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 811-08821
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Rydex Variable Trust
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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 Variable Trust
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: 1-301-296-5100
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Date of fiscal year end: December 31, 2006
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Date of reporting period: December 31, 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.
DECEMBER 31, 2006
RYDEX VARIABLE TRUST ANNUAL REPORT
NOVA FUND
INVERSE S&P 500 FUND
OTC FUND
INVERSE OTC FUND
DYNAMIC S&P 500 FUND
DYNAMIC OTC FUND
MID-CAP ADVANTAGE FUND
INVERSE MID-CAP FUND
DYNAMIC RUSSELL 2000(R) FUND
RUSSELL 2000(R) ADVANTAGE FUND
INVERSE RUSSELL 2000(R) FUND
GOVERNMENT LONG BOND
ADVANTAGE FUND
INVERSE GOVERNMENT LONG
BOND FUND
EUROPE ADVANTAGE FUND
JAPAN ADVANTAGE FUND
DYNAMIC DOW FUND
INVERSE DYNAMIC DOW 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
MULTI-CAP CORE EQUITY FUND
SECTOR ROTATION FUND
U.S. GOVERNMENT MONEY MARKET FUND
BANKING FUND
BASIC MATERIALS FUND
BIOTECHNOLOGY FUND
COMMODITIES FUND
CONSUMER PRODUCTS FUND
ELECTRONICS FUND
ENERGY FUND
ENERGY SERVICES FUND
FINANCIAL SERVICES FUND
HEALTH CARE FUND
INTERNET FUND
LEISURE FUND
PRECIOUS METALS FUND
REAL ESTATE FUND
RETAILING FUND
TECHNOLOGY FUND
TELECOMMUNICATIONS FUND
TRANSPORTATION FUND
UTILITIES FUND
[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 ................................ 4
ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 5
PERFORMANCE REPORTS AND FUND PROFILES ..................................... 8
SCHEDULES OF INVESTMENTS .................................................. 55
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 172
STATEMENTS OF OPERATIONS .................................................. 180
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 188
FINANCIAL HIGHLIGHTS ...................................................... 202
NOTES TO FINANCIAL STATEMENTS ............................................. 209
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 225
OTHER INFORMATION ......................................................... 226
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 229
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
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DEAR SHAREHOLDER:
In many ways, 2006 was a surprising year for investors. Equity markets turned in
an unexpectedly strong performance, based in large part on a powerful year-end
rally. For much of 2006, stock prices were kept in check by inflation and
interest rate concerns. One of the most noteworthy developments of the year was
that the Federal Reserve ("Fed") called a halt to its two-year interest rate
raising campaign in an effort to see if the 17 consecutive increases in
short-term rates enacted over the prior two years had been enough to slow
economic growth and cool inflationary pressures.
Throughout 2006, stock prices reacted to two major inputs--the price of oil and
the direction of future interest rate policy. The pause in interest rate hikes
by the Fed changed the debate from when would they stop to when will they ease.
Oil prices, which had been on a relentless climb going back to the days prior to
hurricane Katrina, finally broke after a first-half rally brought the price of
oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower
than where it began at $61/barrel.
Underlying this was the hope that the economy would achieve a soft
landing--slowing enough to give the Fed latitude to ease, but not enough to tip
the economy into recession. The major risk in 2006 was housing. As the housing
"bubble" burst, it had--and still has--the potential to pull the economy into
recession. Stock price behavior, particularly in the fourth quarter, indicates
that most observers believed the economy has dodged that bullet.
Stocks rallied modestly at the beginning of 2006 then pulled back in the
May-July period on concerns about inflationary pressures and additional rate
hikes by the Fed. With the economy slowing and inflationary pressures easing,
markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones
Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains,
respectively, on a total return basis for the year.
Although it was a bit of a seesaw battle, investors expressed a preference for
small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%,
beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value
battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46%
compared to 9.15% for the Russell 1000(R) Growth Index.
In this buoyant environment, all 10 S&P 500(R) sector indices turned in positive
performances. In fact, only two indices in this series--health care and
information technology--did not achieve double-digit returns. The standout
performer was telecommunications, which rose a stunning 36.74%. The S&P Energy
Index, riding the wave of record global economic growth, rose 24.21%, followed
by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly
inexhaustible propensity for consumers to spend.
Interest rates rose modestly in 2006 as the yield curve inverted, indicating
that fixed-income investors anticipate a significant economic slowdown going
forward.
Looking into 2007, we think it is likely that economic growth will be slower but
not recessionary. In that environment we expect stocks to cool off, if not
retreat a bit. That should give the Fed room to ease interest rates, which
should push stock prices up again. We do not, however, expect those conditions
to unfold until the second half of 2007.
Thank you for placing your trust in Rydex Investments.
Sincerely,
/s/David C. Reilly, CFA
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3
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 FUND
LEVEL PERFORMANCE EXPECTATION 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%
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.
4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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 June 30, 2006 and
ending December 31, 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.
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 the Fund. 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 up to 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 VARIABLE TRUST ANNUAL REPORT | 5
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONTINUED)
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BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD*
- ------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
Nova Fund 1.49% $ 1,000.00 $ 1,173.50 $ 8.16
Inverse S&P 500 Fund 1.53% 1,000.00 921.40 7.41
OTC Fund 1.49% 1,000.00 1,112.00 7.93
Inverse OTC Fund 1.63% 1,000.00 924.90 7.91
Dynamic S&P 500 Fund 1.64% 1,000.00 1,217.80 9.17
Dynamic OTC Fund 1.65% 1,000.00 1,190.60 9.11
Mid-Cap Advantage Fund 1.64% 1,000.00 1,061.70 8.52
Inverse Mid-Cap Fund 1.64% 1,000.00 978.70 8.18
Dynamic Russell 2000(R) Fund**** 1.64% 1,000.00 1,040.60 2.93
Russell 2000(R) Advantage Fund 1.64% 1,000.00 1,107.00 8.71
Inverse Russell 2000(R) Fund 1.62% 1,000.00 935.00 7.90
Government Long Bond Advantage Fund 1.19% 1,000.00 1,091.40 6.27
Inverse Government Long Bond Fund** 5.17% 1,000.00 954.80 25.47
Europe Advantage Fund 1.65% 1,000.00 1,156.80 8.97
Japan Advantage Fund 1.63% 1,000.00 1,044.50 8.40
Dynamic Dow Fund 1.64% 1,000.00 1,227.30 9.21
Inverse Dynamic Dow Fund 1.65% 1,000.00 831.80 7.62
Small-Cap Value Fund 1.49% 1,000.00 1,100.70 7.89
Mid-Cap Value Fund 1.49% 1,000.00 1,100.50 7.89
Large-Cap Value Fund 1.50% 1,000.00 1,104.20 7.96
Small-Cap Growth Fund 1.50% 1,000.00 1,042.00 7.72
Mid-Cap Growth Fund 1.49% 1,000.00 1,043.00 7.67
Large-Cap Growth Fund 1.49% 1,000.00 1,085.70 7.83
Dynamic Strengthening Dollar Fund 1.63% 1,000.00 996.80 8.20
Dynamic Weakening Dollar Fund 1.64% 1,000.00 1,029.50 8.39
Multi-Cap Core Equity Fund 1.42% 1,000.00 1,104.40 7.53
Sector Rotation Fund 1.63% 1,000.00 1,075.70 8.53
U.S. Government Money Market Fund 1.18% 1,000.00 1,020.70 6.01
Banking Fund 1.60% 1,000.00 1,078.00 8.38
Basic Materials Fund 1.59% 1,000.00 1,114.20 8.47
Biotechnology Fund 1.60% 1,000.00 1,028.90 8.18
Commodities Fund*** 1.50% 1,000.00 778.30 6.72
Consumer Products Fund 1.59% 1,000.00 1,100.50 8.42
Electronics Fund 1.55% 1,000.00 1,043.20 7.98
Energy Fund 1.59% 1,000.00 995.10 8.00
Energy Services Fund 1.57% 1,000.00 945.60 7.70
Financial Services Fund 1.60% 1,000.00 1,124.00 8.57
Health Care Fund 1.59% 1,000.00 1,092.20 8.38
Internet Fund 1.60% 1,000.00 1,115.90 8.53
Leisure Fund 1.60% 1,000.00 1,150.30 8.67
Precious Metals Fund 1.48% 1,000.00 1,058.00 7.68
Real Estate Fund 1.60% 1,000.00 1,176.50 8.78
Retailing Fund 1.60% 1,000.00 1,087.50 8.42
Technology Fund 1.59% 1,000.00 1,100.00 8.42
Telecommunications Fund 1.59% 1,000.00 1,126.80 8.52
Transportation Fund 1.58% 1,000.00 929.70 7.68
Utilities Fund 1.60% 1,000.00 1,151.70 8.68
6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED)
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EXPENSE BEGINNING ENDING EXPENSES
RATIO+ ACCOUNT VALUE ACCOUNT VALUE PAID DURING
JUNE 30, 2006 DECEMBER 31, 2006 PERIOD*
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TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
Nova Fund 1.49% $ 1,000.00 $ 1,017.60 $ 7.61
Inverse S&P 500 Fund 1.53% 1,000.00 1,017.40 7.81
OTC Fund 1.49% 1,000.00 1,017.60 7.61
Inverse OTC Fund 1.63% 1,000.00 1,016.88 8.32
Dynamic S&P 500 Fund 1.64% 1,000.00 1,016.83 8.37
Dynamic OTC Fund 1.65% 1,000.00 1,016.78 8.42
Mid-Cap Advantage Fund 1.64% 1,000.00 1,016.83 8.37
Inverse Mid-Cap Fund 1.64% 1,000.00 1,016.83 8.37
Dynamic Russell 2000(R) Fund**** 1.64% 1,000.00 1,016.83 8.37
Russell 2000(R) Advantage Fund 1.64% 1,000.00 1,016.83 8.37
Inverse Russell 2000(R) Fund 1.62% 1,000.00 1,016.94 8.27
Government Long Bond Advantage Fund 1.19% 1,000.00 1,019.13 6.07
Inverse Government Long Bond Fund** 5.17% 1,000.00 998.81 26.39
Europe Advantage Fund 1.65% 1,000.00 1,016.78 8.42
Japan Advantage Fund 1.63% 1,000.00 1,016.88 8.32
Dynamic Dow Fund 1.64% 1,000.00 1,016.83 8.37
Inverse Dynamic Dow Fund 1.65% 1,000.00 1,016.78 8.42
Small-Cap Value Fund 1.49% 1,000.00 1,017.60 7.61
Mid-Cap Value Fund 1.49% 1,000.00 1,017.60 7.61
Large-Cap Value Fund 1.50% 1,000.00 1,017.55 7.66
Small-Cap Growth Fund 1.50% 1,000.00 1,017.55 7.66
Mid-Cap Growth Fund 1.49% 1,000.00 1,017.60 7.61
Large-Cap Growth Fund 1.49% 1,000.00 1,017.60 7.61
Dynamic Strengthening Dollar Fund 1.63% 1,000.00 1,016.88 8.32
Dynamic Weakening Dollar Fund 1.64% 1,000.00 1,016.83 8.37
Multi-Cap Core Equity Fund 1.42% 1,000.00 1,017.96 7.25
Sector Rotation Fund 1.63% 1,000.00 1,016.88 8.32
U.S. Government Money Market Fund 1.18% 1,000.00 1,019.18 6.02
Banking Fund 1.60% 1,000.00 1,017.04 8.17
Basic Materials Fund 1.59% 1,000.00 1,017.09 8.12
Biotechnology Fund 1.60% 1,000.00 1,017.04 8.17
Commodities Fund*** 1.50% 1,000.00 1,017.55 7.66
Consumer Products Fund 1.59% 1,000.00 1,017.09 8.12
Electronics Fund 1.55% 1,000.00 1,017.29 7.91
Energy Fund 1.59% 1,000.00 1,017.09 8.12
Energy Services Fund 1.57% 1,000.00 1,017.19 8.01
Financial Services Fund 1.60% 1,000.00 1,017.04 8.17
Health Care Fund 1.59% 1,000.00 1,017.09 8.12
Internet Fund 1.60% 1,000.00 1,017.04 8.17
Leisure Fund 1.60% 1,000.00 1,017.04 8.17
Precious Metals Fund 1.48% 1,000.00 1,017.65 7.55
Real Estate Fund 1.60% 1,000.00 1,017.04 8.17
Retailing Fund 1.60% 1,000.00 1,017.04 8.17
Technology Fund 1.59% 1,000.00 1,017.09 8.12
Telecommunications Fund 1.59% 1,000.00 1,017.09 8.12
Transportation Fund 1.58% 1,000.00 1,017.14 8.07
Utilities Fund 1.60% 1,000.00 1,017.04 8.17
* 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. EXPENSES
SHOWN DO NOT INCLUDE ADDITIONAL FEES CHARGED BY INSURANCE COMPANIES.
** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE INTEREST EXPENSE FROM
SECURITIES SOLD SHORT. EXCLUDING SHORT INTEREST EXPENSE, THE OPERATING
EXPENSE RATIOS WOULD BE REDUCED BY 3.55%.
*** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE EXPENSES WAIVED BY THE
ADVISOR. EXCLUDING WAIVED EXPENSES, THE OPERATING EXPENSE RATIOS WOULD BE
REDUCED BY 0.24%.
**** SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
+ ANNUALIZED
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)
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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
daily performance of the S&P 500 Index.
INCEPTION: May 7, 1997
With oil prices setting new highs mid-year, investors grew fearful, causing the
S&P 500 Index to give back earlier gains. However, positive catalysts emerged,
and the market regained its strength. Falling oil prices in the second half of
the year, along with growing corporate profits and a stable Fed Funds rate,
drove the market higher. The S&P 500 Index rallied strongly in the second half
to finish up 15.79% in 2006. Energy stocks continued to perform well, and the
telecommunications sector posted the strongest group performance, rebounding
from losses in the previous year to gain more than 30% in 2006. The market
managed to overcome some roadblocks on its way to posting its fourth straight
year of positive results, including a slumping housing market, uncertainty
surrounding oil prices and expectations of slower economic growth.
For the year, Rydex Nova Fund produced returns of 19.27%. It achieved a daily
correlation of 99% to its benchmark of 150% of the daily price movement of the
S&P 500 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 7, 1997 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE NOVA FUND S&P 500 INDEX
5/7/1997 10,000 10,000
6/30/1997 10,970 10,885
9/30/1997 11,950 11,701
12/31/1997 12,210 12,037
3/31/1998 14,190 13,716
6/30/1998 14,570 14,169
9/30/1998 12,070 12,759
12/31/1998 15,880 15,477
3/31/1999 16,600 16,248
6/30/1999 18,070 17,393
9/30/1999 16,182 16,307
12/31/1999 19,577 18,733
3/31/2000 19,893 19,163
6/30/2000 18,575 18,654
9/30/2000 18,051 18,473
12/31/2000 15,602 17,028
3/31/2001 12,592 15,009
6/30/2001 13,535 15,887
9/30/2001 10,424 13,555
12/31/2001 11,923 15,004
3/31/2002 11,882 15,045
6/30/2002 9,434 13,029
9/30/2002 6,909 10,778
12/31/2002 7,664 11,688
3/31/2003 7,131 11,320
6/30/2003 8,788 13,062
9/30/2003 9,084 13,408
12/31/2003 10,667 15,040
3/31/2004 10,978 15,295
6/30/2004 11,200 15,558
9/30/2004 10,762 15,268
12/31/2004 12,227 16,677
3/31/2005 11,739 16,319
6/30/2005 11,901 16,542
9/30/2005 12,489 17,139
12/31/2005 12,712 17,496
3/31/2006 13,395 18,233
6/30/2006 12,920 17,970
9/30/2006 13,870 18,988
12/31/2006 15,162 20,260
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
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SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/07/97)
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NOVA FUND 19.27% 4.92% 4.41%
S&P 500 INDEX 15.79% 6.19% 7.59%
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THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
NOVA FUND S&P 500 INDEX
OTHER 6.8% 10.2%
FINANCIALS 14.8% 22.2%
INFORMATION TECHNOLOGY 10.3% 15.2%
HEALTH CARE 8.0% 12.0%
CONSUMER DISCRETIONARY 7.2% 10.5%
INDUSTRIALS 7.2% 10.8%
ENERGY 6.6% 9.8%
CONSUMER STAPLES 6.1% 9.3%
FUTURES CONTRACTS 36.1%
EQUITY INDEX SWAP AGREEMENTS 47.7%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 2.4%
Citigroup, Inc. 1.7%
General Electric, Co. 1.7%
Bank of America Corp. 1.5%
Pfizer, Inc. 1.2%
J.P. Morgan Chase & Co. 1.2%
Altria Group, Inc. 1.1%
Procter & Gamble Co. 1.1%
Microsoft Corp. 1.1%
International Business Machines Corp. 1.1%
- --------------------------------------------------------------------------------
Top Ten Total 14.1%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: June 9, 1997
With oil prices setting new highs mid-year, investors grew fearful, causing the
S&P 500 Index to give back earlier gains. However, positive catalysts emerged,
and the market regained its strength. Falling oil prices in the second half of
the year, along with growing corporate profits and a stable Fed Funds rate,
drove the market higher. The S&P 500 Index rallied strongly in the second half
to finish up 15.79% in 2006. Energy stocks continued to perform well, and the
telecommunications sector posted the strongest group performance, rebounding
from losses in the previous year to gain more than 30% in 2006. The market
managed to overcome some roadblocks on its way to posting its fourth straight
year of positive results, including a slumping housing market, uncertainty
surrounding oil prices and expectations of slower economic growth.
For the year, Rydex Inverse S&P 500 Fund produced returns of -7.50%. It achieved
a daily correlation of 99% to its benchmark of the inverse performance of the
S&P 500 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
JUNE 9, 1997 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE INVERSE S&P 500 FUND S&P 500 INDEX
6/9/1997 10,000 10,000
6/30/1997 9,786 10,266
9/30/1997 9,028 11,035
12/31/1997 8,622 11,352
3/31/1998 7,618 12,935
6/30/1998 7,425 13,362
9/30/1998 8,098 12,033
12/31/1998 6,731 14,596
3/31/1999 6,432 15,323
6/30/1999 5,994 16,403
9/30/1999 6,465 15,379
12/31/1999 5,717 17,667
3/31/2000 5,610 18,072
6/30/2000 5,856 17,592
9/30/2000 6,025 17,422
12/31/2000 6,635 16,059
3/31/2001 7,593 14,155
6/30/2001 7,234 14,983
9/30/2001 8,466 12,784
12/31/2001 7,629 14,150
3/31/2002 7,581 14,189
6/30/2002 8,697 12,288
9/30/2002 10,237 10,165
12/31/2002 9,280 11,023
3/31/2003 9,477 10,676
6/30/2003 8,177 12,319
9/30/2003 7,932 12,645
12/31/2003 7,086 14,185
3/31/2004 6,927 14,425
6/30/2004 6,792 14,673
9/30/2004 6,927 14,399
12/31/2004 6,363 15,728
3/31/2005 6,547 15,390
6/30/2005 6,522 15,601
9/30/2005 6,350 16,163
12/31/2005 6,314 16,501
3/31/2006 6,142 17,195
6/30/2006 6,338 16,947
9/30/2006 6,105 17,908
12/31/2006 5,840 19,107
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (06/09/97)
- --------------------------------------------------------------------------------
INVERSE S&P 500 FUND -7.50% -5.21% -5.47%
S&P 500 INDEX 15.79% 6.19% 7.01%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE S&P 500 FUND S&P 500 INDEX
OTHER 10.2%
FINANCIALS 22.2%
INFORMATION TECHNOLOGY 15.2%
HEALTH CARE 12.0%
INDUSTRIALS 10.8%
CONSUMER DISCRETIONARY 10.5%
ENERGY 9.8%
CONSUMER STAPLES 9.3%
FUTURES CONTRACTS SHORT SALES -25.1%
EQUITY INDEX SWAP AGREEMENTS SHORT SALES -75.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 7,1997
Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first
week of 2006. The index slid about 15% starting in mid-April before rebounding
in July.
The Nasdaq100 Index has stocks mainly from technology, health care and consumer
discretionary sectors. While the consumer discretionary sector returned close to
20%, the technology and health care sectors were up about 5.6% and barely
positive, respectively. In general, leadership began to narrow after six years
in which most of the sectors performed well.
In this past year, the Federal Reserve paused raising interest rates and the
overall equity market tried to figure out what the Fed will do next. Many
investors believed that the Fed had finished hiking rates and even expected a
rate cut soon. Additionally, volatility, both at market level and intra sector,
hit multi-year low levels.
For the year, Rydex OTC Fund produced returns of 5.77%. It achieved a daily
correlation of 99% to its benchmark of 100% of the daily price movement of the
Nasdaq 100 Index.
CUMULATIVE FUND PERFORMANCE:
MAY 7, 1997 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE OTC FUND NASDAQ 100 INDEX*
5/7/1997 10,000 10,000
6/30/1997 10,400 10,528
9/30/1997 11,760 12,066
12/31/1997 10,650 10,897
3/31/1998 13,120 13,424
6/30/1998 14,360 14,708
9/30/1998 14,470 14,797
12/31/1998 19,570 20,192
3/31/1999 22,630 23,165
6/30/1999 24,630 25,259
9/30/1999 25,734 26,481
12/31/1999 39,399 40,777
3/31/2000 46,497 48,366
6/30/2000 39,685 41,393
9/30/2000 37,486 39,268
12/31/2000 24,354 25,753
3/31/2001 16,087 17,302
6/30/2001 18,700 20,156
9/30/2001 11,756 12,849
12/31/2001 15,788 17,344
3/31/2002 14,476 15,977
6/30/2002 10,401 11,563
9/30/2002 8,203 9,156
12/31/2002 9,654 10,826
3/31/2003 9,964 11,203
6/30/2003 11,670 13,216
9/30/2003 12,513 14,338
12/31/2003 14,039 16,144
3/31/2004 13,729 15,819
6/30/2004 14,455 16,679
9/30/2004 13,409 15,537
12/31/2004 15,351 17,828
3/31/2005 14,007 16,304
6/30/2005 14,145 16,425
9/30/2005 15,159 17,614
12/31/2005 15,521 18,093
3/31/2006 15,980 18,736
6/30/2006 14,764 17,324
9/30/2006 15,436 18,191
12/31/2006 16,417 19,322
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/07/97)
- --------------------------------------------------------------------------------
OTC FUND 5.77% 0.78% 5.27%
NASDAQ 100 INDEX 7.29% 2.49% 7.26%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
OTC FUND NASDAQ 100 INDEX
OTHER 6.6% 6.9%
INFORMATION TECHNOLOGY 57.8% 62.2%
CONSUMER DISCRETIONARY 16.5% 17.3%
HEALTH CARE 12.8% 13.6%
FUTURES CONTRACTS 4.6%
EQUITY INDEX SWAP AGREEMENTS 1.7%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Apple Computer, Inc. 6.2%
Microsoft Corp. 6.1%
Qualcomm, Inc. 4.7%
Cisco Systems, Inc. 4.1%
Google, Inc. -- Class A 3.7%
Amgen, Inc. 3.1%
Comcast Corp. -- Class A 2.7%
Oracle Corp. 2.4%
Gilead Sciences, Inc. 2.4%
Intel Corp. 2.4%
- --------------------------------------------------------------------------------
Top Ten Total 37.8%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: May 21, 2001
Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first
week of 2006. The index slid about 15% starting in mid-April before rebounding
in July.
The Nasdaq 100 Index has stocks mainly from technology, health care and consumer
discretionary sectors. While the consumer discretionary sector returned close to
20%, the technology and health care sectors were up about 5.60% and barely
positive, respectively. In general, leadership began to narrow after six years
in which most of the sectors performed well.
In this past year, the Federal Reserve paused raising interest rates and the
overall equity market tried to figure out what the Fed will do next. Many
investors believed that the Fed had finished hiking rates and even expected a
rate cut soon. Additionally, volatility, both at market level and intra sector,
hit multi-year low levels.
For the year, Rydex Inverse OTC Fund produced returns of -1.40%. It achieved a
daily correlation of 99% to its benchmark of the inverse performance of the
Nasdaq 100 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 21, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE INVERSE OTC FUND NASDAQ 100 INDEX*
5/21/2001 10,000 10,000
5/31/2001 11,420 8,769
6/30/2001 11,132 8,929
7/31/2001 11,996 8,202
8/31/2001 13,576 7,160
9/30/2001 16,868 5,692
10/31/2001 13,972 6,649
11/30/2001 11,852 7,776
12/31/2001 11,792 7,683
1/31/2002 11,888 7,552
2/28/2002 13,432 6,622
3/31/2002 12,436 7,078
4/30/2002 14,028 6,222
5/31/2002 14,472 5,887
6/30/2002 16,440 5,122
7/31/2002 17,404 4,687
8/31/2002 17,428 4,591
9/30/2002 19,478 4,056
10/31/2002 16,074 4,821
11/30/2002 14,033 5,438
12/31/2002 15,783 4,796
1/31/2003 15,589 4,789
2/28/2003 15,092 4,919
3/31/2003 14,797 4,963
4/30/2003 13,555 5,389
5/31/2003 12,460 5,836
6/30/2003 12,387 5,855
7/31/2003 11,603 6,221
8/31/2003 11,013 6,534
9/30/2003 11,264 6,352
10/31/2003 10,324 6,901
11/30/2003 10,226 6,939
12/31/2003 9,885 7,152
1/31/2004 9,688 7,274
2/29/2004 9,820 7,164
3/31/2004 10,000 7,008
4/30/2004 10,214 6,827
5/31/2004 9,738 7,143
6/30/2004 9,401 7,389
7/31/2004 10,152 6,823
8/31/2004 10,361 6,668
9/30/2004 10,025 6,883
10/31/2004 9,504 7,243
11/30/2004 8,983 7,656
12/31/2004 8,716 7,898
1/31/2005 9,294 7,404
2/28/2005 9,348 7,362
3/31/2005 9,553 7,223
4/30/2005 9,972 6,922
5/31/2005 9,200 7,516
6/30/2005 9,528 7,276
7/31/2005 8,884 7,820
8/31/2005 9,044 7,706
9/30/2005 8,962 7,803
10/31/2005 9,126 7,694
11/30/2005 8,642 8,149
12/31/2005 8,827 8,015
1/31/2006 8,519 8,335
2/28/2006 8,740 8,139
3/31/2006 8,605 8,300
4/30/2006 8,667 8,286
5/31/2006 9,372 7,696
6/30/2006 9,409 7,674
7/31/2006 9,865 7,354
8/31/2006 9,467 7,696
9/30/2006 9,089 8,059
10/31/2006 8,724 8,441
11/30/2006 8,478 8,727
12/31/2006 8,703 8,560
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/21/01)
- --------------------------------------------------------------------------------
INVERSE OTC FUND -1.40% -5.89% -2.44%
NASDAQ 100 INDEX 7.29% 2.49% -2.47%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE OTC FUND NASDAQ 100 INDEX
OTHER 6.9%
INFORMATION TECHNOLOGY 62.2%
CONSUMER DISCRETIONARY 17.3%
HEALTH CARE 13.6%
FUTURES CONTRACTS SHORT SALES -38.3%
EQUITY INDEX SWAP AGREEMENTS SHORT SALES -63.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
OBJECTIVE: Seeks 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 S&P 500 Index.
INCEPTION: October 1, 2001
With oil prices setting new highs mid-year, investors grew fearful, causing the
S&P 500 Index to give back earlier gains. However, positive catalysts emerged,
and the market regained its strength. Falling oil prices in the second half of
the year, along with growing corporate profits and a stable Fed Funds rate,
drove the market higher. The S&P 500 Index rallied strongly in the second half
to finish up 15.79% in 2006. Energy stocks continued to perform well, and the
telecommunications sector posted the strongest group performance, rebounding
from losses in the previous year to gain more than 30% in 2006. The market
managed to overcome some roadblocks on its way to posting its fourth straight
year of positive results, including a slumping housing market, uncertainty
surrounding oil prices and expectations of slower economic growth.
For the year, Rydex Dynamic S&P 500 Fund produced returns of 23.70%. It achieved
a daily correlation of 99% to its benchmark of 200% of the daily price movement
of the S&P 500 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE DYNAMIC S&P 500 FUND S&P 500 INDEX
10/1/2001 10,000 10,000
10/31/2001 10,356 10,214
11/30/2001 11,824 10,998
12/31/2001 11,948 11,094
1/31/2002 11,496 10,932
2/28/2002 11,048 10,721
3/31/2002 11,724 11,124
4/30/2002 10,276 10,450
5/31/2002 10,020 10,373
6/30/2002 8,432 9,634
7/31/2002 7,084 8,883
8/31/2002 7,092 8,942
9/30/2002 5,577 7,970
10/31/2002 6,544 8,671
11/30/2002 7,317 9,182
12/31/2002 6,451 8,642
1/31/2003 6,042 8,416
2/28/2003 5,822 8,289
3/31/2003 5,866 8,370
4/30/2003 6,812 9,059
5/31/2003 7,558 9,537
6/30/2003 7,698 9,658
7/31/2003 7,923 9,829
8/31/2003 8,236 10,020
9/30/2003 8,007 9,914
10/31/2003 8,921 10,475
11/30/2003 9,142 10,567
12/31/2003 9,996 11,121
1/31/2004 10,357 11,325
2/29/2004 10,616 11,483
3/31/2004 10,241 11,309
4/30/2004 9,885 11,132
5/31/2004 10,126 11,285
6/30/2004 10,464 11,504
7/31/2004 9,741 11,123
8/31/2004 9,783 11,168
9/30/2004 9,936 11,289
10/31/2004 10,188 11,462
11/30/2004 10,984 11,926
12/31/2004 11,685 12,331
1/31/2005 11,066 12,031
2/28/2005 11,491 12,284
3/31/2005 11,031 12,066
4/30/2005 10,560 11,838
5/31/2005 11,196 12,214
6/30/2005 11,167 12,232
7/31/2005 11,968 12,686
8/31/2005 11,679 12,571
9/30/2005 11,811 12,672
10/31/2005 11,337 12,461
11/30/2005 12,159 12,933
12/31/2005 12,080 12,937
1/31/2006 12,666 13,280
2/28/2006 12,672 13,316
3/31/2006 12,916 13,481
4/30/2006 13,172 13,662
5/31/2006 12,337 13,269
6/30/2006 12,271 13,287
7/31/2006 12,304 13,369
8/31/2006 12,810 13,687
9/30/2006 13,396 14,040
10/31/2006 14,185 14,497
11/30/2006 14,632 14,773
12/31/2006 14,943 14,980
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND 23.70% 4.58% 7.95%
S&P 500 INDEX 15.79% 6.19% 8.00%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
DYNAMIC S&P 500 FUND S&P 500 INDEX
OTHER 6.4% 10.2%
FINANCIALS 14.2% 22.2%
INFORMATION TECHNOLOGY 9.7% 15.2%
HEALTH CARE 7.7% 12.0%
INDUSTRIALS 6.9% 10.8%
CONSUMER DISCRETIONARY 6.8% 10.5%
ENERGY 6.3% 9.8%
CONSUMER STAPLES 5.9% 9.3%
FUTURES CONTRACTS 40.5%
EQUITY INDEX SWAP AGREEMENTS 96.8%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Exxon Mobil Corp 2.2%
General Electric, Co. 1.9%
Citigroup, Inc. 1.3%
Microsoft Corp. 1.3%
Bank of America Corp. 1.2%
Procter & Gamble Co. 1.0%
Johnson & Johnson, Inc. 0.9%
Pfizer, Inc. 0.9%
American International Group, Inc. 0.9%
Altria Group, Inc. 0.9%
- --------------------------------------------------------------------------------
Top Ten Total 12.5%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC OTC 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 Nasdaq 100 Index.
INCEPTION: October 1, 2001
Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first
week of 2006. The index slid about 15% starting in mid-April before rebounding
in July.
The Nasdaq 100 Index has stocks mainly from technology, health care and consumer
discretionary sectors. While the consumer discretionary sector returned close to
20%, the technology and health care sectors were up about 5.60% and barely
positive, respectively. In general, leadership began to narrow after six years
in which most of the sectors performed well.
In this past year, the Federal Reserve paused raising interest rates and the
overall equity market tried to figure out what the Fed will do next. Many
investors believed that the Fed had finished hiking rates and even expected rate
cut soon. Additionally, volatility, both at market level and intra sector, hit
multi-year low levels.
For the year, Rydex Dynamic OTC Fund produced returns of 4.86%. It achieved a
daily correlation of 99% to its benchmark of 200% of the daily price movement of
the Nasdaq 100 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE DYNAMIC OTC FUND NASDAQ 100 INDEX*
10/1/2001 10,000 10,000
10/31/2001 12,912 11,855
11/30/2001 17,148 13,864
12/31/2001 15,588 13,699
1/31/2002 14,860 13,465
2/28/2002 11,212 11,807
3/31/2002 12,532 12,620
4/30/2002 9,540 11,093
5/31/2002 8,340 10,496
6/30/2002 6,208 9,133
7/31/2002 5,040 8,357
8/31/2002 4,708 8,186
9/30/2002 3,584 7,232
10/31/2002 4,984 8,595
11/30/2002 6,208 9,695
12/31/2002 4,760 8,550
1/31/2003 4,676 8,539
2/28/2003 4,896 8,771
3/31/2003 4,940 8,848
4/30/2003 5,764 9,608
5/31/2003 6,680 10,405
6/30/2003 6,676 10,438
7/31/2003 7,432 11,092
8/31/2003 8,140 11,650
9/30/2003 7,612 11,324
10/31/2003 8,920 12,303
11/30/2003 8,976 12,371
12/31/2003 9,455 12,751
1/31/2004 9,738 12,969
2/29/2004 9,420 12,772
3/31/2004 8,946 12,494
4/30/2004 8,459 12,173
5/31/2004 9,233 12,736
6/30/2004 9,803 13,174
7/31/2004 8,280 12,164
8/31/2004 7,862 11,889
9/30/2004 8,329 12,271
10/31/2004 9,166 12,914
11/30/2004 10,200 13,650
12/31/2004 10,798 14,082
1/31/2005 9,442 13,200
2/28/2005 9,302 13,125
3/31/2005 8,904 12,878
4/30/2005 8,119 12,341
5/31/2005 9,540 13,400
6/30/2005 8,900 12,973
7/31/2005 10,232 13,943
8/31/2005 9,896 13,739
9/30/2005 10,088 13,912
10/31/2005 9,737 13,717
11/30/2005 10,887 14,528
12/31/2005 10,471 14,291
1/31/2006 11,247 14,860
2/28/2006 10,672 14,511
3/31/2006 11,028 14,798
4/30/2006 10,925 14,773
5/31/2006 9,358 13,721
6/30/2006 9,222 13,683
7/31/2006 8,367 13,111
8/31/2006 9,096 13,722
9/30/2006 9,905 14,368
10/31/2006 10,789 15,049
11/30/2006 11,472 15,559
12/31/2006 10,980 15,261
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
DYNAMIC OTC FUND 4.86% -6.77% 1.80%
NASDAQ 100 INDEX 7.29% 2.49% 8.69%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
DYNAMIC OTC FUND NASDAQ 100 INDEX
OTHER 6.0% 6.9%
INFORMATION TECHNOLOGY 48.8% 62.2%
CONSUMER DISCRETIONARY 13.8% 17.3%
HEALTH CARE 10.8% 13.6%
FUTURES CONTRACTS 1.2%
EQUITY INDEX SWAP AGREEMENTS 120.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Microsoft Corp. 5.2%
Apple Computer, Inc. 5.2%
Qualcomm, Inc. 3.9%
Google, Inc. -- Class A 3.2%
Cisco Systems, Inc. 3.0%
Intel Corp. 2.1%
Comcast Corp. -- Class A 2.1%
Starbucks Corp. 1.9%
Amgen, Inc. 1.9%
Oracle Corp. 1.9%
- --------------------------------------------------------------------------------
Top Ten Total 30.4%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: October 1, 2001
While many investors expected small-cap stocks to underperform large-caps, it
was actually mid-sized companies that lagged the broader markets. The S&P 400
MidCap Index gained 10.32%, while the larger stocks in the S&P 500 Index rose
15.79%. Still-strong performance was evident, with all but one economic sector
gaining for the year. Telecommunications stocks posted the best results, gaining
nearly 50%, whereas the health care sector lost -1.20%. Mid-cap stocks started
the year strongly, rocketing up more than 10.0% by early May. They then lost all
of their gains, as investors grew wary of the impact of rising oil prices.
However, positive catalysts emerged, and the S&P MidCap 400 regained its
strength. In the second half of the year, falling oil prices, growing corporate
profits, an increasing appetite for risk and the Federal Reserve's restraint
with raising rates drove these stocks higher.
For the year, Rydex Mid-Cap Advantage Fund produced returns of 10.46%. It
achieved a daily correlation of 99% to its benchmark of 150% of the daily price
movement of the S&P MidCap 400 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX
10/1/2001 10,000 10,000
10/31/2001 10,848 10,634
11/30/2001 11,920 11,425
12/31/2001 12,667 12,015
1/31/2002 12,569 11,953
2/28/2002 12,618 11,967
3/31/2002 13,876 12,823
4/30/2002 13,860 12,763
5/31/2002 13,519 12,547
6/30/2002 12,017 11,629
7/31/2002 10,374 10,503
8/31/2002 10,297 10,555
9/30/2002 8,973 9,705
10/31/2002 9,512 10,126
11/30/2002 10,315 10,711
12/31/2002 9,571 10,271
1/31/2003 9,157 9,971
2/28/2003 8,806 9,734
3/31/2003 8,823 9,816
4/30/2003 9,749 10,528
5/31/2003 11,074 11,401
6/30/2003 11,241 11,546
7/31/2003 11,769 11,956
8/31/2003 12,539 12,498
9/30/2003 12,297 12,307
10/31/2003 13,659 13,237
11/30/2003 14,316 13,699
12/31/2003 14,589 13,930
1/31/2004 15,049 14,232
2/29/2004 15,551 14,573
3/31/2004 15,651 14,635
4/30/2004 14,831 14,155
5/31/2004 15,197 14,448
6/30/2004 15,704 14,777
7/31/2004 14,530 14,088
8/31/2004 14,418 14,051
9/30/2004 15,063 14,467
10/31/2004 15,466 14,698
11/30/2004 16,865 15,574
12/31/2004 17,820 16,226
1/31/2005 17,107 15,812
2/28/2005 17,934 16,342
3/31/2005 17,652 16,161
4/30/2005 16,455 15,533
5/31/2005 17,887 16,468
6/30/2005 18,499 16,850
7/31/2005 19,972 17,735
8/31/2005 19,582 17,538
9/30/2005 19,747 17,672
10/31/2005 18,999 17,293
11/30/2005 20,280 18,138
12/31/2005 20,327 18,263
1/31/2006 22,060 19,339
2/28/2006 21,783 19,177
3/31/2006 22,511 19,656
4/30/2006 22,909 19,933
5/31/2006 21,203 19,034
6/30/2006 21,150 19,038
7/31/2006 20,091 18,495
8/31/2006 20,415 18,706
9/30/2006 20,563 18,832
10/31/2006 21,736 19,615
11/30/2006 22,572 20,246
12/31/2006 22,454 20,148
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND 10.46% 12.13% 16.66%
S&P MIDCAP 400 INDEX 10.32% 10.89% 14.28%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX
OTHER 5.8% 2.8%
FINANCIALS 11.8% 18.5%
INDUSTRIALS 10.6% 15.9%
CONSUMER DISCRETIONARY 10.5% 15.4%
INFORMATION TECHNOLOGY 10.4% 15.1%
HEALTH CARE 7.1% 10.7%
UTILITIES 5.8% 8.1%
ENERGY 5.3% 7.5%
MATERIALS 6.0%
FUTURES CONTRACTS 60.0%
EQUITY INDEX SWAP AGREEMENTS 23.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Noble Energy, Inc. 0.8%
ENSCO International, Inc. 0.8%
Lam Research Corp. 0.8%
Manpower, Inc. 0.7%
Joy Global, Inc. 0.7%
American Eagle Outfitters, Inc. 0.7%
Everest Re Group Ltd. 0.7%
Abercrombie & Fitch Co. -- Class A 0.7%
Precision Castparts Corp. 0.7%
W.R. Berkley Corp. 0.7%
- --------------------------------------------------------------------------------
Top Ten Total 7.3%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: May 3, 2004
While many investors expected small-cap stocks to underperform large-caps, it
was actually mid-sized companies that lagged the broader markets. The S&P 400
MidCap Index gained 10.32%, while the larger stocks in the S&P 500 Index rose
15.79%. Still-strong performance was evident, with all but one economic sector
gaining for the year. Telecommunications stocks posted the best results, gaining
nearly 50%, whereas the health care sector lost -1.20%. Mid-cap stocks started
the year strongly, rocketing up more than 10.0% by early May. They then lost all
of their gains, as investors grew wary of the impact of rising oil prices.
However, positive catalysts emerged, and the S&P MidCap 400 regained its
strength. In the second half of the year, falling oil prices, growing corporate
profits, an increasing appetite for risk and the Federal Reserve's restraint
with raising rates drove these stocks higher.
