31, 2003++ (6.12) 17.88 (25.50)% 1.38% (0.65)% 3,179% 2,325
March 31, 2002++ (1.56) 24.00 (6.10)% 1.57% (1.27)% 2,609% 11,443
LEISURE FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (.86) 30.29 (2.76)% 1.88%** (1.05)%** 503% 4,823
March 31, 2006 1.81 31.15 6.17% 1.80% (1.10)% 734% 5,372
March 31, 2005 2.60 29.34 9.72% 1.82% (1.10)% 1,046% 27,750
March 31, 2004 9.37 26.74 53.94% 1.86% (1.06)% 1,870% 39,789
March 31, 2003++ (5.97) 17.37 (25.58)% 1.90% (1.68)% 3,179% 3,592
March 31, 2002++ (1.59) 23.34 (6.38)% 2.26% (2.05)% 2,609% 9,324
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- INTERNET FUND
C-CLASS; SEPTEMBER 1, 2004 -- INTERNET FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
68 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
LEISURE FUND A-CLASS
SEPTEMBER 30, 2006# $ 31.24 $ (.12) $ (.72) $ (.84) $ -- $ -- $ --
March 31, 2006 29.34 (.14) 2.04 1.90 -- -- --
March 31, 2005* 24.59 (.08) 4.83 4.75 -- -- --
LEISURE FUND C-CLASS
SEPTEMBER 30, 2006# 31.05 (.24) (.71) (.95) -- -- --
March 31, 2006 29.39 (.40) 2.06 1.66 -- -- --
March 31, 2005 26.93 (.40) 2.86 2.46 -- -- --
March 31, 2004 17.61 (.38) 9.70 9.32 -- -- --
March 31, 2003++ 23.79 (.36) (5.82) (6.18) -- -- --
March 31, 2002*++ 29.01 (.45) (4.77) (5.22) -- -- --
PRECIOUS METALS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 54.50 (.03) (5.29) (5.32) -- -- --
March 31, 2006 35.64 (.07) 18.93 18.86 -- -- --
March 31, 2005 44.32 (.05) (8.63) (8.68) -- -- --
March 31, 2004 26.78 (.12) 17.67 17.55 (.01) -- (.01)
March 31, 2003 27.90 .03 (1.15) (1.12) -- -- --
March 31, 2002 17.73 .01 10.30 10.31 (.14) -- (.14)
PRECIOUS METALS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 53.83 (.16) (5.21) (5.37) -- -- --
March 31, 2006 35.37 (.28) 18.74 18.46 -- -- --
March 31, 2005 44.17 (.03) (8.77) (8.80) -- -- --
March 31, 2004* 31.68 (.18) 12.68 12.50 (.01) -- (.01)
PRECIOUS METALS FUND A-CLASS
SEPTEMBER 30, 2006# 54.03 (.08) (5.25) (5.33) -- -- --
March 31, 2006 35.41 (.19) 18.81 18.62 -- -- --
March 31, 2005* 37.26 (.01) (1.84) (1.85) -- -- --
PRECIOUS METALS FUND C-CLASS
SEPTEMBER 30, 2006# 52.02 (.27) (5.04) (5.31) -- -- --
March 31, 2006 34.37 (.46) 18.11 17.65 -- -- --
March 31, 2005 43.16 (.39) (8.40) (8.79) -- -- --
March 31, 2004 26.35 (.51) 17.33 16.82 (.01) -- (.01)
March 31, 2003 27.72 (.27) (1.10) (1.37) -- -- --
March 31, 2002* 20.41 (.26) 7.71 7.45 (.14) -- (.14)
REAL ESTATE FUND A-CLASS
SEPTEMBER 30, 2006# 36.46 .26 1.53 1.79 -- -- --
March 31, 2006 27.84 .64 8.18 8.82 -- (.20) (.20)
March 31, 2005* 26.66 .09 1.24 1.33 (.03) (.12) (.15)
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------------------------
LEISURE FUND A-CLASS
SEPTEMBER 30, 2006# $ (.84) $ 30.40 (2.69)% 1.64%** (0.82)%** 503% $ 81
March 31, 2006 1.90 31.24 6.48% 1.60% (0.49)% 734% 68
March 31, 2005* 4.75 29.34 19.32% 1.55%** (1.02)%** 1,046% 12
LEISURE FUND C-CLASS
SEPTEMBER 30, 2006# (.95) 30.10 (3.06)% 2.38%** (1.58)%** 503% 1,077
March 31, 2006 1.66 31.05 5.65% 2.32% (1.40)% 734% 997
March 31, 2005 2.46 29.39 9.13% 2.31% (1.44)% 1,046% 2,502
March 31, 2004 9.32 26.93 52.92% 2.37% (1.59)% 1,870% 2,165
March 31, 2003++ (6.18) 17.61 (25.98)% 2.39% (1.70)% 3,179% 36
March 31, 2002*++ (5.22) 23.79 (17.99)% 2.53%** (2.14)%** 2,609% 87
PRECIOUS METALS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (5.32) 49.18 (9.76)% 1.25%** (0.10)%** 130% 146,508
March 31, 2006 18.86 54.50 52.92% 1.24% (0.16)% 277% 213,017
March 31, 2005 (8.68) 35.64 (19.58)% 1.23% (0.12)% 358% 130,718
March 31, 2004 17.54 44.32 65.53% 1.26% (0.32)% 550% 236,961
March 31, 2003 (1.12) 26.78 (4.01)% 1.27% 0.09% 744% 75,185
March 31, 2002 10.17 27.90 58.44% 1.39% 0.07% 839% 59,625
PRECIOUS METALS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (5.37) 48.46 (9.98)% 1.76%** (0.59)%** 130% 11,073
March 31, 2006 18.46 53.83 52.19% 1.75% (0.70)% 277% 14,087
March 31, 2005 (8.80) 35.37 (19.92)% 1.72% (0.09)% 358% 8,596
March 31,2004* 12.49 44.17 39.46% 1.72%** (0.68)%** 550% 2,112
PRECIOUS METALS FUND A-CLASS
SEPTEMBER 30, 2006# (5.33) 48.70 (9.87)% 1.51%** (0.29)%** 130% 5,462
March 31, 2006 18.62 54.03 52.58% 1.52% (0.43)% 277% 5,701
March 31, 2005* (1.85) 35.41 (4.97)% 1.45%** (0.02)%** 358% 217
PRECIOUS METALS FUND C-CLASS
SEPTEMBER 30, 2006# (5.31) 46.71 (10.21)% 2.25%** (1.06)%** 130% 22,361
March 31, 2006 17.65 52.02 51.35% 2.25% (1.20)% 277% 24,266
March 31, 2005 (8.79) 34.37 (20.37)% 2.23% (1.08)% 358% 20,426
March 31, 2004 16.81 43.16 63.83% 2.27% (1.38)% 550% 17,998
March 31, 2003 (1.37) 26.35 (4.94)% 2.27% (0.94)% 744% 2,150
March 31, 2002* 7.31 27.72 36.75% 2.38%** (1.23)%** 839% 910
REAL ESTATE FUND A-CLASS
SEPTEMBER 30, 2006# 1.79 38.25 4.91% 1.62%** 1.40%** 678% 445
March 31, 2006 8.62 36.46 31.75% 1.57% 2.02% 1,304% 375
March 31, 2005* 1.18 27.84 4.98% 1.54%** 0.52%** 1,773% 71
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 27, 2001 -- PRECIOUS METALS
FUND C-CLASS; MAY 3, 2001 -- LEISURE FUND C-CLASS; AUGUST 1, 2003 --
PRECIOUS METALS FUND ADVISOR CLASS; SEPTEMBER 1, 2004 -- LEISURE FUND
A-CLASS, PRECIOUS METALS FUND A-CLASS AND REAL ESTATE FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 69
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE FUND C-CLASS
SEPTEMBER 30, 2006# $ 35.93 $ .15 $ 1.46 $ 1.61 $ -- $ -- $ --
March 31, 2006 27.64 .43 8.06 8.49 -- (.20) (.20)
March 31, 2005 26.63 .41 .75 1.16 (.03) (.12) (.15)
March 31, 2004* 25.00 .02 1.61 1.63 -- -- --
REAL ESTATE FUND H-CLASS
SEPTEMBER 30, 2006# 36.47 .34 1.41 1.75 -- -- --
March 31, 2006 27.85 .57 8.25 8.82 -- (.20) (.20)
March 31, 2005 26.65 .58 .77 1.35 (.03) (.12) (.15)
March 31, 2004* 25.00 .10 1.55 1.65 -- -- --
RETAILING FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 13.48 (.02) (.10) (.12) -- -- --
March 31, 2006 12.30 (.08) 1.26 1.18 -- -- --
March 31, 2005 11.74 (.06) .62 .56 -- -- --
March 31, 2004 8.00 (.08) 3.82 3.74 -- -- --
March 31, 2003 11.12 (.07) (3.05) (3.12) -- -- --
March 31, 2002 10.29 (.10) .93 .83 -- -- --
RETAILING FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 13.07 (.04) (.11) (.15) -- -- --
March 31, 2006 11.99 (.15) 1.23 1.08 -- -- --
March 31, 2005 11.49 (.12) .62 .50 -- -- --
March 31, 2004 7.85 (.13) 3.77 3.64 -- -- --
March 31, 2003 10.94 (.12) (2.97) (3.09) -- -- --
March 31, 2002 10.17 (.15) .92 .77 -- -- --
RETAILING FUND A-CLASS
SEPTEMBER 30, 2006# 13.10 (.04) (.08) (.12) -- -- --
March 31, 2006 12.01 (.11) 1.20 1.09 -- -- --
March 31, 2005 * 10.45 (.07) 1.63 1.56 -- -- --
RETAILING FUND C-CLASS
SEPTEMBER 30, 2006# 12.80 (.07) (.10) (.17) -- -- --
March 31, 2006 11.80 (.20) 1.20 1.00 -- -- --
March 31, 2005 11.37 (.17) .60 .43 -- -- --
March 31, 2004 7.81 (.18) 3.74 3.56 -- -- --
March 31, 2003 11.02 (.20) (3.01) (3.21) -- -- --
March 31, 2002* 10.68 (.20) .54 .34 -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE FUND C-CLASS
SEPTEMBER 30, 2006# $ 1.61 $ 37.54 4.48% 2.38%** 0.82%** 678% $ 4,963
March 31, 2006 8.29 35.93 30.79% 2.36% 1.35% 1,304% 3,548
March 31, 2005 1.01 27.64 4.35% 2.32% 1.52% 1,773% 1,293
March 31, 2004* 1.63 26.63 6.52% 2.36%** 0.72%** 102% 7,562
REAL ESTATE FUND H-CLASS
SEPTEMBER 30, 2006# 1.75 38.22 4.80% 1.62%** 1.87%** 678% 54,988
March 31, 2006 8.62 36.47 31.74% 1.59% 1.78% 1,304% 49,591
March 31, 2005 1.20 27.85 5.06% 1.58% 2.08% 1,773% 8,186
March 31, 2004* 1.65 26.65 6.60% 1.61%** 3.83%** 102% 75,916
RETAILING FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (.12) 13.36 (0.89)% 1.38%** (0.31)%** 473% 28,398
March 31, 2006 1.18 13.48 9.59% 1.33% (0.60)% 1,163% 7,608
March 31, 2005 .56 12.30 4.77% 1.33% (0.54)% 1,505% 7,529
March 31, 2004 3.74 11.74 46.75% 1.35% (0.78)% 1,825% 11,738
March 31, 2003 (3.12) 8.00 (28.06)% 1.38% (0.82)% 3,788% 2,964
March 31, 2002 .83 11.12 8.07% 1.44% (0.92)% 2,030% 21,667
RETAILING FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (.15) 12.92 (1.15)% 1.87%** (0.66)%** 473% 4,845
March 31, 2006 1.08 13.07 9.01% 1.82% (1.18)% 1,163% 3,385
March 31, 2005 .50 11.99 4.35% 1.83% (1.09)% 1,505% 6,445
March 31, 2004 3.64 11.49 46.37% 1.85% (1.25)% 1,825% 15,863
March 31, 2003 (3.09) 7.85 (28.24)% 1.88% (1.35)% 3,788% 14,965
March 31, 2002 .77 10.94 7.57% 1.95% (1.40)% 2,030% 37,690
RETAILING FUND A-CLASS
SEPTEMBER 30, 2006# (.12) 12.98 (0.92)% 1.64%** (0.69)%** 473% 160
March 31, 2006 1.09 13.10 9.08% 1.59% (0.87)% 1,163% 46
March 31, 2005 * 1.56 12.01 14.93% 1.68%** (1.03)%** 1,505% 1
RETAILING FUND C-CLASS
SEPTEMBER 30, 2006# (.17) 12.63 (1.33)% 2.37%** (1.18)%** 473% 2,937
March 31, 2006 1.00 12.80 8.47% 2.34% (1.65)% 1,163% 1,586
March 31, 2005 .43 11.80 3.78% 2.33% (1.52)% 1,505% 1,774
March 31, 2004 3.56 11.37 45.58% 2.36% (1.72)% 1,825% 2,362
March 31, 2003 (3.21) 7.81 (29.13)% 2.32% (1.89)% 3,788% 85
March 31, 2002* .34 11.02 3.18% 2.70%** (2.13)%** 2,030% 1,028
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 9, 2001 -- RETAILING FUND
C-CLASS; FEBRUARY 20, 2004 -- REAL ESTATE FUND C-CLASS AND REAL ESTATE
FUND H-CLASS; SEPTEMBER 1, 2004 -- RETAILING FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
# UNAUDITED
70 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ 12.35 (.05) $ (.55) $ (.60) $ -- $ -- $ --
March 31, 2006 10.35 (.09) 2.12 2.03 (.03) -- (.03)
March 31, 2005 11.40 .03 (1.08) (1.05) -- -- --
March 31, 2004 7.11 (.11) 4.40 4.29 -- -- --
March 31, 2003 11.00 (.09) (3.80) (3.89) -- -- --
March 31, 2002 12.70 (.15) (1.55) (1.70) -- -- --
TECHNOLOGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 11.94 (.08) (.52) (.60) -- -- --
March 31, 2006 10.06 (.14) 2.05 1.91 (.03) -- (.03)
March 31, 2005 11.13 .02 (1.09) (1.07) -- -- --
March 31, 2004 6.97 (.16) 4.32 4.16 -- -- --
March 31, 2003 10.77 (.12) (3.68) (3.80) -- -- --
March 31, 2002 12.49 (.20) (1.52) (1.72) -- -- --
TECHNOLOGY FUND A-CLASS
SEPTEMBER 30, 2006# 11.95 (.07) (.52) (.59) -- -- --
March 31, 2006 10.07 (.13) 2.04 1.91 (.03) -- (.03)
March 31, 2005* 9.32 -- .75 .75 -- -- --
TECHNOLOGY FUND C-CLASS
SEPTEMBER 30, 2006# 11.81 (.11) (.51) (.62) -- -- --
March 31, 2006 10.01 (.21) 2.04 1.83 (.03) -- (.03)
March 31, 2005 11.10 -- (1.09) (1.09) -- -- --
March 31, 2004 7.00 (.21) 4.31 4.10 -- -- --
March 31, 2003 10.90 (.18) (3.72) (3.90) -- -- --
March 31, 2002* 14.82 (.25) (3.67) (3.92) -- -- --
TELECOMMUNICATIONS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# 17.74 .15 (.49) (.34) -- -- --
March 31, 2006 14.33 .21 3.60 3.81 (.40) -- (.40)
March 31, 2005 15.48 .09 (1.24) (1.15) -- -- --
March 31, 2004 10.05 -- 5.48 5.48 (.05) -- (.05)
March 31, 2003++ 15.12 .06 (5.13) (5.07) -- -- --
March 31, 2002++ 24.03 (.12) (8.70) (8.82) -- (.09) (.09)
TELECOMMUNICATIONS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# 17.10 .11 (.48) (.37) -- -- --
March 31, 2006 13.88 .12 3.50 3.62 (.40) -- (.40)
March 31, 2005 15.07 .03 (1.22) (1.19) -- -- --
March 31, 2004 9.81 (.08) 5.39 5.31 (.05) -- (.05)
March 31, 2003++ 14.76 (.09) (4.86) (4.95) -- -- --
March 31, 2002++ 23.58 (.06) (8.67) (8.73) -- (.09) (.09)
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ----------------------------------------------------------------------------------------------------------------------
TECHNOLOGY FUND INVESTOR CLASS
SEPTEMBER 30, 2006# $ (.60) $ 11.75 (4.78)% 1.38%** (0.91)%** 301% $ 36,423
March 31, 2006 2.00 12.35 19.65% 1.33% (0.79)% 666% 21,182
March 31, 2005 (1.05) 10.35 (9.21)% 1.31% 0.33% 1,304% 13,346
March 31, 2004 4.29 11.40 60.34% 1.36% (1.07)% 1,853% 17,114
March 31, 2003 (3.89) 7.11 (35.36)% 1.38% (1.13)% 1,938% 8,348
March 31, 2002 (1.70) 11.00 (13.39)% 1.44% (1.21)% 1,017% 35,815
TECHNOLOGY FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (.60) 11.34 (5.03)% 1.88%** (1.42)%** 301% 23,568
March 31, 2006 1.88 11.94 19.02% 1.84% (1.32)% 666% 12,737
March 31, 2005 (1.07) 10.06 (9.61)% 1.83% 0.21% 1,304% 10,693
March 31, 2004 4.16 11.13 59.68% 1.86% (1.58)% 1,853% 17,972
March 31, 2003 (3.80) 6.97 (35.28)% 1.88% (1.62)% 1,938% 16,717
March 31, 2002 (1.72) 10.77 (13.77)% 1.93% (1.69)% 1,017% 25,769
TECHNOLOGY FUND A-CLASS
SEPTEMBER 30, 2006# (.59) 11.36 (4.94)% 1.59%** (1.20)%** 301% 121
March 31, 2006 1.88 11.95 19.00% 1.63% (1.15)% 666% 633
March 31, 2005* .75 10.07 8.05% 1.54%** 0.00%** 1,304% 6
TECHNOLOGY FUND C-CLASS
SEPTEMBER 30, 2006# (.62) 11.19 (5.25)% 2.35%** (1.90)%** 301% 2,130
March 31, 2006 1.80 11.81 18.31% 2.35% (1.88)% 666% 2,800
March 31, 2005 (1.09) 10.01 (9.82)% 2.32% 0.00% 1,304% 1,284
March 31, 2004 4.10 11.10 58.57% 2.36% (2.13)% 1,853% 1,101
March 31, 2003 (3.90) 7.00 (35.78)% 2.37% (2.07)% 1,938% 434
March 31, 2002* (3.92) 10.90 (26.45)% 2.43%** (2.22)%** 1,017% 424
TELECOMMUNICATIONS FUND INVESTOR CLASS
SEPTEMBER 30, 2006# (.34) 17.40 (1.92)% 1.35%** 1.76%** 279% 35,359
March 31, 2006 3.41 17.74 26.96% 1.38% 1.30% 820% 56,695
March 31, 2005 (1.15) 14.33 (7.43)% 1.35% 0.60% 1,142% 6,003
March 31, 2004 5.43 15.48 54.59% 1.37% 0.01% 1,506% 14,406
March 31, 2003++ (5.07) 10.05 (33.53)% 1.38% 0.46% 2,431% 9,152
March 31, 2002++ (8.91) 15.12 (36.84)% 1.51% (0.60)% 1,192% 4,530
TELECOMMUNICATIONS FUND ADVISOR CLASS
SEPTEMBER 30, 2006# (.37) 16.73 (2.16)% 1.78%** 1.33%** 279% 7,556
March 31, 2006 3.22 17.10 26.46% 1.82% 0.81% 820% 8,487
March 31, 2005 (1.19) 13.88 (7.90)% 1.86% 0.19% 1,142% 1,922
March 31, 2004 5.26 15.07 54.20% 1.87% (0.58)% 1,506% 7,376
March 31, 2003++ (4.95) 9.81 (33.54)% 1.86% (0.68)% 2,431% 898
March 31, 2002++ (8.82) 14.76 (37.16)% 1.87% (0.29)% 1,192% 931
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 18, 2001 -- TECHNOLOGY FUND
C-CLASS; SEPTEMBER 1, 2004 -- TECHNOLOGY FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 71
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND A-CLASS
SEPTEMBER 30, 2006 # $ 17.15 $ .08 $ (.48) $ (.40) $ -- $ -- $ --
March 31, 2006 13.90 (.03) 3.68 3.65 (.40) -- (.40)
March 31, 2005* 13.55 .11 .24 .35 -- -- --
TELECOMMUNICATIONS FUND C-CLASS
SEPTEMBER 30, 2006 # 16.90 .06 (.46) (.40) -- -- --
March 31, 2006 13.81 .01 3.48 3.49 (.40) -- (.40)
March 31, 2005 15.06 (.07) (1.18) (1.25) -- -- --
March 31, 2004 9.84 (.15) 5.42 5.27 (.05) -- (.05)
March 31, 2003++ 14.97 (.09) (5.04) (5.13) -- -- --
March 31, 2002*++ 26.91 (.24) (11.61) (11.85) -- (.09) (.09)
TRANSPORTATION FUND INVESTOR CLASS
SEPTEMBER 30, 2006 # 28.30 (.08) (1.73) (1.81) -- -- --
March 31, 2006 22.42 (.09) 5.97 5.88 -- -- --
March 31, 2005 18.84 (.11) 3.69 3.58 -- -- --
March 31, 2004 15.03 (.06) 3.87 3.81 -- -- --
March 31, 2003++ 20.85 (.12) (5.70) (5.82) -- -- --
March 31, 2002++ 19.26 (.09) 1.68 1.59 -- -- --
TRANSPORTATION FUND ADVISOR CLASS
SEPTEMBER 30, 2006 # 26.75 (.13) (1.64) (1.77) -- -- --
March 31, 2006 21.31 (.19) 5.63 5.44 -- -- --
March 31, 2005 18.02 (.21) 3.50 3.29 -- -- --
March 31, 2004 14.40 (.12) 3.74 3.62 -- -- --
March 31, 2003++ 19.98 (.15) (5.43) (5.58) -- -- --
March 31, 2002++ 18.57 (.21) 1.62 1.41 -- -- --
TRANSPORTATION FUND A-CLASS
SEPTEMBER 30, 2006 # 26.87 (.09) (1.67) (1.76) -- -- --
March 31, 2006 21.34 (.17) 5.70 5.53 -- -- --
March 31, 2005* 18.73 (.09) 2.70 2.61 -- -- --
TRANSPORTATION FUND C-CLASS
SEPTEMBER 30, 2006 # 27.14 (.19) (1.68) (1.87) -- -- --
March 31, 2006 21.71 (.35) 5.78 5.43 -- -- --
March 31, 2005 18.43 (.32) 3.60 3.28 -- -- --
March 31, 2004 14.85 (.25) 3.83 3.58 -- -- --
March 31, 2003++ 20.73 (.27) (5.61) (5.88) -- -- --
March 31, 2002*++ 20.04 (.24) .93 .69 -- -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND A-CLASS
SEPTEMBER 30, 2006 # $ (.40) $ 16.75 (2.33)% 1.35%** 0.97%** 279% $ 307
March 31, 2006 3.25 17.15 26.64% 1.88% (0.18)% 820% 4,193
March 31, 2005* .35 13.90 2.58% 1.54%** 1.25%** 1,142% 3
TELECOMMUNICATIONS FUND C-CLASS
SEPTEMBER 30, 2006 # (.40) 16.50 (2.37)% 2.29%** 0.73%** 279% 3,238
March 31, 2006 3.09 16.90 25.65% 2.31% 0.09% 820% 2,827
March 31, 2005 (1.25) 13.81 (8.30)% 2.38% (0.51)% 1,142% 1,784
March 31, 2004 5.22 15.06 53.62% 2.37% (1.09)% 1,506% 3,635
March 31, 2003++ (5.13) 9.84 (34.27)% 2.41% (0.71)% 2,431% 774
March 31, 2002*++ (11.94) 14.97 (44.16)% 2.43%** (1.25)%** 1,192% 19
TRANSPORTATION FUND INVESTOR CLASS
SEPTEMBER 30, 2006 # (1.81) 26.49 (6.40)% 1.35%** (0.55)%** 310% 16,533
March 31, 2006 5.88 28.30 26.23% 1.37% (0.36)% 669% 48,580
March 31, 2005 3.58 22.42 19.00% 1.32% (0.51)% 929% 7,890
March 31, 2004 3.81 18.84 25.35% 1.36% (0.34)% 1,624% 3,792
March 31, 2003++ (5.82) 15.03 (27.91)% 1.40% (0.70)% 2,786% 960
March 31, 2002++ 1.59 20.85 8.26% 1.56% (0.51)% 1,704% 18,215
TRANSPORTATION FUND ADVISOR CLASS
SEPTEMBER 30, 2006 # (1.77) 24.98 (6.62)% 1.86%** (1.01)%** 310% 6,444
March 31, 2006 5.44 26.75 25.53% 1.86% (0.81)% 669% 8,478
March 31, 2005 3.29 21.31 18.26% 1.82% (1.05)% 929% 5,748
March 31, 2004 3.62 18.02 25.14% 1.83% (0.73)% 1,624% 4,284
March 31, 2003++ (5.58) 14.40 (27.93)% 1.92% (0.94)% 2,786% 3,561
March 31, 2002++ 1.41 19.98 7.59% 2.23% (1.16)% 1,704% 23,807
TRANSPORTATION FUND A-CLASS
SEPTEMBER 30, 2006 # (1.76) 25.11 (6.55)% 1.61%** (0.70)%** 310% 2,908
March 31, 2006 5.53 26.87 25.91% 1.66% (0.71)% 669% 3,044
March 31, 2005* 2.61 21.34 13.93% 1.54%** (0.71)%** 929% 22
TRANSPORTATION FUND C-CLASS
SEPTEMBER 30, 2006 # (1.87) 25.27 (6.89)% 2.36%** (1.45)%** 310% 6,048
March 31, 2006 5.43 27.14 25.01% 2.38% (1.43)% 669% 5,385
March 31, 2005 3.28 21.71 17.80% 2.32% (1.51)% 929% 1,807
March 31, 2004 3.58 18.43 24.11% 2.36% (1.53)% 1,624% 656
March 31, 2003++ (5.88) 14.85 (28.36)% 2.36% (1.51)% 2,786% 514
March 31, 2002*++ .69 20.73 3.44% 2.59%** (1.35)%** 1,704% 654
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 18, 2001 -- TELECOMMUNICATIONS
FUND C-CLASS; MAY 14, 2001 -- TRANSPORTATION FUND C-CLASS; SEPTEMBER 1,
2004 -- TELECOMMUNICATIONS FUND A-CLASS AND TRANSPORTATION FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
72 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES FUND INVESTOR CLASS
SEPTEMBER 30, 2006 # $ 24.90 $ .27 $ 2.11 $ 2.38 $ -- $ -- $ --
March 31, 2006 23.62 .51 1.21 1.72 (.44) -- (.44)
March 31, 2005 20.57 .53 2.82 3.35 (.30) -- (.30)
March 31, 2004 16.38 .45 4.71 5.16 (.97) -- (.97)
March 31, 2003++ 25.44 .60 (9.12) (8.52) (.54) -- (.54)
March 31, 2002++ 35.52 .60 (9.12) (8.52) (1.56) -- (1.56)
UTILITIES FUND ADVISOR CLASS
SEPTEMBER 30, 2006 # 24.08 .21 2.02 2.23 -- -- --
March 31, 2006 22.96 .36 1.20 1.56 (.44) -- (.44)
March 31, 2005 20.10 .42 2.74 3.16 (.30) -- (.30)
March 31, 2004 16.11 .30 4.66 4.96 (.97) -- (.97)
March 31, 2003++ 25.23 .33 (8.91) (8.58) (.54) -- (.54)
March 31, 2002++ 35.43 .36 (9.00) (8.64) (1.56) -- (1.56)
UTILITIES FUND A-CLASS
SEPTEMBER 30, 2006 # 24.18 .21 2.07 2.28 -- -- --
March 31, 2006 23.00 .44 1.18 1.62 (.44) -- (.44)
March 31, 2005* 20.66 .40 2.24 2.64 (.30) -- (.30)
UTILITIES FUND C-CLASS
SEPTEMBER 30, 2006 # 23.42 .12 1.99 2.11 -- -- --
March 31, 2006 22.47 .24 1.15 1.39 (.44) -- (.44)
March 31, 2005 19.77 .29 2.71 3.00 (.30) -- (.30)
March 31, 2004 15.93 .22 4.59 4.81 (.97) -- (.97)
March 31, 2003++ 25.08 .30 (8.91) (8.61) (.54) -- (.54)
March 31, 2002*++ 37.98 (.12) (11.22) (11.34) (1.56) -- (1.56)
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF
NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES FUND INVESTOR CLASS
SEPTEMBER 30, 2006 # $ 2.38 $ 27.28 9.56% 1.37%** 2.03%** 420% $ 35,669
March 31, 2006 1.28 24.90 7.25% 1.33% 1.99% 728% 11,717
March 31, 2005 3.05 23.62 16.35% 1.33% 2.46% 1,124% 17,861
March 31, 2004 4.19 20.57 32.11% 1.35% 2.50% 1,609% 19,170
March 31, 2003++ (9.06) 16.38 (33.55)% 1.39% 3.24% 3,158% 9,978
March 31, 2002++ (10.08) 25.44 (24.07)% 1.54% 2.00% 2,418% 26,539
UTILITIES FUND ADVISOR CLASS
SEPTEMBER 30, 2006 # 2.23 26.31 9.26% 1.88%** 1.69%** 420% 8,160
March 31, 2006 1.12 24.08 6.76% 1.83% 1.46% 728% 1,427
March 31, 2005 2.86 22.96 15.78% 1.83% 1.95% 1,124% 8,045
March 31, 2004 3.99 20.10 31.39% 1.84% 1.91% 1,609% 1,072
March 31, 2003++ (9.12) 16.11 (34.07)% 1.89% 1.74% 3,158% 2,239
March 31, 2002++ (10.20) 25.23 (24.47)% 1.85% 1.15% 2,418% 6,053
UTILITIES FUND A-CLASS
SEPTEMBER 30, 2006 # 2.28 26.46 9.43% 1.64%** 1.65%** 420% 2,519
March 31, 2006 1.18 24.18 7.01% 1.60% 1.75% 728% 626
March 31, 2005* 2.34 23.00 12.84% 1.54%** 2.98%** 1,124% 128
UTILITIES FUND C-CLASS
SEPTEMBER 30, 2006 # 2.11 25.53 9.01% 2.37%** 1.00%** 420% 7,098
March 31, 2006 .95 23.42 6.15% 2.34% 1.00% 728% 5,346
March 31, 2005 2.70 22.47 15.23% 2.32% 1.39% 1,124% 4,807
March 31, 2004 3.84 19.77 30.80% 2.36% 1.19% 1,609% 3,948
March 31, 2003++ (9.15) 15.93 (34.40)% 2.42% 1.56% 3,158% 939
March 31, 2002*++ (12.90) 25.08 (29.95)% 2.76%** (0.48)%** 2,418% 192
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 27, 2001 -- UTILITIES FUND
C-CLASS; SEPTEMBER 1, 2004 -- UTILITIES FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31,
2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE
APRIL 21, 2003.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 73
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Funds (the "Trust") is registered with the SEC under the
Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended
investment company, and is authorized to issue an unlimited number of no par
value shares. The Trust offers five separate classes of shares, Investor Class
Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class
Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if
Shares are redeemed within 12 months of purchase. Sales of shares of each Class
are made without a sales charge at the net asset value per share, with the
exception of A-Class Shares. A-Class Shares are sold at net asset value, plus
the applicable front-end sales charge. The sales charge varies depending on the
amount of your purchase, but will not exceed 4.75%.
A-Class Share purchases of $1 million or more have a 1% CDSC if Shares are
redeemed within 18 months of purchase. The current sales charge rates are as
follows:
SALES CHARGE SALES CHARGE
AS % OF AS % OF NET
AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED
- -----------------------------------------------------------------------------
Less than $100,000 4.75% 4.99%
$100,000 but less than
$250,000 3.75% 3.90%
$250,000 but less than
$500,000 2.75% 2.83%
$500,000 but less than
$1,000,000 1.60% 1.63%
$1,000,000 or greater 0.00% 0.00%
At September 30, 2006, the Trust consisted of fifty-three separate series:
twenty-six Benchmark Funds, one Money Market Fund, four Alternative Strategies
Funds, nineteen Sector Funds, and three Essential Portfolio Funds. This report
covers the nineteen Sector Funds (the "Funds"), while the Money Market Fund, the
Benchmark Funds, the Alternative Strategies Funds and the Essential Portfolio
Funds are contained in separate reports. At a meeting on September 25, 2006, the
Board of Trustees approved redemption fees of 1% on redemptions of shares held
for less than 30 days for all share classes of the Commodities Fund. These fees
will be effective on January 1, 2007. For the period October 1, 2006 through
December 31, 2006, shareholders will be restricted to one substantive redemption
out of the Fund followed by a purchase of the Fund during the period.
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America and are
consistently followed by the Trust.
A. Equity securities listed on an exchange (New York Stock Exchange ("NYSE") or
American Stock Exchange) are valued at the last quoted sales price as of close
of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date.
Equity securities listed on the Nasdaq market system are valued at the Nasdaq
Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation
date. Listed options held by the Trust are valued at the Official Settlement
Price listed by the exchange, usually as of 4:00 p.m., Eastern Time.
Over-the-Counter options held by the Trust are valued using the average bid
price obtained from one or more security dealers. The value of futures contracts
purchased and sold by the Trust are accounted for using the unrealized gain or
loss on the contracts that is determined by marking the contracts to their
current realized settlement prices. Financial futures contracts are valued at
the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the
valuation date. In the event that the exchange for a specific futures contract
closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more
accurate valuation. Short-term securities, if any, are valued at amortized cost,
which approximates market value.
Structured notes are valued in accordance with the terms of their agreement at
the value of the underlying index close, usually 4:00 p.m., Eastern Time,
adjusted for any interest accruals and financing charges. If the securities
comprising the underlying index cease trading before the fund's close of
business, the index will be fair valued with the use of an appropriate market
indicator.
The value of domestic equity index swap agreements entered into by the Funds is
accounted for using the unrealized gain or loss on the agreements that is
determined by marking the agreements to the last quoted value of the index that
the swap pertains to at the close of the NYSE, usually 4:00 p.m., Eastern Time.
The swap's market value is then adjusted to include dividends accrued, financing
charges and/or interest associated with the swap agreements.
The value of foreign equity index, commodity index, and currency index swap
agreements entered into by the Funds are accounted for using the unrealized gain
or loss on the agreements that is determined by marking the agreements to the
price at which orders are being filled at the close of the NYSE, usually 4:00
p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern
Time, the security dealer provides a fair value quote at which the swap
agreement is valued. The swap's market value is then adjusted to include
74 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
dividends accrued, financing charges and/or interest associated with the swap
agreements.
Investments, including structured notes, for which market quotations are not
readily available are valued at fair value as determined in good faith by Rydex
Investments (the "Advisor"), an affiliated entity, under direction of the Board
of Trustees using methods established or ratified by the Board of Trustees.
These methods include, but are not limited to: (i) general information as to how
these securities and assets trade; (ii) in connection with futures contracts and
options thereupon, and other derivative investments, information as to how (a)
these contracts and other derivative investments trade in the futures or other
derivative markets, respectively, and (b) the securities underlying these
contracts and other derivative investments trade in the cash market; and (iii)
other information and considerations, including current values in related
markets.
B. Securities transactions are recorded on the trade date for financial
reporting purposes. Realized gains and losses from securities transactions are
recorded using the identified cost basis. Proceeds from lawsuits related to
investment holdings are recorded as realized gains in the respective Fund.
Dividend income is recorded on the ex-dividend date, net of applicable taxes
withheld by foreign countries. Interest income, including amortization of
premiums and accretion of discount, is accrued on a daily basis.
C. Distributions of net investment income and net realized capital gains are
recorded on the ex-dividend date. Distributions from net investment income and
net realized capital gains are determined in accordance with income tax
regulations which may differ from accounting principles generally accepted in
the United States of America. These differences are primarily due to differing
treatments for items such as deferral of wash sales and post-October losses and
regulated futures contracts and options. Net investment income and loss, net
realized gains and losses, and net assets are not affected by these differences.
D. The Funds seek capital appreciation and invest substantially all of their
assets in equity securities of companies involved in their sector, with the
exception of the Commodities Fund, which invests primarily in "commodity
related" derivative instruments.
E. Upon the purchase of an option by a Fund, the premium paid is recorded as an
investment, the value of which is marked-to-market daily. When a purchased
option expires, the Fund will realize a loss in the amount of the cost of the
option. When the Fund enters into a closing sale transaction, the Fund will
realize a gain or loss depending on whether the proceeds from the closing sale
transaction are greater or less than the cost of the option. When a Fund
exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When a Fund exercises a call option, the cost of the
security that the Fund purchases upon exercise will be increased by the premium
originally paid. When a Fund writes (sells) an option, an amount equal to the
premium received is entered in the Trust's accounting records as an asset and
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a
written option expires, or if the Fund enters into a closing purchase
transaction, the Fund realizes a gain (or loss if the cost of a closing purchase
transaction exceeds the premium received when the option was sold).
F. The Trust may purchase or sell stock and bond index futures contracts and
options on such futures contracts. Futures contracts are contracts for delayed
delivery of securities at a specified future delivery date and at a specific
price. Upon entering into a contract, a Fund deposits and maintains as
collateral such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin
and are recorded by the Fund as unrealized gains or losses. When the contract is
closed, the Fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it
was closed.
G. The Trust may enter into swap agreements, which are over-the-counter
contracts in which one party agrees to make periodic payments based on the
change in market value of a specified equity security, basket of equity
securities, equity index, commodity index, or U.S. Dollar index, in return for
periodic payments based on a fixed or variable interest rate or the change in
market value of a different equity security, basket of equity securities, equity
index, commodity index, or U.S. Dollar index. Swap agreements are used to obtain
exposure to an equity or market without owning or taking physical custody of
securities. In accordance with a Revenue Ruling issued by the Internal Revenue
Service (the "IRS"), the Trust will not invest in commodity index swaps after
September 30, 2006.
H. The Trust may invest in structured notes, which are over-the-counter
contracts linked to the performance of an underlying benchmark such as interest
rates, equity
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 75
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
markets, equity indices, commodities indices, corporate credits or foreign
exchange markets. A structured note is a type of bond in which an issuer borrows
money from investors and pays back the principal, adjusted for performance of
the underlying benchmark, at a specified maturity date. In addition, the
contract may require periodic interest payments. Structured notes are used to
obtain exposure to a market without owning or taking physical custody of
securities or commodities.
I. The Funds may also purchase American Depository Receipts, U.S. Government
securities, enter into repurchase agreements, and engage in futures, options and
swap transactions.
J. The Fund may leave Cash in Custodian Bank overnight in its cash account with
the custodian, U.S. Bancorp. Periodically, a Fund may have Cash Payable to
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.
K. Interest and dividend income, most expenses, all realized gains and losses,
and all unrealized gains and losses are allocated to the Classes based upon the
value of the outstanding shares in each Class. Certain costs, such as
distribution fees relating to Advisor Class Shares, A-Class Shares and H-Class
Shares and service and distribution fees related to C-Class Shares, are charged
directly to specific Classes. In addition, certain expenses have been allocated
to the individual Funds in the Trust on a pro rata basis upon the respective
aggregate net asset value of each Fund included in the Trust.
L. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from these
estimates.
2. FINANCIAL INSTRUMENTS
As part of its investment strategy, the Trust may utilize a variety of
derivative instruments, including options, futures, options on futures,
structured notes, swap agreements, and short sales. These investments involve,
to varying degrees, elements of market risk and risks in excess of the amounts
recognized in the Statements of Assets and Liabilities.
In 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 its affiliates that have not yet occurred. However, based on experience,
the Funds expect the risk of loss to be remote.
The risk associated with purchasing options is limited to the premium originally
paid. Options written by a Fund involve, to varying degrees, risk of loss in
excess of the option value reflected in the Statements of Assets and
Liabilities. The risk in writing a covered call option is that a Fund may forego
the opportunity for profit if the market price of the underlying security
increases and the option is exercised. The risk in writing a covered put option
is that a Fund may incur a loss if the market price of the underlying security
decreases and the option is exercised. In addition, there is the risk that a
Fund may not be able to enter into a closing transaction because of an illiquid
secondary market or, for over-the-counter options, because of the counterparty's
inability to perform. The Trust has established strict counterparty credit
guidelines and enters into transactions only with financial institutions of
investment grade or better.
There are several risks in connection with the use of futures contracts. Futures
contracts involve, to varying degrees, risk of loss in excess of amounts
reflected in the financial statements. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price of
the underlying securities. In addition, there is the risk that a Fund may not be
able to enter into a closing transaction because of an illiquid secondary
market.
There are several risks associated with the use of structured notes. Structured
securities are leveraged, providing an exposure to the underlying benchmark of
three times the face amount and increasing the volatility of each note relative
to the change in the underlying linked financial instrument. A highly liquid
secondary market may not exist for the structured notes a Fund invests in which
may make it difficult for the Fund to sell the structured notes it holds at an
acceptable price or to accurately value them. In addition, structured notes are
subject to the risk that the counterparty to the instrument, or issuer, might
not pay interest when due or repay principal at maturity of the obligation.
Although the Trust will not invest in any structured notes unless the Advisor
believes that the issuer is creditworthy, a Fund does bear the risk of loss of
the amount expected to be received in the event of the default or bankruptcy of
the issuer. The Trust has established strict counterparty credit guidelines and
enters into transactions only with financial institutions of investment grade or
better.
The use of equity swaps involves risks that are different from those associated
with ordinary portfolio securities
76 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
transactions. Swap agreements may be considered to be illiquid. Although the
Trust will not enter into any swap agreement unless the Advisor believes that
the other party to the transaction is creditworthy, a Fund does bear the risk of
loss of the amount expected to be received under a swap agreement in the event
of the default or bankruptcy of the agreement counterparty. The Trust has
established strict counterparty credit guidelines and enters into transactions
only with financial institutions of investment grade or better.
Short sales are transactions in which a Fund sells a security it does not own.
If the security the Fund sold short goes down 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 goes up 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.
In conjunction with the use of options, futures, options on futures, swap
agreements, as well as short sales of securities, the Funds are required to
maintain collateral in various forms. The Funds use, where appropriate,
depending on the financial instrument utilized and the broker involved, margin
deposits at the broker, cash and/or securities segregated at the custodian bank,
discount notes, or the repurchase agreements allocated to each of the Funds.
The risks inherent in the use of options, futures contracts, options on futures
contracts, structured notes, swap agreements, as well as short sales of
securities include i) adverse changes in the value of such instruments; ii)
imperfect correlation between the price of the instruments and movements in the
price of the underlying securities, indices, or futures contracts; iii) the
possible absence of a liquid secondary market for any particular instrument at
any time; and iv) the potential of counterparty default.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of an investment advisory contract, the Trust pays the Advisor,
an affiliated entity, investment advisory fees calculated at an annualized rate
of 0.85% of the average daily net assets of each of the Funds, except the
Precious Metals Fund, which is 0.75% of the average daily net assets. Effective
May 1, 2006, the Advisor has contractually agreed to waive its 0.75% management
fee to the extent necessary to limit the ordinary operating expenses of the
Commodities Fund (but excluding interest expenses, brokerage commissions, and
extraordinary expenses) to not more than 1.20%, 1.95%, and 1.20% per annum of
the average monthly net assets of the A-Class, C-Class, and H-Class of the Fund,
respectively (the "Contractual Fee Waiver"). The Contractual Fee Waiver may not
be modified or eliminated prior to August 1, 2007, except with the approval of
the Board of Trustees. There is no guarantee that the Contractual Fee Waiver
will continue beyond August 1, 2007. Certain officers and trustees of the Trust
are also officers of the Advisor. Rydex Investments, an affiliated entity,
provides transfer agent and administrative services to the Trust for fees
calculated at an annualized rate of 0.25% of the average daily net assets of
each of the Sector Funds.
Rydex Investments also provides accounting services to the Trust calculated at
an annualized rate of 0.10% on the first $250 million of the average daily net
assets, 0.075% on the next $250 million of the average daily net assets, 0.05%
on the next $250 million of the average daily net assets, and 0.03% on the
average daily net assets over $750 million of each of the Sector Funds. Certain
officers and trustees of the Trust are also officers of Rydex Investments.
Rydex Investments also provides other necessary services to the Trust, such as
accounting and auditing services, legal services, printing and mailing, etc., on
a pass-through basis. Such expenses vary from Fund to Fund and are allocated to
the Funds based on relative net assets.
The Trust has adopted a Distribution Plan and Shareholder Services Plan
applicable to its Advisor Class Shares and a Distribution Plan applicable to
A-Class Shares and H-Class Shares for which Rydex Distributors, Inc. (the
"Distributor"), an affiliated entity, and other firms that provide distribution
and/or shareholder services ("Service Providers") may receive compensation. If a
Service Provider provides distribution services, the Trust will pay distribution
fees to the Distributor at an annual rate not to exceed 0.25% of average daily
net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn,
will pay the Service Provider out of its fees. The Distributor may, at its
discretion, retain a portion of such payments to compensate itself for
distribution services. With regard to Advisor Class Shares only, if a Service
Provider provides shareholder services, the Distributor will receive shareholder
servicing fees from the Trust at an annual rate not to exceed 0.25% of average
daily net assets. The Distributor, in turn, will pay the Service Provider out of
its fees.
The Trust has adopted a separate Distribution and Shareholder Services Plan
applicable to its C-Class Shares that allows the Funds to pay annual
distribution and service fees of 1.00% of the Funds' C-Class Shares average
daily net assets. The annual 0.25% service fee compensates the shareholder's
financial advisor for providing on-going services to the shareholder. The
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 77
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
annual 0.75% distribution fee reimburses the Distributor for paying the
shareholder's financial advisor an ongoing sales commission. The Distributor
advances the first year's service and distribution fees to the Financial
Advisor. The Distributor retains the service and distribution fees on accounts
with no authorized dealer of record. Certain officers and trustees of the Trust
are also officers of the Distributor.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and will distribute all net
investment income and capital gains to shareholders. Therefore, no Federal
income tax provision is required.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments for derivatives, foreign currency transactions, losses
deferred due to wash sales, losses deferred due to post-October losses, and
excise tax regulations.
Permanent book and tax basis differences, if any, relating to shareholder
distributions will result in reclassifications to paid-in capital. This includes
net operating losses not utilized during the current year, reclasses of swap
related income and gains, and the utilization of earnings and profits
distributed to the shareholders on redemption of shares as part of the dividend
paid deduction for income tax purposes. These reclassifications have no effect
on net assets or net asset values per share. Any taxable gain remaining at
fiscal year end is distributed in the following year.
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN
48). FIN 48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be taken in the
course of preparing the Fund's tax returns 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. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and is to
be applied to all open tax years as of the effective date. At this time,
management is evaluating the implications of FIN 48 and its impact in the
financial statements has not yet been determined.
At September 30, 2006, the cost of securities for Federal income tax purposes,
the aggregate gross unrealized gain for all securities for which there was an
excess of value over tax cost and the aggregate gross unrealized loss for all
securities for which there was an excess of tax cost over value, were as
follows:
TAX TAX NET
TAX UNREALIZED UNREALIZED UNREALIZED
FUND COST GAIN LOSS GAIN
- ----------------------------------------------------------------------------------------------
Banking Fund $ 11,027,690 $ 1,715,983 $ (3,555) $ 1,712,428
Basic Materials Fund 23,272,055 6,664,824 (76,940) 6,587,884
Biotechnology Fund 92,294,192 41,330,771 (682,034) 40,648,737
Commodities Fund 55,875,668 61,384 -- 61,384
Consumer Products Fund 89,414,713 7,116,123 (42,321) 7,073,802
Electronics Fund 30,709,305 12,272,331 (10,154) 12,262,177
Energy Fund 100,003,390 34,607,093 (1,033,462) 33,573,631
Energy Services Fund 112,638,618 50,098,451 (1,115,631) 48,982,820
Financial Services Fund 69,756,967 5,077,003 (57,297) 5,019,706
Health Care Fund 102,156,408 13,693,595 (371,334) 13,322,261
Internet Fund 24,808,988 3,301,992 (17,661) 3,284,331
Leisure Fund 22,347,982 2,304,659 (14,934) 2,289,725
Precious Metals Fund 172,134,039 82,804,541 (1,007,306) 81,797,235
Real Estate Fund 70,324,972 5,919,044 (11,661) 5,907,383
Retailing Fund 38,033,401 3,409,850 (6,486) 3,403,364
Technology Fund 69,972,331 6,182,959 (241,097) 5,941,862
Telecommunications Fund 54,356,913 5,375,912 (14,793) 5,361,119
Transportation Fund 35,867,242 6,362,660 (52,493) 6,310,167
Utilities Fund 64,422,855 6,056,748 (1,066) 6,055,682
78 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
5. REPURCHASE AGREEMENTS
The Trust 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. The collateral is
in the possession of the Trust's custodian and is evaluated daily to ensure that
its market value exceeds by, at a minimum, 102% of the delivery value of the
repurchase agreement at maturity.
The repurchase agreements executed by the joint account and outstanding as of
September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE
- ----------------------------------------------------------------------------------------------
Lehman Brothers, Inc. 5.00% due 10/02/06 $ 44,140,170 $ 44,140,170 $ 44,158,562
- ----------------------------------------------------------------------------------------------
$ 44,140,170 $ 44,158,562
- ----------------------------------------------------------------------------------------------
As of September 30, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE
- --------------------------------------------------------------------------------
U. S. Treasury Notes 3.000% - 4.875% $ 45,150,000 $ 45,023,916
- --------------------------------------------------------------------------------
$ 45,023,916
- --------------------------------------------------------------------------------
In the event of counterparty default, the Trust has the right to collect the
collateral to offset losses incurred. There is potential loss to the Trust in
the event the Trust is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible decline
in the value of the underlying securities during the period while the Trust
seeks to assert its rights. The Trust's investment advisor, acting under the
supervision of the Board of Trustees, reviews the value of the collateral and
the credit worthiness of those banks and dealers with which the Trust enters
into repurchase agreements to evaluate potential risks.
6. SECURITIES TRANSACTIONS
During the period ended September 30, 2006, purchases and sales of investment
securities, excluding short-term and temporary cash investments, were:
BASIC BIOTECH- CONSUMER ENERGY
BANKING MATERIALS NOLOGY COMMODITIES PRODUCTS ELECTRONICS ENERGY SERVICES
FUND FUND FUND FUND FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
Purchases $ 66,603,292 $ 91,635,569 $172,496,549 $17,859,522 $151,809,537 $142,194,543 $214,522,524 $177,703,986
Sales $ 66,759,918 $102,708,640 $207,281,837 $ -- $ 97,967,518 $156,250,811 $238,232,359 $250,660,556
FINANCIAL HEALTH PRECIOUS REAL
SERVICES CARE INTERNET LEISURE METALS ESTATE RETAILING TECHNOLOGY
FUND FUND FUND FUND FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
Purchases $118,939,747 $170,259,056 $ 86,503,242 $76,724,175 $294,197,486 $247,066,219 $ 83,917,909 $128,233,652
Sales $ 84,240,583 $144,792,027 $ 85,512,351 $78,630,386 $335,795,750 $240,489,443 $ 61,157,020 $102,257,330
TELECOMMU- TRANSPOR-
NICATIONS TATION UTILITIES
FUND FUND FUND
- --------------------------------------------------------
Purchases $ 87,682,909 $145,243,435 $216,323,269
Sales $111,206,344 $171,297,744 $185,201,540
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 79
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
7. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of no par value
shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
BANKING FUND
Investor Class 6,517,044 19,431,785 -- 19,824
Advisor Class 2,261,988 3,931,501 -- 3,332
A-Class 56,391 13,249 -- 51
C-Class 692,268 1,371,582 -- 829
BASIC MATERIALS FUND
Investor Class 3,261,789 9,123,721 -- 4,850
Advisor Class 1,046,716 2,567,153 -- 1,153
A-Class 96,043 20,008 -- 80
C-Class 316,148 1,638,567 -- 921
BIOTECHNOLOGY FUND
Investor Class 8,524,172 26,699,177 -- --
Advisor Class 1,180,581 6,328,000 -- --
A-Class 38,117 294,689 -- --
C-Class 1,369,456 1,319,832 -- --
COMMODITIES FUND
A-Class 224,745 380,638* -- --
C-Class 107,378 387,087* -- --
H-Class 3,317,048 5,477,788* -- --
CONSUMER PRODUCTS FUND
Investor Class 4,362,328 4,578,991 -- 3,050
Advisor Class 1,387,563 1,436,673 -- 1,938
A-Class 43,183 50,888 -- 566
C-Class 777,994 2,674,258 -- 690
ELECTRONICS FUND
Investor Class 15,544,615 52,323,752 -- --
Advisor Class 2,015,629 8,421,283 -- --
A-Class 76,965 157,542 -- --
C-Class 567,222 1,114,986 -- --
ENERGY FUND
Investor Class 15,867,098 43,314,450 -- 145,031
Advisor Class 2,137,575 4,842,701 -- 21,210
A-Class 232,950 1,018,596 -- 6,392
C-Class 1,029,996 4,544,320 -- 28,450
SHARES REDEEMED NET SHARES PURCHASED (REDEEMED)
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
BANKING FUND
Investor Class (6,820,889) (19,131,035) (303,845) 320,574
Advisor Class (2,118,361) (4,089,712) 143,627 (154,879)
A-Class (31,029) (5,479) 25,362 7,821
C-Class (601,248) (1,396,202) 91,020 (23,791)
BASIC MATERIALS FUND
Investor Class (3,579,309) (9,567,902) (317,520) (439,331)
Advisor Class (1,136,068) (2,780,462) (89,352) (212,156)
A-Class (63,238) (7,851) 32,805 12,237
C-Class (295,145) (1,711,115) 21,003 (71,627)
BIOTECHNOLOGY FUND
Investor Class (9,063,661) (26,516,133) (539,489) 183,044
Advisor Class (1,905,981) (5,763,395) (725,400) 564,605
A-Class (196,867) (73,060) (158,750) 221,629
C-Class (1,568,680) (1,125,877) (199,224) 193,955
COMMODITIES FUND
A-Class (347,668) (59,996)* (122,923) 320,642*
C-Class (112,279) (234,798)* (4,901) 152,289*
H-Class (3,089,559) (4,413,953)* 227,489 1,063,835*
CONSUMER PRODUCTS FUND
Investor Class (3,267,509) (4,708,564) 1,094,819 (126,523)
Advisor Class (1,023,164) (2,127,405) 364,399 (688,794)
A-Class (11,055) (18,005) 32,128 33,449
C-Class (590,025) (2,902,147) 187,969 (227,199)
ELECTRONICS FUND
Investor Class (15,937,406) (52,427,967) (392,791) (104,215)
Advisor Class (2,769,736) (8,602,919) (754,107) (181,636)
A-Class (155,787) (61,488) (78,822) 96,054
C-Class (559,262) (939,019) 7,960 175,967
ENERGY FUND
Investor Class (16,785,159) (45,820,840) (918,061) (2,361,359)
Advisor Class (2,266,183) (5,498,339) (128,608) (634,428)
A-Class (150,460) (916,995) 82,490 107,993
C-Class (1,269,212) (4,514,179) (239,216) 58,591
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005.
+ UNAUDITED.
80 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
ENERGY SERVICES FUND
Investor Class 7,093,054 19,648,682 -- --
Advisor Class 1,060,937 3,980,155 -- --
A-Class 146,344 400,630 -- --
C-Class 549,628 1,348,672 -- --
FINANCIAL SERVICES FUND
Investor Class 7,738,062 16,999,280 -- 17,330
Advisor Class 2,818,026 6,288,138 -- 13,951
A-Class 132,897 355,869 -- 524
C-Class 385,250 1,901,071 -- 2,593
HEALTH CARE FUND
Investor Class 12,043,961 35,375,281 -- --
Advisor Class 4,110,235 6,941,714 -- --
A-Class 229,752 214,718 -- --
C-Class 722,011 2,565,687 -- --
INTERNET FUND
Investor Class 2,499,766 7,213,052 -- --
Advisor Class 584,953 1,707,673 -- --
A-Class 5,972 20,017 -- --
C-Class 70,490 258,023 -- --
LEISURE FUND
Investor Class 2,441,187 4,268,066 -- --
Advisor Class 975,200 1,514,408 -- --
A-Class 1,057 2,800 -- --
C-Class 66,448 609,829 -- --
PRECIOUS METALS FUND
Investor Class 12,944,294 32,009,774 -- --
Advisor Class 863,618 1,507,393 -- --
A-Class 171,600 182,647 -- --
C-Class 736,636 1,029,486 -- --
REAL ESTATE FUND
A-Class 53,848 47,503 -- 19
C-Class 253,148 665,531 -- 355
H-Class 10,395,633 20,581,009 -- 2,795
SHARES REDEEMED NET SHARES PURCHASED (REDEEMED)
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
ENERGY SERVICES FUND
Investor Class (8,289,138) (19,682,786) (1,196,084) (34,104)
Advisor Class (1,716,253) (3,810,903) (655,316) 169,252
A-Class (104,512) (260,922) 41,832 139,708
C-Class (597,749) (1,104,795) (48,121) 243,877
FINANCIAL SERVICES FUND
Investor Class (6,360,510) (16,774,042) 1,377,552 242,568
Advisor Class (1,392,470) (8,217,061) 1,425,556 (1,914,972)
A-Class (379,543) (24,086) (246,646) 332,307
C-Class (275,917) (1,892,843) 109,333 10,821
HEALTH CARE FUND
Investor Class (11,581,004) (34,974,857) 462,957 400,424
Advisor Class (2,507,041) (7,244,262) 1,603,194 (302,548)
A-Class (326,463) (54,676) (96,711) 160,042
C-Class (802,879) (2,379,566) (80,868) 186,121
INTERNET FUND
Investor Class (2,377,841) (6,969,421) 121,925 243,631
Advisor Class (605,609) (1,639,167) (20,656) 68,506
A-Class (14,125) (8,110) (8,153) 11,907
C-Class (101,607) (250,044) (31,117) 7,979
LEISURE FUND
Investor Class (2,485,885) (4,258,235) (44,698) 9,831
Advisor Class (988,398) (2,287,763) (13,198) (773,355)
A-Class (561) (1,039) 496 1,761
C-Class (62,772) (662,871) 3,676 (53,042)
PRECIOUS METALS FUND
Investor Class (13,874,067) (31,768,397) (929,773) 241,377
Advisor Class (896,780) (1,488,721) (33,162) 18,672
A-Class (164,952) (83,266) 6,648 99,381
C-Class (724,339) (1,157,357) 12,297 (127,871)
REAL ESTATE FUND
A-Class (52,505) (39,791) 1,343 7,731
C-Class (219,687) (613,928) 33,461 51,958
H-Class (10,316,938) (19,517,895) 78,695 1,065,909
+ UNAUDITED.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 81
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
RETAILING FUND
Investor Class 7,724,429 19,589,679 -- --
Advisor Class 1,334,231 3,652,665 -- --
A-Class 12,166 20,951 -- --
C-Class 208,271 593,142 -- --
TECHNOLOGY FUND
Investor Class 10,034,342 18,146,078 -- 6,582
Advisor Class 3,446,334 7,163,169 -- 3,192
A-Class 79,817 216,530 -- 162
C-Class 431,250 2,843,053 -- 839
TELECOMMUNICATIONS FUND
Investor Class 5,781,325 13,459,148 -- 10,130
Advisor Class 1,287,672 3,069,757 -- 4,894
A-Class 14,983 253,560 -- 5
C-Class 354,777 999,170 -- 2,514
TRANSPORTATION FUND
Investor Class 6,270,264 12,609,504 -- --
Advisor Class 1,161,737 3,860,047 -- --
A-Class 92,774 128,554 -- --
C-Class 398,522 382,848 -- --
UTILITIES FUND
Investor Class 10,603,899 21,477,912 -- 21,860
Advisor Class 1,876,255 3,553,134 -- 4,148
A-Class 194,604 113,218 -- 795
C-Class 542,856 1,080,678 -- 4,821
SHARES REDEEMED NET SHARES PURCHASED (REDEEMED)
- ----------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- ----------------------------------------------------------------------------------------------------------------
RETAILING FUND
Investor Class (6,163,611) (19,637,584) 1,560,818 (47,905)
Advisor Class (1,218,365) (3,930,966) 115,866 (278,301)
A-Class (3,376) (17,505) 8,790 3,446
C-Class (99,660) (619,548) 108,611 (26,406)
TECHNOLOGY FUND
Investor Class (8,650,334) (17,726,933) 1,384,008 425,727
Advisor Class (2,434,115) (7,162,497) 1,012,219 3,864
A-Class (122,074) (164,343) (42,257) 52,349
C-Class (477,840) (2,735,137) (46,590) 108,755
TELECOMMUNICATIONS FUND
Investor Class (6,944,855) (10,692,365) (1,163,530) 2,776,913
Advisor Class (1,332,402) (2,716,747) (44,730) 357,904
A-Class (241,231) (9,199) (226,248) 244,366
C-Class (325,742) (963,686) 29,035 37,998
TRANSPORTATION FUND
Investor Class (7,362,855) (11,244,555) (1,092,591) 1,364,949
Advisor Class (1,220,633) (3,812,896) (58,896) 47,151
A-Class (90,283) (16,303) 2,491 112,251
C-Class (357,642) (267,653) 40,880 115,195
UTILITIES FUND
Investor Class (9,767,091) (21,785,329) 836,808 (285,557)
Advisor Class (1,625,369) (3,848,404) 250,886 (291,122)
A-Class (125,293) (93,656) 69,311 20,357
C-Class (493,061) (1,071,267) 49,795 14,232
+ UNAUDITED.
82 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
8. PORTFOLIO SECURITIES LOANED
The Trust lends 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 borrowers and earnings on cash collateral investments shared
with the lending agent. Within this arrangement, the Trust acts as the lender,
U.S. Bancorp acts as the agent, and other approved registered broker dealers act
as the borrowers. The Trust receives cash collateral, valued at 100% of the
value of the securities on loan, which is initially held in a segregated account
at U.S. Bancorp. As agent, U.S. Bancorp may, for investment purposes, pool the
Trust's collateral in joint accounts with cash collateral from one or more other
securities lending customers of U.S. Bancorp. Under the terms of the Trust's
securities lending agreement with U.S. Bancorp, cash collateral may be invested
by U.S. Bancorp in certain high quality, liquid investments. At September 30,
2006, the pooled cash collateral investments consisted of repurchase agreements
(46.60%), commercial paper (34.12%), fixed income securities (15.48%),
guaranteed investment contract (3.67%), and mutual funds (0.13%). 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 risk, the
Trust 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 Trust has
the right under the securities lending agreement to recover the securities from
the borrower on demand.
The following represents a breakdown of the collateral, its rates, and
maturities:
COLLATERAL TYPE RATES MATURITY
- ------------------------------------------------------------------------------------------------------
Repurchase Agreements 5.350% - 5.445% 10/02/06
Commercial Paper 5.300% - 5.432% 10/02/06-10/30/06
Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33
Guaranteed Investment Contract 5.450% 11/24/06
Mutual Funds N/A N/A
At September 30, 2006, the following funds participated in securities lending
and received cash collateral:
VALUE OF
CASH SECURITIES
FUND COLLATERAL LOANED
- --------------------------------------------------------------------------------
Banking Fund $ 2,048,265 $ 1,964,788
Basic Materials Fund 5,210,882 5,001,668
Biotechnology Fund 36,179,253 35,089,220
Consumer Products Fund 18,076,874 17,413,029
Electronics Fund 7,956,583 7,557,047
Energy Fund 27,903,856 27,128,449
Energy Services Fund 32,381,122 31,605,516
Financial Services Fund 12,613,797 12,204,272
Health Care Fund 18,361,298 17,812,595
Internet Fund 4,594,096 4,414,935
Leisure Fund 4,158,360 4,014,087
Precious Metals Fund 68,651,694 64,455,966
Real Estate Fund 15,912,302 15,382,354
Retailing Fund 5,752,120 5,468,956
Technology Fund 13,562,602 12,863,483
Telecommunications Fund 13,138,040 12,446,594
Transportation Fund 10,213,425 9,854,410
Utilities Fund 16,888,517 16,146,816
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 83
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board has selected Ernst & Young LLP (E&Y) to serve as the Funds'
independent registered public accounting firm for the fiscal year ended March
31, 2007. The decision to select E&Y was recommended by the Audit Committee and
was approved by the Board on September 25, 2006. During the Funds' fiscal years
ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor
anyone on their behalf consulted with E&Y on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Funds' financial statements; or (ii) concerned the subject of a disagreement
(as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable
events (as described in paragraph (a)(1)(iv) of said Item 304).
The selection of E&Y does not reflect any disagreements with or dissatisfaction
by the Funds or the Board with the performance of the Funds' prior auditor,
PricewaterhouseCoopers LLP (PwC). The decision to dismiss PwC effective upon its
completion of its audits for the fiscal year ended March 31, 2006 and to select
E&Y was recommended by the Funds' Audit Committee and approved by the Funds'
Board of Trustees. PwC's report on the Funds' financial statements for the
fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Funds' fiscal years ended March
31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any
matter of accounting principles or practices, financial statement disclosure or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of PwC, would have caused it to make reference to the subject
matter of the disagreements in connection with its report on the Funds'
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities
and Exchange Act of 1934, as amended.
84 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES INFORMATION
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q; which are available on
the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 (the "1940 Act") requires that the initial
approval of, as well as the continuation of, a fund's investment advisory
agreement be specifically approved (1) by the vote of the trustees or by a vote
of the shareholders of the fund, and (2) by the vote of a majority of the
trustees who are not parties to the investment advisory agreement or "interested
persons" of any party (the "Independent Trustees"), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such
approvals, the fund's trustees must request and evaluate, and the investment
adviser is required to furnish, such information as may be reasonably necessary
to evaluate the terms of the advisory agreement. In addition, the Securities and
Exchange Commission (the "SEC") takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex Series Funds Board of Trustees
(the "Board") calls and holds one meeting each year that is dedicated to
considering whether to renew the investment advisory agreement between Rydex
Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under
the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement")
with respect to existing funds in the Trust, including the funds discussed in
this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to
reviewing certain other agreements pursuant to which Rydex Investments provides
investment advisory services to certain other registered investment companies.
In preparation for the meeting, the Board requests and reviews a wide variety of
materials provided by Rydex Investments, including information about Rydex
Investments' affiliates, personnel and operations. The Board also receives data
provided by third parties. This information is in addition to the detailed
information about the Funds that the Board reviews during the course of each
year, including information that relates to Fund operations and performance. The
Board also receives a memorandum from Fund counsel regarding the
responsibilities of the Board for the approval of investment advisory
agreements. In addition, the Independent Trustees receive advice from
independent counsel to the Independent Trustees, meet in executive session
outside the presence of fund management, and participate in question and answer
sessions with representatives of Rydex Investments.
At a meeting held on August 27 and 28, 2006, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on consideration and evaluation of a variety of specific
factors discussed at that meeting and at prior meetings, including:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS
The Board reviewed the scope of services to be provided by Rydex
Investments under the Advisory Agreement and noted that there would be no
significant differences between the scope of services required to be
provided by Rydex Investments for the past year and the scope of services
required to be provided by Rydex Investments for the upcoming year. In
reviewing the scope of services provided to the Funds by Rydex
Investments, the Board reviewed and discussed Rydex Investments'
investment experience, noting that Rydex Investments and its affiliates
have committed significant resources over time to the support of the
Funds. The Board also considered Rydex Investments' compliance program and
its compliance record with respect to the Funds. In that regard, the Board
noted that Rydex Investments provides information regarding the portfolio
management and compliance to the Board on a periodic basis in connection
with regularly scheduled meetings of the Board. In addition to the above
considerations, the Board reviewed and considered
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 85
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- -------------------------------------------------------------------------------
Rydex Investments' investment processes and strategies, and matters
related to Rydex Investments' portfolio transaction policies and
procedures. In particular, the Board noted the substantial volume of
portfolio trades and shareholder transaction activity, in general,
processed by Rydex Investments due to the unlimited exchange policy of the
majority of the Funds. The Board further noted that the Funds have met
their investment objectives consistently since their relevant inception
dates. Based on this review, the Board concluded that the nature, extent
and quality of services to be provided by Rydex Investments to the Funds
under the Advisory Agreement were appropriate and continued to support the
Board's original selection of Rydex Investments as investment adviser to
the Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund in
comparison with the same information for other funds registered under the
1940 Act determined by Rydex Investments to comprise each Fund's
applicable peer group. Because few funds seek to provide unlimited
exchange privileges similar to those of the Funds (other than the
Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund,
Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's
applicable peer group is generally limited to the funds of two
unaffiliated mutual fund families. In addition, the Board reviewed
statistical information prepared by Rydex Investments relating to the
performance of each Fund, as well as each Fund's ability to successfully
track its benchmark over time, and a comparison of each Fund's performance
to funds with similar investment objectives for the same periods and to
appropriate indices/benchmarks, in light of total return, yield and market
trends. The Board further noted that despite the unique nature of the
Funds, the peer fund information presented to the Board was meaningful
because the peer funds' investment objectives and strategies were closely
aligned with those of the Funds. The Board noted that most of the Funds
either outperformed their peer funds or performed in line with them over
relevant periods. The Board also noted that the investment advisory fees
and overall expenses for the Funds were generally lower than or in line
with the investment advisory fee rates and overall expenses of the peer
funds. Based on this review, the Board concluded that the investment
advisory fees and expense levels and the historical performance of the
Funds, as managed by Rydex Investments, as compared to the investment
advisory fees and expense levels and performance of the peer funds, were
satisfactory for the purposes of approving the continuance of the Advisory
Agreement.
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to
Rydex Investments based on the advisory fees payable under the Advisory
Agreement for the last calendar year. Rydex Investments also presented the
Board with material discussing its methodology for determining the level
of advisory fees assessable to the Funds. The Board analyzed the Funds'
expenses, including the investment advisory fees paid to Rydex
Investments. The Board also reviewed information regarding direct revenue
received by Rydex Investments and ancillary revenue received by Rydex
Investments and/or its affiliates in connection with the services provided
to the Funds by Rydex Investments (as discussed below) and/or its
affiliates. The Board also discussed Rydex Investments' profit margin as
reflected in Rydex Investments' profitability analysis and reviewed
information regarding economies of scale (as discussed below). Based on
this review, the Board concluded that the profits to be realized by Rydex
Investments and its affiliates under the Advisory Agreement and from other
relationships between the Funds and Rydex Investments and/or its
affiliates, if any, were within the range the Board considered reasonable
and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the
Board reviewed information regarding economies of scale or other
efficiencies that may result from increases in the Funds' asset levels.
The Board noted that the Advisory Agreement for the Funds did not provide
for any breakpoints in the investment advisory fee rates as a result of
increases in the asset levels of such Funds. The Board also noted that
though Rydex Investments' assets under management were significant, the
amount is spread among more than 95 Funds. Further limiting the
realization of economies of scale is the ability of shareholders of a
majority of the Funds to engage in unlimited trading. The Board also
reviewed Rydex Investments' historic profitability as investment adviser
to the Funds and determined that reductions in fee rates or additions of
breakpoints were not warranted at this juncture. Based on this review, the
Board, recognizing its responsibility to consider this issue at least
annually, concluded that there are limited economies of scale to share
with the Funds' shareholders.
86 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES
In addition to evaluating the services provided by Rydex Investments, the
Board also considered the nature, extent, quality and cost of the
administrative, distribution, and shareholder services performed by Rydex
Investments' affiliates under separate agreements. The Board noted that
Rydex Investments reports its use of soft dollars to the Board on a
quarterly basis, as well as any portfolio transactions on behalf of the
Funds placed through an affiliate of the Funds or Rydex Investments
pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board
concluded that the nature and quality of the services provided by Rydex
Investments' affiliates to the Trust will benefit the Funds' shareholders,
and that any ancillary benefits would not be disadvantageous to the Funds'
shareholders, particularly in light of the Board's view that the Funds'
shareholders benefit from investing in a fund that is part of a large
family of funds offering a variety of investment strategies and services.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 87
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling
1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell
Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- --------------------------------- -------------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132
Trustee, President (1952) Rydex Variable Trust - 2004
Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and
Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive
Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II,
Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President
of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund
Services, Inc. and Rydex Distributors, Inc. (1997 to 2000)
---------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 132
Trustee, Vice President Rydex Variable Trust - 2005
(1970) Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized
Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable
Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series
Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to
present); Vice President of Rydex Dynamic Funds (1999 to present); Vice
President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex
Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors
(2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex
Distributors, Inc. (2003 to 2004)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------------ ----------------------------------- -------------------
JOHN O. DEMARET Rydex Series Funds - 1997 125
Trustee, Chairman of the Rydex Variable Trust - 1998
Board (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 125
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
---------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 125
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
---------------------------------
88 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- --------------------------------- -------------------
WERNER E. KELLER Rydex Series Funds - 2005 125
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present);
Chairman, Centurion Capital Management (1991 to 2001)
---------------------------------
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
---------------------------------
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
---------------------------------
ROGER SOMERS Rydex Series Funds - 1993 125
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
---------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- -------------------------------------------------------------------------------------------
NICK BONOS* Chief Financial Officer of Rydex Specialized
Vice President and Treasurer (1963) Products, LLC (2005 to present); Vice President
and Treasurer of Rydex Series Funds, Rydex
Variable Trust, Rydex Dynamic Funds, and Rydex ETF
Trust (2003 to present); Senior Vice President of
Rydex Fund Services, Inc. (2003 to present); Vice
President and Treasurer of Rydex Capital Partners
SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Fund Services, Inc. (2000 to
2003)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex
Chief Compliance Officer and Secretary Variable Trust, and Rydex Dynamic Funds (2004 to
(1966) present); Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds (2000 to
present); Secretary of Rydex ETF Trust (2002 to
present); Vice President of Compliance of Rydex
Fund Services, Inc. (2000 to present); Secretary
of Rydex Capital Partners SphinX Fund (2003 to
2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex
Assistant Treasurer (1966) Variable Trust, Rydex Dynamic Funds, Rydex ETF
Trust (2006); Vice President of Rydex Fund
Services, Inc. (2004 to present); Director of
Accounting of Rydex Fund Services, Inc. (2003 to
2004); Vice President of Mutual Funds, State
Street Bank & Trust (2000 to 2003)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable
Controller (1974) Trust, Rydex Dynamic Funds, Rydex ETF Trust
(2006); Director of Fund Administration of Rydex
Fund Services, Inc. (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST,
WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS
PERSON IS AFFILIATED WITH THE ADVISOR.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 89
[LOGO] RYDEXINVESTMENTS
ESSENTIAL FOR MODERN MARKETS(TM)
9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800-820-0888
RSECF-SEMI-0906x0307
SEPTEMBER 30, 2006
RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ALTERNATIVE STRATEGY FUNDS
ABSOLUTE RETURN STRATEGIES FUND
HEDGED EQUITY FUND
MULTI-CAP CORE EQUITY FUND
SECTOR ROTATION FUND
[LOGO] RYDEXINVESTMENTS
Essential for modern markets(TM)
This report and the financial statements contained herein are submitted for the
general information of our shareholders. The report is not authorized for
distribution to prospective investors unless preceded or accompanied by an
effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO OUR SHAREHOLDERS ............................................... 2
ABOUT SHAREHOLDERS' FUND EXPENSES ........................................ 3
FUND PROFILES ............................................................ 5
SCHEDULES OF INVESTMENTS ................................................. 7
STATEMENTS OF ASSETS AND LIABILITIES ..................................... 36
STATEMENTS OF OPERATIONS ................................................. 37
STATEMENTS OF CHANGES IN NET ASSETS ...................................... 38
FINANCIAL HIGHLIGHTS ..................................................... 40
NOTES TO FINANCIAL STATEMENTS ............................................ 42
OTHER INFORMATION ........................................................ 50
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................ 53
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
Financial markets over the six-months ended September 30, 2006, were driven by a
widely anticipated "soft-landing" in the U.S. economy. This "goldilocks"
scenario had economic growth slowing, inflation and interest rates coming down
and the Federal Reserve ("Fed") ending its protracted string of increases. In
this environment, stocks rallied as corporate earnings continued to grow at
double digit rates without competition from higher interest rates. The icing on
the cake was relief from higher energy prices, which had risen relentlessly
since 2005.
While the rally in stocks was fairly broad-based, it definitely exhibited a
defensive bias. Large caps, value stocks and traditionally defensive sectors
generally outperformed small caps, growth stocks and more aggressive sectors.
This pattern is perfectly in keeping with the "late cycle" nature of the stock
market rally. Investors wanted to ride prices up, but wanted to hedge their bets
at the same time.
The large-cap nature of the rally was clearly evident in the performance of the
major averages. The home of the country's industrial giants--the Dow Jones
Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R)
Index, which returned 4.14%. If we look at the extremes of the capitalization
spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM)
Index returned 7.13% for the six month period versus a LOSS of 4.61% for the
small-cap Russell 2000(R) Index.
In a defensive rally, investors are often wary of overpaying for stocks. That
was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a
0.7% decline for the Russell 1000(R) Growth Index. Although developed market
international stocks did well as the MSCI EAFE Index gained 3.2%, emerging
market stocks fared poorly as the MSCI EM Index fell 1.2%.
A major catalyst for the rally in stocks was the rally in bonds. While yields on
the short end of the curve actually rose, longer dated maturities rallied with
the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85%
during the six-month period. The catalyst for falling rates was the decline in
inflation and the Fed's pause from its extended interest rate increases. The
result was a steeply inverted yield curve. Historically, inverted yield curves
presage an economic slowdown or recession. While that remains a possibility, the
decline in long-term rates also signals the market's anticipation of an eventual
easing campaign by the Fed.
The performance of stocks at the sector level highlighted the defensive bias
towards the gains in stock prices over the past six months. The S&P 500
Utilities sector led the way with a gain of 10.2%. Although telecommunications
services, a more aggressive sector, was number two with a gain of 8.1%, consumer
staples and financials were the next best performers, gaining 7.5% and 6.5%,
respectively. It is worth noting that falling interest rates also helped both
financials and utilities. Sectors that typically perform well in a rapidly
expanding economic environment, specifically materials, industrials and
technology declined between 1.0% and 2.3% as the economy slowed.
Going into the fourth quarter, we expect that Gross Domestic Product will pick
up slightly, the Fed will remain on hold and equities will remain range-bound.
As we head into 2007, we also see the appetite for risk continuing to decline.
We appreciate the trust you have placed in our firm by investing with us.
Sincerely,
/s/ David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)
- --------------------------------------------------------------------------------
All mutual funds have operating expenses and it is important for our
shareholders to understand the impact of costs on their investments. As a
shareholder of the fund, you incur two types of costs: (i) transaction costs,
including sales charges (loads) on purchase payments, reinvested dividends, or
other distributions; redemption fees; 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 you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the
period and held for the entire six-month period beginning March 31, 2006 and
ending September 30, 2006.
The following tables illustrate your fund's costs in two ways:
TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown
is derived from the Fund's actual return, and the fourth column shows the
dollar amount that would have been paid by an investor who started with
$1,000 in the Fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the
period. Simply divide your 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 given for your fund under the heading "Expenses Paid During
Period."
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your 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 you 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. You can assess your fund's
costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are
charged an annual $15 maintenance fee. Upon liquidating your retirement
account, a $15 account-closing fee will be taken from the proceeds of your
redemption.
The calculations above assume no shares were bought or sold during the period.
Your actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help you
compare ongoing costs only and do not reflect any transactional costs which may
be incurred by some of the Fund's classes. These costs may include, but are not
limited to, sales charges (loads), redemption fees, and exchange fees.
You can find more information about the Fund's expenses, including annual
expense ratios for the past five years, in the Financial Highlights section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- -----------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
ABSOLUTE RETURN STRATEGIES FUND
A-Class 1.82%** $1,000.00 $1,013.71 $ 9.19
C-Class 2.57%** 1,000.00 1,009.83 12.95
H-Class 1.80%** 1,000.00 1,014.11 9.09
HEDGED EQUITY FUND
A-Class 1.97%** 1,000.00 1,000.77 9.88
C-Class 2.73%** 1,000.00 996.89 13.67
H-Class 1.97%** 1,000.00 1,000.77 9.88
MULTI-CAP CORE EQUITY FUND
A-Class 1.49% 1,000.00 989.83 7.43
C-Class 2.25% 1,000.00 985.84 11.20
H-Class 1.51% 1,000.00 989.83 7.53
SECTOR ROTATION FUND
A-Class 1.67% 1,000.00 905.30 7.98
C-Class 2.41% 1,000.00 902.62 11.49
H-Class 1.66% 1,000.00 905.50 7.93
- -----------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
ABSOLUTE RETURN STRATEGIES FUND
A-Class 1.82%** 1,000.00 1,015.83 9.24
C-Class 2.57%** 1,000.00 1,012.02 13.05
H-Class 1.80%** 1,000.00 1,015.93 9.14
HEDGED EQUITY FUND
A-Class 1.97%** 1,000.00 1,015.07 10.00
C-Class 2.73%** 1,000.00 1,011.21 13.86
H-Class 1.97%** 1,000.00 1,015.07 10.00
MULTI-CAP CORE EQUITY FUND
A-Class 1.49% 1,000.00 1,017.50 7.56
C-Class 2.25% 1,000.00 1,013.65 11.42
H-Class 1.51% 1,000.00 1,017.40 7.67
SECTOR ROTATION FUND
A-Class 1.67% 1,000.00 1,016.59 8.48
C-Class 2.41% 1,000.00 1,012.83 12.23
H-Class 1.66% 1,000.00 1,016.64 8.43
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY
THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF
DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365.