For the year, Rydex Inverse Mid-Cap Fund produced returns of -3.83%. It achieved
a daily correlation of 99% to its benchmark of the inverse performance of the
S&P MidCap 400 Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE INVERSE MID-CAP FUND S&P MIDCAP 400 INDEX
5/3/2004 10,000 10,000
5/4/2004 9,988 10,024
5/5/2004 9,922 10,074
5/6/2004 10,042 9,955
5/7/2004 10,258 9,742
5/8/2004 10,258 9,742
5/9/2004 10,258 9,742
5/10/2004 10,436 9,578
5/11/2004 10,282 9,703
5/12/2004 10,308 9,677
5/13/2004 10,298 9,690
5/14/2004 10,338 9,660
5/15/2004 10,338 9,660
5/16/2004 10,338 9,660
5/17/2004 10,450 9,547
5/18/2004 10,356 9,634
5/19/2004 10,380 9,608
5/20/2004 10,378 9,612
5/21/2004 10,320 9,660
5/22/2004 10,320 9,660
5/23/2004 10,320 9,660
5/24/2004 10,212 9,760
5/25/2004 10,018 9,948
5/26/2004 9,962 10,008
5/27/2004 9,916 10,063
5/28/2004 9,866 10,114
5/29/2004 9,866 10,114
5/30/2004 9,866 10,114
5/31/2004 9,866 10,114
6/1/2004 9,822 10,146
6/2/2004 9,838 10,146
6/3/2004 9,972 10,004
6/4/2004 9,894 10,075
6/5/2004 9,894 10,075
6/6/2004 9,894 10,075
6/7/2004 9,738 10,246
6/8/2004 9,746 10,228
6/9/2004 9,874 10,103
6/10/2004 9,830 10,129
6/11/2004 9,830 10,129
6/12/2004 9,830 10,129
6/13/2004 9,830 10,129
6/14/2004 9,970 9,985
6/15/2004 9,830 10,111
6/16/2004 9,832 10,129
6/17/2004 9,828 10,123
6/18/2004 9,864 10,123
6/19/2004 9,864 10,123
6/20/2004 9,864 10,123
6/21/2004 9,864 10,096
6/22/2004 9,798 10,153
6/23/2004 9,712 10,244
6/24/2004 9,740 10,228
6/25/2004 9,686 10,275
6/26/2004 9,686 10,275
6/27/2004 9,686 10,275
6/28/2004 9,746 10,221
6/29/2004 9,714 10,252
6/30/2004 9,636 10,344
7/1/2004 9,760 10,215
7/2/2004 9,768 10,193
7/3/2004 9,768 10,193
7/4/2004 9,768 10,193
7/5/2004 9,768 10,193
7/6/2004 9,898 10,053
7/7/2004 9,880 10,083
7/8/2004 10,002 9,960
7/9/2004 9,936 10,009
7/10/2004 9,936 10,009
7/11/2004 9,936 10,009
7/12/2004 9,988 9,983
7/13/2004 9,978 9,993
7/14/2004 10,012 9,960
7/15/2004 9,954 10,012
7/16/2004 10,012 9,942
7/17/2004 10,012 9,942
7/18/2004 10,012 9,942
7/19/2004 10,020 9,952
7/20/2004 9,888 10,070
7/21/2004 10,096 9,864
7/22/2004 10,104 9,845
7/23/2004 10,240 9,730
7/24/2004 10,240 9,730
7/25/2004 10,240 9,730
7/26/2004 10,332 9,646
7/27/2004 10,186 9,776
7/28/2004 10,240 9,726
7/29/2004 10,094 9,854
7/30/2004 10,102 9,861
7/31/2004 10,102 9,861
8/1/2004 10,102 9,861
8/2/2004 10,076 9,877
8/3/2004 10,204 9,770
8/4/2004 10,234 9,737
8/5/2004 10,416 9,554
8/6/2004 10,600 9,399
8/7/2004 10,600 9,399
8/8/2004 10,600 9,399
8/9/2004 10,588 9,414
8/10/2004 10,408 9,567
8/11/2004 10,480 9,507
8/12/2004 10,630 9,375
8/13/2004 10,630 9,368
8/14/2004 10,630 9,368
8/15/2004 10,630 9,368
8/16/2004 10,456 9,523
8/17/2004 10,404 9,567
8/18/2004 10,252 9,707
8/19/2004 10,330 9,642
8/20/2004 10,190 9,770
8/21/2004 10,190 9,770
8/22/2004 10,190 9,770
8/23/2004 10,246 9,716
8/24/2004 10,234 9,731
8/25/2004 10,128 9,822
8/26/2004 10,136 9,826
8/27/2004 10,082 9,874
8/28/2004 10,082 9,874
8/29/2004 10,082 9,874
8/30/2004 10,200 9,760
8/31/2004 10,122 9,836
9/1/2004 10,042 9,917
9/2/2004 9,952 10,006
9/3/2004 10,002 9,959
9/4/2004 10,002 9,959
9/5/2004 10,002 9,959
9/6/2004 10,002 9,959
9/7/2004 9,928 10,034
9/8/2004 10,024 9,940
9/9/2004 9,950 10,010
9/10/2004 9,910 10,051
9/11/2004 9,910 10,051
9/12/2004 9,910 10,051
9/13/2004 9,848 10,114
9/14/2004 9,870 10,090
9/15/2004 9,926 10,036
9/16/2004 9,858 10,106
9/17/2004 9,864 10,105
9/18/2004 9,864 10,105
9/19/2004 9,864 10,105
9/20/2004 9,906 10,059
9/21/2004 9,822 10,143
9/22/2004 9,946 10,020
9/23/2004 9,970 9,989
9/24/2004 9,926 10,044
9/25/2004 9,926 10,044
9/26/2004 9,926 10,044
9/27/2004 10,014 9,946
9/28/2004 9,946 10,015
9/29/2004 9,906 10,055
9/30/2004 9,842 10,127
10/1/2004 9,694 10,274
10/2/2004 9,694 10,274
10/3/2004 9,694 10,274
10/4/2004 9,666 10,306
10/5/2004 9,694 10,280
10/6/2004 9,632 10,346
10/7/2004 9,752 10,217
10/8/2004 9,824 10,146
10/9/2004 9,824 10,146
10/10/2004 9,824 10,146
10/11/2004 9,812 10,148
10/12/2004 9,854 10,117
10/13/2004 9,934 10,032
10/14/2004 10,002 9,957
10/15/2004 9,962 9,996
10/16/2004 9,962 9,996
10/17/2004 9,962 9,996
10/18/2004 9,914 10,045
10/19/2004 9,986 9,972
10/20/2004 9,938 10,017
10/21/2004 9,848 10,113
10/22/2004 9,940 10,022
10/23/2004 9,940 10,022
10/24/2004 9,940 10,022
10/25/2004 9,910 10,051
10/26/2004 9,826 10,121
10/27/2004 9,690 10,277
10/28/2004 9,704 10,266
10/29/2004 9,688 10,289
10/30/2004 9,688 10,289
10/31/2004 9,688 10,289
11/1/2004 9,688 10,290
11/2/2004 9,700 10,277
11/3/2004 9,564 10,417
11/4/2004 9,428 10,567
11/5/2004 9,404 10,595
11/6/2004 9,404 10,595
11/7/2004 9,404 10,595
11/8/2004 9,436 10,558
11/9/2004 9,406 10,595
11/10/2004 9,384 10,622
11/11/2004 9,296 10,724
11/12/2004 9,192 10,845
11/13/2004 9,192 10,845
11/14/2004 9,192 10,845
11/15/2004 9,200 10,836
11/16/2004 9,258 10,771
11/17/2004 9,180 10,860
11/18/2004 9,190 10,853
11/19/2004 9,298 10,726
11/20/2004 9,298 10,726
11/21/2004 9,298 10,726
11/22/2004 9,224 10,808
11/23/2004 9,188 10,852
11/24/2004 9,108 10,946
11/25/2004 9,108 10,946
11/26/2004 9,106 10,955
11/27/2004 9,106 10,955
11/28/2004 9,106 10,955
11/29/2004 9,128 10,932
11/30/2004 9,152 10,902
12/1/2004 9,032 11,046
12/2/2004 9,070 11,002
12/3/2004 9,050 11,032
12/4/2004 9,050 11,032
12/5/2004 9,050 11,032
12/6/2004 9,076 11,000
12/7/2004 9,200 10,846
12/8/2004 9,142 10,913
12/9/2004 9,108 10,961
12/10/2004 9,098 10,975
12/11/2004 9,098 10,975
12/12/2004 9,098 10,975
12/13/2004 9,032 11,053
12/14/2004 8,946 11,156
12/15/2004 8,896 11,226
12/16/2004 8,950 11,158
12/17/2004 8,958 11,154
12/18/2004 8,958 11,154
12/19/2004 8,958 11,154
12/20/2004 8,990 11,103
12/21/2004 8,900 11,221
12/22/2004 8,866 11,258
12/23/2004 8,860 11,271
12/24/2004 8,860 11,271
12/25/2004 8,860 11,271
12/26/2004 8,860 11,271
12/27/2004 8,924 11,203
12/28/2004 8,816 11,341
12/29/2004 8,800 11,351
12/30/2004 8,794 11,378
12/31/2004 8,806 11,358
1/1/2005 8,806 11,358
1/2/2005 8,806 11,358
1/3/2005 8,950 11,168
1/4/2005 9,088 10,994
1/5/2005 9,190 10,876
1/6/2005 9,150 10,927
1/7/2005 9,188 10,871
1/8/2005 9,188 10,871
1/9/2005 9,188 10,871
1/10/2005 9,140 10,933
1/11/2005 9,196 10,867
1/12/2005 9,176 10,895
1/13/2005 9,188 10,874
1/14/2005 9,114 10,969
1/15/2005 9,114 10,969
1/16/2005 9,114 10,969
1/17/2005 9,114 10,969
1/18/2005 9,030 11,070
1/19/2005 9,114 10,970
1/20/2005 9,160 10,917
1/21/2005 9,206 10,856
1/22/2005 9,206 10,856
1/23/2005 9,206 10,856
1/24/2005 9,260 10,790
1/25/2005 9,242 10,813
1/26/2005 9,146 10,924
1/27/2005 9,120 10,959
1/28/2005 9,168 10,908
1/29/2005 9,168 10,908
1/30/2005 9,168 10,908
1/31/2005 9,034 11,068
2/1/2005 8,964 11,151
2/2/2005 8,920 11,209
2/3/2005 8,938 11,188
2/4/2005 8,816 11,341
2/5/2005 8,816 11,341
2/6/2005 8,816 11,341
2/7/2005 8,830 11,318
2/8/2005 8,806 11,354
2/9/2005 8,918 11,205
2/10/2005 8,890 11,245
2/11/2005 8,798 11,361
2/12/2005 8,798 11,361
2/13/2005 8,798 11,361
2/14/2005 8,798 11,364
2/15/2005 8,780 11,388
2/16/2005 8,742 11,439
2/17/2005 8,808 11,354
2/18/2005 8,822 11,342
2/19/2005 8,822 11,342
2/20/2005 8,822 11,342
2/21/2005 8,822 11,342
2/22/2005 8,968 11,158
2/23/2005 8,916 11,221
2/24/2005 8,802 11,362
2/25/2005 8,692 11,499
2/26/2005 8,692 11,499
2/27/2005 8,692 11,499
2/28/2005 8,748 11,440
3/1/2005 8,670 11,536
3/2/2005 8,678 11,530
3/3/2005 8,684 11,524
3/4/2005 8,592 11,650
3/5/2005 8,592 11,650
3/6/2005 8,592 11,650
3/7/2005 8,548 11,708
3/8/2005 8,616 11,618
3/9/2005 8,708 11,493
3/10/2005 8,726 11,475
3/11/2005 8,722 11,473
3/12/2005 8,722 11,473
3/13/2005 8,722 11,473
3/14/2005 8,656 11,559
3/15/2005 8,702 11,507
3/16/2005 8,778 11,407
3/17/2005 8,766 11,431
3/18/2005 8,814 11,387
3/19/2005 8,814 11,387
3/20/2005 8,814 11,387
3/21/2005 8,812 11,366
3/22/2005 8,866 11,311
3/23/2005 8,928 11,229
3/24/2005 8,910 11,248
3/25/2005 8,910 11,248
3/26/2005 8,910 11,248
3/27/2005 8,910 11,248
3/28/2005 8,896 11,255
3/29/2005 9,000 11,129
3/30/2005 8,902 11,269
3/31/2005 8,874 11,313
4/1/2005 8,896 11,276
4/2/2005 8,896 11,276
4/3/2005 8,896 11,276
4/4/2005 8,888 11,291
4/5/2005 8,860 11,303
4/6/2005 8,854 11,325
4/7/2005 8,820 11,376
4/8/2005 8,912 11,258
4/9/2005 8,912 11,258
4/10/2005 8,912 11,258
4/11/2005 8,948 11,219
4/12/2005 8,906 11,275
4/13/2005 9,026 11,125
4/14/2005 9,154 10,966
4/15/2005 9,316 10,777
4/16/2005 9,316 10,777
4/17/2005 9,316 10,777
4/18/2005 9,260 10,844
4/19/2005 9,140 10,980
4/20/2005 9,284 10,807
4/21/2005 9,122 11,001
4/22/2005 9,202 10,900
4/23/2005 9,202 10,900
4/24/2005 9,202 10,900
4/25/2005 9,082 11,041
4/26/2005 9,178 10,927
4/27/2005 9,174 10,935
4/28/2005 9,292 10,795
4/29/2005 9,230 10,873
4/30/2005 9,230 10,873
5/1/2005 9,230 10,873
5/2/2005 9,158 10,954
5/3/2005 9,190 10,917
5/4/2005 9,068 11,065
5/5/2005 9,048 11,092
5/6/2005 9,024 11,125
5/7/2005 9,024 11,125
5/8/2005 9,024 11,125
5/9/2005 8,974 11,186
5/10/2005 9,040 11,108
5/11/2005 9,002 11,154
5/12/2005 9,128 11,001
5/13/2005 9,182 10,938
5/14/2005 9,182 10,938
5/15/2005 9,182 10,938
5/16/2005 9,064 11,081
5/17/2005 8,986 11,175
5/18/2005 8,844 11,355
5/19/2005 8,804 11,405
5/20/2005 8,812 11,402
5/21/2005 8,812 11,402
5/22/2005 8,812 11,402
5/23/2005 8,754 11,475
5/24/2005 8,764 11,467
5/25/2005 8,830 11,378
5/26/2005 8,746 11,491
5/27/2005 8,716 11,526
5/28/2005 8,716 11,526
5/29/2005 8,716 11,526
5/30/2005 8,716 11,526
5/31/2005 8,724 11,528
6/1/2005 8,652 11,622
6/2/2005 8,616 11,671
6/3/2005 8,670 11,608
6/4/2005 8,670 11,608
6/5/2005 8,670 11,608
6/6/2005 8,634 11,652
6/7/2005 8,634 11,657
6/8/2005 8,672 11,607
6/9/2005 8,608 11,698
6/10/2005 8,606 11,688
6/11/2005 8,606 11,688
6/12/2005 8,606 11,688
6/13/2005 8,576 11,735
6/14/2005 8,544 11,777
6/15/2005 8,522 11,813
6/16/2005 8,452 11,916
6/17/2005 8,440 11,936
6/18/2005 8,440 11,936
6/19/2005 8,440 11,936
6/20/2005 8,466 11,898
6/21/2005 8,490 11,860
6/22/2005 8,480 11,871
6/23/2005 8,562 11,764
6/24/2005 8,654 11,646
6/25/2005 8,654 11,646
6/26/2005 8,654 11,646
6/27/2005 8,640 11,666
6/28/2005 8,526 11,812
6/29/2005 8,508 11,844
6/30/2005 8,544 11,795
7/1/2005 8,488 11,881
7/2/2005 8,488 11,881
7/3/2005 8,488 11,881
7/4/2005 8,488 11,881
7/5/2005 8,406 11,996
7/6/2005 8,464 11,919
7/7/2005 8,436 11,964
7/8/2005 8,336 12,106
7/9/2005 8,336 12,106
7/10/2005 8,336 12,106
7/11/2005 8,266 12,205
7/12/2005 8,256 12,224
7/13/2005 8,282 12,190
7/14/2005 8,308 12,149
7/15/2005 8,298 12,169
7/16/2005 8,298 12,169
7/17/2005 8,298 12,169
7/18/2005 8,320 12,141
7/19/2005 8,230 12,272
7/20/2005 8,186 12,343
7/21/2005 8,268 12,223
7/22/2005 8,194 12,331
7/23/2005 8,194 12,331
7/24/2005 8,194 12,331
7/25/2005 8,242 12,260
7/26/2005 8,216 12,303
7/27/2005 8,194 12,333
7/28/2005 8,122 12,447
7/29/2005 8,146 12,415
7/30/2005 8,146 12,415
7/31/2005 8,146 12,415
8/1/2005 8,142 12,428
8/2/2005 8,098 12,495
8/3/2005 8,120 12,463
8/4/2005 8,196 12,347
8/5/2005 8,290 12,212
8/6/2005 8,290 12,212
8/7/2005 8,290 12,212
8/8/2005 8,334 12,150
8/9/2005 8,302 12,194
8/10/2005 8,296 12,211
8/11/2005 8,236 12,299
8/12/2005 8,260 12,274
8/13/2005 8,260 12,274
8/14/2005 8,260 12,274
8/15/2005 8,242 12,299
8/16/2005 8,356 12,133
8/17/2005 8,360 12,130
8/18/2005 8,376 12,102
8/19/2005 8,364 12,125
8/20/2005 8,364 12,125
8/21/2005 8,364 12,125
8/22/2005 8,338 12,160
8/23/2005 8,362 12,129
8/24/2005 8,374 12,116
8/25/2005 8,344 12,160
8/26/2005 8,430 12,046
8/27/2005 8,430 12,046
8/28/2005 8,430 12,046
8/29/2005 8,376 12,127
8/30/2005 8,404 12,080
8/31/2005 8,272 12,276
9/1/2005 8,272 12,276
9/2/2005 8,326 12,209
9/3/2005 8,326 12,209
9/4/2005 8,326 12,209
9/5/2005 8,326 12,209
9/6/2005 8,228 12,342
9/7/2005 8,198 12,399
9/8/2005 8,240 12,338
9/9/2005 8,176 12,437
9/10/2005 8,176 12,437
9/11/2005 8,176 12,437
9/12/2005 8,178 12,442
9/13/2005 8,236 12,354
9/14/2005 8,272 12,302
9/15/2005 8,272 12,300
9/16/2005 8,240 12,359
9/17/2005 8,240 12,359
9/18/2005 8,240 12,359
9/19/2005 8,282 12,290
9/20/2005 8,360 12,179
9/21/2005 8,468 12,023
9/22/2005 8,452 12,049
9/23/2005 8,418 12,099
9/24/2005 8,418 12,099
9/25/2005 8,418 12,099
9/26/2005 8,370 12,166
9/27/2005 8,384 12,154
9/28/2005 8,398 12,135
9/29/2005 8,294 12,286
9/30/2005 8,240 12,371
10/1/2005 8,240 12,371
10/2/2005 8,240 12,371
10/3/2005 8,190 12,441
10/4/2005 8,280 12,312
10/5/2005 8,474 12,025
10/6/2005 8,550 11,916
10/7/2005 8,518 11,968
10/8/2005 8,518 11,968
10/9/2005 8,518 11,968
10/10/2005 8,580 11,881
10/11/2005 8,632 11,813
10/12/2005 8,746 11,661
10/13/2005 8,788 11,611
10/14/2005 8,670 11,768
10/15/2005 8,670 11,768
10/16/2005 8,670 11,768
10/17/2005 8,630 11,823
10/18/2005 8,738 11,679
10/19/2005 8,622 11,839
10/20/2005 8,738 11,681
10/21/2005 8,664 11,787
10/22/2005 8,664 11,787
10/23/2005 8,664 11,787
10/24/2005 8,498 12,016
10/25/2005 8,518 11,989
10/26/2005 8,562 11,930
10/27/2005 8,714 11,722
10/28/2005 8,576 11,917
10/29/2005 8,576 11,917
10/30/2005 8,576 11,917
10/31/2005 8,442 12,105
11/1/2005 8,430 12,108
11/2/2005 8,298 12,320
11/3/2005 8,270 12,362
11/4/2005 8,286 12,346
11/5/2005 8,286 12,346
11/6/2005 8,286 12,346
11/7/2005 8,270 12,374
11/8/2005 8,330 12,285
11/9/2005 8,298 12,338
11/10/2005 8,258 12,399
11/11/2005 8,232 12,443
11/12/2005 8,232 12,443
11/13/2005 8,232 12,443
11/14/2005 8,228 12,450
11/15/2005 8,274 12,383
11/16/2005 8,264 12,400
11/17/2005 8,150 12,577
11/18/2005 8,128 12,609
11/19/2005 8,128 12,609
11/20/2005 8,128 12,609
11/21/2005 8,064 12,716
11/22/2005 8,014 12,798
11/23/2005 8,002 12,823
11/24/2005 8,002 12,823
11/25/2005 7,988 12,851
11/26/2005 7,988 12,851
11/27/2005 7,988 12,851
11/28/2005 8,132 12,645
11/29/2005 8,102 12,696
11/30/2005 8,106 12,696
12/1/2005 7,974 12,900
12/2/2005 7,978 12,899
12/3/2005 7,978 12,899
12/4/2005 7,978 12,899
12/5/2005 8,012 12,845
12/6/2005 8,018 12,843
12/7/2005 8,052 12,791
12/8/2005 8,030 12,829
12/9/2005 7,994 12,889
12/10/2005 7,994 12,889
12/11/2005 7,994 12,889
12/12/2005 7,986 12,901
12/13/2005 7,976 12,921
12/14/2005 7,942 12,979
12/15/2005 7,982 12,916
12/16/2005 8,028 12,850
12/17/2005 8,028 12,850
12/18/2005 8,028 12,850
12/19/2005 8,118 12,708
12/20/2005 8,092 12,747
12/21/2005 8,038 12,837
12/22/2005 7,988 12,919
12/23/2005 7,966 12,962
12/24/2005 7,966 12,962
12/25/2005 7,966 12,962
12/26/2005 7,966 12,962
12/27/2005 8,065 12,802
12/28/2005 8,013 12,889
12/29/2005 8,040 12,856
12/30/2005 8,087 12,784
12/31/2005 8,087 12,784
1/1/2006 8,087 12,784
1/2/2006 8,087 12,784
1/3/2006 7,966 12,975
1/4/2006 7,908 13,063
1/5/2006 7,910 13,067
1/6/2006 7,821 13,214
1/7/2006 7,821 13,214
1/8/2006 7,821 13,214
1/9/2006 7,765 13,317
1/10/2006 7,736 13,363
1/11/2006 7,728 13,383
1/12/2006 7,782 13,290
1/13/2006 7,792 13,285
1/14/2006 7,792 13,285
1/15/2006 7,792 13,285
1/16/2006 7,792 13,285
1/17/2006 7,827 13,228
1/18/2006 7,844 13,200
1/19/2006 7,753 13,368
1/20/2006 7,879 13,145
1/21/2006 7,879 13,145
1/22/2006 7,879 13,145
1/23/2006 7,854 13,192
1/24/2006 7,786 13,307
1/25/2006 7,838 13,222
1/26/2006 7,749 13,374
1/27/2006 7,714 13,436
1/28/2006 7,714 13,436
1/29/2006 7,714 13,436
1/30/2006 7,705 13,460
1/31/2006 7,662 13,537
2/1/2006 7,652 13,554
2/2/2006 7,722 13,435
2/3/2006 7,749 13,394
2/4/2006 7,749 13,394
2/5/2006 7,749 13,394
2/6/2006 7,714 13,454
2/7/2006 7,817 13,278
2/8/2006 7,794 13,321
2/9/2006 7,825 13,269
2/10/2006 7,827 13,274
2/11/2006 7,827 13,274
2/12/2006 7,827 13,274
2/13/2006 7,885 13,172
2/14/2006 7,827 13,277
2/15/2006 7,800 13,321
2/16/2006 7,730 13,439
2/17/2006 7,740 13,437
2/18/2006 7,740 13,437
2/19/2006 7,740 13,437
2/20/2006 7,740 13,437
2/21/2006 7,761 13,403
2/22/2006 7,697 13,522
2/23/2006 7,716 13,487
2/24/2006 7,683 13,545
2/25/2006 7,683 13,545
2/26/2006 7,683 13,545
2/27/2006 7,672 13,577
2/28/2006 7,761 13,424
3/1/2006 7,643 13,625
3/2/2006 7,670 13,576
3/3/2006 7,701 13,534
3/4/2006 7,701 13,534
3/5/2006 7,701 13,534
3/6/2006 7,776 13,404
3/7/2006 7,866 13,248
3/8/2006 7,866 13,261
3/9/2006 7,906 13,198
3/10/2006 7,856 13,284
3/11/2006 7,856 13,284
3/12/2006 7,856 13,284
3/13/2006 7,823 13,344
3/14/2006 7,740 13,486
3/15/2006 7,689 13,581
3/16/2006 7,685 13,587
3/17/2006 7,670 13,624
3/18/2006 7,670 13,624
3/19/2006 7,670 13,624
3/20/2006 7,699 13,578
3/21/2006 7,765 13,463
3/22/2006 7,707 13,568
3/23/2006 7,697 13,585
3/24/2006 7,664 13,655
3/25/2006 7,664 13,655
3/26/2006 7,664 13,655
3/27/2006 7,660 13,649
3/28/2006 7,691 13,607
3/29/2006 7,604 13,750
3/30/2006 7,602 13,755
3/31/2006 7,606 13,759
4/1/2006 7,606 13,759
4/2/2006 7,606 13,759
4/3/2006 7,619 13,743
4/4/2006 7,596 13,787
4/5/2006 7,540 13,889
4/6/2006 7,536 13,897
4/7/2006 7,616 13,761
4/8/2006 7,616 13,761
4/9/2006 7,616 13,761
4/10/2006 7,643 13,712
4/11/2006 7,722 13,577
4/12/2006 7,699 13,618
4/13/2006 7,701 13,630
4/14/2006 7,701 13,630
4/15/2006 7,701 13,630
4/16/2006 7,701 13,630
4/17/2006 7,703 13,625
4/18/2006 7,534 13,929
4/19/2006 7,462 14,064
4/20/2006 7,459 14,070
4/21/2006 7,478 14,047
4/22/2006 7,478 14,047
4/23/2006 7,478 14,047
4/24/2006 7,507 13,993
4/25/2006 7,532 13,942
4/26/2006 7,561 13,892
4/27/2006 7,571 13,898
4/28/2006 7,542 13,953
4/29/2006 7,542 13,953
4/30/2006 7,542 13,953
5/1/2006 7,557 13,926
5/2/2006 7,519 13,993
5/3/2006 7,534 13,976
5/4/2006 7,493 14,057
5/5/2006 7,420 14,199
5/6/2006 7,420 14,199
5/7/2006 7,420 14,199
5/8/2006 7,410 14,222
5/9/2006 7,429 14,191
5/10/2006 7,443 14,165
5/11/2006 7,542 13,981
5/12/2006 7,678 13,736
5/13/2006 7,678 13,736
5/14/2006 7,678 13,736
5/15/2006 7,730 13,648
5/16/2006 7,751 13,616
5/17/2006 7,889 13,375
5/18/2006 7,964 13,250
5/19/2006 7,951 13,279
5/20/2006 7,951 13,279
5/21/2006 7,951 13,279
5/22/2006 8,013 13,175
5/23/2006 8,054 13,111
5/24/2006 8,069 13,090
5/25/2006 7,972 13,250
5/26/2006 7,928 13,337
5/27/2006 7,928 13,337
5/28/2006 7,928 13,337
5/29/2006 7,928 13,337
5/30/2006 8,057 13,125
5/31/2006 7,935 13,323
6/1/2006 7,815 13,526
6/2/2006 7,790 13,576
6/3/2006 7,790 13,576
6/4/2006 7,790 13,576
6/5/2006 7,990 13,245
6/6/2006 8,032 13,171
6/7/2006 8,100 13,063
6/8/2006 8,143 13,002
6/9/2006 8,160 12,977
6/10/2006 8,160 12,977
6/11/2006 8,160 12,977
6/12/2006 8,344 12,686
6/13/2006 8,480 12,480
6/14/2006 8,439 12,543
6/15/2006 8,168 12,946
6/16/2006 8,205 12,893
6/17/2006 8,205 12,893
6/18/2006 8,205 12,893
6/19/2006 8,337 12,686
6/20/2006 8,371 12,638
6/21/2006 8,222 12,868
6/22/2006 8,271 12,793
6/23/2006 8,201 12,910
6/24/2006 8,201 12,910
6/25/2006 8,201 12,910
6/26/2006 8,158 12,981
6/27/2006 8,236 12,860
6/28/2006 8,226 12,878
6/29/2006 7,984 13,258
6/30/2006 7,947 13,326
7/1/2006 7,947 13,326
7/2/2006 7,947 13,326
7/3/2006 7,893 13,424
7/4/2006 7,893 13,424
7/5/2006 8,019 13,217
7/6/2006 8,003 13,253
7/7/2006 8,083 13,129
7/8/2006 8,083 13,129
7/9/2006 8,083 13,129
7/10/2006 8,100 13,106
7/11/2006 8,071 13,156
7/12/2006 8,170 13,000
7/13/2006 8,317 12,775
7/14/2006 8,383 12,683
7/15/2006 8,383 12,683
7/16/2006 8,383 12,683
7/17/2006 8,449 12,594
7/18/2006 8,447 12,598
7/19/2006 8,238 12,903
7/20/2006 8,432 12,612
7/21/2006 8,567 12,426
7/22/2006 8,567 12,426
7/23/2006 8,567 12,426
7/24/2006 8,371 12,698
7/25/2006 8,269 12,852
7/26/2006 8,278 12,845
7/27/2006 8,364 12,715
7/28/2006 8,232 12,920
7/29/2006 8,232 12,920
7/30/2006 8,232 12,920
7/31/2006 8,218 12,946
8/1/2006 8,288 12,841
8/2/2006 8,234 12,926
8/3/2006 8,176 13,015
8/4/2006 8,218 12,959
8/5/2006 8,218 12,959
8/6/2006 8,218 12,959
8/7/2006 8,273 12,881
8/8/2006 8,344 12,771
8/9/2006 8,408 12,678
8/10/2006 8,356 12,757
8/11/2006 8,428 12,651
8/12/2006 8,428 12,651
8/13/2006 8,428 12,651
8/14/2006 8,428 12,657
8/15/2006 8,271 12,891
8/16/2006 8,158 13,075
8/17/2006 8,160 13,074
8/18/2006 8,149 13,100
8/19/2006 8,149 13,100
8/20/2006 8,149 13,100
8/21/2006 8,224 12,984
8/22/2006 8,214 12,999
8/23/2006 8,296 12,877
8/24/2006 8,321 12,846
8/25/2006 8,329 12,839
8/26/2006 8,329 12,839
8/27/2006 8,329 12,839
8/28/2006 8,263 12,939
8/29/2006 8,220 13,005
8/30/2006 8,205 13,036
8/31/2006 8,176 13,094
9/1/2006 8,139 13,158
9/2/2006 8,139 13,158
9/3/2006 8,139 13,158
9/4/2006 8,139 13,158
9/5/2006 8,108 13,212
9/6/2006 8,249 12,987
9/7/2006 8,302 12,906
9/8/2006 8,304 12,913
9/9/2006 8,304 12,913
9/10/2006 8,304 12,913
9/11/2006 8,315 12,897
9/12/2006 8,176 13,115
9/13/2006 8,106 13,233
9/14/2006 8,164 13,144
9/15/2006 8,176 13,132
9/16/2006 8,176 13,132
9/17/2006 8,176 13,132
9/18/2006 8,180 13,129
9/19/2006 8,209 13,084
9/20/2006 8,162 13,164
9/21/2006 8,218 13,074
9/22/2006 8,284 12,977
9/23/2006 8,284 12,977
9/24/2006 8,284 12,977
9/25/2006 8,203 13,104
9/26/2006 8,139 13,212
9/27/2006 8,116 13,250
9/28/2006 8,110 13,261
9/29/2006 8,166 13,183
9/30/2006 8,166 13,183
10/1/2006 8,166 13,183
10/2/2006 8,211 13,112
10/3/2006 8,238 13,076
10/4/2006 8,108 13,285
10/5/2006 8,011 13,442
10/6/2006 8,069 13,358
10/7/2006 8,069 13,358
10/8/2006 8,069 13,358
10/9/2006 8,023 13,433
10/10/2006 7,997 13,484
10/11/2006 8,017 13,455
10/12/2006 7,897 13,656
10/13/2006 7,862 13,720
10/14/2006 7,862 13,720
10/15/2006 7,862 13,720
10/16/2006 7,809 13,821
10/17/2006 7,877 13,705
10/18/2006 7,893 13,676
10/19/2006 7,856 13,740
10/20/2006 7,922 13,645
10/21/2006 7,922 13,645
10/22/2006 7,922 13,645
10/23/2006 7,883 13,712
10/24/2006 7,862 13,747
10/25/2006 7,831 13,808
10/26/2006 7,767 13,930
10/27/2006 7,858 13,768
10/28/2006 7,858 13,768
10/29/2006 7,858 13,768
10/30/2006 7,844 13,796
10/31/2006 7,891 13,730
11/1/2006 7,984 13,565
11/2/2006 7,992 13,558
11/3/2006 7,978 13,582
11/4/2006 7,978 13,582
11/5/2006 7,978 13,582
11/6/2006 7,891 13,736
11/7/2006 7,873 13,769
11/8/2006 7,827 13,852
11/9/2006 7,877 13,772
11/10/2006 7,827 13,864
11/11/2006 7,827 13,864
11/12/2006 7,827 13,864
11/13/2006 7,815 13,892
11/14/2006 7,734 14,037
11/15/2006 7,689 14,120
11/16/2006 7,693 14,124
11/17/2006 7,705 14,106
11/18/2006 7,705 14,106
11/19/2006 7,705 14,106
11/20/2006 7,693 14,129
11/21/2006 7,681 14,158
11/22/2006 7,645 14,224
11/23/2006 7,645 14,224
11/24/2006 7,658 14,211
11/25/2006 7,658 14,211
11/26/2006 7,658 14,211
11/27/2006 7,817 13,925
11/28/2006 7,792 13,964
11/29/2006 7,703 14,136
11/30/2006 7,689 14,172
12/1/2006 7,695 14,175
12/2/2006 7,695 14,175
12/3/2006 7,695 14,175
12/4/2006 7,602 14,339
12/5/2006 7,588 14,370
12/6/2006 7,596 14,360
12/7/2006 7,629 14,297
12/8/2006 7,635 14,298
12/9/2006 7,635 14,298
12/10/2006 7,635 14,298
12/11/2006 7,643 14,279
12/12/2006 7,685 14,207
12/13/2006 7,675 14,229
12/14/2006 7,618 14,342
12/15/2006 7,645 14,303
12/16/2006 7,645 14,303
12/17/2006 7,645 14,303
12/18/2006 7,723 14,157
12/19/2006 7,719 14,167
12/20/2006 7,713 14,178
12/21/2006 7,751 14,115
12/22/2006 7,789 14,061
12/23/2006 7,789 14,061
12/24/2006 7,789 14,061
12/25/2006 7,789 14,061
12/26/2006 7,749 14,138
12/27/2006 7,681 14,263
12/28/2006 7,713 14,211
12/29/2006 7,778 14,103
12/30/2006 7,778 14,103
12/31/2006 7,778 14,103
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
INVERSE MID-CAP FUND -3.83% -9.00%
S&P MIDCAP 400 INDEX 10.32% 13.78%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE MID-CAP FUND S&P MIDCAP 400 INDEX
OTHER 2.8%
FINANCIALS 18.5%
INDUSTRIALS 15.9%
CONSUMER DISCRETIONARY 15.4%
INFORMATION TECHNOLOGY 15.1%
HEALTH CARE 10.7%
UTILITIES 8.1%
ENERGY 7.5%
MATERIALS 6.0%
FUTURES CONTRACTS SHORT SALES -46.2%
EQUITY INDEX SWAP AGREEMENTS SHORT SALES -54.0%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC 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 200% of the
performance of the Russell 2000(R) Index.
INCEPTION: October 27, 2006
Small-cap stocks generally outperformed both mid-cap and large-cap stocks for
the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for
the year, while large and mid-cap indices returned 15.78% and 10.31%
respectively. All of the sectors had positive returns. Energy, consumer
discretionary, health care and information technology lagged the index
performance. Basic materials, telecommunication services, consumer staples and
utilities--the smallest of the sectors, with a total weight of less than
12%--had an average return of 31%, boosting the index return. Russell 2000(R)
Index value stocks outperformed Russell 2000(R) Index growth stocks by more than
10% in 2006.
Since inception, Rydex Dynamic Russell 2000(R) Fund produced returns of 4.06%.
It achieved a daily correlation of 99% to its benchmark of 200% of the daily
price movement of the Russell 2000(R) Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 27, 2006 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE DYNAMIC RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX
10/27/2006 10,000 10,000
10/28/2006 10,000 10,000
10/29/2006 10,000 10,000
10/30/2006 10,116 10,060
10/31/2006 10,008 10,014
11/1/2006 9,628 9,823
11/2/2006 9,576 9,797
11/3/2006 9,632 9,831
11/4/2006 9,632 9,831
11/5/2006 9,632 9,831
11/6/2006 9,896 9,966
11/7/2006 9,932 9,984
11/8/2006 10,064 10,056
11/9/2006 9,856 9,955
11/10/2006 10,036 10,047
11/11/2006 10,036 10,047
11/12/2006 10,036 10,047
11/13/2006 10,116 10,091
11/14/2006 10,448 10,257
11/15/2006 10,628 10,347
11/16/2006 10,588 10,332
11/17/2006 10,528 10,303
11/18/2006 10,528 10,303
11/19/2006 10,528 10,303
11/20/2006 10,588 10,331
11/21/2006 10,636 10,353
11/22/2006 10,652 10,363
11/23/2006 10,652 10,363
11/24/2006 10,628 10,355
11/25/2006 10,628 10,355
11/26/2006 10,628 10,355
11/27/2006 10,084 10,092
11/28/2006 10,160 10,128
11/29/2006 10,404 10,252
11/30/2006 10,420 10,278
12/1/2006 10,300 10,213
12/2/2006 10,300 10,213
12/3/2006 10,300 10,213
12/4/2006 10,704 10,405
12/5/2006 10,744 10,426
12/6/2006 10,696 10,408
12/7/2006 10,592 10,360
12/8/2006 10,592 10,364
12/9/2006 10,592 10,364
12/10/2006 10,592 10,364
12/11/2006 10,612 10,371
12/12/2006 10,476 10,310
12/13/2006 10,488 10,317
12/14/2006 10,632 10,388
12/15/2006 10,580 10,369
12/16/2006 10,580 10,369
12/17/2006 10,580 10,369
12/18/2006 10,292 10,230
12/19/2006 10,304 10,231
12/20/2006 10,392 10,278
12/21/2006 10,316 10,243
12/22/2006 10,254 10,216
12/23/2006 10,254 10,216
12/24/2006 10,254 10,216
12/25/2006 10,254 10,216
12/26/2006 10,446 10,313
12/27/2006 10,690 10,443
12/28/2006 10,602 10,401
12/29/2006 10,406 10,312
12/30/2006 10,406 10,312
12/31/2006 10,406 10,312
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
INCEPTION
(10/27/06)
- --------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND 4.06%
RUSSELL 2000(R) INDEX 3.12%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
DYNAMIC RUSSELL RUSSELL 2000(R)
2000(R) FUND INDEX
OTHER 10.4% 15.1%
FINANCIALS 13.5% 20.1%
INFORMATION TECHNOLOGY 11.6% 20.1%
CONSUMER DISCRETIONARY 10.0% 15.2%
HEALTH CARE 8.6% 12.0%
INDUSTRIALS 7.5% 11.7%
MATERIALS 5.8%
FUTURES CONTRACTS 41.5%
EQUITY INDEX SWAP AGREEMENTS 96.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Polycom, Inc. 0.2%
Varian Semiconductor Equipment Associates, Inc. 0.2%
Phillips-Van Heusen Corp. 0.2%
NBTY, Inc. 0.2%
Alexandria Real Estate Equities, Inc. 0.2%
Big Lots, Inc. 0.2%
Acuity Brands, Inc. 0.2%
Oregon Steel Mills, Inc. 0.2%
Realty Income Corp. 0.2%
SVB Financial Group 0.2%
- --------------------------------------------------------------------------------
Top Ten Total 2.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: October 1, 2001
Small-cap stocks generally outperformed both mid-cap and large-cap stocks for
the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for
the year, while large- and mid-cap indices returned 15.78% and 10.31%
respectively. All of the sectors had positive returns. Energy, consumer
discretionary, health care and information technology lagged the index
performance. Basic materials, telecommunication services, consumer staples and
utilities--the smallest of the sectors, with a total weight of less than
12%--had an average return of 31%, boosting the index return. Russell 2000(R)
Index value stocks outperformed Russell 2000(R) Index growth stocks by more than
10% in 2006.
For the year, Rydex Russell 2000(R) Advantage Fund produced returns of 20.85%.
It achieved a daily correlation of 99% to its benchmark of 150% of the daily
price movement of the Russell 2000(R) Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE RUSSELL 2000(R) ADVANTAGE FUND RUSSELL 2000(R) INDEX
10/1/2001 10,000 10,000
10/31/2001 11,036 10,778
11/30/2001 12,112 11,613
12/31/2001 12,897 12,330
1/31/2002 12,711 12,201
2/28/2002 12,214 11,867
3/31/2002 13,709 12,821
4/30/2002 14,214 12,938
5/31/2002 13,067 12,363
6/30/2002 12,068 11,750
7/31/2002 9,482 9,975
8/31/2002 9,433 9,950
9/30/2002 8,387 9,235
10/31/2002 8,284 9,532
11/30/2002 9,079 10,382
12/31/2002 8,325 9,804
1/31/2003 7,862 9,533
2/28/2003 7,419 9,245
3/31/2003 7,464 9,364
4/30/2003 8,565 10,252
5/31/2003 9,977 11,352
6/30/2003 10,072 11,557
7/31/2003 10,950 12,280
8/31/2003 11,650 12,843
9/30/2003 11,240 12,606
10/31/2003 12,681 13,665
11/30/2003 13,281 14,150
12/31/2003 13,677 14,437
1/31/2004 14,582 15,064
2/29/2004 14,784 15,199
3/31/2004 14,922 15,341
4/30/2004 13,658 14,559
5/31/2004 13,948 14,790
6/30/2004 14,909 15,413
7/31/2004 13,401 14,375
8/31/2004 13,263 14,302
9/30/2004 14,172 14,973
10/31/2004 14,523 15,268
11/30/2004 16,395 16,592
12/31/2004 17,123 17,083
1/31/2005 15,958 16,370
2/28/2005 16,421 16,648
3/31/2005 15,719 16,171
4/30/2005 14,385 15,245
5/31/2005 15,805 16,243
6/30/2005 16,665 16,869
7/31/2005 18,283 17,938
8/31/2005 17,678 17,605
9/30/2005 17,647 17,661
10/31/2005 16,845 17,112
11/30/2005 18,028 17,943
12/31/2005 17,793 17,861
1/31/2006 20,154 19,463
2/28/2006 19,930 19,409
3/31/2006 21,332 20,351
4/30/2006 21,259 20,347
5/31/2006 19,362 19,205
6/30/2006 19,425 19,328
7/31/2006 18,356 18,699
8/31/2006 19,023 19,253
9/30/2006 19,206 19,413
10/31/2006 20,790 20,531
11/30/2006 21,499 21,071
12/31/2006 21,503 21,142
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND 20.85% 10.77% 15.70%
RUSSELL 2000(R) INDEX 18.37% 11.39% 15.33%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
RUSSELL 2000(R)
ADVANTAGE FUND RUSSELL 2000(R) INDEX
OTHER 6.6% 15.1%
FINANCIALS 19.5% 20.1%
INFORMATION TECHNOLOGY 16.7% 20.1%
CONSUMER DISCRETIONARY 14.4% 15.2%
INDUSTRIALS 12.4% 11.7%
HEALTH CARE 10.8% 12.0%
MATERIALS 4.0% 5.8%
ENERGY 4.5%
FUTURES CONTRACTS 27.9%
EQUITY INDEX SWAP AGREEMENTS 34.5%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Phillips-Van Heusen, Corp. 0.3%
Polycom, Inc. 0.3%
Varian Semiconductor Equipment Associates, Inc. 0.3%
NBTY, Inc. 0.3%
Big Lots, Inc. 0.3%
Oregon Steel Mills, Inc. 0.3%
Alexandria Real Estate Equities, Inc. 0.3%
Realty Income Corp. 0.3%
Acuity Brands, Inc. 0.3%
SVB Financial Group 0.3%
- --------------------------------------------------------------------------------
Top Ten Total 3.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 3, 2004
Small-cap stocks generally outperformed both mid-cap and large-cap stocks for
the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for
the year, while large- and mid-cap indices returned 15.78% and 10.31%
respectively. All of the sectors had positive returns. Energy, consumer
discretionary, health care and information technology lagged the index
performance. Basic materials, telecommunication services, consumer staples and
utilities--the smallest of the sectors, with a total weight of less than
12%--had an average return of 31%, boosting the index return. Russell 2000(R)
Index value stocks outperformed Russell 2000(R) Index growth stocks by more than
10% in 2006.
For the year, Rydex Inverse Russell 2000(R) Fund produced returns of -11.95%. It
achieved a daily correlation of 99% to its benchmark of the inverse performance
movement of the Russell 2000(R) Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE INVERSE RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX
5/3/2004 10,000 10,000
5/4/2004 9,936 10,074
5/5/2004 9,928 10,082
5/6/2004 10,072 9,960
5/7/2004 10,368 9,703
5/8/2004 10,368 9,703
5/9/2004 10,368 9,703
5/10/2004 10,572 9,514
5/11/2004 10,344 9,705
5/12/2004 10,338 9,712
5/13/2004 10,404 9,681
5/14/2004 10,480 9,620
5/15/2004 10,480 9,620
5/16/2004 10,480 9,620
5/17/2004 10,616 9,471
5/18/2004 10,468 9,599
5/19/2004 10,524 9,569
5/20/2004 10,514 9,568
5/21/2004 10,406 9,657
5/22/2004 10,406 9,657
5/23/2004 10,406 9,657
5/24/2004 10,278 9,762
5/25/2004 10,040 10,004
5/26/2004 9,982 10,047
5/27/2004 9,980 10,062
5/28/2004 9,972 10,057
5/29/2004 9,972 10,057
5/30/2004 9,972 10,057
5/31/2004 9,972 10,057
6/1/2004 9,876 10,131
6/2/2004 9,888 10,151
6/3/2004 10,070 9,955
6/4/2004 9,974 10,049
6/5/2004 9,974 10,049
6/6/2004 9,974 10,049
6/7/2004 9,778 10,246
6/8/2004 9,784 10,229
6/9/2004 9,950 10,064
6/10/2004 9,928 10,075
6/11/2004 9,928 10,075
6/12/2004 9,928 10,075
6/13/2004 9,928 10,075
6/14/2004 10,128 9,874
6/15/2004 9,920 10,056
6/16/2004 9,898 10,094
6/17/2004 9,900 10,086
6/18/2004 9,890 10,103
6/19/2004 9,890 10,103
6/20/2004 9,890 10,103
6/21/2004 9,914 10,071
6/22/2004 9,848 10,127
6/23/2004 9,702 10,274
6/24/2004 9,738 10,254
6/25/2004 9,574 10,408
6/26/2004 9,574 10,408
6/27/2004 9,574 10,408
6/28/2004 9,634 10,348
6/29/2004 9,570 10,415
6/30/2004 9,528 10,480
7/1/2004 9,666 10,320
7/2/2004 9,674 10,326
7/3/2004 9,674 10,326
7/4/2004 9,674 10,326
7/5/2004 9,674 10,326
7/6/2004 9,830 10,143
7/7/2004 9,842 10,137
7/8/2004 10,046 9,937
7/9/2004 9,984 9,991
7/10/2004 9,984 9,991
7/11/2004 9,984 9,991
7/12/2004 10,022 9,964
7/13/2004 10,010 9,973
7/14/2004 10,064 9,921
7/15/2004 10,028 9,964
7/16/2004 10,154 9,846
7/17/2004 10,154 9,846
7/18/2004 10,154 9,846
7/19/2004 10,142 9,833
7/20/2004 9,974 10,000
7/21/2004 10,264 9,724
7/22/2004 10,296 9,687
7/23/2004 10,444 9,558
7/24/2004 10,444 9,558
7/25/2004 10,444 9,558
7/26/2004 10,554 9,457
7/27/2004 10,326 9,654
7/28/2004 10,386 9,595
7/29/2004 10,220 9,749
7/30/2004 10,210 9,775
7/31/2004 10,210 9,775
8/1/2004 10,210 9,775
8/2/2004 10,190 9,786
8/3/2004 10,348 9,640
8/4/2004 10,364 9,623
8/5/2004 10,570 9,441
8/6/2004 10,818 9,216
8/7/2004 10,818 9,216
8/8/2004 10,818 9,216
8/9/2004 10,848 9,194
8/10/2004 10,600 9,397
8/11/2004 10,670 9,341
8/12/2004 10,856 9,173
8/13/2004 10,848 9,179
8/14/2004 10,848 9,179
8/15/2004 10,848 9,179
8/16/2004 10,630 9,368
8/17/2004 10,590 9,403
8/18/2004 10,356 9,609
8/19/2004 10,438 9,535
8/20/2004 10,244 9,722
8/21/2004 10,244 9,722
8/22/2004 10,244 9,722
8/23/2004 10,316 9,643
8/24/2004 10,292 9,670
8/25/2004 10,196 9,762
8/26/2004 10,252 9,711
8/27/2004 10,166 9,789
8/28/2004 10,166 9,789
8/29/2004 10,166 9,789
8/30/2004 10,296 9,665
8/31/2004 10,230 9,725
9/1/2004 10,148 9,805
9/2/2004 10,012 9,936
9/3/2004 10,080 9,873
9/4/2004 10,080 9,873
9/5/2004 10,080 9,873
9/6/2004 10,080 9,873
9/7/2004 9,954 9,992
9/8/2004 10,044 9,901
9/9/2004 9,890 10,051
9/10/2004 9,826 10,117
9/11/2004 9,826 10,117
9/12/2004 9,826 10,117
9/13/2004 9,770 10,175
9/14/2004 9,806 10,138
9/15/2004 9,852 10,095
9/16/2004 9,748 10,202
9/17/2004 9,772 10,178
9/18/2004 9,772 10,178
9/19/2004 9,772 10,178
9/20/2004 9,808 10,135
9/21/2004 9,704 10,245
9/22/2004 9,888 10,050
9/23/2004 9,888 10,049
9/24/2004 9,886 10,052
9/25/2004 9,886 10,052
9/26/2004 9,886 10,052
9/27/2004 10,018 9,916
9/28/2004 9,884 10,051
9/29/2004 9,790 10,148
9/30/2004 9,760 10,181
10/1/2004 9,554 10,396
10/2/2004 9,554 10,396
10/3/2004 9,554 10,396
10/4/2004 9,486 10,469
10/5/2004 9,514 10,438
10/6/2004 9,424 10,534
10/7/2004 9,590 10,356
10/8/2004 9,706 10,233
10/9/2004 9,706 10,233
10/10/2004 9,706 10,233
10/11/2004 9,672 10,266
10/12/2004 9,688 10,252
10/13/2004 9,812 10,123
10/14/2004 9,892 10,042
10/15/2004 9,808 10,123
10/16/2004 9,808 10,123
10/17/2004 9,808 10,123
10/18/2004 9,762 10,169
10/19/2004 9,864 10,074
10/20/2004 9,806 10,136
10/21/2004 9,692 10,252
10/22/2004 9,846 10,094
10/23/2004 9,846 10,094
10/24/2004 9,846 10,094
10/25/2004 9,776 10,163
10/26/2004 9,686 10,269
10/27/2004 9,520 10,441
10/28/2004 9,546 10,414
10/29/2004 9,576 10,381
10/30/2004 9,576 10,381
10/31/2004 9,576 10,381
11/1/2004 9,524 10,439
11/2/2004 9,554 10,411
11/3/2004 9,390 10,588
11/4/2004 9,280 10,710
11/5/2004 9,242 10,748
11/6/2004 9,242 10,748
11/7/2004 9,242 10,748
11/8/2004 9,284 10,710
11/9/2004 9,212 10,792
11/10/2004 9,164 10,847
11/11/2004 9,064 10,966
11/12/2004 8,984 11,067
11/13/2004 8,984 11,067
11/14/2004 8,984 11,067
11/15/2004 8,958 11,101
11/16/2004 9,038 10,995
11/17/2004 8,964 11,085
11/18/2004 8,980 11,069
11/19/2004 9,102 10,916
11/20/2004 9,102 10,916
11/21/2004 9,102 10,916
11/22/2004 8,980 11,060
11/23/2004 8,942 11,114
11/24/2004 8,862 11,203
11/25/2004 8,862 11,203
11/26/2004 8,846 11,234
11/27/2004 8,846 11,234
11/28/2004 8,846 11,234
11/29/2004 8,802 11,294
11/30/2004 8,810 11,282
12/1/2004 8,666 11,459
12/2/2004 8,690 11,438
12/3/2004 8,694 11,433
12/4/2004 8,694 11,433
12/5/2004 8,694 11,433
12/6/2004 8,738 11,377
12/7/2004 8,922 11,136
12/8/2004 8,838 11,237
12/9/2004 8,868 11,203
12/10/2004 8,826 11,257
12/11/2004 8,826 11,257
12/12/2004 8,826 11,257
12/13/2004 8,744 11,362
12/14/2004 8,670 11,461
12/15/2004 8,604 11,552
12/16/2004 8,688 11,439
12/17/2004 8,700 11,437
12/18/2004 8,700 11,437
12/19/2004 8,700 11,437
12/20/2004 8,748 11,365
12/21/2004 8,634 11,512
12/22/2004 8,606 11,553
12/23/2004 8,596 11,569
12/24/2004 8,596 11,569
12/25/2004 8,596 11,569
12/26/2004 8,596 11,569
12/27/2004 8,666 11,480
12/28/2004 8,528 11,662
12/29/2004 8,540 11,646
12/30/2004 8,544 11,642
12/31/2004 8,564 11,616
1/1/2005 8,564 11,616
1/2/2005 8,564 11,616
1/3/2005 8,708 11,418
1/4/2005 8,872 11,206
1/5/2005 9,030 11,009
1/6/2005 8,994 11,051
1/7/2005 9,092 10,934
1/8/2005 9,092 10,934
1/9/2005 9,092 10,934
1/10/2005 9,030 11,014
1/11/2005 9,120 10,904
1/12/2005 9,094 10,935
1/13/2005 9,140 10,880
1/14/2005 9,032 11,011
1/15/2005 9,032 11,011
1/16/2005 9,032 11,011
1/17/2005 9,032 11,011
1/18/2005 8,922 11,143
1/19/2005 9,026 11,020
1/20/2005 9,106 10,921
1/21/2005 9,126 10,898
1/22/2005 9,126 10,898
1/23/2005 9,126 10,898
1/24/2005 9,226 10,781
1/25/2005 9,196 10,816
1/26/2005 9,044 10,996
1/27/2005 9,036 11,004
1/28/2005 9,094 10,935
1/29/2005 9,094 10,935
1/30/2005 9,094 10,935
1/31/2005 8,936 11,131
2/1/2005 8,878 11,205
2/2/2005 8,824 11,274
2/3/2005 8,854 11,227
2/4/2005 8,744 11,373
2/5/2005 8,744 11,373
2/6/2005 8,744 11,373
2/7/2005 8,754 11,358
2/8/2005 8,728 11,396
2/9/2005 8,906 11,165
2/10/2005 8,890 11,185
2/11/2005 8,778 11,328
2/12/2005 8,778 11,328
2/13/2005 8,778 11,328
2/14/2005 8,774 11,332
2/15/2005 8,778 11,331
2/16/2005 8,726 11,402
2/17/2005 8,832 11,265
2/18/2005 8,850 11,247
2/19/2005 8,850 11,247
2/20/2005 8,850 11,247
2/21/2005 8,850 11,247
2/22/2005 9,020 11,029
2/23/2005 8,984 11,076
2/24/2005 8,882 11,202
2/25/2005 8,742 11,382
2/26/2005 8,742 11,382
2/27/2005 8,742 11,382
2/28/2005 8,794 11,320
3/1/2005 8,730 11,399
3/2/2005 8,746 11,379
3/3/2005 8,734 11,396
3/4/2005 8,642 11,515
3/5/2005 8,642 11,515
3/6/2005 8,642 11,515
3/7/2005 8,654 11,496
3/8/2005 8,740 11,391
3/9/2005 8,830 11,269
3/10/2005 8,886 11,195
3/11/2005 8,890 11,196
3/12/2005 8,890 11,196
3/13/2005 8,890 11,196
3/14/2005 8,842 11,258
3/15/2005 8,892 11,196
3/16/2005 8,944 11,127
3/17/2005 8,916 11,173
3/18/2005 8,966 11,121
3/19/2005 8,966 11,121
3/20/2005 8,966 11,121
3/21/2005 8,970 11,104
3/22/2005 9,020 11,051
3/23/2005 9,104 10,935
3/24/2005 9,064 10,992
3/25/2005 9,064 10,992
3/26/2005 9,064 10,992
3/27/2005 9,064 10,992
3/28/2005 9,064 10,990
3/29/2005 9,214 10,808
3/30/2005 9,064 10,992
3/31/2005 9,066 10,996
4/1/2005 9,110 10,933
4/2/2005 9,110 10,933
4/3/2005 9,110 10,933
4/4/2005 9,076 10,973
4/5/2005 9,062 10,986
4/6/2005 9,038 11,018
4/7/2005 8,990 11,082
4/8/2005 9,124 10,921
4/9/2005 9,124 10,921
4/10/2005 9,124 10,921
4/11/2005 9,178 10,857
4/12/2005 9,090 10,962
4/13/2005 9,244 10,776
4/14/2005 9,404 10,587
4/15/2005 9,586 10,387
4/16/2005 9,586 10,387
4/17/2005 9,586 10,387
4/18/2005 9,514 10,469
4/19/2005 9,358 10,641
4/20/2005 9,508 10,463
4/21/2005 9,284 10,714
4/22/2005 9,428 10,545
4/23/2005 9,428 10,545
4/24/2005 9,428 10,545
4/25/2005 9,320 10,668
4/26/2005 9,460 10,512
4/27/2005 9,468 10,504
4/28/2005 9,662 10,288
4/29/2005 9,596 10,366
4/30/2005 9,596 10,366
5/1/2005 9,596 10,366
5/2/2005 9,486 10,482
5/3/2005 9,506 10,458
5/4/2005 9,334 10,650
5/5/2005 9,326 10,658
5/6/2005 9,316 10,675
5/7/2005 9,316 10,675
5/8/2005 9,316 10,675
5/9/2005 9,216 10,790
5/10/2005 9,338 10,649
5/11/2005 9,328 10,660
5/12/2005 9,466 10,506
5/13/2005 9,544 10,419
5/14/2005 9,544 10,419
5/15/2005 9,544 10,419
5/16/2005 9,388 10,593
5/17/2005 9,328 10,657
5/18/2005 9,138 10,883
5/19/2005 9,096 10,929
5/20/2005 9,116 10,911
5/21/2005 9,116 10,911
5/22/2005 9,116 10,911
5/23/2005 9,062 10,973
5/24/2005 9,062 10,975
5/25/2005 9,156 10,858
5/26/2005 9,030 11,007
5/27/2005 8,996 11,048
5/28/2005 8,996 11,048
5/29/2005 8,996 11,048
5/30/2005 8,996 11,048
5/31/2005 9,008 11,044
6/1/2005 8,910 11,171
6/2/2005 8,888 11,198
6/3/2005 8,964 11,110
6/4/2005 8,964 11,110
6/5/2005 8,964 11,110
6/6/2005 8,922 11,157
6/7/2005 8,912 11,172
6/8/2005 8,964 11,114
6/9/2005 8,874 11,218
6/10/2005 8,874 11,220
6/11/2005 8,874 11,220
6/12/2005 8,874 11,220
6/13/2005 8,838 11,270
6/14/2005 8,760 11,367
6/15/2005 8,726 11,418
6/16/2005 8,636 11,541
6/17/2005 8,630 11,544
6/18/2005 8,630 11,544
6/19/2005 8,630 11,544
6/20/2005 8,664 11,502
6/21/2005 8,670 11,488
6/22/2005 8,636 11,532
6/23/2005 8,764 11,365
6/24/2005 8,836 11,298
6/25/2005 8,836 11,298
6/26/2005 8,836 11,298
6/27/2005 8,852 11,261
6/28/2005 8,662 11,502
6/29/2005 8,650 11,526
6/30/2005 8,694 11,471
7/1/2005 8,648 11,531
7/2/2005 8,648 11,531
7/3/2005 8,648 11,531
7/4/2005 8,648 11,531
7/5/2005 8,508 11,714
7/6/2005 8,572 11,627
7/7/2005 8,562 11,646
7/8/2005 8,392 11,877
7/9/2005 8,392 11,877
7/10/2005 8,392 11,877
7/11/2005 8,270 12,049
7/12/2005 8,284 12,032
7/13/2005 8,324 11,976
7/14/2005 8,382 11,893
7/15/2005 8,374 11,906
7/16/2005 8,374 11,906
7/17/2005 8,374 11,906
7/18/2005 8,442 11,814
7/19/2005 8,312 11,999
7/20/2005 8,204 12,155
7/21/2005 8,336 11,968
7/22/2005 8,196 12,159
7/23/2005 8,196 12,159
7/24/2005 8,196 12,159
7/25/2005 8,280 12,037
7/26/2005 8,238 12,102
7/27/2005 8,232 12,109
7/28/2005 8,130 12,256
7/29/2005 8,174 12,197
7/30/2005 8,174 12,197
7/31/2005 8,174 12,197
8/1/2005 8,140 12,252
8/2/2005 8,072 12,355
8/3/2005 8,132 12,263
8/4/2005 8,268 12,057
8/5/2005 8,382 11,895
8/6/2005 8,382 11,895
8/7/2005 8,382 11,895
8/8/2005 8,422 11,839
8/9/2005 8,410 11,855
8/10/2005 8,420 11,850
8/11/2005 8,340 11,963
8/12/2005 8,422 11,849
8/13/2005 8,422 11,849
8/14/2005 8,422 11,849
8/15/2005 8,352 11,951
8/16/2005 8,492 11,753
8/17/2005 8,492 11,757
8/18/2005 8,532 11,692
8/19/2005 8,518 11,716
8/20/2005 8,518 11,716
8/21/2005 8,518 11,716
8/22/2005 8,458 11,805
8/23/2005 8,484 11,770
8/24/2005 8,490 11,762
8/25/2005 8,454 11,810
8/26/2005 8,576 11,648
8/27/2005 8,576 11,648
8/28/2005 8,576 11,648
8/29/2005 8,490 11,768
8/30/2005 8,506 11,742
8/31/2005 8,344 11,971
9/1/2005 8,322 12,006
9/2/2005 8,390 11,915
9/3/2005 8,390 11,915
9/4/2005 8,390 11,915
9/5/2005 8,390 11,915
9/6/2005 8,248 12,115
9/7/2005 8,216 12,167
9/8/2005 8,266 12,098
9/9/2005 8,212 12,181
9/10/2005 8,212 12,181
9/11/2005 8,212 12,181
9/12/2005 8,178 12,231
9/13/2005 8,270 12,095
9/14/2005 8,354 11,974
9/15/2005 8,368 11,957
9/16/2005 8,290 12,076
9/17/2005 8,290 12,076
9/18/2005 8,290 12,076
9/19/2005 8,350 11,987
9/20/2005 8,430 11,873
9/21/2005 8,568 11,681
9/22/2005 8,554 11,703
9/23/2005 8,498 11,780
9/24/2005 8,498 11,780
9/25/2005 8,498 11,780
9/26/2005 8,442 11,865
9/27/2005 8,456 11,847
9/28/2005 8,492 11,796
9/29/2005 8,372 11,959
9/30/2005 8,344 12,009
10/1/2005 8,344 12,009
10/2/2005 8,344 12,009
10/3/2005 8,304 12,058
10/4/2005 8,390 11,938
10/5/2005 8,628 11,600
10/6/2005 8,702 11,501
10/7/2005 8,640 11,589
10/8/2005 8,640 11,589
10/9/2005 8,640 11,589
10/10/2005 8,724 11,475
10/11/2005 8,832 11,333
10/12/2005 8,956 11,181
10/13/2005 8,936 11,212
10/14/2005 8,796 11,389
10/15/2005 8,796 11,389
10/16/2005 8,796 11,389
10/17/2005 8,794 11,394
10/18/2005 8,906 11,250
10/19/2005 8,726 11,482
10/20/2005 8,872 11,289
10/21/2005 8,802 11,383
10/22/2005 8,802 11,383
10/23/2005 8,802 11,383
10/24/2005 8,610 11,632
10/25/2005 8,658 11,563
10/26/2005 8,722 11,486
10/27/2005 8,918 11,229
10/28/2005 8,762 11,433
10/29/2005 8,762 11,433
10/30/2005 8,762 11,433
10/31/2005 8,610 11,636
11/1/2005 8,652 11,571
11/2/2005 8,464 11,824
11/3/2005 8,440 11,856
11/4/2005 8,454 11,846
11/5/2005 8,454 11,846
11/6/2005 8,454 11,846
11/7/2005 8,416 11,902
11/8/2005 8,480 11,813
11/9/2005 8,436 11,877
11/10/2005 8,372 11,971
11/11/2005 8,352 12,002
11/12/2005 8,352 12,002
11/13/2005 8,352 12,002
11/14/2005 8,384 11,953
11/15/2005 8,486 11,815
11/16/2005 8,508 11,787
11/17/2005 8,346 12,013
11/18/2005 8,286 12,104
11/19/2005 8,286 12,104
11/20/2005 8,286 12,104
11/21/2005 8,202 12,226
11/22/2005 8,160 12,292
11/23/2005 8,156 12,303
11/24/2005 8,156 12,303
11/25/2005 8,154 12,311
11/26/2005 8,154 12,311
11/27/2005 8,154 12,311
11/28/2005 8,300 12,094
11/29/2005 8,274 12,135
11/30/2005 8,234 12,201
12/1/2005 8,074 12,434
12/2/2005 8,070 12,440
12/3/2005 8,070 12,440
12/4/2005 8,070 12,440
12/5/2005 8,116 12,369
12/6/2005 8,108 12,387
12/7/2005 8,158 12,306
12/8/2005 8,134 12,346
12/9/2005 8,096 12,410
12/10/2005 8,096 12,410
12/11/2005 8,096 12,410
12/12/2005 8,088 12,424
12/13/2005 8,094 12,418
12/14/2005 8,076 12,445
12/15/2005 8,146 12,342
12/16/2005 8,170 12,312
12/17/2005 8,170 12,312
12/18/2005 8,170 12,312
12/19/2005 8,302 12,117
12/20/2005 8,296 12,128
12/21/2005 8,210 12,254
12/22/2005 8,157 12,332
12/23/2005 8,135 12,375
12/24/2005 8,135 12,375
12/25/2005 8,135 12,375
12/26/2005 8,135 12,375
12/27/2005 8,254 12,197
12/28/2005 8,209 12,268
12/29/2005 8,235 12,230
12/30/2005 8,303 12,145
12/31/2005 8,303 12,145
1/1/2006 8,303 12,145
1/2/2006 8,303 12,145
1/3/2006 8,168 12,340
1/4/2006 8,106 12,435
1/5/2006 8,078 12,481
1/6/2006 7,992 12,619
1/7/2006 7,992 12,619
1/8/2006 7,992 12,619
1/9/2006 7,916 12,743
1/10/2006 7,865 12,828
1/11/2006 7,863 12,833
1/12/2006 7,912 12,754
1/13/2006 7,900 12,783
1/14/2006 7,900 12,783
1/15/2006 7,900 12,783
1/16/2006 7,900 12,783
1/17/2006 7,955 12,697
1/18/2006 7,955 12,700
1/19/2006 7,830 12,902
1/20/2006 7,947 12,715
1/21/2006 7,947 12,715
1/22/2006 7,947 12,715
1/23/2006 7,916 12,773
1/24/2006 7,802 12,957
1/25/2006 7,818 12,929
1/26/2006 7,685 13,147
1/27/2006 7,652 13,216
1/28/2006 7,652 13,216
1/29/2006 7,652 13,216
1/30/2006 7,667 13,192
1/31/2006 7,644 13,234
2/1/2006 7,620 13,275
2/2/2006 7,716 13,110
2/3/2006 7,742 13,074
2/4/2006 7,742 13,074
2/5/2006 7,742 13,074
2/6/2006 7,703 13,140
2/7/2006 7,818 12,947
2/8/2006 7,777 13,020
2/9/2006 7,810 12,966
2/10/2006 7,824 12,948
2/11/2006 7,824 12,948
2/12/2006 7,824 12,948
2/13/2006 7,894 12,830
2/14/2006 7,795 12,996
2/15/2006 7,736 13,094
2/16/2006 7,667 13,217
2/17/2006 7,683 13,200
2/18/2006 7,683 13,200
2/19/2006 7,683 13,200
2/20/2006 7,683 13,200
2/21/2006 7,726 13,125
2/22/2006 7,656 13,247
2/23/2006 7,671 13,228
2/24/2006 7,630 13,303
2/25/2006 7,630 13,303
2/26/2006 7,630 13,303
2/27/2006 7,587 13,378
2/28/2006 7,693 13,197
3/1/2006 7,568 13,410
3/2/2006 7,589 13,370
3/3/2006 7,613 13,340
3/4/2006 7,613 13,340
3/5/2006 7,613 13,340
3/6/2006 7,689 13,208
3/7/2006 7,798 13,026
3/8/2006 7,789 13,041
3/9/2006 7,828 12,977
3/10/2006 7,742 13,123
3/11/2006 7,742 13,123
3/12/2006 7,742 13,123
3/13/2006 7,724 13,156
3/14/2006 7,638 13,302
3/15/2006 7,568 13,427
3/16/2006 7,560 13,443
3/17/2006 7,544 13,484
3/18/2006 7,544 13,484
3/19/2006 7,544 13,484
3/20/2006 7,552 13,476
3/21/2006 7,650 13,304
3/22/2006 7,558 13,463
3/23/2006 7,532 13,513
3/24/2006 7,474 13,626
3/25/2006 7,474 13,626
3/26/2006 7,474 13,626
3/27/2006 7,468 13,629
3/28/2006 7,499 13,580
3/29/2006 7,364 13,819
3/30/2006 7,382 13,792
3/31/2006 7,362 13,838
4/1/2006 7,362 13,838
4/2/2006 7,362 13,838
4/3/2006 7,421 13,731
4/4/2006 7,393 13,788
4/5/2006 7,356 13,860
4/6/2006 7,356 13,860
4/7/2006 7,460 13,678
4/8/2006 7,460 13,678
4/9/2006 7,460 13,678
4/10/2006 7,493 13,620
4/11/2006 7,601 13,425
4/12/2006 7,544 13,528
4/13/2006 7,517 13,588
4/14/2006 7,517 13,588
4/15/2006 7,517 13,588
4/16/2006 7,517 13,588
4/17/2006 7,536 13,559
4/18/2006 7,331 13,927
4/19/2006 7,251 14,083
4/20/2006 7,288 14,015
4/21/2006 7,317 13,970
4/22/2006 7,317 13,970
4/23/2006 7,317 13,970
4/24/2006 7,374 13,861
4/25/2006 7,389 13,838
4/26/2006 7,384 13,846
4/27/2006 7,425 13,778
4/28/2006 7,397 13,836
4/29/2006 7,397 13,836
4/30/2006 7,397 13,836
5/1/2006 7,431 13,774
5/2/2006 7,368 13,891
5/3/2006 7,368 13,894
5/4/2006 7,305 14,021
5/5/2006 7,239 14,150
5/6/2006 7,239 14,150
5/7/2006 7,239 14,150
5/8/2006 7,245 14,147
5/9/2006 7,254 14,131
5/10/2006 7,301 14,045
5/11/2006 7,476 13,713
5/12/2006 7,628 13,440
5/13/2006 7,628 13,440
5/14/2006 7,628 13,440
5/15/2006 7,679 13,354
5/16/2006 7,683 13,352
5/17/2006 7,804 13,142
5/18/2006 7,887 13,008
5/19/2006 7,845 13,082
5/20/2006 7,845 13,082
5/21/2006 7,845 13,082
5/22/2006 7,926 12,950
5/23/2006 7,973 12,879
5/24/2006 7,973 12,879
5/25/2006 7,812 13,139
5/26/2006 7,777 13,211
5/27/2006 7,777 13,211
5/28/2006 7,777 13,211
5/29/2006 7,777 13,211
5/30/2006 7,975 12,877
5/31/2006 7,865 13,059
6/1/2006 7,693 13,339
6/2/2006 7,689 13,357
6/3/2006 7,689 13,357
6/4/2006 7,689 13,357
6/5/2006 7,937 12,931
6/6/2006 7,967 12,877
6/7/2006 8,018 12,802
6/8/2006 8,022 12,798
6/9/2006 8,086 12,705
6/10/2006 8,086 12,705
6/11/2006 8,086 12,705
6/12/2006 8,296 12,376
6/13/2006 8,425 12,189
6/14/2006 8,370 12,270
6/15/2006 8,065 12,705
6/16/2006 8,168 12,560
6/17/2006 8,168 12,560
6/18/2006 8,168 12,560
6/19/2006 8,313 12,337
6/20/2006 8,352 12,279
6/21/2006 8,192 12,518
6/22/2006 8,225 12,470
6/23/2006 8,202 12,508
6/24/2006 8,202 12,508
6/25/2006 8,202 12,508
6/26/2006 8,102 12,663
6/27/2006 8,245 12,451
6/28/2006 8,227 12,477
6/29/2006 7,912 12,955
6/30/2006 7,818 13,143
7/1/2006 7,818 13,143
7/2/2006 7,818 13,143
7/3/2006 7,740 13,254
7/4/2006 7,740 13,254
7/5/2006 7,836 13,057
7/6/2006 7,826 13,072
7/7/2006 7,957 12,866
7/8/2006 7,957 12,866
7/9/2006 7,957 12,866
7/10/2006 7,961 12,862
7/11/2006 7,902 12,959
7/12/2006 8,053 12,720
7/13/2006 8,213 12,469
7/14/2006 8,294 12,359
7/15/2006 8,294 12,359
7/16/2006 8,294 12,359
7/17/2006 8,339 12,295
7/18/2006 8,288 12,367
7/19/2006 8,033 12,742
7/20/2006 8,251 12,403
7/21/2006 8,397 12,191
7/22/2006 8,397 12,191
7/23/2006 8,397 12,191
7/24/2006 8,164 12,533
7/25/2006 8,088 12,654
7/26/2006 8,125 12,600
7/27/2006 8,229 12,444
7/28/2006 8,057 12,705
7/29/2006 8,057 12,705
7/30/2006 8,057 12,705
7/31/2006 8,055 12,715
8/1/2006 8,178 12,521
8/2/2006 8,098 12,648
8/3/2006 8,008 12,786
8/4/2006 8,051 12,729
8/5/2006 8,051 12,729
8/6/2006 8,051 12,729
8/7/2006 8,112 12,635
8/8/2006 8,215 12,480
8/9/2006 8,290 12,364
8/10/2006 8,229 12,460
8/11/2006 8,319 12,330
8/12/2006 8,319 12,330
8/13/2006 8,319 12,330
8/14/2006 8,288 12,379
8/15/2006 8,096 12,672
8/16/2006 7,990 12,846
8/17/2006 7,957 12,908
8/18/2006 7,949 12,925
8/19/2006 7,949 12,925
8/20/2006 7,949 12,925
8/21/2006 8,022 12,810
8/22/2006 7,994 12,854
8/23/2006 8,104 12,685
8/24/2006 8,102 12,691
8/25/2006 8,102 12,701
8/26/2006 8,102 12,701
8/27/2006 8,102 12,701
8/28/2006 8,016 12,835
8/29/2006 7,922 12,985
8/30/2006 7,861 13,092
8/31/2006 7,863 13,091
9/1/2006 7,859 13,110
9/2/2006 7,859 13,110
9/3/2006 7,859 13,110
9/4/2006 7,859 13,110
9/5/2006 7,795 13,218
9/6/2006 7,963 12,939
9/7/2006 8,027 12,838
9/8/2006 8,008 12,876
9/9/2006 8,008 12,876
9/10/2006 8,008 12,876
9/11/2006 8,020 12,859
9/12/2006 7,828 13,166
9/13/2006 7,761 13,283
9/14/2006 7,795 13,226
9/15/2006 7,783 13,258
9/16/2006 7,783 13,258
9/17/2006 7,783 13,258
9/18/2006 7,789 13,249
9/19/2006 7,828 13,188
9/20/2006 7,732 13,353
9/21/2006 7,810 13,220
9/22/2006 7,908 13,065
9/23/2006 7,908 13,065
9/24/2006 7,908 13,065
9/25/2006 7,816 13,219
9/26/2006 7,789 13,266
9/27/2006 7,757 13,325
9/28/2006 7,759 13,327
9/29/2006 7,838 13,200
9/30/2006 7,838 13,200
10/1/2006 7,838 13,200
10/2/2006 7,912 13,077
10/3/2006 7,920 13,069
10/4/2006 7,750 13,345
10/5/2006 7,652 13,521
10/6/2006 7,689 13,462
10/7/2006 7,689 13,462
10/8/2006 7,689 13,462
10/9/2006 7,642 13,548
10/10/2006 7,628 13,572
10/11/2006 7,675 13,497
10/12/2006 7,515 13,778
10/13/2006 7,462 13,879
10/14/2006 7,462 13,879
10/15/2006 7,462 13,879
10/16/2006 7,397 14,004
10/17/2006 7,442 13,920
10/18/2006 7,458 13,894
10/19/2006 7,421 13,966
10/20/2006 7,481 13,871
10/21/2006 7,481 13,871
10/22/2006 7,481 13,871
10/23/2006 7,466 13,895
10/24/2006 7,478 13,876
10/25/2006 7,434 13,962
10/26/2006 7,350 14,124
10/27/2006 7,448 13,941
10/28/2006 7,448 13,941
10/29/2006 7,448 13,941
10/30/2006 7,405 14,024
10/31/2006 7,446 13,960
11/1/2006 7,587 13,693
11/2/2006 7,609 13,657
11/3/2006 7,585 13,705
11/4/2006 7,585 13,705
11/5/2006 7,585 13,705
11/6/2006 7,481 13,894
11/7/2006 7,472 13,918
11/8/2006 7,419 14,019
11/9/2006 7,497 13,877
11/10/2006 7,429 14,007
11/11/2006 7,429 14,007
11/12/2006 7,429 14,007
11/13/2006 7,399 14,067
11/14/2006 7,278 14,299
11/15/2006 7,215 14,425
11/16/2006 7,231 14,404
11/17/2006 7,256 14,363
11/18/2006 7,256 14,363
11/19/2006 7,256 14,363
11/20/2006 7,235 14,402
11/21/2006 7,223 14,432
11/22/2006 7,217 14,447
11/23/2006 7,217 14,447
11/24/2006 7,227 14,436
11/25/2006 7,227 14,436
11/26/2006 7,227 14,436
11/27/2006 7,415 14,068
11/28/2006 7,386 14,119
11/29/2006 7,301 14,292
11/30/2006 7,290 14,328
12/1/2006 7,337 14,238
12/2/2006 7,337 14,238
12/3/2006 7,337 14,238
12/4/2006 7,196 14,506
12/5/2006 7,186 14,535
12/6/2006 7,202 14,509
12/7/2006 7,235 14,443
12/8/2006 7,238 14,448
12/9/2006 7,238 14,448
12/10/2006 7,238 14,448
12/11/2006 7,234 14,457
12/12/2006 7,276 14,373
12/13/2006 7,274 14,382
12/14/2006 7,226 14,482
12/15/2006 7,247 14,456
12/16/2006 7,247 14,456
12/17/2006 7,247 14,456
12/18/2006 7,346 14,261
12/19/2006 7,342 14,263
12/20/2006 7,312 14,328
12/21/2006 7,342 14,280
12/22/2006 7,367 14,242
12/23/2006 7,367 14,242
12/24/2006 7,367 14,242
12/25/2006 7,367 14,242
12/26/2006 7,295 14,377
12/27/2006 7,204 14,558
12/28/2006 7,236 14,500
12/29/2006 7,310 14,376
12/30/2006 7,310 14,376
12/31/2006 7,310 14,376
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
INVERSE RUSSELL 2000(R) FUND -11.95% -11.10%
RUSSELL 2000(R) INDEX 18.37% 14.60%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE RUSSELL
2000(R) FUND RUSSELL 2000(R) INDEX
OTHER 15.1%
INFORMATION TECHNOLOGY 20.1%
FINANCIALS 20.1%
CONSUMER DISCRETIONARY 15.2%
HEALTH CARE 12.0%
INDUSTRIALS 11.7%
MATERIALS 5.8%
FUTURES CONTRACTS SHORT SALES -31.1%
EQUITY INDEX SWAP AGREEMENTS SHORT SALES -68.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: August 18, 1997
At the start of 2006, the benchmark Long Bond posted a yield of 4.54%. In
February, the market responded favorably when the U. S. Treasury reissued the
30-year bond and long rates remained stable.
During the second quarter, the market turned as mixed economic data, soaring
energy and commodity prices and the Federal Reserve's continued concern over the
risk of inflation pushed long rates higher. The 30-year bond yield peaked in
mid-May at 5.32% and remained above 5.00% until August.
As the Fed opted to keep short-term rates unchanged and data indicated
decreasing economic growth and a slowdown in the manufacturing and housing
sectors, yields on the long end of the curve again changed direction. Stable
short rates and falling long rates produced an inverted yield curve, which has
often, but not always, preceded a recession.
The market's anticipation of an economic recession--or at least continued slower
growth--forced the 30-year yield to decline further to 4.55% by the end of
November.
In December, yields fluctuated within a narrow trading range, as conflicting
messages of either a slowing economy or inflation risks confused investors. As a
result of this uncertainty, the Long Bond yield ended slightly higher at 4.81%.
Rydex Government Long Bond Advantage Fund benefits from a falling interest rate
environment. Since year-to-date, rates were on average higher, the Fund adhered
to its objective and closed down -3.14%.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
AUGUST 18, 1997- DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
GOVERNMENT LONG BOND PRICE MOVEMENT OF LEHMAN LONG TREASURY
DATE ADVANTAGE FUND LONG TREASURY BOND BOND INDEX
8/18/1997 10,000 10,000 10,000
9/30/1997 10,177 10,147 10,202
12/31/1997 10,985 10,749 10,865
3/31/1998 11,022 10,733 11,029
6/30/1998 11,626 11,211 11,544
9/30/1998 12,797 12,238 12,454
12/31/1998 12,397 11,946 12,334
3/31/1999 11,211 10,886 11,806
6/30/1999 10,632 10,335 11,513
9/30/1999 10,407 10,100 11,498
12/31/1999 9,859 9,539 11,256
3/31/2000 10,833 10,228 12,163
6/30/2000 10,812 10,139 12,282
9/30/2000 10,955 10,165 12,624
12/31/2000 11,850 10,788 13,537
3/31/2001 11,803 10,652 13,723
6/30/2001 11,370 10,189 13,481
9/30/2001 12,093 10,705 14,389
12/31/2001 11,860 10,613 14,107
3/31/2002 11,307 10,112 13,872
6/30/2002 12,131 10,559 14,703
9/30/2002 14,257 11,959 16,477
12/31/2002 14,068 11,741 16,475
3/31/2003 14,144 11,678 16,704
6/30/2003 15,066 12,152 17,551
9/30/2003 14,359 11,586 17,081
12/31/2003 13,978 11,232 16,885
3/31/2004 14,900 11,735 17,782
6/30/2004 13,671 10,889 16,855
9/30/2004 14,836 11,535 17,926
12/31/2004 15,155 11,652 18,185
3/31/2005 15,399 11,758 18,281
6/30/2005 17,199 12,768 19,687
9/30/2005 16,175 12,073 19,163
12/31/2005 16,324 12,113 19,368
3/31/2006 15,132 10,108 18,667
6/30/2006 14,486 9,655 18,445
9/30/2006 15,873 10,319 19,631
12/31/2006 15,811 10,254 19,726
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (08/18/97)
- --------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND -3.14% 5.92% 5.01%
PRICE MOVEMENT OF LONG TREASURY BOND -15.35% -0.69% 0.27%
LEHMAN LONG TREASURY BOND INDEX 1.85% 6.94% 7.52%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE LEHMAN LONG TREASURY INDEX IS
AN UNMANAGED BOND INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. THE PRICE MOVEMENT OF THE LONG
TREASURY BOND REPRESENTS A CUMULATIVE PERCENTAGE CHANGE IN ITS CLOSING PRICE.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
GOVERNMENT LONG BOND ADVANTAGE FUND
U.S. TREASURY OBLIGATIONS 34.4%
FUTURES CONTRACTS 85.7%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in U.S. Government securities and in derivative
instruments such as futures and options contracts.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG BOND FUND
OBJECTIVE: To provide total returns that will 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.
INCEPTION: May 1, 2003
The benchmark Long Bond recorded a yield of 4.54% to begin 2006. In January,
yields rose slightly, ahead of the changing of the guard at the Federal Reserve.
On January 31, Alan Greenspan chaired his final Federal Open Market Committee
meeting, passing the reins to new Fed chairman Ben Bernanke. Yields fell when
the market decided that Bernanke's policies were in line with those of
Greenspan.
February 11, 2006 marked the return of the 30-year bond, which was last issued
on October 31, 2001. The reinstatement of a true 30-year security reflected the
prospect of continued large budget deficits and rising pension demand for longer
duration assets. Pension fund legislation, requiring matched liabilities, was
good news for the long end of the curve and Treasuries therefore stabilized.
During the second quarter, however, inconsistent economic data and the Fed's
statement about continuing inflation accounted for an increase in long rates.
The 30-year bond yield stayed above 5.00% until early August.
In August, when economic data signaled a slowdown in manufacturing and housing,
yields declined. As government bond investors believed in the possibility of an
economic recession, yields continued to fall and the yield curve inverted.
Yields moved to 4.55% by the end of November.
In December, Treasury bond yields reacted to investor indecision regarding the
direction of the economy. As a result of this uncertainty, the Long Bond
weakened and closed the year higher at 4.81%.
An investor benefits from Rydex Inverse Government Bond Fund in a rising
interest-rate environment. Since year-to-date, yields were on average higher,
the Fund adhered to its objective and closed up 8.11%.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 1, 2003 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
INVERSE GOVERNMENT PRICE MOVEMENT OF LEHMAN LONG TREASURY
DATE LONG BOND FUND LONG TREASURY BOND BOND INDEX
5/1/2003 10,000 10,000 10,000
5/31/2003 9,296 10,635 10,562
6/30/2003 9,448 10,337 10,401
7/31/2003 10,728 9,145 9,471
8/31/2003 10,540 9,372 9,622
9/30/2003 9,816 9,856 10,123
10/31/2003 10,184 9,492 9,841
11/30/2003 10,100 9,489 9,889
12/31/2003 9,928 9,555 10,006
1/31/2004 9,676 9,721 10,178
2/29/2004 9,384 9,894 10,381
3/31/2004 9,184 9,983 10,538
4/30/2004 9,828 9,276 9,947
5/31/2004 9,864 9,201 9,898
6/30/2004 9,732 9,263 9,989
7/31/2004 9,540 9,397 10,158
8/31/2004 9,120 9,765 10,535
9/30/2004 9,043 9,813 10,624
10/31/2004 8,877 9,957 10,780
11/30/2004 9,144 9,647 10,540
12/31/2004 8,869 9,912 10,777
1/31/2005 8,562 10,255 11,049
2/28/2005 8,720 10,059 10,906
3/31/2005 8,756 10,003 10,834
4/30/2005 8,429 10,355 11,204
5/31/2005 8,178 10,638 11,495
6/30/2005 8,004 10,861 11,667
7/31/2005 8,356 10,408 11,361
8/31/2005 8,065 10,751 11,692
9/30/2005 8,441 10,270 11,356
10/31/2005 8,679 9,996 11,147
11/30/2005 8,615 10,069 11,217
12/31/2005 8,404 10,304 11,478
1/31/2006 8,574 10,097 11,373
2/28/2006 8,526 9,151 11,454
3/31/2006 9,071 8,599 11,063
4/30/2006 9,459 8,239 10,847
5/31/2006 9,564 8,160 10,848
6/30/2006 9,516 8,213 10,931
7/31/2006 9,346 8,374 11,141
8/31/2006 9,099 8,615 11,447
9/30/2006 8,950 8,779 11,634
10/31/2006 8,905 8,845 11,720
11/30/2006 8,712 9,074 11,950
12/31/2006 9,086 8,723 11,690
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/01/03)
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG BOND FUND 8.11% -2.58%
PRICE MOVEMENT OF LONG TREASURY BOND -15.35% -3.66%
LEHMAN LONG TREASURY BOND INDEX 1.85% 4.35%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE LEHMAN LONG TREASURY INDEX IS
AN UNMANAGED BOND INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. THE PRICE MOVEMENT OF THE LONG
TREASURY BOND REPRESENTS A CUMULATIVE PERCENTAGE CHANGE IN ITS CLOSING PRICE.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
INVERSE GOVERNMENT
LONG BOND FUND
U.S. TREASURY OBLIGATIONS SHORT SALES -77.2%
FUTURES CONTRACTS SHORT SALES -23.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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 benchmak is the Dow Jones STOXX 50 Index.
INCEPTION: October 1, 2001
European stock markets rose strongly in 2006 with the Dow Jones STOXX 50 Index
ending the year up 14.25% in local currency terms. The euro also appreciated
considerably versus the dollar, which further enhanced returns. In U.S. dollar
terms, the Dow Jones STOXX 50 Index rose 26.96% in 2006. Suez SA, the French
power and water group, was the best performing stock in the index for the year
while Britain's GlaxoSmithKline was the laggard.
Rydex Europe Advantage Fund rose 29.51% for the year. The Fund achieved a daily
correlation of more than 0.99 to its benchmark of 125% of the daily price
performance of the Dow Jones STOXX 50 Index for the year ended December 31,
2006.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE EUROPE ADVANTAGE FUND DOW JONES STOXX 50 INDEX
10/1/2001 10,000 10,000
10/31/2001 10,524 10,498
11/30/2001 10,920 10,776
12/31/2001 11,204 11,026
1/31/2002 10,444 10,381
2/28/2002 10,236 10,404
3/31/2002 10,808 10,897
4/30/2002 10,620 10,727
5/31/2002 10,476 10,657
6/30/2002 10,052 10,341
7/31/2002 8,812 9,140
8/31/2002 8,524 9,116
9/30/2002 7,151 7,832
10/31/2002 7,933 8,706
11/30/2002 8,373 9,098
12/31/2002 8,027 8,674
1/31/2003 7,505 8,274
2/28/2003 7,151 8,069
3/31/2003 7,011 7,939
4/30/2003 8,159 9,028
5/31/2003 8,755 9,543
6/30/2003 8,932 9,647
7/31/2003 8,870 9,760
8/31/2003 8,915 9,600
9/30/2003 9,109 9,812
10/31/2003 9,758 10,379
11/30/2003 10,314 10,888
12/31/2003 11,485 11,875
1/31/2004 11,475 11,859
2/29/2004 11,751 12,120
3/31/2004 11,174 11,670
4/30/2004 10,872 11,617
5/31/2004 11,088 11,724
6/30/2004 11,199 11,781
7/31/2004 10,797 11,503
8/31/2004 10,918 11,534
9/30/2004 11,452 12,010
10/31/2004 11,931 12,413
11/30/2004 12,700 13,223
12/31/2004 13,340 13,747
1/31/2005 12,880 13,364
2/28/2005 13,535 14,007
3/31/2005 13,098 13,645
4/30/2005 12,910 13,393
5/31/2005 12,756 13,420
6/30/2005 12,933 13,633
7/31/2005 13,505 14,144
8/31/2005 13,812 14,268
9/30/2005 14,117 14,654
10/31/2005 13,688 14,298
11/30/2005 13,688 14,392
12/31/2005 14,188 14,775
1/31/2006 15,236 15,658
2/28/2006 14,974 15,511
3/31/2006 15,563 15,997
4/30/2006 16,592 16,827
5/31/2006 15,926 16,413
6/30/2006 15,884 16,478
7/31/2006 16,200 16,790
8/31/2006 16,753 17,281
9/30/2006 16,658 17,242
10/31/2006 17,497 17,961
11/30/2006 18,009 18,369
12/31/2006 18,375 18,760
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND 29.51% 10.40% 12.29%
DOW JONES STOXX 50 INDEX 26.96% 11.22% 12.73%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES STOXX 50 INDEX IS
AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
EUROPE ADVANTAGE FUND DOW JONES STOXX 50 INDEX
OTHER 14.8% 8.9%
FINANCIALS 18.1% 40.6%
ENERGY 8.4% 13.6%
HEALTH CARE 7.0%
TELECOMMUNICATION SERVICES 6.5%
CONSUMER, NON-CYCLICAL 19.4%
COMMUNICATIONS 12.3%
BASIC MATERIALS 5.2%
EQUITY INDEX SWAP AGREEMENTS 70.3%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
HSBC Holdings PLC -- SP ADR 3.2%
BP PLC -- SP ADR 2.8%
GlaxoSmithKline PLC -- SP ADR 2.5%
Novartis AG -- SP ADR 2.2%
Total SA -- SP ADR 2.0%
Vodafone Group PLC -- SP ADR 2.0%
Royal Dutch Shell PLC -- SP ADR 1.9%
Banco Santander Central Hispano SA -- SP ADR 1.8%
E. ON AG -- SP ADR 1.8%
Barclays PLC -- SP ADR 1.7%
- --------------------------------------------------------------------------------
Top Ten Total 21.9%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: October 1, 2001
Japanese stock markets rose modestly in 2006 compared to U.S. and European
markets. The Topix 100 Index gained 7.06% during the year. The yen's slight
depreciation versus the dollar further reduced the index's returns to 6.86% in
U.S. dollar terms. Disappointing consumption and inflation data held back the
Japanese market from fully participating in the global equity rally in the
second half of 2006.
Rydex Japan Advantage Fund rose 5.14% for the year. The Fund achieved a daily
correlation of more than 0.96 to its benchmark of 125% of the daily price
performance of the Topix 100 Index for the year ended December 31, 2006.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE JAPAN ADVANTAGE FUND TOPIX 100 INDEX
10/1/2001 10,000 10,000
10/31/2001 9,864 9,891
11/30/2001 9,760 9,932
12/31/2001 8,764 9,179
1/31/2002 7,856 8,372
2/28/2002 8,432 8,714
3/31/2002 9,348 9,576
4/30/2002 9,788 9,822
5/31/2002 10,344 10,410
6/30/2002 9,524 9,822
7/31/2002 8,704 9,152
8/31/2002 8,556 9,015
9/30/2002 7,854 8,577
10/31/2002 7,228 8,016
11/30/2002 7,537 8,372
12/31/2002 7,344 8,112
1/31/2003 6,939 7,756
2/28/2003 6,959 7,729
3/31/2003 6,477 7,387
4/30/2003 6,341 7,305
5/31/2003 6,786 7,674
6/30/2003 7,389 8,235
7/31/2003 7,878 8,618
8/31/2003 8,762 9,521
9/30/2003 9,184 9,986
10/31/2003 9,613 10,301
11/30/2003 9,324 10,068
12/31/2003 10,107 10,739
1/31/2004 10,147 10,889
2/29/2004 10,191 10,876
3/31/2004 11,709 12,230
4/30/2004 10,597 11,587
5/31/2004 10,380 11,245
6/30/2004 10,995 11,573
7/31/2004 9,967 10,958
8/31/2004 10,131 11,122
9/30/2004 9,685 10,739
10/31/2004 9,975 11,026
11/30/2004 10,412 11,464
12/31/2004 11,151 12,025
1/31/2005 10,485 11,683
2/28/2005 10,734 11,902
3/31/2005 10,240 11,587
4/30/2005 9,858 11,149
5/31/2005 9,645 11,176
6/30/2005 9,637 11,135
7/31/2005 9,754 11,245
8/31/2005 10,770 12,120
9/30/2005 11,978 13,311
10/31/2005 11,641 13,064
11/30/2005 12,095 13,611
12/31/2005 13,420 14,720
1/31/2006 14,038 15,417
2/28/2006 13,717 15,294
3/31/2006 14,384 15,677
4/30/2006 14,962 16,211
5/31/2006 13,829 15,130
6/30/2006 13,508 15,048
7/31/2006 13,396 15,075
8/31/2006 13,548 15,267
9/30/2006 13,215 14,966
10/31/2006 13,528 15,321
11/30/2006 13,556 15,363
12/31/2006 14,109 15,759
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
JAPAN ADVANTAGE FUND 5.14% 9.99% 6.78%
TOPIX 100 INDEX 7.06% 11.42% 9.05%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE TOPIX 100 INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
JAPAN ADVANTAGE FUND TOPIX 100 INDEX
OTHER 8.8%
FINANCIALS 40.2%
UTILITIES 14.2%
COMMUNICATIONS 10.8%
INDUSTRIALS 10.2%
CONSUMER, CYCLICAL 9.7%
CONSUMER, NON-CYCLICAL 6.1%
FUTURES CONTRACTS 33.5%
EQUITY INDEX SWAP AGREEMENTS 91.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC DOW 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 Dow Jones Industrial Average Index.
INCEPTION: May 3, 2004
Large-cap stocks staged a strong rally in the second half of 2006 and the Dow
Jones Industrial Average Index rose by 19.05%. The Dow broke through its record
high at the beginning of October and continued to rise, with the index finishing
the year just shy of 12,500. General Motors, AT&T and Hewlett-Packard were the
best performing stocks in the Dow. Intel was the only stock in the Dow with
negative returns during the year.