** THIS RATIO REPRESENTS ANNUALIZED GROSS EXPENSES, WHICH INCLUDE DIVIDEND
EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT DIVIDENDS EXPENSE, THE
OPERATING EXPENSE RATIO WOULD BE 0.39% AND 0.57% LOWER EACH CLASS OF THE
ABSOLUTE RETURN STRATEGIES FUND AND THE HEDGED EQUITY FUND.
+ ANNUALIZED
4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
OBJECTIVE: To provide capital appreciation consistent with the return and risk
characteristics of the hedge fund universe. The secondary objective is to
achieve these returns with low correlation to and less volatility than equity
indices.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
ABSOLUTE RETURN ABSOLUTE RETURN
STRATEGIES FUND STRATEGIES FUND
LONG HOLDINGS SHORT HOLDINGS
Financials 15.6% -11.8%
Telecommunication Services 3.1%
Consumer Discretionary 6.8% -3.9%
PowerShares DB Commodity Index Tracking Fund 2.2%
Industrials 6.0% -3.8%
Utilities 3.6% -1.6%
Energy 5.4% -4.2%
Health Care 6.2% -5.0%
Consumer Staples 5.4% -4.2%
Materials 2.7% -2.0%
Information Technology 9.2% -8.9%
Futures Contracts 27.1% -11.6%
CDXI Swap Agreements 35.5% 0.0%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------------------------------
A-Class September 19, 2005
C-Class September 19, 2005
H-Class September 19, 2005
TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
PowerShares DB Commodity Index Tracking Fund Co., Inc. 2.2%
Freddie Mac 2.2%
J.P. Morgan Chase & Co. 0.8%
Pfizer, Inc. 0.8%
Archer-Daniels-Midland Co. 0.7%
Reynolds American, Inc. 0.7%
ConocoPhillips 0.7%
Verizon Communications, Inc. 0.7%
Biogen Idec, Inc. 0.6%
Metlife, Inc. 0.6%
- --------------------------------------------------------------------------------
Top Ten Total 10.0%
- --------------------------------------------------------------------------------
"Ten Largest Long Holdings" exclude any temporary cash or derivative
instruments.
HEDGED EQUITY FUND
OBJECTIVE: To provide capital appreciation consistent with the return and risk
characteristics of the long/short hedge fund universe. The secondary objective
is to achieve these returns with low correlation to and less volatility than
equity indices.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
HEDGED EQUITY FUND HEDGED EQUITY FUND
LONG HOLDINGS SHORT HOLDINGS
Other 11.0% -4.5%
Industrials 8.9% -6.5%
Financials 16.5% -14.7%
Consumer Staples 8.6% -7.4%
Consumer Discretionary 6.9% -6.6%
Health Care 8.8% -8.9%
Energy 6.3% -7.0%
Information Technology 10.1% -14.6%
Futures Contracts 27.9% 0.0%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------------------------------
A-Class September 19, 2005
C-Class September 19, 2005
H-Class September 19, 2005
TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
J.P. Morgan Chase & Co. 1.5%
Archer-Daniels-Midland, Co. 1.5%
Reynolds American, Inc. 1.3%
Biogen Idec, Inc. 1.3%
Pfizer, Inc. 1.2%
Goldman Sachs Group, Inc. 1.2%
Merrill Lynch & Co., Inc. 1.1%
AT&T, Inc. 1.0%
Express Scripts, Inc. 1.0%
ConocoPhillips 1.0%
- --------------------------------------------------------------------------------
Top Ten Total 12.1%
- --------------------------------------------------------------------------------
"Ten Largest Long Holdings" exclude any temporary cash or derivative
instruments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5
FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
MULTI-CAP CORE
EQUITY FUND
Other 10.2%
Financials 21.7%
Information Technology 16.1%
Consumer Discretionary 13.4%
Health Care 12.1%
Industrials 11.8%
Energy 7.1%
Consumer Staples 6.3%
Futures Contracts 0.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------------------------------
A-Class March 31, 2004
C-Class September 23, 2002
H-Class September 23, 2002
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 1.3%
General Electric Co. 1.1%
Citigroup, Inc. 1.0%
Bank of America Corp. 0.9%
Pfizer, Inc. 0.9%
Procter & Gamble Co. 0.7%
Microsoft Corp. 0.7%
J.P. Morgan Chase & Co. 0.7%
Altria Group, Inc. 0.7%
International Business Machines Corp. 0.6%
- --------------------------------------------------------------------------------
Top Ten Total 8.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
SECTOR ROTATION FUND
OBJECTIVE: Seeks long-term capital appreciation.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR ROTATION
FUND
Financials 34.5%
Industrials 17.3%
Consumer Staples 16.1%
Utilities 8.8%
Materials 8.0%
Information Technology 7.6%
Telecommunication Services 7.2%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- --------------------------------------------------------------------------------
A-Class March 31, 2004
C-Class March 22, 2002
H-Class March 22, 2002
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Altria Group, Inc. 4.4%
Procter & Gamble Co. 3.2%
Brookfield Asset Management, Inc. -- Class A 2.4%
Brookfield Properties Corp. 1.8%
Microsoft Corp. 1.7%
ABB Ltd. -- SP ADR 1.6%
Reynolds American, Inc. 1.6%
Bank of America Corp. 1.5%
Citigroup, Inc. 1.5%
Emerson Electric Co. 1.5%
- --------------------------------------------------------------------------------
Top Ten Total 21.2%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 64.1%
FINANCIALS 15.6%
INSURANCE 4.0%
MetLife, Inc. 18,740 $ 1,062,183
Hartford Financial Services Group, Inc. 9,500 824,125
UnumProvident Corp. 38,019 737,188
AmerUs Group Co. 10,320 701,863
Genworth Financial, Inc. -- Class A 18,680 653,987
First American Corp. 15,259 646,066
MBIA, Inc. 7,670 471,245
Principal Financial Group, Inc. 6,940 376,703
Old Republic International Corp. 16,280 360,602
Chubb Corp. 6,830 354,887
Aon Corp. 9,529 322,747
Ohio Casualty Corp. 12,310 318,460
American Financial Group, Inc. 4,200 197,106
Horace Mann Educators Corp. 8,040 154,609
Hanover Insurance Group, Inc. 3,250 145,048
--------------
TOTAL INSURANCE 7,326,819
--------------
REAL ESTATE 3.8%
Longview Fibre Co. 26,340 535,229
Public Storage, Inc. 5,444 468,130
Saxon Capital, Inc. 32,910 462,056
Heritage Property Investment Trust 12,630 460,490
Trizec Properties, Inc. 15,920 460,247
Pan Pacific Retail Properties, Inc. 6,610 458,866
Newkirk Realty Trust Co., Inc. 27,610 455,013
Glenborough Realty Trust, Inc. 17,670 454,649
Reckson Associates Realty Corp. 10,590 453,252
Sizeler Property Investors 29,860 448,796
MortgageIT Holdings, Inc. 31,760 447,181
CentraCore Properties Trust 13,130 416,878
Liberty Property Trust 5,260 251,375
Brookfield Asset Management, Inc. -- Class A 4,230 187,558
Brookfield Properties Corp. 3,860 136,335
Forest City Enterprises, Inc. -- Class A 2,070 112,401
CB Richard Ellis Group, Inc. -- Class A* 4,020 98,892
The St. Joe Co. 1,710 93,828
Jones Lang LaSalle, Inc. 820 70,094
Equity Office Properties Trust 1,270 50,495
Equity Residential 990 50,074
Trammell Crow Co.* 1,360 49,654
ProLogis 870 49,642
General Growth Properties, Inc. 960 45,744
Host Hotels & Resorts, Inc. 1,980 45,401
Archstone-Smith Trust 830 45,185
AvalonBay Communities, Inc. 330 39,732
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Developers Diversified Realty Corp. 590 $ 32,898
Plum Creek Timber Co., Inc. (REIT) 930 31,657
Macerich Co. 410 31,308
--------------
TOTAL REAL ESTATE 6,943,060
--------------
BANKS 2.3%
North Fork Bancorporation, Inc. 16,420 470,269
AmSouth Bancorp 15,890 461,445
Interchange Financial Services Corp. 20,330 459,865
Texas Regional Bancshares, Inc. -- Class A 11,950 459,477
Flag Financial Corp., Inc. 18,330 458,983
Republic Bancorp, Inc. 34,390 458,419
State National Bancshares, Inc. 11,030 419,030
MB Financial Corp. 10,640 392,297
Commerce Bancorp, Inc. 7,380 270,920
FirstMerit Corp. 7,160 165,897
SVB Financial Group* 3,250 145,080
--------------
TOTAL BANKS 4,161,682
--------------
CAPITAL MARKETS 1.9%
Goldman Sachs Group, Inc. 5,700 964,269
Merrill Lynch & Co., Inc. 11,399 891,630
Franklin Resources, Inc. 6,830 722,272
E*Trade Financial Corp.* 13,379 320,026
Lehman Brothers Holdings, Inc. 3,990 294,701
Morgan Stanley 770 56,141
Deutsche Bank AG 410 49,487
UBS AG Co., Inc. 610 36,179
Nomura Holdings, Inc. -- SP ADR 1,930 33,929
Credit Suisse Group -- SP ADR 570 33,032
Bank of New York Co., Inc. 910 32,087
State Street Corp. 440 27,456
Bear Stearns Cos., Inc. 190 26,619
Mellon Financial Corp. 630 24,633
Northern Trust Corp. 370 21,619
--------------
TOTAL CAPITAL MARKETS 3,534,080
--------------
THRIFTS & MORTGAGE FINANCE 1.7%
Sovereign Bancorp, Inc. 36,909 793,913
Golden West Financial Corp. 6,010 464,272
Commercial Capital Bancorp, Inc. 28,900 460,666
Harbor Florida Bancshares, Inc. 10,340 458,165
Radian Group, Inc. 5,650 339,000
PMI Group, Inc. 7,460 326,823
IndyMac Bancorp, Inc. 4,650 191,394
First Niagara Financial Group, Inc. 9,829 143,307
--------------
TOTAL THRIFTS & MORTGAGE FINANCE 3,177,540
--------------
DIVERSIFIED FINANCIALS 1.6%
J.P. Morgan Chase & Co. 32,508 1,526,576
CIT Group, Inc. 19,819 963,798
Leucadia National Corp. 20,349 532,533
--------------
TOTAL DIVERSIFIED FINANCIALS 3,022,907
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER FINANCE 0.3%
ACE Cash Express, Inc.* 15,440 $ 461,501
--------------
TOTAL CONSUMER FINANCE 461,501
--------------
TOTAL FINANCIALS 28,627,589
--------------
INFORMATION TECHNOLOGY 9.2%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.0%
ADE Corp.* 14,290 457,566
Freescale Semiconductor, Inc. -- Class A* 12,010 456,980
Nvidia Corp.* 15,239 450,922
ATI Technologies, Inc.* 20,930 448,948
Advanced Micro Devices, Inc.* 17,569 436,590
Lam Research Corp.* 6,390 289,659
Atmel Corp.* 41,767 252,273
Intersil Corp. -- Class A 8,759 215,033
LSI Logic Corp.* 24,068 197,839
International Rectifier Corp.* 5,340 186,046
MEMC Electronic Materials, Inc.* 4,759 174,322
--------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 3,566,178
--------------
SOFTWARE 1.9%
Embarcadero Technologies, Inc.* 56,850 467,307
Intergraph Corp.* 10,740 460,531
MRO Software, Inc.* 17,940 460,520
Filenet Corp.* 13,220 460,453
Reynolds & Reynolds Co. -- Class A 11,650 460,291
Internet Security Systems, Inc.* 16,530 458,873
Novell, Inc.* 50,368 308,252
Parametric Technology Corp.* 11,289 197,106
Compuware Corp.* 24,420 190,232
Advent Software, Inc.* 1,740 63,005
Wind River Systems, Inc.* 1,740 18,635
--------------
TOTAL SOFTWARE 3,545,205
--------------
COMMUNICATIONS EQUIPMENT 1.4%
Corning, Inc.* 27,608 673,911
Lucent Technologies, Inc.* 200,200 468,468
Inter-Tel, Inc. 20,790 449,064
Tellabs, Inc.* 26,878 294,583
JDS Uniphase Corp.* 117,293 256,872
Ciena Corp.* 8,228 224,213
CommScope, Inc.* 6,030 198,146
Dycom Industries, Inc.* 2,250 48,375
ADC Telecommunications, Inc.* 1,890 28,350
--------------
TOTAL COMMUNICATIONS EQUIPMENT 2,641,982
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.4%
Lipman Electronic Engineering Ltd.* 16,460 464,501
Excel Technology, Inc.* 15,530 459,533
Metrologic Instruments, Inc.* 25,179 457,251
Symbol Technologies, Inc. 28,490 423,361
Avnet, Inc.* 20,679 405,722
Arrow Electronics, Inc.* 7,470 204,902
Sanmina-SCI Corp.* 43,457 162,529
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,577,799
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 1.1%
Apple Computer, Inc.* 11,379 $ 876,524
McData Corp. -- Class A* 93,020 467,891
msystems Ltd.* 10,380 417,691
Imation Corp. 3,130 125,670
SanDisk Corp.* 2,010 107,615
--------------
TOTAL COMPUTERS & PERIPHERALS 1,995,391
--------------
IT CONSULTING & SERVICES 0.8%
Computer Sciences Corp.* 6,110 300,123
Affiliated Computer Services, Inc. --
Class A* 5,230 271,228
Sabre Holdings Corp. 8,630 201,856
CheckFree Corp.* 4,750 196,270
MoneyGram International, Inc. 6,600 191,796
MPS Group, Inc.* 12,329 186,291
BISYS Group, Inc.* 10,400 112,944
--------------
TOTAL IT CONSULTING & SERVICES 1,460,508
--------------
INTERNET SOFTWARE & SERVICES 0.4%
Yahoo!, Inc.* 26,078 659,252
--------------
TOTAL INTERNET SOFTWARE & SERVICES 659,252
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp.* 27,860 433,502
--------------
TOTAL OFFICE ELECTRONICS 433,502
--------------
TOTAL INFORMATION TECHNOLOGY 16,879,817
--------------
CONSUMER DISCRETIONARY 6.9%
HOTELS, RESTAURANTS & LEISURE 1.7%
Carnival Corp. 14,760 694,163
Aztar Corp.* 8,700 461,187
Intrawest Corp., Inc. 13,330 460,418
Riviera Holdings Corp.* 22,460 458,858
Lone Star Steakhouse & Saloon, Inc. 16,520 458,760
Ryan's Restaurant Group, Inc.* 28,720 455,786
CBRL Group, Inc. 3,950 159,699
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 3,148,871
--------------
SPECIALTY RETAIL 1.4%
Michaels Stores, Inc. 10,660 464,136
Rent-Way, Inc.* 43,940 460,931
PETCO Animal Supplies, Inc.* 16,050 459,672
GameStop Corp. -- Class A* 6,600 305,448
AnnTaylor Stores Corp.* 6,310 264,137
AutoNation, Inc.* 12,030 251,427
Circuit City Stores, Inc. 6,310 158,444
Borders Group, Inc. 6,200 126,480
Payless Shoesource, Inc.* 3,820 95,118
--------------
TOTAL SPECIALTY RETAIL 2,585,793
--------------
MULTILINE RETAIL 1.1%
Federated Department Stores, Inc. 23,729 1,025,330
Target Corp. 10,509 580,622
J.C. Penney Holding Co., Inc. 4,770 326,221
Nordstrom, Inc. 1,250 52,875
--------------
TOTAL MULTILINE RETAIL 1,985,048
--------------
8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDIA 1.0%
Univision Communications, Inc. -- Class A* 19,800 $ 679,932
Advo, Inc. 15,990 447,400
Gannett Co., Inc. 7,020 398,947
Belo Corp. -- Class A 8,500 134,385
Scholastic Corp.* 3,910 121,796
Media General, Inc. 1,110 41,869
Westwood One, Inc. 4,570 32,356
--------------
TOTAL MEDIA 1,856,685
--------------
HOUSEHOLD DURABLES 0.9%
Lennar Corp. -- Class A 10,920 494,130
Whirlpool Corp. 5,610 471,857
D.R. Horton, Inc. 10,139 242,829
KB HOME 3,610 158,118
American Greetings Corp. -- Class A 4,920 113,751
Furniture Brands International, Inc. 5,360 102,054
Pulte Homes, Inc. 1,310 41,737
Toll Brothers, Inc.* 1,140 32,011
Ryland Group, Inc. 500 21,605
Hovnanian Enterprises, Inc. -- Class A* 700 20,538
--------------
TOTAL HOUSEHOLD DURABLES 1,698,630
--------------
HEALTH CARE PROVIDERS & SERVICES 0.3%
Alderwoods Group, Inc.* 23,200 460,056
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 460,056
--------------
LEISURE EQUIPMENT & PRODUCTS 0.2%
Brunswick Corp. 6,420 200,240
Callaway Golf Co. 5,790 75,907
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 276,147
--------------
AUTO COMPONENTS 0.1%
Goodyear Tire & Rubber Co.* 10,479 151,945
Modine Manufacturing Co. 3,930 95,617
--------------
TOTAL AUTO COMPONENTS 247,562
--------------
TEXTILES & APPAREL 0.1%
Polo Ralph Lauren Corp. 3,340 216,064
--------------
TOTAL TEXTILES & APPAREL 216,064
--------------
AUTOMOBILES 0.1%
Thor Industries, Inc. 1,870 76,988
--------------
TOTAL AUTOMOBILES 76,988
--------------
TOTAL CONSUMER DISCRETIONARY 12,551,844
--------------
HEALTH CARE 6.2%
HEALTH CARE PROVIDERS & SERVICES 2.4%
McKesson Corp. 18,729 987,393
Express Scripts, Inc.* 11,789 889,952
HCA, Inc. 17,770 886,545
WellPoint, Inc.* 8,630 664,941
Health Net, Inc.* 7,220 314,214
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Community Health Systems, Inc.* 7,540 $ 281,619
Triad Hospitals, Inc.* 4,490 197,695
LifePoint Hospitals, Inc.* 3,780 133,510
Aetna, Inc. 10 396
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 4,356,265
--------------
PHARMACEUTICALS 1.8%
Pfizer, Inc. 53,630 1,520,947
King Pharmaceuticals, Inc.* 32,408 551,908
Andrx Corp.* 18,780 458,795
Barr Pharmaceuticals, Inc.* 7,150 371,371
Valeant Pharmaceuticals International 11,469 226,857
Watson Pharmaceuticals, Inc.* 7,010 183,452
--------------
TOTAL PHARMACEUTICALS 3,313,330
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.1%
TriPath Imaging, Inc.* 50,880 459,446
Intermagnetics General Corp.* 16,870 456,334
Fisher Scientific International, Inc.* 5,800 453,792
Encore Medical Corp.* 71,950 453,285
Intuitive Surgical, Inc.* 2,080 219,336
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,042,193
--------------
BIOTECHNOLOGY 0.9%
Biogen Idec, Inc.* 25,978 1,160,697
Applera Corp. - Applied Biosystems Group 8,979 297,295
Cephalon, Inc.* 3,590 221,682
--------------
TOTAL BIOTECHNOLOGY 1,679,674
--------------
TOTAL HEALTH CARE 11,391,462
--------------
INDUSTRIALS 6.0%
COMMERCIAL SERVICES & SUPPLIES 1.4%
Banta Corp. 9,690 461,244
ARAMARK Corp. -- Class B 14,010 460,369
West Corp.* 9,530 460,299
NCO Group, Inc.* 17,510 459,112
Robert Half International, Inc. 8,819 299,581
Manpower, Inc. 3,510 215,058
Korn/Ferry International, Inc.* 5,380 112,657
Monster Worldwide, Inc.* 2,230 80,704
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 2,549,024
--------------
ROAD & RAIL 0.9%
Norfolk Southern Corp. 19,629 864,657
Burlington Northern Santa Fe Corp. 6,700 492,048
Werner Enterprises, Inc. 7,480 139,951
YRC Worldwide, Inc.* 1,370 50,745
--------------
TOTAL ROAD & RAIL 1,547,401
--------------
AEROSPACE & DEFENSE 0.8%
Boeing Co. 10,689 842,827
Northrop Grumman Corp. 7,710 524,820
DRS Technologies, Inc. 3,300 144,111
--------------
TOTAL AEROSPACE & DEFENSE 1,511,758
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES 0.8%
Tyco International Ltd. 32,040 $ 896,800
Teleflex, Inc. 6,180 343,855
Sequa Corp. -- Class A* 1,370 128,588
--------------
TOTAL INDUSTRIAL CONGLOMERATES 1,369,243
--------------
MACHINERY 0.7%
Timken Co. 12,710 378,504
Lincoln Electric Holdings, Inc. 5,470 297,841
Cummins, Inc. 2,300 274,229
Crane Co. 4,650 194,370
Trinity Industries, Inc. 4,680 150,556
--------------
TOTAL MACHINERY 1,295,500
--------------
AIRLINES 0.6%
Southwest Airlines Co. 28,478 474,443
Alaska Air Group, Inc.* 4,450 169,278
Ryanair Holdings PLC -- SP ADR* 1,400 88,606
British Airways PLC -- SP ADR* 1,020 81,620
AMR Corp.* 2,800 64,792
US Airways Group, Inc.* 1,250 55,413
Gol Linhas Aereas Inteligentes SA -- SP ADR 1,360 46,716
UAL Corp.* 1,750 46,498
Continental Airlines, Inc. -- Class B* 1,630 46,145
SkyWest, Inc. 1,400 34,328
AirTran Holdings, Inc.* 2,500 24,800
--------------
TOTAL AIRLINES 1,132,639
--------------
ELECTRICAL EQUIPMENT 0.4%
Thomas & Betts Corp.* 3,960 188,932
ABB Ltd. -- SP ADR 9,360 123,365
Emerson Electric Co. 1,400 117,404
Rockwell Automation, Inc. 1,050 61,005
Cooper Industries Ltd. -- Class A 690 58,802
American Power Conversion Corp. 2,240 49,190
Hubbell, Inc. -- Class B 770 36,883
AMETEK, Inc. 830 36,147
Acuity Brands, Inc. 690 31,326
General Cable Corp.* 730 27,893
Regal-Beloit Corp. 550 23,925
Energy Conversion Devices, Inc.* 610 22,594
A.O. Smith Corp. 530 20,898
--------------
TOTAL ELECTRICAL EQUIPMENT 798,364
--------------
CONSTRUCTION & ENGINEERING 0.4%
Granite Construction, Inc. 5,040 268,884
Fluor Corp. 1,310 100,726
Foster Wheeler, Ltd.* 1,310 50,553
URS Corp.* 1,240 48,224
Shaw Group, Inc.* 2,020 47,753
Washington Group International, Inc. 780 45,911
Chicago Bridge & Iron Co. 1,840 44,270
EMCOR Group, Inc.* 560 30,710
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Insituform Technologies, Inc. -- Class A* 1,200 $ 29,136
--------------
TOTAL CONSTRUCTION & ENGINEERING 666,167
--------------
TRADING COMPANIES & DISTRIBUTORS 0.0%
United Rentals, Inc.* 3,230 75,097
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 75,097
--------------
TOTAL INDUSTRIALS 10,945,193
--------------
CONSUMER STAPLES 5.4%
FOOD PRODUCTS 2.6%
Archer-Daniels-Midland Co. 35,298 1,337,088
ConAgra Foods, Inc. 30,930 757,167
General Mills, Inc. 10,779 610,091
Tyson Foods, Inc. -- Class A 32,200 511,336
Gold Kist, Inc.* 22,490 468,692
Delta & Pine Land Co. 11,290 457,245
Premium Standard Farms, Inc. 23,180 441,579
Tootsie Roll Industries, Inc. 5,930 173,808
--------------
TOTAL FOOD PRODUCTS 4,757,006
--------------
TOBACCO 0.9%
Reynolds American, Inc. 19,699 1,220,747
Altria Group, Inc. 4,450 340,647
UST, Inc. 1,620 88,825
Loews Corp. - Carolina Group 1,030 57,052
Vector Group Ltd. 1,641 26,609
--------------
TOTAL TOBACCO 1,733,880
--------------
FOOD & DRUG RETAILING 0.8%
Kroger Co. 34,300 793,702
CVS Corp. 20,379 654,573
--------------
TOTAL FOOD & DRUG RETAILING 1,448,275
--------------
BEVERAGES 0.7%
Coca-Cola Enterprises, Inc. 29,290 610,111
Brown-Forman Corp. -- Class B 5,670 434,606
PepsiAmericas, Inc. 15,710 335,251
--------------
TOTAL BEVERAGES 1,379,968
--------------
HOUSEHOLD PRODUCTS 0.4%
Procter & Gamble Co. 3,990 247,300
Church & Dwight Co., Inc. 6,230 243,655
Kimberly-Clark Corp. 1,470 96,079
Clorox Co. 880 55,440
Central Garden and Pet Co.* 390 18,822
--------------
TOTAL HOUSEHOLD PRODUCTS 661,296
--------------
TOTAL CONSUMER STAPLES 9,980,425
--------------
ENERGY 5.4%
ENERGY EQUIPMENT & SERVICES 2.9%
Transocean, Inc.* 10,879 796,669
Grant Prideco, Inc.* 19,889 756,379
Baker Hughes, Inc. 11,079 755,588
Veritas DGC, Inc.* 7,130 469,296
Maverick Tube Corp.* 7,130 462,238
10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
NS Group, Inc.* 7,140 $ 460,887
Seitel, Inc.* 120,540 442,382
Warrior Energy Service Corp.* 16,530 425,647
Patterson-UTI Energy, Inc. 14,839 352,575
Rowan Cos., Inc. 9,699 306,779
Nabors Industries Ltd.* 3,480 103,530
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 5,331,970
--------------
OIL & GAS 2.5%
ConocoPhillips 20,430 1,216,198
Devon Energy Corp. 11,240 709,806
Apache Corp. 9,450 597,240
Peabody Energy Corp. 12,999 478,103
Giant Industries, Inc.* 5,690 462,028
Maritrans, Inc. 11,460 419,436
Consol Energy, Inc. 12,249 388,661
Overseas Shipholding Group, Inc. 3,170 195,811
Anadarko Petroleum Corp. 600 26,298
--------------
TOTAL OIL & GAS 4,493,581
--------------
TOTAL ENERGY 9,825,551
--------------
UTILITIES 3.6%
MULTI-UTILITIES 1.4%
Constellation Energy Group, Inc. 9,500 562,400
AES Corp.* 24,099 491,379
NorthWestern Corp. 13,140 459,637
KeySpan Corp. 6,390 262,884
MDU Resources Group, Inc. 9,379 209,527
Alliant Energy Corp. 3,550 126,841
Wisconsin Energy Corp. 2,320 100,085
Mirant Corp.* 3,380 92,308
DTE Energy Co. 1,980 82,190
NRG Energy, Inc.* 1,680 76,104
Energy East Corp. 2,440 57,877
Ormat Technologies, Inc. 970 31,738
TECO Energy, Inc. 620 9,703
--------------
TOTAL MULTI-UTILITIES 2,562,673
--------------
ELECTRIC UTILITIES 1.2%
Duquesne Light Holdings, Inc. 23,500 462,010
American Electric Power Co., Inc. 8,330 302,962
Progress Energy, Inc. 6,050 274,549
Pepco Holdings, Inc. 11,010 266,112
TXU Corp. 3,200 200,064
Edison International 4,770 198,623
Pinnacle West Capital Corp. 3,770 169,838
Westar Energy, Inc. 4,180 98,272
E.ON AG -- SP ADR 2,210 87,671
Korea Electric Power Corp. -- SP ADR 2,660 52,003
Southern Co. 1,470 50,656
Scottish Power, Inc. -- SP ADR 890 43,218
FirstEnergy Corp. 760 42,454
Entergy Corp. 510 39,897
Black Hills Corp. 920 30,921
--------------
TOTAL ELECTRIC UTILITIES 2,319,250
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
GAS UTILITIES 1.0%
Peoples Energy Corp. 12,100 $ 491,865
Cascade Natural Gas Corp. 17,790 464,141
Questar Corp. 2,480 202,790
National Fuel Gas Co. 4,250 154,487
Oneok, Inc. 1,580 59,708
Energen Corp. 1,210 50,663
Southern Union Co. 1,820 48,066
AGL Resources, Inc. 1,230 44,895
UGI Corp. 1,740 42,543
Atmos Energy Corp. 1,460 41,683
Nicor, Inc. 870 37,201
Piedmont Natural Gas Co. 1,460 36,953
WGL Holdings, Inc. 1,100 34,474
Southwest Gas Corp. 980 32,654
New Jersey Resources Corp. 660 32,538
--------------
TOTAL GAS UTILITIES 1,774,661
--------------
TOTAL UTILITIES 6,656,584
--------------
TELECOMMUNICATION SERVICES 3.1%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.3%
Verizon Communications, Inc. 32,180 1,194,844
AT&T, Inc. 24,779 806,804
Qwest Communications International, Inc.* 58,796 512,701
Talk America Holdings, Inc.* 52,540 499,130
BellSouth Corp. 11,150 476,663
Commonwealth Telephone Enterprises, Inc. 11,280 465,074
CenturyTel, Inc. 6,070 240,797
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,196,013
--------------
WIRELESS TELECOMMUNICATION SERVICES 0.8%
Sprint Nextel Corp. 41,530 712,239
Alltel Corp. 9,780 542,790
Telephone & Data Systems, Inc. 5,600 235,760
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,490,789
--------------
TOTAL TELECOMMUNICATION SERVICES 5,686,802
--------------
MATERIALS 2.7%
METALS & MINING 1.7%
Allegheny Technologies, Inc. 8,959 557,160
Glamis Gold Ltd.* 12,100 477,103
Aleris International, Inc.* 9,060 457,892
Cambior, Inc.* 125,115 441,656
United States Steel Corp. 4,370 252,062
Commercial Metals Co. 8,559 174,004
Steel Dynamics, Inc. 2,560 129,152
Reliance Steel & Aluminum Co. 3,870 124,382
BHP Billiton Ltd. -- SP ADR 2,360 89,397
Rio Tinto PLC -- SP ADR 360 68,267
Companhia Vale do Rio Doce -- SP ADR 2,550 54,978
POSCO -- SP ADR 650 42,204
Mittal Steel NV Co. -- Class A 1,180 40,993
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Alcoa, Inc. 1,370 $ 38,415
Nucor Corp. 740 36,623
Anglo American PLC -- ADR 1,680 35,448
Barrick Gold Corp. 1,110 34,099
Newmont Mining Corp. 740 31,635
Alcan, Inc. 730 29,105
Freeport-McMoRan Copper & Gold,
Inc. -- Class B 440 23,434
AngloGold Ashanti Ltd. -- SP ADR 590 22,267
Phelps Dodge Corp. 210 17,787
--------------
TOTAL METALS & MINING 3,178,063
--------------
CHEMICALS 0.9%
MacDermid, Inc. 14,140 461,247
Eastman Chemical Co. 8,080 436,481
Olin Corp. 13,899 213,489
Lubrizol Corp. 3,990 182,463
Airgas, Inc. 4,180 151,191
Lyondell Chemical Co. 5,320 134,968
--------------
TOTAL CHEMICALS 1,579,839
--------------
PAPER & FOREST PRODUCTS 0.1%
Louisiana-Pacific Corp. 7,020 131,766
Bowater, Inc. 3,390 69,732
--------------
TOTAL PAPER & FOREST PRODUCTS 201,498
--------------
TOTAL MATERIALS 4,959,400
--------------
TOTAL COMMON STOCKS
(Cost $115,467,054) 117,504,667
--------------
EXCHANGE TRADED FUNDS 2.2%
PowerShares DB Commodity
Index Tracking Fund Co., Inc.* 172,470 4,122,033
--------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $4,363,898) 4,122,033
--------------
FACE
AMOUNT
------------
FEDERAL AGENCY DISCOUNT NOTES 2.2%
Freddie Mac**
5.14% due 10/03/06 $ 4,000,000 3,999,429
--------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $3,999,429) 3,999,429
--------------
REPURCHASE AGREEMENTS 25.7%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 397,923 397,923
4.95% due 10/02/06 6,028,699 6,028,699
4.94% due 10/02/06+ 29,445,822 29,445,822
4.89% due 10/02/06 3,918,655 3,918,655
4.80% due 10/02/06 7,234,439 7,234,439
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $47,025,538) 47,025,538
--------------
TOTAL LONG SECURITIES 94.2%
(Cost $170,855,919) 172,651,667
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS SOLD SHORT (45.4)%
TELECOMMUNICATION SERVICES (0.1)%
DIVERSIFIED TELECOMMUNICATION SERVICES (0.1)%
Citizens Communications Co. 8,720 $ (122,429)
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES (122,429)
--------------
TOTAL TELECOMMUNICATION SERVICES (122,429)
--------------
UTILITIES (1.6)%
WATER UTILITIES (0.1)%
Aqua America, Inc. 9,780 (214,573)
--------------
TOTAL WATER UTILITIES (214,573)
--------------
GAS UTILITIES (0.2)%
Equitable Resources, Inc. 10,100 (353,298)
--------------
TOTAL GAS UTILITIES (353,298)
--------------
MULTI-UTILITIES (0.4)%
Dynegy, Inc. -- Class A* 10,960 (60,719)
CenterPoint Energy, Inc. 12,370 (177,138)
WPS Resources Corp. 9,340 (463,544)
--------------
TOTAL MULTI-UTILITIES (701,401)
--------------
ELECTRIC UTILITIES (0.9)%
Allegheny Energy, Inc.* 720 (28,922)
PPL Corp. 3,010 (99,029)
Northeast Utilities 5,990 (139,387)
FPL Group, Inc. 10,310 (463,950)
Exelon Corp. 15,340 (928,684)
--------------
TOTAL ELECTRIC UTILITIES (1,659,972)
--------------
TOTAL UTILITIES (2,929,244)
--------------
MATERIALS (1.9)%
CONSTRUCTION MATERIALS (0.1)%
Florida Rock Industries, Inc. 5,500 (212,905)
--------------
TOTAL CONSTRUCTION MATERIALS (212,905)
--------------
CONTAINERS & PACKAGING (0.1)%
Pactiv Corp.* 10,680 (303,525)
--------------
TOTAL CONTAINERS & PACKAGING (303,525)
--------------
PAPER & FOREST PRODUCTS (0.4)%
MeadWestvaco Corp. 9,340 (247,604)
Weyerhaeuser Co. 7,580 (466,397)
--------------
TOTAL PAPER & FOREST PRODUCTS (714,001)
--------------
METALS & MINING (0.5)%
Iamgold Corp. 52,890 (449,036)
Goldcorp, Inc. 20,680 (488,048)
--------------
TOTAL METALS & MINING (937,084)
--------------
CHEMICALS (0.8)%
Valspar Corp. 3,030 (80,598)
Scotts Miracle-Gro Co. -- Class A 1,980 (88,090)
Sensient Technologies Corp. 5,170 (101,177)
Hercules, Inc.* 12,100 (190,817)
Chemtura Corp. 26,660 (231,142)
12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Dow Chemical Co. 7,660 $ (298,587)
Ecolab, Inc. 10,230 (438,049)
--------------
TOTAL CHEMICALS (1,428,460)
--------------
TOTAL MATERIALS (3,595,975)
--------------
INDUSTRIALS (3.8)%
ELECTRICAL EQUIPMENT (0.1)%
Roper Industries, Inc. 2,530 (113,192)
--------------
TOTAL ELECTRICAL EQUIPMENT (113,192)
--------------
BUILDING PRODUCTS (0.1)%
Masco Corp. 4,440 (121,745)
--------------
TOTAL BUILDING PRODUCTS (121,745)
--------------
AIRLINES (0.1)%
JetBlue Airways Corp.* 23,920 (221,739)
--------------
TOTAL AIRLINES (221,739)
--------------
CONSTRUCTION & ENGINEERING (0.2)%
Quanta Services, Inc.* 2,120 (35,743)
Jacobs Engineering Group, Inc.* 3,900 (291,447)
--------------
TOTAL CONSTRUCTION & ENGINEERING (327,190)
--------------
AEROSPACE & DEFENSE (0.2)%
General Dynamics Corp. 5,500 (394,185)
--------------
TOTAL AEROSPACE & DEFENSE (394,185)
--------------
AIR FREIGHT & COURIERS (0.2)%
CH Robinson Worldwide, Inc. 3,540 (157,813)
Expeditors International
Washington, Inc. 5,560 (247,865)
--------------
TOTAL AIR FREIGHT & COURIERS (405,678)
--------------
TRADING COMPANIES & DISTRIBUTORS (0.6)%
GATX Corp. 5,550 (229,603)
MSC Industrial Direct Co. --
Class A 7,470 (304,328)
Fastenal Co. 17,200 (663,404)
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS (1,197,335)
--------------
MACHINERY (1.1)%
Tecumseh Products Co. -- Class A* 2,580 (39,242)
Pentair, Inc. 4,440 (116,284)
Flowserve Corp.* 2,560 (129,510)
Joy Global, Inc. 3,500 (131,635)
Oshkosh Truck Corp. 3,120 (157,466)
ITT Industries, Inc. 4,570 (234,304)
SPX Corp. 5,130 (274,147)
Ingersoll-Rand Co. -- Class A 7,510 (285,230)
Graco, Inc. 7,610 (297,247)
Illinois Tool Works, Inc. 8,640 (387,936)
--------------
TOTAL MACHINERY (2,053,001)
--------------
COMMERCIAL SERVICES & SUPPLIES (1.2)%
Avis Budget Group, Inc. 2,770 (50,663)
Deluxe Corp. 14,670 (250,857)
Corporate Executive Board Co. 3,310 (297,602)
Stericycle, Inc.* 4,340 (302,889)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Avery Dennison Corp. 5,950 $ (358,011)
Cintas Corp. 10,250 (418,508)
Pitney Bowes, Inc. 10,460 (464,110)
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (2,142,640)
--------------
TOTAL INDUSTRIALS (6,976,705)
--------------
CONSUMER DISCRETIONARY (3.9)%
MULTILINE RETAIL (0.1)%
Saks, Inc. 8,010 (138,413)
--------------
TOTAL MULTILINE RETAIL (138,413)
--------------
LEISURE EQUIPMENT & PRODUCTS (0.1)%
Mattel, Inc. 11,960 (235,612)
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS (235,612)
--------------
HOUSEHOLD DURABLES (0.2)%
M.D.C. Holdings, Inc. 2,170 (100,796)
Centex Corp. 3,430 (180,487)
--------------
TOTAL HOUSEHOLD DURABLES (281,283)
--------------
INTERNET & CATALOG RETAIL (0.2)%
Amazon.com, Inc.* 11,310 (363,277)
--------------
TOTAL INTERNET & CATALOG RETAIL (363,277)
--------------
AUTO COMPONENTS (0.2)%
Johnson Controls, Inc. 850 (60,979)
ArvinMeritor, Inc. 5,810 (82,734)
Bandag, Inc. 2,090 (85,774)
Lear Corp. 8,370 (173,259)
--------------
TOTAL AUTO COMPONENTS (402,746)
--------------
TEXTILES & APPAREL (0.2)%
Coach, Inc.* 12,060 (414,864)
--------------
TOTAL TEXTILES & APPAREL (414,864)
--------------
COMMERCIAL SERVICES & SUPPLIES (0.3)%
DeVry, Inc.* 990 (21,057)
Sotheby's Holdings, Inc. -- Class A 1,220 (39,333)
ITT Educational Services, Inc.* 2,490 (165,087)
H&R Block, Inc. 7,630 (165,876)
Apollo Group, Inc. -- Class A* 3,930 (193,513)
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (584,866)
--------------
AUTOMOBILES (0.3)%
Ford Motor Co. 24,950 (201,845)
General Motors Corp. 11,810 (392,801)
--------------
TOTAL AUTOMOBILES (594,646)
--------------
SPECIALTY RETAIL (0.5)%
OfficeMax, Inc. 660 (26,888)
CarMax, Inc.* 1,100 (45,881)
Office Depot, Inc.* 2,470 (98,059)
Advance Auto Parts, Inc. 3,710 (122,207)
Pier 1 Imports, Inc. 17,690 (131,260)
Chico's FAS, Inc.* 8,990 (193,555)
Urban Outfitters, Inc.* 17,610 (311,521)
--------------
TOTAL SPECIALTY RETAIL (929,371)
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDIA (0.8)%
Reader's Digest Association, Inc. 7,130 $ (92,405)
Dow Jones & Co., Inc. 4,510 (151,266)
Interpublic Group of Cos., Inc.* 41,920 (415,008)
Time Warner, Inc. 45,310 (826,001)
--------------
TOTAL MEDIA (1,484,680)
--------------
HOTELS, RESTAURANTS & LEISURE (1.0)%
Scientific Games Corp. -- Class A* 1,390 (44,202)
International Game Technology, Inc. 2,540 (105,410)
Harrah's Entertainment, Inc. 4,760 (316,207)
Marriott International, Inc. -- Class A 10,470 (404,561)
Starbucks Corp.* 24,760 (843,078)
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE (1,713,458)
--------------
TOTAL CONSUMER DISCRETIONARY (7,143,216)
--------------
ENERGY (4.2)%
OIL & GAS (1.7)%
Forest Oil Corp.* 5,790 (182,906)
Quicksilver Resources, Inc.* 6,670 (212,773)
Noble Energy, Inc. 7,560 (344,661)
Sunoco, Inc. 5,810 (361,324)
Kinder Morgan, Inc. 3,540 (371,169)
Arch Coal, Inc. 15,540 (449,261)
El Paso Corp. 90,459 (1,233,861)
--------------
TOTAL OIL & GAS (3,155,955)
--------------
ENERGY EQUIPMENT & SERVICES (2.5)%
Superior Energy Services, Inc.* 7,660 (201,151)
Compagnie Generale de
Geophysique SA, Inc. -- SP ADR* 8,120 (249,771)
FMC Technologies, Inc.* 8,830 (474,171)
Weatherford International Ltd.* 21,630 (902,404)
Smith International, Inc. 24,200 (938,960)
Schlumberger Ltd. 28,790 (1,785,844)
--------------
TOTAL ENERGY EQUIPMENT & SERVICES (4,552,301)
--------------
TOTAL ENERGY (7,708,256)
--------------
CONSUMER STAPLES (4.2)%
TOBACCO (0.2)%
Universal Corp. 10,210 (372,971)
--------------
TOTAL TOBACCO (372,971)
--------------
PERSONAL PRODUCTS (0.4)%
Alberto-Culver Co. -- Class B 4,050 (204,889)
Avon Products, Inc. 15,160 (464,806)
--------------
TOTAL PERSONAL PRODUCTS (669,695)
--------------
BEVERAGES (0.5)%
Constellation Brands, Inc. --
Class A* 12,270 (353,131)
Molson Coors Brewing Co. --
Class B 9,160 (631,124)
--------------
TOTAL BEVERAGES (984,255)
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FOOD & DRUG RETAILING (0.6)%
Whole Foods Market, Inc. 18,830 $ (1,119,067)
--------------
TOTAL FOOD & DRUG RETAILING (1,119,067)
--------------
HOUSEHOLD PRODUCTS (0.8)%
Energizer Holdings, Inc.* 4,010 (288,680)
Colgate-Palmolive Co. 18,840 (1,169,964)
--------------
TOTAL HOUSEHOLD PRODUCTS (1,458,644)
--------------
FOOD PRODUCTS (1.7)%
Smithfield Foods, Inc.* 3,240 (87,545)
WM Wrigley Jr Co. 10,550 (485,933)
Sara Lee Corp. 56,109 (901,672)
Hershey Co. 31,950 (1,707,727)
--------------
TOTAL FOOD PRODUCTS (3,182,877)
--------------
TOTAL CONSUMER STAPLES (7,787,509)
--------------
HEALTH CARE (5.0)%
HEALTH CARE PROVIDERS & SERVICES (0.8)%
Tenet Healthcare Corp.* 29,170 (237,444)
Coventry Health Care, Inc.* 5,220 (268,935)
AmerisourceBergen Corp. 6,920 (312,784)
CIGNA Corp. 6,520 (758,406)
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES (1,577,569)
--------------
BIOTECHNOLOGY (1.2)%
Vertex Pharmaceuticals, Inc.* 1,610 (54,176)
Affymetrix, Inc.* 6,190 (133,456)
Martek Biosciences Corp.* 10,750 (231,233)
PDL BioPharma, Inc.* 12,860 (246,912)
Medimmune, Inc.* 19,810 (578,650)
Gilead Sciences, Inc.* 12,870 (884,169)
--------------
TOTAL BIOTECHNOLOGY (2,128,596)
--------------
HEALTH CARE EQUIPMENT & SUPPLIES (1.4)%
Thermo Electron Corp.* 3,360 (132,149)
Gen-Probe, Inc.* 4,600 (215,694)
Advanced Medical Optics, Inc.* 7,610 (300,976)
St. Jude Medical, Inc.* 10,170 (358,899)
Varian Medical Systems, Inc.* 8,880 (474,103)
Boston Scientific Corp.* 68,519 (1,013,396)
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (2,495,217)
--------------
PHARMACEUTICALS (1.6)%
Perrigo Co. 15,720 (266,768)
Sepracor, Inc.* 7,470 (361,847)
Allergan, Inc. 5,630 (633,994)
Forest Laboratories, Inc.* 15,990 (809,254)
Schering-Plough Corp. 40,100 (885,809)
--------------
TOTAL PHARMACEUTICALS (2,957,672)
--------------
TOTAL HEALTH CARE (9,159,054)
--------------
14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (8.9)%
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.0%
Plexus Corp.* 2,330 $ (44,736)
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS (44,736)
--------------
OFFICE ELECTRONICS (0.1)%
Zebra Technologies Corp. --
Class A* 4,370 (156,184)
--------------
TOTAL OFFICE ELECTRONICS (156,184)
--------------
INTERNET SOFTWARE & SERVICES (0.6)%
VeriSign, Inc.* 10,440 (210,888)
Google, Inc. -- Class A* 2,100 (843,990)
--------------
TOTAL INTERNET SOFTWARE & SERVICES (1,054,878)
--------------
COMMUNICATIONS EQUIPMENT (0.7)%
Plantronics, Inc. 4,590 (80,463)
Andrew Corp.* 13,340 (123,128)
Utstarcom, Inc.* 23,880 (211,815)
Juniper Networks, Inc.* 18,370 (317,434)
Alcatel SA -- SP ADR 39,330 (479,039)
--------------
TOTAL COMMUNICATIONS EQUIPMENT (1,211,879)
--------------
IT CONSULTING & SERVICES (1.4)%
VeriFone Holdings, Inc.* 8,280 (236,394)
Gartner, Inc. -- Class A* 16,550 (291,115)
Unisys Corp.* 54,750 (309,885)
Alliance Data Systems Corp.* 7,470 (412,269)
Cognizant Technology Solutions
Corp. -- Class A* 8,720 (645,803)
Paychex, Inc. 18,870 (695,360)
--------------
TOTAL IT CONSULTING & SERVICES (2,590,826)
--------------
COMPUTERS & PERIPHERALS (1.5)%
Palm, Inc.* 7,430 (108,181)
QLogic Corp.* 8,670 (163,863)
Brocade Communications Systems,
Inc.* 70,210 (495,682)
Lexmark International, Inc.* 9,110 (525,283)
Dell, Inc.* 31,220 (713,065)
Network Appliance, Inc.* 21,870 (809,409)
--------------
TOTAL COMPUTERS & PERIPHERALS (2,815,483)
--------------
SOFTWARE (2.2)%
Citrix Systems, Inc.* 4,690 (169,825)
Transaction Systems Architects, Inc.
-- Class A* 6,490 (222,737)
CA, Inc. 14,680 (347,769)
Activision, Inc.* 40,740 (615,174)
Electronic Arts, Inc.* 21,830 (1,215,494)
Symantec Corp.* 71,079 (1,512,561)
--------------
TOTAL SOFTWARE (4,083,560)
--------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (2.4)%
Lattice Semiconductor Corp.* 31,000 (211,420)
PMC - Sierra, Inc.* 44,520 (264,449)
Teradyne, Inc.* 25,410 (334,395)
Cypress Semiconductor Corp.* 18,970 (337,097)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Fairchild Semiconductor
International, Inc.* 18,570 $ (347,259)
Analog Devices, Inc. 21,180 (622,480)
Intel Corp. 50,980 (1,048,659)
Applied Materials, Inc. 64,099 (1,136,475)
--------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT (4,302,234)
--------------
TOTAL INFORMATION TECHNOLOGY (16,259,780)
--------------
FINANCIALS (11.8)%
DIVERSIFIED FINANCIALS (0.2)%
Moody's Corp. 4,860 (317,747)
--------------
TOTAL DIVERSIFIED FINANCIALS (317,747)
--------------
CONSUMER FINANCE (0.5)%
Capital One Financial Corp. 3,660 (287,895)
SLM Corp. 12,860 (668,463)
--------------
TOTAL CONSUMER FINANCE (956,358)
--------------
THRIFTS & MORTGAGE FINANCE (1.0)%
New York Community Bancorp, Inc. 17,750 (290,745)
Freddie Mac 24,140 (1,601,206)
--------------
TOTAL THRIFTS & MORTGAGE FINANCE (1,891,951)
--------------
BANKS (1.3)%
Mercantile Bankshares Corp. 4,890 (177,360)
Synovus Financial Corp. 8,650 (254,050)
Wachovia Corp. 6,350 (354,330)
Citizens Banking Corp. 15,170 (398,364)
Regions Financial Corp. 12,740 (468,705)
National City Corp. 17,770 (650,382)
--------------
TOTAL BANKS (2,303,191)
--------------
CAPITAL MARKETS (1.3)%
Jefferies Group, Inc. 6,240 (177,840)
SEI Investments Co. 3,970 (223,074)
T. Rowe Price Group, Inc. 5,460 (261,261)
Federated Investors, Inc. -- Class B 8,350 (282,314)
Waddell & Reed Financial, Inc. --
Class A 11,960 (296,010)
Janus Capital Group, Inc. 16,330 (322,028)
Eaton Vance Corp. 13,170 (380,086)
Charles Schwab Corp. 23,980 (429,242)
--------------
TOTAL CAPITAL MARKETS (2,371,855)
--------------
INSURANCE (2.9)%
Stancorp Financial Group, Inc. 2,750 (122,733)
Arthur J. Gallagher & Co. 8,760 (233,629)
Everest Re Group Ltd. 3,680 (358,910)
Loews Corp. 10,350 (392,265)
Allstate Corp. 8,510 (533,832)
Brown & Brown, Inc. 19,080 (583,085)
ACE Ltd. 10,970 (600,388)
Marsh & McLennan Cos., Inc. 26,540 (747,101)
XL Capital Ltd. 11,330 (778,371)
Progressive Corp. 40,040 (982,582)
--------------
TOTAL INSURANCE (5,332,896)
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE (4.6)%
Potlatch Corp. 2,860 $ (106,106)
SL Green Realty Corp. 1,110 (123,987)
Rayonier, Inc. 3,710 (140,238)
Highwoods Properties, Inc. 5,380 (200,190)
United Dominion Realty Trust, Inc. 12,850 (388,070)
MB Financial Corp. 10,640 (392,297)
Lexington Corporate Properties Trust 22,230 (470,831)
Vornado Realty Trust 4,590 (500,310)
Boston Properties, Inc. 5,690 (588,004)
Simon Property Group, Inc. 8,540 (773,895)
Public Storage, Inc. 12,324 (1,059,741)
KIMCO Realty Corp. 85,280 (3,655,954)
--------------
TOTAL REAL ESTATE (8,399,623)
--------------
TOTAL FINANCIALS (21,573,621)
--------------
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $80,969,710) (83,255,789)
--------------
TOTAL INVESTMENTS 48.8%
(Cost $89,886,209) $ 89,395,878
==============
OTHER ASSETS IN EXCESS OF
LIABILITIES - 51.2% $ 93,905,522
==============
NET ASSETS - 100.0% $ 183,301,400
================================================================================
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $33,215,325) 494 $ 464,176
December 2006 U.S. 10-Year
Treasury Note Futures Contracts
(Aggregate Market Value
of Contracts $15,777,125) 146 198,268
December 2006 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $10,948,500) 150 170,112
December 2006 S&P MidCap 400
Index Mini Futures Contracts
(Aggregate Market Value
of Contracts $10,951,200) 144 107,159
--------------
(TOTAL AGGREGATE MARKET VALUE
OF CONTRACTS $70,892,150) $ 939,715
==============
FUTURES CONTRACTS SOLD SHORT
December 2006 U.S. Dollar Index
Futures Contracts
(Aggregate Market Value
of Contracts $21,248,640) 248 $ (65,517)
==============
NOTIONAL
AMOUNT
------------
CREDIT DEFAULT SWAP AGREEMENT
Dow Jones CDX North American
Investment Grade Swap
Agreement, Series 6
Interest Rate 0.40%,
Maturing 06/20/11 65,000,000 $ 162,999
==============
* NON-INCOME PRODUCING SECURITY.
** THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A
CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY
THE U.S. GOVERNMENT.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT
SEPTEMBER 30, 2006.
ADR--AMERICAN DEPOSITORY RECEIPT.
REIT--REAL ESTATE INVESTMENT TRUST.
16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 77.2%
FINANCIALS 16.5%
INSURANCE 5.9%
MetLife, Inc.+ 5,460 $ 309,473
Hartford Financial Services Group, Inc. 2,770 240,298
UnumProvident Corp. 12,200 236,558
First American Corp. 4,900 207,466
Genworth Financial, Inc. -- Class A 5,440 190,454
Principal Financial Group, Inc. 3,110 168,811
Aon Corp. 4,270 144,625
MBIA, Inc. 2,240 137,626
Ohio Casualty Corp. 4,320 111,758
Old Republic International Corp. 4,740 104,991
American Financial Group, Inc. 1,880 88,228
AmerUs Group Co. 1,030 70,050
Hanover Insurance Group, Inc. 1,460 65,160
Horace Mann Educators Corp. 2,340 44,998
Chubb Corp.+ 860 44,686
--------------
TOTAL INSURANCE 2,165,182
--------------
CAPITAL MARKETS 3.9%
Goldman Sachs Group, Inc. 2,530 428,000
Merrill Lynch & Co., Inc. 5,060 395,793
Franklin Resources, Inc. 2,470 261,203
E*Trade Financial Corp.* 6,000 143,520
Lehman Brothers Holdings, Inc.+ 750 55,395
Morgan Stanley 280 20,415
Deutsche Bank AG 150 18,105
UBS AG Co., Inc. 220 13,048
Nomura Holdings, Inc. -- SP ADR 720 12,658
Credit Suisse Group -- SP ADR 210 12,170
Bank of New York Co., Inc. 340 11,988
State Street Corp. 160 9,984
Bear Stearns Cos., Inc. 70 9,807
Mellon Financial Corp. 240 9,384
Northern Trust Corp. 140 8,180
--------------
TOTAL CAPITAL MARKETS 1,409,650
--------------
DIVERSIFIED FINANCIALS 2.9%
J.P. Morgan Chase & Co. 11,730 550,840
CIT Group, Inc. 6,360 309,287
Leucadia National Corp. 8,140 213,024
--------------
TOTAL DIVERSIFIED FINANCIALS 1,073,151
--------------
THRIFTS & MORTGAGE FINANCE 1.6%
Sovereign Bancorp, Inc. 11,850 254,893
Radian Group, Inc. 1,650 99,000
PMI Group, Inc. 2,180 95,506
IndyMac Bancorp, Inc. 1,680 69,149
First Niagara Financial Group, Inc. 3,550 51,759
--------------
TOTAL THRIFTS & MORTGAGE FINANCE 570,307
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE 1.6%
Liberty Property Trust 1,900 $ 90,801
Brookfield Asset Management, Inc. -- Class A 1,560 69,170
Brookfield Properties Corp. 1,430 50,508
Forest City Enterprises, Inc. -- Class A 770 41,811
Longview Fibre Co. 2,020 41,046
CB Richard Ellis Group, Inc. -- Class A* 1,490 36,654
The St. Joe Co. 630 34,568
Jones Lang LaSalle, Inc. 300 25,644
Equity Office Properties Trust 470 18,687
ProLogis 320 18,259
Trammell Crow Co.* 500 18,255
Equity Residential 360 18,209
Archstone-Smith Trust 310 16,876
Host Hotels & Resorts, Inc. 730 16,739
General Growth Properties, Inc. 350 16,678
AvalonBay Communities, Inc. 120 14,448
Developers Diversified Realty Corp. 220 12,267
Plum Creek Timber Co., Inc. (REIT) 340 11,574
Macerich Co. 150 11,454
--------------
TOTAL REAL ESTATE 563,648
--------------
BANKS 0.6%
Commerce Bancorp, Inc. 3,310 121,510
FirstMerit Corp. 2,580 59,779
SVB Financial Group* 1,170 52,229
--------------
TOTAL BANKS 233,518
--------------
TOTAL FINANCIALS 6,015,456
--------------
INFORMATION TECHNOLOGY 10.1%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7%
Advanced Micro Devices, Inc.* 9,980 248,003
Nvidia Corp.* 5,500 162,745
MEMC Electronic Materials, Inc.* 4,070 149,084
Atmel Corp.* 18,740 113,190
Lam Research Corp.* 2,310 104,712
Intersil Corp. -- Class A 3,160 77,578
LSI Logic Corp.* 8,680 71,350
International Rectifier Corp.* 1,560 54,350
--------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 981,012
--------------
COMMUNICATIONS EQUIPMENT 1.9%
Corning, Inc.* 9,960 243,123
Tellabs, Inc.* 12,060 132,178
JDS Uniphase Corp.* 52,620 115,238
Ciena Corp.* 3,691 100,591
CommScope, Inc.* 2,700 88,722
Dycom Industries, Inc.* 830 17,845
--------------
TOTAL COMMUNICATIONS EQUIPMENT 697,697
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 1.6%
Apple Computer, Inc.*+ 4,100 $ 315,823
SanDisk Corp.* 4,460 238,788
Imation Corp. 910 36,537
--------------
TOTAL COMPUTERS & PERIPHERALS 591,148
--------------
IT CONSULTING & SERVICES 1.4%
Computer Sciences Corp.* 1,780 87,434
MoneyGram International, Inc. 2,960 86,018
MPS Group, Inc.* 5,530 83,558
Affiliated Computer Services, Inc. -- Class A* 1,520 78,827
CheckFree Corp.* 1,710 70,657
Sabre Holdings Corp. 2,520 58,943
BISYS Group, Inc.* 3,030 32,906
--------------
TOTAL IT CONSULTING & SERVICES 498,343
--------------
SOFTWARE 0.8%
Novell, Inc.* 16,390 100,307
Parametric Technology Corp.* 5,070 88,522
Compuware Corp.* 7,120 55,465
Advent Software, Inc.* 1,490 53,953
Citrix Systems, Inc.* 250 9,052
--------------
TOTAL SOFTWARE 307,299
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7%
Avnet, Inc.* 6,730 132,043
Arrow Electronics, Inc.* 2,180 59,797
Sanmina-SCI Corp.* 15,680 58,643
Plexus Corp.* 130 2,496
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 252,979
--------------
INTERNET SOFTWARE & SERVICES 0.7%
Yahoo!, Inc.* 9,410 237,885
--------------
TOTAL INTERNET SOFTWARE & SERVICES 237,885
--------------
OFFICE ELECTRONICS 0.3%
Xerox Corp.* 8,120 126,347
--------------
TOTAL OFFICE ELECTRONICS 126,347
--------------
TOTAL INFORMATION TECHNOLOGY 3,692,710
--------------
INDUSTRIALS 8.9%
ROAD & RAIL 1.6%
Norfolk Southern Corp.+ 7,090 312,315
Burlington Northern Santa Fe Corp. 3,010 221,054
Werner Enterprises, Inc. 2,180 40,788
--------------
TOTAL ROAD & RAIL 574,157
--------------
AEROSPACE & DEFENSE 1.4%
Boeing Co. 3,860 304,361
Northrop Grumman Corp.+ 2,250 153,158
DRS Technologies, Inc. 960 41,923
--------------
TOTAL AEROSPACE & DEFENSE 499,442
--------------
MACHINERY 1.2%
Timken Co. 4,150 123,587
Lincoln Electric Holdings, Inc. 2,190 119,246
Cummins, Inc. 670 79,884
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Crane Co. 1,680 $ 70,224
Trinity Industries, Inc. 2,100 67,557
--------------
TOTAL MACHINERY 460,498
--------------
INDUSTRIAL CONGLOMERATES 1.1%
Tyco International Ltd.+ 9,340 261,427
Teleflex, Inc. 2,010 111,836
Sequa Corp. -- Class A* 500 46,930
--------------
TOTAL INDUSTRIAL CONGLOMERATES 420,193
--------------
AIRLINES 1.1%
Southwest Airlines Co. 10,330 172,098
Alaska Air Group, Inc.* 1,370 52,115
Ryanair Holdings PLC -- SP ADR* 520 32,911
British Airways PLC -- SP ADR* 380 30,407
AMR Corp.* 1,040 24,066
US Airways Group, Inc.* 460 20,392
UAL Corp.* 650 17,270
Gol Linhas Aereas Inteligentes SA -- SP ADR 500 17,175
Continental Airlines, Inc. -- Class B* 600 16,986
SkyWest, Inc. 520 12,750
AirTran Holdings, Inc.* 930 9,226
--------------
TOTAL AIRLINES 405,396
--------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Robert Half International, Inc. 3,180 108,024
Manpower, Inc. 1,570 96,194
Monster Worldwide, Inc.* 2,000 72,380
Korn/Ferry International, Inc.* 1,940 40,624
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 317,222
--------------
ELECTRICAL EQUIPMENT 0.8%
Thomas & Betts Corp.* 1,720 82,061
ABB Ltd. -- SP ADR 3,470 45,735
Emerson Electric Co. 520 43,607
Rockwell Automation, Inc. 390 22,659
Cooper Industries Ltd. -- Class A 260 22,157
American Power Conversion Corp. 830 18,227
AMETEK, Inc. 310 13,500
Hubbell, Inc. -- Class B 280 13,412
Acuity Brands, Inc. 250 11,350
General Cable Corp.* 270 10,317
Regal-Beloit Corp. 200 8,700
Energy Conversion Devices, Inc.* 230 8,519
A.O. Smith Corp. 200 7,886
--------------
TOTAL ELECTRICAL EQUIPMENT 308,130
--------------
CONSTRUCTION & ENGINEERING 0.7%
Granite Construction, Inc. 1,830 97,631
Fluor Corp.+ 490 37,676
Foster Wheeler, Ltd.*+ 480 18,523
URS Corp.* 460 17,890
Shaw Group, Inc.* 750 17,730
Washington Group International, Inc. 290 17,069
18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Chicago Bridge & Iron NV Co.+ 680 $ 16,361
EMCOR Group, Inc.* 210 11,516
Insituform Technologies, Inc. -- Class A* 450 10,926
--------------
TOTAL CONSTRUCTION & ENGINEERING 245,322
--------------
TRADING COMPANIES & DISTRIBUTORS 0.1%
United Rentals, Inc.* 1,170 27,202
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 27,202
--------------
TOTAL INDUSTRIALS 3,257,562
--------------
HEALTH CARE 8.8%
HEALTH CARE PROVIDERS & SERVICES 3.6%
Express Scripts, Inc.* 4,720 356,313
McKesson Corp. 6,240 328,973
WellPoint, Inc.* 2,520 194,166
HCA, Inc. 2,490 124,226
Health Net, Inc.* 2,610 113,587
Community Health Systems, Inc.* 2,720 101,592
Triad Hospitals, Inc.* 1,310 57,679
LifePoint Hospitals, Inc.* 1,100 38,852
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,315,388
--------------
PHARMACEUTICALS 2.5%
Pfizer, Inc. 15,630 443,267
King Pharmaceuticals, Inc.* 12,970 220,879
Barr Pharmaceuticals, Inc.* 2,580 134,005
Valeant Pharmaceuticals International 4,140 81,889
Watson Pharmaceuticals, Inc.* 2,040 53,387
--------------
TOTAL PHARMACEUTICALS 933,427
--------------
BIOTECHNOLOGY 2.0%
Biogen Idec, Inc.* 10,390 464,225
Applera Corp. - Applied Biosystems Group 4,030 133,433
Cephalon, Inc.* 1,610 99,418
Vertex Pharmaceuticals, Inc.* 620 20,863
--------------
TOTAL BIOTECHNOLOGY 717,939
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.7%
Thermo Electron Corp.* 3,700 145,521
Intuitive Surgical, Inc.* 1,110 117,050
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 262,571
--------------
TOTAL HEALTH CARE 3,229,325
--------------
CONSUMER STAPLES 8.7%
FOOD PRODUCTS 3.5%
Archer-Daniels-Midland Co.+ 14,330 542,821
ConAgra Foods, Inc. 9,020 220,810
General Mills, Inc. 3,890 220,174
Tyson Foods, Inc. -- Class A 9,380 148,954
Smithfield Foods, Inc.* 3,630 98,083
Tootsie Roll Industries, Inc. 2,140 62,723
--------------
TOTAL FOOD PRODUCTS 1,293,565
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TOBACCO 1.9%
Reynolds American, Inc. 7,930 $ 491,422
Altria Group, Inc. 1,650 126,308
UST, Inc. 600 32,898
Loews Corp. - Carolina Group 380 21,048
Vector Group Ltd. 611 9,902
--------------
TOTAL TOBACCO 681,578
--------------
BEVERAGES 1.3%
Brown-Forman Corp. -- Class B 2,540 194,691
Coca-Cola Enterprises, Inc. 8,540 177,888
PepsiAmericas, Inc. 4,580 97,737
--------------
TOTAL BEVERAGES 470,316
--------------
FOOD & DRUG RETAILING 1.3%
CVS Corp. 7,350 236,082
Kroger Co. 10,000 231,400
--------------
TOTAL FOOD & DRUG RETAILING 467,482
--------------
HOUSEHOLD PRODUCTS 0.7%
Procter & Gamble Co. 1,480 91,730
Church & Dwight Co., Inc. 2,260 88,389
Kimberly-Clark Corp. 540 35,294
Clorox Co. 330 20,790
Central Garden and Pet Co.* 150 7,239
--------------
TOTAL HOUSEHOLD PRODUCTS 243,442
--------------
TOTAL CONSUMER STAPLES 3,156,383
--------------
CONSUMER DISCRETIONARY 6.9%
MULTILINE RETAIL 1.8%
Federated Department Stores, Inc.+ 7,610 328,828
Target Corp. 3,790 209,397
J.C. Penney Holding Co., Inc. 1,720 117,631
--------------
TOTAL MULTILINE RETAIL 655,856
--------------
HOUSEHOLD DURABLES 1.5%
Whirlpool Corp. 1,990 167,379
Lennar Corp. -- Class A 3,500 158,375
D.R. Horton, Inc. 3,660 87,657
KB HOME 1,300 56,940
American Greetings Corp. -- Class A 1,430 33,062
Furniture Brands International, Inc. 1,560 29,702
--------------
TOTAL HOUSEHOLD DURABLES 533,115
--------------
SPECIALTY RETAIL 1.3%
GameStop Corp. -- Class A* 2,650 122,642
AnnTaylor Stores Corp.* 2,540 106,325
AutoNation, Inc.* 3,510 73,359
Circuit City Stores, Inc. 2,830 71,061
Payless Shoesource, Inc.* 1,710 42,579
Borders Group, Inc. 1,810 36,924
Office Depot, Inc.* 260 10,322
--------------
TOTAL SPECIALTY RETAIL 463,212
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDIA 0.8%
Gannett Co., Inc. 2,050 $ 116,501
Univision Communications, Inc. -- Class A* 2,890 99,242
Belo Corp. -- Class A 2,480 39,209
Scholastic Corp.* 1,140 35,511
Media General, Inc. 50 1,886
Westwood One, Inc. 220 1,558
--------------
TOTAL MEDIA 293,907
--------------
HOTELS, RESTAURANTS & LEISURE 0.7%
Carnival Corp. 4,300 202,229
CBRL Group, Inc. 1,150 46,494
International Game Technology, Inc. 260 10,790
Scientific Games Corp. -- Class A* 140 4,452
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 263,965
--------------
TEXTILES & APPAREL 0.3%
Polo Ralph Lauren Corp. 1,500 97,035
--------------
TOTAL TEXTILES & APPAREL 97,035
--------------
LEISURE EQUIPMENT & PRODUCTS 0.2%
Brunswick Corp. 1,870 58,325
Callaway Golf Co. 2,090 27,400
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 85,725
--------------
AUTO COMPONENTS 0.2%
Goodyear Tire & Rubber Co.* 3,780 54,810
Modine Manufacturing Co. 1,150 27,980
--------------
TOTAL AUTO COMPONENTS 82,790
--------------
AUTOMOBILES 0.1%
Thor Industries, Inc. 1,150 47,346
--------------
TOTAL AUTOMOBILES 47,346
--------------
COMMERCIAL SERVICES & SUPPLIES 0.0%
Sotheby's Holdings, Inc. -- Class A 130 4,191
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 4,191
--------------
TOTAL CONSUMER DISCRETIONARY 2,527,142
--------------
ENERGY 6.3%
ENERGY EQUIPMENT & SERVICES 3.2%
Baker Hughes, Inc. 4,970 338,954
Grant Prideco, Inc.* 8,070 306,902
Transocean, Inc.*+ 3,920 287,062
Patterson-UTI Energy, Inc. 5,350 127,116
Rowan Cos., Inc. 3,500 110,705
Nabors Industries Ltd.* 100 2,975
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,173,714
--------------
OIL & GAS 3.1%
ConocoPhillips+ 5,960 354,799
Devon Energy Corp. 3,280 207,132
Consol Energy, Inc. 5,490 174,198
Apache Corp. 2,750 173,800
Peabody Energy Corp. 4,690 172,498
Overseas Shipholding Group, Inc. 920 56,828
--------------
TOTAL OIL & GAS 1,139,255
--------------
TOTAL ENERGY 2,312,969
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 4.0%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.8%
AT&T, Inc. 11,520 $ 375,091
Verizon Communications, Inc.+ 9,380 348,280
Qwest Communications International, Inc.* 26,370 229,946
CenturyTel, Inc. 1,770 70,216
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 1,023,533
--------------
WIRELESS TELECOMMUNICATION SERVICES 1.2%
Sprint Nextel Corp. 12,110 207,686
Alltel Corp. 2,850 158,175
Telephone & Data Systems, Inc. 1,630 68,623
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 434,484
--------------
TOTAL TELECOMMUNICATION SERVICES 1,458,017
--------------
UTILITIES 4.0%
ELECTRIC UTILITIES 1.7%
American Electric Power Co., Inc. 2,510 91,289
Pepco Holdings, Inc. 3,550 85,803
Progress Energy, Inc. 1,820 82,592
Edison International 1,730 72,037
TXU Corp. 890 55,643
Pinnacle West Capital Corp. 1,140 51,357
E.ON AG -- SP ADR 820 32,529
Westar Energy, Inc. 1,220 28,682
Korea Electric Power Corp. -- SP ADR 980 19,159
Southern Co. 540 18,608
Allegheny Energy, Inc.* 440 17,675
FPL Group, Inc. 360 16,200
Scottish Power, Inc. -- SP ADR 330 16,025
FirstEnergy Corp. 280 15,641
Entergy Corp. 190 14,864
Black Hills Corp. 340 11,427
--------------
TOTAL ELECTRIC UTILITIES 629,531
--------------
MULTI-UTILITIES 1.4%
AES Corp.* 9,690 197,579
MDU Resources Group, Inc. 3,870 86,456
Alliant Energy Corp. 1,590 56,811
Constellation Energy Group, Inc. 640 37,888
Wisconsin Energy Corp. 840 36,238
Mirant Corp.* 1,250 34,137
NRG Energy, Inc.* 620 28,086
Ormat Technologies, Inc. 360 11,779
DTE Energy Co. 190 7,887
Energy East Corp. 240 5,693
--------------
TOTAL MULTI-UTILITIES 502,554
--------------
GAS UTILITIES 0.9%
Questar Corp. 900 73,593
National Fuel Gas Co. 1,800 65,430
Oneok, Inc. 590 22,296
Energen Corp. 450 18,842
Southern Union Co. 670 17,695
AGL Resources, Inc. 450 16,425
20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
UGI Corp. 650 $ 15,893
Atmos Energy Corp. 540 15,417
Nicor, Inc. 320 13,683
Piedmont Natural Gas Co. 540 13,667
Peoples Energy Corp. 320 13,008
WGL Holdings, Inc. 410 12,849
Southwest Gas Corp. 360 11,995
New Jersey Resources Corp. 240 11,832
--------------
TOTAL GAS UTILITIES 322,625
--------------
TOTAL UTILITIES 1,454,710
--------------
MATERIALS 3.0%
METALS & MINING 1.9%
Allegheny Technologies, Inc. 3,580 222,640
United States Steel Corp. 1,270 73,254
Commercial Metals Co. 3,090 62,820
Steel Dynamics, Inc. 1,150 58,017
Reliance Steel & Aluminum Co. 1,730 55,602
BHP Billiton Ltd. -- SP ADR 870 32,956
Rio Tinto PLC -- SP ADR 130 24,652
Companhia Vale do Rio Doce -- SP ADR 940 20,266
POSCO -- SP ADR 240 15,583
Mittal Steel NV Co. -- Class A 440 15,286
Alcoa, Inc. 510 14,300
Nucor Corp. 270 13,362
Anglo American PLC -- ADR 620 13,082
Barrick Gold Corp. 410 12,595
Newmont Mining Corp. 270 11,543
Alcan, Inc. 270 10,765
Freeport-McMoRan Copper &
Gold, Inc. -- Class B 160 8,522
AngloGold Ashanti Ltd. -- SP ADR 220 8,303
Phelps Dodge Corp.+ 80 6,776
--------------
TOTAL METALS & MINING 680,324
--------------
CHEMICALS 1.0%
Eastman Chemical Co. 2,650 143,153
Olin Corp. 4,560 70,042
Airgas, Inc. 1,870 67,638
Lubrizol Corp. 1,160 53,047
Lyondell Chemical Co. 750 19,027
--------------
TOTAL CHEMICALS 352,907
--------------
PAPER & FOREST PRODUCTS 0.1%
Louisiana-Pacific Corp. 2,050 38,478
Bowater, Inc. 1,000 20,570
--------------
TOTAL PAPER & FOREST PRODUCTS 59,048
--------------
TOTAL MATERIALS 1,092,279
--------------
TOTAL COMMON STOCKS
(Cost $27,814,990) 28,196,553
--------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 25.0%
Repurchase Agreement (Note 5)
4.94% due 10/02/06+ $ 9,152,357 $ 9,152,357
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $9,152,357) 9,152,357
--------------
TOTAL LONG SECURITIES
(Cost $36,967,347) 37,348,910
--------------
SHARES
------------
COMMON STOCKS SOLD SHORT (70.4)%
UTILITIES (2.0)%
WATER UTILITIES (0.2)%
Aqua America, Inc. 3,330 (73,060)
--------------
TOTAL WATER UTILITIES (73,060)
--------------
GAS UTILITIES (0.3)%
Equitable Resources, Inc. 3,480 (121,731)
--------------
TOTAL GAS UTILITIES (121,731)
--------------
MULTI-UTILITIES (0.4)%
TECO Energy, Inc. 160 (2,504)
Dynegy, Inc. -- Class A* 3,860 (21,384)
CenterPoint Energy, Inc. 3,590 (51,409)
KeySpan Corp. 1,750 (71,995)
--------------
TOTAL MULTI-UTILITIES (147,292)
--------------
ELECTRIC UTILITIES (1.1)%
PPL Corp. 1,430 (47,047)
Northeast Utilities 2,160 (50,263)
Exelon Corp. 4,900 (296,646)
--------------
TOTAL ELECTRIC UTILITIES (393,956)
--------------
TOTAL UTILITIES (736,039)
--------------
MATERIALS (2.5)%
CONSTRUCTION MATERIALS (0.2)%
Florida Rock Industries, Inc. 1,600 (61,936)
--------------
TOTAL CONSTRUCTION MATERIALS (61,936)
--------------
CONTAINERS & PACKAGING (0.2)%
Pactiv Corp.* 3,100 (88,102)
--------------
TOTAL CONTAINERS & PACKAGING (88,102)
--------------
PAPER & FOREST PRODUCTS (0.7)%
MeadWestvaco Corp. 3,360 (89,073)
Weyerhaeuser Co. 2,730 (167,977)
--------------
TOTAL PAPER & FOREST PRODUCTS (257,050)
--------------
CHEMICALS (1.4)%
Valspar Corp. 1,360 (36,176)
Sensient Technologies Corp. 1,860 (36,400)
Scotts Miracle-Gro Co. -- Class A 890 (39,596)
Hercules, Inc.* 3,520 (55,511)
Chemtura Corp. 10,290 (89,214)
Ecolab, Inc. 2,970 (127,175)
Dow Chemical Co. 3,420 (133,312)
--------------
TOTAL CHEMICALS (517,384)
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TOTAL MATERIALS (924,472)
--------------
CONSUMER DISCRETIONARY (6.6)%
MULTILINE RETAIL (0.1)%
Nordstrom, Inc. 70 $ (2,961)
Saks, Inc. 2,880 (49,766)
--------------
TOTAL MULTILINE RETAIL (52,727)
--------------
LEISURE EQUIPMENT & PRODUCTS (0.2)%
Mattel, Inc. 4,300 (84,710)
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS (84,710)
--------------
INTERNET & CATALOG RETAIL (0.3)%
Amazon.com, Inc.* 3,290 (105,675)
--------------
TOTAL INTERNET & CATALOG RETAIL (105,675)
--------------
TEXTILES & APPAREL (0.3)%
Coach, Inc.* 3,500 (120,400)
--------------
TOTAL TEXTILES & APPAREL (120,400)
--------------
AUTO COMPONENTS (0.4)%
ArvinMeritor, Inc. 2,090 (29,761)
Bandag, Inc. 750 (30,780)
Lear Corp. 3,320 (68,724)
--------------
TOTAL AUTO COMPONENTS (129,265)
--------------
HOUSEHOLD DURABLES (0.4)%
Hovnanian Enterprises, Inc. -- Class A* 40 (1,174)
Ryland Group, Inc. 30 (1,296)
Toll Brothers, Inc.* 60 (1,685)
Pulte Homes, Inc. 70 (2,230)
M.D.C. Holdings, Inc. 970 (45,056)
Centex Corp. 1,530 (80,509)
--------------
TOTAL HOUSEHOLD DURABLES (131,950)
--------------
COMMERCIAL SERVICES & SUPPLIES (0.6)%
ITT Educational Services, Inc.* 720 (47,736)
H&R Block, Inc. 3,410 (74,134)
Apollo Group, Inc. -- Class A* 1,760 (86,662)
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (208,532)
--------------
AUTOMOBILES (0.7)%
Ford Motor Co. 16,110 (130,330)
General Motors Corp. 4,250 (141,355)
--------------
TOTAL AUTOMOBILES (271,685)
--------------
SPECIALTY RETAIL (0.8)%
CarMax, Inc.* 20 (834)
Pier 1 Imports, Inc. 7,020 (52,089)
Advance Auto Parts, Inc. 1,660 (54,680)
Chico's FAS, Inc.* 2,610 (56,193)
Urban Outfitters, Inc.* 6,210 (109,855)
--------------
TOTAL SPECIALTY RETAIL (273,651)
--------------
MEDIA (1.4)%
Reader's Digest Association, Inc. 2,570 (33,307)
Dow Jones & Co., Inc. 1,310 (43,938)
Interpublic Group of Cos., Inc.* 13,660 (135,234)
Time Warner, Inc. 16,300 (297,149)
--------------
TOTAL MEDIA (509,628)
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (1.4)%
Harrah's Entertainment, Inc. 1,710 $ (113,595)
Marriott International, Inc. -- Class A 3,040 (117,466)
Starbucks Corp.* 8,740 (297,597)
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE (528,658)
--------------
TOTAL CONSUMER DISCRETIONARY (2,416,881)
--------------
INDUSTRIALS (6.6)%
ROAD & RAIL 0.0%
YRC Worldwide, Inc.* 30 (1,111)
--------------
TOTAL ROAD & RAIL (1,111)
--------------
AIR FREIGHT & COURIERS (0.1)%
CH Robinson Worldwide, Inc. 520 (23,182)
Expeditors International Washington, Inc. 580 (25,856)
--------------
TOTAL AIR FREIGHT & COURIERS (49,038)
--------------
ELECTRICAL EQUIPMENT (0.2)%
Roper Industries, Inc. 1,210 (54,135)
--------------
TOTAL ELECTRICAL EQUIPMENT (54,135)
--------------
BUILDING PRODUCTS (0.2)%
Masco Corp. 2,590 (71,018)
--------------
TOTAL BUILDING PRODUCTS (71,018)
--------------
CONSTRUCTION & ENGINEERING (0.2)%
Jacobs Engineering Group, Inc.* 1,050 (78,466)
--------------
TOTAL CONSTRUCTION & ENGINEERING (78,466)
--------------
AIRLINES (0.2)%
JetBlue Airways Corp.* 9,380 (86,953)
--------------
TOTAL AIRLINES (86,953)
--------------
AEROSPACE & DEFENSE (0.5)%
General Dynamics Corp. 2,460 (176,308)
--------------
TOTAL AEROSPACE & DEFENSE (176,308)
--------------
TRADING COMPANIES & DISTRIBUTORS (1.1)%
GATX Corp. 2,000 (82,740)
MSC Industrial Direct Co. -- Class A 2,170 (88,406)
Fastenal Co. 5,840 (225,249)
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS (396,395)
--------------
COMMERCIAL SERVICES & SUPPLIES (2.0)%
Avis Budget Group, Inc. 1,360 (24,874)
Corporate Executive Board Co. 960 (86,314)
Stericycle, Inc.* 1,260 (87,935)
Deluxe Corp. 5,760 (98,496)
Avery Dennison Corp. 2,140 (128,764)
Cintas Corp. 3,690 (150,663)
Pitney Bowes, Inc. 3,760 (166,831)
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (743,877)
--------------
MACHINERY (2.1)%
Flowserve Corp.* 270 (13,659)
Tecumseh Products Co. -- Class A* 1,150 (17,492)
Joy Global, Inc. 510 (19,181)
Pentair, Inc. 1,980 (51,856)
Oshkosh Truck Corp. 1,390 (70,153)
22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Graco, Inc. 2,210 $ (86,323)
SPX Corp. 1,850 (98,864)
ITT Industries, Inc. 2,040 (104,591)
Ingersoll-Rand Co. -- Class A 3,360 (127,613)
Illinois Tool Works, Inc. 3,860 (173,314)
--------------
TOTAL MACHINERY (763,046)
--------------
TOTAL INDUSTRIALS (2,420,347)
--------------
ENERGY (7.0)%
ENERGY EQUIPMENT & SERVICES (3.2)%
FMC Technologies, Inc.* 2,230 (119,751)
Smith International, Inc. 5,010 (194,388)
Weatherford International Ltd.* 7,780 (324,582)
Schlumberger Ltd. 8,370 (519,191)
--------------
TOTAL ENERGY EQUIPMENT & SERVICES (1,157,912)
--------------
OIL & GAS (3.8)%
Forest Oil Corp.* 2,590 (81,818)
Anadarko Petroleum Corp. 1,940 (85,030)
Quicksilver Resources, Inc.* 2,980 (95,062)
Arch Coal, Inc. 4,520 (130,673)
Noble Energy, Inc. 3,380 (154,094)
Sunoco, Inc. 2,600 (161,694)
Kinder Morgan, Inc. 2,870 (300,920)
El Paso Corp. 29,540 (402,926)
--------------
TOTAL OIL & GAS (1,412,217)
--------------
TOTAL ENERGY (2,570,129)
--------------
CONSUMER STAPLES (7.4)%
TOBACCO (0.4)%
Universal Corp. 3,980 (145,389)
--------------
TOTAL TOBACCO (145,389)
--------------
PERSONAL PRODUCTS (0.6)%
Alberto-Culver Co. -- Class B 200 (10,118)
Avon Products, Inc. 6,780 (207,875)
--------------
TOTAL PERSONAL PRODUCTS (217,993)
--------------
BEVERAGES (1.0)%
Constellation Brands, Inc. -- Class A* 5,490 (158,002)
Molson Coors Brewing Co. -- Class B 3,300 (227,370)
--------------
TOTAL BEVERAGES (385,372)
--------------
FOOD & DRUG RETAILING (1.1)%
Whole Foods Market, Inc. 6,530 (388,078)
--------------
TOTAL FOOD & DRUG RETAILING (388,078)
--------------
HOUSEHOLD PRODUCTS (1.3)%
Energizer Holdings, Inc.* 1,830 (131,742)
Colgate-Palmolive Co. 5,350 (332,235)
--------------
TOTAL HOUSEHOLD PRODUCTS (463,977)
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FOOD PRODUCTS (3.0)%
WM Wrigley Jr Co. 4,720 $ (217,403)
Sara Lee Corp. 20,180 (324,293)
Hershey Co. 10,480 (560,156)
--------------
TOTAL FOOD PRODUCTS (1,101,852)
--------------
TOTAL CONSUMER STAPLES (2,702,661)
--------------
HEALTH CARE (8.9)%
BIOTECHNOLOGY (1.9)%
Affymetrix, Inc.* 2,770 (59,721)
PDL BioPharma, Inc.* 3,740 (71,808)
Martek Biosciences Corp.* 4,180 (89,912)
Medimmune, Inc.* 7,130 (208,267)
Gilead Sciences, Inc.* 3,740 (256,938)
--------------
TOTAL BIOTECHNOLOGY (686,646)
--------------
HEALTH CARE PROVIDERS & SERVICES (2.0)%
Apria Healthcare Group, Inc.* 730 (14,410)
Aetna, Inc. 1,870 (73,959)
Tenet Healthcare Corp.* 13,050 (106,227)
Coventry Health Care, Inc.* 2,340 (120,557)
AmerisourceBergen Corp. 3,090 (139,668)
CIGNA Corp. 2,350 (273,352)
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES (728,173)
--------------
HEALTH CARE EQUIPMENT & SUPPLIES (2.4)%
Bausch & Lomb, Inc. 520 (26,068)
Gen-Probe, Inc.* 1,340 (62,833)
Advanced Medical Optics, Inc.* 2,740 (108,367)
Varian Medical Systems, Inc.* 2,580 (137,746)
St. Jude Medical, Inc.* 4,550 (160,569)
Boston Scientific Corp.* 26,660 (394,301)
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (889,884)
--------------
PHARMACEUTICALS (2.6)%
Perrigo Co. 5,660 (96,050)
Sepracor, Inc.* 2,170 (105,115)
Allergan, Inc. 1,640 (184,680)
Schering-Plough Corp. 11,650 (257,349)
Forest Laboratories, Inc.* 5,750 (291,008)
--------------
TOTAL PHARMACEUTICALS (934,202)
--------------
TOTAL HEALTH CARE (3,238,905)
--------------
INFORMATION TECHNOLOGY (14.7)%
OFFICE ELECTRONICS (0.2)%
Zebra Technologies Corp. -- Class A* 1,960 (70,050)
--------------
TOTAL OFFICE ELECTRONICS (70,050)
--------------
INTERNET SOFTWARE & SERVICES (0.7)%
VeriSign, Inc.* 4,670 (94,334)
Google, Inc. -- Class A* 410 (164,779)
--------------
TOTAL INTERNET SOFTWARE & SERVICES (259,113)
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT (0.9)%
ADC Telecommunications, Inc.* 170 $ (2,550)
Plantronics, Inc. 2,050 (35,937)
Andrew Corp.* 5,970 (55,103)
Utstarcom, Inc.* 8,590 (76,193)
Juniper Networks, Inc.* 8,210 (141,869)
--------------
TOTAL COMMUNICATIONS EQUIPMENT (311,652)
--------------
IT CONSULTING & SERVICES (1.9)%
Gartner, Inc. -- Class A* 4,810 (84,608)
Unisys Corp.* 19,850 (112,351)
Alliance Data Systems Corp.* 2,170 (119,762)
Cognizant Technology Solutions
Corp. -- Class A* 2,530 (187,372)
Paychex, Inc. 5,480 (201,938)
--------------
TOTAL IT CONSULTING & SERVICES (706,031)
--------------
COMPUTERS & PERIPHERALS (2.4)%
Palm, Inc.* 3,320 (48,339)
QLogic Corp.* 3,880 (73,332)
Lexmark International, Inc.* 3,280 (189,125)
Network Appliance, Inc.* 6,350 (235,014)
Dell, Inc.* 13,960 (318,846)
--------------
TOTAL COMPUTERS & PERIPHERALS (864,656)
--------------
SOFTWARE (4.2)%
Wind River Systems, Inc.* 160 (1,714)
Transaction Systems Architects,
Inc. -- Class A* 1,880 (64,522)
CA, Inc. 6,560 (155,406)
Activision, Inc.* 15,750 (237,825)
Electronic Arts, Inc.* 8,440 (469,939)
Symantec Corp.* 27,480 (584,774)
--------------
TOTAL SOFTWARE (1,514,180)
--------------
SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT (4.4)%
Lattice Semiconductor Corp.* 11,150 (76,043)
PMC - Sierra, Inc.* 12,940 (76,864)
Teradyne, Inc.* 9,140 (120,282)
Cypress Semiconductor Corp.* 6,820 (121,191)
Fairchild Semiconductor
International, Inc.* 6,680 (124,916)
Analog Devices, Inc. 7,620 (223,952)
Applied Materials, Inc. 23,060 (408,854)
Intel Corp. 22,800 (468,996)
--------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT (1,621,098)
--------------
TOTAL INFORMATION TECHNOLOGY (5,346,780)
--------------
FINANCIALS (14.7)%
DIVERSIFIED FINANCIALS (0.1)%
Moody's Corp. 780 (50,997)
--------------
TOTAL DIVERSIFIED FINANCIALS (50,997)
--------------
CONSUMER FINANCE (0.7)%
SLM Corp. 4,630 (240,667)
--------------
TOTAL CONSUMER FINANCE (240,667)
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BANKS (1.2)%
Mercantile Bankshares Corp. 2,190 $ (79,431)
Synovus Financial Corp. 3,870 (113,662)
National City Corp. 6,390 (233,874)
--------------
TOTAL BANKS (426,967)
--------------
CAPITAL MARKETS (1.6)%
SEI Investments Co. 440 (24,724)
Charles Schwab Corp. 2,220 (39,738)
T. Rowe Price Group, Inc. 870 (41,629)
Jefferies Group, Inc. 2,790 (79,515)
Waddell & Reed Financial, Inc. -- Class A 3,480 (86,130)
Federated Investors, Inc. -- Class B 3,000 (101,430)
Eaton Vance Corp. 3,830 (110,534)
Janus Capital Group, Inc. 5,870 (115,756)
--------------
TOTAL CAPITAL MARKETS (599,456)
--------------
THRIFTS & MORTGAGE FINANCE (2.0)%
New York Community Bancorp, Inc. 6,380 (104,505)
Freddie Mac 9,470 (628,145)
--------------
TOTAL THRIFTS & MORTGAGE FINANCE (732,650)
--------------
REAL ESTATE (3.6)%
Potlatch Corp. 1,280 (47,488)
Rayonier, Inc. 1,660 (62,748)
Highwoods Properties, Inc. 1,930 (71,815)
United Dominion Realty Trust, Inc. 3,730 (112,646)
Boston Properties, Inc. 1,620 (167,411)
Public Storage, Inc. 1,960 (168,540)
Vornado Realty Trust 1,650 (179,850)
Simon Property Group, Inc. 2,430 (220,207)
KIMCO Realty Corp. 6,600 (282,942)
--------------
TOTAL REAL ESTATE (1,313,647)
--------------
INSURANCE (5.5)%
Stancorp Financial Group, Inc. 1,230 (54,895)
Arthur J. Gallagher & Co. 3,150 (84,010)
Everest Re Group Ltd. 1,320 (128,740)
Loews Corp. 4,630 (175,477)
Brown & Brown, Inc. 6,480 (198,029)
ACE Ltd. 3,950 (216,183)
Marsh & McLennan Cos., Inc. 7,710 (217,037)
Allstate Corp. 3,810 (239,001)
XL Capital Ltd. 4,440 (305,028)
Progressive Corp. 15,700 (385,278)
--------------
TOTAL INSURANCE (2,003,678)
--------------
TOTAL FINANCIALS (5,368,062)
--------------
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $25,231,982) (25,724,276)
--------------
TOTAL INVESTMENTS 31.8%
(Cost $11,735,365) $ 11,624,634
==============
OTHER ASSETS IN EXCESS OF LIABILITIES - 68.2% $ 24,903,205
==============
NET ASSETS - 100.0% $ 36,527,839
================================================================================
24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $14,993,963) 223 $ 221,739
December 2006 Russell 2000(R)
Index Mini Futures Contracts
(Aggregate Market Value
of Contracts $2,481,660) 34 38,559
December 2006 S&P 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $2,585,700) 34 27,270
--------------
(TOTAL AGGREGATE MARKET VALUE
OF CONTRACTS $20,061,323) $ 287,568
==============
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT
SEPTEMBER 30, 2006.