For the year, Rydex Dynamic Dow Fund produced returns of 30.54%. It achieved a
daily correlation of 99% to its benchmark of 200% of the daily price movement of
the Dow Jones Industrial Average Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DOW JONES INDUSTRIAL
DATE DYNAMIC DOW FUND AVERAGE INDEX
5/3/2004 10,000 10,000
5/4/2004 10,008 10,003
5/5/2004 10,000 9,997
5/6/2004 9,856 9,932
5/7/2004 9,624 9,812
5/8/2004 9,624 9,812
5/9/2004 9,624 9,812
5/10/2004 9,380 9,688
5/11/2004 9,436 9,719
5/12/2004 9,496 9,751
5/13/2004 9,428 9,717
5/14/2004 9,432 9,721
5/15/2004 9,432 9,721
5/16/2004 9,432 9,721
5/17/2004 9,228 9,618
5/18/2004 9,348 9,680
5/19/2004 9,304 9,657
5/20/2004 9,308 9,657
5/21/2004 9,360 9,685
5/22/2004 9,360 9,685
5/23/2004 9,360 9,685
5/24/2004 9,340 9,677
5/25/2004 9,640 9,832
5/26/2004 9,624 9,824
5/27/2004 9,804 9,917
5/28/2004 9,764 9,900
5/29/2004 9,764 9,900
5/30/2004 9,764 9,900
5/31/2004 9,764 9,900
6/1/2004 9,788 9,914
6/2/2004 9,908 9,976
6/3/2004 9,780 9,911
6/4/2004 9,864 9,956
6/5/2004 9,864 9,956
6/6/2004 9,864 9,956
6/7/2004 10,148 10,100
6/8/2004 10,228 10,141
6/9/2004 10,104 10,079
6/10/2004 10,184 10,120
6/11/2004 10,184 10,120
6/12/2004 10,184 10,120
6/13/2004 10,184 10,120
6/14/2004 10,048 10,053
6/15/2004 10,144 10,098
6/16/2004 10,140 10,097
6/17/2004 10,132 10,095
6/18/2004 10,204 10,133
6/19/2004 10,204 10,133
6/20/2004 10,204 10,133
6/21/2004 10,124 10,089
6/22/2004 10,172 10,112
6/23/2004 10,332 10,194
6/24/2004 10,264 10,161
6/25/2004 10,120 10,091
6/26/2004 10,120 10,091
6/27/2004 10,120 10,091
6/28/2004 10,088 10,076
6/29/2004 10,196 10,131
6/30/2004 10,244 10,153
7/1/2004 10,040 10,057
7/2/2004 9,936 10,007
7/3/2004 9,936 10,007
7/4/2004 9,936 10,007
7/5/2004 9,936 10,007
7/6/2004 9,820 9,945
7/7/2004 9,868 9,971
7/8/2004 9,728 9,904
7/9/2004 9,804 9,944
7/10/2004 9,804 9,944
7/11/2004 9,804 9,944
7/12/2004 9,848 9,969
7/13/2004 9,864 9,978
7/14/2004 9,784 9,940
7/15/2004 9,704 9,896
7/16/2004 9,664 9,876
7/17/2004 9,664 9,876
7/18/2004 9,664 9,876
7/19/2004 9,572 9,831
7/20/2004 9,676 9,885
7/21/2004 9,476 9,786
7/22/2004 9,484 9,791
7/23/2004 9,316 9,705
7/24/2004 9,316 9,705
7/25/2004 9,316 9,705
7/26/2004 9,316 9,704
7/27/2004 9,544 9,824
7/28/2004 9,604 9,856
7/29/2004 9,636 9,870
7/30/2004 9,648 9,881
7/31/2004 9,648 9,881
8/1/2004 9,648 9,881
8/2/2004 9,720 9,919
8/3/2004 9,608 9,862
8/4/2004 9,624 9,869
8/5/2004 9,308 9,710
8/6/2004 9,036 9,567
8/7/2004 9,036 9,567
8/8/2004 9,036 9,567
8/9/2004 9,036 9,566
8/10/2004 9,272 9,693
8/11/2004 9,280 9,698
8/12/2004 9,044 9,577
8/13/2004 9,064 9,589
8/14/2004 9,064 9,589
8/15/2004 9,064 9,589
8/16/2004 9,300 9,716
8/17/2004 9,336 9,733
8/18/2004 9,548 9,849
8/19/2004 9,464 9,807
8/20/2004 9,600 9,875
8/21/2004 9,600 9,875
8/22/2004 9,600 9,875
8/23/2004 9,532 9,839
8/24/2004 9,576 9,864
8/25/2004 9,736 9,945
8/26/2004 9,716 9,937
8/27/2004 9,764 9,958
8/28/2004 9,764 9,958
8/29/2004 9,764 9,958
8/30/2004 9,624 9,888
8/31/2004 9,712 9,938
9/1/2004 9,708 9,936
9/2/2004 9,948 10,055
9/3/2004 9,888 10,026
9/4/2004 9,888 10,026
9/5/2004 9,888 10,026
9/6/2004 9,888 10,026
9/7/2004 10,036 10,107
9/8/2004 9,976 10,078
9/9/2004 9,928 10,054
9/10/2004 9,960 10,078
9/11/2004 9,960 10,078
9/12/2004 9,960 10,078
9/13/2004 9,972 10,087
9/14/2004 9,988 10,090
9/15/2004 9,808 10,005
9/16/2004 9,832 10,018
9/17/2004 9,912 10,057
9/18/2004 9,912 10,057
9/19/2004 9,912 10,057
9/20/2004 9,748 9,979
9/21/2004 9,820 10,019
9/22/2004 9,548 9,886
9/23/2004 9,420 9,819
9/24/2004 9,432 9,827
9/25/2004 9,432 9,827
9/26/2004 9,432 9,827
9/27/2004 9,320 9,769
9/28/2004 9,488 9,856
9/29/2004 9,596 9,914
9/30/2004 9,488 9,859
10/1/2004 9,700 9,969
10/2/2004 9,700 9,969
10/3/2004 9,700 9,969
10/4/2004 9,744 9,995
10/5/2004 9,676 9,957
10/6/2004 9,796 10,024
10/7/2004 9,576 9,912
10/8/2004 9,444 9,843
10/9/2004 9,444 9,843
10/10/2004 9,444 9,843
10/11/2004 9,496 9,869
10/12/2004 9,480 9,864
10/13/2004 9,332 9,791
10/14/2004 9,144 9,685
10/15/2004 9,204 9,724
10/16/2004 9,204 9,724
10/17/2004 9,204 9,724
10/18/2004 9,248 9,746
10/19/2004 9,136 9,689
10/20/2004 9,116 9,680
10/21/2004 9,080 9,662
10/22/2004 8,884 9,556
10/23/2004 8,884 9,556
10/24/2004 8,884 9,556
10/25/2004 8,868 9,549
10/26/2004 9,112 9,684
10/27/2004 9,324 9,796
10/28/2004 9,332 9,801
10/29/2004 9,368 9,823
10/30/2004 9,368 9,823
10/31/2004 9,368 9,823
11/1/2004 9,416 9,850
11/2/2004 9,380 9,831
11/3/2004 9,572 9,932
11/4/2004 9,904 10,110
11/5/2004 10,048 10,181
11/6/2004 10,048 10,181
11/7/2004 10,048 10,181
11/8/2004 10,060 10,186
11/9/2004 10,064 10,186
11/10/2004 10,076 10,192
11/11/2004 10,240 10,274
11/12/2004 10,364 10,344
11/13/2004 10,364 10,344
11/14/2004 10,364 10,344
11/15/2004 10,384 10,356
11/16/2004 10,264 10,295
11/17/2004 10,424 10,362
11/18/2004 10,468 10,384
11/19/2004 10,236 10,271
11/20/2004 10,236 10,271
11/21/2004 10,236 10,271
11/22/2004 10,296 10,303
11/23/2004 10,304 10,306
11/24/2004 10,352 10,333
11/25/2004 10,352 10,333
11/26/2004 10,356 10,335
11/27/2004 10,356 10,335
11/28/2004 10,356 10,335
11/29/2004 10,264 10,291
11/30/2004 10,172 10,245
12/1/2004 10,488 10,408
12/2/2004 10,476 10,403
12/3/2004 10,488 10,410
12/4/2004 10,488 10,410
12/5/2004 10,488 10,410
12/6/2004 10,396 10,365
12/7/2004 10,188 10,261
12/8/2004 10,292 10,315
12/9/2004 10,408 10,373
12/10/2004 10,388 10,363
12/11/2004 10,388 10,363
12/12/2004 10,388 10,363
12/13/2004 10,572 10,457
12/14/2004 10,652 10,495
12/15/2004 10,680 10,510
12/16/2004 10,704 10,524
12/17/2004 10,600 10,470
12/18/2004 10,600 10,470
12/19/2004 10,600 10,470
12/20/2004 10,612 10,481
12/21/2004 10,804 10,577
12/22/2004 10,940 10,640
12/23/2004 10,968 10,651
12/24/2004 10,968 10,651
12/25/2004 10,968 10,651
12/26/2004 10,968 10,651
12/27/2004 10,860 10,601
12/28/2004 11,012 10,678
12/29/2004 10,960 10,653
12/30/2004 10,907 10,624
12/31/2004 10,865 10,607
1/1/2005 10,865 10,607
1/2/2005 10,865 10,607
1/3/2005 10,747 10,555
1/4/2005 10,554 10,460
1/5/2005 10,491 10,429
1/6/2005 10,546 10,458
1/7/2005 10,504 10,440
1/8/2005 10,504 10,440
1/9/2005 10,504 10,440
1/10/2005 10,538 10,456
1/11/2005 10,407 10,393
1/12/2005 10,529 10,453
1/13/2005 10,303 10,343
1/14/2005 10,399 10,394
1/15/2005 10,399 10,394
1/16/2005 10,399 10,394
1/17/2005 10,399 10,394
1/18/2005 10,542 10,467
1/19/2005 10,366 10,381
1/20/2005 10,231 10,314
1/21/2005 10,072 10,237
1/22/2005 10,072 10,237
1/23/2005 10,072 10,237
1/24/2005 10,026 10,213
1/25/2005 10,202 10,304
1/26/2005 10,273 10,341
1/27/2005 10,210 10,310
1/28/2005 10,126 10,270
1/29/2005 10,126 10,270
1/30/2005 10,126 10,270
1/31/2005 10,248 10,332
2/1/2005 10,370 10,393
2/2/2005 10,458 10,439
2/3/2005 10,458 10,439
2/4/2005 10,693 10,560
2/5/2005 10,693 10,560
2/6/2005 10,693 10,560
2/7/2005 10,693 10,560
2/8/2005 10,714 10,572
2/9/2005 10,605 10,519
2/10/2005 10,777 10,603
2/11/2005 10,877 10,653
2/12/2005 10,877 10,653
2/13/2005 10,877 10,653
2/14/2005 10,865 10,649
2/15/2005 10,953 10,695
2/16/2005 10,949 10,697
2/17/2005 10,789 10,618
2/18/2005 10,844 10,648
2/19/2005 10,844 10,648
2/20/2005 10,844 10,648
2/21/2005 10,844 10,648
2/22/2005 10,491 10,476
2/23/2005 10,617 10,541
2/24/2005 10,764 10,617
2/25/2005 10,949 10,709
2/26/2005 10,949 10,709
2/27/2005 10,949 10,709
2/28/2005 10,794 10,634
3/1/2005 10,924 10,697
3/2/2005 10,890 10,683
3/3/2005 10,928 10,704
3/4/2005 11,146 10,810
3/5/2005 11,146 10,810
3/6/2005 11,146 10,810
3/7/2005 11,133 10,806
3/8/2005 11,083 10,783
3/9/2005 10,865 10,677
3/10/2005 10,953 10,723
3/11/2005 10,810 10,654
3/12/2005 10,810 10,654
3/13/2005 10,810 10,654
3/14/2005 10,865 10,684
3/15/2005 10,752 10,625
3/16/2005 10,521 10,516
3/17/2005 10,508 10,509
3/18/2005 10,504 10,512
3/19/2005 10,504 10,512
3/20/2005 10,504 10,512
3/21/2005 10,374 10,449
3/22/2005 10,185 10,355
3/23/2005 10,151 10,341
3/24/2005 10,126 10,328
3/25/2005 10,126 10,328
3/26/2005 10,126 10,328
3/27/2005 10,126 10,328
3/28/2005 10,210 10,370
3/29/2005 10,047 10,291
3/30/2005 10,311 10,426
3/31/2005 10,227 10,389
4/1/2005 10,030 10,290
4/2/2005 10,030 10,290
4/3/2005 10,030 10,290
4/4/2005 10,063 10,310
4/5/2005 10,143 10,346
4/6/2005 10,202 10,379
4/7/2005 10,319 10,439
4/8/2005 10,147 10,355
4/9/2005 10,147 10,355
4/10/2005 10,147 10,355
4/11/2005 10,126 10,342
4/12/2005 10,235 10,401
4/13/2005 10,026 10,298
4/14/2005 9,786 10,174
4/15/2005 9,417 9,985
4/16/2005 9,417 9,985
4/17/2005 9,417 9,985
4/18/2005 9,384 9,969
4/19/2005 9,488 10,024
4/20/2005 9,270 9,912
4/21/2005 9,660 10,120
4/22/2005 9,543 10,059
4/23/2005 9,543 10,059
4/24/2005 9,543 10,059
4/25/2005 9,702 10,143
4/26/2005 9,526 10,053
4/27/2005 9,610 10,100
4/28/2005 9,371 9,976
4/29/2005 9,589 10,097
4/30/2005 9,589 10,097
5/1/2005 9,589 10,097
5/2/2005 9,711 10,156
5/3/2005 9,715 10,161
5/4/2005 9,954 10,289
5/5/2005 9,875 10,245
5/6/2005 9,883 10,252
5/7/2005 9,883 10,252
5/8/2005 9,883 10,252
5/9/2005 9,950 10,290
5/10/2005 9,749 10,188
5/11/2005 9,799 10,215
5/12/2005 9,593 10,105
5/13/2005 9,501 10,058
5/14/2005 9,501 10,058
5/15/2005 9,501 10,058
5/16/2005 9,711 10,170
5/17/2005 9,866 10,253
5/18/2005 10,114 10,394
5/19/2005 10,168 10,422
5/20/2005 10,126 10,401
5/21/2005 10,126 10,401
5/22/2005 10,126 10,401
5/23/2005 10,227 10,452
5/24/2005 10,185 10,433
5/25/2005 10,093 10,387
5/26/2005 10,244 10,466
5/27/2005 10,252 10,471
5/28/2005 10,252 10,471
5/29/2005 10,252 10,471
5/30/2005 10,252 10,471
5/31/2005 10,105 10,397
6/1/2005 10,256 10,482
6/2/2005 10,269 10,486
6/3/2005 10,089 10,394
6/4/2005 10,089 10,394
6/5/2005 10,089 10,394
6/6/2005 10,093 10,400
6/7/2005 10,126 10,417
6/8/2005 10,110 10,410
6/9/2005 10,160 10,436
6/10/2005 10,172 10,446
6/11/2005 10,172 10,446
6/12/2005 10,172 10,446
6/13/2005 10,206 10,464
6/14/2005 10,256 10,489
6/15/2005 10,286 10,508
6/16/2005 10,307 10,520
6/17/2005 10,395 10,564
6/18/2005 10,395 10,564
6/19/2005 10,395 10,564
6/20/2005 10,366 10,550
6/21/2005 10,345 10,541
6/22/2005 10,324 10,529
6/23/2005 9,992 10,365
6/24/2005 9,757 10,242
6/25/2005 9,757 10,242
6/26/2005 9,757 10,242
6/27/2005 9,740 10,235
6/28/2005 9,958 10,349
6/29/2005 9,900 10,319
6/30/2005 9,707 10,220
7/1/2005 9,761 10,251
7/2/2005 9,761 10,251
7/3/2005 9,761 10,251
7/4/2005 9,761 10,251
7/5/2005 9,887 10,319
7/6/2005 9,707 10,224
7/7/2005 9,761 10,256
7/8/2005 10,038 10,402
7/9/2005 10,038 10,402
7/10/2005 10,038 10,402
7/11/2005 10,172 10,472
7/12/2005 10,160 10,466
7/13/2005 10,240 10,510
7/14/2005 10,386 10,581
7/15/2005 10,399 10,593
7/16/2005 10,399 10,593
7/17/2005 10,399 10,593
7/18/2005 10,273 10,527
7/19/2005 10,407 10,598
7/20/2005 10,491 10,645
7/21/2005 10,370 10,584
7/22/2005 10,416 10,607
7/23/2005 10,416 10,607
7/24/2005 10,416 10,607
7/25/2005 10,307 10,553
7/26/2005 10,277 10,536
7/27/2005 10,386 10,593
7/28/2005 10,521 10,665
7/29/2005 10,395 10,600
7/30/2005 10,395 10,600
7/31/2005 10,395 10,600
8/1/2005 10,353 10,583
8/2/2005 10,470 10,643
8/3/2005 10,500 10,659
8/4/2005 10,328 10,572
8/5/2005 10,223 10,520
8/6/2005 10,223 10,520
8/7/2005 10,223 10,520
8/8/2005 10,181 10,500
8/9/2005 10,332 10,579
8/10/2005 10,311 10,567
8/11/2005 10,487 10,662
8/12/2005 10,319 10,576
8/13/2005 10,319 10,576
8/14/2005 10,319 10,576
8/15/2005 10,386 10,611
8/16/2005 10,147 10,490
8/17/2005 10,231 10,535
8/18/2005 10,235 10,539
8/19/2005 10,248 10,546
8/20/2005 10,248 10,546
8/21/2005 10,248 10,546
8/22/2005 10,269 10,557
8/23/2005 10,168 10,507
8/24/2005 10,000 10,422
8/25/2005 10,030 10,438
8/26/2005 9,925 10,385
8/27/2005 9,925 10,385
8/28/2005 9,925 10,385
8/29/2005 10,051 10,450
8/30/2005 9,954 10,401
8/31/2005 10,089 10,474
9/1/2005 10,047 10,452
9/2/2005 10,017 10,440
9/3/2005 10,017 10,440
9/4/2005 10,017 10,440
9/5/2005 10,017 10,440
9/6/2005 10,294 10,581
9/7/2005 10,374 10,626
9/8/2005 10,296 10,588
9/9/2005 10,449 10,671
9/10/2005 10,449 10,671
9/11/2005 10,449 10,671
9/12/2005 10,463 10,676
9/13/2005 10,310 10,599
9/14/2005 10,202 10,546
9/15/2005 10,229 10,560
9/16/2005 10,382 10,643
9/17/2005 10,382 10,643
9/18/2005 10,382 10,643
9/19/2005 10,220 10,559
9/20/2005 10,067 10,483
9/21/2005 9,865 10,379
9/22/2005 9,950 10,425
9/23/2005 9,941 10,423
9/24/2005 9,941 10,423
9/25/2005 9,941 10,423
9/26/2005 9,986 10,447
9/27/2005 10,009 10,459
9/28/2005 10,040 10,476
9/29/2005 10,188 10,556
9/30/2005 10,215 10,572
10/1/2005 10,215 10,572
10/2/2005 10,215 10,572
10/3/2005 10,148 10,539
10/4/2005 9,968 10,447
10/5/2005 9,744 10,330
10/6/2005 9,685 10,299
10/7/2005 9,694 10,305
10/8/2005 9,694 10,305
10/9/2005 9,694 10,305
10/10/2005 9,587 10,251
10/11/2005 9,613 10,266
10/12/2005 9,542 10,229
10/13/2005 9,537 10,229
10/14/2005 9,672 10,300
10/15/2005 9,672 10,300
10/16/2005 9,672 10,300
10/17/2005 9,780 10,361
10/18/2005 9,663 10,298
10/19/2005 9,905 10,429
10/20/2005 9,649 10,298
10/21/2005 9,528 10,232
10/22/2005 9,528 10,232
10/23/2005 9,528 10,232
10/24/2005 9,843 10,402
10/25/2005 9,829 10,395
10/26/2005 9,762 10,362
10/27/2005 9,546 10,246
10/28/2005 9,861 10,420
10/29/2005 9,861 10,420
10/30/2005 9,861 10,420
10/31/2005 9,932 10,457
11/1/2005 9,870 10,424
11/2/2005 9,991 10,491
11/3/2005 10,094 10,545
11/4/2005 10,103 10,553
11/5/2005 10,103 10,553
11/6/2005 10,103 10,553
11/7/2005 10,206 10,609
11/8/2005 10,144 10,574
11/9/2005 10,153 10,580
11/10/2005 10,350 10,683
11/11/2005 10,427 10,729
11/12/2005 10,427 10,729
11/13/2005 10,427 10,729
11/14/2005 10,454 10,740
11/15/2005 10,427 10,730
11/16/2005 10,413 10,722
11/17/2005 10,494 10,767
11/18/2005 10,588 10,816
11/19/2005 10,588 10,816
11/20/2005 10,588 10,816
11/21/2005 10,692 10,870
11/22/2005 10,790 10,925
11/23/2005 10,880 10,970
11/24/2005 10,880 10,970
11/25/2005 10,912 10,986
11/26/2005 10,912 10,986
11/27/2005 10,912 10,986
11/28/2005 10,826 10,945
11/29/2005 10,831 10,945
11/30/2005 10,674 10,867
12/1/2005 10,880 10,974
12/2/2005 10,808 10,939
12/3/2005 10,808 10,939
12/4/2005 10,808 10,939
12/5/2005 10,723 10,896
12/6/2005 10,764 10,918
12/7/2005 10,669 10,872
12/8/2005 10,561 10,818
12/9/2005 10,602 10,841
12/10/2005 10,602 10,841
12/11/2005 10,602 10,841
12/12/2005 10,584 10,831
12/13/2005 10,687 10,887
12/14/2005 10,804 10,949
12/15/2005 10,799 10,947
12/16/2005 10,786 10,941
12/17/2005 10,786 10,941
12/18/2005 10,786 10,941
12/19/2005 10,705 10,901
12/20/2005 10,642 10,870
12/21/2005 10,696 10,899
12/22/2005 10,804 10,957
12/23/2005 10,800 10,957
12/24/2005 10,800 10,957
12/25/2005 10,800 10,957
12/26/2005 10,800 10,957
12/27/2005 10,587 10,851
12/28/2005 10,614 10,869
12/29/2005 10,596 10,858
12/30/2005 10,451 10,790
12/31/2005 10,451 10,790
1/1/2006 10,451 10,790
1/2/2006 10,451 10,790
1/3/2006 10,709 10,921
1/4/2006 10,777 10,958
1/5/2006 10,781 10,960
1/6/2006 10,935 11,043
1/7/2006 10,935 11,043
1/8/2006 10,935 11,043
1/9/2006 11,039 11,096
1/10/2006 11,039 11,096
1/11/2006 11,098 11,128
1/12/2006 10,935 11,046
1/13/2006 10,926 11,044
1/14/2006 10,926 11,044
1/15/2006 10,926 11,044
1/16/2006 10,926 11,044
1/17/2006 10,795 10,980
1/18/2006 10,723 10,942
1/19/2006 10,768 10,968
1/20/2006 10,343 10,753
1/21/2006 10,343 10,753
1/22/2006 10,343 10,753
1/23/2006 10,379 10,775
1/24/2006 10,424 10,798
1/25/2006 10,420 10,796
1/26/2006 10,610 10,896
1/27/2006 10,795 10,995
1/28/2006 10,795 10,995
1/29/2006 10,795 10,995
1/30/2006 10,786 10,988
1/31/2006 10,714 10,952
2/1/2006 10,881 11,043
2/2/2006 10,686 10,944
2/3/2006 10,569 10,886
2/4/2006 10,569 10,886
2/5/2006 10,569 10,886
2/6/2006 10,578 10,891
2/7/2006 10,487 10,842
2/8/2006 10,696 10,961
2/9/2006 10,750 10,986
2/10/2006 10,822 11,022
2/11/2006 10,822 11,022
2/12/2006 10,822 11,022
2/13/2006 10,772 10,998
2/14/2006 11,039 11,137
2/15/2006 11,098 11,170
2/16/2006 11,216 11,233
2/17/2006 11,207 11,227
2/18/2006 11,207 11,227
2/19/2006 11,207 11,227
2/20/2006 11,207 11,227
2/21/2006 11,116 11,181
2/22/2006 11,252 11,253
2/23/2006 11,125 11,188
2/24/2006 11,112 11,184
2/25/2006 11,112 11,184
2/26/2006 11,112 11,184
2/27/2006 11,175 11,220
2/28/2006 10,962 11,114
3/1/2006 11,080 11,176
3/2/2006 11,030 11,148
3/3/2006 11,012 11,144
3/4/2006 11,012 11,144
3/5/2006 11,012 11,144
3/6/2006 10,890 11,080
3/7/2006 10,926 11,104
3/8/2006 10,985 11,132
3/9/2006 10,917 11,099
3/10/2006 11,116 11,204
3/11/2006 11,116 11,204
3/12/2006 11,116 11,204
3/13/2006 11,134 11,213
3/14/2006 11,284 11,289
3/15/2006 11,406 11,350
3/16/2006 11,492 11,394
3/17/2006 11,537 11,421
3/18/2006 11,537 11,421
3/19/2006 11,537 11,421
3/20/2006 11,528 11,415
3/21/2006 11,442 11,376
3/22/2006 11,600 11,459
3/23/2006 11,510 11,411
3/24/2006 11,514 11,421
3/25/2006 11,514 11,421
3/26/2006 11,514 11,421
3/27/2006 11,460 11,391
3/28/2006 11,261 11,294
3/29/2006 11,379 11,356
3/30/2006 11,247 11,290
3/31/2006 11,157 11,248
4/1/2006 11,157 11,248
4/2/2006 11,157 11,248
4/3/2006 11,225 11,284
4/4/2006 11,347 11,347
4/5/2006 11,419 11,384
4/6/2006 11,383 11,366
4/7/2006 11,180 11,269
4/8/2006 11,180 11,269
4/9/2006 11,180 11,269
4/10/2006 11,216 11,290
4/11/2006 11,112 11,238
4/12/2006 11,189 11,279
4/13/2006 11,198 11,286
4/14/2006 11,198 11,286
4/15/2006 11,198 11,286
4/16/2006 11,198 11,286
4/17/2006 11,071 11,222
4/18/2006 11,451 11,419
4/19/2006 11,478 11,432
4/20/2006 11,605 11,499
4/21/2006 11,609 11,504
4/22/2006 11,609 11,504
4/23/2006 11,609 11,504
4/24/2006 11,587 11,492
4/25/2006 11,478 11,439
4/26/2006 11,614 11,511
4/27/2006 11,677 11,543
4/28/2006 11,650 11,528
4/29/2006 11,650 11,528
4/30/2006 11,650 11,528
5/1/2006 11,596 11,503
5/2/2006 11,741 11,578
5/3/2006 11,713 11,563
5/4/2006 11,786 11,602
5/5/2006 12,071 11,743
5/6/2006 12,071 11,743
5/7/2006 12,071 11,743
5/8/2006 12,089 11,753
5/9/2006 12,198 11,809
5/10/2006 12,216 11,821
5/11/2006 11,926 11,679
5/12/2006 11,668 11,558
5/13/2006 11,668 11,558
5/14/2006 11,668 11,558
5/15/2006 11,763 11,607
5/16/2006 11,750 11,598
5/17/2006 11,315 11,389
5/18/2006 11,157 11,311
5/19/2006 11,180 11,327
5/20/2006 11,180 11,327
5/21/2006 11,180 11,327
5/22/2006 11,139 11,308
5/23/2006 11,085 11,280
5/24/2006 11,116 11,300
5/25/2006 11,311 11,398
5/26/2006 11,438 11,467
5/27/2006 11,438 11,467
5/28/2006 11,438 11,467
5/29/2006 11,438 11,467
5/30/2006 11,067 11,279
5/31/2006 11,207 11,359
6/1/2006 11,388 11,452
6/2/2006 11,365 11,440
6/3/2006 11,365 11,440
6/4/2006 11,365 11,440
6/5/2006 10,967 11,237
6/6/2006 10,872 11,191
6/7/2006 10,723 11,119
6/8/2006 10,736 11,127
6/9/2006 10,641 11,079
6/10/2006 10,641 11,079
6/11/2006 10,641 11,079
6/12/2006 10,447 10,979
6/13/2006 10,297 10,900
6/14/2006 10,505 11,012
6/15/2006 10,886 11,214
6/16/2006 10,881 11,214
6/17/2006 10,881 11,214
6/18/2006 10,881 11,214
6/19/2006 10,736 11,140
6/20/2006 10,795 11,173
6/21/2006 10,999 11,280
6/22/2006 10,876 11,220
6/23/2006 10,818 11,190
6/24/2006 10,818 11,190
6/25/2006 10,818 11,190
6/26/2006 10,917 11,247
6/27/2006 10,673 11,124
6/28/2006 10,768 11,174
6/29/2006 11,189 11,395
6/30/2006 11,116 11,354
7/1/2006 11,116 11,354
7/2/2006 11,116 11,354
7/3/2006 11,257 11,436
7/4/2006 11,257 11,436
7/5/2006 11,103 11,359
7/6/2006 11,252 11,440
7/7/2006 10,976 11,303
7/8/2006 10,976 11,303
7/9/2006 10,976 11,303
7/10/2006 10,999 11,316
7/11/2006 11,057 11,348
7/12/2006 10,813 11,224
7/13/2006 10,478 11,054
7/14/2006 10,270 10,945
7/15/2006 10,270 10,945
7/16/2006 10,270 10,945
7/17/2006 10,279 10,953
7/18/2006 10,383 11,009
7/19/2006 10,791 11,227
7/20/2006 10,632 11,142
7/21/2006 10,510 11,082
7/22/2006 10,510 11,082
7/23/2006 10,510 11,082
7/24/2006 10,858 11,268
7/25/2006 10,962 11,322
7/26/2006 10,953 11,320
7/27/2006 10,944 11,318
7/28/2006 11,175 11,440
7/29/2006 11,175 11,440
7/30/2006 11,175 11,440
7/31/2006 11,103 11,405
8/1/2006 10,985 11,344
8/2/2006 11,130 11,421
8/3/2006 11,225 11,469
8/4/2006 11,216 11,467
8/5/2006 11,216 11,467
8/6/2006 11,216 11,467
8/7/2006 11,171 11,446
8/8/2006 11,080 11,401
8/9/2006 10,899 11,308
8/10/2006 10,994 11,360
8/11/2006 10,917 11,326
8/12/2006 10,917 11,326
8/13/2006 10,917 11,326
8/14/2006 10,935 11,336
8/15/2006 11,198 11,472
8/16/2006 11,397 11,576
8/17/2006 11,410 11,584
8/18/2006 11,496 11,632
8/19/2006 11,496 11,632
8/20/2006 11,496 11,632
8/21/2006 11,424 11,595
8/22/2006 11,410 11,589
8/23/2006 11,329 11,550
8/24/2006 11,342 11,557
8/25/2006 11,302 11,539
8/26/2006 11,302 11,539
8/27/2006 11,302 11,539
8/28/2006 11,433 11,609
8/29/2006 11,469 11,627
8/30/2006 11,501 11,645
8/31/2006 11,492 11,643
9/1/2006 11,655 11,728
9/2/2006 11,655 11,728
9/3/2006 11,655 11,728
9/4/2006 11,655 11,728
9/5/2006 11,664 11,734
9/6/2006 11,533 11,670
9/7/2006 11,383 11,593
9/8/2006 11,496 11,655
9/9/2006 11,496 11,655
9/10/2006 11,496 11,655
9/11/2006 11,505 11,661
9/12/2006 11,709 11,764
9/13/2006 11,818 11,820
9/14/2006 11,781 11,804
9/15/2006 11,845 11,838
9/16/2006 11,845 11,838
9/17/2006 11,845 11,838
9/18/2006 11,831 11,832
9/19/2006 11,799 11,818
9/20/2006 11,944 11,892
9/21/2006 11,781 11,812
9/22/2006 11,723 11,786
9/23/2006 11,723 11,786
9/24/2006 11,723 11,786
9/25/2006 11,858 11,856
9/26/2006 12,048 11,952
9/27/2006 12,089 11,972
9/28/2006 12,139 12,002
9/29/2006 12,057 11,961
9/30/2006 12,057 11,961
10/1/2006 12,057 11,961
10/2/2006 12,039 11,953
10/3/2006 12,152 12,011
10/4/2006 12,410 12,141
10/5/2006 12,460 12,164
10/6/2006 12,419 12,147
10/7/2006 12,419 12,147
10/8/2006 12,419 12,147
10/9/2006 12,433 12,155
10/10/2006 12,446 12,164
10/11/2006 12,415 12,149
10/12/2006 12,609 12,247
10/13/2006 12,632 12,260
10/14/2006 12,632 12,260
10/15/2006 12,632 12,260
10/16/2006 12,673 12,280
10/17/2006 12,605 12,249
10/18/2006 12,695 12,295
10/19/2006 12,741 12,317
10/20/2006 12,713 12,308
10/21/2006 12,713 12,308
10/22/2006 12,713 12,308
10/23/2006 12,953 12,425
10/24/2006 12,976 12,437
10/25/2006 12,980 12,444
10/26/2006 13,044 12,473
10/27/2006 12,885 12,398
10/28/2006 12,885 12,398
10/29/2006 12,885 12,398
10/30/2006 12,872 12,394
10/31/2006 12,854 12,388
11/1/2006 12,750 12,338
11/2/2006 12,722 12,330
11/3/2006 12,659 12,297
11/4/2006 12,659 12,297
11/5/2006 12,659 12,297
11/6/2006 12,903 12,420
11/7/2006 13,007 12,472
11/8/2006 13,062 12,499
11/9/2006 12,912 12,427
11/10/2006 12,912 12,432
11/11/2006 12,912 12,432
11/12/2006 12,912 12,432
11/13/2006 12,985 12,468
11/14/2006 13,170 12,557
11/15/2006 13,247 12,596
11/16/2006 13,365 12,653
11/17/2006 13,433 12,691
11/18/2006 13,433 12,691
11/19/2006 13,433 12,691
11/20/2006 13,378 12,664
11/21/2006 13,392 12,673
11/22/2006 13,401 12,679
11/23/2006 13,401 12,679
11/24/2006 13,302 12,634
11/25/2006 13,302 12,634
11/26/2006 13,302 12,634
11/27/2006 12,953 12,471
11/28/2006 12,985 12,488
11/29/2006 13,184 12,585
11/30/2006 13,170 12,580
12/1/2006 13,102 12,551
12/2/2006 13,102 12,551
12/3/2006 13,102 12,551
12/4/2006 13,297 12,643
12/5/2006 13,397 12,693
12/6/2006 13,351 12,673
12/7/2006 13,283 12,641
12/8/2006 13,333 12,671
12/9/2006 13,333 12,671
12/10/2006 13,333 12,671
12/11/2006 13,383 12,693
12/12/2006 13,349 12,680
12/13/2006 13,359 12,686
12/14/2006 13,572 12,788
12/15/2006 13,633 12,818
12/16/2006 13,633 12,818
12/17/2006 13,633 12,818
12/18/2006 13,618 12,813
12/19/2006 13,679 12,844
12/20/2006 13,658 12,837
12/21/2006 13,567 12,795
12/22/2006 13,405 12,722
12/23/2006 13,405 12,722
12/24/2006 13,405 12,722
12/25/2006 13,405 12,722
12/26/2006 13,537 12,788
12/27/2006 13,765 12,894
12/28/2006 13,735 12,885
12/29/2006 13,643 12,845
12/30/2006 13,643 12,845
12/31/2006 13,643 12,845
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
DYNAMIC DOW FUND 30.54% 12.37%
DOW JONES INDUSTRIAL AVERAGE INDEX 19.05% 9.86%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES INDUSTRIAL AVERAGE
INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES
OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
DOW JONES INDUSTRIAL
DYNAMIC DOW FUND AVERAGE INDEX
OTHER 10.9% 9.6%
INDUSTRIALS 17.8% 24.0%
CONSUMER STAPLES 11.7% 15.7%
FINANCIALS 11.3% 15.2%
INFORMATION TECHNOLOGY 9.0% 12.1%
CONSUMER DISCRETIONARY 7.1% 9.6%
HEALTH CARE 6.5% 8.7%
MATERIALS 5.1%
FUTURES CONTRACTS 55.0%
EQUITY INDEX SWAP AGREEMENTS 71.9%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
International Business Machines Corp. 4.6%
Boeing Co. 4.2%
Altria Group, Inc. 4.1%
3M Co. 3.7%
Exxon Mobil Corp. 3.6%
American International Group, Inc. 3.4%
Johnson & Johnson, Inc. 3.1%
Procter & Gamble Co. 3.0%
United Technologies Corp. 3.0%
Caterpillar, Inc. 2.9%
- --------------------------------------------------------------------------------
Top Ten Total 35.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE DYNAMIC DOW 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 Dow Jones Industrial Average Index.
INCEPTION: May 3, 2004
Large-cap stocks staged a strong rally in the second half of 2006 and the Dow
Jones Industrial Average Index rose by 19.05%. The Dow broke through its record
high at the beginning of October and continued to rise, with the index finishing
the year just shy of 12,500. General Motors, AT&T and Hewlett-Packard were the
best performing stocks in the Dow. Intel was the only stock in the Dow with
negative returns during the year.