ADR--AMERICAN DEPOSITORY RECEIPT.
REIT--REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 98.6%
FINANCIALS 21.7%
INSURANCE 9.6%
American International Group, Inc. 4,006 $ 265,438
Prudential Financial, Inc. 2,800 213,500
MetLife, Inc.+ 3,480 197,246
Hartford Financial Services Group,
Inc.+ 2,187 189,722
Chubb Corp. 3,520 182,899
Assurant, Inc.+ 3,350 178,923
Ambac Financial Group, Inc. 2,150 177,913
Lincoln National Corp.+ 2,850 176,928
AFLAC, Inc. 3,828 175,169
Cincinnati Financial Corp. 3,570 171,574
Loews Corp. 4,350 164,865
Genworth Financial, Inc. -- Class A 4,690 164,197
UnumProvident Corp.+ 8,351 161,926
Delphi Financial Group, Inc. --
Class A+ 3,990 159,121
Old Republic International Corp. 7,170 158,816
W.R. Berkley Corp. 4,440 157,132
Philadelphia Consolidated Holding
Corp.*+ 3,930 156,335
Principal Financial Group, Inc.+ 2,880 156,326
HCC Insurance Holdings, Inc. 4,660 153,221
American Financial Group, Inc.+ 3,230 151,584
Selective Insurance Group, Inc.+ 2,880 151,517
First American Corp.+ 3,570 151,154
ProAssurance Corp.* 3,020 148,826
Nationwide Financial Services, Inc. 2,950 141,895
Meadowbrook Insurance Group
Co., Inc.* 12,590 141,763
Harleysville Group, Inc. 4,050 141,710
CNA Surety Corp.* 6,970 140,794
Protective Life Corp. 3,060 139,995
Ohio Casualty Corp.+ 5,390 139,439
AmerUs Group Co.+ 2,030 138,060
Argonaut Group, Inc.*+ 4,421 137,184
Wesco Financial Corp. 310 135,470
Infinity Property & Casualty Corp. 3,270 134,495
Donegal Group, Inc. -- Class A 6,630 134,059
Reinsurance Group of America, Inc. 2,570 133,460
FPIC Insurance Group, Inc.* 3,361 133,129
American National Insurance Co. 1,140 132,126
CNA Financial Corp.*+ 3,640 131,113
National Western Life Insurance Co.
-- Class A 560 128,738
Conseco, Inc.* 6,071 127,430
Hanover Insurance Group, Inc. 2,820 125,857
NYMAGIC, Inc. 3,920 124,264
Stancorp Financial Group, Inc. 2,754 122,911
American Physicians Capital, Inc.* 2,540 122,885
Safety Insurance Group, Inc. 2,520 122,623
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
EMC Insurance Group, Inc. 4,250 $ 122,570
Baldwind & Lyons, Inc. -- Class B 4,720 114,318
Fidelity National Title Group, Inc.
-- Class A+ 1,897 39,761
Crawford & Co. -- Class B 4,069 27,629
Aon Corp.+ 210 7,113
--------------
TOTAL INSURANCE 7,205,123
--------------
DIVERSIFIED FINANCIALS 2.9%
Citigroup, Inc. 15,260 757,964
Bank of America Corp. 13,127 703,214
J.P. Morgan Chase & Co.+ 11,620 545,675
Leucadia National Corp. 5,460 142,888
--------------
TOTAL DIVERSIFIED FINANCIALS 2,149,741
--------------
BANKS 2.6%
Wachovia Corp.+ 6,370 355,446
KeyCorp+ 5,870 219,773
Wells Fargo & Co. 5,348 193,491
M&T Bank Corp.+ 1,480 177,541
National City Corp.+ 4,780 174,948
Royal Bancshares of Pennsylvania,
Inc. -- Class A 4,810 130,303
Intervest Bancshares Corp.*+ 2,840 123,710
FNB Corp. 3,430 123,514
First Citizens BancShares, Inc. --
Class A 610 116,571
1st Source Corp. 3,944 116,427
Camden National Corp. 2,890 116,178
TD Banknorth, Inc. 1,360 39,277
U.S. Bancorp+ 820 27,240
R&G Financial Corp. -- Class B 860 6,407
--------------
TOTAL BANKS 1,920,826
--------------
CAPITAL MARKETS 2.6%
Goldman Sachs Group, Inc.+ 1,780 301,123
E*Trade Financial Corp.*+ 7,620 182,270
Charles Schwab Corp.+ 10,060 180,074
Janus Capital Group, Inc.+ 8,990 177,283
Blackrock, Inc.+ 1,070 159,430
Ameriprise Financial, Inc. 3,250 152,425
Capital Southwest Corp. 1,190 141,788
MCG Capital Corp. 8,410 137,335
Thomas Weisel Partners Group, Inc.* 8,250 132,413
Penson Worldwide Co., Inc.* 7,300 131,035
LaBranche & Co., Inc.*+ 9,680 100,382
Morgan Stanley 930 67,806
Merrill Lynch & Co., Inc. 720 56,318
--------------
TOTAL CAPITAL MARKETS 1,919,682
--------------
THRIFTS & MORTGAGE FINANCE 2.2%
Washington Mutual, Inc.+ 5,130 223,001
Radian Group, Inc.+ 2,500 150,000
PMI Group, Inc.+ 3,420 149,830
Ocwen Financial Corp., Inc.*+ 9,370 139,613
FirstFed Financial Corp.*+ 2,420 137,263
Webster Financial Corp. 2,890 136,148
26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Triad Guaranty, Inc.* 2,650 $ 135,601
Federal Agricultural Mortgage Corp. 4,690 124,144
ITLA Capital Corp. 2,204 118,487
Corus Bankshares, Inc.+ 4,650 103,974
Berkshire Hills Bancorp, Inc. 2,600 92,534
MGIC Investment Corp.+ 1,207 72,384
Doral Financial Corp.+ 7,519 49,550
--------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,632,529
--------------
CONSUMER FINANCE 1.0%
Capital One Financial Corp.+ 2,184 171,794
Cash America International, Inc. 4,130 161,400
Asta Funding, Inc.+ 3,820 143,212
Student Loan Corp. 710 136,448
Credit Acceptance Corp.*+ 4,530 134,450
American Express Co. 480 26,918
--------------
TOTAL CONSUMER FINANCE 774,222
--------------
REAL ESTATE 0.8%
American Home Mortgage
Investment Corp. 4,370 152,382
HRPT Properties Trust+ 11,570 138,261
Newkirk Realty Trust Co., Inc. 7,940 130,851
AvalonBay Communities, Inc. 997 120,039
Fieldstone Investment Corp. 9,641 84,166
--------------
TOTAL REAL ESTATE 625,699
--------------
TOTAL FINANCIALS 16,227,822
--------------
INFORMATION TECHNOLOGY 16.1%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.2%
Intel Corp. 20,779 427,424
Texas Instruments, Inc.+ 7,998 265,933
Freescale Semiconductor, Inc. --
Class B*+ 6,621 251,664
Micron Technology, Inc.*+ 12,540 218,196
Lam Research Corp.*+ 3,560 161,375
National Semiconductor Corp.+ 6,705 157,769
Varian Semiconductor Equipment
Associates, Inc.* 4,270 156,709
Intersil Corp. -- Class A 6,190 151,964
Zoran Corp.* 8,800 141,504
MKS Instruments, Inc.* 6,700 136,077
OmniVision Technologies, Inc.*+ 7,591 108,324
LSI Logic Corp.*+ 12,507 102,808
Genesis Microchip, Inc.*+ 8,699 102,387
--------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 2,382,134
--------------
IT CONSULTING & SERVICES 3.0%
Mastercard, Inc.*+ 3,070 215,974
Electronic Data Systems Corp.+ 8,500 208,420
First Data Corp. 4,700 197,400
MPS Group, Inc.* 11,160 168,628
Convergys Corp.* 7,260 149,919
Affiliated Computer Services, Inc.
-- Class A* 2,751 142,667
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Automatic Data Processing, Inc. 2,964 $ 140,316
Acxiom Corp. 5,470 134,890
Ceridian Corp.* 5,990 133,936
Forrester Research, Inc.* 4,740 124,709
Hewitt Associates, Inc. -- Class A* 4,780 115,963
Lightbridge, Inc.* 9,880 115,794
SYKES Enterprises, Inc.* 5,653 115,039
Computer Sciences Corp.* 1,900 93,328
BISYS Group, Inc.* 8,529 92,625
infoUSA, Inc. -- Class B 6,893 57,212
Global Payments, Inc. 1,127 49,599
--------------
TOTAL IT CONSULTING & SERVICES 2,256,419
--------------
COMPUTERS & PERIPHERALS 2.8%
International Business Machines
Corp. 5,550 454,767
Hewlett-Packard Co. 10,920 400,655
Apple Computer, Inc.*+ 3,807 293,253
EMC Corp.* 14,790 177,184
Brocade Communications Systems,
Inc.*+ 24,941 176,084
NCR Corp.*+ 4,410 174,107
Electronics for Imaging, Inc.*+ 7,180 164,279
Palm, Inc.*+ 7,200 104,832
Komag, Inc.*+ 3,090 98,756
Dell, Inc.*+ 860 19,642
--------------
TOTAL COMPUTERS & PERIPHERALS 2,063,559
--------------
COMMUNICATIONS EQUIPMENT 2.4%
Motorola, Inc. 11,730 293,250
Cisco Systems, Inc.* 11,049 254,127
Polycom, Inc.*+ 7,230 177,352
Avocent Corp.* 5,700 171,684
Interdigital Communications Corp.* 5,020 171,182
Arris Group, Inc.* 13,520 154,939
Avaya, Inc.*+ 13,511 154,566
Black Box Corp. 3,400 132,328
Tellabs, Inc.* 11,000 120,560
Juniper Networks, Inc.*+ 6,320 109,210
Qualcomm, Inc. 1,724 62,667
--------------
TOTAL COMMUNICATIONS EQUIPMENT 1,801,865
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.9%
Molex, Inc.+ 4,340 169,130
DTS, Inc. -- Class A* 7,310 154,826
Rofin-Sinar Technologies, Inc.* 2,380 144,633
TTM Technologies, Inc.* 12,180 142,506
Vishay Intertechnology, Inc.*+ 9,700 136,188
Tech Data Corp.* 3,630 132,604
Dolby Laboratories, Inc. -- Class A* 6,390 126,841
Solectron Corp.* 38,033 123,987
Zygo Corp., Inc.* 9,100 116,025
Agilsys, Inc. 7,640 107,266
AVX Corp. 5,020 88,804
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,442,810
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SOFTWARE 1.8%
Microsoft Corp. 19,987 $ 546,245
MicroStrategy, Inc. -- Class A*+ 1,450 147,653
eSpeed, Inc. -- Class A* 14,541 133,777
Lawson Software, Inc.* 17,215 124,809
Compuware Corp.* 15,699 122,295
Fair Isaac Corp.+ 3,061 111,941
MRO Software, Inc.* 1,967 50,493
Oracle Corp.* 2,080 36,899
TIBCO Software, Inc.* 3,390 30,442
Secure Computing Corp.*+ 4,336 27,447
Altiris, Inc.* 600 12,654
--------------
TOTAL SOFTWARE 1,344,655
--------------
INTERNET SOFTWARE & SERVICES 0.8%
VeriSign, Inc.* 8,300 167,660
SonicWALL, Inc.* 13,590 148,403
RealNetworks, Inc.*+ 13,730 145,675
Google, Inc. -- Class A* 240 96,456
EarthLink, Inc.* 3,279 23,838
--------------
TOTAL INTERNET SOFTWARE & SERVICES 582,032
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp.* 8,436 131,264
--------------
TOTAL OFFICE ELECTRONICS 131,264
--------------
TOTAL INFORMATION TECHNOLOGY 12,004,738
--------------
CONSUMER DISCRETIONARY 13.4%
SPECIALTY RETAIL 3.8%
Home Depot, Inc.+ 8,585 311,378
Abercrombie & Fitch Co. --
Class A+ 2,870 199,408
American Eagle Outfitters, Inc.+ 4,540 198,988
Sherwin-Williams Co. 3,180 177,380
Staples, Inc.+ 6,870 167,147
Shoe Carnival, Inc.* 5,840 147,285
Payless Shoesource, Inc.* 5,880 146,412
Dress Barn, Inc.*+ 6,591 143,816
United Auto Group, Inc. 6,110 142,974
Rent-A-Center, Inc.* 4,815 141,031
Syms Corp.* 6,570 133,765
AnnTaylor Stores Corp.* 3,160 132,278
Claire's Stores, Inc. 4,360 127,138
Group 1 Automotive, Inc.+ 2,541 126,796
Cato Corp. -- Class A+ 5,780 126,640
Barnes & Noble, Inc. 3,199 121,370
DSW, Inc.*+ 3,840 120,960
Tween Brands, Inc.*+ 2,890 108,664
Office Depot, Inc.*+ 1,042 41,367
Charming Shoppes, Inc.* 690 9,853
--------------
TOTAL SPECIALTY RETAIL 2,824,650
--------------
HOUSEHOLD DURABLES 2.6%
Leggett & Platt, Inc. 6,560 164,197
Whirlpool Corp. 1,910 160,650
Lennar Corp. -- Class A+ 3,550 160,637
Stanley Works+ 3,180 158,523
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Snap-On, Inc. 3,250 $ 144,787
American Greetings Corp. --
Class A+ 6,120 141,494
Champion Enterprises, Inc.* 20,431 140,974
Avatar Holdings, Inc.*+ 2,350 138,791
Furniture Brands International, Inc.+ 7,090 134,994
Ethan Allen Interiors, Inc.+ 3,860 133,788
Mohawk Industries, Inc.*+ 1,450 107,953
Ryland Group, Inc.+ 2,425 104,784
NVR, Inc.*+ 195 104,325
Meritage Homes Corp.*+ 2,138 88,962
Kimball International, Inc. --
Class B 1,360 26,248
--------------
TOTAL HOUSEHOLD DURABLES 1,911,107
--------------
MEDIA 1.9%
Walt Disney Co. 9,646 298,158
McGraw-Hill Cos., Inc. 3,050 176,992
Omnicom Group, Inc.+ 1,800 168,480
Lee Enterprises, Inc.+ 5,730 144,625
John Wiley & Sons, Inc. -- Class A 3,980 143,320
Meredith Corp.+ 2,750 135,658
Cox Radio Inc. -- Class A* 7,921 121,587
Time Warner, Inc. 4,522 82,436
Comcast Corp. -- Class A*+ 1,497 55,164
Journal Communications, Inc. --
Class A 3,869 43,604
World Wrestling Entertainment,
Inc. 430 7,065
McClatchy Co. -- Class A 160 6,750
--------------
TOTAL MEDIA 1,383,839
--------------
TEXTILES & APPAREL 1.4%
Phillips-Van Heusen Corp.+ 4,490 187,547
Nike, Inc. -- Class B+ 2,020 176,993
Polo Ralph Lauren Corp. 2,550 164,960
Jones Apparel Group, Inc. 4,871 158,015
Brown Shoe Co., Inc. 4,360 156,262
Deckers Outdoor Corp.*+ 3,090 146,219
Unifirst Corp. 1,910 59,668
Kellwood Co. 270 7,784
--------------
TOTAL TEXTILES & APPAREL 1,057,448
--------------
HOTELS, RESTAURANTS & LEISURE 1.3%
McDonald's Corp. 6,650 260,148
Starwood Hotels & Resorts
Worldwide, Inc. 3,680 210,459
Bob Evans Farms, Inc. 5,150 155,942
International Speedway Corp. --
Class A 2,900 144,536
Dover Motorsports, Inc. 19,785 107,235
Dover Downs Gaming &
Entertainment, Inc. 7,956 96,665
Luby's, Inc.*+ 1,433 14,144
Multimedia Games, Inc.*+ 1,060 9,625
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 998,754
--------------
28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 1.2%
J.C. Penney Holding Co., Inc.+ 3,320 $ 227,055
Big Lots, Inc.*+ 9,760 193,346
Dollar Tree Stores, Inc.*+ 5,290 163,778
Dillard's, Inc. -- Class A+ 4,410 144,339
Nordstrom, Inc. 2,332 98,644
Target Corp.+ 1,130 62,432
--------------
TOTAL MULTILINE RETAIL 889,594
--------------
AUTO COMPONENTS 0.5%
Autoliv, Inc. 2,660 146,593
BorgWarner, Inc. 2,420 138,351
Aftermarket Technology Corp.* 5,451 96,810
--------------
TOTAL AUTO COMPONENTS 381,754
--------------
AUTOMOBILES 0.3%
Harley-Davidson, Inc.+ 3,860 242,215
--------------
TOTAL AUTOMOBILES 242,215
--------------
DISTRIBUTORS 0.2%
Audiovox Corp. -- Class A* 9,610 133,771
--------------
TOTAL DISTRIBUTORS 133,771
--------------
COMMERCIAL SERVICES & SUPPLIES 0.1%
Career Education Corp.* 3,859 86,827
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 86,827
--------------
HEALTH CARE PROVIDERS & SERVICES 0.1%
Stewart Enterprises, Inc. --
Class A 14,417 84,484
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 84,484
--------------
TOTAL CONSUMER DISCRETIONARY 9,994,443
--------------
HEALTH CARE 12.1%
HEALTH CARE PROVIDERS & SERVICES 4.8%
UnitedHealth Group, Inc. 5,315 261,498
WellPoint, Inc.* 3,250 250,412
Caremark Rx, Inc.+ 3,430 194,378
Cardinal Health, Inc.+ 2,880 189,331
AmerisourceBergen Corp.+ 4,160 188,032
Aetna, Inc. 4,590 181,535
Laboratory Corporation of America
Holdings*+ 2,690 176,383
Medco Health Solutions, Inc.*+ 2,800 168,308
McKesson Corp. 3,170 167,122
Health Net, Inc.* 3,580 155,802
Sunrise Senior Living, Inc.* 5,140 153,532
Coventry Health Care, Inc.* 2,964 152,705
inVentiv Health, Inc.* 4,710 150,861
AMERIGROUP Corp.* 4,970 146,864
Dendrite International, Inc.* 14,141 138,299
Magellan Health Services, Inc.* 3,210 136,746
Molina Healthcare, Inc.* 3,760 132,954
Cross Country Healthcare, Inc.* 7,540 128,180
Chemed Corp. 3,780 121,943
AMN Healthcare Services, Inc.* 4,920 116,850
Vital Images, Inc.* 3,585 113,214
Express Scripts, Inc.* 840 63,412
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HCA, Inc.+ 976 $ 48,693
The Trizetto Group, Inc.* 2,732 41,362
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 3,578,416
--------------
PHARMACEUTICALS 3.8%
Pfizer, Inc. 23,561 668,190
Johnson & Johnson, Inc. 5,720 371,457
Merck & Co., Inc.+ 8,580 359,502
Abbott Laboratories 6,470 314,183
Barr Pharmaceuticals, Inc.* 3,130 162,572
Perrigo Co. 9,150 155,275
KV Pharmaceutical Co.*+ 6,530 154,761
Endo Pharmaceuticals Holdings,
Inc.* 4,626 150,576
Mylan Laboratories, Inc.+ 6,750 135,877
Sciele Pharma, Inc.*+ 6,596 124,269
Wyeth 990 50,332
Hi-Tech Pharmacal Co., Inc.* 3,912 49,448
CNS, Inc. 1,724 48,669
Connetics Corp.* 3,370 36,733
Eli Lilly & Co.+ 390 22,230
Bristol-Myers Squibb Co. 290 7,227
--------------
TOTAL PHARMACEUTICALS 2,811,301
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.5%
Fisher Scientific International, Inc.* 2,410 188,559
Thermo Electron Corp.*+ 4,300 169,119
Varian, Inc.* 3,330 152,747
DJ Orthopedics, Inc.*+ 3,500 145,355
ICU Medical, Inc.*+ 3,180 144,627
Dade Behring Holdings, Inc. 3,520 141,363
Haemonetics Corp.* 2,910 136,188
Zoll Medical Corp.* 3,660 131,357
West Pharmaceutical Services, Inc. 2,860 112,312
Health Tronics Surgical Services, Inc.* 16,301 100,577
Candela Corp.* 8,550 93,281
TriPath Imaging, Inc.* 9,212 83,184
Molecular Devices Corp.* 4,400 81,356
OraSure Technologies, Inc.* 8,485 68,219
Integra LifeSciences Holdings
Corp.*+ 1,137 42,615
Medtronic, Inc.+ 730 33,901
Immucor, Inc.* 1,405 31,486
Vital Signs, Inc. 384 21,738
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,877,984
--------------
BIOTECHNOLOGY 1.0%
Amgen, Inc.*+ 4,760 340,483
Applera Corp. -- Applied Biosystems
Group 4,960 164,226
United Therapeutics Corp.*+ 2,560 134,502
ImClone Systems, Inc.*+ 4,160 117,811
Savient Pharmaceuticals, Inc.* 1,463 9,524
--------------
TOTAL BIOTECHNOLOGY 766,546
--------------
TOTAL HEALTH CARE 9,034,247
--------------
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIALS 11.8%
MACHINERY 2.5%
Eaton Corp. 2,860 $ 196,911
Parker Hannifin Corp. 2,317 180,100
Dover Corp. 3,770 178,849
Illinois Tool Works, Inc. 3,810 171,069
Cummins, Inc.+ 1,330 158,576
Terex Corp.*+ 3,390 153,296
Kennametal, Inc. 2,540 143,891
Crane Co. 3,380 141,284
Ampco-Pittsburgh Corp. PLC --
SP ADR 4,360 134,855
NACCO Industries, Inc. -- Class A 990 134,551
Miller Industries, Inc. -- Class A* 5,950 108,706
Accuride Corp.* 9,584 105,520
Cascade Corp. 777 35,470
JLG Industries, Inc.+ 1,240 24,564
Caterpillar, Inc.+ 100 6,580
--------------
TOTAL MACHINERY 1,874,222
--------------
AEROSPACE & DEFENSE 1.8%
Boeing Co.+ 3,230 254,686
Lockheed Martin Corp.+ 2,440 209,987
General Dynamics Corp. 2,840 203,543
Raytheon Co. 3,840 184,358
Goodrich Corp. 3,770 152,760
Orbital Sciences Corp.* 7,780 146,031
Armor Holdings, Inc.*+ 2,440 139,885
United Technologies Corp. 684 43,331
--------------
TOTAL AEROSPACE & DEFENSE 1,334,581
--------------
COMMERCIAL SERVICES & SUPPLIES 1.6%
Waste Management, Inc. 4,910 180,099
Amrep Corp. PLC -- SP ADR+ 3,330 162,737
Corrections Corporation of America* 3,630 156,997
Manpower, Inc.+ 2,470 151,337
United Stationers, Inc.* 3,080 143,251
Steelcase, Inc. -- Class A+ 7,330 115,008
M&F Worldwide Corp.* 7,080 104,076
Volt Information Sciences, Inc.* 2,720 96,696
CBIZ, Inc.* 7,920 57,816
Spherion Corp.* 5,293 37,845
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,205,862
--------------
INDUSTRIAL CONGLOMERATES 1.4%
General Electric Co. 23,160 817,548
Textron, Inc. 2,160 189,000
3M Co. 410 30,512
Teleflex, Inc. 120 6,677
--------------
TOTAL INDUSTRIAL CONGLOMERATES 1,043,737
--------------
ROAD & RAIL 1.2%
CSX Corp.+ 6,900 226,527
Burlington Northern Santa Fe Corp. 2,480 182,131
Union Pacific Corp.+ 2,010 176,880
Norfolk Southern Corp.+ 3,340 147,127
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Genesee & Wyoming, Inc. --
Class A* 5,490 $ 127,478
--------------
TOTAL ROAD & RAIL 860,143
--------------
BUILDING PRODUCTS 1.0%
Ameron International Corp. 2,290 152,148
American Woodmark Corp.+ 3,830 129,033
PW Eagle, Inc.+ 4,260 127,843
Goodman Global, Inc.* 8,250 110,137
Insteel Industries, Inc. 5,360 106,503
Universal Forest Products, Inc.+ 1,697 83,238
Builders FirstSource, Inc.* 1,740 26,500
--------------
TOTAL BUILDING PRODUCTS 735,402
--------------
ELECTRICAL EQUIPMENT 0.9%
Belden CDT, Inc.+ 4,600 175,858
Roper Industries, Inc. 3,200 143,168
Regal-Beloit Corp.+ 3,200 139,200
Thomas & Betts Corp.* 2,590 123,569
Lamson & Sessions Co., Inc.*+ 4,670 111,239
--------------
TOTAL ELECTRICAL EQUIPMENT 693,034
--------------
AIRLINES 0.8%
Southwest Airlines Co. 12,080 201,253
Continental Airlines, Inc. --
Class B*+ 5,280 149,477
UAL Corp.* 5,420 144,009
Republic Airways Holdings, Inc.* 7,980 123,850
--------------
TOTAL AIRLINES 618,589
--------------
AIR FREIGHT & COURIERS 0.4%
United Parcel Service, Inc. --
Class B+ 2,660 191,360
HUB Group, Inc. -- Class A*+ 5,310 120,962
--------------
TOTAL AIR FREIGHT & COURIERS 312,322
--------------
TRADING COMPANIES & DISTRIBUTORS 0.1%
United Rentals, Inc.* 4,080 94,860
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 94,860
--------------
CONSTRUCTION & ENGINEERING 0.1%
EMCOR Group, Inc.* 530 29,065
--------------
TOTAL CONSTRUCTION & ENGINEERING 29,065
--------------
TOTAL INDUSTRIALS 8,801,817
--------------
ENERGY 7.0%
OIL & GAS 4.4%
Exxon Mobil Corp.+ 14,593 979,190
ConocoPhillips 6,010 357,775
Chevron Corp.+ 3,897 252,759
Occidental Petroleum Corp. 4,440 213,608
Devon Energy Corp.+ 2,990 188,819
Valero Energy Corp. 3,380 173,969
Marathon Oil Corp. 2,260 173,794
Noble Energy, Inc. 3,510 160,021
EOG Resources, Inc.+ 2,310 150,266
Delek US Holdings, Inc.* 7,550 139,675
Penn Virginia Corp. 2,130 135,063
30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
USEC, Inc. 13,100 $ 126,284
Tesoro Corp.+ 2,050 118,859
St. Mary Land & Exploration Co. 1,137 41,739
Hess Corp.+ 870 36,035
Harvest Natural Resources, Inc.* 3,439 35,594
--------------
TOTAL OIL & GAS 3,283,450
--------------
ENERGY EQUIPMENT & SERVICES 2.6%
Veritas DGC, Inc.*+ 2,860 188,245
Maverick Tube Corp.* 2,590 167,910
NS Group, Inc.*+ 2,600 167,830
ENSCO International, Inc.+ 3,590 157,350
Pride International, Inc.*+ 5,111 140,144
Lone Star Technologies, Inc.*+ 2,824 136,625
SEACOR Holdings, Inc.* 1,620 133,650
Patterson-UTI Energy, Inc.+ 5,390 128,066
Grey Wolf, Inc.*+ 18,771 125,390
Tidewater, Inc.+ 2,810 124,174
Lufkin Industries, Inc.+ 2,230 118,012
Parker Drilling Co.* 16,511 116,898
Trico Marine Services, Inc.* 3,460 116,775
T-3 Energy Services, Inc. -- Class A* 5,560 111,589
Rowan Cos., Inc. 1,437 45,452
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,978,110
--------------
TOTAL ENERGY 5,261,560
--------------
CONSUMER STAPLES 6.3%
HOUSEHOLD PRODUCTS 1.2%
Procter & Gamble Co. 8,902 551,746
Kimberly-Clark Corp.+ 2,880 188,237
Energizer Holdings, Inc.*+ 2,290 164,857
--------------
TOTAL HOUSEHOLD PRODUCTS 904,840
--------------
FOOD & DRUG RETAILING 1.2%
Kroger Co. 10,010 231,631
Wal-Mart Stores, Inc. 3,978 196,195
Costco Wholesale Corp. 3,360 166,925
Ingles Markets, Inc. -- Class A 6,130 161,709
Performance Food Group Co.*+ 4,710 132,304
Walgreen Co.+ 150 6,659
--------------
TOTAL FOOD & DRUG RETAILING 895,423
--------------
BEVERAGES 1.1%
Coca-Cola Co. 7,980 356,546
Pepsi Bottling Group, Inc. 4,480 159,040
PepsiCo, Inc. 2,410 157,277
Brown-Forman Corp. -- Class B 2,040 156,366
Hansen Natural Corp.*+ 150 4,872
--------------
TOTAL BEVERAGES 834,101
--------------
TOBACCO 1.1%
Altria Group, Inc. 6,900 528,195
Loews Corp. -- Carolina Group+ 2,660 147,337
Reynolds American, Inc.+ 2,340 145,010
--------------
TOTAL TOBACCO 820,542
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FOOD PRODUCTS 1.1%
General Mills, Inc.+ 3,230 $ 182,818
Ralcorp Holdings, Inc.* 3,440 165,911
Kraft Foods, Inc. -- Class A+ 4,250 151,555
Del Monte Foods Co. 12,731 133,039
J.M. Smucker Co. 2,540 121,793
Archer-Daniels-Midland Co. 1,190 45,077
Seaboard Corp. 10 12,050
--------------
TOTAL FOOD PRODUCTS 812,243
--------------
PERSONAL PRODUCTS 0.6%
NBTY, Inc.* 5,250 153,668
Prestige Brands Holdings, Inc. --
Class A* 13,180 146,825
Estee Lauder Cos., Inc. --
Class A+ 2,440 98,405
--------------
TOTAL PERSONAL PRODUCTS 398,898
--------------
TOTAL CONSUMER STAPLES 4,666,047
--------------
UTILITIES 4.1%
MULTI-UTILITIES 1.9%
Sempra Energy+ 4,160 209,040
Duke Energy Corp. 6,782 204,817
Xcel Energy, Inc.+ 8,590 177,384
Wisconsin Energy Corp. 3,560 153,578
CenterPoint Energy, Inc.+ 10,709 153,353
NSTAR+ 4,490 149,786
Avista Corp. 5,800 137,344
MDU Resources Group, Inc.+ 5,960 133,146
NorthWestern Corp. 2,312 80,874
--------------
TOTAL MULTI-UTILITIES 1,399,322
--------------
ELECTRIC UTILITIES 1.6%
Edison International+ 4,970 206,951
PPL Corp. 5,950 195,755
FPL Group, Inc.+ 3,810 171,450
FirstEnergy Corp.+ 2,960 165,346
Westar Energy, Inc.+ 6,830 160,573
Pepco Holdings, Inc.+ 6,070 146,712
Unisource Energy Corp. 4,270 142,319
TXU Corp. 570 35,636
Cleco Corp.+ 420 10,601
--------------
TOTAL ELECTRIC UTILITIES 1,235,343
--------------
GAS UTILITIES 0.6%
Oneok, Inc. 3,960 149,649
Southwest Gas Corp.+ 4,410 146,941
Energen Corp. 3,230 135,240
Southern Union Co. 1 13
--------------
TOTAL GAS UTILITIES 431,843
--------------
TOTAL UTILITIES 3,066,508
--------------
MATERIALS 3.8%
CHEMICALS 1.7%
Dow Chemical Co.+ 5,228 203,787
Monsanto Co. 4,180 196,502
Lyondell Chemical Co.+ 6,411 162,647
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Spartech Corp.+ 5,960 $ 159,549
OM Group, Inc.*+ 3,450 151,593
Valspar Corp. 5,280 140,448
Ashland, Inc. 2,200 140,316
Pioneer Cos., Inc.* 4,405 107,967
NewMarket Corp. 710 41,294
--------------
TOTAL CHEMICALS 1,304,103
--------------
METALS & MINING 1.4%
Alcoa, Inc. 5,950 166,838
United States Steel Corp.+ 2,650 152,852
Nucor Corp.+ 3,050 150,944
Carpenter Technology Corp.+ 1,400 150,514
Steel Dynamics, Inc. 2,450 123,603
Schnitzer Steel Industries, Inc. --
Class A 3,864 121,871
Reliance Steel & Aluminum Co. 3,360 107,990
Freeport-McMoRan Copper &
Gold, Inc. -- Class B+ 890 47,401
Phelps Dodge Corp. 140 11,858
--------------
TOTAL METALS & MINING 1,033,871
--------------
CONTAINERS & PACKAGING 0.6%
Greif, Inc. -- Class A 2,050 164,226
Rock-Tenn Co. -- Class A 7,780 154,044
Temple-Inland, Inc. 3,540 141,954
--------------
TOTAL CONTAINERS & PACKAGING 460,224
--------------
CONSTRUCTION MATERIALS 0.1%
Eagle Materials, Inc.+ 1,831 61,668
--------------
TOTAL CONSTRUCTION MATERIALS 61,668
--------------
TOTAL MATERIALS 2,859,866
--------------
TELECOMMUNICATION SERVICES 2.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 1.3%
AT&T, Inc.+ 5,995 195,197
CenturyTel, Inc.+ 3,900 154,713
Fairpoint Communications, Inc. 8,840 153,816
Verizon Communications, Inc.+ 3,910 145,178
CT Communications, Inc. 5,420 117,722
BellSouth Corp. 1,570 67,118
Atlantic Tele-Network, Inc. 2,750 50,820
Windstream Corp.+ 3,024 39,887
Embarq Corp. 514 24,862
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 949,313
--------------
WIRELESS TELECOMMUNICATION SERVICES 1.0%
American Tower Corp. -- Class A*+ 6,310 230,315
USA Mobility, Inc. 7,710 176,096
Alltel Corp.+ 2,920 162,060
U.S. Cellular Corp.* 2,130 127,161
Sprint Nextel Corp.+ 1,510 25,897
Wireless Facilities, Inc.*+ 8,455 18,094
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 739,623
--------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES $ 1,688,936
--------------
TOTAL COMMON STOCKS
(Cost $64,317,652) 73,605,984
--------------
REPURCHASE AGREEMENTS 1.3%
Repurchase Agreement (Note 5)
5.00% due 10/02/06 $ 21,577 21,577
4.95% due 10/02/06 326,900 326,900
4.89% due 10/02/06 212,485 212,485
4.80% due 10/02/06 392,279 392,279
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $953,241) 953,241
--------------
SECURITIES LENDING COLLATERAL 19.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) 14,529,980 14,529,980
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $14,529,980) 14,529,980
--------------
TOTAL INVESTMENTS 119.4%
(Cost $79,800,873) $ 89,089,205
==============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (19.4)% $ (14,456,067)
==============
NET ASSETS - 100.0% $ 74,633,138
================================================================================
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
December 2006 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $470,663) 7 $ 5,122
--------------
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE
NOTE 8.