For the year, Rydex Inverse Dynamic Dow Fund produced returns of -21.77%. It
achieved a daily correlation of 99% to its benchmark of 200% of the inverse
performance of the Dow Jones Industrial Average Index.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
INVERSE DYNAMIC DOW JONES INDUSTRIAL
DATE DOW FUND AVERAGE INDEX
5/3/2004 10,000 10,000
5/4/2004 9,992 10,003
5/5/2004 9,996 9,997
5/6/2004 10,138 9,932
5/7/2004 10,378 9,812
5/8/2004 10,378 9,812
5/9/2004 10,378 9,812
5/10/2004 10,658 9,688
5/11/2004 10,586 9,719
5/12/2004 10,512 9,751
5/13/2004 10,592 9,717
5/14/2004 10,590 9,721
5/15/2004 10,590 9,721
5/16/2004 10,590 9,721
5/17/2004 10,812 9,618
5/18/2004 10,666 9,680
5/19/2004 10,718 9,657
5/20/2004 10,714 9,657
5/21/2004 10,650 9,685
5/22/2004 10,650 9,685
5/23/2004 10,650 9,685
5/24/2004 10,672 9,677
5/25/2004 10,336 9,832
5/26/2004 10,348 9,824
5/27/2004 10,160 9,917
5/28/2004 10,192 9,900
5/29/2004 10,192 9,900
5/30/2004 10,192 9,900
5/31/2004 10,192 9,900
6/1/2004 10,164 9,914
6/2/2004 10,038 9,976
6/3/2004 10,172 9,911
6/4/2004 10,076 9,956
6/5/2004 10,076 9,956
6/6/2004 10,076 9,956
6/7/2004 9,790 10,100
6/8/2004 9,710 10,141
6/9/2004 9,828 10,079
6/10/2004 9,748 10,120
6/11/2004 9,748 10,120
6/12/2004 9,748 10,120
6/13/2004 9,748 10,120
6/14/2004 9,876 10,053
6/15/2004 9,786 10,098
6/16/2004 9,790 10,097
6/17/2004 9,794 10,095
6/18/2004 9,726 10,133
6/19/2004 9,726 10,133
6/20/2004 9,726 10,133
6/21/2004 9,804 10,089
6/22/2004 9,758 10,112
6/23/2004 9,602 10,194
6/24/2004 9,664 10,161
6/25/2004 9,800 10,091
6/26/2004 9,800 10,091
6/27/2004 9,800 10,091
6/28/2004 9,828 10,076
6/29/2004 9,714 10,131
6/30/2004 9,672 10,153
7/1/2004 9,860 10,057
7/2/2004 9,962 10,007
7/3/2004 9,962 10,007
7/4/2004 9,962 10,007
7/5/2004 9,962 10,007
7/6/2004 10,080 9,945
7/7/2004 10,030 9,971
7/8/2004 10,168 9,904
7/9/2004 10,084 9,944
7/10/2004 10,084 9,944
7/11/2004 10,084 9,944
7/12/2004 10,036 9,969
7/13/2004 10,018 9,978
7/14/2004 10,102 9,940
7/15/2004 10,180 9,896
7/16/2004 10,224 9,876
7/17/2004 10,224 9,876
7/18/2004 10,224 9,876
7/19/2004 10,320 9,831
7/20/2004 10,206 9,885
7/21/2004 10,416 9,786
7/22/2004 10,410 9,791
7/23/2004 10,594 9,705
7/24/2004 10,594 9,705
7/25/2004 10,594 9,705
7/26/2004 10,584 9,704
7/27/2004 10,330 9,824
7/28/2004 10,264 9,856
7/29/2004 10,232 9,870
7/30/2004 10,220 9,881
7/31/2004 10,220 9,881
8/1/2004 10,220 9,881
8/2/2004 10,138 9,919
8/3/2004 10,266 9,862
8/4/2004 10,248 9,869
8/5/2004 10,580 9,710
8/6/2004 10,894 9,567
8/7/2004 10,894 9,567
8/8/2004 10,894 9,567
8/9/2004 10,890 9,566
8/10/2004 10,608 9,693
8/11/2004 10,596 9,698
8/12/2004 10,860 9,577
8/13/2004 10,828 9,589
8/14/2004 10,828 9,589
8/15/2004 10,828 9,589
8/16/2004 10,548 9,716
8/17/2004 10,508 9,733
8/18/2004 10,262 9,849
8/19/2004 10,350 9,807
8/20/2004 10,204 9,875
8/21/2004 10,204 9,875
8/22/2004 10,204 9,875
8/23/2004 10,276 9,839
8/24/2004 10,232 9,864
8/25/2004 10,060 9,945
8/26/2004 10,080 9,937
8/27/2004 10,032 9,958
8/28/2004 10,032 9,958
8/29/2004 10,032 9,958
8/30/2004 10,176 9,888
8/31/2004 10,076 9,938
9/1/2004 10,082 9,936
9/2/2004 9,838 10,055
9/3/2004 9,900 10,026
9/4/2004 9,900 10,026
9/5/2004 9,900 10,026
9/6/2004 9,900 10,026
9/7/2004 9,744 10,107
9/8/2004 9,798 10,078
9/9/2004 9,844 10,054
9/10/2004 9,788 10,078
9/11/2004 9,788 10,078
9/12/2004 9,788 10,078
9/13/2004 9,772 10,087
9/14/2004 9,760 10,090
9/15/2004 9,932 10,005
9/16/2004 9,908 10,018
9/17/2004 9,830 10,057
9/18/2004 9,830 10,057
9/19/2004 9,830 10,057
9/20/2004 9,986 9,979
9/21/2004 9,906 10,019
9/22/2004 10,174 9,886
9/23/2004 10,308 9,819
9/24/2004 10,294 9,827
9/25/2004 10,294 9,827
9/26/2004 10,294 9,827
9/27/2004 10,412 9,769
9/28/2004 10,230 9,856
9/29/2004 10,116 9,914
9/30/2004 10,228 9,859
10/1/2004 9,996 9,969
10/2/2004 9,996 9,969
10/3/2004 9,996 9,969
10/4/2004 9,948 9,995
10/5/2004 10,024 9,957
10/6/2004 9,892 10,024
10/7/2004 10,116 9,912
10/8/2004 10,260 9,843
10/9/2004 10,260 9,843
10/10/2004 10,260 9,843
10/11/2004 10,202 9,869
10/12/2004 10,216 9,864
10/13/2004 10,370 9,791
10/14/2004 10,592 9,685
10/15/2004 10,516 9,724
10/16/2004 10,516 9,724
10/17/2004 10,516 9,724
10/18/2004 10,466 9,746
10/19/2004 10,590 9,689
10/20/2004 10,612 9,680
10/21/2004 10,654 9,662
10/22/2004 10,886 9,556
10/23/2004 10,886 9,556
10/24/2004 10,886 9,556
10/25/2004 10,906 9,549
10/26/2004 10,602 9,684
10/27/2004 10,356 9,796
10/28/2004 10,346 9,801
10/29/2004 10,302 9,823
10/30/2004 10,302 9,823
10/31/2004 10,302 9,823
11/1/2004 10,248 9,850
11/2/2004 10,288 9,831
11/3/2004 10,074 9,932
11/4/2004 9,714 10,110
11/5/2004 9,578 10,181
11/6/2004 9,578 10,181
11/7/2004 9,578 10,181
11/8/2004 9,566 10,186
11/9/2004 9,566 10,186
11/10/2004 9,552 10,192
11/11/2004 9,398 10,274
11/12/2004 9,282 10,344
11/13/2004 9,282 10,344
11/14/2004 9,282 10,344
11/15/2004 9,262 10,356
11/16/2004 9,372 10,295
11/17/2004 9,246 10,362
11/18/2004 9,204 10,384
11/19/2004 9,406 10,271
11/20/2004 9,406 10,271
11/21/2004 9,406 10,271
11/22/2004 9,350 10,303
11/23/2004 9,344 10,306
11/24/2004 9,298 10,333
11/25/2004 9,298 10,333
11/26/2004 9,296 10,335
11/27/2004 9,296 10,335
11/28/2004 9,296 10,335
11/29/2004 9,378 10,291
11/30/2004 9,462 10,245
12/1/2004 9,172 10,408
12/2/2004 9,182 10,403
12/3/2004 9,174 10,410
12/4/2004 9,174 10,410
12/5/2004 9,174 10,410
12/6/2004 9,250 10,365
12/7/2004 9,432 10,261
12/8/2004 9,342 10,315
12/9/2004 9,236 10,373
12/10/2004 9,254 10,363
12/11/2004 9,254 10,363
12/12/2004 9,254 10,363
12/13/2004 9,088 10,457
12/14/2004 9,016 10,495
12/15/2004 8,998 10,510
12/16/2004 8,982 10,524
12/17/2004 9,060 10,470
12/18/2004 9,060 10,470
12/19/2004 9,060 10,470
12/20/2004 9,054 10,481
12/21/2004 8,896 10,577
12/22/2004 8,786 10,640
12/23/2004 8,760 10,651
12/24/2004 8,760 10,651
12/25/2004 8,760 10,651
12/26/2004 8,760 10,651
12/27/2004 8,848 10,601
12/28/2004 8,726 10,678
12/29/2004 8,772 10,653
12/30/2004 8,814 10,624
12/31/2004 8,853 10,607
1/1/2005 8,853 10,607
1/2/2005 8,853 10,607
1/3/2005 8,950 10,555
1/4/2005 9,109 10,460
1/5/2005 9,161 10,429
1/6/2005 9,116 10,458
1/7/2005 9,154 10,440
1/8/2005 9,154 10,440
1/9/2005 9,154 10,440
1/10/2005 9,126 10,456
1/11/2005 9,224 10,393
1/12/2005 9,128 10,453
1/13/2005 9,324 10,343
1/14/2005 9,232 10,394
1/15/2005 9,232 10,394
1/16/2005 9,232 10,394
1/17/2005 9,232 10,394
1/18/2005 9,105 10,467
1/19/2005 9,259 10,381
1/20/2005 9,380 10,314
1/21/2005 9,521 10,237
1/22/2005 9,521 10,237
1/23/2005 9,521 10,237
1/24/2005 9,560 10,213
1/25/2005 9,392 10,304
1/26/2005 9,333 10,341
1/27/2005 9,390 10,310
1/28/2005 9,470 10,270
1/29/2005 9,470 10,270
1/30/2005 9,470 10,270
1/31/2005 9,361 10,332
2/1/2005 9,245 10,393
2/2/2005 9,165 10,439
2/3/2005 9,169 10,439
2/4/2005 8,962 10,560
2/5/2005 8,962 10,560
2/6/2005 8,962 10,560
2/7/2005 8,960 10,560
2/8/2005 8,935 10,572
2/9/2005 9,036 10,519
2/10/2005 8,890 10,603
2/11/2005 8,804 10,653
2/12/2005 8,804 10,653
2/13/2005 8,804 10,653
2/14/2005 8,814 10,649
2/15/2005 8,745 10,695
2/16/2005 8,749 10,697
2/17/2005 8,872 10,618
2/18/2005 8,823 10,648
2/19/2005 8,823 10,648
2/20/2005 8,823 10,648
2/21/2005 8,823 10,648
2/22/2005 9,109 10,476
2/23/2005 8,995 10,541
2/24/2005 8,872 10,617
2/25/2005 8,724 10,709
2/26/2005 8,724 10,709
2/27/2005 8,724 10,709
2/28/2005 8,847 10,634
3/1/2005 8,739 10,697
3/2/2005 8,769 10,683
3/3/2005 8,743 10,704
3/4/2005 8,567 10,810
3/5/2005 8,567 10,810
3/6/2005 8,567 10,810
3/7/2005 8,575 10,806
3/8/2005 8,618 10,783
3/9/2005 8,784 10,677
3/10/2005 8,714 10,723
3/11/2005 8,825 10,654
3/12/2005 8,825 10,654
3/13/2005 8,825 10,654
3/14/2005 8,780 10,684
3/15/2005 8,872 10,625
3/16/2005 9,062 10,516
3/17/2005 9,075 10,509
3/18/2005 9,079 10,512
3/19/2005 9,079 10,512
3/20/2005 9,079 10,512
3/21/2005 9,187 10,449
3/22/2005 9,353 10,355
3/23/2005 9,384 10,341
3/24/2005 9,408 10,328
3/25/2005 9,408 10,328
3/26/2005 9,408 10,328
3/27/2005 9,408 10,328
3/28/2005 9,333 10,370
3/29/2005 9,480 10,291
3/30/2005 9,230 10,426
3/31/2005 9,300 10,389
4/1/2005 9,480 10,290
4/2/2005 9,480 10,290
4/3/2005 9,480 10,290
4/4/2005 9,449 10,310
4/5/2005 9,380 10,346
4/6/2005 9,324 10,379
4/7/2005 9,218 10,439
4/8/2005 9,372 10,355
4/9/2005 9,372 10,355
4/10/2005 9,372 10,355
4/11/2005 9,396 10,342
4/12/2005 9,292 10,401
4/13/2005 9,482 10,298
4/14/2005 9,708 10,174
4/15/2005 10,076 9,985
4/16/2005 10,076 9,985
4/17/2005 10,076 9,985
4/18/2005 10,113 9,969
4/19/2005 10,000 10,024
4/20/2005 10,230 9,912
4/21/2005 9,798 10,120
4/22/2005 9,918 10,059
4/23/2005 9,918 10,059
4/24/2005 9,918 10,059
4/25/2005 9,751 10,143
4/26/2005 9,929 10,053
4/27/2005 9,841 10,100
4/28/2005 10,086 9,976
4/29/2005 9,849 10,097
4/30/2005 9,849 10,097
5/1/2005 9,849 10,097
5/2/2005 9,726 10,156
5/3/2005 9,722 10,161
5/4/2005 9,484 10,289
5/5/2005 9,562 10,245
5/6/2005 9,556 10,252
5/7/2005 9,556 10,252
5/8/2005 9,556 10,252
5/9/2005 9,488 10,290
5/10/2005 9,683 10,188
5/11/2005 9,634 10,215
5/12/2005 9,839 10,105
5/13/2005 9,935 10,058
5/14/2005 9,935 10,058
5/15/2005 9,935 10,058
5/16/2005 9,714 10,170
5/17/2005 9,560 10,253
5/18/2005 9,302 10,394
5/19/2005 9,251 10,422
5/20/2005 9,292 10,401
5/21/2005 9,292 10,401
5/22/2005 9,292 10,401
5/23/2005 9,204 10,452
5/24/2005 9,240 10,433
5/25/2005 9,322 10,387
5/26/2005 9,181 10,466
5/27/2005 9,177 10,471
5/28/2005 9,177 10,471
5/29/2005 9,177 10,471
5/30/2005 9,177 10,471
5/31/2005 9,310 10,397
6/1/2005 9,167 10,482
6/2/2005 9,156 10,486
6/3/2005 9,320 10,394
6/4/2005 9,320 10,394
6/5/2005 9,320 10,394
6/6/2005 9,314 10,400
6/7/2005 9,286 10,417
6/8/2005 9,298 10,410
6/9/2005 9,253 10,436
6/10/2005 9,240 10,446
6/11/2005 9,240 10,446
6/12/2005 9,240 10,446
6/13/2005 9,212 10,464
6/14/2005 9,169 10,489
6/15/2005 9,140 10,508
6/16/2005 9,122 10,520
6/17/2005 9,048 10,564
6/18/2005 9,048 10,564
6/19/2005 9,048 10,564
6/20/2005 9,075 10,550
6/21/2005 9,093 10,541
6/22/2005 9,111 10,529
6/23/2005 9,402 10,365
6/24/2005 9,628 10,242
6/25/2005 9,628 10,242
6/26/2005 9,628 10,242
6/27/2005 9,644 10,235
6/28/2005 9,435 10,349
6/29/2005 9,492 10,319
6/30/2005 9,677 10,220
7/1/2005 9,621 10,251
7/2/2005 9,621 10,251
7/3/2005 9,621 10,251
7/4/2005 9,621 10,251
7/5/2005 9,499 10,319
7/6/2005 9,675 10,224
7/7/2005 9,619 10,256
7/8/2005 9,349 10,402
7/9/2005 9,349 10,402
7/10/2005 9,349 10,402
7/11/2005 9,226 10,472
7/12/2005 9,238 10,466
7/13/2005 9,167 10,510
7/14/2005 9,042 10,581
7/15/2005 9,027 10,593
7/16/2005 9,027 10,593
7/17/2005 9,027 10,593
7/18/2005 9,138 10,527
7/19/2005 9,017 10,598
7/20/2005 8,941 10,645
7/21/2005 9,046 10,584
7/22/2005 9,011 10,607
7/23/2005 9,011 10,607
7/24/2005 9,011 10,607
7/25/2005 9,105 10,553
7/26/2005 9,134 10,536
7/27/2005 9,038 10,593
7/28/2005 8,917 10,665
7/29/2005 9,032 10,600
7/30/2005 9,032 10,600
7/31/2005 9,032 10,600
8/1/2005 9,066 10,583
8/2/2005 8,964 10,643
8/3/2005 8,939 10,659
8/4/2005 9,089 10,572
8/5/2005 9,181 10,520
8/6/2005 9,181 10,520
8/7/2005 9,181 10,520
8/8/2005 9,220 10,500
8/9/2005 9,083 10,579
8/10/2005 9,105 10,567
8/11/2005 8,945 10,662
8/12/2005 9,093 10,576
8/13/2005 9,093 10,576
8/14/2005 9,093 10,576
8/15/2005 9,036 10,611
8/16/2005 9,245 10,490
8/17/2005 9,169 10,535
8/18/2005 9,165 10,539
8/19/2005 9,154 10,546
8/20/2005 9,154 10,546
8/21/2005 9,154 10,546
8/22/2005 9,138 10,557
8/23/2005 9,230 10,507
8/24/2005 9,380 10,422
8/25/2005 9,355 10,438
8/26/2005 9,456 10,385
8/27/2005 9,456 10,385
8/28/2005 9,456 10,385
8/29/2005 9,337 10,450
8/30/2005 9,429 10,401
8/31/2005 9,302 10,474
9/1/2005 9,341 10,452
9/2/2005 9,370 10,440
9/3/2005 9,370 10,440
9/4/2005 9,370 10,440
9/5/2005 9,370 10,440
9/6/2005 9,118 10,581
9/7/2005 9,046 10,626
9/8/2005 9,118 10,588
9/9/2005 8,982 10,671
9/10/2005 8,982 10,671
9/11/2005 8,982 10,671
9/12/2005 8,974 10,676
9/13/2005 9,105 10,599
9/14/2005 9,197 10,546
9/15/2005 9,177 10,560
9/16/2005 9,038 10,643
9/17/2005 9,038 10,643
9/18/2005 9,038 10,643
9/19/2005 9,181 10,559
9/20/2005 9,314 10,483
9/21/2005 9,503 10,379
9/22/2005 9,423 10,425
9/23/2005 9,433 10,423
9/24/2005 9,433 10,423
9/25/2005 9,433 10,423
9/26/2005 9,390 10,447
9/27/2005 9,374 10,459
9/28/2005 9,345 10,476
9/29/2005 9,204 10,556
9/30/2005 9,183 10,572
10/1/2005 9,183 10,572
10/2/2005 9,183 10,572
10/3/2005 9,243 10,539
10/4/2005 9,404 10,447
10/5/2005 9,621 10,330
10/6/2005 9,681 10,299
10/7/2005 9,675 10,305
10/8/2005 9,675 10,305
10/9/2005 9,675 10,305
10/10/2005 9,779 10,251
10/11/2005 9,755 10,266
10/12/2005 9,835 10,229
10/13/2005 9,832 10,229
10/14/2005 9,695 10,300
10/15/2005 9,695 10,300
10/16/2005 9,695 10,300
10/17/2005 9,591 10,361
10/18/2005 9,703 10,298
10/19/2005 9,470 10,429
10/20/2005 9,718 10,298
10/21/2005 9,839 10,232
10/22/2005 9,839 10,232
10/23/2005 9,839 10,232
10/24/2005 9,513 10,402
10/25/2005 9,529 10,395
10/26/2005 9,593 10,362
10/27/2005 9,812 10,246
10/28/2005 9,492 10,420
10/29/2005 9,492 10,420
10/30/2005 9,492 10,420
10/31/2005 9,427 10,457
11/1/2005 9,488 10,424
11/2/2005 9,370 10,491
11/3/2005 9,277 10,545
11/4/2005 9,271 10,553
11/5/2005 9,271 10,553
11/6/2005 9,271 10,553
11/7/2005 9,177 10,609
11/8/2005 9,238 10,574
11/9/2005 9,230 10,580
11/10/2005 9,054 10,683
11/11/2005 8,980 10,729
11/12/2005 8,980 10,729
11/13/2005 8,980 10,729
11/14/2005 8,964 10,740
11/15/2005 8,984 10,730
11/16/2005 8,999 10,722
11/17/2005 8,927 10,767
11/18/2005 8,851 10,816
11/19/2005 8,851 10,816
11/20/2005 8,851 10,816
11/21/2005 8,765 10,870
11/22/2005 8,679 10,925
11/23/2005 8,612 10,970
11/24/2005 8,612 10,970
11/25/2005 8,591 10,986
11/26/2005 8,591 10,986
11/27/2005 8,591 10,986
11/28/2005 8,657 10,945
11/29/2005 8,671 10,945
11/30/2005 8,798 10,867
12/1/2005 8,628 10,974
12/2/2005 8,689 10,939
12/3/2005 8,689 10,939
12/4/2005 8,689 10,939
12/5/2005 8,759 10,896
12/6/2005 8,728 10,918
12/7/2005 8,804 10,872
12/8/2005 8,894 10,818
12/9/2005 8,864 10,841
12/10/2005 8,864 10,841
12/11/2005 8,864 10,841
12/12/2005 8,882 10,831
12/13/2005 8,792 10,887
12/14/2005 8,694 10,949
12/15/2005 8,700 10,947
12/16/2005 8,714 10,941
12/17/2005 8,714 10,941
12/18/2005 8,714 10,941
12/19/2005 8,782 10,901
12/20/2005 8,835 10,870
12/21/2005 8,790 10,899
12/22/2005 8,702 10,957
12/23/2005 8,710 10,957
12/24/2005 8,710 10,957
12/25/2005 8,710 10,957
12/26/2005 8,710 10,957
12/27/2005 8,883 10,851
12/28/2005 8,856 10,869
12/29/2005 8,877 10,858
12/30/2005 8,997 10,790
12/31/2005 8,997 10,790
1/1/2006 8,997 10,790
1/2/2006 8,997 10,790
1/3/2006 8,779 10,921
1/4/2006 8,725 10,958
1/5/2006 8,725 10,960
1/6/2006 8,600 11,043
1/7/2006 8,600 11,043
1/8/2006 8,600 11,043
1/9/2006 8,520 11,096
1/10/2006 8,522 11,096
1/11/2006 8,477 11,128
1/12/2006 8,602 11,046
1/13/2006 8,614 11,044
1/14/2006 8,614 11,044
1/15/2006 8,614 11,044
1/16/2006 8,614 11,044
1/17/2006 8,718 10,980
1/18/2006 8,783 10,942
1/19/2006 8,750 10,968
1/20/2006 9,093 10,753
1/21/2006 9,093 10,753
1/22/2006 9,093 10,753
1/23/2006 9,062 10,775
1/24/2006 9,024 10,798
1/25/2006 9,024 10,796
1/26/2006 8,862 10,896
1/27/2006 8,714 10,995
1/28/2006 8,714 10,995
1/29/2006 8,714 10,995
1/30/2006 8,727 10,988
1/31/2006 8,785 10,952
2/1/2006 8,645 11,043
2/2/2006 8,799 10,944
2/3/2006 8,902 10,886
2/4/2006 8,902 10,886
2/5/2006 8,902 10,886
2/6/2006 8,895 10,891
2/7/2006 8,974 10,842
2/8/2006 8,793 10,961
2/9/2006 8,760 10,986
2/10/2006 8,706 11,022
2/11/2006 8,706 11,022
2/12/2006 8,706 11,022
2/13/2006 8,745 10,998
2/14/2006 8,529 11,137
2/15/2006 8,481 11,170
2/16/2006 8,389 11,233
2/17/2006 8,406 11,227
2/18/2006 8,406 11,227
2/19/2006 8,406 11,227
2/20/2006 8,406 11,227
2/21/2006 8,475 11,181
2/22/2006 8,373 11,253
2/23/2006 8,468 11,188
2/24/2006 8,483 11,184
2/25/2006 8,483 11,184
2/26/2006 8,483 11,184
2/27/2006 8,429 11,220
2/28/2006 8,589 11,114
3/1/2006 8,500 11,176
3/2/2006 8,539 11,148
3/3/2006 8,558 11,144
3/4/2006 8,558 11,144
3/5/2006 8,558 11,144
3/6/2006 8,652 11,080
3/7/2006 8,629 11,104
3/8/2006 8,585 11,132
3/9/2006 8,629 11,099
3/10/2006 8,483 11,204
3/11/2006 8,483 11,204
3/12/2006 8,483 11,204
3/13/2006 8,460 11,213
3/14/2006 8,350 11,289
3/15/2006 8,250 11,350
3/16/2006 8,191 11,394
3/17/2006 8,164 11,421
3/18/2006 8,164 11,421
3/19/2006 8,164 11,421
3/20/2006 8,171 11,415
3/21/2006 8,231 11,376
3/22/2006 8,118 11,459
3/23/2006 8,181 11,411
3/24/2006 8,181 11,421
3/25/2006 8,181 11,421
3/26/2006 8,181 11,421
3/27/2006 8,223 11,391
3/28/2006 8,366 11,294
3/29/2006 8,279 11,356
3/30/2006 8,375 11,290
3/31/2006 8,445 11,248
4/1/2006 8,445 11,248
4/2/2006 8,445 11,248
4/3/2006 8,395 11,284
4/4/2006 8,308 11,347
4/5/2006 8,258 11,384
4/6/2006 8,285 11,366
4/7/2006 8,433 11,269
4/8/2006 8,433 11,269
4/9/2006 8,433 11,269
4/10/2006 8,406 11,290
4/11/2006 8,487 11,238
4/12/2006 8,429 11,279
4/13/2006 8,427 11,286
4/14/2006 8,427 11,286
4/15/2006 8,427 11,286
4/16/2006 8,427 11,286
4/17/2006 8,522 11,222
4/18/2006 8,229 11,419
4/19/2006 8,210 11,432
4/20/2006 8,118 11,499
4/21/2006 8,121 11,504
4/22/2006 8,121 11,504
4/23/2006 8,121 11,504
4/24/2006 8,137 11,492
4/25/2006 8,216 11,439
4/26/2006 8,118 11,511
4/27/2006 8,075 11,543
4/28/2006 8,102 11,528
4/29/2006 8,102 11,528
4/30/2006 8,102 11,528
5/1/2006 8,139 11,503
5/2/2006 8,037 11,578
5/3/2006 8,060 11,563
5/4/2006 8,010 11,602
5/5/2006 7,823 11,743
5/6/2006 7,823 11,743
5/7/2006 7,823 11,743
5/8/2006 7,812 11,753
5/9/2006 7,741 11,809
5/10/2006 7,727 11,821
5/11/2006 7,914 11,679
5/12/2006 8,091 11,558
5/13/2006 8,091 11,558
5/14/2006 8,091 11,558
5/15/2006 8,027 11,607
5/16/2006 8,039 11,598
5/17/2006 8,333 11,389
5/18/2006 8,454 11,311
5/19/2006 8,439 11,327
5/20/2006 8,439 11,327
5/21/2006 8,439 11,327
5/22/2006 8,473 11,308
5/23/2006 8,514 11,280
5/24/2006 8,489 11,300
5/25/2006 8,345 11,398
5/26/2006 8,256 11,467
5/27/2006 8,256 11,467
5/28/2006 8,256 11,467
5/29/2006 8,256 11,467
5/30/2006 8,525 11,279
5/31/2006 8,414 11,359
6/1/2006 8,281 11,452
6/2/2006 8,302 11,440
6/3/2006 8,302 11,440
6/4/2006 8,302 11,440
6/5/2006 8,602 11,237
6/6/2006 8,685 11,191
6/7/2006 8,804 11,119
6/8/2006 8,795 11,127
6/9/2006 8,874 11,079
6/10/2006 8,874 11,079
6/11/2006 8,874 11,079
6/12/2006 9,039 10,979
6/13/2006 9,172 10,900
6/14/2006 8,985 11,012
6/15/2006 8,660 11,214
6/16/2006 8,660 11,214
6/17/2006 8,660 11,214
6/18/2006 8,660 11,214
6/19/2006 8,781 11,140
6/20/2006 8,731 11,173
6/21/2006 8,568 11,280
6/22/2006 8,664 11,220
6/23/2006 8,712 11,190
6/24/2006 8,712 11,190
6/25/2006 8,712 11,190
6/26/2006 8,629 11,247
6/27/2006 8,824 11,124
6/28/2006 8,747 11,174
6/29/2006 8,406 11,395
6/30/2006 8,462 11,354
7/1/2006 8,462 11,354
7/2/2006 8,462 11,354
7/3/2006 8,362 11,436
7/4/2006 8,362 11,436
7/5/2006 8,479 11,359
7/6/2006 8,366 11,440
7/7/2006 8,570 11,303
7/8/2006 8,570 11,303
7/9/2006 8,570 11,303
7/10/2006 8,552 11,316
7/11/2006 8,508 11,348
7/12/2006 8,697 11,224
7/13/2006 8,964 11,054
7/14/2006 9,151 10,945
7/15/2006 9,151 10,945
7/16/2006 9,151 10,945
7/17/2006 9,145 10,953
7/18/2006 9,054 11,009
7/19/2006 8,700 11,227
7/20/2006 8,833 11,142
7/21/2006 8,939 11,082
7/22/2006 8,939 11,082
7/23/2006 8,939 11,082
7/24/2006 8,641 11,268
7/25/2006 8,560 11,322
7/26/2006 8,568 11,320
7/27/2006 8,577 11,318
7/28/2006 8,406 11,440
7/29/2006 8,406 11,440
7/30/2006 8,406 11,440
7/31/2006 8,458 11,405
8/1/2006 8,547 11,344
8/2/2006 8,439 11,421
8/3/2006 8,368 11,469
8/4/2006 8,381 11,467
8/5/2006 8,381 11,467
8/6/2006 8,381 11,467
8/7/2006 8,414 11,446
8/8/2006 8,485 11,401
8/9/2006 8,629 11,308
8/10/2006 8,554 11,360
8/11/2006 8,612 11,326
8/12/2006 8,612 11,326
8/13/2006 8,612 11,326
8/14/2006 8,600 11,336
8/15/2006 8,400 11,472
8/16/2006 8,260 11,576
8/17/2006 8,250 11,584
8/18/2006 8,193 11,632
8/19/2006 8,193 11,632
8/20/2006 8,193 11,632
8/21/2006 8,243 11,595
8/22/2006 8,256 11,589
8/23/2006 8,314 11,550
8/24/2006 8,308 11,557
8/25/2006 8,339 11,539
8/26/2006 8,339 11,539
8/27/2006 8,339 11,539
8/28/2006 8,245 11,609
8/29/2006 8,223 11,627
8/30/2006 8,202 11,645
8/31/2006 8,208 11,643
9/1/2006 8,100 11,728
9/2/2006 8,100 11,728
9/3/2006 8,100 11,728
9/4/2006 8,100 11,728
9/5/2006 8,093 11,734
9/6/2006 8,187 11,670
9/7/2006 8,298 11,593
9/8/2006 8,216 11,655
9/9/2006 8,216 11,655
9/10/2006 8,216 11,655
9/11/2006 8,212 11,661
9/12/2006 8,071 11,764
9/13/2006 7,998 11,820
9/14/2006 8,021 11,804
9/15/2006 7,985 11,838
9/16/2006 7,985 11,838
9/17/2006 7,985 11,838
9/18/2006 7,993 11,832
9/19/2006 8,016 11,818
9/20/2006 7,921 11,892
9/21/2006 8,029 11,812
9/22/2006 8,073 11,786
9/23/2006 8,073 11,786
9/24/2006 8,073 11,786
9/25/2006 7,979 11,856
9/26/2006 7,854 11,952
9/27/2006 7,831 11,972
9/28/2006 7,798 12,002
9/29/2006 7,856 11,961
9/30/2006 7,856 11,961
10/1/2006 7,856 11,961
10/2/2006 7,871 11,953
10/3/2006 7,796 12,011
10/4/2006 7,633 12,141
10/5/2006 7,606 12,164
10/6/2006 7,639 12,147
10/7/2006 7,639 12,147
10/8/2006 7,639 12,147
10/9/2006 7,631 12,155
10/10/2006 7,623 12,164
10/11/2006 7,646 12,149
10/12/2006 7,525 12,247
10/13/2006 7,517 12,260
10/14/2006 7,517 12,260
10/15/2006 7,517 12,260
10/16/2006 7,496 12,280
10/17/2006 7,535 12,249
10/18/2006 7,483 12,295
10/19/2006 7,458 12,317
10/20/2006 7,479 12,308
10/21/2006 7,479 12,308
10/22/2006 7,479 12,308
10/23/2006 7,340 12,425
10/24/2006 7,329 12,437
10/25/2006 7,325 12,444
10/26/2006 7,294 12,473
10/27/2006 7,389 12,398
10/28/2006 7,389 12,398
10/29/2006 7,389 12,398
10/30/2006 7,396 12,394
10/31/2006 7,406 12,388
11/1/2006 7,469 12,338
11/2/2006 7,483 12,330
11/3/2006 7,529 12,297
11/4/2006 7,529 12,297
11/5/2006 7,529 12,297
11/6/2006 7,383 12,420
11/7/2006 7,325 12,472
11/8/2006 7,296 12,499
11/9/2006 7,383 12,427
11/10/2006 7,385 12,432
11/11/2006 7,385 12,432
11/12/2006 7,385 12,432
11/13/2006 7,346 12,468
11/14/2006 7,242 12,557
11/15/2006 7,200 12,596
11/16/2006 7,137 12,653
11/17/2006 7,104 12,691
11/18/2006 7,104 12,691
11/19/2006 7,104 12,691
11/20/2006 7,135 12,664
11/21/2006 7,129 12,673
11/22/2006 7,127 12,679
11/23/2006 7,127 12,679
11/24/2006 7,185 12,634
11/25/2006 7,185 12,634
11/26/2006 7,185 12,634
11/27/2006 7,373 12,471
11/28/2006 7,356 12,488
11/29/2006 7,246 12,585
11/30/2006 7,254 12,580
12/1/2006 7,294 12,551
12/2/2006 7,294 12,551
12/3/2006 7,294 12,551
12/4/2006 7,190 12,643
12/5/2006 7,137 12,693
12/6/2006 7,162 12,673
12/7/2006 7,202 12,641
12/8/2006 7,177 12,671
12/9/2006 7,177 12,671
12/10/2006 7,177 12,671
12/11/2006 7,154 12,693
12/12/2006 7,172 12,680
12/13/2006 7,168 12,686
12/14/2006 7,056 12,788
12/15/2006 7,030 12,818
12/16/2006 7,030 12,818
12/17/2006 7,030 12,818
12/18/2006 7,039 12,813
12/19/2006 7,007 12,844
12/20/2006 7,020 12,837
12/21/2006 7,066 12,795
12/22/2006 7,159 12,722
12/23/2006 7,159 12,722
12/24/2006 7,159 12,722
12/25/2006 7,159 12,722
12/26/2006 7,087 12,788
12/27/2006 6,971 12,894
12/28/2006 6,986 12,885
12/29/2006 7,039 12,845
12/30/2006 7,039 12,845
12/31/2006 7,039 12,845
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
INVERSE DYNAMIC DOW FUND -21.77% -12.35%
DOW JONES INDUSTRIAL AVERAGE INDEX 19.05% 9.86%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES INDUSTRIAL AVERAGE
INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES
OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INVERSE DYNAMIC DOW JONES INDUSTRIAL
DOW FUND AVERAGE INDEX
OTHER 9.6%
INDUSTRIALS 24.0%
CONSUMER STAPLES 15.7%
FINANCIALS 15.2%
INFORMATION TECHNOLOGY 12.1%
CONSUMER DISCRETIONARY 9.6%
HEALTH CARE 8.7%
MATERIALS 5.1%
FUTURES CONTRACTS SHORT SALES -27.9%
EQUITY INDEX SWAP AGREEMENTS SHORT SALES -171.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap
agreements, futures contracts, and options on index futures.
24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: May 3, 2004
The S&P SmallCap 600/Citigroup Pure Value Index was the best performing pure
style index in 2006, with a gain of 21.44%. Sector performance among
small-capitalization stocks was strong as seven sectors posted double-digit
returns. The largest contributors to performance came from the industrials,
utilities, materials and consumer discretionary sectors. Rydex Small-Cap Value
Fund gained 19.21% for the same period.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P SMALLCAP 600/
DATE SMALL-CAP VALUE FUND CITIGROUP PURE VALUE INDEX
5/3/2004 10,000 10,000
5/4/2004 10,072 10,091
5/5/2004 10,064 10,066
5/6/2004 9,964 9,942
5/7/2004 9,708 9,635
5/8/2004 9,708 9,635
5/9/2004 9,708 9,635
5/10/2004 9,536 9,461
5/11/2004 9,692 9,608
5/12/2004 9,728 9,647
5/13/2004 9,664 9,552
5/14/2004 9,640 9,492
5/15/2004 9,640 9,492
5/16/2004 9,640 9,492
5/17/2004 9,496 9,330
5/18/2004 9,628 9,516
5/19/2004 9,604 9,493
5/20/2004 9,648 9,552
5/21/2004 9,712 9,643
5/22/2004 9,712 9,643
5/23/2004 9,712 9,643
5/24/2004 9,828 9,734
5/25/2004 10,060 9,974
5/26/2004 10,056 9,967
5/27/2004 10,056 9,968
5/28/2004 10,052 9,972
5/29/2004 10,052 9,972
5/30/2004 10,052 9,972
5/31/2004 10,052 9,972
6/1/2004 10,108 10,052
6/2/2004 10,124 10,076
6/3/2004 9,960 9,921
6/4/2004 10,020 9,976
6/5/2004 10,020 9,976
6/6/2004 10,020 9,976
6/7/2004 10,232 10,205
6/8/2004 10,236 10,250
6/9/2004 10,108 10,114
6/10/2004 10,132 10,156
6/11/2004 10,132 10,156
6/12/2004 10,132 10,156
6/13/2004 10,132 10,156
6/14/2004 9,960 9,964
6/15/2004 10,124 10,151
6/16/2004 10,172 10,208
6/17/2004 10,212 10,277
6/18/2004 10,244 10,327
6/19/2004 10,244 10,327
6/20/2004 10,244 10,327
6/21/2004 10,216 10,317
6/22/2004 10,256 10,354
6/23/2004 10,376 10,488
6/24/2004 10,344 10,445
6/25/2004 10,448 10,607
6/26/2004 10,448 10,607
6/27/2004 10,448 10,607
6/28/2004 10,424 10,597
6/29/2004 10,532 10,720
6/30/2004 10,596 10,766
7/1/2004 10,476 10,635
7/2/2004 10,500 10,662
7/3/2004 10,500 10,662
7/4/2004 10,500 10,662
7/5/2004 10,500 10,662
7/6/2004 10,356 10,522
7/7/2004 10,356 10,521
7/8/2004 10,188 10,327
7/9/2004 10,224 10,333
7/10/2004 10,224 10,333
7/11/2004 10,224 10,333
7/12/2004 10,216 10,329
7/13/2004 10,252 10,365
7/14/2004 10,204 10,336
7/15/2004 10,248 10,367
7/16/2004 10,188 10,306
7/17/2004 10,188 10,306
7/18/2004 10,188 10,306
7/19/2004 10,180 10,302
7/20/2004 10,320 10,438
7/21/2004 10,088 10,186
7/22/2004 9,996 10,042
7/23/2004 9,924 9,972
7/24/2004 9,924 9,972
7/25/2004 9,924 9,972
7/26/2004 9,856 9,881
7/27/2004 10,016 10,083
7/28/2004 9,960 10,078
7/29/2004 10,096 10,253
7/30/2004 10,100 10,271
7/31/2004 10,100 10,271
8/1/2004 10,100 10,271
8/2/2004 10,140 10,294
8/3/2004 10,012 10,175
8/4/2004 10,024 10,174
8/5/2004 9,852 9,952
8/6/2004 9,640 9,743
8/7/2004 9,640 9,743
8/8/2004 9,640 9,743
8/9/2004 9,644 9,733
8/10/2004 9,824 9,926
8/11/2004 9,808 9,922
8/12/2004 9,608 9,731
8/13/2004 9,620 9,735
8/14/2004 9,620 9,735
8/15/2004 9,620 9,735
8/16/2004 9,836 9,949
8/17/2004 9,856 9,957
8/18/2004 10,016 10,090
8/19/2004 9,960 10,051
8/20/2004 10,136 10,212
8/21/2004 10,136 10,212
8/22/2004 10,136 10,212
8/23/2004 10,032 10,106
8/24/2004 10,092 10,142
8/25/2004 10,132 10,170
8/26/2004 10,116 10,190
8/27/2004 10,188 10,250
8/28/2004 10,188 10,250
8/29/2004 10,188 10,250
8/30/2004 10,064 10,156
8/31/2004 10,120 10,211
9/1/2004 10,192 10,272
9/2/2004 10,344 10,425
9/3/2004 10,276 10,365
9/4/2004 10,276 10,365
9/5/2004 10,276 10,365
9/6/2004 10,276 10,365
9/7/2004 10,408 10,504
9/8/2004 10,316 10,411
9/9/2004 10,448 10,554
9/10/2004 10,492 10,573
9/11/2004 10,492 10,573
9/12/2004 10,492 10,573
9/13/2004 10,536 10,582
9/14/2004 10,476 10,543
9/15/2004 10,436 10,488
9/16/2004 10,548 10,603
9/17/2004 10,556 10,589
9/18/2004 10,556 10,589
9/19/2004 10,556 10,589
9/20/2004 10,496 10,507
9/21/2004 10,628 10,636
9/22/2004 10,444 10,449
9/23/2004 10,444 10,449
9/24/2004 10,440 10,483
9/25/2004 10,440 10,483
9/26/2004 10,440 10,483
9/27/2004 10,340 10,367
9/28/2004 10,452 10,515
9/29/2004 10,564 10,619
9/30/2004 10,600 10,671
10/1/2004 10,828 10,911
10/2/2004 10,828 10,911
10/3/2004 10,828 10,911
10/4/2004 10,888 10,986
10/5/2004 10,856 10,938
10/6/2004 10,964 11,061
10/7/2004 10,756 10,878
10/8/2004 10,660 10,786
10/9/2004 10,660 10,786
10/10/2004 10,660 10,786
10/11/2004 10,652 10,777
10/12/2004 10,672 10,772
10/13/2004 10,520 10,552
10/14/2004 10,392 10,395
10/15/2004 10,472 10,491
10/16/2004 10,472 10,491
10/17/2004 10,472 10,491
10/18/2004 10,476 10,464
10/19/2004 10,384 10,310
10/20/2004 10,404 10,316
10/21/2004 10,528 10,447
10/22/2004 10,348 10,285
10/23/2004 10,348 10,285
10/24/2004 10,348 10,285
10/25/2004 10,420 10,384
10/26/2004 10,592 10,566
10/27/2004 10,752 10,681
10/28/2004 10,700 10,609
10/29/2004 10,672 10,585
10/30/2004 10,672 10,585
10/31/2004 10,672 10,585
11/1/2004 10,744 10,653
11/2/2004 10,712 10,646
11/3/2004 10,888 10,829
11/4/2004 11,016 10,983
11/5/2004 11,040 11,028
11/6/2004 11,040 11,028
11/7/2004 11,040 11,028
11/8/2004 10,996 10,988
11/9/2004 11,076 11,111
11/10/2004 11,116 11,157
11/11/2004 11,236 11,292
11/12/2004 11,332 11,382
11/13/2004 11,332 11,382
11/14/2004 11,332 11,382
11/15/2004 11,360 11,418
11/16/2004 11,256 11,333
11/17/2004 11,364 11,469
11/18/2004 11,356 11,446
11/19/2004 11,236 11,365
11/20/2004 11,236 11,365
11/21/2004 11,236 11,365
11/22/2004 11,392 11,549
11/23/2004 11,444 11,586
11/24/2004 11,544 11,662
11/25/2004 11,544 11,662
11/26/2004 11,572 11,711
11/27/2004 11,572 11,711
11/28/2004 11,572 11,711
11/29/2004 11,644 11,811
11/30/2004 11,616 11,799
12/1/2004 11,792 11,938
12/2/2004 11,724 11,864
12/3/2004 11,708 11,847
12/4/2004 11,708 11,847
12/5/2004 11,708 11,847
12/6/2004 11,652 11,761
12/7/2004 11,408 11,495
12/8/2004 11,492 11,588
12/9/2004 11,484 11,590
12/10/2004 11,520 11,646
12/11/2004 11,520 11,646
12/12/2004 11,520 11,646
12/13/2004 11,604 11,736
12/14/2004 11,664 11,781
12/15/2004 11,772 11,897
12/16/2004 11,676 11,842
12/17/2004 11,680 11,872
12/18/2004 11,680 11,872
12/19/2004 11,680 11,872
12/20/2004 11,580 11,822
12/21/2004 11,724 12,044
12/22/2004 11,772 12,069
12/23/2004 11,760 12,073
12/24/2004 11,760 12,073
12/25/2004 11,760 12,073
12/26/2004 11,760 12,073
12/27/2004 11,640 11,952
12/28/2004 11,828 12,161
12/29/2004 11,816 12,157
12/30/2004 11,803 12,118
12/31/2004 11,803 12,133
1/1/2005 11,803 12,133
1/2/2005 11,803 12,133
1/3/2005 11,574 11,905
1/4/2005 11,382 11,713
1/5/2005 11,181 11,500
1/6/2005 11,206 11,519
1/7/2005 11,079 11,424
1/8/2005 11,079 11,424
1/9/2005 11,079 11,424
1/10/2005 11,169 11,536
1/11/2005 11,054 11,386
1/12/2005 11,091 11,414
1/13/2005 11,022 11,373
1/14/2005 11,206 11,622
1/15/2005 11,206 11,622
1/16/2005 11,206 11,622
1/17/2005 11,206 11,622
1/18/2005 11,320 11,773
1/19/2005 11,210 11,631
1/20/2005 11,116 11,520
1/21/2005 11,087 11,493
1/22/2005 11,087 11,493
1/23/2005 11,087 11,493
1/24/2005 10,997 11,396
1/25/2005 11,017 11,437
1/26/2005 11,206 11,607
1/27/2005 11,218 11,638
1/28/2005 11,136 11,527
1/29/2005 11,136 11,527
1/30/2005 11,136 11,527
1/31/2005 11,357 11,801
2/1/2005 11,443 11,891
2/2/2005 11,517 11,987
2/3/2005 11,488 11,965
2/4/2005 11,627 12,070
2/5/2005 11,627 12,070
2/6/2005 11,627 12,070
2/7/2005 11,644 12,124
2/8/2005 11,672 12,165
2/9/2005 11,472 11,936
2/10/2005 11,500 11,940
2/11/2005 11,595 12,045
2/12/2005 11,595 12,045
2/13/2005 11,595 12,045
2/14/2005 11,599 12,081
2/15/2005 11,595 12,067
2/16/2005 11,676 12,200
2/17/2005 11,541 12,070
2/18/2005 11,554 12,090
2/19/2005 11,554 12,090
2/20/2005 11,554 12,090
2/21/2005 11,554 12,090
2/22/2005 11,337 11,803
2/23/2005 11,398 11,876
2/24/2005 11,529 12,032
2/25/2005 11,725 12,274
2/26/2005 11,725 12,274
2/27/2005 11,725 12,274
2/28/2005 11,685 12,222
3/1/2005 11,791 12,336
3/2/2005 11,746 12,308
3/3/2005 11,787 12,358
3/4/2005 11,934 12,564
3/5/2005 11,934 12,564
3/6/2005 11,934 12,564
3/7/2005 11,918 12,534
3/8/2005 11,828 12,402
3/9/2005 11,693 12,239
3/10/2005 11,611 12,113
3/11/2005 11,619 12,194
3/12/2005 11,619 12,194
3/13/2005 11,619 12,194
3/14/2005 11,672 12,214
3/15/2005 11,631 12,254
3/16/2005 11,574 12,197
3/17/2005 11,615 12,282
3/18/2005 11,578 12,217
3/19/2005 11,578 12,217
3/20/2005 11,578 12,217
3/21/2005 11,558 12,183
3/22/2005 11,500 12,154
3/23/2005 11,382 11,995
3/24/2005 11,435 12,115
3/25/2005 11,435 12,115
3/26/2005 11,435 12,115
3/27/2005 11,435 12,115
3/28/2005 11,431 12,055
3/29/2005 11,251 11,819
3/30/2005 11,443 12,025
3/31/2005 11,435 12,031
4/1/2005 11,357 11,962
4/2/2005 11,357 11,962
4/3/2005 11,357 11,962
4/4/2005 11,410 12,043
4/5/2005 11,406 12,070
4/6/2005 11,398 12,068
4/7/2005 11,500 12,173
4/8/2005 11,349 12,010
4/9/2005 11,349 12,010
4/10/2005 11,349 12,010
4/11/2005 11,283 11,952
4/12/2005 11,427 12,096
4/13/2005 11,230 11,867
4/14/2005 11,034 11,605
4/15/2005 10,825 11,368
4/16/2005 10,825 11,368
4/17/2005 10,825 11,368
4/18/2005 10,911 11,492
4/19/2005 11,071 11,681
4/20/2005 10,858 11,458
4/21/2005 11,067 11,662
4/22/2005 10,931 11,496
4/23/2005 10,931 11,496
4/24/2005 10,931 11,496
4/25/2005 11,067 11,641
4/26/2005 10,936 11,551
4/27/2005 10,940 11,490
4/28/2005 10,727 11,209
4/29/2005 10,801 11,280
4/30/2005 10,801 11,280
5/1/2005 10,801 11,280
5/2/2005 10,919 11,394
5/3/2005 10,878 11,346
5/4/2005 11,083 11,585
5/5/2005 11,042 11,539
5/6/2005 11,075 11,596
5/7/2005 11,075 11,596
5/8/2005 11,075 11,596
5/9/2005 11,173 11,713
5/10/2005 11,050 11,635
5/11/2005 11,083 11,671
5/12/2005 10,923 11,447
5/13/2005 10,821 11,312
5/14/2005 10,821 11,312
5/15/2005 10,821 11,312
5/16/2005 11,013 11,495
5/17/2005 11,067 11,564
5/18/2005 11,304 11,852
5/19/2005 11,341 11,871
5/20/2005 11,324 11,877
5/21/2005 11,324 11,877
5/22/2005 11,324 11,877
5/23/2005 11,386 11,954
5/24/2005 11,378 11,946
5/25/2005 11,251 11,846
5/26/2005 11,410 12,026
5/27/2005 11,443 12,086
5/28/2005 11,443 12,086
5/29/2005 11,443 12,086
5/30/2005 11,443 12,086
5/31/2005 11,431 12,085
6/1/2005 11,578 12,247
6/2/2005 11,619 12,289
6/3/2005 11,525 12,194
6/4/2005 11,525 12,194
6/5/2005 11,525 12,194
6/6/2005 11,586 12,273
6/7/2005 11,644 12,333
6/8/2005 11,582 12,276
6/9/2005 11,676 12,339
6/10/2005 11,672 12,361
6/11/2005 11,672 12,361
6/12/2005 11,672 12,361
6/13/2005 11,721 12,451
6/14/2005 11,852 12,585
6/15/2005 11,922 12,673
6/16/2005 12,012 12,796
6/17/2005 11,975 12,755
6/18/2005 11,975 12,755
6/19/2005 11,975 12,755
6/20/2005 11,930 12,743
6/21/2005 11,906 12,708
6/22/2005 11,942 12,743
6/23/2005 11,787 12,493
6/24/2005 11,652 12,311
6/25/2005 11,652 12,311
6/26/2005 11,652 12,311
6/27/2005 11,631 12,340
6/28/2005 11,865 12,596
6/29/2005 11,906 12,673
6/30/2005 11,856 12,587
7/1/2005 11,914 12,624
7/2/2005 11,914 12,624
7/3/2005 11,914 12,624
7/4/2005 11,914 12,624
7/5/2005 12,098 12,814
7/6/2005 11,996 12,715
7/7/2005 12,016 12,756
7/8/2005 12,233 12,993
7/9/2005 12,233 12,993
7/10/2005 12,233 12,993
7/11/2005 12,380 13,181
7/12/2005 12,380 13,147
7/13/2005 12,331 13,129
7/14/2005 12,266 13,008
7/15/2005 12,262 13,003
7/16/2005 12,262 13,003
7/17/2005 12,262 13,003
7/18/2005 12,176 12,940
7/19/2005 12,364 13,202
7/20/2005 12,540 13,389
7/21/2005 12,339 13,195
7/22/2005 12,528 13,406
7/23/2005 12,528 13,406
7/24/2005 12,528 13,406
7/25/2005 12,413 13,237
7/26/2005 12,462 13,363
7/27/2005 12,466 13,341
7/28/2005 12,593 13,574
7/29/2005 12,528 13,495
7/30/2005 12,528 13,495
7/31/2005 12,528 13,495
8/1/2005 12,573 13,545
8/2/2005 12,720 13,728
8/3/2005 12,634 13,660
8/4/2005 12,425 13,397
8/5/2005 12,274 13,156
8/6/2005 12,274 13,156
8/7/2005 12,274 13,156
8/8/2005 12,208 13,102
8/9/2005 12,225 13,136
8/10/2005 12,225 13,206
8/11/2005 12,356 13,335
8/12/2005 12,208 13,171
8/13/2005 12,208 13,171
8/14/2005 12,208 13,171
8/15/2005 12,278 13,270
8/16/2005 12,118 13,067
8/17/2005 12,102 13,048
8/18/2005 12,045 12,969
8/19/2005 12,057 13,016
8/20/2005 12,057 13,016
8/21/2005 12,057 13,016
8/22/2005 12,147 13,151
8/23/2005 12,086 13,070
8/24/2005 12,061 13,055
8/25/2005 12,114 13,137
8/26/2005 11,926 12,936
8/27/2005 11,926 12,936
8/28/2005 11,926 12,936
8/29/2005 12,053 13,096
8/30/2005 12,016 13,086
8/31/2005 12,258 13,439
9/1/2005 12,286 13,493
9/2/2005 12,208 13,419
9/3/2005 12,208 13,419
9/4/2005 12,208 13,419
9/5/2005 12,208 13,419
9/6/2005 12,376 13,657
9/7/2005 12,384 13,677
9/8/2005 12,325 13,542
9/9/2005 12,421 13,705
9/10/2005 12,421 13,705
9/11/2005 12,421 13,705
9/12/2005 12,462 13,731
9/13/2005 12,335 13,592
9/14/2005 12,243 13,478
9/15/2005 12,248 13,509
9/16/2005 12,335 13,610
9/17/2005 12,335 13,610
9/18/2005 12,335 13,610
9/19/2005 12,271 13,495
9/20/2005 12,134 13,340
9/21/2005 11,965 13,153
9/22/2005 11,969 13,133
9/23/2005 12,033 13,203
9/24/2005 12,033 13,203
9/25/2005 12,033 13,203
9/26/2005 12,115 13,315
9/27/2005 12,115 13,332
9/28/2005 12,061 13,252
9/29/2005 12,230 13,398
9/30/2005 12,266 13,437
10/1/2005 12,266 13,437
10/2/2005 12,266 13,437
10/3/2005 12,312 13,479
10/4/2005 12,193 13,370
10/5/2005 11,855 13,021
10/6/2005 11,777 13,002
10/7/2005 11,878 13,091
10/8/2005 11,878 13,091
10/9/2005 11,878 13,091
10/10/2005 11,759 12,952
10/11/2005 11,622 12,776
10/12/2005 11,499 12,617
10/13/2005 11,531 12,671
10/14/2005 11,682 12,775
10/15/2005 11,682 12,775
10/16/2005 11,682 12,775
10/17/2005 11,668 12,776
10/18/2005 11,545 12,689
10/19/2005 11,782 12,928
10/20/2005 11,549 12,702
10/21/2005 11,654 12,752
10/22/2005 11,654 12,752
10/23/2005 11,654 12,752
10/24/2005 11,914 13,006
10/25/2005 11,814 12,872
10/26/2005 11,727 12,811
10/27/2005 11,490 12,600
10/28/2005 11,736 12,837
10/29/2005 11,736 12,837
10/30/2005 11,736 12,837
10/31/2005 11,914 13,050
11/1/2005 11,883 13,003
11/2/2005 12,129 13,248
11/3/2005 12,134 13,250
11/4/2005 12,125 13,249
11/5/2005 12,125 13,249
11/6/2005 12,125 13,249
11/7/2005 12,193 13,365
11/8/2005 12,093 13,237
11/9/2005 12,138 13,310
11/10/2005 12,225 13,401
11/11/2005 12,248 13,398
11/12/2005 12,248 13,398
11/13/2005 12,248 13,398
11/14/2005 12,202 13,336
11/15/2005 12,061 13,139
11/16/2005 12,042 13,068
11/17/2005 12,248 13,269
11/18/2005 12,312 13,370
11/19/2005 12,312 13,370
11/20/2005 12,312 13,370
11/21/2005 12,417 13,522
11/22/2005 12,462 13,555
11/23/2005 12,499 13,634
11/24/2005 12,499 13,634
11/25/2005 12,499 13,647
11/26/2005 12,499 13,647
11/27/2005 12,499 13,647
11/28/2005 12,284 13,449
11/29/2005 12,348 13,508
11/30/2005 12,408 13,576
12/1/2005 12,622 13,782
12/2/2005 12,599 13,775
12/3/2005 12,599 13,775
12/4/2005 12,599 13,775
12/5/2005 12,536 13,735
12/6/2005 12,568 13,765
12/7/2005 12,476 13,685
12/8/2005 12,504 13,699
12/9/2005 12,549 13,772
12/10/2005 12,549 13,772
12/11/2005 12,549 13,772
12/12/2005 12,558 13,748
12/13/2005 12,558 13,738
12/14/2005 12,595 13,741
12/15/2005 12,462 13,629
12/16/2005 12,376 13,656
12/17/2005 12,376 13,656
12/18/2005 12,376 13,656
12/19/2005 12,230 13,537
12/20/2005 12,211 13,520
12/21/2005 12,294 13,600
12/22/2005 12,299 13,607
12/23/2005 12,366 13,684
12/24/2005 12,366 13,684
12/25/2005 12,366 13,684
12/26/2005 12,366 13,684
12/27/2005 12,204 13,503
12/28/2005 12,294 13,608
12/29/2005 12,299 13,614
12/30/2005 12,232 13,539
12/31/2005 12,232 13,539
1/1/2006 12,232 13,539
1/2/2006 12,232 13,539
1/3/2006 12,356 13,680
1/4/2006 12,418 13,746
1/5/2006 12,461 13,797
1/6/2006 12,561 13,912
1/7/2006 12,561 13,912
1/8/2006 12,561 13,912
1/9/2006 12,690 14,060
1/10/2006 12,809 14,189
1/11/2006 12,756 14,136
1/12/2006 12,671 14,038
1/13/2006 12,709 14,082
1/14/2006 12,709 14,082
1/15/2006 12,709 14,082
1/16/2006 12,709 14,082
1/17/2006 12,633 14,000
1/18/2006 12,747 14,129
1/19/2006 12,895 14,293
1/20/2006 12,771 14,158
1/21/2006 12,771 14,158
1/22/2006 12,771 14,158
1/23/2006 12,818 14,213
1/24/2006 13,014 14,431
1/25/2006 13,047 14,465
1/26/2006 13,285 14,733
1/27/2006 13,338 14,793
1/28/2006 13,338 14,793
1/29/2006 13,338 14,793
1/30/2006 13,271 14,722
1/31/2006 13,328 14,786
2/1/2006 13,338 14,795
2/2/2006 13,147 14,585
2/3/2006 13,061 14,490
2/4/2006 13,061 14,490
2/5/2006 13,061 14,490
2/6/2006 13,147 14,590
2/7/2006 13,004 14,432
2/8/2006 13,090 14,527
2/9/2006 13,028 14,457
2/10/2006 13,033 14,465
2/11/2006 13,033 14,465
2/12/2006 13,033 14,465
2/13/2006 12,909 14,329
2/14/2006 13,119 14,566
2/15/2006 13,204 14,657
2/16/2006 13,314 14,782
2/17/2006 13,333 14,804
2/18/2006 13,333 14,804
2/19/2006 13,333 14,804
2/20/2006 13,333 14,804
2/21/2006 13,209 14,670
2/22/2006 13,333 14,810
2/23/2006 13,285 14,756
2/24/2006 13,362 14,845
2/25/2006 13,362 14,845
2/26/2006 13,362 14,845
2/27/2006 13,476 14,971
2/28/2006 13,262 14,735
3/1/2006 13,419 14,910
3/2/2006 13,338 14,817
3/3/2006 13,290 14,769
3/4/2006 13,290 14,769
3/5/2006 13,290 14,769
3/6/2006 13,223 14,695
3/7/2006 13,038 14,488
3/8/2006 13,057 14,517
3/9/2006 12,995 14,452
3/10/2006 13,185 14,670
3/11/2006 13,185 14,670
3/12/2006 13,185 14,670
3/13/2006 13,195 14,682
3/14/2006 13,309 14,811
3/15/2006 13,376 14,887
3/16/2006 13,424 14,943
3/17/2006 13,500 15,028
3/18/2006 13,500 15,028
3/19/2006 13,500 15,028
3/20/2006 13,538 15,073
3/21/2006 13,347 14,858
3/22/2006 13,576 15,113
3/23/2006 13,619 15,166
3/24/2006 13,710 15,265
3/25/2006 13,710 15,265
3/26/2006 13,710 15,265
3/27/2006 13,714 15,270
3/28/2006 13,629 15,177
3/29/2006 13,862 15,437
3/30/2006 13,819 15,392
3/31/2006 13,848 15,422
4/1/2006 13,848 15,422
4/2/2006 13,848 15,422
4/3/2006 13,791 15,358
4/4/2006 13,867 15,446
4/5/2006 13,891 15,473
4/6/2006 13,886 15,467
4/7/2006 13,724 15,288
4/8/2006 13,724 15,288
4/9/2006 13,724 15,288
4/10/2006 13,633 15,193
4/11/2006 13,471 15,012
4/12/2006 13,547 15,096
4/13/2006 13,552 15,108
4/14/2006 13,552 15,108
4/15/2006 13,552 15,108
4/16/2006 13,552 15,108
4/17/2006 13,528 15,082
4/18/2006 13,833 15,423
4/19/2006 13,986 15,591
4/20/2006 13,962 15,567
4/21/2006 13,910 15,509
4/22/2006 13,910 15,509
4/23/2006 13,910 15,509
4/24/2006 13,833 15,427
4/25/2006 13,819 15,411
4/26/2006 13,843 15,438
4/27/2006 13,791 15,381
4/28/2006 13,857 15,459
4/29/2006 13,857 15,459
4/30/2006 13,857 15,459
5/1/2006 13,819 15,414
5/2/2006 13,981 15,594
5/3/2006 13,986 15,604
5/4/2006 14,029 15,652
5/5/2006 14,157 15,796
5/6/2006 14,157 15,796
5/7/2006 14,157 15,796
5/8/2006 14,172 15,815
5/9/2006 14,162 15,803
5/10/2006 14,024 15,650
5/11/2006 13,619 15,196
5/12/2006 13,343 14,893
5/13/2006 13,343 14,893
5/14/2006 13,343 14,893
5/15/2006 13,304 14,847
5/16/2006 13,314 14,857
5/17/2006 13,123 14,646
5/18/2006 13,023 14,534
5/19/2006 13,133 14,660
5/20/2006 13,133 14,660
5/21/2006 13,133 14,660
5/22/2006 13,081 14,605
5/23/2006 12,971 14,479
5/24/2006 13,066 14,586
5/25/2006 13,262 14,809
5/26/2006 13,223 14,757
5/27/2006 13,223 14,757
5/28/2006 13,223 14,757
5/29/2006 13,223 14,757
5/30/2006 12,899 14,399
5/31/2006 13,066 14,578
6/1/2006 13,300 14,847
6/2/2006 13,319 14,870
6/3/2006 13,319 14,870
6/4/2006 13,319 14,870
6/5/2006 12,952 14,461
6/6/2006 12,861 14,360
6/7/2006 12,833 14,330
6/8/2006 12,914 14,422
6/9/2006 12,809 14,304
6/10/2006 12,809 14,304
6/11/2006 12,809 14,304
6/12/2006 12,523 13,986
6/13/2006 12,337 13,777
6/14/2006 12,332 13,772
6/15/2006 12,728 14,214
6/16/2006 12,609 14,084
6/17/2006 12,609 14,084
6/18/2006 12,609 14,084
6/19/2006 12,413 13,866
6/20/2006 12,351 13,798
6/21/2006 12,556 14,026
6/22/2006 12,604 14,083
6/23/2006 12,614 14,098
6/24/2006 12,614 14,098
6/25/2006 12,614 14,098
6/26/2006 12,785 14,292
6/27/2006 12,599 14,081
6/28/2006 12,661 14,155
6/29/2006 13,119 14,664
6/30/2006 13,247 14,813
7/1/2006 13,247 14,813
7/2/2006 13,247 14,813
7/3/2006 13,295 14,869
7/4/2006 13,295 14,869
7/5/2006 13,166 14,724
7/6/2006 13,238 14,806
7/7/2006 13,033 14,576
7/8/2006 13,033 14,576
7/9/2006 13,033 14,576
7/10/2006 13,090 14,641
7/11/2006 13,176 14,741
7/12/2006 12,918 14,450
7/13/2006 12,647 14,144
7/14/2006 12,533 14,021
7/15/2006 12,533 14,021
7/16/2006 12,533 14,021
7/17/2006 12,442 13,918
7/18/2006 12,537 14,027
7/19/2006 12,923 14,452
7/20/2006 12,614 14,100
7/21/2006 12,423 13,892
7/22/2006 12,423 13,892
7/23/2006 12,423 13,892
7/24/2006 12,766 14,276
7/25/2006 12,909 14,438
7/26/2006 12,818 14,334
7/27/2006 12,671 14,170
7/28/2006 12,947 14,487
7/29/2006 12,947 14,487
7/30/2006 12,947 14,487
7/31/2006 12,961 14,504
8/1/2006 12,756 14,275
8/2/2006 12,785 14,309
8/3/2006 12,928 14,472
8/4/2006 12,842 14,373
8/5/2006 12,842 14,373
8/6/2006 12,842 14,373
8/7/2006 12,771 14,297
8/8/2006 12,604 14,108
8/9/2006 12,504 14,000
8/10/2006 12,580 14,084
8/11/2006 12,413 13,915
8/12/2006 12,413 13,915
8/13/2006 12,413 13,915
8/14/2006 12,480 13,993
8/15/2006 12,709 14,250
8/16/2006 12,852 14,413
8/17/2006 12,890 14,454
8/18/2006 12,933 14,504
8/19/2006 12,933 14,504
8/20/2006 12,933 14,504
8/21/2006 12,876 14,445
8/22/2006 12,961 14,541
8/23/2006 12,809 14,366
8/24/2006 12,756 14,308
8/25/2006 12,771 14,327
8/26/2006 12,771 14,327
8/27/2006 12,771 14,327
8/28/2006 12,895 14,469
8/29/2006 13,052 14,643
8/30/2006 13,085 14,685
8/31/2006 13,095 14,695
9/1/2006 13,142 14,751
9/2/2006 13,142 14,751
9/3/2006 13,142 14,751
9/4/2006 13,142 14,751
9/5/2006 13,281 14,911
9/6/2006 13,028 14,623
9/7/2006 12,895 14,473
9/8/2006 12,928 14,514
9/9/2006 12,928 14,514
9/10/2006 12,928 14,514
9/11/2006 12,871 14,452
9/12/2006 13,142 14,757
9/13/2006 13,285 14,917
9/14/2006 13,209 14,831
9/15/2006 13,281 14,914
9/16/2006 13,281 14,914
9/17/2006 13,281 14,914
9/18/2006 13,257 14,888
9/19/2006 13,200 14,823
9/20/2006 13,333 14,976
9/21/2006 13,219 14,848
9/22/2006 13,171 14,798
9/23/2006 13,171 14,798
9/24/2006 13,171 14,798
9/25/2006 13,309 14,954
9/26/2006 13,328 14,977
9/27/2006 13,424 15,084
9/28/2006 13,395 15,050
9/29/2006 13,219 14,852
9/30/2006 13,219 14,852
10/1/2006 13,219 14,852
10/2/2006 13,109 14,731
10/3/2006 13,181 14,810
10/4/2006 13,381 15,027
10/5/2006 13,500 15,164
10/6/2006 13,405 15,055
10/7/2006 13,405 15,055
10/8/2006 13,405 15,055
10/9/2006 13,524 15,193
10/10/2006 13,562 15,236
10/11/2006 13,505 15,170
10/12/2006 13,791 15,494
10/13/2006 13,872 15,588
10/14/2006 13,872 15,588
10/15/2006 13,872 15,588
10/16/2006 13,986 15,714
10/17/2006 13,948 15,673
10/18/2006 13,919 15,641
10/19/2006 13,986 15,721
10/20/2006 13,914 15,642
10/21/2006 13,914 15,642
10/22/2006 13,914 15,642
10/23/2006 13,948 15,677
10/24/2006 14,014 15,755
10/25/2006 14,105 15,857
10/26/2006 14,238 16,011
10/27/2006 14,048 15,797
10/28/2006 14,048 15,797
10/29/2006 14,048 15,797
10/30/2006 14,110 15,869
10/31/2006 13,972 15,713
11/1/2006 13,690 15,396
11/2/2006 13,633 15,332
11/3/2006 13,643 15,340
11/4/2006 13,643 15,340
11/5/2006 13,643 15,340
11/6/2006 13,795 15,514
11/7/2006 13,810 15,534
11/8/2006 13,953 15,695
11/9/2006 13,810 15,532
11/10/2006 13,938 15,685
11/11/2006 13,938 15,685
11/12/2006 13,938 15,685
11/13/2006 14,048 15,809
11/14/2006 14,296 16,090
11/15/2006 14,405 16,212
11/16/2006 14,405 16,214
11/17/2006 14,310 16,106
11/18/2006 14,310 16,106
11/19/2006 14,310 16,106
11/20/2006 14,367 16,172
11/21/2006 14,420 16,233
11/22/2006 14,410 16,225
11/23/2006 14,410 16,225
11/24/2006 14,420 16,239
11/25/2006 14,420 16,239
11/26/2006 14,420 16,239
11/27/2006 14,105 15,886
11/28/2006 14,157 15,943
11/29/2006 14,272 16,076
11/30/2006 14,324 16,133
12/1/2006 14,267 16,071
12/2/2006 14,267 16,071
12/3/2006 14,267 16,071
12/4/2006 14,548 16,391
12/5/2006 14,562 16,408
12/6/2006 14,577 16,422
12/7/2006 14,539 16,382
12/8/2006 14,520 16,363
12/9/2006 14,520 16,363
12/10/2006 14,520 16,363
12/11/2006 14,536 16,382
12/12/2006 14,520 16,362
12/13/2006 14,495 16,336
12/14/2006 14,622 16,479
12/15/2006 14,571 16,425
12/16/2006 14,571 16,425
12/17/2006 14,571 16,425
12/18/2006 14,398 16,227
12/19/2006 14,383 16,212
12/20/2006 14,444 16,278
12/21/2006 14,464 16,301
12/22/2006 14,408 16,239
12/23/2006 14,408 16,239
12/24/2006 14,408 16,239
12/25/2006 14,408 16,239
12/26/2006 14,566 16,423
12/27/2006 14,786 16,673
12/28/2006 14,714 16,592
12/29/2006 14,582 16,441
12/30/2006 14,582 16,441
12/31/2006 14,582 16,441
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND 19.21% 15.22%
S&P SMALLCAP 600/CITIGROUP PURE VALUE INDEX 21.44% 20.53%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P SMALLCAP 600/CITIGROUP
PURE VALUE INDEX IS AND UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P SMALLCAP 600/CITIGROUP
SMALL-CAP VALUE FUND PURE VALUE INDEX
Other 9.0% 3.3%
Consumer Discretionary 24.5% 23.1%
Financials 17.9% 11.7%
Materials 15.0% 18.2%
Industrials 15.0% 18.3%
Utilities 9.9% 11.7%
Information Technology 8.2% 8.1%
Consumer Staples 5.6%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Hancock Fabrics, Inc. 1.6%
Chesapeake Corp. 1.5%
Nash Finch Co. 1.4%
Libbey, Inc. 1.3%
Steel Technologies, Inc. 1.3%
Stewart Information Services Corp. 1.3%
La-Z-Boy, Inc. 1.2%
LandAmerica Financial Group, Inc. 1.2%
Ryerson Tull, Inc. 1.2%
New Century Financial Corp. 1.2%
- --------------------------------------------------------------------------------
Top Ten Total 13.2%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 3, 2004
The S&P MidCap 400/Citigroup Pure Value Index significantly outperformed its
growth counterpart for the year. The performance of this index can largely be
attributed to contributions from the utilities, financials, industrials and
information technology sectors. Rydex Mid-Cap Value Fund gained 17.08% last
year, while the benchmark S&P/Citigroup 400 Pure Value Index gained 19.31% for
the same period.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/CITIGROUP
DATE MID-CAP VALUE FUND PURE VALUE INDEX
5/3/2004 10,000 10,000
5/4/2004 10,024 10,039
5/5/2004 10,044 10,036
5/6/2004 9,948 9,954
5/7/2004 9,732 9,681
5/8/2004 9,732 9,681
5/9/2004 9,732 9,681
5/10/2004 9,568 9,542
5/11/2004 9,668 9,656
5/12/2004 9,656 9,647
5/13/2004 9,672 9,638
5/14/2004 9,672 9,640
5/15/2004 9,672 9,640
5/16/2004 9,672 9,640
5/17/2004 9,564 9,512
5/18/2004 9,624 9,609
5/19/2004 9,592 9,559
5/20/2004 9,616 9,583
5/21/2004 9,648 9,611
5/22/2004 9,648 9,611
5/23/2004 9,648 9,611
5/24/2004 9,760 9,694
5/25/2004 9,940 9,899
5/26/2004 10,008 9,951
5/27/2004 10,056 10,046
5/28/2004 10,100 10,075
5/29/2004 10,100 10,075
5/30/2004 10,100 10,075
5/31/2004 10,100 10,075
6/1/2004 10,120 10,114
6/2/2004 10,140 10,154
6/3/2004 10,012 10,028
6/4/2004 10,080 10,111
6/5/2004 10,080 10,111
6/6/2004 10,080 10,111
6/7/2004 10,240 10,266
6/8/2004 10,216 10,257
6/9/2004 10,096 10,137
6/10/2004 10,124 10,181
6/11/2004 10,124 10,181
6/12/2004 10,124 10,181
6/13/2004 10,124 10,181
6/14/2004 9,992 10,033
6/15/2004 10,116 10,180
6/16/2004 10,132 10,190
6/17/2004 10,152 10,232
6/18/2004 10,160 10,259
6/19/2004 10,160 10,259
6/20/2004 10,160 10,259
6/21/2004 10,148 10,280
6/22/2004 10,196 10,309
6/23/2004 10,288 10,404
6/24/2004 10,264 10,388
6/25/2004 10,304 10,456
6/26/2004 10,304 10,456
6/27/2004 10,304 10,456
6/28/2004 10,260 10,448
6/29/2004 10,288 10,454
6/30/2004 10,400 10,561
7/1/2004 10,268 10,415
7/2/2004 10,268 10,440
7/3/2004 10,268 10,440
7/4/2004 10,268 10,440
7/5/2004 10,268 10,440
7/6/2004 10,144 10,334
7/7/2004 10,164 10,366
7/8/2004 10,060 10,236
7/9/2004 10,108 10,274
7/10/2004 10,108 10,274
7/11/2004 10,108 10,274
7/12/2004 10,104 10,275
7/13/2004 10,120 10,290
7/14/2004 10,116 10,308
7/15/2004 10,156 10,372
7/16/2004 10,104 10,292
7/17/2004 10,104 10,292
7/18/2004 10,104 10,292
7/19/2004 10,120 10,340
7/20/2004 10,220 10,483
7/21/2004 10,040 10,254
7/22/2004 10,008 10,167
7/23/2004 9,904 10,069
7/24/2004 9,904 10,069
7/25/2004 9,904 10,069
7/26/2004 9,836 10,005
7/27/2004 9,936 10,083
7/28/2004 9,900 10,084
7/29/2004 10,016 10,185
7/30/2004 10,008 10,150
7/31/2004 10,008 10,150
8/1/2004 10,008 10,150
8/2/2004 10,060 10,224
8/3/2004 9,964 10,153
8/4/2004 9,944 10,161
8/5/2004 9,768 9,983
8/6/2004 9,632 9,843
8/7/2004 9,632 9,843
8/8/2004 9,632 9,843
8/9/2004 9,648 9,857
8/10/2004 9,796 10,034
8/11/2004 9,736 10,006
8/12/2004 9,604 9,857
8/13/2004 9,596 9,838
8/14/2004 9,596 9,838
8/15/2004 9,596 9,838
8/16/2004 9,756 10,009
8/17/2004 9,796 10,030
8/18/2004 9,916 10,170
8/19/2004 9,856 10,088
8/20/2004 9,968 10,213
8/21/2004 9,968 10,213
8/22/2004 9,968 10,213
8/23/2004 9,920 10,133
8/24/2004 9,940 10,197
8/25/2004 10,032 10,244
8/26/2004 10,036 10,256
8/27/2004 10,080 10,285
8/28/2004 10,080 10,285
8/29/2004 10,080 10,285
8/30/2004 9,960 10,144
8/31/2004 10,056 10,258
9/1/2004 10,132 10,304
9/2/2004 10,208 10,396
9/3/2004 10,172 10,357
9/4/2004 10,172 10,357
9/5/2004 10,172 10,357
9/6/2004 10,172 10,357
9/7/2004 10,260 10,478
9/8/2004 10,128 10,376
9/9/2004 10,212 10,461
9/10/2004 10,228 10,463
9/11/2004 10,228 10,463
9/12/2004 10,228 10,463
9/13/2004 10,272 10,481
9/14/2004 10,240 10,432
9/15/2004 10,188 10,401
9/16/2004 10,280 10,500
9/17/2004 10,296 10,484
9/18/2004 10,296 10,484
9/19/2004 10,296 10,484
9/20/2004 10,244 10,460
9/21/2004 10,336 10,509
9/22/2004 10,228 10,376
9/23/2004 10,192 10,350
9/24/2004 10,236 10,388
9/25/2004 10,236 10,388
9/26/2004 10,236 10,388
9/27/2004 10,164 10,300
9/28/2004 10,228 10,400
9/29/2004 10,244 10,418
9/30/2004 10,336 10,492
10/1/2004 10,484 10,663
10/2/2004 10,484 10,663
10/3/2004 10,484 10,663
10/4/2004 10,476 10,709
10/5/2004 10,460 10,702
10/6/2004 10,540 10,767
10/7/2004 10,400 10,632
10/8/2004 10,332 10,581
10/9/2004 10,332 10,581
10/10/2004 10,332 10,581
10/11/2004 10,324 10,604
10/12/2004 10,308 10,622
10/13/2004 10,192 10,489
10/14/2004 10,128 10,402
10/15/2004 10,168 10,474
10/16/2004 10,168 10,474
10/17/2004 10,168 10,474
10/18/2004 10,180 10,476
10/19/2004 10,096 10,352
10/20/2004 10,116 10,380
10/21/2004 10,204 10,434
10/22/2004 10,136 10,377
10/23/2004 10,136 10,377
10/24/2004 10,136 10,377
10/25/2004 10,184 10,430
10/26/2004 10,280 10,554
10/27/2004 10,392 10,665
10/28/2004 10,368 10,673
10/29/2004 10,384 10,680
10/30/2004 10,384 10,680
10/31/2004 10,384 10,680
11/1/2004 10,412 10,742
11/2/2004 10,396 10,710
11/3/2004 10,552 10,909
11/4/2004 10,712 11,131
11/5/2004 10,716 11,158
11/6/2004 10,716 11,158
11/7/2004 10,716 11,158
11/8/2004 10,680 11,165
11/9/2004 10,720 11,223
11/10/2004 10,748 11,224
11/11/2004 10,848 11,347
11/12/2004 10,980 11,446
11/13/2004 10,980 11,446
11/14/2004 10,980 11,446
11/15/2004 10,964 11,442
11/16/2004 10,908 11,350
11/17/2004 11,000 11,402
11/18/2004 11,000 11,375
11/19/2004 10,892 11,257
11/20/2004 10,892 11,257
11/21/2004 10,892 11,257
11/22/2004 10,996 11,390
11/23/2004 11,032 11,462
11/24/2004 11,132 11,542
11/25/2004 11,132 11,542
11/26/2004 11,144 11,569
11/27/2004 11,144 11,569
11/28/2004 11,144 11,569
11/29/2004 11,116 11,559
11/30/2004 11,104 11,526
12/1/2004 11,216 11,658
12/2/2004 11,152 11,598
12/3/2004 11,192 11,619
12/4/2004 11,192 11,619
12/5/2004 11,192 11,619
12/6/2004 11,140 11,551
12/7/2004 10,992 11,403
12/8/2004 11,044 11,471
12/9/2004 11,100 11,458
12/10/2004 11,136 11,493
12/11/2004 11,136 11,493
12/12/2004 11,136 11,493
12/13/2004 11,220 11,585
12/14/2004 11,312 11,641
12/15/2004 11,416 11,749
12/16/2004 11,348 11,689
12/17/2004 11,336 11,681
12/18/2004 11,336 11,681
12/19/2004 11,336 11,681
12/20/2004 11,268 11,639
12/21/2004 11,384 11,767
12/22/2004 11,420 11,804
12/23/2004 11,424 11,796
12/24/2004 11,424 11,796
12/25/2004 11,424 11,796
12/26/2004 11,424 11,796
12/27/2004 11,360 11,736
12/28/2004 11,484 11,871
12/29/2004 11,496 11,862
12/30/2004 11,541 11,898
12/31/2004 11,520 11,867
1/1/2005 11,520 11,867
1/2/2005 11,520 11,867
1/3/2005 11,337 11,678
1/4/2005 11,159 11,528
1/5/2005 11,027 11,377
1/6/2005 11,069 11,420
1/7/2005 11,001 11,345
1/8/2005 11,001 11,345
1/9/2005 11,001 11,345
1/10/2005 11,056 11,383
1/11/2005 10,988 11,309
1/12/2005 11,014 11,329
1/13/2005 11,018 11,313
1/14/2005 11,120 11,432
1/15/2005 11,120 11,432
1/16/2005 11,120 11,432
1/17/2005 11,120 11,432
1/18/2005 11,222 11,526
1/19/2005 11,125 11,437
1/20/2005 11,056 11,365
1/21/2005 11,001 11,307
1/22/2005 11,001 11,307
1/23/2005 11,001 11,307
1/24/2005 10,942 11,238
1/25/2005 10,950 11,227
1/26/2005 11,056 11,355
1/27/2005 11,069 11,392
1/28/2005 11,035 11,345
1/29/2005 11,035 11,345
1/30/2005 11,035 11,345
1/31/2005 11,184 11,546
2/1/2005 11,265 11,616
2/2/2005 11,324 11,679
2/3/2005 11,286 11,655
2/4/2005 11,452 11,831
2/5/2005 11,452 11,831
2/6/2005 11,452 11,831
2/7/2005 11,427 11,802
2/8/2005 11,486 11,832
2/9/2005 11,342 11,705
2/10/2005 11,367 11,743
2/11/2005 11,461 11,837
2/12/2005 11,461 11,837
2/13/2005 11,461 11,837
2/14/2005 11,478 11,886
2/15/2005 11,490 11,880
2/16/2005 11,546 11,929
2/17/2005 11,461 11,842
2/18/2005 11,435 11,808
2/19/2005 11,435 11,808
2/20/2005 11,435 11,808
2/21/2005 11,435 11,808
2/22/2005 11,239 11,565
2/23/2005 11,295 11,633
2/24/2005 11,435 11,737
2/25/2005 11,588 11,903
2/26/2005 11,588 11,903
2/27/2005 11,588 11,903
2/28/2005 11,512 11,834
3/1/2005 11,631 11,956
3/2/2005 11,601 11,895
3/3/2005 11,605 11,881
3/4/2005 11,754 12,029
3/5/2005 11,754 12,029
3/6/2005 11,754 12,029
3/7/2005 11,818 12,095
3/8/2005 11,707 11,987
3/9/2005 11,567 11,856
3/10/2005 11,567 11,882
3/11/2005 11,546 11,878
3/12/2005 11,546 11,878
3/13/2005 11,546 11,878
3/14/2005 11,661 12,009
3/15/2005 11,593 11,954
3/16/2005 11,503 11,838
3/17/2005 11,520 11,887
3/18/2005 11,465 11,822
3/19/2005 11,465 11,822
3/20/2005 11,465 11,822
3/21/2005 11,444 11,811
3/22/2005 11,380 11,703
3/23/2005 11,286 11,629
3/24/2005 11,307 11,670
3/25/2005 11,307 11,670
3/26/2005 11,307 11,670
3/27/2005 11,307 11,670
3/28/2005 11,324 11,689
3/29/2005 11,201 11,548
3/30/2005 11,329 11,688
3/31/2005 11,380 11,735
4/1/2005 11,350 11,711
4/2/2005 11,350 11,711
4/3/2005 11,350 11,711
4/4/2005 11,371 11,735
4/5/2005 11,359 11,786
4/6/2005 11,359 11,797
4/7/2005 11,418 11,860
4/8/2005 11,303 11,726
4/9/2005 11,303 11,726
4/10/2005 11,303 11,726
4/11/2005 11,261 11,690
4/12/2005 11,354 11,802
4/13/2005 11,210 11,642
4/14/2005 11,056 11,477
4/15/2005 10,861 11,283
4/16/2005 10,861 11,283
4/17/2005 10,861 11,283
4/18/2005 10,908 11,331
4/19/2005 11,039 11,475
4/20/2005 10,857 11,314
4/21/2005 11,031 11,502
4/22/2005 10,933 11,419
4/23/2005 10,933 11,419
4/24/2005 10,933 11,419
4/25/2005 11,069 11,555
4/26/2005 10,937 11,416
4/27/2005 10,967 11,474
4/28/2005 10,831 11,347
4/29/2005 10,929 11,472
4/30/2005 10,929 11,472
5/1/2005 10,929 11,472
5/2/2005 11,014 11,559
5/3/2005 10,963 11,520
5/4/2005 11,120 11,691
5/5/2005 11,129 11,678
5/6/2005 11,163 11,716
5/7/2005 11,163 11,716
5/8/2005 11,163 11,716
5/9/2005 11,222 11,789
5/10/2005 11,146 11,725
5/11/2005 11,193 11,777
5/12/2005 11,027 11,592
5/13/2005 10,954 11,479
5/14/2005 10,954 11,479
5/15/2005 10,954 11,479
5/16/2005 11,125 11,659
5/17/2005 11,205 11,770
5/18/2005 11,376 11,936
5/19/2005 11,410 11,956
5/20/2005 11,410 11,987
5/21/2005 11,410 11,987
5/22/2005 11,410 11,987
5/23/2005 11,469 12,033
5/24/2005 11,461 12,009
5/25/2005 11,376 11,943
5/26/2005 11,507 12,057
5/27/2005 11,533 12,087
5/28/2005 11,533 12,087
5/29/2005 11,533 12,087
5/30/2005 11,533 12,087
5/31/2005 11,550 12,111
6/1/2005 11,648 12,238
6/2/2005 11,682 12,266
6/3/2005 11,627 12,219
6/4/2005 11,627 12,219
6/5/2005 11,627 12,219
6/6/2005 11,673 12,261
6/7/2005 11,661 12,275
6/8/2005 11,618 12,261
6/9/2005 11,716 12,332
6/10/2005 11,707 12,391
6/11/2005 11,707 12,391
6/12/2005 11,707 12,391
6/13/2005 11,771 12,430
6/14/2005 11,822 12,496
6/15/2005 11,865 12,528
6/16/2005 11,963 12,608
6/17/2005 11,992 12,635
6/18/2005 11,992 12,635
6/19/2005 11,992 12,635
6/20/2005 11,954 12,597
6/21/2005 11,907 12,572
6/22/2005 11,933 12,598
6/23/2005 11,839 12,457
6/24/2005 11,712 12,334
6/25/2005 11,712 12,334
6/26/2005 11,712 12,334
6/27/2005 11,729 12,338
6/28/2005 11,869 12,506
6/29/2005 11,903 12,528
6/30/2005 11,869 12,513
7/1/2005 11,975 12,647
7/2/2005 11,975 12,647
7/3/2005 11,975 12,647
7/4/2005 11,975 12,647
7/5/2005 12,082 12,733
7/6/2005 12,009 12,652
7/7/2005 12,056 12,695
7/8/2005 12,192 12,860
7/9/2005 12,192 12,860
7/10/2005 12,192 12,860
7/11/2005 12,299 12,960
7/12/2005 12,316 12,973
7/13/2005 12,294 12,949
7/14/2005 12,239 12,883
7/15/2005 12,239 12,902
7/16/2005 12,239 12,902
7/17/2005 12,239 12,902
7/18/2005 12,209 12,878
7/19/2005 12,341 13,010
7/20/2005 12,418 13,109
7/21/2005 12,320 12,984
7/22/2005 12,456 13,118
7/23/2005 12,456 13,118
7/24/2005 12,456 13,118
7/25/2005 12,380 13,014
7/26/2005 12,448 13,073
7/27/2005 12,473 13,113
7/28/2005 12,571 13,254
7/29/2005 12,520 13,263
7/30/2005 12,520 13,263
7/31/2005 12,520 13,263
8/1/2005 12,520 13,231
8/2/2005 12,584 13,331
8/3/2005 12,541 13,308
8/4/2005 12,414 13,178
8/5/2005 12,277 13,001
8/6/2005 12,277 13,001
8/7/2005 12,277 13,001
8/8/2005 12,222 12,894
8/9/2005 12,256 12,944
8/10/2005 12,260 12,927
8/11/2005 12,350 13,027
8/12/2005 12,328 13,010
8/13/2005 12,328 13,010
8/14/2005 12,328 13,010
8/15/2005 12,363 13,065
8/16/2005 12,192 12,901
8/17/2005 12,180 12,907
8/18/2005 12,146 12,824
8/19/2005 12,175 12,855
8/20/2005 12,175 12,855
8/21/2005 12,175 12,855
8/22/2005 12,222 12,927
8/23/2005 12,180 12,879
8/24/2005 12,171 12,843
8/25/2005 12,235 12,957
8/26/2005 12,137 12,824
8/27/2005 12,137 12,824
8/28/2005 12,137 12,824
8/29/2005 12,197 12,899
8/30/2005 12,171 12,848
8/31/2005 12,354 13,076
9/1/2005 12,392 13,124
9/2/2005 12,324 13,082
9/3/2005 12,324 13,082
9/4/2005 12,324 13,082
9/5/2005 12,324 13,082
9/6/2005 12,431 13,204
9/7/2005 12,473 13,234
9/8/2005 12,409 13,162
9/9/2005 12,516 13,230
9/10/2005 12,516 13,230
9/11/2005 12,516 13,230
9/12/2005 12,503 13,283
9/13/2005 12,426 13,159
9/14/2005 12,387 13,088
9/15/2005 12,405 13,089
9/16/2005 12,469 13,157
9/17/2005 12,469 13,157
9/18/2005 12,469 13,157
9/19/2005 12,400 13,001
9/20/2005 12,298 12,871
9/21/2005 12,144 12,657
9/22/2005 12,139 12,667
9/23/2005 12,191 12,739
9/24/2005 12,191 12,739
9/25/2005 12,191 12,739
9/26/2005 12,259 12,767
9/27/2005 12,242 12,746
9/28/2005 12,208 12,721
9/29/2005 12,383 12,878
9/30/2005 12,435 12,917
10/1/2005 12,435 12,917
10/2/2005 12,435 12,917
10/3/2005 12,512 12,987
10/4/2005 12,383 12,863
10/5/2005 12,075 12,541
10/6/2005 11,955 12,476
10/7/2005 12,002 12,512
10/8/2005 12,002 12,512
10/9/2005 12,002 12,512
10/10/2005 11,891 12,373
10/11/2005 11,814 12,268
10/12/2005 11,656 12,113
10/13/2005 11,583 12,080
10/14/2005 11,737 12,194
10/15/2005 11,737 12,194
10/16/2005 11,737 12,194
10/17/2005 11,780 12,221
10/18/2005 11,635 12,092
10/19/2005 11,754 12,199
10/20/2005 11,575 12,016
10/21/2005 11,682 12,101
10/22/2005 11,682 12,101
10/23/2005 11,682 12,101
10/24/2005 11,934 12,363
10/25/2005 11,921 12,292
10/26/2005 11,853 12,197
10/27/2005 11,690 12,035
10/28/2005 11,874 12,241
10/29/2005 11,874 12,241
10/30/2005 11,874 12,241
10/31/2005 12,054 12,443
11/1/2005 12,032 12,370
11/2/2005 12,238 12,582
11/3/2005 12,242 12,572
11/4/2005 12,229 12,551
11/5/2005 12,229 12,551
11/6/2005 12,229 12,551
11/7/2005 12,246 12,615
11/8/2005 12,152 12,480
11/9/2005 12,212 12,547
11/10/2005 12,268 12,637
11/11/2005 12,328 12,678
11/12/2005 12,328 12,678
11/13/2005 12,328 12,678
11/14/2005 12,340 12,682
11/15/2005 12,281 12,596
11/16/2005 12,293 12,581
11/17/2005 12,435 12,754
11/18/2005 12,464 12,849
11/19/2005 12,464 12,849
11/20/2005 12,464 12,849
11/21/2005 12,533 12,927
11/22/2005 12,606 12,977
11/23/2005 12,636 13,025
11/24/2005 12,636 13,025
11/25/2005 12,653 13,031
11/26/2005 12,653 13,031
11/27/2005 12,653 13,031
11/28/2005 12,464 12,894
11/29/2005 12,533 12,971
11/30/2005 12,524 12,946
12/1/2005 12,734 13,134
12/2/2005 12,725 13,134
12/3/2005 12,725 13,134
12/4/2005 12,725 13,134
12/5/2005 12,674 13,065
12/6/2005 12,678 13,076
12/7/2005 12,623 13,054
12/8/2005 12,665 13,031
12/9/2005 12,730 13,153
12/10/2005 12,730 13,153
12/11/2005 12,730 13,153
12/12/2005 12,742 13,119
12/13/2005 12,755 13,150
12/14/2005 12,798 13,237
12/15/2005 12,755 13,166
12/16/2005 12,687 13,183
12/17/2005 12,687 13,183
12/18/2005 12,687 13,183
12/19/2005 12,503 12,996
12/20/2005 12,516 13,009
12/21/2005 12,559 13,056
12/22/2005 12,602 13,101
12/23/2005 12,641 13,149
12/24/2005 12,641 13,149
12/25/2005 12,641 13,149
12/26/2005 12,641 13,149
12/27/2005 12,505 13,003
12/28/2005 12,556 13,061
12/29/2005 12,563 13,064
12/30/2005 12,479 12,979
12/31/2005 12,479 12,979
1/1/2006 12,479 12,979
1/2/2006 12,479 12,979
1/3/2006 12,621 13,129
1/4/2006 12,686 13,200
1/5/2006 12,699 13,209
1/6/2006 12,796 13,312
1/7/2006 12,796 13,312
1/8/2006 12,796 13,312
1/9/2006 12,913 13,438
1/10/2006 12,939 13,463
1/11/2006 12,932 13,463
1/12/2006 12,861 13,385
1/13/2006 12,887 13,413
1/14/2006 12,887 13,413
1/15/2006 12,887 13,413
1/16/2006 12,887 13,413
1/17/2006 12,783 13,308
1/18/2006 12,783 13,310
1/19/2006 12,919 13,449
1/20/2006 12,712 13,234
1/21/2006 12,712 13,234
1/22/2006 12,712 13,234
1/23/2006 12,783 13,313
1/24/2006 12,971 13,510
1/25/2006 12,952 13,492
1/26/2006 13,055 13,600
1/27/2006 13,113 13,659
1/28/2006 13,113 13,659
1/29/2006 13,113 13,659
1/30/2006 13,094 13,644
1/31/2006 13,159 13,708
2/1/2006 13,211 13,764
2/2/2006 13,068 13,621
2/3/2006 13,029 13,579
2/4/2006 13,029 13,579
2/5/2006 13,029 13,579
2/6/2006 13,107 13,662
2/7/2006 12,990 13,537
2/8/2006 13,042 13,596
2/9/2006 13,010 13,559
2/10/2006 12,997 13,550
2/11/2006 12,997 13,550
2/12/2006 12,997 13,550
2/13/2006 12,932 13,484
2/14/2006 13,075 13,629
2/15/2006 13,139 13,698
2/16/2006 13,211 13,778
2/17/2006 13,217 13,784
2/18/2006 13,217 13,784
2/19/2006 13,217 13,784
2/20/2006 13,217 13,784
2/21/2006 13,172 13,742
2/22/2006 13,321 13,898
2/23/2006 13,249 13,820
2/24/2006 13,236 13,811
2/25/2006 13,236 13,811
2/26/2006 13,236 13,811
2/27/2006 13,314 13,891
2/28/2006 13,159 13,732
3/1/2006 13,249 13,828
3/2/2006 13,120 13,694
3/3/2006 13,068 13,640
3/4/2006 13,068 13,640
3/5/2006 13,068 13,640
3/6/2006 12,958 13,525
3/7/2006 12,854 13,417
3/8/2006 12,861 13,427
3/9/2006 12,867 13,435
3/10/2006 12,977 13,547
3/11/2006 12,977 13,547
3/12/2006 12,977 13,547
3/13/2006 12,997 13,571
3/14/2006 13,107 13,688
3/15/2006 13,198 13,781
3/16/2006 13,178 13,764
3/17/2006 13,204 13,790
3/18/2006 13,204 13,790
3/19/2006 13,204 13,790
3/20/2006 13,178 13,767
3/21/2006 13,062 13,643
3/22/2006 13,172 13,765
3/23/2006 13,120 13,708
3/24/2006 13,178 13,775
3/25/2006 13,178 13,775
3/26/2006 13,178 13,775
3/27/2006 13,204 13,801
3/28/2006 13,107 13,699
3/29/2006 13,275 13,879
3/30/2006 13,243 13,842
3/31/2006 13,230 13,832
4/1/2006 13,230 13,832
4/2/2006 13,230 13,832
4/3/2006 13,269 13,875
4/4/2006 13,308 13,917
4/5/2006 13,385 13,999
4/6/2006 13,359 13,967
4/7/2006 13,211 13,813
4/8/2006 13,211 13,813
4/9/2006 13,211 13,813
4/10/2006 13,152 13,754
4/11/2006 12,997 13,591
4/12/2006 13,068 13,667
4/13/2006 13,042 13,643
4/14/2006 13,042 13,643
4/15/2006 13,042 13,643
4/16/2006 13,042 13,643
4/17/2006 13,029 13,629
4/18/2006 13,327 13,946
4/19/2006 13,418 14,038
4/20/2006 13,495 14,124
4/21/2006 13,483 14,114
4/22/2006 13,483 14,114
4/23/2006 13,483 14,114
4/24/2006 13,437 14,064
4/25/2006 13,463 14,089
4/26/2006 13,470 14,096
4/27/2006 13,463 14,092
4/28/2006 13,457 14,087
4/29/2006 13,457 14,087
4/30/2006 13,457 14,087
5/1/2006 13,418 14,045
5/2/2006 13,476 14,113
5/3/2006 13,508 14,147
5/4/2006 13,625 14,268
5/5/2006 13,748 14,402
5/6/2006 13,748 14,402
5/7/2006 13,748 14,402
5/8/2006 13,774 14,426
5/9/2006 13,748 14,398
5/10/2006 13,696 14,345
5/11/2006 13,483 14,123
5/12/2006 13,217 13,843
5/13/2006 13,217 13,843
5/14/2006 13,217 13,843
5/15/2006 13,224 13,855
5/16/2006 13,178 13,807
5/17/2006 12,939 13,557
5/18/2006 12,867 13,479
5/19/2006 12,932 13,548
5/20/2006 12,932 13,548
5/21/2006 12,932 13,548
5/22/2006 12,913 13,531
5/23/2006 12,790 13,401
5/24/2006 12,874 13,489
5/25/2006 13,049 13,676
5/26/2006 13,126 13,759
5/27/2006 13,126 13,759
5/28/2006 13,126 13,759
5/29/2006 13,126 13,759
5/30/2006 12,874 13,493
5/31/2006 13,049 13,682
6/1/2006 13,269 13,913
6/2/2006 13,295 13,940
6/3/2006 13,295 13,940
6/4/2006 13,295 13,940
6/5/2006 13,010 13,639
6/6/2006 13,016 13,647
6/7/2006 12,926 13,553
6/8/2006 12,880 13,507
6/9/2006 12,900 13,528
6/10/2006 12,900 13,528
6/11/2006 12,900 13,528
6/12/2006 12,680 13,300
6/13/2006 12,505 13,112
6/14/2006 12,537 13,150
6/15/2006 12,893 13,521
6/16/2006 12,816 13,446
6/17/2006 12,816 13,446
6/18/2006 12,816 13,446
6/19/2006 12,654 13,275
6/20/2006 12,654 13,277
6/21/2006 12,848 13,481
6/22/2006 12,751 13,378
6/23/2006 12,822 13,454
6/24/2006 12,822 13,454
6/25/2006 12,822 13,454
6/26/2006 12,926 13,567
6/27/2006 12,783 13,419
6/28/2006 12,835 13,471
6/29/2006 13,198 13,855
6/30/2006 13,275 13,938
7/1/2006 13,275 13,938
7/2/2006 13,275 13,938
7/3/2006 13,347 14,013
7/4/2006 13,347 14,013
7/5/2006 13,217 13,876
7/6/2006 13,224 13,879
7/7/2006 13,159 13,820
7/8/2006 13,159 13,820
7/9/2006 13,159 13,820
7/10/2006 13,204 13,867
7/11/2006 13,301 13,969
7/12/2006 13,139 13,799
7/13/2006 12,906 13,549
7/14/2006 12,822 13,465
7/15/2006 12,822 13,465
7/16/2006 12,822 13,465
7/17/2006 12,783 13,422
7/18/2006 12,816 13,463
7/19/2006 13,049 13,712
7/20/2006 12,848 13,498
7/21/2006 12,731 13,381
7/22/2006 12,731 13,381
7/23/2006 12,731 13,381
7/24/2006 12,977 13,641
7/25/2006 13,062 13,728
7/26/2006 13,036 13,702
7/27/2006 12,913 13,573
7/28/2006 13,088 13,758
7/29/2006 13,088 13,758
7/30/2006 13,088 13,758
7/31/2006 13,055 13,726
8/1/2006 12,990 13,654
8/2/2006 13,049 13,715
8/3/2006 13,133 13,806
8/4/2006 13,100 13,777
8/5/2006 13,100 13,777
8/6/2006 13,100 13,777
8/7/2006 13,042 13,712
8/8/2006 12,977 13,648
8/9/2006 12,835 13,497
8/10/2006 12,887 13,549
8/11/2006 12,764 13,425
8/12/2006 12,764 13,425
8/13/2006 12,764 13,425
8/14/2006 12,835 13,500
8/15/2006 13,029 13,707
8/16/2006 13,178 13,864
8/17/2006 13,178 13,862
8/18/2006 13,185 13,875
8/19/2006 13,185 13,875
8/20/2006 13,185 13,875
8/21/2006 13,068 13,746
8/22/2006 13,094 13,778
8/23/2006 12,964 13,641
8/24/2006 12,945 13,624
8/25/2006 12,913 13,593
8/26/2006 12,913 13,593
8/27/2006 12,913 13,593
8/28/2006 13,042 13,732
8/29/2006 13,159 13,852
8/30/2006 13,191 13,887
8/31/2006 13,275 13,976
9/1/2006 13,301 14,006
9/2/2006 13,301 14,006
9/3/2006 13,301 14,006
9/4/2006 13,301 14,006
9/5/2006 13,353 14,065
9/6/2006 13,172 13,874
9/7/2006 13,107 13,806
9/8/2006 13,146 13,848
9/9/2006 13,146 13,848
9/10/2006 13,146 13,848
9/11/2006 13,172 13,872
9/12/2006 13,379 14,092
9/13/2006 13,450 14,167
9/14/2006 13,385 14,102
9/15/2006 13,366 14,085
9/16/2006 13,366 14,085
9/17/2006 13,366 14,085
9/18/2006 13,308 14,021
9/19/2006 13,275 13,985
9/20/2006 13,405 14,124
9/21/2006 13,256 13,968
9/22/2006 13,178 13,887
9/23/2006 13,178 13,887
9/24/2006 13,178 13,887
9/25/2006 13,301 14,019
9/26/2006 13,392 14,114
9/27/2006 13,418 14,142
9/28/2006 13,398 14,124
9/29/2006 13,308 14,029
9/30/2006 13,308 14,029
10/1/2006 13,308 14,029
10/2/2006 13,308 14,033
10/3/2006 13,321 14,046
10/4/2006 13,521 14,258
10/5/2006 13,625 14,366
10/6/2006 13,541 14,278
10/7/2006 13,541 14,278
10/8/2006 13,541 14,278
10/9/2006 13,599 14,342
10/10/2006 13,638 14,385
10/11/2006 13,638 14,388
10/12/2006 13,819 14,579
10/13/2006 13,878 14,638
10/14/2006 13,878 14,638
10/15/2006 13,878 14,638
10/16/2006 13,962 14,732
10/17/2006 13,897 14,665
10/18/2006 13,897 14,662
10/19/2006 13,968 14,739
10/20/2006 13,916 14,685
10/21/2006 13,916 14,685
10/22/2006 13,916 14,685
10/23/2006 13,968 14,744
10/24/2006 13,962 14,739
10/25/2006 14,033 14,812
10/26/2006 14,143 14,934
10/27/2006 13,975 14,753
10/28/2006 13,975 14,753
10/29/2006 13,975 14,753
10/30/2006 14,014 14,799
10/31/2006 13,975 14,760
11/1/2006 13,852 14,627
11/2/2006 13,819 14,595
11/3/2006 13,826 14,599
11/4/2006 13,826 14,599
11/5/2006 13,826 14,599
11/6/2006 14,046 14,839
11/7/2006 14,052 14,841
11/8/2006 14,169 14,965
11/9/2006 14,104 14,903
11/10/2006 14,221 15,025
11/11/2006 14,221 15,025
11/12/2006 14,221 15,025
11/13/2006 14,273 15,083
11/14/2006 14,441 15,257
11/15/2006 14,499 15,320
11/16/2006 14,512 15,341
11/17/2006 14,499 15,325
11/18/2006 14,499 15,325
11/19/2006 14,499 15,325
11/20/2006 14,519 15,350
11/21/2006 14,532 15,364
11/22/2006 14,596 15,433
11/23/2006 14,596 15,433
11/24/2006 14,603 15,438
11/25/2006 14,603 15,438
11/26/2006 14,603 15,438
11/27/2006 14,292 15,111
11/28/2006 14,331 15,158
11/29/2006 14,473 15,307
11/30/2006 14,493 15,328
12/1/2006 14,486 15,321
12/2/2006 14,486 15,321
12/3/2006 14,486 15,321
12/4/2006 14,700 15,554
12/5/2006 14,732 15,585
12/6/2006 14,687 15,538
12/7/2006 14,642 15,488
12/8/2006 14,610 15,459
12/9/2006 14,610 15,459
12/10/2006 14,610 15,459
12/11/2006 14,623 15,471
12/12/2006 14,544 15,387
12/13/2006 14,636 15,492
12/14/2006 14,766 15,629
12/15/2006 14,747 15,609
12/16/2006 14,747 15,609
12/17/2006 14,747 15,609
12/18/2006 14,583 15,446
12/19/2006 14,583 15,445
12/20/2006 14,623 15,492
12/21/2006 14,551 15,415
12/22/2006 14,531 15,395
12/23/2006 14,531 15,395
12/24/2006 14,531 15,395
12/25/2006 14,531 15,395
12/26/2006 14,681 15,560
12/27/2006 14,832 15,712
12/28/2006 14,747 15,622
12/29/2006 14,610 15,485
12/30/2006 14,610 15,485
12/31/2006 14,610 15,485
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND 17.08% 15.30%
S&P MIDCAP 400/CITIGROUP PURE VALUE INDEX 19.31% 17.85%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400/CITIGROUP PURE
VALUE INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT
FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/CITIGROUP
MID-CAP VALUE FUND PURE VALUE INDEX
OTHER 1.6% 7.4%
UTILITIES 24.0% 24.9%
CONSUMER DISCRETIONARY 18.8% 13.5%
FINANCIALS 16.8% 16.2%
MATERIALS 13.7% 12.5%
INDUSTRIALS 12.2% 14.7%
CONSUMER STAPLES 6.4%
INFORMATION TECHNOLOGY 6.1% 10.8%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Avis Budget Group, Inc. 2.3%
Furniture Brands International, Inc. 2.0%
Lear Corp. 2.0%
WPS Resources Corp. 1.8%
Lyondell Chemical Co. 1.8%
Energy East Corp. 1.7%
YRC Worldwide, Inc. 1.6%
Westwood One, Inc. 1.6%
Universal Corp. 1.6%
Bowater, Inc. 1.6%
- --------------------------------------------------------------------------------
Top Ten Total 18.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
OBJECTIVE: To provide investment results that match the performance of the
benchmark for large-cap value securities. The Fund's current benchmark is the
S&P 500/Citigroup Pure Value Index.