ADR--AMERICAN DEPOSITORY RECEIPT.
32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
FINANCIALS 34.5%
REAL ESTATE 18.3%
Brookfield Asset Management, Inc. --
Class A+ 172,499 $ 7,648,606
Brookfield Properties Corp.+ 157,645 5,568,021
Forest City Enterprises, Inc. -- Class A+ 84,475 4,586,992
CB Richard Ellis Group, Inc. -- Class A*+ 163,989 4,034,129
The St. Joe Co.+ 69,700 3,824,439
Jones Lang LaSalle, Inc. 33,497 2,863,324
Simon Property Group, Inc. 27,200 2,464,864
Vornado Realty Trust+ 19,500 2,125,500
Equity Office Properties Trust+ 52,000 2,067,520
Equity Residential+ 40,200 2,033,316
Trammell Crow Co.*+ 55,431 2,023,786
ProLogis 35,400 2,019,924
General Growth Properties, Inc.+ 39,100 1,863,115
Boston Properties, Inc.+ 18,000 1,860,120
Host Hotels & Resorts, Inc.+ 81,000 1,857,330
Archstone-Smith Trust+ 33,800 1,840,072
KIMCO Realty Corp. 40,300 1,727,661
Public Storage, Inc. 19,900 1,711,201
AvalonBay Communities, Inc. 13,300 1,601,320
Developers Diversified Realty Corp.+ 24,000 1,338,240
Plum Creek Timber Co., Inc. (REIT) 38,000 1,293,520
Macerich Co. 16,600 1,267,576
--------------
TOTAL REAL ESTATE 57,620,576
--------------
CAPITAL MARKETS 8.5%
UBS AG Co., Inc. 49,819 2,954,765
Morgan Stanley 34,200 2,493,522
Goldman Sachs Group, Inc.+ 14,500 2,452,965
Merrill Lynch & Co., Inc. 30,300 2,370,066
Deutsche Bank AG+ 18,300 2,208,810
Credit Suisse Group -- SP ADR 37,366 2,165,360
Lehman Brothers Holdings, Inc. 24,200 1,787,412
Nomura Holdings, Inc. -- SP ADR 86,400 1,518,912
Franklin Resources, Inc. 13,600 1,438,200
Bank of New York Co., Inc. 40,700 1,435,082
Charles Schwab Corp.+ 76,200 1,363,980
State Street Corp. 19,800 1,235,520
Bear Stearns Cos., Inc.+ 8,400 1,176,840
Mellon Financial Corp. 28,400 1,110,440
Northern Trust Corp.+ 16,800 981,624
--------------
TOTAL CAPITAL MARKETS 26,693,498
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS 7.7%
Bank of America Corp. 90,400 $ 4,842,728
Citigroup, Inc. 97,400 4,837,858
J.P. Morgan Chase & Co. 82,900 3,892,984
ING Groep NV -- SP ADR 69,200 3,043,416
Moody's Corp. 20,500 1,340,290
Chicago Mercantile Exchange Holdings, Inc. 2,600 1,243,450
NYSE Group, Inc.*+ 14,600 1,091,350
CIT Group, Inc. 19,400 943,422
Cbot Holdings, Inc.*+ 6,400 773,056
Leucadia National Corp. 26,800 701,356
IntercontinentalExchange, Inc.* 8,300 623,081
Nasdaq Stock Market, Inc.* 17,800 538,272
International Securities Exchange
Holdings, Inc. 8,900 417,321
--------------
TOTAL DIVERSIFIED FINANCIALS 24,288,584
--------------
TOTAL FINANCIALS 108,602,658
--------------
INDUSTRIALS 17.3%
ELECTRICAL EQUIPMENT 8.9%
ABB Ltd. -- SP ADR+ 382,061 5,035,564
Emerson Electric Co. 57,170 4,794,276
Rockwell Automation, Inc.+ 42,737 2,483,020
Cooper Industries Ltd. -- Class A 28,300 2,411,726
American Power Conversion Corp.+ 91,300 2,004,948
Roper Industries, Inc.+ 37,383 1,672,516
Hubbell, Inc. -- Class B 31,400 1,504,060
AMETEK, Inc. 33,900 1,476,345
Thomas & Betts Corp.* 29,900 1,426,529
Acuity Brands, Inc. 28,001 1,271,245
General Cable Corp.* 29,900 1,142,479
Regal-Beloit Corp. 22,600 983,100
Energy Conversion Devices, Inc.*+ 25,100 929,704
A.O. Smith Corp. 21,600 851,688
--------------
TOTAL ELECTRICAL EQUIPMENT 27,987,200
--------------
AIRLINES 8.4%
Southwest Airlines Co. 238,000 3,965,080
Ryanair Holdings PLC -- SP ADR*+ 57,002 3,607,656
British Airways PLC -- SP ADR*+ 41,797 3,344,596
AMR Corp.*+ 114,200 2,642,588
US Airways Group, Inc.* 51,000 2,260,830
Gol Linhas Aereas Inteligentes SA --
SP ADR+ 55,600 1,909,860
UAL Corp.* 71,300 1,894,441
Continental Airlines, Inc. -- Class B*+ 66,500 1,882,615
SkyWest, Inc.+ 56,950 1,396,414
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Alaska Air Group, Inc.* 36,200 $ 1,377,048
JetBlue Airways Corp.*+ 145,600 1,349,712
AirTran Holdings, Inc.* 102,100 1,012,832
--------------
TOTAL AIRLINES 26,643,672
--------------
TOTAL INDUSTRIALS 54,630,872
--------------
CONSUMER STAPLES 16.1%
TOBACCO 8.6%
Altria Group, Inc. 181,600 13,901,480
Reynolds American, Inc.+ 78,900 4,889,433
UST, Inc.+ 66,000 3,618,780
Loews Corp. -- Carolina Group+ 41,900 2,320,841
Universal Corp.+ 30,400 1,110,512
Vector Group Ltd.+ 66,885 1,084,875
--------------
TOTAL TOBACCO 26,925,921
--------------
HOUSEHOLD PRODUCTS 7.5%
Procter & Gamble Co. 162,800 10,090,344
Colgate-Palmolive Co. 64,900 4,030,290
Kimberly-Clark Corp. 59,800 3,908,528
Clorox Co. 36,100 2,274,300
Energizer Holdings, Inc.*+ 20,500 1,475,795
Church & Dwight Co., Inc. 28,900 1,130,279
Central Garden and Pet Co.* 16,000 772,160
--------------
TOTAL HOUSEHOLD PRODUCTS 23,681,696
--------------
TOTAL CONSUMER STAPLES 50,607,617
--------------
UTILITIES 8.8%
ELECTRIC UTILITIES 8.5%
E.ON AG -- SP ADR+ 90,142 3,575,933
Exelon Corp.+ 43,900 2,657,706
Korea Electric Power Corp. -- SP ADR 108,400 2,119,220
Southern Co.+ 59,900 2,064,154
FPL Group, Inc.+ 39,600 1,782,000
Scottish Power, Inc. -- SP ADR 36,548 1,774,771
FirstEnergy Corp. 31,100 1,737,246
Entergy Corp. 20,600 1,611,538
American Electric Power Co., Inc. 42,300 1,538,451
Edison International+ 35,500 1,478,220
Progress Energy, Inc.+ 31,500 1,429,470
PPL Corp. 42,500 1,398,250
Allegheny Energy, Inc.* 24,500 984,165
Black Hills Corp. 27,044 908,949
Pepco Holdings, Inc.+ 35,700 862,869
Pinnacle West Capital Corp.+ 19,100 860,455
TXU Corp. 162 10,128
--------------
TOTAL ELECTRIC UTILITIES 26,793,525
--------------
MULTI-UTILITIES 0.3%
Ormat Technologies, Inc.+ 30,178 987,424
--------------
TOTAL MULTI-UTILITIES 987,424
--------------
TOTAL UTILITIES 27,780,949
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MATERIALS 8.0%
METALS & MINING 8.0%
BHP Billiton Ltd. -- SP ADR+ 96,154 $ 3,642,313
Rio Tinto PLC -- SP ADR+ 14,778 2,802,352
Companhia Vale do Rio Doce -- SP ADR 103,894 2,239,955
Falconbridge Ltd.+ 36,475 2,039,317
POSCO -- SP ADR+ 26,480 1,719,346
Mittal Steel NV Co. -- Class A 48,147 1,672,627
Alcoa, Inc. 55,997 1,570,156
Nucor Corp.+ 30,128 1,491,035
Anglo American PLC -- ADR 68,536 1,446,109
Barrick Gold Corp.+ 45,308 1,391,862
Newmont Mining Corp. 30,069 1,285,450
Alcan, Inc. 29,601 1,180,192
Freeport-McMoRan Copper & Gold, Inc. --
Class B+ 18,140 966,136
AngloGold Ashanti Ltd. -- SP ADR 24,054 907,798
Phelps Dodge Corp. 8,731 739,516
--------------
TOTAL METALS & MINING 25,094,164
--------------
TOTAL MATERIALS 25,094,164
--------------
INFORMATION TECHNOLOGY 7.6%
SOFTWARE 7.6%
Microsoft Corp. 196,600 5,373,078
Oracle Corp.* 167,800 2,976,772
SAP AG -- SP ADR+ 52,200 2,583,900
Nintendo Co., Ltd. -- SP ADR+ 70,300 1,817,255
Symantec Corp.*+ 68,000 1,447,040
Adobe Systems, Inc.* 38,200 1,430,590
Electronic Arts, Inc.* 23,500 1,308,480
CA, Inc. 51,900 1,229,511
Intuit, Inc.* 32,300 1,036,507
Amdocs, Ltd.* 23,900 946,440
Autodesk, Inc.* 25,500 886,890
Citrix Systems, Inc.* 21,800 789,378
BMC Software, Inc.* 28,500 775,770
BEA Systems, Inc.* 48,500 737,200
Cadence Design Systems, Inc.* 42,500 720,800
--------------
TOTAL SOFTWARE 24,059,611
--------------
TOTAL INFORMATION TECHNOLOGY 24,059,611
--------------
TELECOMMUNICATION SERVICES 7.2%
WIRELESS TELECOMMUNICATION SERVICES 7.2%
China Mobile Hong Kong Ltd. -- SP ADR 98,400 3,478,440
Vodafone Group, Inc. -- SP ADR 141,300 3,230,118
America Movil SA de CV -- SP ADR 63,600 2,503,932
Sprint Nextel Corp. 128,400 2,202,060
Alltel Corp. 25,100 1,393,050
34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Rogers Communications, Inc. -- Class B 22,500 $ 1,234,575
American Tower Corp. -- Class A* 32,400 1,182,600
Mobile Telesystems -- SP ADR 30,500 1,151,985
SK Telecom Co., Ltd. -- SP ADR 48,500 1,146,055
Vimpel--Communications -- SP ADR* 16,500 999,735
Turkcell Iletisim Hizmet AS, Inc. --
SP ADR 73,800 981,540
NII Holdings, Inc. -- Class B* 14,900 926,184
Crown Castle International Corp.* 23,000 810,520
Philippine Long Distance Telephone Co. --
SP ADR 18,000 784,080
U.S. Cellular Corp.* 11,642 695,028
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 22,719,902
--------------
TOTAL TELECOMMUNICATION SERVICES 22,719,902
--------------
TOTAL COMMON STOCKS
(Cost $303,501,144) 313,495,773
--------------
FACE
AMOUNT
------------
SECURITIES LENDING COLLATERAL 22.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bancorp (Note 8) $ 70,251,053 70,251,053
--------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $70,251,053) 70,251,053
--------------
TOTAL INVESTMENTS 121.8%
(Cost $373,752,197) $ 383,746,826
==============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (21.8)% $ (68,706,215)
==============
NET ASSETS - 100.0% $ 315,040,611
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE
NOTE 8.
ADR--AMERICAN DEPOSITORY RECEIPT.
REIT--REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED MULTI-CAP SECTOR
STRATEGIES EQUITY CORE EQUITY ROTATION
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 172,651,667 $ 37,348,910 $ 89,089,205 $ 383,746,826
Segregated Cash with Broker 12,361,078 2,664,852 22,050 --
Receivable for Short Sale 80,969,710 25,231,982 -- --
Receivable for Equity Index Swap Settlement (Note 1) 103,661 -- -- --
Receivable for Securities Sold (Note 1) 1,842,008 381,455 -- 25,396,866
Receivable for Fund Shares Purchased 1,002,652 69,115 149,879 1,441,182
Investment Income Receivable (Note 1) 359,194 96,121 80,892 597,252
Other Assets 23,986 -- -- --
- --------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 269,313,956 65,792,435 89,342,026 411,182,126
==========================================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) 83,255,789 25,724,276 -- --
Payable for Futures Contracts Settlement (Note 1) 311,079 67,700 893 --
Payable upon Return of Securities Loaned (Note 8) -- -- 14,529,980 70,251,053
Payable for Securities Purchased (Note 1) 2,012,702 379,789 -- 22,722,738
Liability for Fund Shares Redeemed 193,148 126,315 80,803 1,647,298
Investment Advisory Fees Payable (Note 3) 172,452 35,634 30,199 247,135
Transfer Agent and Administrative Fees Payable (Note 3) -- -- 15,749 68,649
Distribution and Service Fees Payable (Note 3) 18,491 4,007 11,199 46,522
Portfolio Accounting Fees Payable (Note 3) -- -- 6,300 25,903
Custody Fees Payable -- -- 2,759 7,320
Cash Due to Custodian Bank -- 2,915,224 -- 983,865
Short Sales Dividends Payable 48,895 11,651 -- --
Other Liabilities -- -- 31,006 141,032
- --------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 86,012,556 29,264,596 14,708,888 96,141,515
==========================================================================================================================
NET ASSETS $ 183,301,400 $ 36,527,839 $ 74,633,138 $ 315,040,611
==========================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 181,638,314 36,004,594 60,545,261 306,893,535
Undistributed Net Investment Income (Loss) 1,814,048 486,641 (129,481) (813,926)
Accumulated Net Realized Gain (Loss) on Investments,
Credit Default Swaps, and Futures Contracts (697,828) (140,233) 4,923,904 (1,033,627)
Net Unrealized Appreciation on Investments,
Credit Default Swaps, and Futures Contracts 546,866 176,837 9,293,454 9,994,629
==========================================================================================================================
NET ASSETS $ 183,301,400 $ 36,527,839 $ 74,633,138 $ 315,040,611
==========================================================================================================================
A-Class $ 21,427,918 $ 4,009,372 $ 4,773,553 $ 41,215,405
C-Class 30,013,676 7,327,363 29,938,698 120,322,693
H-Class 131,859,806 25,191,104 39,920,887 153,502,513
SHARES OUTSTANDING
A-Class 828,236 154,949 288,457 3,217,961
C-Class 1,169,224 285,308 1,870,345 9,689,553
H-Class 5,094,846 973,338 2,412,577 11,950,698
NET ASSET VALUES
A-Class $ 25.87 $ 25.88 $ 16.55 $ 12.81
A-Class Maximum Offering Price*** 27.16 27.17 17.38 13.45
C-Class 25.67 25.68 16.01 12.42
H-Class 25.88 25.88 16.55 12.84
* THE COST OF SECURITIES AT VALUE IS $170,855,919, $36,967,347, $79,800,873
AND $373,752,197, RESPECTIVELY.
** THE PROCEEDS OF SHORT SALES AT MARKET VALUE IS $80,969,710, $25,231,982,
$0, AND $0, RESPECTIVELY.
*** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED MULTI-CAP SECTOR
STRATEGIES EQUITY CORE EQUITY ROTATION
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 2,124,728 $ 624,267 $ 59,432 $ 92,812
Interest from Securities Lending, net (Note 8) -- -- 8,680 81,979
Dividends, Net of Foreign Tax Withheld* (Note 1) 565,420 120,398 518,135 2,648,400
Other Income 128,627 38,862 -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Income 2,818,775 783,527 586,247 2,823,191
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 686,683 176,799 295,724 1,707,075
Transfer Agent and Administrative Fees (Note 3) -- -- 99,009 474,188
Distribution & Service Fees (Note 3):
A-Class 14,773 3,804 4,165 51,093
C-Class 92,624 28,106 151,499 624,655
H-Class 111,349 27,604 56,970 266,931
Portfolio Accounting Fees (Note 3) -- -- 39,604 173,420
Short Sales Dividend Expense (Note 1) 234,264 88,480 -- --
Trustees' Fees** 2,808 871 2,866 12,989
Custody Fees 9,874 2,901 13,312 74,211
Miscellaneous (12,682) (3,772) 52,579 252,555
- --------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,139,693 324,793 715,728 3,637,117
- --------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,679,082 458,734 (129,481) (813,926)
- --------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (3,046,207) 86,268 2,865,487 (10,123,284)
Futures Contracts (405,905) (324,370) (420,327) --
Securities Sold Short 2,920,782 57,430 -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (531,330) (180,672) 2,445,160 (10,123,284)
- --------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 1,217,544 (155,410) (4,003,850) (35,806,801)
Credit Default Swaps 162,999 -- -- --
Futures Contracts 682,949 54,002 (72,425) --
Securities Sold Short (1,913,622) (120,377) -- --
- --------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 149,870 (221,785) (4,076,275) (35,806,801)
- --------------------------------------------------------------------------------------------------------------------------
Net Loss on Investments (381,460) (402,457) (1,631,115) (45,930,085)
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,297,622 $ 56,277 $ (1,760,596) $ (46,744,011)
- --------------------------------------------------------------------------------------------------------------------------
* FOREIGN TAX WITHHELD OF $762, $322, $0, AND $58,230, RESPECTIVELY.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(a)(19) OF THE 1940 ACT.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND HEDGED EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------
PERIOD PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006* 2006+ 2006*
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 1,679,082 $ 188,674 $ 458,734 $ 91,813
Net Realized Gain (Loss) on Investments (531,330) (165,703) (180,672) 41,571
Net Change in Unrealized Appreciation (Depreciation)
on Investments 149,870 396,996 (221,785) 398,622
- -----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS 1,297,622 419,967 56,277 532,006
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
A-Class -- (4,056) -- (2,041)
C-Class -- (5,161) -- (2,346)
H-Class -- (26,307) -- (16,727)
Realized Gain on Investment
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS -- (35,524) -- (21,114)
=======================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 17,192,528 5,923,913 2,645,418 1,744,267
C-Class 26,710,368 7,650,488 5,893,038 4,220,376
H-Class 137,313,519 39,257,415 16,339,163 21,043,451
REDEMPTION FEES COLLECTED
A-Class 5,970 496 1,264 340
C-Class 9,983 1,982 2,351 4,855
H-Class 48,258 38,128 9,372 10,849
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT
A-Class -- 3,202 -- 1,865
C-Class -- 4,845 -- 2,054
H-Class -- 21,204 -- 13,916
COST OF SHARES REDEEMED
A-Class (1,709,291) (196,629) (327,246) (121,004)
C-Class (4,245,433) (354,008) (1,497,428) (1,354,798)
H-Class (37,261,609) (8,795,994) (8,544,108) (4,127,325)
=======================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS 138,064,293 43,555,042 14,521,824 21,438,846
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 139,361,915 43,939,485 14,578,101 21,949,738
NET ASSETS -- BEGINNING OF PERIOD 43,939,485 -- 21,949,738 --
=======================================================================================================================
NET ASSETS -- END OF PERIOD $ 183,301,400 $ 43,939,485 $ 36,527,839 $ 21,949,738
=======================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,814,048 $ 134,966 $ 486,641 $ 27,907
=======================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005.
+ UNAUDITED.
38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND SECTOR ROTATION FUND
- -----------------------------------------------------------------------------------------------------------------------
PERIOD YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (129,481) $ (341,616) $ (813,926) $ (985,900)
Net Realized Gain (Loss) on Investments 2,445,160 6,796,622 (10,123,284) 21,885,548
Net Change in Unrealized Appreciation (Depreciation)
on Investments (4,076,275) 6,242,318 (35,806,801) 30,553,890
- -----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS (1,760,596) 12,697,324 (46,744,011) 51,453,538
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
Realized Gain on Investment
A-Class -- (129,165) -- --
C-Class -- (1,805,667) -- --
H-Class -- (2,675,295) -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS -- (4,610,127) -- --
=======================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 2,621,986 2,331,697 31,815,897 37,159,887
C-Class 9,102,249 12,246,181 61,417,131 79,369,448
H-Class 27,637,639 81,410,235 186,339,295 294,322,484
REDEMPTION FEES COLLECTED
A-Class -- -- -- --
C-Class -- -- -- --
H-Class -- -- -- --
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT
A-Class -- 93,039 -- --
C-Class -- 1,724,465 -- --
H-Class -- 2,369,773 -- --
COST OF SHARES REDEEMED
A-Class (926,474) (469,894) (16,539,633) (12,405,032)
C-Class (9,691,171) (20,920,892) (45,397,995) (33,199,991)
H-Class (39,732,876) (86,327,879) (250,555,074) (136,313,098)
=======================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE
TRANSACTIONS (10,988,647) (7,543,275) (32,920,379) 228,933,698
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (12,749,243) 543,922 (79,664,390) 280,387,236
NET ASSETS -- BEGINNING OF PERIOD 87,382,381 86,838,459 394,705,001 114,317,765
=======================================================================================================================
NET ASSETS -- END OF PERIOD $ 74,633,138 $ 87,382,381 $ 315,040,611 $ 394,705,001
=======================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (129,481) $ -- $ (813,926) $ --
=======================================================================================================================
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET REALIZED NET INCREASE
NET ASSET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, NET UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INVESTMENT GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL
OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND A-CLASS
SEPTEMBER 30, 2006# $ 25.52 $ .36 $ (.01) $ .35 $ -- $ -- $ --
March 31, 2006* 25.00 .29 .30 .59 (.07) -- (.07)
ABSOLUTE RETURN STRATEGIES FUND C-CLASS
SEPTEMBER 30, 2006# 25.42 .27 (.02) .25 -- -- --
March 31, 2006* 25.00 .19 .30 .49 (.07) -- (.07)
ABSOLUTE RETURN STRATEGIES FUND H-CLASS
SEPTEMBER 30, 2006# 25.53 .37 (.02) .35 -- -- --
March 31, 2006* 25.00 .29 .31 .60 (.07) -- (.07)
HEDGED EQUITY FUND A-CLASS
SEPTEMBER 30, 2006# 25.86 .40 (.38) .02 -- -- --
March 31, 2006* 25.00 .26 .69 .95 (.09) -- (.09)
HEDGED EQUITY FUND C-CLASS
SEPTEMBER 30, 2006# 25.76 .30 (.38) (.08) -- -- --
March 31, 2006* 25.00 .16 .69 .85 (.09) -- (.09)
HEDGED EQUITY FUND H-CLASS
SEPTEMBER 30, 2006# 25.86 .40 (.38) .02 -- -- --
March 31, 2006* 25.00 .26 .69 .95 (.09) -- (.09)
RATIOS TO
AVERAGE NET ASSETS:
NET INCREASE NET ASSET ------------------------------------------ NET ASSETS,
(DECREASE) VALUE, TOTAL NET PORTFOLIO END OF
IN NET ASSET END OF INVESTMENT GROSS NET OPERATING INVESTMENT TURNOVER PERIOD (000'S
VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES++ INCOME RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND A-CLASS
SEPTEMBER 30, 2006# $ .35 $ 25.87 1.37% 1.82%** 1.82%** 1.43%** 2.86%** 110% $ 21,428
March 31, 2006* .52 25.52 2.36% 1.87%** 1.87%** 1.45%** 2.20%** 127% 5,791
ABSOLUTE RETURN STRATEGIES FUND C-CLASS
SEPTEMBER 30, 2006# .25 25.67 0.98% 2.57%** 2.57%** 2.18%** 2.11%** 110% 30,014
March 31, 2006* .42 25.42 1.96% 2.65%** 2.65%** 2.23%** 1.42%** 127% 7,352
ABSOLUTE RETURN STRATEGIES FUND H-CLASS
SEPTEMBER 30, 2006# .35 25.88 1.37% 1.80%** 1.80%** 1.41%** 2.97%** 110% 131,860
March 31, 2006* .53 25.53 2.40% 1.83%** 1.83%** 1.41%** 2.18%** 127% 30,796
HEDGED EQUITY FUND A-CLASS
SEPTEMBER 30, 2006# .02 25.88 0.08% 1.97%** 1.97%** 1.40%** 3.15%** 102% 4,009
March 31, 2006* .86 25.86 3.81% 2.10%** 2.10%** 1.44%** 1.91%** 159% 1,672
HEDGED EQUITY FUND C-CLASS
SEPTEMBER 30, 2006# (.08) 25.68 (0.31)% 2.73%** 2.73%** 2.16%** 2.38%** 102% 7,327
March 31, 2006* .76 25.76 3.41% 2.86%** 2.86%** 2.20%** 1.16%** 159% 2,957
HEDGED EQUITY FUND H-CLASS
SEPTEMBER 30, 2006# .02 25.88 0.08% 1.97%** 1.97%** 1.40%** 3.11%** 102% 25,191
March 31, 2006* .86 25.86 3.81% 2.07%** 2.07%** 1.41%** 1.96%** 159% 17,321
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ OPERATING EXPENSES EXCLUDES SHORT DIVIDEND EXPENSE.
# UNAUDITED
40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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.
NET REALIZED NET INCREASE
NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS
VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET
BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED
OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS
- -------------------------------------------------------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND A-CLASS
SEPTEMBER 30, 2006# $ 16.72 $ -- $ (.17) $ (.17) $ -- $ --
March 31, 2006 15.01 (.01) 2.59 2.58 -- (.87)
March 31, 2005 14.44 .02 1.16 1.18 -- (.61)
March 31, 2004* 14.44 -- -- -- -- --
MULTI-CAP CORE EQUITY FUND C-CLASS
SEPTEMBER 30, 2006# 16.24 (.06) (.17) (.23) -- --
March 31, 2006 14.71 (.13) 2.53 2.40 -- (.87)
March 31, 2005 14.27 (.10) 1.15 1.05 -- (.61)
March 31, 2004 10.11 (.11) 4.38 4.27 -- (.11)
March 31, 2003* 10.00 (.03) .14 .11 -- --
MULTI-CAP CORE EQUITY FUND H-CLASS
SEPTEMBER 30, 2006# 16.72 -- (.17) (.17) -- --
March 31, 2006 15.01 (.02) 2.60 2.58 -- (.87)
March 31, 2005 14.44 -- 1.18 1.18 -- (.61)
March 31, 2004 10.15 (.01) 4.41 4.40 -- (.11)
March 31, 2003* 10.00 .01 .14 .15 -- --
SECTOR ROTATION FUND A-CLASS
SEPTEMBER 30, 2006# 14.15 (.01) (1.33) (1.34) -- --
March 31, 2006 11.10 (.04) 3.09 3.05 -- --
March 31, 2005 10.45 (.02) .67 .65 -- --
March 31, 2004* 10.45 -- -- -- -- --
SECTOR ROTATION FUND C-CLASS
SEPTEMBER 30, 2006# 13.76 (.06) (1.28) (1.34) -- --
March 31, 2006 10.87 (.12) 3.01 2.89 -- --
March 31, 2005 10.30 (.10) .67 .57 -- --
March 31, 2004 7.53 (.16) 2.93 2.77 -- --
March 31, 2003 9.99 (.07) (2.39) (2.46) -- --
March 31, 2002* 10.00 -- (.01) (.01) -- --
SECTOR ROTATION FUND H-CLASS
SEPTEMBER 30, 2006# 14.18 (.02) (1.32) (1.34) -- --
March 31, 2006 11.12 (.03) 3.09 3.06 -- --
March 31, 2005 10.45 (.03) .70 .67 -- --
March 31, 2004 7.58 (.09) 2.96 2.87 -- --
March 31, 2003 9.99 (.01) (2.40) (2.41) -- --
March 31, 2002* 10.00 -- (.01) (.01) -- --
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET INCREASE NET ASSET NET NET ASSETS,
(DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF
TOTAL IN NET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
DISTRIBUTIONS ASSET VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND A-CLASS
SEPTEMBER 30, 2006# $ -- $ (.17) $ 16.55 (1.02)% 1.49%** (0.01)%** 44% $ 4,774
March 31, 2006 (.87) 1.71 16.72 17.55% 1.66% (0.08)% 168% 3,079
March 31, 2005 (.61) .57 15.01 8.16% 1.57% 0.16% 159% 906
March 31, 2004* -- -- 14.44 0.00% 0.00%**@ 0.00%** 226% 1
MULTI-CAP CORE EQUITY FUND C-CLASS
SEPTEMBER 30, 2006# -- (.23) 16.01 (1.42)% 2.25%** (0.78)%** 44% 29,939
March 31, 2006 (.87) 1.53 16.24 16.68% 2.40% (0.87)% 168% 30,981
March 31, 2005 (.61) .44 14.71 7.34% 2.31% (0.71)% 159% 34,793
March 31, 2004 (.11) 4.16 14.27 42.29% 2.24% (0.87)% 226% 23,811
March 31, 2003* -- .11 10.11 1.10% 2.41%** (0.48)%** 123% 5,771
MULTI-CAP CORE EQUITY FUND H-CLASS
SEPTEMBER 30, 2006# -- (.17) 16.55 (1.02)% 1.51%** (0.05)%** 44% 39,921
March 31, 2006 (.87) 1.71 16.72 17.55% 1.64% (0.11)% 168% 53,323
March 31, 2005 (.61) .57 15.01 8.16% 1.56% 0.03% 159% 51,139
March 31, 2004 (.11) 4.29 14.44 43.41% 1.49% (0.11)% 226% 42,568
March 31, 2003* -- .15 10.15 1.50% 1.67%** 0.22%** 123% 18,516
SECTOR ROTATION FUND A-CLASS
SEPTEMBER 30, 2006# -- (1.34) 12.81 (9.47)% 1.67%** (0.10)%** 196% 41,215
March 31, 2006 -- 3.05 14.15 27.48% 1.67% (0.33)% 263% 30,593
March 31, 2005 -- .65 11.10 6.22% 1.63% (0.19)% 262% 2,989
March 31, 2004* -- -- 10.45 0.00% 0.00%**@ 0.00%** 253% 5
SECTOR ROTATION FUND C-CLASS
SEPTEMBER 30, 2006# -- (1.34) 12.42 (9.74)% 2.41%** (0.88)%** 196% 120,323
March 31, 2006 -- 2.89 13.76 26.59% 2.41% (0.95)% 263% 118,083
March 31, 2005 -- .57 10.87 5.53% 2.38% (1.03)% 262% 54,604
March 31, 2004 -- 2.77 10.30 36.79% 2.41% (1.66)% 253% 59,192
March 31, 2003 -- (2.46) 7.53 (24.62)% 2.44% (0.83)% 451% 17,538
March 31, 2002* -- (.01) 9.99 (0.10)% 2.44%** (1.86)%** -- 5,150
SECTOR ROTATION FUND H-CLASS
SEPTEMBER 30, 2006# -- (1.34) 12.84 (9.45)% 1.66%** (0.22)%** 196% 153,503
March 31, 2006 -- 3.06 14.18 27.52% 1.66% (0.25)% 263% 246,029
March 31, 2005 -- .67 11.12 6.41% 1.64% (0.31)% 262% 56,725
March 31, 2004 -- 2.87 10.45 37.86% 1.66% (0.88)% 253% 86,677
March 31, 2003 -- (2.41) 7.58 (24.12)% 1.68% (0.08)% 451% 34,845
March 31, 2002* -- (.01) 9.99 (0.10)% 1.69%** (1.13)%** -- 18,055
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 22, 2002--SECTOR ROTATION FUND
C-CLASS AND H-CLASS; SEPTEMBER 23, 2002--MULTI-CAP CORE EQUITY FUND
C-CLASS AND H-CLASS; MARCH 31, 2004--MULTI-CAP CORE EQUITY FUND A-CLASS
AND SECTOR ROTATION FUND A-CLASS.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
@ EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE
DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
# UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Funds (the "Trust") is registered with the SEC under the
Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended
investment company, and is authorized to issue an unlimited number of no par
value shares. The Trust offers five separate classes of shares, Investor Class
Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class
Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if
Shares are redeemed within 12 months of purchase. Sales of shares of each Class
are made without a sales charge at the net asset value per share, with the
exception of A-Class Shares. A-Class Shares are sold at net asset value, plus
the applicable front-end sales charge. The sales charge varies depending on the
amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of
$1 million or more have a 1% CDSC if Shares are redeemed within 18 months of
purchase. The current sales charge rates are as follows:
SALES CHARGE SALES CHARGE
AS % OF AS % OF NET
AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED
- -----------------------------------------------------------------------------
Less than $100,000 4.75% 4.99%
$100,000 but less than
$250,000 3.75% 3.90%
$250,000 but less than
$500,000 2.75% 2.83%
$500,000 but less than
$1,000,000 1.60% 1.63%
$1,000,000 or greater 0.00% 0.00%
At September 30, 2006, the Trust consisted of fifty-three separate series:
twenty-six Benchmark Funds, one Money Market Fund, nineteen Sector Funds, four
Alternative Strategy Funds and three Essential Portfolio Funds. This report
covers the Alternative Strategy Funds (the "Funds"), while the Money Market
Fund, the Benchmark Funds, the Sector Funds and the Essential Portfolio Funds
are contained in separate reports. As of September 30, 2006, only A-Class,
C-Class and H-Class Shares had been issued in the Alternative Strategy Funds.
All share classes of the Absolute Return Strategies Fund and the Hedged Equity
Fund are subject to a 1% redemption fee when shares are redeemed after being
held for less than 30 days. At a meeting on September 25, 2006, the Board of
Trustees approved redemption fees of 1% on redemptions of shares held for less
than 30 days for all share classes of the Multi-Cap Core Equity Fund and the
Sector Rotation Fund. These fees will be effective on January 1, 2007. For the
period October 1, 2006 through December 31, 2006, shareholders will be
restricted to one substantive redemption out of the Fund followed by a purchase
of the Fund during the period.
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America and are
consistently followed by the Trust.
A. Equity securities listed on an exchange (New York Stock Exchange ("NYSE") or
American Stock Exchange) are valued at the last quoted sales price as of close
of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date.
Equity securities listed on the NASDAQ market system are valued at the NASDAQ
Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation
date. Listed options held by the Trust are valued at the Official Settlement
Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. In the
event that a settlement price is not available, fair valuation is enacted.
Over-the-counter options held by the Trust are valued using the average bid
price obtained from one or more security dealers. The value of futures contracts
purchased and sold by the Trust are accounted for using the unrealized gain or
loss on the contracts that is determined by marking the contracts to their
current realized settlement prices. Financial futures contracts are valued at
the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the
valuation date. In the event that the exchange for a specific futures contract
closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more
accurate valuation. Short-term securities, if any, are valued at amortized cost,
which approximates market value.
The value of domestic equity index and credit default swap agreements entered
into by the Funds is accounted for using the unrealized gain or loss on the
agreements that is determined by marking the agreements to the last quoted value
of the index that the swap pertains to at the close of the NYSE, usally 4:00
p.m., Eastern Time. The swap's market value is then adjusted to include
dividends accrued, financing charges and/or interest associated with the swap
agreements.
Investments for which market quotations are not readily available, are valued at
fair value as determined in good faith by Rydex Investments (the "Advisor")
under direction of the Board of Trustees using methods established or ratified
by the Board of Trustees. These methods include, but are not limited to: (i)
general information as to how these securities and assets trade; (ii) in
connection with futures contracts and options thereupon, and other derivative
investments, information as to how (a) these contracts and other derivative
investments trade in the futures or other derivative markets, respectively, and
42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(b) the securities underlying these contracts and other derivative investments
trade in the cash market; and (iii) other information and considerations,
including current values in related-markets.
B. Securities transactions are recorded on the trade date for financial
reporting purposes. Realized gains and losses from securities transactions are
recorded using the identified cost basis. Proceeds from lawsuits related to
investment holdings are recorded as realized gains in the respective Fund.