INCEPTION: May 3, 2004
Large-Cap Pure Value was the second best performing pure style index--the only
pure style index that performed better was Small-Cap Pure Value. The S&P
500/Citigroup Pure Value Index gained 20.05% in 2006, as value stocks
significantly outperformed growth stocks. Rydex Large-Cap Value Fund gained
17.66% for the period, with the utilities and financials sectors contributing
most to returns. Health care was the only losing sector within the S&P
500/Citigroup Pure Value Index.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP
DATE LARGE-CAP VALUE FUND PURE VALUE INDEX
5/3/2004 10,000 10,000
5/4/2004 10,008 10,048
5/5/2004 10,024 10,043
5/6/2004 9,928 9,922
5/7/2004 9,748 9,654
5/8/2004 9,748 9,654
5/9/2004 9,748 9,654
5/10/2004 9,600 9,517
5/11/2004 9,688 9,594
5/12/2004 9,744 9,590
5/13/2004 9,744 9,625
5/14/2004 9,764 9,658
5/15/2004 9,764 9,658
5/16/2004 9,764 9,658
5/17/2004 9,644 9,529
5/18/2004 9,716 9,657
5/19/2004 9,708 9,622
5/20/2004 9,716 9,629
5/21/2004 9,760 9,680
5/22/2004 9,760 9,680
5/23/2004 9,760 9,680
5/24/2004 9,804 9,746
5/25/2004 9,960 9,947
5/26/2004 9,972 9,984
5/27/2004 10,004 10,047
5/28/2004 10,004 10,049
5/29/2004 10,004 10,049
5/30/2004 10,004 10,049
5/31/2004 10,004 10,049
6/1/2004 10,008 10,076
6/2/2004 10,052 10,128
6/3/2004 9,972 10,030
6/4/2004 10,020 10,091
6/5/2004 10,020 10,091
6/6/2004 10,020 10,091
6/7/2004 10,180 10,281
6/8/2004 10,180 10,292
6/9/2004 10,088 10,191
6/10/2004 10,144 10,282
6/11/2004 10,144 10,282
6/12/2004 10,144 10,282
6/13/2004 10,144 10,282
6/14/2004 10,028 10,152
6/15/2004 10,080 10,276
6/16/2004 10,108 10,309
6/17/2004 10,112 10,356
6/18/2004 10,148 10,430
6/19/2004 10,148 10,430
6/20/2004 10,148 10,430
6/21/2004 10,108 10,423
6/22/2004 10,140 10,495
6/23/2004 10,224 10,648
6/24/2004 10,204 10,604
6/25/2004 10,160 10,589
6/26/2004 10,160 10,589
6/27/2004 10,160 10,589
6/28/2004 10,144 10,581
6/29/2004 10,156 10,599
6/30/2004 10,204 10,666
7/1/2004 10,120 10,543
7/2/2004 10,104 10,528
7/3/2004 10,104 10,528
7/4/2004 10,104 10,528
7/5/2004 10,104 10,528
7/6/2004 10,036 10,480
7/7/2004 10,056 10,495
7/8/2004 9,976 10,377
7/9/2004 10,004 10,429
7/10/2004 10,004 10,429
7/11/2004 10,004 10,429
7/12/2004 10,028 10,453
7/13/2004 10,032 10,464
7/14/2004 10,012 10,474
7/15/2004 9,976 10,468
7/16/2004 9,952 10,477
7/17/2004 9,952 10,477
7/18/2004 9,952 10,477
7/19/2004 9,964 10,497
7/20/2004 10,024 10,522
7/21/2004 9,900 10,371
7/22/2004 9,916 10,316
7/23/2004 9,868 10,275
7/24/2004 9,868 10,275
7/25/2004 9,868 10,275
7/26/2004 9,856 10,239
7/27/2004 9,952 10,329
7/28/2004 9,968 10,382
7/29/2004 10,028 10,454
7/30/2004 10,028 10,487
7/31/2004 10,028 10,487
8/1/2004 10,028 10,487
8/2/2004 10,068 10,520
8/3/2004 10,036 10,460
8/4/2004 10,008 10,432
8/5/2004 9,860 10,250
8/6/2004 9,720 10,105
8/7/2004 9,720 10,105
8/8/2004 9,720 10,105
8/9/2004 9,736 10,135
8/10/2004 9,852 10,260
8/11/2004 9,832 10,230
8/12/2004 9,712 10,122
8/13/2004 9,716 10,104
8/14/2004 9,716 10,104
8/15/2004 9,716 10,104
8/16/2004 9,872 10,273
8/17/2004 9,888 10,287
8/18/2004 10,004 10,408
8/19/2004 9,976 10,351
8/20/2004 10,056 10,411
8/21/2004 10,056 10,411
8/22/2004 10,056 10,411
8/23/2004 10,016 10,360
8/24/2004 10,024 10,373
8/25/2004 10,100 10,443
8/26/2004 10,108 10,462
8/27/2004 10,128 10,485
8/28/2004 10,128 10,485
8/29/2004 10,128 10,485
8/30/2004 10,064 10,429
8/31/2004 10,128 10,489
9/1/2004 10,136 10,512
9/2/2004 10,260 10,634
9/3/2004 10,236 10,611
9/4/2004 10,236 10,611
9/5/2004 10,236 10,611
9/6/2004 10,236 10,611
9/7/2004 10,316 10,716
9/8/2004 10,256 10,624
9/9/2004 10,276 10,653
9/10/2004 10,308 10,651
9/11/2004 10,308 10,651
9/12/2004 10,308 10,651
9/13/2004 10,324 10,685
9/14/2004 10,340 10,663
9/15/2004 10,276 10,611
9/16/2004 10,336 10,689
9/17/2004 10,376 10,732
9/18/2004 10,376 10,732
9/19/2004 10,376 10,732
9/20/2004 10,320 10,696
9/21/2004 10,412 10,785
9/22/2004 10,284 10,680
9/23/2004 10,220 10,614
9/24/2004 10,260 10,635
9/25/2004 10,260 10,635
9/26/2004 10,260 10,635
9/27/2004 10,188 10,570
9/28/2004 10,248 10,673
9/29/2004 10,264 10,671
9/30/2004 10,300 10,768
10/1/2004 10,448 10,899
10/2/2004 10,448 10,899
10/3/2004 10,448 10,899
10/4/2004 10,484 10,941
10/5/2004 10,472 10,941
10/6/2004 10,560 11,027
10/7/2004 10,488 10,921
10/8/2004 10,436 10,874
10/9/2004 10,436 10,874
10/10/2004 10,436 10,874
10/11/2004 10,448 10,856
10/12/2004 10,424 10,828
10/13/2004 10,324 10,666
10/14/2004 10,204 10,590
10/15/2004 10,248 10,624
10/16/2004 10,248 10,624
10/17/2004 10,248 10,624
10/18/2004 10,272 10,598
10/19/2004 10,148 10,442
10/20/2004 10,136 10,495
10/21/2004 10,156 10,526
10/22/2004 10,088 10,492
10/23/2004 10,088 10,492
10/24/2004 10,088 10,492
10/25/2004 10,104 10,528
10/26/2004 10,276 10,719
10/27/2004 10,360 10,766
10/28/2004 10,388 10,786
10/29/2004 10,432 10,860
10/30/2004 10,432 10,860
10/31/2004 10,432 10,860
11/1/2004 10,448 10,897
11/2/2004 10,440 10,856
11/3/2004 10,548 11,003
11/4/2004 10,740 11,238
11/5/2004 10,764 11,331
11/6/2004 10,764 11,331
11/7/2004 10,764 11,331
11/8/2004 10,740 11,326
11/9/2004 10,732 11,346
11/10/2004 10,744 11,367
11/11/2004 10,836 11,481
11/12/2004 10,944 11,610
11/13/2004 10,944 11,610
11/14/2004 10,944 11,610
11/15/2004 10,912 11,590
11/16/2004 10,836 11,526
11/17/2004 10,896 11,632
11/18/2004 10,908 11,649
11/19/2004 10,804 11,581
11/20/2004 10,804 11,581
11/21/2004 10,804 11,581
11/22/2004 10,892 11,710
11/23/2004 10,924 11,725
11/24/2004 10,972 11,821
11/25/2004 10,972 11,821
11/26/2004 10,992 11,886
11/27/2004 10,992 11,886
11/28/2004 10,992 11,886
11/29/2004 10,952 11,831
11/30/2004 10,920 11,787
12/1/2004 11,060 11,880
12/2/2004 11,004 11,780
12/3/2004 11,004 11,820
12/4/2004 11,004 11,820
12/5/2004 11,004 11,820
12/6/2004 11,012 11,808
12/7/2004 10,888 11,649
12/8/2004 10,928 11,655
12/9/2004 10,984 11,695
12/10/2004 10,976 11,708
12/11/2004 10,976 11,708
12/12/2004 10,976 11,708
12/13/2004 11,088 11,851
12/14/2004 11,120 11,905
12/15/2004 11,152 12,013
12/16/2004 11,108 11,961
12/17/2004 11,056 11,937
12/18/2004 11,056 11,937
12/19/2004 11,056 11,937
12/20/2004 11,044 11,947
12/21/2004 11,156 12,057
12/22/2004 11,208 12,070
12/23/2004 11,208 12,065
12/24/2004 11,208 12,065
12/25/2004 11,208 12,065
12/26/2004 11,208 12,065
12/27/2004 11,168 11,988
12/28/2004 11,252 12,086
12/29/2004 11,260 12,120
12/30/2004 11,261 12,124
12/31/2004 11,249 12,110
1/1/2005 11,249 12,110
1/2/2005 11,249 12,110
1/3/2005 11,143 11,927
1/4/2005 11,013 11,772
1/5/2005 10,976 11,639
1/6/2005 11,025 11,705
1/7/2005 10,993 11,679
1/8/2005 10,993 11,679
1/9/2005 10,993 11,679
1/10/2005 11,017 11,727
1/11/2005 10,944 11,658
1/12/2005 10,972 11,700
1/13/2005 10,895 11,702
1/14/2005 10,952 11,790
1/15/2005 10,952 11,790
1/16/2005 10,952 11,790
1/17/2005 10,952 11,790
1/18/2005 11,074 11,883
1/19/2005 10,960 11,808
1/20/2005 10,883 11,687
1/21/2005 10,818 11,639
1/22/2005 10,818 11,639
1/23/2005 10,818 11,639
1/24/2005 10,797 11,606
1/25/2005 10,814 11,610
1/26/2005 10,879 11,720
1/27/2005 10,879 11,764
1/28/2005 10,850 11,735
1/29/2005 10,850 11,735
1/30/2005 10,850 11,735
1/31/2005 10,960 11,884
2/1/2005 11,033 12,003
2/2/2005 11,054 12,085
2/3/2005 11,033 12,111
2/4/2005 11,159 12,254
2/5/2005 11,159 12,254
2/6/2005 11,159 12,254
2/7/2005 11,155 12,203
2/8/2005 11,159 12,217
2/9/2005 11,086 12,126
2/10/2005 11,135 12,184
2/11/2005 11,216 12,277
2/12/2005 11,216 12,277
2/13/2005 11,216 12,277
2/14/2005 11,212 12,302
2/15/2005 11,245 12,357
2/16/2005 11,240 12,426
2/17/2005 11,143 12,331
2/18/2005 11,135 12,338
2/19/2005 11,135 12,338
2/20/2005 11,135 12,338
2/21/2005 11,135 12,338
2/22/2005 10,976 12,114
2/23/2005 11,045 12,204
2/24/2005 11,119 12,313
2/25/2005 11,232 12,488
2/26/2005 11,232 12,488
2/27/2005 11,232 12,488
2/28/2005 11,139 12,400
3/1/2005 11,212 12,451
3/2/2005 11,204 12,444
3/3/2005 11,208 12,528
3/4/2005 11,330 12,693
3/5/2005 11,330 12,693
3/6/2005 11,330 12,693
3/7/2005 11,366 12,721
3/8/2005 11,314 12,654
3/9/2005 11,184 12,498
3/10/2005 11,200 12,484
3/11/2005 11,123 12,489
3/12/2005 11,123 12,489
3/13/2005 11,123 12,489
3/14/2005 11,208 12,598
3/15/2005 11,123 12,506
3/16/2005 11,037 12,367
3/17/2005 11,054 12,445
3/18/2005 11,037 12,408
3/19/2005 11,037 12,408
3/20/2005 11,037 12,408
3/21/2005 10,968 12,382
3/22/2005 10,830 12,232
3/23/2005 10,826 12,184
3/24/2005 10,818 12,207
3/25/2005 10,818 12,207
3/26/2005 10,818 12,207
3/27/2005 10,818 12,207
3/28/2005 10,838 12,151
3/29/2005 10,761 11,996
3/30/2005 10,907 12,172
3/31/2005 10,928 12,288
4/1/2005 10,858 12,320
4/2/2005 10,858 12,320
4/3/2005 10,858 12,320
4/4/2005 10,883 12,312
4/5/2005 10,915 12,342
4/6/2005 10,960 12,396
4/7/2005 11,013 12,438
4/8/2005 10,915 12,311
4/9/2005 10,915 12,311
4/10/2005 10,915 12,311
4/11/2005 10,919 12,331
4/12/2005 10,988 12,352
4/13/2005 10,846 12,173
4/14/2005 10,720 12,001
4/15/2005 10,525 11,701
4/16/2005 10,525 11,701
4/17/2005 10,525 11,701
4/18/2005 10,574 11,798
4/19/2005 10,647 11,936
4/20/2005 10,501 11,779
4/21/2005 10,676 12,001
4/22/2005 10,619 11,956
4/23/2005 10,619 11,956
4/24/2005 10,619 11,956
4/25/2005 10,716 12,071
4/26/2005 10,619 11,928
4/27/2005 10,672 11,920
4/28/2005 10,562 11,778
4/29/2005 10,688 11,920
4/30/2005 10,688 11,920
5/1/2005 10,688 11,920
5/2/2005 10,737 12,007
5/3/2005 10,712 11,969
5/4/2005 10,879 12,159
5/5/2005 10,842 12,108
5/6/2005 10,822 12,137
5/7/2005 10,822 12,137
5/8/2005 10,822 12,137
5/9/2005 10,903 12,260
5/10/2005 10,777 12,143
5/11/2005 10,814 12,165
5/12/2005 10,692 11,934
5/13/2005 10,619 11,780
5/14/2005 10,619 11,780
5/15/2005 10,619 11,780
5/16/2005 10,732 11,888
5/17/2005 10,822 12,022
5/18/2005 10,936 12,163
5/19/2005 10,984 12,246
5/20/2005 10,972 12,267
5/21/2005 10,972 12,267
5/22/2005 10,972 12,267
5/23/2005 11,009 12,298
5/24/2005 11,005 12,304
5/25/2005 10,968 12,309
5/26/2005 11,049 12,411
5/27/2005 11,062 12,470
5/28/2005 11,062 12,470
5/29/2005 11,062 12,470
5/30/2005 11,062 12,470
5/31/2005 11,005 12,451
6/1/2005 11,102 12,582
6/2/2005 11,114 12,600
6/3/2005 11,062 12,580
6/4/2005 11,062 12,580
6/5/2005 11,062 12,580
6/6/2005 11,074 12,615
6/7/2005 11,062 12,624
6/8/2005 11,058 12,647
6/9/2005 11,110 12,714
6/10/2005 11,110 12,747
6/11/2005 11,110 12,747
6/12/2005 11,110 12,747
6/13/2005 11,147 12,811
6/14/2005 11,184 12,901
6/15/2005 11,216 12,930
6/16/2005 11,265 12,984
6/17/2005 11,334 13,085
6/18/2005 11,334 13,085
6/19/2005 11,334 13,085
6/20/2005 11,330 13,077
6/21/2005 11,318 13,046
6/22/2005 11,330 13,064
6/23/2005 11,224 12,963
6/24/2005 11,155 12,872
6/25/2005 11,155 12,872
6/26/2005 11,155 12,872
6/27/2005 11,135 12,895
6/28/2005 11,216 13,013
6/29/2005 11,224 13,016
6/30/2005 11,155 12,974
7/1/2005 11,188 13,093
7/2/2005 11,188 13,093
7/3/2005 11,188 13,093
7/4/2005 11,188 13,093
7/5/2005 11,277 13,231
7/6/2005 11,192 13,116
7/7/2005 11,220 13,187
7/8/2005 11,330 13,296
7/9/2005 11,330 13,296
7/10/2005 11,330 13,296
7/11/2005 11,387 13,393
7/12/2005 11,407 13,415
7/13/2005 11,423 13,406
7/14/2005 11,440 13,362
7/15/2005 11,460 13,357
7/16/2005 11,460 13,357
7/17/2005 11,460 13,357
7/18/2005 11,383 13,331
7/19/2005 11,436 13,447
7/20/2005 11,484 13,537
7/21/2005 11,395 13,387
7/22/2005 11,472 13,538
7/23/2005 11,472 13,538
7/24/2005 11,472 13,538
7/25/2005 11,431 13,501
7/26/2005 11,452 13,519
7/27/2005 11,501 13,608
7/28/2005 11,570 13,741
7/29/2005 11,488 13,690
7/30/2005 11,488 13,690
7/31/2005 11,488 13,690
8/1/2005 11,496 13,689
8/2/2005 11,570 13,810
8/3/2005 11,586 13,820
8/4/2005 11,517 13,745
8/5/2005 11,403 13,551
8/6/2005 11,403 13,551
8/7/2005 11,403 13,551
8/8/2005 11,375 13,477
8/9/2005 11,448 13,548
8/10/2005 11,452 13,621
8/11/2005 11,529 13,703
8/12/2005 11,464 13,650
8/13/2005 11,464 13,650
8/14/2005 11,464 13,650
8/15/2005 11,501 13,671
8/16/2005 11,379 13,486
8/17/2005 11,387 13,432
8/18/2005 11,366 13,402
8/19/2005 11,383 13,481
8/20/2005 11,383 13,481
8/21/2005 11,383 13,481
8/22/2005 11,403 13,516
8/23/2005 11,362 13,489
8/24/2005 11,285 13,480
8/25/2005 11,310 13,554
8/26/2005 11,236 13,463
8/27/2005 11,236 13,463
8/28/2005 11,236 13,463
8/29/2005 11,293 13,551
8/30/2005 11,269 13,575
8/31/2005 11,391 13,797
9/1/2005 11,419 13,915
9/2/2005 11,383 13,850
9/3/2005 11,383 13,850
9/4/2005 11,383 13,850
9/5/2005 11,383 13,850
9/6/2005 11,509 13,985
9/7/2005 11,537 14,045
9/8/2005 11,486 13,969
9/9/2005 11,589 14,153
9/10/2005 11,589 14,153
9/11/2005 11,589 14,153
9/12/2005 11,577 14,095
9/13/2005 11,494 13,993
9/14/2005 11,478 14,017
9/15/2005 11,486 13,994
9/16/2005 11,601 14,079
9/17/2005 11,601 14,079
9/18/2005 11,601 14,079
9/19/2005 11,531 13,923
9/20/2005 11,432 13,755
9/21/2005 11,313 13,601
9/22/2005 11,346 13,621
9/23/2005 11,354 13,696
9/24/2005 11,354 13,696
9/25/2005 11,354 13,696
9/26/2005 11,366 13,649
9/27/2005 11,354 13,632
9/28/2005 11,371 13,678
9/29/2005 11,490 13,776
9/30/2005 11,490 13,846
10/1/2005 11,490 13,846
10/2/2005 11,490 13,846
10/3/2005 11,486 13,846
10/4/2005 11,358 13,701
10/5/2005 11,185 13,417
10/6/2005 11,127 13,303
10/7/2005 11,173 13,330
10/8/2005 11,173 13,330
10/9/2005 11,173 13,330
10/10/2005 11,070 13,023
10/11/2005 11,041 12,945
10/12/2005 10,954 12,839
10/13/2005 10,925 12,803
10/14/2005 11,016 12,915
10/15/2005 11,016 12,915
10/16/2005 11,016 12,915
10/17/2005 11,057 13,027
10/18/2005 10,942 12,852
10/19/2005 11,094 12,987
10/20/2005 10,905 12,829
10/21/2005 10,946 12,847
10/22/2005 10,946 12,847
10/23/2005 10,946 12,847
10/24/2005 11,156 13,083
10/25/2005 11,140 13,045
10/26/2005 11,103 13,015
10/27/2005 10,999 12,855
10/28/2005 11,197 13,079
10/29/2005 11,197 13,079
10/30/2005 11,197 13,079
10/31/2005 11,280 13,260
11/1/2005 11,259 13,234
11/2/2005 11,383 13,381
11/3/2005 11,404 13,366
11/4/2005 11,395 13,387
11/5/2005 11,395 13,387
11/6/2005 11,395 13,387
11/7/2005 11,420 13,438
11/8/2005 11,383 13,329
11/9/2005 11,412 13,363
11/10/2005 11,507 13,444
11/11/2005 11,548 13,474
11/12/2005 11,548 13,474
11/13/2005 11,548 13,474
11/14/2005 11,544 13,486
11/15/2005 11,469 13,405
11/16/2005 11,482 13,423
11/17/2005 11,614 13,597
11/18/2005 11,659 13,706
11/19/2005 11,659 13,706
11/20/2005 11,659 13,706
11/21/2005 11,713 13,725
11/22/2005 11,787 13,757
11/23/2005 11,845 13,818
11/24/2005 11,845 13,818
11/25/2005 11,865 13,832
11/26/2005 11,865 13,832
11/27/2005 11,865 13,832
11/28/2005 11,762 13,734
11/29/2005 11,775 13,740
11/30/2005 11,684 13,655
12/1/2005 11,832 13,827
12/2/2005 11,824 13,821
12/3/2005 11,824 13,821
12/4/2005 11,824 13,821
12/5/2005 11,803 13,776
12/6/2005 11,816 13,787
12/7/2005 11,750 13,717
12/8/2005 11,750 13,717
12/9/2005 11,791 13,797
12/10/2005 11,791 13,797
12/11/2005 11,791 13,797
12/12/2005 11,791 13,789
12/13/2005 11,869 13,866
12/14/2005 11,927 13,948
12/15/2005 11,886 13,897
12/16/2005 11,853 13,892
12/17/2005 11,853 13,892
12/18/2005 11,853 13,892
12/19/2005 11,758 13,772
12/20/2005 11,742 13,756
12/21/2005 11,791 13,814
12/22/2005 11,846 13,877
12/23/2005 11,850 13,884
12/24/2005 11,850 13,884
12/25/2005 11,850 13,884
12/26/2005 11,850 13,884
12/27/2005 11,766 13,790
12/28/2005 11,787 13,814
12/29/2005 11,783 13,807
12/30/2005 11,720 13,735
12/31/2005 11,720 13,735
1/1/2006 11,720 13,735
1/2/2006 11,720 13,735
1/3/2006 11,875 13,918
1/4/2006 11,963 14,024
1/5/2006 11,976 14,042
1/6/2006 12,073 14,156
1/7/2006 12,073 14,156
1/8/2006 12,073 14,156
1/9/2006 12,161 14,259
1/10/2006 12,152 14,252
1/11/2006 12,165 14,269
1/12/2006 12,073 14,161
1/13/2006 12,073 14,161
1/14/2006 12,073 14,161
1/15/2006 12,073 14,161
1/16/2006 12,073 14,161
1/17/2006 11,997 14,071
1/18/2006 11,984 14,057
1/19/2006 12,022 14,105
1/20/2006 11,867 13,920
1/21/2006 11,867 13,920
1/22/2006 11,867 13,920
1/23/2006 11,930 13,998
1/24/2006 12,022 14,107
1/25/2006 12,014 14,098
1/26/2006 12,077 14,170
1/27/2006 12,173 14,286
1/28/2006 12,173 14,286
1/29/2006 12,173 14,286
1/30/2006 12,169 14,286
1/31/2006 12,119 14,224
2/1/2006 12,140 14,253
2/2/2006 12,026 14,118
2/3/2006 11,934 14,013
2/4/2006 11,934 14,013
2/5/2006 11,934 14,013
2/6/2006 11,989 14,077
2/7/2006 11,888 13,957
2/8/2006 11,926 14,006
2/9/2006 11,913 13,990
2/10/2006 11,947 14,033
2/11/2006 11,947 14,033
2/12/2006 11,947 14,033
2/13/2006 11,905 13,985
2/14/2006 12,056 14,160
2/15/2006 12,081 14,194
2/16/2006 12,165 14,298
2/17/2006 12,194 14,331
2/18/2006 12,194 14,331
2/19/2006 12,194 14,331
2/20/2006 12,194 14,331
2/21/2006 12,178 14,318
2/22/2006 12,278 14,434
2/23/2006 12,220 14,369
2/24/2006 12,182 14,325
2/25/2006 12,182 14,325
2/26/2006 12,182 14,325
2/27/2006 12,215 14,363
2/28/2006 12,098 14,225
3/1/2006 12,173 14,315
3/2/2006 12,119 14,251
3/3/2006 12,094 14,224
3/4/2006 12,094 14,224
3/5/2006 12,094 14,224
3/6/2006 12,010 14,128
3/7/2006 11,968 14,081
3/8/2006 11,984 14,103
3/9/2006 11,951 14,060
3/10/2006 12,068 14,203
3/11/2006 12,068 14,203
3/12/2006 12,068 14,203
3/13/2006 12,102 14,243
3/14/2006 12,245 14,411
3/15/2006 12,308 14,490
3/16/2006 12,371 14,565
3/17/2006 12,396 14,595
3/18/2006 12,396 14,595
3/19/2006 12,396 14,595
3/20/2006 12,341 14,535
3/21/2006 12,278 14,460
3/22/2006 12,354 14,550
3/23/2006 12,337 14,531
3/24/2006 12,358 14,556
3/25/2006 12,358 14,556
3/26/2006 12,358 14,556
3/27/2006 12,362 14,559
3/28/2006 12,287 14,471
3/29/2006 12,379 14,579
3/30/2006 12,287 14,473
3/31/2006 12,236 14,415
4/1/2006 12,236 14,415
4/2/2006 12,236 14,415
4/3/2006 12,283 14,470
4/4/2006 12,371 14,576
4/5/2006 12,442 14,662
4/6/2006 12,400 14,613
4/7/2006 12,266 14,459
4/8/2006 12,266 14,459
4/9/2006 12,266 14,459
4/10/2006 12,253 14,443
4/11/2006 12,152 14,326
4/12/2006 12,207 14,389
4/13/2006 12,203 14,388
4/14/2006 12,203 14,388
4/15/2006 12,203 14,388
4/16/2006 12,203 14,388
4/17/2006 12,194 14,376
4/18/2006 12,438 14,664
4/19/2006 12,480 14,716
4/20/2006 12,518 14,761
4/21/2006 12,514 14,760
4/22/2006 12,514 14,760
4/23/2006 12,514 14,760
4/24/2006 12,493 14,734
4/25/2006 12,417 14,646
4/26/2006 12,514 14,759
4/27/2006 12,556 14,812
4/28/2006 12,598 14,861
4/29/2006 12,598 14,861
4/30/2006 12,598 14,861
5/1/2006 12,564 14,822
5/2/2006 12,669 14,947
5/3/2006 12,623 14,892
5/4/2006 12,657 14,937
5/5/2006 12,791 15,098
5/6/2006 12,791 15,098
5/7/2006 12,791 15,098
5/8/2006 12,820 15,131
5/9/2006 12,825 15,136
5/10/2006 12,867 15,189
5/11/2006 12,694 14,985
5/12/2006 12,522 14,784
5/13/2006 12,522 14,784
5/14/2006 12,522 14,784
5/15/2006 12,522 14,785
5/16/2006 12,467 14,720
5/17/2006 12,245 14,455
5/18/2006 12,169 14,365
5/19/2006 12,257 14,468
5/20/2006 12,257 14,468
5/21/2006 12,257 14,468
5/22/2006 12,220 14,426
5/23/2006 12,152 14,347
5/24/2006 12,152 14,345
5/25/2006 12,333 14,560
5/26/2006 12,446 14,698
5/27/2006 12,446 14,698
5/28/2006 12,446 14,698
5/29/2006 12,446 14,698
5/30/2006 12,236 14,450
5/31/2006 12,383 14,627
6/1/2006 12,560 14,835
6/2/2006 12,564 14,843
6/3/2006 12,564 14,843
6/4/2006 12,564 14,843
6/5/2006 12,341 14,580
6/6/2006 12,299 14,530
6/7/2006 12,228 14,447
6/8/2006 12,257 14,482
6/9/2006 12,241 14,466
6/10/2006 12,241 14,466
6/11/2006 12,241 14,466
6/12/2006 12,094 14,291
6/13/2006 11,938 14,105
6/14/2006 11,968 14,141
6/15/2006 12,262 14,494
6/16/2006 12,203 14,422
6/17/2006 12,203 14,422
6/18/2006 12,203 14,422
6/19/2006 12,089 14,288
6/20/2006 12,089 14,289
6/21/2006 12,207 14,430
6/22/2006 12,182 14,400
6/23/2006 12,190 14,413
6/24/2006 12,190 14,413
6/25/2006 12,190 14,413
6/26/2006 12,270 14,508
6/27/2006 12,140 14,357
6/28/2006 12,211 14,441
6/29/2006 12,459 14,734
6/30/2006 12,489 14,777
7/1/2006 12,489 14,777
7/2/2006 12,489 14,777
7/3/2006 12,552 14,854
7/4/2006 12,552 14,854
7/5/2006 12,438 14,717
7/6/2006 12,451 14,734
7/7/2006 12,404 14,680
7/8/2006 12,404 14,680
7/9/2006 12,404 14,680
7/10/2006 12,459 14,748
7/11/2006 12,489 14,784
7/12/2006 12,367 14,639
7/13/2006 12,165 14,405
7/14/2006 12,098 14,323
7/15/2006 12,098 14,323
7/16/2006 12,098 14,323
7/17/2006 12,068 14,291
7/18/2006 12,085 14,311
7/19/2006 12,283 14,546
7/20/2006 12,178 14,418
7/21/2006 12,089 14,317
7/22/2006 12,089 14,317
7/23/2006 12,089 14,317
7/24/2006 12,274 14,539
7/25/2006 12,383 14,672
7/26/2006 12,392 14,681
7/27/2006 12,283 14,554
7/28/2006 12,417 14,714
7/29/2006 12,417 14,714
7/30/2006 12,417 14,714
7/31/2006 12,409 14,706
8/1/2006 12,325 14,606
8/2/2006 12,396 14,694
8/3/2006 12,467 14,778
8/4/2006 12,446 14,756
8/5/2006 12,446 14,756
8/6/2006 12,446 14,756
8/7/2006 12,413 14,715
8/8/2006 12,375 14,669
8/9/2006 12,287 14,566
8/10/2006 12,333 14,621
8/11/2006 12,278 14,562
8/12/2006 12,278 14,562
8/13/2006 12,278 14,562
8/14/2006 12,312 14,602
8/15/2006 12,476 14,803
8/16/2006 12,581 14,929
8/17/2006 12,581 14,930
8/18/2006 12,594 14,949
8/19/2006 12,594 14,949
8/20/2006 12,594 14,949
8/21/2006 12,526 14,870
8/22/2006 12,552 14,898
8/23/2006 12,476 14,807
8/24/2006 12,467 14,800
8/25/2006 12,459 14,793
8/26/2006 12,459 14,793
8/27/2006 12,459 14,793
8/28/2006 12,539 14,885
8/29/2006 12,573 14,927
8/30/2006 12,547 14,898
8/31/2006 12,598 14,959
9/1/2006 12,657 15,030
9/2/2006 12,657 15,030
9/3/2006 12,657 15,030
9/4/2006 12,657 15,030
9/5/2006 12,678 15,058
9/6/2006 12,581 14,942
9/7/2006 12,531 14,884
9/8/2006 12,602 14,970
9/9/2006 12,602 14,970
9/10/2006 12,602 14,970
9/11/2006 12,581 14,947
9/12/2006 12,728 15,122
9/13/2006 12,795 15,203
9/14/2006 12,745 15,147
9/15/2006 12,728 15,125
9/16/2006 12,728 15,125
9/17/2006 12,728 15,125
9/18/2006 12,711 15,108
9/19/2006 12,686 15,079
9/20/2006 12,749 15,154
9/21/2006 12,644 15,029
9/22/2006 12,610 14,990
9/23/2006 12,610 14,990
9/24/2006 12,610 14,990
9/25/2006 12,736 15,143
9/26/2006 12,833 15,260
9/27/2006 12,850 15,281
9/28/2006 12,871 15,304
9/29/2006 12,808 15,231
9/30/2006 12,808 15,231
10/1/2006 12,808 15,231
10/2/2006 12,812 15,238
10/3/2006 12,846 15,278
10/4/2006 12,976 15,432
10/5/2006 12,976 15,432
10/6/2006 12,892 15,336
10/7/2006 12,892 15,336
10/8/2006 12,892 15,336
10/9/2006 12,938 15,392
10/10/2006 13,001 15,466
10/11/2006 13,022 15,493
10/12/2006 13,148 15,646
10/13/2006 13,198 15,705
10/14/2006 13,198 15,705
10/15/2006 13,198 15,705
10/16/2006 13,249 15,768
10/17/2006 13,203 15,711
10/18/2006 13,215 15,728
10/19/2006 13,211 15,727
10/20/2006 13,203 15,716
10/21/2006 13,203 15,716
10/22/2006 13,203 15,716
10/23/2006 13,291 15,821
10/24/2006 13,337 15,879
10/25/2006 13,354 15,898
10/26/2006 13,413 15,971
10/27/2006 13,299 15,838
10/28/2006 13,299 15,838
10/29/2006 13,299 15,838
10/30/2006 13,333 15,877
10/31/2006 13,287 15,823
11/1/2006 13,224 15,751
11/2/2006 13,203 15,725
11/3/2006 13,123 15,636
11/4/2006 13,123 15,636
11/5/2006 13,123 15,636
11/6/2006 13,261 15,804
11/7/2006 13,278 15,821
11/8/2006 13,329 15,883
11/9/2006 13,278 15,825
11/10/2006 13,345 15,905
11/11/2006 13,345 15,905
11/12/2006 13,345 15,905
11/13/2006 13,379 15,945
11/14/2006 13,488 16,076
11/15/2006 13,497 16,090
11/16/2006 13,534 16,140
11/17/2006 13,509 16,111
11/18/2006 13,509 16,111
11/19/2006 13,509 16,111
11/20/2006 13,509 16,111
11/21/2006 13,539 16,146
11/22/2006 13,555 16,169
11/23/2006 13,555 16,169
11/24/2006 13,543 16,152
11/25/2006 13,543 16,152
11/26/2006 13,543 16,152
11/27/2006 13,354 15,927
11/28/2006 13,375 15,953
11/29/2006 13,543 16,155
11/30/2006 13,581 16,200
12/1/2006 13,530 16,146
12/2/2006 13,530 16,146
12/3/2006 13,530 16,146
12/4/2006 13,698 16,344
12/5/2006 13,736 16,392
12/6/2006 13,715 16,369
12/7/2006 13,660 16,305
12/8/2006 13,681 16,331
12/9/2006 13,681 16,331
12/10/2006 13,681 16,331
12/11/2006 13,720 16,380
12/12/2006 13,712 16,367
12/13/2006 13,716 16,374
12/14/2006 13,829 16,512
12/15/2006 13,820 16,500
12/16/2006 13,820 16,500
12/17/2006 13,820 16,500
12/18/2006 13,746 16,426
12/19/2006 13,764 16,445
12/20/2006 13,785 16,474
12/21/2006 13,742 16,420
12/22/2006 13,703 16,380
12/23/2006 13,703 16,380
12/24/2006 13,703 16,380
12/25/2006 13,703 16,380
12/26/2006 13,781 16,474
12/27/2006 13,889 16,602
12/28/2006 13,850 16,557
12/29/2006 13,790 16,489
12/30/2006 13,790 16,489
12/31/2006 13,790 16,489
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND 17.66% 12.82%
S&P 500/CITIGROUP PURE VALUE INDEX 20.05% 20.66%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500/CITIGROUP PURE VALUE
INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES
OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP
LARGE-CAP VALUE FUND PURE VALUE INDEX
OTHER 9.9% 8.9%
FINANCIALS 23.8% 20.8%
UTILITIES 20.1% 16.6%
CONSUMER DISCRETIONARY 16.4% 16.8%
MATERIALS 8.4% 11.5%
CONSUMER STAPLES 7.6% 8.8%
TELECOMMUNICATION SERVICES 7.5%
INDUSTRIALS 5.7% 10.2%
INFORMATION TECHNOLOGY 6.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Ford Motor Co. 2.3%
Fannie Mae 1.8%
Embarq Corp. 1.8%
Sanmina-SCI Corp. 1.7%
Supervalu, Inc. 1.4%
Dillard's, Inc. -- Class A 1.3%
General Motors Corp. 1.3%
DTE Energy Co. 1.3%
NiSource, Inc. 1.2%
Keyspan Corp. 1.2%
- --------------------------------------------------------------------------------
Top Ten Total 15.3%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 27
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 3, 2004
For 2006, the S&P SmallCap 600/Citigroup Pure Growth Index posted its fourth
consecutive annual gain. Growth stocks underperformed value stocks in 2006;
however, the index was still able to gain 9.79%, as small-capitalization stocks
performed well in general. Rydex Small-Cap Growth Fund gained 7.73% for the
period, as the health care, information technology and consumer staples sectors
helped drive returns.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P SMALL CAP 600/
DATE SMALL-CAP GROWTH FUND CITIGROUP PURE GROWTH INDEX
5/3/2004 10,000 10,000
5/4/2004 10,056 9,998
5/5/2004 10,104 10,022
5/6/2004 9,976 9,862
5/7/2004 9,748 9,591
5/8/2004 9,748 9,591
5/9/2004 9,748 9,591
5/10/2004 9,560 9,413
5/11/2004 9,752 9,575
5/12/2004 9,752 9,588
5/13/2004 9,720 9,540
5/14/2004 9,664 9,525
5/15/2004 9,664 9,525
5/16/2004 9,664 9,525
5/17/2004 9,520 9,423
5/18/2004 9,628 9,505
5/19/2004 9,616 9,466
5/20/2004 9,612 9,460
5/21/2004 9,704 9,563
5/22/2004 9,704 9,563
5/23/2004 9,704 9,563
5/24/2004 9,804 9,679
5/25/2004 10,060 9,941
5/26/2004 10,112 9,960
5/27/2004 10,112 9,949
5/28/2004 10,096 9,929
5/29/2004 10,096 9,929
5/30/2004 10,096 9,929
5/31/2004 10,096 9,929
6/1/2004 10,168 10,017
6/2/2004 10,204 10,041
6/3/2004 10,028 9,888
6/4/2004 10,120 9,967
6/5/2004 10,120 9,967
6/6/2004 10,120 9,967
6/7/2004 10,308 10,164
6/8/2004 10,324 10,182
6/9/2004 10,204 10,068
6/10/2004 10,192 10,069
6/11/2004 10,192 10,069
6/12/2004 10,192 10,069
6/13/2004 10,192 10,069
6/14/2004 10,044 9,949
6/15/2004 10,224 10,101
6/16/2004 10,304 10,161
6/17/2004 10,288 10,185
6/18/2004 10,284 10,195
6/19/2004 10,284 10,195
6/20/2004 10,284 10,195
6/21/2004 10,268 10,192
6/22/2004 10,336 10,240
6/23/2004 10,468 10,368
6/24/2004 10,460 10,380
6/25/2004 10,556 10,468
6/26/2004 10,556 10,468
6/27/2004 10,556 10,468
6/28/2004 10,492 10,416
6/29/2004 10,576 10,480
6/30/2004 10,648 10,552
7/1/2004 10,488 10,447
7/2/2004 10,444 10,432
7/3/2004 10,444 10,432
7/4/2004 10,444 10,432
7/5/2004 10,444 10,432
7/6/2004 10,272 10,306
7/7/2004 10,232 10,280
7/8/2004 10,072 10,097
7/9/2004 10,100 10,123
7/10/2004 10,100 10,123
7/11/2004 10,100 10,123
7/12/2004 10,036 10,090
7/13/2004 10,048 10,114
7/14/2004 9,984 10,079
7/15/2004 10,040 10,119
7/16/2004 9,960 10,043
7/17/2004 9,960 10,043
7/18/2004 9,960 10,043
7/19/2004 9,924 9,956
7/20/2004 10,068 10,120
7/21/2004 9,820 9,887
7/22/2004 9,796 9,857
7/23/2004 9,664 9,755
7/24/2004 9,664 9,755
7/25/2004 9,664 9,755
7/26/2004 9,560 9,640
7/27/2004 9,748 9,823
7/28/2004 9,708 9,816
7/29/2004 9,868 9,962
7/30/2004 9,924 9,961
7/31/2004 9,924 9,961
8/1/2004 9,924 9,961
8/2/2004 9,920 9,969
8/3/2004 9,784 9,844
8/4/2004 9,748 9,793
8/5/2004 9,556 9,606
8/6/2004 9,284 9,352
8/7/2004 9,284 9,352
8/8/2004 9,284 9,352
8/9/2004 9,300 9,334
8/10/2004 9,456 9,493
8/11/2004 9,440 9,481
8/12/2004 9,244 9,303
8/13/2004 9,244 9,342
8/14/2004 9,244 9,342
8/15/2004 9,244 9,342
8/16/2004 9,428 9,513
8/17/2004 9,464 9,559
8/18/2004 9,652 9,713
8/19/2004 9,628 9,712
8/20/2004 9,772 9,879
8/21/2004 9,772 9,879
8/22/2004 9,772 9,879
8/23/2004 9,720 9,831
8/24/2004 9,700 9,804
8/25/2004 9,768 9,855
8/26/2004 9,732 9,849
8/27/2004 9,808 9,929
8/28/2004 9,808 9,929
8/29/2004 9,808 9,929
8/30/2004 9,672 9,816
8/31/2004 9,704 9,860
9/1/2004 9,820 9,958
9/2/2004 9,952 10,109
9/3/2004 9,912 10,081
9/4/2004 9,912 10,081
9/5/2004 9,912 10,081
9/6/2004 9,912 10,081
9/7/2004 10,024 10,209
9/8/2004 9,932 10,103
9/9/2004 10,056 10,222
9/10/2004 10,140 10,296
9/11/2004 10,140 10,296
9/12/2004 10,140 10,296
9/13/2004 10,216 10,381
9/14/2004 10,208 10,361
9/15/2004 10,152 10,310
9/16/2004 10,232 10,400
9/17/2004 10,212 10,410
9/18/2004 10,212 10,410
9/19/2004 10,212 10,410
9/20/2004 10,192 10,406
9/21/2004 10,324 10,576
9/22/2004 10,104 10,375
9/23/2004 10,108 10,373
9/24/2004 10,132 10,399
9/25/2004 10,132 10,399
9/26/2004 10,132 10,399
9/27/2004 9,972 10,259
9/28/2004 10,108 10,368
9/29/2004 10,236 10,499
9/30/2004 10,228 10,496
10/1/2004 10,416 10,650
10/2/2004 10,416 10,650
10/3/2004 10,416 10,650
10/4/2004 10,484 10,709
10/5/2004 10,444 10,673
10/6/2004 10,524 10,765
10/7/2004 10,384 10,628
10/8/2004 10,216 10,496
10/9/2004 10,216 10,496
10/10/2004 10,216 10,496
10/11/2004 10,252 10,522
10/12/2004 10,232 10,526
10/13/2004 10,132 10,415
10/14/2004 10,084 10,374
10/15/2004 10,152 10,395
10/16/2004 10,152 10,395
10/17/2004 10,152 10,395
10/18/2004 10,180 10,398
10/19/2004 10,132 10,341
10/20/2004 10,208 10,415
10/21/2004 10,340 10,540
10/22/2004 10,212 10,405
10/23/2004 10,212 10,405
10/24/2004 10,212 10,405
10/25/2004 10,264 10,458
10/26/2004 10,360 10,600
10/27/2004 10,528 10,742
10/28/2004 10,480 10,720
10/29/2004 10,496 10,716
10/30/2004 10,496 10,716
10/31/2004 10,496 10,716
11/1/2004 10,532 10,768
11/2/2004 10,504 10,751
11/3/2004 10,700 10,957
11/4/2004 10,844 11,091
11/5/2004 10,932 11,169
11/6/2004 10,932 11,169
11/7/2004 10,932 11,169
11/8/2004 10,884 11,128
11/9/2004 10,932 11,227
11/10/2004 10,968 11,288
11/11/2004 11,068 11,397
11/12/2004 11,164 11,512
11/13/2004 11,164 11,512
11/14/2004 11,164 11,512
11/15/2004 11,176 11,528
11/16/2004 11,052 11,402
11/17/2004 11,160 11,479
11/18/2004 11,140 11,473
11/19/2004 10,964 11,292
11/20/2004 10,964 11,292
11/21/2004 10,964 11,292
11/22/2004 11,128 11,471
11/23/2004 11,184 11,542
11/24/2004 11,260 11,607
11/25/2004 11,260 11,607
11/26/2004 11,276 11,634
11/27/2004 11,276 11,634
11/28/2004 11,276 11,634
11/29/2004 11,320 11,673
11/30/2004 11,312 11,643
12/1/2004 11,440 11,774
12/2/2004 11,412 11,720
12/3/2004 11,392 11,694
12/4/2004 11,392 11,694
12/5/2004 11,392 11,694
12/6/2004 11,328 11,644
12/7/2004 11,076 11,416
12/8/2004 11,160 11,503
12/9/2004 11,132 11,501