Dividend income is recorded on the ex-dividend date, net of applicable taxes
withheld by foreign countries. Interest income, including amortization of
premiums and accretion of discount, is accrued on a daily basis.
C. Interest and dividend income, most expenses, all realized gains and losses,
and all unrealized gains and losses are allocated to the Classes based upon the
value of the outstanding shares in each Class. Certain costs, such as
distribution fees relating to A-Class Shares and H-Class Shares and service and
distribution fees related to C-Class Shares, are charged directly to specific
Classes. In addition, certain expenses have been allocated to the individual
Funds in the Trust on a pro rata basis upon the respective aggregate net asset
value of each Fund included in the Trust.
D. Distributions of net investment income and net realized capital gains are
recorded on the ex-dividend date and are determined in accordance with income
tax regulations which may differ from accounting principles generally accepted
in the United States of America. These differences are primarily due to
differing treatments for items such as deferral of wash sales and post-October
losses and regulated futures contracts and options. Net investment income and
loss, net realized gains and losses, and net assets are not affected by these
differences.
E. When a Fund engages in short sales, 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.
A segregated account of cash and/or securities is maintained as collateral for
short sales. The Funds are exposed to market risk based on the amount, if any,
that the market value of the security exceeds the market value of the securities
in the segregated account. Fees, if any, paid to brokers to borrow securities in
connection with short sales are considered part of the cost of short sale
transactions. In addition, the Funds must pay out the dividend rate of the
equity or coupon rate of the treasury obligation to the purchaser and record
this as an expense. Short Dividends 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.
F. Upon the purchase of an option by a Fund, the premium paid is recorded as an
investment, the value of which is marked-to-market daily. When a purchased
option expires, the Fund will realize a loss in the amount of the cost of the
option. When the Fund enters into a closing sale transaction, the Fund will
realize a gain or loss depending on whether the proceeds from the closing sale
transaction are greater or less than the cost of the option. When a Fund
exercises a put option, it will realize a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When a Fund exercises a call option, the cost of the
security that the Fund purchases upon exercise will be increased by the premium
originally paid. When a Fund writes (sells) an option, an amount equal to the
premium received is entered in the Trust's accounting records as an asset and
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a
written option expires, or if the Fund enters into a closing purchase
transaction, the Fund realizes a gain (or loss if the cost of a closing purchase
transaction exceeds the premium received when the option was sold).
G. The Trust may purchase or sell stock and bond index futures contracts and
options on such futures contracts. Futures contracts are contracts for delayed
delivery of securities at a specified future delivery date and at a specific
price. Upon entering into a contract, a Fund deposits and maintains as
collateral such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin
and are recorded by the Fund as unrealized gains or losses. When the contract is
closed, the Fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it
was closed.
H. The Trust may enter into swap agreements, which are over-the-counter
contracts in which one party agrees to make periodic payments based on the
change in market value of a specified equity security, basket of equity
securities, or equity index in return for periodic payments based on a fixed or
variable interest rate or the change in market value of a different equity
security, basket of equity securities, or equity index. Swap agreements are used
to obtain exposure to an equity or market without owning or taking physical
custody of securities.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
I. The Funds seek long-term capital appreciation and respond to the dynamically
changing economy by moving their investments among different sectors or
industries. The Funds may also purchase American Depository Receipts, U.S.
Government securities, enter into repurchase agreements, and engage in futures,
options and swap transactions.
J. The Funds may leave cash overnight in their cash account with the custodian,
U.S. Bancorp. Periodically, a Fund may have cash due to custodian bank as an
overdraft balance. A fee is incurred on this overdraft, calculated by
multiplying the overdraft by a rate based on the federal funds rate. Segregated
cash with the broker is held as collateral for investments in derivative
instruments such as futures contracts and equity index swap agreements.
K. Certain U.S. Government and Agency Obligations are traded on a discount
basis; the interest rates shown on the Schedules of Investments reflect the
discount rates paid at the time of purchase by the Funds. Other securities bear
interest at the rates shown, payable at fixed dates through maturity.
L. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from these
estimates.
2. FINANCIAL INSTRUMENTS
As part of its investment strategy, the Trust may utilize a variety of
derivative instruments, including options, futures, options on futures, and swap
agreements. These investments involve, to varying degrees, elements of market
risk and risks in excess of the amounts recognized in the Statements of Assets
and Liabilities.
In 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 its affiliates that have not yet occurred. However, based on experience,
the Funds expect the risk of loss to be remote.
The risk associated with purchasing options is limited to the premium originally
paid. Options written by a Fund involve, to varying degrees, risk of loss in
excess of the option value reflected in the Statements of Assets and
Liabilities. The risk in writing a covered call option is that a Fund may forego
the opportunity for profit if the market price of the underlying security
increases and the option is exercised. The risk in writing a covered put option
is that a Fund may incur a loss if the market price of the underlying security
decreases and the option is exercised. In addition, there is the risk that a
Fund may not be able to enter into a closing transaction because of an illiquid
secondary market or, for over-the-counter options, because of the counterparty's
inability to perform. The Trust has established strict counterparty credit
guidelines and enters into transactions only with financial institutions of
investment grade or better.
There are several risks in connection with the use of futures contracts. Futures
contracts involve, to varying degrees, risk of loss in excess of amounts
reflected in the financial statements. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price of
the underlying securities. In addition, there is the risk that a Fund may not be
able to enter into a closing transaction because of an illiquid secondary
market.
The use of swaps involves risks that are different from those associated with
ordinary portfolio securities transactions. Swap agreements may be considered to
be illiquid. Although the Trust will not enter into any swap agreement unless
the Advisor believes that the other party to the transaction is creditworthy,
the Funds bear the risk of loss of the amount expected to be received under a
swap agreement in the event of the default or bankruptcy of the agreement
counterparty. The Trust has established strict counterparty credit guidelines
and enters into transactions only with financial institutions of investment
grade or better.
Short sales are transactions in which a Fund sells a security it does not own.
If the security the Fund sold short goes down 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 goes up 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.
In conjunction with the use of options, futures, options on futures, swap
agreements, as well as short sales of securities, the Funds are required to
maintain collateral in various forms. The Funds use, where appropriate,
depending on the financial instrument utilized and the broker involved, margin
deposits at the broker, cash and/or securities segregated at the custodian bank,
discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of options, futures contracts, options on futures
contracts, swap agreements, as well as short sales of securities include i)
adverse
44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
changes in the value of such instruments; ii) imperfect correlation between the
price of the instruments and movements in the price of the underlying
securities, indices, or futures contracts; iii) the possible absence of a liquid
secondary market for any particular instrument at any time; and iv) the
potential of counterparty default.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of an investment advisory contract, the Trust pays the Advisor,
an affiliated entity, investment advisory fees calculated at an annualized rate
of 0.90% of the average daily net assets of the Sector Rotation Fund and 1.15%
of the average daily net assets of the Absolute Return Strategies Fund and the
Hedged Equity Fund. As part of its agreement with the Trust, the Advisor will
pay all expenses of the Absolute Return Strategies Fund and Hedged Equity Fund,
including the cost of transfer agency, custody, fund administration, legal,
audit and other services, except interest expense, taxes (expected to be de
minimis), brokerage commissions and other expenses connected with execution of
portfolio transactions, short dividend expenses, and extraordinary expenses.
Also under the terms of the investment advisory contract, the Trustees voted to
implement a performance adjustment for the Multi-Cap Core Equity Fund. The Trust
pays the Advisor investment advisory fees calculated at a basic annual fee rate
of 0.70% of the average daily net assets of this Fund, adding or subtracting a
performance rate up to 0.20%. The basic annual fee rate, along with the
performance adjustment allows the total fee to increase to a maximum of 0.90% or
decrease to a minimum of 0.50%, depending on the investment performance of the
Fund relative to the Russell 3000 Index (the "Index"). The performance
comparison will be made for a rolling 12-month period, with performance
adjustments made at the end of each month. Because the performance adjustment is
applied relative to the performance of the Index, the Advisor could receive a
positive performance adjustment even during periods where the Fund's performance
is negative. At September 30, 2006, the effective management fee was 0.50% of
the Fund's average daily net assets. Certain officers and trustees of the Trust
are also officers of the Advisor.
Rydex Investments, an affiliated entity, provides transfer agent and
administrative services to the Multi-Cap Core Equity Fund and Sector Rotation
Fund for fees calculated at an annualized rate of 0.25% of the average daily net
assets of these Funds. The Servicer also provides transfer agent and
administrative services to the Absolute Return Strategies Fund and the Hedged
Equity Fund, however the related fees are paid by the Advisor as noted above.
Rydex Investments provides accounting services to the Multi-Cap Core Equity Fund
and Sector Rotation Fund calculated at an annualized rate of 0.10% on the first
$250 million of the average daily net assets, 0.075% on the next $250 million of
the average daily net assets, 0.05% on the next $250 million of the average
daily net assets, and 0.03% on the average daily net assets over $750 million of
these Funds. Rydex Investments also provides accounting services to the Absolute
Return Strategies Fund and the Hedged Equity Fund, however the related fees are
paid by the Advisor, as noted above. Certain officers and trustees of the Trust
are also officers of Rydex Investments.
Rydex Investments also provides other necessary services to the Trust, such as
accounting and auditing services, legal services, printing and mailing, etc., on
a passthrough basis. Such expenses vary from Fund to Fund and are allocated to
the Funds based on relative net assets. Any of these expenses allocated to the
Absolute Return Strategies Fund and the Hedged Equity Fund are paid by the
Advisor, as noted above. Organizational and setup costs for new funds are paid
by the Trust.
The Trust has adopted a Distribution Plan applicable to its A-Class Shares and
H-Class Shares for which Rydex Distributors, Inc. (the "Distributor"), an
affiliated entity, and other firms that provide distribution and/or shareholder
services ("Service Providers") may receive compensation. If a Service Provider
provides distribution services, the Trust will pay distribution fees to the
Distributor at an annual rate not to exceed 0.25% of average daily net assets,
pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the
Service Provider out of its fees.
The Trust has adopted a separate Distribution and Shareholder Services Plan
applicable to its C-Class Shares that allows the Funds to pay annual
distribution and service fees of 1.00% of the Funds' C-Class Shares average
daily net assets. The annual 0.25% service fee compensates the shareholder's
financial advisor for providing ongoing services to the shareholder. The annual
0.75% distribution fee reimburses the Distributor for paying the shareholder's
financial advisor an on-going sales commission. The Distributor advances the
first year's service and distribution fees to the Financial Advisor. The
Distributor retains the service and distribution fees on accounts with no
authorized dealer of record. Certain officers and trustees of the Trust are also
officers of the Distributor.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and will distribute all net
investment income and capital gains to shareholders. Therefore, no Federal
income tax provision is required.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments for derivatives, foreign currency transactions, losses
deferred due to wash sales, losses deferred due to post-October losses, and
excise tax regulations.
Permanent book and tax basis differences, if any, relating to shareholder
distributions will result in reclassifications to paid-in capital. This includes
net operating losses not utilized during the current period, capital loss
carryforward expired, and the utilization of earnings and profits distributed to
the shareholders on redemption of shares as part of the dividends paid deduction
for income tax purposes. These reclassifications have no effect on net assets or
net asset values per share. Any taxable gain remaining at fiscal year end is
distributed in the following year.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns 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. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and its impact in the financial statements
has not yet been determined.
At September 30, 2006, the cost of securities for Federal income tax purposes,
the aggregate gross unrealized gain for all securities for which there was an
excess of value over tax cost and the aggregate gross unrealized loss for all
securities for which there was an excess of tax cost over value, were as
follows:
TAX NET TAX
TAX UNREALIZED UNREALIZED UNREALIZED
FUND COST GAIN (LOSS) GAIN
- -------------------------------------------------------------------------------------------
Absolute Return Strategies Fund $ 89,886,209 $ 5,854,526 $(5,470,659) $ 383,867
Hedged Equity Fund 11,735,365 1,926,988 (1,750,151) 176,837
Multi-Cap Core Equity Fund 79,800,873 11,521,497 (2,228,043) 9,293,454
Sector Rotation Fund 373,752,197 13,092,241 (3,097,612) 9,994,629
5. REPURCHASE AGREEMENTS
The Funds transfer uninvested cash balances into a single joint account, along
with uninvested cash balances of the S&P 500 Fund, the OTC Fund, the Mid-Cap
Advantage Fund, the Inverse Mid-Cap Fund, the Russell 2000(R) Advantage Fund,
the Russell 2000(R) Fund, the Inverse Russell 2000(R) Fund, the Government Long
Bond Advantage Fund, the Europe Advantage Fund, the Japan Advantage Fund, the
Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the
Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, the
Dynamic Strengthening Dollar Fund, the Dynamic Weakening Dollar Fund, the Nova
Master Portfolio, the Inverse S&P 500 Master Portfolio, the Inverse OTC Master
Portfolio, and the Inverse Government Long Bond Master Portfolio (all included
in the Trust, but contained in separate reports). The daily aggregate balance is
invested in one or more repurchase agreements collateralized by obligations of
the U.S. Treasury. The collateral is in the possession of the Trust's custodian
and is evaluated daily to ensure that its market value exceeds by, at a minimum,
102% of the delivery value of the repurchase agreement at maturity.
The repurchase agreements executed by the joint account and outstanding as of
September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE
- -------------------------------------------------------------------------------------------------
Bear Stearns and Cos., Inc. 4.80% due 10/02/06 $600,000,000 $ 600,000,000 $ 600,240,000
Morgan Stanley 4.89% due 10/02/06 325,000,000 325,000,000 325,132,438
Credit Suisse First Boston 4.94% due 10/02/06 155,139,690 155,139,690 155,203,556
Mizuho 4.95% due 10/02/06 500,000,000 500,000,000 500,206,250
Lehman Brothers, Inc. 5.00% due 10/02/06 109,323,450 109,323,450 109,369,002
- -------------------------------------------------------------------------------------------------
$1,689,463,140 $1,690,151,246
- -------------------------------------------------------------------------------------------------
As of September 30, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE
- -------------------------------------------------------------------------------------------------
U. S. Treasury Bonds 6.750% - 8.500% $ 481,470,000 $ 633,622,428
U. S. Treasury Notes 0.875% - 7.500% 754,857,327 779,207,541
U. S. Treasury Bills 0.000% 320,160,000 315,602,626
- -------------------------------------------------------------------------------------------------
$1,728,432,595
- -------------------------------------------------------------------------------------------------
46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
In the event of counterparty default, the Trust has the right to collect the
collateral to offset losses incurred. There is potential loss to the Trust in
the event the Trust is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible decline
in the value of the underlying securities during the period while the Trust
seeks to assert its rights. The Trust's investment advisor, acting under the
supervision of the Board of Trustees, reviews the value of the collateral and
the credit worthiness of those banks and dealers with which the Trust enters
into repurchase agreements to evaluate potential risks.
6. SECURITIES TRANSACTIONS
During the period ended September 30, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
ABSOLUTE HEDGED MULTI-CAP SECTOR
RETURN STRATEGIES EQUITY CORE EQUITY ROTATION
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------
Purchases $ 172,171,073 $33,772,665 $34,365,512 $738,287,077
Sales $ 68,954,794 $17,147,947 $42,110,285 $764,364,963
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
7. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of no par value
shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2006+ 2006 2006+ 2006 2006+ 2006
- ------------------------------------------------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
A-Class 667,993 234,585* -- 128* (66,678) (7,792)*
C-Class 1,046,526 303,061* -- 194* (166,489) (14,068)*
H-Class 5,340,182 1,553,726* -- 848* (1,451,682) (348,228)*
HEDGED EQUITY FUND
A-Class 103,094 69,350* -- 75* (12,827) (4,743)*
C-Class 229,470 167,722* -- 83* (58,952) (53,015)*
H-Class 637,597 831,882* -- 560* (334,007) (162,694)*
MULTI-CAP CORE EQUITY FUND
A-Class 161,195 148,120 -- 5,900 (56,837) (30,237)
C-Class 583,279 797,282 -- 112,416 (620,785) (1,366,871)
H-Class 1,694,439 5,144,968 -- 150,271 (2,470,272) (5,513,081)
SECTOR ROTATION FUND
A-Class 2,289,629 2,839,301 -- -- (1,234,273) (945,908)
C-Class 4,629,031 6,283,225 -- -- (3,518,887) (2,725,801)
H-Class 13,604,276 23,056,754 -- -- (18,999,624) (10,812,313)
NET SHARES PURCHASED (REDEEMED)
- ----------------------------------------------------------------
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31,
2006+ 2006
- ----------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
A-Class 601,315 226,921*
C-Class 880,037 289,187*
H-Class 3,888,500 1,206,346*
HEDGED EQUITY FUND
A-Class 90,267 64,682*
C-Class 170,518 114,790*
H-Class 303,590 669,748*
MULTI-CAP CORE EQUITY FUND
A-Class 104,358 123,783
C-Class (37,506) (457,173)
H-Class (775,833) (217,842)
SECTOR ROTATION FUND
A-Class 1,055,356 1,893,393
C-Class 1,110,144 3,557,424
H-Class (5,395,348) 12,244,441
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005.
+ UNAUDITED
48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
8. PORTFOLIO SECURITIES LOANED
The Trust lends its securities to approved brokers to earn additional income.
Within this arrangement, the Trust acts as the lender, U.S. Bancorp acts as the
agent, and other approved registered broker dealers act as the borrowers. The
Trust receives cash collateral, valued at 100% of the value of the securities on
loan, which is initially held in a segregated account at U.S. Bancorp. As agent,
U.S. Bancorp may, for investment purposes, pool the Trust's collateral in joint
accounts with cash collateral from one or more other securities lending
customers of U.S. Bancorp. Under the terms of the Trust's securities lending
agreement with U.S. Bancorp, cash collateral may be invested by U.S. Bancorp in
certain high quality, liquid investments. At September 30, 2006, the pooled cash
collateral investments consisted of repurchase agreements (46.60%), commercial
paper (34.12%), fixed income securities (15.48%), guaranteed investment contract
(3.67%) and mutual funds (0.13%). 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 risk, the Trust 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 Trust has the right under the securities
lending agreement to recover the securities from the borrower on demand.
The following represents a breakdown of the collateral, its rates, and
maturities:
COLLATERAL TYPE RATES MATURITY
- ------------------------------------------------------------------------------------------------------
Repurchase Agreements 5.350% - 5.445% 10/02/06
Commercial Paper 5.300% - 5.432% 10/02/06 - 10/30/06
Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33
Guaranteed Investment Contract 5.450% 11/24/06
Mutual Funds N/A N/A
At September 30, 2006 the following funds participated in securities lending and
received cash collateral:
FUND CASH COLLATERAL VALUE OF SECURITIES LOANED
- ------------------------------------------------------------------------------------------------------
Multi-Cap Core Equity Fund $ 14,529,980 $ 13,969,575
Sector Rotation Fund 70,251,053 67,683,898
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:
The Board has selected Ernst & Young LLP ("E&Y") to serve as the Funds'
independent registered public accounting firm for the fiscal year ended March
31, 2007. The decision to select E&Y was recommended by the Audit Committee and
was approved by the Board on September 25, 2006. During the Funds' fiscal years
ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor
anyone on their behalf consulted with E&Y on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Funds' financial statements; or (ii) concerned the subject of a disagreement
(as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable
events (as described in paragraph (a)(1)(iv) of said Item 304).
The selection of E&Y does not reflect any disagreements with or dissatisfaction
by the Funds or the Board with the performance of the Funds' prior auditor,
PricewaterhouseCoopers LLP ("PwC"). The decision to dismiss PwC effective upon
its completion of its audits for the fiscal year ended March 31, 2006 and to
select E&Y was recommended by the Funds' Audit Committee and approved by the
Funds' Board of Trustees. PwC's report on the Funds' financial statements for
the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Funds' fiscal years ended March
31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any
matter of accounting principles or practices, financial statement disclosure or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of PwC, would have caused it to make reference to the subject
matter of the disagreements in connection with its report on the Funds'
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities
and Exchange Act of 1934, as amended.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's site at
http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES INFORMATION
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q; which are available on
the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 (the "1940 Act") requires that the initial
approval of, as well as the continuation of, a fund's investment advisory
agreement be specifically approved (1) by the vote of the trustees or by a vote
of the shareholders of the fund, and (2) by the vote of a majority of the
trustees who are not parties to the investment advisory agreement or "interested
persons" of any party (the "Independent Trustees"), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such
approvals, the fund's trustees must request and evaluate, and the investment
adviser is required to furnish, such information as may be reasonably necessary
to evaluate the terms of the advisory agreement. In addition, the Securities and
Exchange Commission (the "SEC") takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex Series Funds Board of Trustees
(the "Board") calls and holds one meeting each year that is dedicated to
considering whether to renew the investment advisory agreement between Rydex
Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under
the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement")
with respect to existing funds in the Trust, including the funds discussed in
this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to
reviewing certain other agreements pursuant to which Rydex Investments provides
investment advisory services to certain other registered investment companies.
In preparation for the meeting, the Board requests and reviews a wide variety of
materials provided by Rydex Investments, including information about Rydex
Investments' affiliates, personnel and operations. The Board also receives data
provided by third parties. This information is in addition to the detailed
information about the Funds that the Board reviews during the course of each
year, including information that relates to Fund operations and performance. The
Board also receives a memorandum from Fund counsel regarding the
responsibilities of the Board for the approval of investment advisory
agreements. In addition, the Independent Trustees receive advice from
independent counsel to the Independent Trustees, meet in executive session
outside the presence of fund management, and participate in question and answer
sessions with representatives of Rydex Investments.
At a meeting held on August 27 and 28, 2006, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on consideration and evaluation of a variety of specific
factors discussed at that meeting and at prior meetings, including:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS
The Board reviewed the scope of services to be provided by Rydex
Investments under the Advisory Agreement and noted that there would be no
significant differences between the scope of services required to be
provided by Rydex Investments for the past year and the scope of services
required to be provided by Rydex Investments for the upcoming year. In
reviewing the scope of services provided to the Funds by Rydex
Investments, the Board reviewed and discussed Rydex Investments'
investment experience, noting that Rydex Investments and its affiliates
have committed significant resources over time to the support of the
Funds. The Board also considered Rydex Investments' compliance program and
its compliance record with respect to the Funds. In that regard, the Board
noted that Rydex Investments provides information regarding the portfolio
management and compliance to the Board on a periodic basis in connection
with regularly scheduled meetings of the Board. In addition to the above
considerations, the Board reviewed and considered Rydex Investments'
investment processes and strategies, and matters related to Rydex
Investments' portfolio transaction policies and procedures. In particular,
the Board noted the substantial volume of portfolio trades and
50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
shareholder transaction activity, in general, processed by Rydex
Investments due to the unlimited exchange policy of the majority of the
Funds. The Board further noted that the Funds have met their investment
objectives consistently since their relevant inception dates. Based on
this review, the Board concluded that the nature, extent and quality of
services to be provided by Rydex Investments to the Funds under the
Advisory Agreement were appropriate and continued to support the Board's
original selection of Rydex Investments as investment adviser to the
Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund in
comparison with the same information for other funds registered under the
1940 Act determined by Rydex Investments to comprise each Fund's
applicable peer group. Because few funds seek to provide unlimited
exchange privileges similar to those of the Funds (other than the
Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund,
Absolute Return Strategies Fund, Hedged Equity Fund), each Fund's
applicable peer group is generally limited to the funds of two
unaffiliated mutual fund families. In addition, the Board reviewed
statistical information prepared by Rydex Investments relating to the
performance of each Fund, as well as each Fund's ability to successfully
track its benchmark over time, and a comparison of each Fund's performance
to funds with similar investment objectives for the same periods and to
appropriate indices/benchmarks, in light of total return, yield and market
trends. The Board further noted that despite the unique nature of the
Funds, the peer fund information presented to the Board was meaningful
because the peer funds' investment objectives and strategies were closely
aligned with those of the Funds. The Board noted that most of the Funds
either outperformed their peer funds or performed in line with them over
relevant periods. The Board also noted that the investment advisory fees
and overall expenses for the Funds were generally lower than or in line
with the investment advisory fee rates and overall expenses of the peer
funds. Based on this review, the Board concluded that the investment
advisory fees and expense levels and the historical performance of the
Funds, as managed by Rydex Investments, as compared to the investment
advisory fees and expense levels and performance of the peer funds, were
satisfactory for the purposes of approving the continuance of the Advisory
Agreement.
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to
Rydex Investments based on the advisory fees payable under the Advisory
Agreement for the last calendar year. Rydex Investments also presented the
Board with material discussing its methodology for determining the level
of advisory fees assessable to the Funds. The Board analyzed the Funds'
expenses, including the investment advisory fees paid to Rydex
Investments. The Board also reviewed information regarding direct revenue
received by Rydex Investments and ancillary revenue received by Rydex
Investments and/or its affiliates in connection with the services provided
to the Funds by Rydex Investments (as discussed below) and/or its
affiliates. The Board also discussed Rydex Investments' profit margin as
reflected in Rydex Investments' profitability analysis and reviewed
information regarding economies of scale (as discussed below). Based on
this review, the Board concluded that the profits to be realized by Rydex
Investments and its affiliates under the Advisory Agreement and from other
relationships between the Funds and Rydex Investments and/or its
affiliates, if any, were within the range the Board considered reasonable
and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the
Board reviewed information regarding economies of scale or other
efficiencies that may result from increases in the Funds' asset levels.
The Board noted that the Advisory Agreement for the Funds did not provide
for any breakpoints in the investment advisory fee rates as a result of
increases in the asset levels of such Funds. The Board also noted that
though Rydex Investments' assets under management were significant, the
amount is spread among more than 95 Funds. Further limiting the
realization of economies of scale is the ability of shareholders of a
majority of the Funds to engage in unlimited trading. The Board also
reviewed Rydex Investments' historic profitability as investment adviser
to the Funds and determined that reductions in fee rates or additions of
breakpoints were not warranted at this juncture. Based on this review, the
Board, recognizing its responsibility to consider this issue at least
annually, concluded that there are limited economies of scale to share
with the Funds' shareholders.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES
In addition to evaluating the services provided by Rydex Investments, the
Board also considered the nature, extent, quality and cost of the
administrative, distribution, and shareholder services performed by Rydex
Investments' affiliates under separate agreements. The Board noted that
Rydex Investments reports its use of soft dollars to the Board on a
quarterly basis, as well as any portfolio transactions on behalf of the
Funds placed through an affiliate of the Funds or Rydex Investments
pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board
concluded that the nature and quality of the services provided by Rydex
Investments' affiliates to the Trust will benefit the Funds' shareholders,
and that any ancillary benefits would not be disadvantageous to the Funds'
shareholders, particularly in light of the Board's view that the Funds'
shareholders benefit from investing in a fund that is part of a large
family of funds offering a variety of investment strategies and services.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling
1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell
Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- --------------------------------- ------------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132
Trustee, President (1952) Rydex Variable Trust - 2004
Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and
Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive
Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II,
Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President
of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund
Services, Inc. and Rydex Distributors, Inc. (1997 to 2000)
---------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 132
Trustee, Vice President Rydex Variable Trust - 2005
(1970) Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized
Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable
Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series
Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to
present); Vice President of Rydex Dynamic Funds (1999 to present); Vice
President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex
Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors
(2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex
Distributors, Inc. (2003 to 2004)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- --------------------------------- ------------------
JOHN O. DEMARET Rydex Series Funds - 1997 125
Trustee, Chairman of the Rydex Variable Trust - 1998
Board (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 125
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
---------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 125
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
---------------------------------
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- --------------------------------- ------------------
WERNER E. KELLER Rydex Series Funds - 2005 125
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present);
Chairman, Centurion Capital Management (1991 to 2001)
------------------------------
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
------------------------------
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
------------------------------
ROGER SOMERS Rydex Series Funds - 1993 125
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ----------------------------------- -----------------------------------------
NICK BONOS* Chief Financial Officer of Rydex
Vice President and Treasurer (1963) Specialized Products, LLC (2005 to
present); Vice President and Treasurer of
Rydex Series Funds, Rydex Variable Trust,
Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President
of Rydex Fund Services, Inc. (2003 to
present); Vice President and Treasurer of
Rydex Capital Partners SPhinX Fund (2003
to 2006); Vice President of Accounting of
Rydex Fund Services, Inc. (2000 to 2003)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series
Chief Compliance Officer and Funds, Rydex Variable Trust, and Rydex
Secretary (1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds
(2000 to present); Secretary of Rydex ETF
Trust (2002 to present); Vice President
of Compliance of Rydex Fund Services,
Inc. (2000 to present); Secretary of
Rydex Capital Partners SphinX Fund (2003
to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds, Rydex ETF Trust (2006);
Vice President of Rydex Fund Services,
Inc. (2004 to present); Director of
Accounting of Rydex Fund Services, Inc.
(2003 to 2004); Vice President of Mutual
Funds, State Street Bank & Trust (2000 to
2003)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds,
Rydex ETF Trust (2006); Director of Fund
Administration of Rydex Fund Services,
Inc. (2001 to present)
* OFFICERS OF THE FUNDS ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST,
WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS
PERSON IS AFFILIATED WITH THE ADVISOR.
54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
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- --------------------------------------------------------------------------------
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- --------------------------------------------------------------------------------
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[LOGO] RYDEXINVESTMENTS
ESSENTIAL FOR MODERN MARKETS(TM)
9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800-820-0888
RSTF-SEMI-0906X0307
SEPTEMBER 30, 2006
RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ESSENTIAL PORTFOLIOS
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
ESSENTIAL PORTFOLIO MODERATE FUND
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
[LOGO] RYDEXINVESTMENTS
Essential for modern markets(TM)
This report and the financial statements contained herein are submitted for the
general information of our shareholders. The report is not authorized for
distribution to prospective investors unless preceded or accompanied by an
effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO OUR SHAREHOLDERS ................................................ 2
ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3
FUND PROFILES ............................................................. 5
SCHEDULES OF INVESTMENTS .................................................. 7
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 10
STATEMENTS OF OPERATIONS .................................................. 11
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 12
FINANCIAL HIGHLIGHTS ...................................................... 13
NOTES TO FINANCIAL STATEMENTS ............................................. 14
OTHER INFORMATION ......................................................... 22
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 25
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
Financial markets over the six-months ended September 30, 2006, were driven by a
widely anticipated "soft-landing" in the U.S. economy. This "goldilocks"
scenario had economic growth slowing, inflation and interest rates coming down
and the Federal Reserve ("Fed") ending its protracted string of increases. In
this environment, stocks rallied as corporate earnings continued to grow at
double digit rates without competition from higher interest rates. The icing on
the cake was relief from higher energy prices, which had risen relentlessly
since 2005.
While the rally in stocks was fairly broad-based, it definitely exhibited a
defensive bias. Large caps, value stocks and traditionally defensive sectors
generally outperformed small caps, growth stocks and more aggressive sectors.
This pattern is perfectly in keeping with the "late cycle" nature of the stock
market rally. Investors wanted to ride prices up, but wanted to hedge their bets
at the same time.
The large-cap nature of the rally was clearly evident in the performance of the
major averages. The home of the country's industrial giants--the Dow Jones
Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R),
which returned 4.14%. If we look at the extremes of the capitalization spectrum,
the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned
7.13% for the six month period versus a LOSS of 4.61% for the small-cap Russell
2000(R) Index.
In a defensive rally, investors are often wary of overpaying for stocks. That
was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a
0.7% decline for the Russell 1000(R) Growth Index. Although developed market
international stocks did well as the MSCI EAFE Index gained 3.2%, emerging
market stocks fared poorly as the MSCI EM Index fell 1.2%.
A major catalyst for the rally in stocks was the rally in bonds. While yields on
the short end of the curve actually rose, longer dated maturities rallied with
the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85%
during the six-month period. The catalyst for falling rates was the decline in
inflation and the Fed's pause from its extended interest rate increases. The
result was a steeply inverted yield curve. Historically, inverted yield curves
presage an economic slowdown or recession. While that remains a possibility, the
decline in long-term rates also signals the market's anticipation of an eventual
easing campaign by the Fed.
The performance of stocks at the sector level highlighted the defensive bias
towards the gains in stock prices over the past six months. The S&P 500
Utilities sector led the way with a gain of 10.2%. Although telecommunications
services, a more aggressive sector, was number two with a gain of 8.1%, consumer
staples and financials were the next best performers, gaining 7.5% and 6.5%,
respectively. It is worth noting that falling interest rates also helped both
financials and utilities. Sectors that typically perform well in a rapidly
expanding economic environment, specifically materials, industrials and
technology declined between 1.0% and 2.3% as the economy slowed.
Going into the fourth quarter, we expect that Gross Domestic Product will pick
up slightly, the Fed will remain on hold and equities will remain range-bound.
As we head into 2007, we also see the appetite for risk continuing to decline.
We appreciate the trust you have placed in our firm by investing with us.
Sincerely,
/s/ David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)
- --------------------------------------------------------------------------------
All mutual funds have operating expenses and it is important for our
shareholders to understand the impact of costs on their investments. As a
shareholder of the fund, you incur two types of costs: (i) transaction costs,
including sales charges (loads) on purchase payments, reinvested dividends, or
other distributions; redemption fees; 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 you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the
period and held for the entire six-month period beginning March 31, 2006 and
ending September 30, 2006.
The following tables illustrate your fund's costs in two ways:
TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and the fourth column shows the
dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the period.
Simply divide your 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 given
for your fund under the heading "Expenses Paid During Period."
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your 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 you 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. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are
charged an annual $15 maintenance fee. Upon liquidating your retirement
account, a $15 account-closing fee will be taken from the proceeds of your
redemption.
The calculations above assume no shares were bought or sold during the period.
Your actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help you
compare ongoing costs only and do not reflect any transactional costs which may
be incurred by some of the Fund's classes. These costs may include, but are not
limited to, sales charges (loads), redemption fees, and exchange fees.
You can find more information about the Fund's expenses, including annual
expense ratios for the past five years, in the Financial Highlights section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
ESSENTIAL PORTFOLIO CONSERVATIVE FUND**
A-Class -- $1,000.00 $1,019.00 $ --
C-Class 0.75% 1,000.00 1,018.00 3.79
H-Class -- 1,000.00 1,020.00 --
ESSENTIAL PORTFOLIO MODERATE FUND**
A-Class -- 1,000.00 1,014.00 --
C-Class 0.75% 1,000.00 1,012.00 3.78
H-Class -- 1,000.00 1,014.00 --
ESSENTIAL PORTFOLIO AGGRESSIVE FUND**
A-Class -- 1,000.00 1,015.00 --
C-Class 0.75% 1,000.00 1,012.00 3.78
H-Class -- 1,000.00 1,014.00 --
- ----------------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
ESSENTIAL PORTFOLIO CONSERVATIVE FUND**
A-Class -- 1,000.00 1,025.07 --
C-Class 0.75% 1,000.00 1,021.26 3.81
H-Class -- 1,000.00 1,025.07 --
ESSENTIAL PORTFOLIO MODERATE FUND**
A-Class -- 1,000.00 1,025.07 --
C-Class 0.75% 1,000.00 1,021.26 3.81
H-Class -- 1,000.00 1,025.07 --
ESSENTIAL PORTFOLIO AGGRESSIVE FUND**
A-Class -- 1,000.00 1,025.07 --
C-Class 0.75% 1,000.00 1,021.26 3.81
H-Class -- 1,000.00 1,025.07 --
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY
THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF
DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365.
** SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006.
+ ANNUALIZED
4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
OBJECTIVE: To primarily seek preservation of capital and, secondarily, to seek
long-term growth of capital.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
ESSENTIAL
PORTFOLIO
CONSERVATIVE
FUND
- --------------------------------------------------------------------
EXCHANGE TRADED FUNDS 0.1%
U.S. EQUITY FUNDS 22.8%
U.S. FIXED-INCOME FUND AND MONEY MARKET FUND 42.3%
INTERNATIONAL EQUITY FUNDS 7.1%
ALTERNATIVE STRATEGIES FUNDS 26.9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- ----------------------------------------------------------------
A-Class June 30, 2006
C-Class June 30, 2006
H-Class June 30, 2006
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ----------------------------------------------------------------
Rydex Series Funds --
Government Long Bond
Advantage Fund Class A 22.7%
Rydex Series Funds --
U.S. Government Money Market Fund Class A 19.6%
Rydex Series Funds --
Absolute Return Strategies Fund Class A 18.6%
Rydex Series Funds --
Multi-Cap Core Equity Fund Class A 16.0%
Rydex Series Funds --
Europe Advantage Fund Class A 7.1%
Rydex Series Funds -- Hedged Equity
Fund Class A 4.2%
Rydex Series Funds -- Small-Cap Value
Fund Class A 4.1%
Rydex Series Funds -- Commodities
Fund Class A 4.0%
Rydex Series Funds -- Sector Rotation
Fund Class A 2.7%
iShares S&P 500 Index Fund 0.1%
- ----------------------------------------------------------------
Top Ten Total 99.1%
- ----------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
ESSENTIAL PORTFOLIO MODERATE FUND
OBJECTIVE: To primarily seek growth of capital and, secondarily, to seek
preservation of capital.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
ESSENTIAL
PORTFOLIO
MODERATE
FUND
- --------------------------------------------------------------------
U.S. EQUITY FUNDS 32.2%
U.S. FIXED-INCOME FUND 16.3%
INTERNATIONAL EQUITY FUNDS 19.9%
ALTERNATIVE STRATEGIES FUNDS 27.3%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- ----------------------------------------------------------------
A-Class June 30, 2006
C-Class June 30, 2006
H-Class June 30, 2006
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ----------------------------------------------------------------
Rydex Series Funds --
Absolute Return Strategies Fund Class A 18.2%
Rydex Series Funds --
Multi-Cap Core Equity Fund Class A 17.3%
Rydex Series Funds --
Government Long Bond Advantage
Fund Class A 16.3%
Rydex Series Funds --
Europe Advantage Fund Class A 11.6%
Rydex Series Funds -- Nova Fund Class A 9.8%
Rydex Series Funds -- Commodities Fund
Class A 9.0%
Rydex Series Funds --
Japan Advantage Fund Class A 8.4%
Rydex Series Funds -- OTC Fund Class A 5.1%
- ----------------------------------------------------------------
Top Ten Total 95.7%
- ----------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5
FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
OBJECTIVE: To primarily seek growth of capital.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
ESSENTIAL
PORTFOLIO
AGGRESSIVE
FUND
- --------------------------------------------------------------------
U.S. EQUITY FUNDS 42.1%
U.S. FIXED-INCOME FUNDS 7.8%
INTERNATIONAL EQUITY FUNDS 24.3%
ALTERNATIVE STRATEGIES FUNDS 23.3%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
INCEPTION DATES:
- ----------------------------------------------------------------
A-Class June 30, 2006
C-Class June 30, 2006
H-Class June 30, 2006
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ----------------------------------------------------------------
Rydex Series Funds --
Multi-Cap Core Equity Fund Class A 17.3%
Rydex Series Funds --
Europe Advantage Fund Class A 12.9%
Rydex Series Funds --
Absolute Return Strategies Fund Class A 11.9%
Rydex Dynamic Funds -- Dynamic
S&P 500 Fund Class A 11.5%
Rydex Series Funds --
Japan Advantage Fund Class A 11.3%
Rydex Series Funds -- Commodities
Fund Class A 9.3%
Rydex Series Funds --
Government Long Bond Advantage
Fund Class A 7.8%
Rydex Series Funds -- Sector Rotation
Fund Class A 6.3%
Rydex Series Funds --
Russell 2000 Advantage Fund Class A 4.0%
Rydex Dynamic Funds -- Dynamic OTC
Fund Class A 3.1%
- ----------------------------------------------------------------
Top Ten Total 95.4%
- ----------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 99.1%
Rydex Series Funds --
Government Long Bond
Advantage Fund Class A+ 29,273 $ 316,146
Rydex Series Funds -- U.S.
Government Money
Market Fund Class A+ 272,684 272,684
Rydex Series Funds --
Absolute Return Strategies
Fund Class A+ 10,009 258,944
Rydex Series Funds --
Multi-Cap Core Equity Fund
Class A+ 13,481 223,116
Rydex Series Funds --
Europe Advantage Fund
Class A+ 4,619 99,084
Rydex Series Funds --
Hedged Equity Fund
Class A+ 2,270 58,717
Rydex Series Funds --
Small-Cap Value Fund
Class A+ 1,789 56,804
Rydex Series Funds --
Commodities Fund
Class A*+ 2,314 55,855
Rydex Series Funds --
Sector Rotation Fund
Class A*+ 2,929 37,520
-----------
TOTAL MUTUAL FUNDS
(Cost $1,368,314) 1,378,870
-----------
EXCHANGE TRADED FUNDS 0.1%
iShares S&P 500 Index Fund 3 401
iShares Lehman 20+ Year
Treasury Bond Fund 4 358
-----------
TOTAL EXCHANGE TRADED FUNDS
(Cost $759) 759
-----------
TOTAL INVESTMENTS 99.2%
(Cost $1,369,073) $ 1,379,629
===========
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.8% $ 11,024
===========
NET ASSETS - 100.0% $ 1,390,653
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO MODERATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 95.7%
Rydex Series Funds --
Absolute Return Strategies
Fund Class A+ 39,307 $ 1,016,876
Rydex Series Funds --
Multi-Cap Core Equity Fund
Class A+ 58,168 962,675
Rydex Series Funds --
Government Long Bond
Advantage Fund Class A+ 84,277 910,190
Rydex Series Funds --
Europe Advantage Fund
Class A+ 30,060 644,792
Rydex Series Funds --
Nova Fund Class A+ 18,858 544,431
Rydex Series Funds --
Commodities Fund Class A*+ 20,813 502,430
Rydex Series Funds --
Japan Advantage Fund
Class A*+ 12,453 465,387
Rydex Series Funds --
OTC Fund Class A+ 26,870 284,286
-----------
TOTAL MUTUAL FUNDS
(Cost $5,292,693) 5,331,067
-----------
TOTAL INVESTMENTS 95.7%
(Cost $5,292,693) $ 5,331,067
===========
OTHER ASSETS IN EXCESS OF
LIABILITIES - 4.3% $ 236,672
===========
NET ASSETS - 100.0% $ 5,567,739
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 97.5%
Rydex Series Funds --
Multi-Cap Core Equity Fund
Class A+ 40,988 $ 678,349
Rydex Series Funds --
Europe Advantage Fund
Class A+ 23,694 508,247
Rydex Series Funds --
Absolute Return Strategies Fund
Class A+ 18,077 467,657
Rydex Dynamic Funds --
Dynamic S&P 500 Fund
Class A+ 10,452 452,062
Rydex Series Funds --
Japan Advantage Fund
Class A*+ 11,924 445,608
Rydex Series Funds --
Commodities Fund Class A*+ 15,114 364,854
Rydex Series Funds --
Government Long Bond
Advantage Fund Class A+ 28,355 306,235
Rydex Series Funds --
Sector Rotation Fund
Class A*+ 19,256 246,675
Rydex Series Funds --
Russell 2000 Advantage Fund
Class A*+ 4,590 155,147
Rydex Dynamic Funds --
Dynamic OTC Fund Class A+ 5,829 121,300
Rydex Series Funds --
Hedged Equity Fund Class A+ 3,260 84,346
-----------
TOTAL MUTUAL FUNDS
(Cost $3,794,068) 3,830,480
-----------
TOTAL INVESTMENTS 97.5%
(Cost $3,794,068) $ 3,830,480
===========
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% $ 97,063
===========
NET ASSETS - 100.0% $ 3,927,543
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006
- --------------------------------------------------------------------------------
ESSENTIAL ESSENTIAL ESSENTIAL
PORTFOLIO PORTFOLIO PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1 and 2) $ 1,379,629 $ 5,331,067 $ 3,830,480
Segregated Cash with Broker 17,713 -- --
Cash in Custodian Bank 173,024 44,700 13,551
Receivable for Securities Sold (Note 1) -- 759 --
Receivable for Fund Shares Purchased 1,300 219,795 126,435
Investment Income Receivable (Note 1) 1,005 -- 586
- ------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 1,572,671 5,596,321 3,971,052
============================================================================================================
LIABILITIES
Payable for Securities Purchased (Note 1) 181,925 26,667 40,732
Liability for Fund Shares Redeemed -- 1,500 2,500
Distribution and Service Fees Payable (Note 3) 93 415 277
- ------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 182,018 28,582 43,509
============================================================================================================
NET ASSETS $ 1,390,653 $ 5,567,739 $ 3,927,543
============================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital 1,382,530 5,531,405 3,907,225
Undistributed Net Investment Income (Loss) 1,473 (413) (285)
Accumulated Net Realized Loss on Investments (3,906) (1,627) (15,809)
Net Unrealized Appreciation on Investments 10,556 38,374 36,412
============================================================================================================
NET ASSETS $ 1,390,653 $ 5,567,739 $ 3,927,543
============================================================================================================
A-Class $ 212,830 $ 778,084 $ 1,007,840
C-Class 633,596 2,124,364 1,396,290
H-Class 544,227 2,665,291 1,523,413
SHARES OUTSTANDING
A-Class 20,883 76,735 99,340
C-Class 62,240 209,938 138,014
H-Class 53,362 262,955 150,194
NET ASSET VALUES
A-Class $ 10.19 $ 10.14 $ 10.15
A-Class Maximum Offering Price** 10.70 10.65 10.66
C-Class 10.18 10.12 10.12
H-Class 10.20 10.14 10.14
* THE COST OF SECURITIES AT VALUE IS $1,369,073, $5,292,693 AND $3,794,068,
RESPECTIVELY.
** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE.
10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006
- --------------------------------------------------------------------------------
ESSENTIAL ESSENTIAL ESSENTIAL
PORTFOLIO PORTFOLIO PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND* FUND* FUND*
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (Note 1) $ 1,837 $ 581 $ 1,003
- ------------------------------------------------------------------------------------------------------------
Total Income 1,837 581 1,003
- ------------------------------------------------------------------------------------------------------------
EXPENSES
Distribution & Service Fees (Note 3):
C-Class 364 994 1,288
- ------------------------------------------------------------------------------------------------------------
Total Expenses 364 994 1,288
- ------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,473 (413) (285)
============================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Loss on:
Investment Securities (3,620) (1,627) (15,809)
Securities Sold Short (286) -- --
- ------------------------------------------------------------------------------------------------------------
Total Net Realized Loss (3,906) (1,627) (15,809)
- ------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 10,556 38,374 36,412
- ------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 10,556 38,374 36,412
- ------------------------------------------------------------------------------------------------------------
Net Gain on Investments 6,650 36,747 20,603
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 8,123 $ 36,334 $ 20,318
============================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006.
See Notes to Financial Statements.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
CONSERVATIVE FUND MODERATE FUND AGGRESSIVE FUND
- ----------------------------------------------------------------------------------------------------------------------------
PERIOD PERIOD PERIOD
ENDED ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2006*+ 2006*+ 2006*+
- ----------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 1,473 $ (413) $ (285)
Net Realized Loss on Investments (3,906) (1,627) (15,809)
Net Change in Unrealized Appreciation (Depreciation)
on Investments 10,556 38,374 36,412
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 8,123 36,334 20,318
- ----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- --
============================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED
A-Class 210,600 778,083 1,016,015
C-Class 693,005 2,287,272 1,817,538
H-Class 720,134 2,870,429 1,667,807
REDEMPTION FEES COLLECTED
A-Class 177 328 1,358
C-Class 324 858 1,870
H-Class 281 1,055 2,053
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT
A-Class -- -- --
C-Class -- -- --
H-Class -- -- --
COST OF SHARES REDEEMED
A-Class -- (3,539) (10,500)
C-Class (62,880) (181,243) (430,462)
H-Class (179,111) (221,838) (158,454)
============================================================================================================================
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 1,382,530 5,531,405 3,907,225
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 1,390,653 5,567,739 3,927,543
NET ASSETS--BEGINNING OF PERIOD -- -- --
============================================================================================================================
NET ASSETS--END OF PERIOD $ 1,390,653 $ 5,567,739 $ 3,927,543
============================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,473 $ (413) $ (285)
============================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006.
+ UNAUDITED
12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
This table is presented to show selected data for a share outstanding throughout
each period, and to assist shareholders in evaluating a Fund's performance for
the periods presented.
NET REALIZED
NET ASSET AND NET INCREASE DISTRIBUTIONS
VALUE, NET UNREALIZED IN NET ASSET FROM NET
BEGINNING INVESTMENT GAINS VALUE RESULTING INVESTMENT
OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME
- ------------------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ $ 10.00 $ .04 $ .15 $ .19 $ --
ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ 10.00 .02 .16 .18 --
ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ 10.00 .04 .16 .20 --
ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS
SEPTEMBER 30, 2006*@ 10.00 .01 .13 .14 --
ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS
SEPTEMBER 30, 2006*@ 10.00 (.02) .14 .12 --
ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS
SEPTEMBER 30, 2006*@ 10.00 -- .14 .14 --
ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ 10.00 .01 .14 .15 --
ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ 10.00 (.01) .13 .12 --
ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ 10.00 .01 .13 .14 --
DISTRIBUTIONS NET ASSET
FROM NET NET INCREASE VALUE, TOTAL
REALIZED TOTAL IN NET ASSET END OF INVESTMENT
CAPITAL GAINS DISTRIBUTIONS VALUE PERIOD RETURN
- ------------------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ $ -- $ -- $ .19 $ 10.19 1.90%
ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ -- -- .18 10.18 1.80%
ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- -- .20 10.20 2.00%
ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS
SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40%
ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS
SEPTEMBER 30, 2006*@ -- -- .12 10.12 1.20%
ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40%
ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ -- -- .15 10.15 1.50%
ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ -- -- .12 10.12 1.20%
ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40%
RATIOS TO AVERAGE
NET ASSETS:
-----------------------
NET NET ASSETS,
INVESTMENT PORTFOLIO END OF
TOTAL INCOME TURNOVER PERIOD (000'S
EXPENSES++ (LOSS) RATE*** OMITTED)
- ---------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ -- 1.46%** 41% $ 213
ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ 0.75%** 0.72%** 41% 634
ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- 1.40%** 41% 544
ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS
SEPTEMBER 30, 2006*@ -- 0.28%** 23% 778
ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS
SEPTEMBER 30, 2006*@ 0.75%** (0.64)%** 23% 2,124
ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- 0.13%** 23% 2,665
ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS
SEPTEMBER 30, 2006*@ -- 0.24%** 50% 1,008
ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS
SEPTEMBER 30, 2006*@ 0.75%** (0.50)%** 50% 1,396
ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS
SEPTEMBER 30, 2006*@ -- 0.27%** 50% 1,523
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
++ DOES NOT INCLUDE EXPENSES OF THE UNDERLYING FUNDS IN WHICH THE FUNDS
INVEST. THE ANNUALIZED WEIGHTED AVERAGE EXPENSE RATIOS OF THE UNDERLYING
FUNDS IN WHICH THE ESSENTIAL PORTFOLIO CONSERVATIVE FUND, THE ESSENTIAL
PORTFOLIO MODERATE FUND, AND THE ESSENTIAL PORTFOLIO AGGRESSIVE FUND
INVEST ARE 1.45%, 1.51%, AND 1.57%, RESPECTIVELY.
@ UNAUDITED
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Funds (the "Trust") is registered with the SEC under the
Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended
investment company, and is authorized to issue an unlimited number of no par
value shares. The Trust offers five separate classes of shares, Investor Class
Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class
Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if
Shares are redeemed within 12 months of purchase. Sales of shares of each Class
are made without a sales charge at the net asset value per share, with the
exception of A-Class Shares. A-Class Shares are sold at net asset value, plus
the applicable front-end sales charge. The sales charge varies depending on the
amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of
$1 million or more have a 1% CDSC if Shares are redeemed within 18 months of
purchase. The current sales charge rates are as follows:
SALES CHARGE SALES CHARGE
AS % OF AS % OF NET
AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED
- --------------------------------------------------------------------------------
Less than $100,000 4.75% 4.99%
$100,000 but less than
$250,000 3.75% 3.90%
$250,000 but less than
$500,000 2.75% 2.83%
$500,000 but less than
$1,000,000 1.60% 1.63%
$1,000,000 or greater 0.00% 0.00%
At September 30, 2006, the Trust consisted of fifty-three separate series:
twenty-six Benchmark Funds, one Money Market Fund, nineteen Sector Funds, four
Alternative Strategy Funds, and three Essential Portfolio Funds. This report
covers the Essential Portfolio Funds (the "Funds"), while the Benchmark Funds,
the Money Market Fund, the Sector Funds, and the Alternative Strategy Funds are
contained in separate reports. Each Essential Portfolio Fund is a "fund of
funds," which means that each Fund seeks to achieve its investment objective by
investing primarily in other Rydex mutual funds (the "underlying funds") instead
of in individual securities. At September 30, 2006, only A-Class, C-Class and
H-Class Shares had been issued by the Funds. All share classes of the funds are
subject to a 1% redemption fee when shares are redeemed after being held for
less than 30 days.
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America and are
consistently followed by the Trust.
A. Traditional open-end investment companies ("Mutual Funds") are valued at
their Net Asset Value (the "NAV") as of the close of business, usually 4:00
p.m., Eastern Time, on the valuation date. Exchange Traded Funds ("ETFs"), and
closed-end investment companies ("closed-end funds") are valued at the last
quoted sales price.
Equity securities of the underlying Funds listed on an exchange (New York Stock
Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted
sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern
Time, on the valuation date. Equity securities of the underlying Funds listed on
the Nasdaq market system are valued at the Nasdaq Official Closing Price,
usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options
held by the underlying funds are valued at the Official Settlement Price listed
by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options
held by the underlying funds are valued using the average bid price obtained
from one or more security dealers. The value of futures contracts purchased and
sold by the underlying funds are accounted for using the unrealized gain or loss
on the contracts that is determined by marking the contracts to their current
realized settlement prices. Financial futures contracts held by the underlying
funds are valued at the last quoted sales price, usually as of 4:00 p.m.,
Eastern Time, on the valuation date. In the event that the exchange for a
specific futures contract closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair
valuation would provide a more accurate valuation. Short-term securities held by
the underlying funds are valued at amortized cost, which approximates market
value.
The value of domestic equity index and credit default swap agreements entered
into by the underlying funds is accounted for using the unrealized gain or loss
on the agreements that is determined by marking the agreements to the last
quoted value of the index that the swap pertains to at the close of the NYSE,
usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to
include dividends accrued, financing charges and/or interest associated with the
swap agreements.
The value of foreign equity index, commodity index, and currency index swap
agreements entered into by an underlying fund is accounted for using the
unrealized
14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
gain or loss on the agreements that is determined by marking the agreements to
the price at which orders are being filled at the close of the NYSE, usually
4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m.,
Eastern Time, the security dealer provides a fair value quote at which the swap
agreement is valued. The swap's market value is then adjusted to include
dividends accrued, financing charges and/or interest associated with the swap
agreements.
Investments of the underlying funds, including structured notes, for which
market quotations are not readily available are valued at fair value as
determined in good faith by Rydex Investments (the "Advisor"), an affiliated
entity under direction of the Board of Trustees using methods established or
ratified by the Board of Trustees. These methods include, but are not limited
to: (i) general information as to how these securities and assets trade; (ii) in
connection with futures contracts and options thereupon, and other derivative
investments, information as to how (a) these contracts and other derivative
investments trade in the futures or other derivative markets, respectively, and
(b) the securities underlying these contracts and other derivative investments
trade in the cash market; and (iii) other information and considerations,
including current values in related markets.
B. Securities 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 of the underlying funds are recorded as realized gains in
the respective fund. Dividend income is recorded on the ex-dividend date, net of
applicable taxes withheld by foreign countries. Interest income, including
amortization of premiums and accretion of discount, is accrued on a daily basis.
C. Distributions of net investment income and distributions of net realized
capital gains are recorded on the ex-dividend date and are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These differences
are primarily due to differing treatments for items such as deferral of wash
sales and post-October losses. Net investment income and loss, net realized
gains and losses, and net assets are not affected by these differences.
D. When a Fund, or an underlying Absolute Return Strategies Fund, and/or Hedged
Equity Fund engages in a short sale, an amount equal to the proceeds is
reflected as an asset and an equivalent liability. The amount of the liability
is subsequently marked-to-market to reflect the market value of the short sale.
The Fund and/or underlying funds maintain a segregated account of cash and/or
securities as collateral for short sales. The Fund and/or underlying funds are
exposed to market risk based on the amount, if any, that the market value of the
security exceeds the market value of the securities in the segregated account.
Fees, if any, paid to brokers to borrow securities in connection with short
sales are considered part of the cost of short sale transactions. In addition,
the Fund and/or underlying funds must pay out the dividend rate of the equity or
coupon rate of the treasury obligation to the purchaser and records this as an
expense. Short Dividends 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.
E. Upon the purchase of an option by an underlying fund, the premium paid is
recorded as an investment, the value of which is marked-to-market daily. When a
purchased option expires, the underlying fund will realize a loss in the amount
of the cost of the option. When the underlying fund enters into a closing sale
transaction, the underlying fund will realize a gain or loss depending on
whether the proceeds from the closing sale transaction are greater or less than
the cost of the option. When an underlying fund exercises a put option, it will
realize a gain or loss from the sale of the underlying security and the proceeds
from such sale will be decreased by the premium originally paid. When an
underlying fund exercises a call option, the cost of the security that the
underlying fund purchases upon exercise will be increased by the premium
originally paid. When an underlying fund writes (sells) an option, an amount
equal to the premium received is entered in the Trust's accounting records as an
asset and equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a
written option expires, or if the underlying fund enters into a closing purchase
transaction, the underlying fund realizes a gain (or loss if the cost of a
closing purchase transaction exceeds the premium received when the option was
sold).
F. The underlying funds may purchase or sell stock and bond index futures
contracts and options on such futures contracts. Futures contracts are contracts
for delayed delivery of securities at a specified future delivery date and at a
specific price. Upon entering into a contract, an underlying fund deposits and
maintains as collateral such initial margin as required by the exchange on which
the transaction is effected. Pursuant to the contract, the underlying 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
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
are recorded by the underlying fund as unrealized gains or losses. When the
contract is closed, the underlying 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.
G. The underlying funds may enter into swap agreements, which are
over-the-counter contracts in which one party agrees to make periodic payments
based on the change in market value of a specified equity security, basket of
equity securities, or equity index in return for periodic payments based on a
fixed or variable interest rate or the change in market value of a different
equity security, basket of equity securities, equity index, or commodity index.
Swap agreements are used to obtain exposure to an equity or market without
owning or taking physical custody of securities. In accordance with a Revenue
Ruling issued by the Internal Revenue Service (the "IRS"), the underlying
Commodity Fund will not invest in commodity index swaps after September 30,
2006.
H. The underlying funds may invest in structured notes, which are
over-the-counter contracts linked to the performance of an underlying benchmark
such as interest rates, equity markets, equity indices, commodities indices,
corporate credits or foreign exchange markets. A structured note is a type of
bond in which an issuer borrows money from investors and pays back the
principal, adjusted for performance of the underlying benchmark, at a specified
maturity date. In addition, the contract may require periodic interest payments.
Structured notes are used to obtain exposure to a market without owning or
taking physical custody of securities or commodities.
I. The underlying funds' investment securities and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollar amounts at the
date of valuation. Purchases and sales of investment securities and income and
expense items denominated in foreign currencies are translated into U.S. dollar
amounts on the respective dates of such transactions. The underlying funds do
not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes
in market prices of securities held. Such fluctuations are included with the net
realized and unrealized gain and loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
foreign currencies and currency gains or losses realized between the trade and
settlement dates on investment transactions. Net unrealized exchange gains and
losses arise from changes in the fair values of assets and liabilities other
than investments in securities at the fiscal period end, resulting from changes
in exchange rates.
J. The underlying funds may enter into forward currency contracts primarily to
hedge against foreign currency exchange rate risks on its non-U.S. dollar
denominated investment securities. When entering into a forward currency
contract, an underlying fund agrees to receive or deliver a fixed quantity of
foreign currency for an agreed-upon price on an agreed future date. These
contracts are valued daily and the corresponding unrealized gain or loss on the
contracts is measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward rates at the
reporting date.
K. The underlying funds may also purchase American Depository Receipts, U.S.
Government securities, enter into repurchase agreements, and engage in futures,
options and swap transactions.
L. The Funds and/or underlying funds may leave cash overnight in their cash
account with the custodian, U.S. Bancorp. Periodically, a Fund or underlying
fund may have cash due to custodian bank as an overdraft balance. A fee is
incurred on this overdraft, calculated by multiplying the overdraft by a rate
based on the federal funds rate. Segregated cash with the broker is held as
collateral for investments in derivative instruments such as futures contracts
and index swap agreements.
M. Certain U.S. Government and Agency Obligations are traded on a discount
basis; the interest rates reflect the discount rates paid at the time of
purchase by the underlying funds. Other securities bear interest payable at
fixed dates through maturity.
N. The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from these
estimates.
2. FINANCIAL INSTRUMENTS
As part of their investment strategies, the underlying funds may utilize a
variety of derivative instruments, including options, futures, options on
futures, structured notes, swap agreements, and short sales. These investments
involve, to varying degrees, elements of market risk and risks in excess of the
amounts recognized in the Statements of Assets and Liabilities.
16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
In the normal course of business, the underlying funds enter into contracts that
contain a variety of representations and warranties, which provide general
indemnifications. The underlying funds' maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the underlying funds and/or its affiliates that have not yet occurred.
However, based on experience, the underlying funds expect the risk of loss to be
remote.
The risk associated with purchasing options is limited to the premium originally
paid. Options written by an underlying fund involve, to varying degrees, risk of
loss in excess of the option value reflected in the Statements of Assets and
Liabilities. The risk in writing a covered call option is that an underlying
fund may forego the opportunity for profit if the market price of the underlying
security increases and the option is exercised. The risk in writing a covered
put option is that an underlying fund may incur a loss if the market price of
the underlying security decreases and the option is exercised. In addition,
there is the risk that an underlying fund may not be able to enter into a
closing transaction because of an illiquid secondary market or, for
over-the-counter options, because of the counterparty's inability to perform.
The Trust has established strict counterparty credit guidelines and enters into
transactions only with financial institutions of investment grade or better.
There are several risks in connection with the use of futures contracts. Futures
contracts involve, to varying degrees, risk of loss in excess of amounts
reflected in the financial statements. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price of
the underlying securities. In addition, there is the risk that an underlying
fund may not be able to enter into a closing transaction because of an illiquid
secondary market.
There are several risks associated with the use of structured notes. Structured
securities are leveraged, providing an exposure to the underlying benchmark of
three times the face amount and increasing the volatility of each note relative
to the change in the underlying linked financial instrument. A highly liquid
secondary market may not exist for the structured notes an underlying fund
invests in which may make it difficult for the underlying fund to sell the
structured notes it holds at an acceptable price or to accurately value them. In
addition, structured notes are subject to the risk that the counterparty to the
instrument, or issuer, might not pay interest when due or repay principal at
maturity of the obligation. Although the Trust will not invest in any structured
notes unless the Advisor believes that the issuer is creditworthy, an underlying
fund does bear the risk of loss of the amount expected to be received in the
event of the default or bankruptcy of the issuer. The Trust has established
strict counterparty credit guidelines and enters into transactions only with
financial institutions of investment grade or better.
The use of swaps involves risks that are different from those associated with
ordinary portfolio securities transactions. Swap agreements may be considered to
be illiquid. Although the Trust will not enter into any swap agreement unless
the Advisor believes that the other party to the transaction is creditworthy,
the underlying funds bear the risk of loss of the amount expected to be received
under a swap agreement in the event of the default or bankruptcy of the
agreement counterparty. The Trust has established strict counterparty credit
guidelines and enters into transactions only with financial institutions of
investment grade or better.
Short sales are transactions in which a Fund or an underlying Absolute Return
Strategies Fund, and/or Hedged Equity Fund sells a security it does not own. If
the security the Fund and/or underlying funds sold short goes down in price
between the time the Fund and/or underlying funds sell the security and closes
its short position, the Fund and/or underlying funds will realize a gain on the
transaction. Conversely, if the security goes up in price during the period, the
Fund and/or underlying funds will realize a loss on the transaction. The risk of
such price increases is the principal risk of engaging in short sales.
In conjunction with the use of options, futures, options on futures, swap
agreements, as well as short sales of securities, the underlying funds are
required to maintain collateral in various forms. The underlying funds use,
where appropriate, depending on the financial instrument utilized and the broker
involved, margin deposits at the broker, cash and/or securities segregated at
the custodian bank, discount notes, or the repurchase agreements allocated to
each underlying fund.
The risks inherent in the use of options, futures contracts, options on futures
contracts, structured notes, swap agreements, as well as short sales of
securities include i) adverse changes in the value of such instruments; ii)
imperfect correlation between the price of the instruments and movements in the
price of the underlying securities, indices, or futures contracts; iii) the
possible absence of a liquid secondary market for any particular instrument at
any time; and iv) the potential of counterparty default.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
As part of its agreement with the Trust, the Advisor will pay all expenses of
the Essential Portfolios, including the cost of transfer agency, fund
administration, audit and other services, excluding interest expense, taxes
(expected to be de minimis), brokerage commissions and other expenses connected
with the execution of portfolio transactions, short dividend expenses, and
extraordinary expenses.
Each Fund will also indirectly bear a proportionate share of the total operating
expenses (including investment management, shareholder servicing, custody,
transfer agency, audit and other underlying fund expenses) of the underlying
funds in which the Funds invest. In addition, some underlying funds charge
redemption fees if a shareholder, including a Fund, redeems shares before the
end of the funds' requisite holding period. Therefore, if a Fund sells shares of
an underlying fund that are subject to a redemption fee, the Fund will be
responsible for paying the redemption fee to the underlying fund.
Rydex Investments, an affiliated entity, provides transfer agent and
administrative services to the Funds. However, the related fees are paid by the
Advisor, as noted above.
Rydex Investments also provides accounting services to the Funds. However, the
related fees are paid by the Advisor, as noted above. Certain officers and
trustees of the Trust are also officers of Rydex Investments.
The Funds have not adopted a Distribution Plan and a Shareholder Services Plan
with respect to A-Class Shares and H-Class Shares. Instead, the Funds invest in
underlying funds that have a distribution plan that allows the underlying funds
to pay distribution fees to the Distributor and other firms that provide
distribution services ("Service Providers"). The underlying funds will pay
distribution fees to the Distributor at an annual rate not to exceed 0.25% of
average daily net assets, pursuant to Rule 12b-1 under the 1940 Act, as amended.
If a Service Provider provides distribution or shareholder services, the
Distributor will, in turn, pay the Service Provider for the services it provides
at an annual rate not to exceed 0.25% of the average daily net assets of a Fund.
The Funds have adopted a Distribution Plan and a Shareholder Services Plan
pursuant to Rule 12b-1 under the 1940 Act, as amended, applicable to C-Class
Shares that allows the Funds to pay annual distribution and service fees of
0.75% of the Funds' average daily net assets. The annual 0.50% distribution fee
reimburses the Distributor for paying the shareholders' financial advisors an
on-going sales commission. The annual 0.25% service fee compensates the
shareholders' financials advisors for providing ongoing services to the
shareholders. The Distributor advances the first year's distribution and service
fees, and retains the distribution and service fees on accounts with no
authorized intermediary of record.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and will distribute all net
investment income and capital gains to shareholders. Therefore, no Federal
income tax provision is required.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments for losses deferred due to wash sales, losses deferred due
to post-October losses, and excise tax regulations.
Permanent book and tax basis differences, if any, relating to shareholder
distributions will result in reclassifications to paid-in capital. This includes
net operating losses not utilized during the current year, capital loss
carryforward expired, and the utilization of earnings and profits distributed to
the shareholders on redemption of shares as part of the dividends paid deduction
for income tax purposes. These reclassifications have no effect on net assets or
net asset values per share. Any taxable gain remaining at fiscal year end is
distributed in the following year.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the fund's tax returns 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. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and its impact in the financial statements
has not yet been determined.
18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
At September 30, 2006, the cost of securities for Federal income tax purposes,
the aggregate gross unrealized gain for all securities for which there was an
excess of value over tax cost and the aggregate gross unrealized loss for all
securities for which there was an excess of tax cost over value, were as
follows:
TAX UNREALIZED TAX UNREALIZED NET UNREALIZED
FUND TAX COST GAIN LOSS GAIN
- ------------------------------------------------------------------------------------------------------------------------
Essential Portfolio Conservative Fund $1,369,073 $14,285 $ (3,729) $10,556
Essential Portfolio Moderate Fund 5,292,693 70,519 (32,145) 38,374
Essential Portfolio Aggressive Fund 3,794,068 64,987 (28,575) 36,412
5. SECURITIES TRANSACTIONS
During the period ended September 30, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
CONSERVATIVE FUND MODERATE FUND AGGRESSIVE FUND
- ------------------------------------------------------------------------------------------------------------------------
Purchases $1,661,765 $5,831,765 $4,828,424
Sales $ 289,073 $ 537,444 $1,018,547
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
6. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of no par value
shares. Transactions in shares for the periods presented were:
PURCHASED THROUGH
SHARES PURCHASED DIVIDEND REINVESTMENT SHARES REDEEMED NET SHARES PURCHASED
- ----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2006+ 2006+ 2006+ 2006+
- ----------------------------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND*
A-Class 20,883 -- -- 20,883
C-Class 68,472 -- (6,232) 62,240
H-Class 71,231 -- (17,869) 53,362
ESSENTIAL PORTFOLIO MODERATE FUND*
A-Class 77,085 -- (350) 76,735
C-Class 227,918 -- (17,980) 209,938
H-Class 285,239 -- (22,284) 262,955
ESSENTIAL PORTFOLIO AGGRESSIVE FUND*
A-Class 100,380 -- (1,040) 99,340
C-Class 180,942 -- (42,928) 138,014
H-Class 165,999 -- (15,805) 150,194
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006
+ UNAUDITED.
20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
7. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board has selected Ernst & Young LLP (E&Y) to serve as the Funds'
independent registered public accounting firm for the fiscal year ended March
31, 2007. The decision to select E&Y was recommended by the Audit Committee and
was approved by the Board on September 25, 2006. During the Funds' fiscal years
ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor
anyone on their behalf consulted with E&Y on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Funds' financial statements; or (ii) concerned the subject of a disagreement
(as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable
events (as described in paragraph (a)(1)(iv) of said Item 304).
The selection of E&Y does not reflect any disagreements with or dissatisfaction
by the Funds or the Board with the performance of the Funds' prior auditor,
PricewaterhouseCoopers LLP (PwC). The decision to dismiss PwC effective upon its
completion of its audits for the fiscal year ended March 31, 2006 and to select
E&Y was recommended by the Funds' Audit Committee and approved by the Funds'
Board of Trustees. PwC's report on the Funds' financial statements for the
fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Funds' fiscal years ended March
31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any
matter of accounting principles or practices, financial statement disclosure or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of PwC, would have caused it to make reference to the subject
matter of the disagreements in connection with its report on the Funds'
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities
and Exchange Act of 1934, as amended.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES INFORMATION
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q; which are available on
the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 (the "1940 Act") requires that the initial
approval of, as well as the continuation of, a fund's investment advisory
agreement be specifically approved (1) by the vote of the trustees or by a vote
of the shareholders of the fund, and (2) by the vote of a majority of the
trustees who are not parties to the investment advisory agreement or "interested
persons" of any party (the "Independent Trustees"), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such
approvals, the fund's trustees must request and evaluate, and the investment
adviser is required to furnish, such information as may be reasonably necessary
to evaluate the terms of the advisory agreement. In addition, the Securities and
Exchange Commission (the "SEC") takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex Series Funds Board of Trustees
(the "Board") calls and holds one meeting each year that is dedicated to
considering whether to renew the investment advisory agreement between Rydex
Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under
the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement")
with respect to existing funds in the Trust, including the funds discussed in
this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to
reviewing certain other agreements pursuant to which Rydex Investments provides
investment advisory services to certain other registered investment companies.
In preparation for the meeting, the Board requests and reviews a wide variety of
materials provided by Rydex Investments, including information about Rydex
Investments' affiliates, personnel and operations. The Board also receives data
provided by third parties. This information is in addition to the detailed
information about the Funds that the Board reviews during the course of each
year, including information that relates to Fund operations and performance. The
Board also receives a memorandum from Fund counsel regarding the
responsibilities of the Board for the approval of investment advisory
agreements. In addition, the Independent Trustees receive advice from
independent counsel to the Independent Trustees, meet in executive session
outside the presence of fund management, and participate in question and answer
sessions with representatives of Rydex Investments.
At a meeting held on August 27 and 28, 2006, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on consideration and evaluation of a variety of specific
factors discussed at that meeting and at prior meetings, including:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS
The Board reviewed the scope of services to be provided by Rydex
Investments under the Advisory Agreement and noted that there would be no
significant differences between the scope of services required to be
provided by Rydex Investments for the past year and the scope of services
required to be provided by Rydex Investments for the upcoming year. In
reviewing the scope of services provided to the Funds by Rydex
Investments, the Board reviewed and discussed Rydex Investments'
investment experience, noting that Rydex Investments and its affiliates
have committed significant resources over time to the support of the
Funds. The Board also considered Rydex Investments' compliance program and
its compliance record with respect to the Funds. In that regard, the Board
noted that Rydex Investments provides information regarding the portfolio
management and compliance to the Board on a periodic basis in connection
with regularly scheduled meetings of the Board. In addition to the above
considerations, the Board reviewed and considered Rydex Investments'
investment processes and strategies, and matters related to
22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Rydex Investments' portfolio transaction policies and procedures. In
particular, the Board noted the substantial volume of portfolio trades and
shareholder transaction activity, in general, processed by Rydex
Investments due to the unlimited exchange policy of the majority of the
Funds. The Board further noted that the Funds have met their investment
objectives consistently since their relevant inception dates. Based on
this review, the Board concluded that the nature, extent and quality of
services to be provided by Rydex Investments to the Funds under the
Advisory Agreement were appropriate and continued to support the Board's
original selection of Rydex Investments as investment adviser to the
Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund in
comparison with the same information for other funds registered under the
1940 Act determined by Rydex Investments to comprise each Fund's
applicable peer group. Because few funds seek to provide unlimited
exchange privileges similar to those of the Funds (other than the
Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund,
Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's
applicable peer group is generally limited to the funds of two
unaffiliated mutual fund families. In addition, the Board reviewed
statistical information prepared by Rydex Investments relating to the
performance of each Fund, as well as each Fund's ability to successfully
track its benchmark over time, and a comparison of each Fund's performance
to funds with similar investment objectives for the same periods and to
appropriate indices/benchmarks, in light of total return, yield and market
trends. The Board further noted that despite the unique nature of the
Funds, the peer fund information presented to the Board was meaningful
because the peer funds' investment objectives and strategies were closely
aligned with those of the Funds. The Board noted that most of the Funds
either outperformed their peer funds or performed in line with them over
relevant periods. The Board also noted that the investment advisory fees
and overall expenses for the Funds were generally lower than or in line
with the investment advisory fee rates and overall expenses of the peer
funds. Based on this review, the Board concluded that the investment
advisory fees and expense levels and the historical performance of the
Funds, as managed by Rydex Investments, as compared to the investment
advisory fees and expense levels and performance of the peer funds, were
satisfactory for the purposes of approving the continuance of the Advisory
Agreement.
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to
Rydex Investments based on the advisory fees payable under the Advisory
Agreement for the last calendar year. Rydex Investments also presented the
Board with material discussing its methodology for determining the level
of advisory fees assessable to the Funds. The Board analyzed the Funds'
expenses, including the investment advisory fees paid to Rydex
Investments. The Board also reviewed information regarding direct revenue
received by Rydex Investments and ancillary revenue received by Rydex
Investments and/or its affiliates in connection with the services provided
to the Funds by Rydex Investments (as discussed below) and/or its
affiliates. The Board also discussed Rydex Investments' profit margin as
reflected in Rydex Investments' profitability analysis and reviewed
information regarding economies of scale (as discussed below). Based on
this review, the Board concluded that the profits to be realized by Rydex
Investments and its affiliates under the Advisory Agreement and from other
relationships between the Funds and Rydex Investments and/or its
affiliates, if any, were within the range the Board considered reasonable
and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the
Board reviewed information regarding economies of scale or other
efficiencies that may result from increases in the Funds' asset levels.
The Board noted that the Advisory Agreement for the Funds did not provide
for any breakpoints in the investment advisory fee rates as a result of
increases in the asset levels of such Funds. The Board also noted that
though Rydex Investments' assets under management were significant, the
amount is spread among more than 95 Funds. Further limiting the
realization of economies of scale is the ability of shareholders of a
majority of the Funds to engage in unlimited trading. The Board also
reviewed Rydex Investments' historic profitability as investment adviser
to the Funds and determined that reductions in fee rates or additions of
breakpoints were not warranted at this juncture. Based on this review, the
Board, recognizing its responsibility to consider this issue at least
annually, concluded that there are limited economies of scale to share
with the Funds' shareholders.
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES
In addition to evaluating the services provided by Rydex Investments, the
Board also considered the nature, extent, quality and cost of the
administrative, distribution, and shareholder services performed by Rydex
Investments' affiliates under separate agreements. The Board noted that
Rydex Investments reports its use of soft dollars to the Board on a
quarterly basis, as well as any portfolio transactions on behalf of the
Funds placed through an affiliate of the Funds or Rydex Investments
pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board
concluded that the nature and quality of the services provided by Rydex
Investments' affiliates to the Trust will benefit the Funds' shareholders,
and that any ancillary benefits would not be disadvantageous to the Funds'
shareholders, particularly in light of the Board's view that the Funds'
shareholders benefit from investing in a fund that is part of a large
family of funds offering a variety of investment strategies and services.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling
1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell
Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- -------------------------------- --------------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132
Trustee, President (1952) Rydex Variable Trust - 2004
Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and
Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive
Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II,
Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President
of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund
Services, Inc. and Rydex Distributors, Inc. (1997 to 2000)
--------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 132
Trustee, Vice President Rydex Variable Trust - 2005
(1970) Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex
Specialized Products, LLC (2005 to present); Secretary of Rydex Series Funds,
Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President
of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust
(1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice
President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex
Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors
(2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex
Distributors, Inc. (2003 to 2004)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- -------------------------------- --------------------
JOHN O. DEMARET Rydex Series Funds - 1997 125
Trustee, Chairman of the Rydex Variable Trust - 1998
Board (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
--------------------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 125
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
--------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 125
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
--------------------------------
WERNER E. KELLER Rydex Series Funds - 2005 125
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present);
Chairman, Centurion Capital Management (1991 to 2001)
--------------------------------
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------- -------------------------------- --------------------
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
--------------------------------
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
--------------------------------
ROGER SOMERS Rydex Series Funds - 1993 125
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------------ ---------------------------
NICK BONOS* Chief Financial Officer of Rydex Specialized Products, LLC (2005
Vice President and Treasurer (1963) to present); Vice President and Treasurer of Rydex Series Funds,
Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President of Rydex Fund Services,
Inc. (2003 to present); Vice President and Treasurer of Rydex
Capital Partners SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Fund Services, Inc. (2000 to 2003)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Variable
Chief Compliance Officer and Trust, and Rydex Dynamic Funds (2004 to present); Secretary of
Secretary (1966) Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic
Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to
present); Vice President of Compliance of Rydex Fund Services,
Inc. (2000 to present); Secretary of Rydex Capital Partners
SphinX Fund (2003 to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust,
Assistant Treasurer (1966) Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of
Rydex Fund Services, Inc. (2004 to present); Director of
Accounting of Rydex Fund Services, Inc. (2003 to 2004); Vice
President of Mutual Funds, State Street Bank & Trust (2000 to
2003)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Trust, Rydex
Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund
Administration of Rydex Fund Services, Inc. (2001 to present)
* OFFICERS OF THE FUNDS ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST,
WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS
PERSON IS AFFILIATED WITH THE ADVISOR.
26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
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[LOGO] RYDEXINVESTMENTS
ESSENTIAL FOR MODERN MARKETS(TM)
9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800-820-0888
RSEP-SEMI-0906x0307
Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
Schedule of Investments is included as part of the report to shareholders filed
under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) Based on their evaluation on December 7, 2006, the President (principal
executive officer) and the Treasurer (principal financial officer) of the Rydex
Series Funds (the "Trust") believe that there were no significant deficiencies
in the design or operation of the internal controls of the Trust or Rydex
Investments ("RI"), the investment advisor and manager of the Trust, or Rydex
Distributors, Inc. ("RD"), which acts as distributor for the Trust, including
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940) which would have adversely affected the ability
of the Trust or RGA on behalf of the Trust, to record, process, summarize, and
report the subject matter contained in this Report, and the President and
Treasurer of the Trust have identified no material weaknesses in such internal
controls on behalf of the Trust.
There was no fraud, whether or not material, involving officers or employees of
RI, RD or the Trust who have a significant role in the Trust's internal
controls, including disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940) that has come to the
attention of the Advisor or the officers of the Trust, including its President
and Treasurer.
(b) There were no significant changes in the Trust's or RI's internal controls
over financial reporting, (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) that occurred during the second fiscal quarter of 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. Exhibits.
(a)(2) Separate certifications by the President (principal executive officer)
and Treasurer (principal financial officer) of the registrant as required by
Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant's President (principal executive officer)
and Treasurer (principal financial officer) as required by Rule 30a-2(b) under
the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Rydex Series Funds
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By (Signature and Title)* /s/ Carl G. Verboncoeur
--------------------------------
Carl G. Verboncoeur
President
Date December 7, 2006
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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/ Carl G. Verboncoeur
-------------------------------
Carl G. Verboncoeur
President
Date December 7, 2006
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By (Signature and Title)* /s/ Nick Bonos
----------------------------
Nick Bonos
Vice President and Treasurer
Date December 7, 2006
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*Print the name and title of each signing officer under his or her signature.