12/10/2004 11,164 11,563
12/11/2004 11,164 11,563
12/12/2004 11,164 11,563
12/13/2004 11,272 11,667
12/14/2004 11,372 11,777
12/15/2004 11,432 11,876
12/16/2004 11,368 11,837
12/17/2004 11,364 11,826
12/18/2004 11,364 11,826
12/19/2004 11,364 11,826
12/20/2004 11,316 11,766
12/21/2004 11,460 11,889
12/22/2004 11,512 11,986
12/23/2004 11,528 11,997
12/24/2004 11,528 11,997
12/25/2004 11,528 11,997
12/26/2004 11,528 11,997
12/27/2004 11,400 11,898
12/28/2004 11,612 12,101
12/29/2004 11,608 12,125
12/30/2004 11,598 12,120
12/31/2004 11,582 12,070
1/1/2005 11,582 12,070
1/2/2005 11,582 12,070
1/3/2005 11,375 11,839
1/4/2005 11,172 11,625
1/5/2005 11,010 11,467
1/6/2005 11,058 11,547
1/7/2005 10,957 11,462
1/8/2005 10,957 11,462
1/9/2005 10,957 11,462
1/10/2005 11,079 11,620
1/11/2005 11,014 11,566
1/12/2005 11,038 11,596
1/13/2005 11,046 11,599
1/14/2005 11,139 11,709
1/15/2005 11,139 11,709
1/16/2005 11,139 11,709
1/17/2005 11,139 11,709
1/18/2005 11,294 11,867
1/19/2005 11,188 11,735
1/20/2005 11,119 11,638
1/21/2005 11,107 11,614
1/22/2005 11,107 11,614
1/23/2005 11,107 11,614
1/24/2005 11,010 11,484
1/25/2005 11,050 11,502
1/26/2005 11,249 11,744
1/27/2005 11,273 11,747
1/28/2005 11,208 11,711
1/29/2005 11,208 11,711
1/30/2005 11,208 11,711
1/31/2005 11,440 11,942
2/1/2005 11,533 12,061
2/2/2005 11,618 12,143
2/3/2005 11,606 12,109
2/4/2005 11,756 12,282
2/5/2005 11,756 12,282
2/6/2005 11,756 12,282
2/7/2005 11,728 12,273
2/8/2005 11,788 12,302
2/9/2005 11,533 12,056
2/10/2005 11,586 12,079
2/11/2005 11,707 12,177
2/12/2005 11,707 12,177
2/13/2005 11,707 12,177
2/14/2005 11,691 12,176
2/15/2005 11,728 12,203
2/16/2005 11,788 12,262
2/17/2005 11,671 12,143
2/18/2005 11,655 12,140
2/19/2005 11,655 12,140
2/20/2005 11,655 12,140
2/21/2005 11,655 12,140
2/22/2005 11,411 11,878
2/23/2005 11,472 11,972
2/24/2005 11,610 12,124
2/25/2005 11,784 12,313
2/26/2005 11,784 12,313
2/27/2005 11,784 12,313
2/28/2005 11,724 12,256
3/1/2005 11,776 12,333
3/2/2005 11,801 12,341
3/3/2005 11,797 12,376
3/4/2005 11,922 12,490
3/5/2005 11,922 12,490
3/6/2005 11,922 12,490
3/7/2005 11,926 12,476
3/8/2005 11,813 12,381
3/9/2005 11,667 12,211
3/10/2005 11,553 12,095
3/11/2005 11,582 12,109
3/12/2005 11,582 12,109
3/13/2005 11,582 12,109
3/14/2005 11,630 12,117
3/15/2005 11,578 12,049
3/16/2005 11,513 12,004
3/17/2005 11,545 12,001
3/18/2005 11,521 11,955
3/19/2005 11,521 11,955
3/20/2005 11,521 11,955
3/21/2005 11,492 11,932
3/22/2005 11,452 11,877
3/23/2005 11,289 11,740
3/24/2005 11,334 11,797
3/25/2005 11,334 11,797
3/26/2005 11,334 11,797
3/27/2005 11,334 11,797
3/28/2005 11,346 11,874
3/29/2005 11,160 11,679
3/30/2005 11,338 11,860
3/31/2005 11,330 11,831
4/1/2005 11,302 11,836
4/2/2005 11,302 11,836
4/3/2005 11,302 11,836
4/4/2005 11,334 11,867
4/5/2005 11,358 11,924
4/6/2005 11,379 11,947
4/7/2005 11,427 12,003
4/8/2005 11,261 11,832
4/9/2005 11,261 11,832
4/10/2005 11,261 11,832
4/11/2005 11,229 11,810
4/12/2005 11,285 11,875
4/13/2005 11,099 11,722
4/14/2005 10,892 11,516
4/15/2005 10,677 11,327
4/16/2005 10,677 11,327
4/17/2005 10,677 11,327
4/18/2005 10,770 11,412
4/19/2005 10,973 11,601
4/20/2005 10,811 11,395
4/21/2005 11,079 11,679
4/22/2005 10,896 11,486
4/23/2005 10,896 11,486
4/24/2005 10,896 11,486
4/25/2005 11,026 11,665
4/26/2005 10,839 11,490
4/27/2005 10,831 11,497
4/28/2005 10,600 11,311
4/29/2005 10,665 11,382
4/30/2005 10,665 11,382
5/1/2005 10,665 11,382
5/2/2005 10,827 11,528
5/3/2005 10,803 11,535
5/4/2005 10,969 11,727
5/5/2005 10,997 11,776
5/6/2005 11,030 11,794
5/7/2005 11,030 11,794
5/8/2005 11,030 11,794
5/9/2005 11,131 11,903
5/10/2005 10,965 11,741
5/11/2005 10,989 11,757
5/12/2005 10,855 11,612
5/13/2005 10,774 11,499
5/14/2005 10,774 11,499
5/15/2005 10,774 11,499
5/16/2005 10,945 11,721
5/17/2005 11,026 11,791
5/18/2005 11,253 12,040
5/19/2005 11,306 12,108
5/20/2005 11,265 12,070
5/21/2005 11,265 12,070
5/22/2005 11,265 12,070
5/23/2005 11,342 12,157
5/24/2005 11,363 12,176
5/25/2005 11,237 12,067
5/26/2005 11,387 12,217
5/27/2005 11,427 12,239
5/28/2005 11,427 12,239
5/29/2005 11,427 12,239
5/30/2005 11,427 12,239
5/31/2005 11,423 12,215
6/1/2005 11,525 12,371
6/2/2005 11,553 12,417
6/3/2005 11,476 12,341
6/4/2005 11,476 12,341
6/5/2005 11,476 12,341
6/6/2005 11,529 12,415
6/7/2005 11,537 12,428
6/8/2005 11,452 12,323
6/9/2005 11,545 12,446
6/10/2005 11,513 12,395
6/11/2005 11,513 12,395
6/12/2005 11,513 12,395
6/13/2005 11,557 12,423
6/14/2005 11,622 12,514
6/15/2005 11,667 12,584
6/16/2005 11,784 12,679
6/17/2005 11,780 12,672
6/18/2005 11,780 12,672
6/19/2005 11,780 12,672
6/20/2005 11,760 12,650
6/21/2005 11,732 12,625
6/22/2005 11,764 12,638
6/23/2005 11,610 12,483
6/24/2005 11,464 12,337
6/25/2005 11,464 12,337
6/26/2005 11,464 12,337
6/27/2005 11,480 12,355
6/28/2005 11,659 12,566
6/29/2005 11,711 12,588
6/30/2005 11,703 12,592
7/1/2005 11,772 12,649
7/2/2005 11,772 12,649
7/3/2005 11,772 12,649
7/4/2005 11,772 12,649
7/5/2005 11,947 12,853
7/6/2005 11,866 12,763
7/7/2005 11,922 12,822
7/8/2005 12,113 13,047
7/9/2005 12,113 13,047
7/10/2005 12,113 13,047
7/11/2005 12,239 13,200
7/12/2005 12,243 13,187
7/13/2005 12,162 13,085
7/14/2005 12,081 13,032
7/15/2005 12,093 13,044
7/16/2005 12,093 13,044
7/17/2005 12,093 13,044
7/18/2005 12,008 12,945
7/19/2005 12,194 13,111
7/20/2005 12,344 13,245
7/21/2005 12,133 12,969
7/22/2005 12,312 13,163
7/23/2005 12,312 13,163
7/24/2005 12,312 13,163
7/25/2005 12,218 13,009
7/26/2005 12,231 13,040
7/27/2005 12,259 13,080
7/28/2005 12,458 13,253
7/29/2005 12,401 13,203
7/30/2005 12,401 13,203
7/31/2005 12,401 13,203
8/1/2005 12,470 13,271
8/2/2005 12,559 13,351
8/3/2005 12,498 13,278
8/4/2005 12,360 13,146
8/5/2005 12,186 12,973
8/6/2005 12,186 12,973
8/7/2005 12,186 12,973
8/8/2005 12,137 12,891
8/9/2005 12,149 12,888
8/10/2005 12,218 12,898
8/11/2005 12,308 12,982
8/12/2005 12,218 12,875
8/13/2005 12,218 12,875
8/14/2005 12,218 12,875
8/15/2005 12,275 12,962
8/16/2005 12,072 12,767
8/17/2005 12,036 12,690
8/18/2005 11,999 12,653
8/19/2005 12,008 12,646
8/20/2005 12,008 12,646
8/21/2005 12,008 12,646
8/22/2005 12,056 12,706
8/23/2005 12,024 12,683
8/24/2005 12,008 12,713
8/25/2005 12,024 12,713
8/26/2005 11,902 12,559
8/27/2005 11,902 12,559
8/28/2005 11,902 12,559
8/29/2005 12,003 12,686
8/30/2005 11,991 12,658
8/31/2005 12,251 12,915
9/1/2005 12,296 12,959
9/2/2005 12,174 12,821
9/3/2005 12,174 12,821
9/4/2005 12,174 12,821
9/5/2005 12,174 12,821
9/6/2005 12,369 13,025
9/7/2005 12,438 13,135
9/8/2005 12,363 13,066
9/9/2005 12,468 13,174
9/10/2005 12,468 13,174
9/11/2005 12,468 13,174
9/12/2005 12,493 13,172
9/13/2005 12,388 13,051
9/14/2005 12,292 12,951
9/15/2005 12,304 12,937
9/16/2005 12,401 12,992
9/17/2005 12,401 12,992
9/18/2005 12,401 12,992
9/19/2005 12,354 13,035
9/20/2005 12,208 12,908
9/21/2005 12,048 12,713
9/22/2005 12,057 12,731
9/23/2005 12,149 12,802
9/24/2005 12,149 12,802
9/25/2005 12,149 12,802
9/26/2005 12,279 12,915
9/27/2005 12,275 12,903
9/28/2005 12,262 12,849
9/29/2005 12,388 12,938
9/30/2005 12,413 12,974
10/1/2005 12,413 12,974
10/2/2005 12,413 12,974
10/3/2005 12,497 13,011
10/4/2005 12,333 12,882
10/5/2005 11,998 12,548
10/6/2005 11,868 12,466
10/7/2005 11,985 12,575
10/8/2005 11,985 12,575
10/9/2005 11,985 12,575
10/10/2005 11,818 12,422
10/11/2005 11,734 12,321
10/12/2005 11,554 12,124
10/13/2005 11,529 12,124
10/14/2005 11,738 12,302
10/15/2005 11,738 12,302
10/16/2005 11,738 12,302
10/17/2005 11,793 12,369
10/18/2005 11,625 12,220
10/19/2005 11,843 12,449
10/20/2005 11,633 12,250
10/21/2005 11,709 12,348
10/22/2005 11,709 12,348
10/23/2005 11,709 12,348
10/24/2005 11,965 12,610
10/25/2005 11,927 12,527
10/26/2005 11,826 12,397
10/27/2005 11,533 12,049
10/28/2005 11,751 12,313
10/29/2005 11,751 12,313
10/30/2005 11,751 12,313
10/31/2005 11,960 12,540
11/1/2005 11,927 12,504
11/2/2005 12,183 12,778
11/3/2005 12,208 12,784
11/4/2005 12,170 12,779
11/5/2005 12,170 12,779
11/6/2005 12,170 12,779
11/7/2005 12,195 12,801
11/8/2005 12,128 12,719
11/9/2005 12,157 12,777
11/10/2005 12,208 12,863
11/11/2005 12,250 12,879
11/12/2005 12,250 12,879
11/13/2005 12,250 12,879
11/14/2005 12,224 12,896
11/15/2005 12,107 12,746
11/16/2005 12,111 12,740
11/17/2005 12,342 12,973
11/18/2005 12,405 13,014
11/19/2005 12,405 13,014
11/20/2005 12,405 13,014
11/21/2005 12,530 13,131
11/22/2005 12,635 13,234
11/23/2005 12,631 13,216
11/24/2005 12,631 13,216
11/25/2005 12,656 13,241
11/26/2005 12,656 13,241
11/27/2005 12,656 13,241
11/28/2005 12,405 13,002
11/29/2005 12,476 13,056
11/30/2005 12,514 13,074
12/1/2005 12,740 13,221
12/2/2005 12,765 13,247
12/3/2005 12,765 13,247
12/4/2005 12,765 13,247
12/5/2005 12,711 13,226
12/6/2005 12,748 13,265
12/7/2005 12,635 13,179
12/8/2005 12,673 13,248
12/9/2005 12,707 13,280
12/10/2005 12,707 13,280
12/11/2005 12,707 13,280
12/12/2005 12,736 13,281
12/13/2005 12,744 13,346
12/14/2005 12,816 13,434
12/15/2005 12,656 13,253
12/16/2005 12,598 13,197
12/17/2005 12,598 13,197
12/18/2005 12,598 13,197
12/19/2005 12,388 13,000
12/20/2005 12,413 13,024
12/21/2005 12,514 13,140
12/22/2005 12,527 13,155
12/23/2005 12,574 13,210
12/24/2005 12,574 13,210
12/25/2005 12,574 13,210
12/26/2005 12,574 13,210
12/27/2005 12,398 13,025
12/28/2005 12,471 13,102
12/29/2005 12,424 13,054
12/30/2005 12,299 12,927
12/31/2005 12,299 12,927
1/1/2006 12,299 12,927
1/2/2006 12,299 12,927
1/3/2006 12,463 13,098
1/4/2006 12,497 13,136
1/5/2006 12,480 13,119
1/6/2006 12,570 13,216
1/7/2006 12,570 13,216
1/8/2006 12,570 13,216
1/9/2006 12,767 13,429
1/10/2006 12,853 13,520
1/11/2006 12,785 13,451
1/12/2006 12,699 13,360
1/13/2006 12,699 13,364
1/14/2006 12,699 13,364
1/15/2006 12,699 13,364
1/16/2006 12,699 13,364
1/17/2006 12,630 13,294
1/18/2006 12,540 13,204
1/19/2006 12,733 13,412
1/20/2006 12,566 13,237
1/21/2006 12,566 13,237
1/22/2006 12,566 13,237
1/23/2006 12,548 13,218
1/24/2006 12,712 13,390
1/25/2006 12,669 13,349
1/26/2006 12,896 13,588
1/27/2006 12,991 13,692
1/28/2006 12,991 13,692
1/29/2006 12,991 13,692
1/30/2006 13,025 13,731
1/31/2006 13,060 13,768
2/1/2006 13,115 13,825
2/2/2006 12,965 13,669
2/3/2006 12,918 13,621
2/4/2006 12,918 13,621
2/5/2006 12,918 13,621
2/6/2006 12,883 13,584
2/7/2006 12,716 13,406
2/8/2006 12,716 13,408
2/9/2006 12,626 13,315
2/10/2006 12,630 13,321
2/11/2006 12,630 13,321
2/12/2006 12,630 13,321
2/13/2006 12,480 13,162
2/14/2006 12,630 13,324
2/15/2006 12,759 13,459
2/16/2006 12,836 13,544
2/17/2006 12,853 13,560
2/18/2006 12,853 13,560
2/19/2006 12,853 13,560
2/20/2006 12,853 13,560
2/21/2006 12,823 13,530
2/22/2006 12,901 13,613
2/23/2006 12,883 13,596
2/24/2006 12,948 13,665
2/25/2006 12,948 13,665
2/26/2006 12,948 13,665
2/27/2006 13,008 13,729
2/28/2006 12,875 13,588
3/1/2006 13,029 13,755
3/2/2006 12,991 13,714
3/3/2006 12,978 13,706
3/4/2006 12,978 13,706
3/5/2006 12,978 13,706
3/6/2006 12,823 13,543
3/7/2006 12,694 13,409
3/8/2006 12,733 13,448
3/9/2006 12,682 13,394
3/10/2006 12,828 13,554
3/11/2006 12,828 13,554
3/12/2006 12,828 13,554
3/13/2006 12,858 13,586
3/14/2006 12,914 13,643
3/15/2006 13,038 13,777
3/16/2006 13,081 13,824
3/17/2006 13,124 13,874
3/18/2006 13,124 13,874
3/19/2006 13,124 13,874
3/20/2006 13,107 13,856
3/21/2006 13,072 13,821
3/22/2006 13,201 13,956
3/23/2006 13,266 14,024
3/24/2006 13,326 14,093
3/25/2006 13,326 14,093
3/26/2006 13,326 14,093
3/27/2006 13,309 14,073
3/28/2006 13,244 14,005
3/29/2006 13,425 14,199
3/30/2006 13,412 14,187
3/31/2006 13,472 14,251
4/1/2006 13,472 14,251
4/2/2006 13,472 14,251
4/3/2006 13,334 14,106
4/4/2006 13,412 14,191
4/5/2006 13,433 14,212
4/6/2006 13,429 14,210
4/7/2006 13,270 14,044
4/8/2006 13,270 14,044
4/9/2006 13,270 14,044
4/10/2006 13,227 13,998
4/11/2006 13,072 13,834
4/12/2006 13,145 13,913
4/13/2006 13,184 13,957
4/14/2006 13,184 13,957
4/15/2006 13,184 13,957
4/16/2006 13,184 13,957
4/17/2006 13,188 13,961
4/18/2006 13,476 14,264
4/19/2006 13,575 14,373
4/20/2006 13,571 14,370
4/21/2006 13,480 14,276
4/22/2006 13,480 14,276
4/23/2006 13,480 14,276
4/24/2006 13,472 14,265
4/25/2006 13,442 14,234
4/26/2006 13,519 14,318
4/27/2006 13,446 14,240
4/28/2006 13,506 14,307
4/29/2006 13,506 14,307
4/30/2006 13,506 14,307
5/1/2006 13,429 14,226
5/2/2006 13,519 14,322
5/3/2006 13,506 14,309
5/4/2006 13,605 14,416
5/5/2006 13,777 14,597
5/6/2006 13,777 14,597
5/7/2006 13,777 14,597
5/8/2006 13,777 14,601
5/9/2006 13,747 14,569
5/10/2006 13,631 14,450
5/11/2006 13,317 14,114
5/12/2006 13,102 13,888
5/13/2006 13,102 13,888
5/14/2006 13,102 13,888
5/15/2006 13,111 13,895
5/16/2006 13,184 13,975
5/17/2006 12,999 13,781
5/18/2006 12,823 13,594
5/19/2006 12,853 13,628
5/20/2006 12,853 13,628
5/21/2006 12,853 13,628
5/22/2006 12,780 13,552
5/23/2006 12,712 13,476
5/24/2006 12,707 13,474
5/25/2006 12,926 13,705
5/26/2006 13,017 13,808
5/27/2006 13,017 13,808
5/28/2006 13,017 13,808
5/29/2006 13,017 13,808
5/30/2006 12,690 13,461
5/31/2006 12,853 13,634
6/1/2006 13,051 13,844
6/2/2006 13,042 13,838
6/3/2006 13,042 13,838
6/4/2006 13,042 13,838
6/5/2006 12,703 13,477
6/6/2006 12,634 13,405
6/7/2006 12,583 13,358
6/8/2006 12,553 13,326
6/9/2006 12,488 13,262
6/10/2006 12,488 13,262
6/11/2006 12,488 13,262
6/12/2006 12,188 12,942
6/13/2006 12,007 12,747
6/14/2006 12,098 12,843
6/15/2006 12,428 13,196
6/16/2006 12,351 13,116
6/17/2006 12,351 13,116
6/18/2006 12,351 13,116
6/19/2006 12,136 12,884
6/20/2006 12,076 12,825
6/21/2006 12,299 13,062
6/22/2006 12,261 13,020
6/23/2006 12,342 13,113
6/24/2006 12,342 13,113
6/25/2006 12,342 13,113
6/26/2006 12,437 13,213
6/27/2006 12,226 12,990
6/28/2006 12,248 13,014
6/29/2006 12,643 13,433
6/30/2006 12,716 13,514
7/1/2006 12,716 13,514
7/2/2006 12,716 13,514
7/3/2006 12,836 13,642
7/4/2006 12,836 13,642
7/5/2006 12,682 13,481
7/6/2006 12,737 13,539
7/7/2006 12,557 13,350
7/8/2006 12,557 13,350
7/9/2006 12,557 13,350
7/10/2006 12,497 13,287
7/11/2006 12,583 13,377
7/12/2006 12,351 13,134
7/13/2006 12,106 12,879
7/14/2006 11,994 12,762
7/15/2006 11,994 12,762
7/16/2006 11,994 12,762
7/17/2006 11,904 12,663
7/18/2006 11,887 12,642
7/19/2006 12,183 12,961
7/20/2006 11,874 12,624
7/21/2006 11,737 12,478
7/22/2006 11,737 12,478
7/23/2006 11,737 12,478
7/24/2006 12,089 12,854
7/25/2006 12,222 12,994
7/26/2006 12,132 12,901
7/27/2006 11,969 12,729
7/28/2006 12,196 12,976
7/29/2006 12,196 12,976
7/30/2006 12,196 12,976
7/31/2006 12,295 13,081
8/1/2006 12,119 12,896
8/2/2006 12,188 12,967
8/3/2006 12,269 13,054
8/4/2006 12,218 13,002
8/5/2006 12,218 13,002
8/6/2006 12,218 13,002
8/7/2006 12,050 12,825
8/8/2006 11,947 12,716
8/9/2006 11,836 12,599
8/10/2006 11,861 12,630
8/11/2006 11,788 12,552
8/12/2006 11,788 12,552
8/13/2006 11,788 12,552
8/14/2006 11,806 12,572
8/15/2006 12,037 12,818
8/16/2006 12,171 12,960
8/17/2006 12,218 13,012
8/18/2006 12,226 13,026
8/19/2006 12,226 13,026
8/20/2006 12,226 13,026
8/21/2006 12,093 12,882
8/22/2006 12,145 12,938
8/23/2006 11,990 12,772
8/24/2006 11,982 12,762
8/25/2006 11,977 12,761
8/26/2006 11,977 12,761
8/27/2006 11,977 12,761
8/28/2006 12,076 12,867
8/29/2006 12,162 12,961
8/30/2006 12,201 13,002
8/31/2006 12,145 12,943
9/1/2006 12,140 12,943
9/2/2006 12,140 12,943
9/3/2006 12,140 12,943
9/4/2006 12,140 12,943
9/5/2006 12,162 12,969
9/6/2006 11,861 12,647
9/7/2006 11,848 12,626
9/8/2006 11,883 12,664
9/9/2006 11,883 12,664
9/10/2006 11,883 12,664
9/11/2006 11,861 12,640
9/12/2006 12,149 12,955
9/13/2006 12,278 13,090
9/14/2006 12,239 13,048
9/15/2006 12,274 13,086
9/16/2006 12,274 13,086
9/17/2006 12,274 13,086
9/18/2006 12,295 13,109
9/19/2006 12,226 13,036
9/20/2006 12,360 13,181
9/21/2006 12,295 13,114
9/22/2006 12,162 12,971
9/23/2006 12,162 12,971
9/24/2006 12,162 12,971
9/25/2006 12,291 13,109
9/26/2006 12,338 13,162
9/27/2006 12,364 13,191
9/28/2006 12,351 13,178
9/29/2006 12,222 13,041
9/30/2006 12,222 13,041
10/1/2006 12,222 13,041
10/2/2006 12,093 12,902
10/3/2006 12,055 12,862
10/4/2006 12,325 13,153
10/5/2006 12,454 13,291
10/6/2006 12,394 13,227
10/7/2006 12,394 13,227
10/8/2006 12,394 13,227
10/9/2006 12,527 13,370
10/10/2006 12,536 13,383
10/11/2006 12,471 13,312
10/12/2006 12,694 13,552
10/13/2006 12,763 13,629
10/14/2006 12,763 13,629
10/15/2006 12,763 13,629
10/16/2006 12,862 13,735
10/17/2006 12,737 13,603
10/18/2006 12,733 13,600
10/19/2006 12,776 13,644
10/20/2006 12,750 13,619
10/21/2006 12,750 13,619
10/22/2006 12,750 13,619
10/23/2006 12,815 13,688
10/24/2006 12,815 13,692
10/25/2006 12,879 13,758
10/26/2006 13,029 13,923
10/27/2006 12,875 13,756
10/28/2006 12,875 13,756
10/29/2006 12,875 13,756
10/30/2006 12,896 13,779
10/31/2006 12,832 13,714
11/1/2006 12,613 13,479
11/2/2006 12,596 13,463
11/3/2006 12,626 13,496
11/4/2006 12,626 13,496
11/5/2006 12,626 13,496
11/6/2006 12,802 13,688
11/7/2006 12,871 13,758
11/8/2006 12,948 13,845
11/9/2006 12,862 13,754
11/10/2006 12,961 13,861
11/11/2006 12,961 13,861
11/12/2006 12,961 13,861
11/13/2006 12,991 13,892
11/14/2006 13,163 14,076
11/15/2006 13,330 14,260
11/16/2006 13,326 14,254
11/17/2006 13,317 14,247
11/18/2006 13,317 14,247
11/19/2006 13,317 14,247
11/20/2006 13,321 14,252
11/21/2006 13,369 14,306
11/22/2006 13,360 14,298
11/23/2006 13,360 14,298
11/24/2006 13,356 14,293
11/25/2006 13,356 14,293
11/26/2006 13,356 14,293
11/27/2006 13,068 13,985
11/28/2006 13,098 14,017
11/29/2006 13,257 14,190
11/30/2006 13,274 14,209
12/1/2006 13,210 14,140
12/2/2006 13,210 14,140
12/3/2006 13,210 14,140
12/4/2006 13,390 14,339
12/5/2006 13,476 14,429
12/6/2006 13,489 14,444
12/7/2006 13,433 14,386
12/8/2006 13,450 14,402
12/9/2006 13,450 14,402
12/10/2006 13,450 14,402
12/11/2006 13,432 14,387
12/12/2006 13,388 14,337
12/13/2006 13,383 14,335
12/14/2006 13,458 14,412
12/15/2006 13,352 14,299
12/16/2006 13,352 14,299
12/17/2006 13,352 14,299
12/18/2006 13,188 14,117
12/19/2006 13,233 14,165
12/20/2006 13,286 14,224
12/21/2006 13,215 14,151
12/22/2006 13,193 14,128
12/23/2006 13,193 14,128
12/24/2006 13,193 14,128
12/25/2006 13,193 14,128
12/26/2006 13,290 14,233
12/27/2006 13,427 14,382
12/28/2006 13,388 14,336
12/29/2006 13,250 14,192
12/30/2006 13,250 14,192
12/31/2006 13,250 14,192
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND 7.73% 11.15%
S&P SMALLCAP 600/CITIGROUP PURE GROWTH INDEX 9.79% 14.05%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P SMALLCAP 600/CITIGROUP
PURE GROWTH INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P SMALLCAP 600/CITIGROUP
SMALL-CAP GROWTH FUND PURE GROWTH INDEX
OTHER 6.0% 7.9%
CONSUMER DISCRETIONARY 25.3% 24.5%
HEALTH CARE 21.9% 21.7%
INFORMATION TECHNOLOGY 21.1% 19.8%
FINANCIALS 9.2% 8.9%
ENERGY 8.4% 9.1%
INDUSTRIALS 7.5% 8.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Possis Medical, Inc. 1.2%
Vertrue, Inc. 1.1%
AMN Healthcare Services, Inc. 1.1%
Headwaters, Inc. 1.1%
PetMed Express, Inc. 1.1%
Infinity Property & Casulaty Corp. 1.1%
Komag, Inc. 1.1%
Neoware, Inc. 1.1%
Bankrate, Inc. 1.1%
Flir Systems, Inc. 1.1%
- --------------------------------------------------------------------------------
Top Ten Total 11.1%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
28 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: May 3, 2004
For 2006, the S&P MidCap 400/Citigroup Pure Growth Index gained 4.98%; however,
it underperformed all other pure style indices. Rydex Mid-Cap Growth Fund gained
3.13% for the period, as the information technology and financials sectors were
the drivers of positive returns. The consumer discretionary and materials
sectors were the main contributors to the relatively poor performance of the
index.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/
DATE MID-CAP GROWTH FUND CITIGROUP PURE GROWTH INDEX
5/3/2004 10,000 10,000
5/4/2004 10,016 10,050
5/5/2004 10,092 10,142
5/6/2004 9,952 9,966
5/7/2004 9,748 9,750
5/8/2004 9,748 9,750
5/9/2004 9,748 9,750
5/10/2004 9,588 9,590
5/11/2004 9,732 9,737
5/12/2004 9,696 9,701
5/13/2004 9,700 9,699
5/14/2004 9,640 9,651
5/15/2004 9,640 9,651
5/16/2004 9,640 9,651
5/17/2004 9,524 9,530
5/18/2004 9,632 9,622
5/19/2004 9,608 9,589
5/20/2004 9,592 9,558
5/21/2004 9,652 9,624
5/22/2004 9,652 9,624
5/23/2004 9,652 9,624
5/24/2004 9,740 9,739
5/25/2004 9,932 9,970
5/26/2004 9,980 10,001
5/27/2004 10,040 10,086
5/28/2004 10,092 10,117
5/29/2004 10,092 10,117
5/30/2004 10,092 10,117
5/31/2004 10,092 10,117
6/1/2004 10,136 10,187
6/2/2004 10,112 10,167
6/3/2004 9,960 10,020
6/4/2004 10,024 10,084
6/5/2004 10,024 10,084
6/6/2004 10,024 10,084
6/7/2004 10,204 10,287
6/8/2004 10,192 10,267
6/9/2004 10,064 10,126
6/10/2004 10,080 10,123
6/11/2004 10,080 10,123
6/12/2004 10,080 10,123
6/13/2004 10,080 10,123
6/14/2004 9,928 9,964
6/15/2004 10,052 10,101
6/16/2004 10,072 10,130
6/17/2004 10,036 10,110
6/18/2004 10,032 10,114
6/19/2004 10,032 10,114
6/20/2004 10,032 10,114
6/21/2004 9,988 10,095
6/22/2004 10,048 10,155
6/23/2004 10,124 10,272
6/24/2004 10,108 10,277
6/25/2004 10,156 10,355
6/26/2004 10,156 10,355
6/27/2004 10,156 10,355
6/28/2004 10,108 10,283
6/29/2004 10,136 10,311
6/30/2004 10,200 10,369
7/1/2004 10,080 10,252
7/2/2004 10,036 10,204
7/3/2004 10,036 10,204
7/4/2004 10,036 10,204
7/5/2004 10,036 10,204
7/6/2004 9,892 10,048
7/7/2004 9,940 10,092
7/8/2004 9,808 9,925
7/9/2004 9,852 9,993
7/10/2004 9,852 9,993
7/11/2004 9,852 9,993
7/12/2004 9,808 9,957
7/13/2004 9,808 9,961
7/14/2004 9,752 9,909
7/15/2004 9,808 9,977
7/16/2004 9,708 9,896
7/17/2004 9,708 9,896
7/18/2004 9,708 9,896
7/19/2004 9,716 9,884
7/20/2004 9,852 10,019
7/21/2004 9,644 9,821
7/22/2004 9,644 9,833
7/23/2004 9,524 9,702
7/24/2004 9,524 9,702
7/25/2004 9,524 9,702
7/26/2004 9,424 9,634
7/27/2004 9,576 9,795
7/28/2004 9,516 9,658
7/29/2004 9,644 9,826
7/30/2004 9,668 9,830
7/31/2004 9,668 9,830
8/1/2004 9,668 9,830
8/2/2004 9,648 9,773
8/3/2004 9,532 9,654
8/4/2004 9,488 9,588
8/5/2004 9,304 9,395
8/6/2004 9,132 9,245
8/7/2004 9,132 9,245
8/8/2004 9,132 9,245
8/9/2004 9,148 9,250
8/10/2004 9,300 9,413
8/11/2004 9,244 9,339
8/12/2004 9,112 9,195
8/13/2004 9,104 9,208
8/14/2004 9,104 9,208
8/15/2004 9,104 9,208
8/16/2004 9,248 9,354
8/17/2004 9,296 9,400
8/18/2004 9,440 9,545
8/19/2004 9,372 9,487
8/20/2004 9,508 9,643
8/21/2004 9,508 9,643
8/22/2004 9,508 9,643
8/23/2004 9,448 9,598
8/24/2004 9,456 9,606
8/25/2004 9,548 9,712
8/26/2004 9,548 9,721
8/27/2004 9,600 9,773
8/28/2004 9,600 9,773
8/29/2004 9,600 9,773
8/30/2004 9,492 9,644
8/31/2004 9,548 9,708
9/1/2004 9,632 9,832
9/2/2004 9,732 9,942
9/3/2004 9,680 9,883
9/4/2004 9,680 9,883
9/5/2004 9,680 9,883
9/6/2004 9,680 9,883
9/7/2004 9,732 9,954
9/8/2004 9,676 9,880
9/9/2004 9,728 9,913
9/10/2004 9,792 9,987
9/11/2004 9,792 9,987
9/12/2004 9,792 9,987
9/13/2004 9,868 10,085
9/14/2004 9,848 10,074
9/15/2004 9,792 10,007
9/16/2004 9,836 10,075
9/17/2004 9,812 10,049
9/18/2004 9,812 10,049
9/19/2004 9,812 10,049
9/20/2004 9,772 9,989
9/21/2004 9,848 10,081
9/22/2004 9,708 9,957
9/23/2004 9,680 9,935
9/24/2004 9,704 10,004
9/25/2004 9,704 10,004
9/26/2004 9,704 10,004
9/27/2004 9,580 9,877
9/28/2004 9,652 9,954
9/29/2004 9,712 10,009
9/30/2004 9,756 10,036
10/1/2004 9,892 10,177
10/2/2004 9,892 10,177
10/3/2004 9,892 10,177
10/4/2004 9,960 10,207
10/5/2004 9,924 10,201
10/6/2004 9,972 10,262
10/7/2004 9,856 10,133
10/8/2004 9,776 10,051
10/9/2004 9,776 10,051
10/10/2004 9,776 10,051
10/11/2004 9,788 10,069
10/12/2004 9,740 10,028
10/13/2004 9,688 9,950
10/14/2004 9,592 9,860
10/15/2004 9,628 9,875
10/16/2004 9,628 9,875
10/17/2004 9,628 9,875
10/18/2004 9,712 9,946
10/19/2004 9,648 9,862
10/20/2004 9,716 9,933
10/21/2004 9,816 10,013
10/22/2004 9,696 9,908
10/23/2004 9,696 9,908
10/24/2004 9,696 9,908
10/25/2004 9,704 9,924
10/26/2004 9,740 10,003
10/27/2004 9,936 10,181
10/28/2004 9,936 10,181
10/29/2004 9,960 10,187
10/30/2004 9,960 10,187
10/31/2004 9,960 10,187
11/1/2004 9,936 10,177
11/2/2004 9,924 10,185
11/3/2004 10,044 10,290
11/4/2004 10,176 10,434
11/5/2004 10,224 10,478
11/6/2004 10,224 10,478
11/7/2004 10,224 10,478
11/8/2004 10,184 10,460
11/9/2004 10,216 10,486
11/10/2004 10,240 10,512
11/11/2004 10,340 10,631
11/12/2004 10,440 10,780
11/13/2004 10,440 10,780
11/14/2004 10,440 10,780
11/15/2004 10,440 10,800
11/16/2004 10,364 10,725
11/17/2004 10,448 10,812
11/18/2004 10,428 10,801
11/19/2004 10,288 10,640
11/20/2004 10,288 10,640
11/21/2004 10,288 10,640
11/22/2004 10,340 10,686
11/23/2004 10,388 10,771
11/24/2004 10,472 10,890
11/25/2004 10,472 10,890
11/26/2004 10,472 10,896
11/27/2004 10,472 10,896
11/28/2004 10,472 10,896
11/29/2004 10,452 10,850
11/30/2004 10,408 10,801
12/1/2004 10,576 11,006
12/2/2004 10,552 10,973
12/3/2004 10,568 10,991
12/4/2004 10,568 10,991
12/5/2004 10,568 10,991
12/6/2004 10,556 10,987
12/7/2004 10,396 10,827
12/8/2004 10,476 10,907
12/9/2004 10,516 10,990
12/10/2004 10,504 11,011
12/11/2004 10,504 11,011
12/12/2004 10,504 11,011
12/13/2004 10,572 11,071
12/14/2004 10,680 11,207
12/15/2004 10,712 11,285
12/16/2004 10,652 11,219
12/17/2004 10,648 11,238
12/18/2004 10,648 11,238
12/19/2004 10,648 11,238
12/20/2004 10,616 11,169
12/21/2004 10,728 11,277
12/22/2004 10,764 11,343
12/23/2004 10,784 11,371
12/24/2004 10,784 11,371
12/25/2004 10,784 11,371
12/26/2004 10,784 11,371
12/27/2004 10,712 11,279
12/28/2004 10,856 11,445
12/29/2004 10,864 11,456
12/30/2004 10,872 11,473
12/31/2004 10,852 11,443
1/1/2005 10,852 11,443
1/2/2005 10,852 11,443
1/3/2005 10,660 11,269
1/4/2005 10,496 11,065
1/5/2005 10,392 10,969
1/6/2005 10,440 11,050
1/7/2005 10,396 10,988
1/8/2005 10,396 10,988
1/9/2005 10,396 10,988
1/10/2005 10,460 11,079
1/11/2005 10,400 11,021
1/12/2005 10,424 11,047
1/13/2005 10,384 11,010
1/14/2005 10,464 11,078
1/15/2005 10,464 11,078
1/16/2005 10,464 11,078
1/17/2005 10,464 11,078
1/18/2005 10,560 11,172
1/19/2005 10,460 11,059
1/20/2005 10,420 10,972
1/21/2005 10,356 10,878
1/22/2005 10,356 10,878
1/23/2005 10,356 10,878
1/24/2005 10,284 10,792
1/25/2005 10,320 10,840
1/26/2005 10,428 10,965
1/27/2005 10,480 11,013
1/28/2005 10,412 10,949
1/29/2005 10,412 10,949
1/30/2005 10,412 10,949
1/31/2005 10,576 11,132
2/1/2005 10,656 11,218
2/2/2005 10,708 11,272
2/3/2005 10,700 11,258
2/4/2005 10,836 11,428
2/5/2005 10,836 11,428
2/6/2005 10,836 11,428
2/7/2005 10,812 11,418
2/8/2005 10,824 11,444
2/9/2005 10,676 11,271
2/10/2005 10,720 11,319
2/11/2005 10,852 11,433
2/12/2005 10,852 11,433
2/13/2005 10,852 11,433
2/14/2005 10,844 11,412
2/15/2005 10,872 11,415
2/16/2005 10,916 11,449
2/17/2005 10,836 11,400
2/18/2005 10,828 11,384
2/19/2005 10,828 11,384
2/20/2005 10,828 11,384
2/21/2005 10,828 11,384
2/22/2005 10,664 11,197
2/23/2005 10,736 11,298
2/24/2005 10,868 11,471
2/25/2005 10,976 11,625
2/26/2005 10,976 11,625
2/27/2005 10,976 11,625
2/28/2005 10,932 11,549
3/1/2005 11,008 11,650
3/2/2005 11,020 11,668
3/3/2005 11,004 11,627
3/4/2005 11,096 11,765
3/5/2005 11,096 11,765
3/6/2005 11,096 11,765
3/7/2005 11,144 11,804
3/8/2005 11,076 11,680
3/9/2005 10,972 11,536
3/10/2005 10,936 11,480
3/11/2005 10,948 11,479
3/12/2005 10,948 11,479
3/13/2005 10,948 11,479
3/14/2005 11,004 11,542
3/15/2005 10,968 11,513
3/16/2005 10,860 11,436
3/17/2005 10,892 11,427
3/18/2005 10,852 11,402
3/19/2005 10,852 11,402
3/20/2005 10,852 11,402
3/21/2005 10,832 11,383
3/22/2005 10,792 11,362
3/23/2005 10,724 11,315
3/24/2005 10,732 11,330
3/25/2005 10,732 11,330
3/26/2005 10,732 11,330
3/27/2005 10,732 11,330
3/28/2005 10,728 11,351
3/29/2005 10,608 11,233
3/30/2005 10,748 11,381
3/31/2005 10,776 11,419
4/1/2005 10,736 11,383
4/2/2005 10,736 11,383
4/3/2005 10,736 11,383
4/4/2005 10,744 11,419
4/5/2005 10,780 11,480
4/6/2005 10,816 11,497
4/7/2005 10,856 11,533
4/8/2005 10,740 11,402
4/9/2005 10,740 11,402
4/10/2005 10,740 11,402
4/11/2005 10,704 11,362
4/12/2005 10,720 11,397
4/13/2005 10,572 11,234
4/14/2005 10,412 11,069
4/15/2005 10,236 10,849
4/16/2005 10,236 10,849
4/17/2005 10,236 10,849
4/18/2005 10,320 10,957
4/19/2005 10,452 11,087
4/20/2005 10,296 10,906
4/21/2005 10,496 11,118
4/22/2005 10,388 10,998
4/23/2005 10,388 10,998
4/24/2005 10,388 10,998
4/25/2005 10,528 11,144
4/26/2005 10,428 11,018
4/27/2005 10,416 11,011
4/28/2005 10,280 10,816
4/29/2005 10,324 10,855
4/30/2005 10,324 10,855
5/1/2005 10,324 10,855
5/2/2005 10,400 10,943
5/3/2005 10,372 10,891
5/4/2005 10,504 11,012
5/5/2005 10,544 11,052
5/6/2005 10,572 11,044
5/7/2005 10,572 11,044
5/8/2005 10,572 11,044
5/9/2005 10,628 11,122
5/10/2005 10,556 11,048
5/11/2005 10,596 11,074
5/12/2005 10,456 10,928
5/13/2005 10,400 10,881
5/14/2005 10,400 10,881
5/15/2005 10,400 10,881
5/16/2005 10,512 11,016
5/17/2005 10,608 11,120
5/18/2005 10,784 11,334
5/19/2005 10,844 11,406
5/20/2005 10,832 11,390
5/21/2005 10,832 11,390
5/22/2005 10,832 11,390
5/23/2005 10,912 11,492
5/24/2005 10,908 11,490
5/25/2005 10,816 11,388
5/26/2005 10,904 11,550
5/27/2005 10,944 11,599
5/28/2005 10,944 11,599
5/29/2005 10,944 11,599
5/30/2005 10,944 11,599
5/31/2005 10,928 11,610
6/1/2005 11,012 11,693
6/2/2005 11,072 11,789
6/3/2005 11,000 11,696
6/4/2005 11,000 11,696
6/5/2005 11,000 11,696
6/6/2005 11,040 11,766
6/7/2005 11,056 11,833
6/8/2005 11,000 11,747
6/9/2005 11,080 11,867
6/10/2005 11,064 11,832
6/11/2005 11,064 11,832
6/12/2005 11,064 11,832
6/13/2005 11,116 11,883
6/14/2005 11,148 11,929
6/15/2005 11,172 11,951
6/16/2005 11,272 12,055
6/17/2005 11,280 12,064
6/18/2005 11,280 12,064
6/19/2005 11,280 12,064
6/20/2005 11,240 12,002
6/21/2005 11,212 11,957
6/22/2005 11,208 11,958
6/23/2005 11,092 11,792
6/24/2005 10,984 11,651
6/25/2005 10,984 11,651
6/26/2005 10,984 11,651
6/27/2005 11,004 11,714
6/28/2005 11,144 11,887
6/29/2005 11,172 11,911
6/30/2005 11,108 11,851
7/1/2005 11,168 11,919
7/2/2005 11,168 11,919
7/3/2005 11,168 11,919
7/4/2005 11,168 11,919
7/5/2005 11,284 12,035
7/6/2005 11,208 11,941
7/7/2005 11,244 11,994
7/8/2005 11,384 12,113
7/9/2005 11,384 12,113
7/10/2005 11,384 12,113
7/11/2005 11,468 12,239
7/12/2005 11,488 12,265
7/13/2005 11,444 12,227
7/14/2005 11,416 12,183
7/15/2005 11,448 12,240
7/16/2005 11,448 12,240
7/17/2005 11,448 12,240
7/18/2005 11,420 12,223
7/19/2005 11,544 12,344
7/20/2005 11,604 12,392
7/21/2005 11,468 12,226
7/22/2005 11,544 12,318
7/23/2005 11,544 12,318
7/24/2005 11,544 12,318
7/25/2005 11,484 12,241
7/26/2005 11,492 12,265
7/27/2005 11,528 12,325
7/28/2005 11,644 12,402
7/29/2005 11,628 12,349
7/30/2005 11,628 12,349
7/31/2005 11,628 12,349
8/1/2005 11,652 12,397
8/2/2005 11,716 12,447
8/3/2005 11,692 12,396
8/4/2005 11,592 12,272
8/5/2005 11,464 12,135
8/6/2005 11,464 12,135
8/7/2005 11,464 12,135
8/8/2005 11,396 12,046
8/9/2005 11,448 12,086
8/10/2005 11,472 12,098
8/11/2005 11,552 12,181
8/12/2005 11,524 12,134
8/13/2005 11,524 12,134
8/14/2005 11,524 12,134
8/15/2005 11,536 12,141
8/16/2005 11,380 11,948
8/17/2005 11,384 11,940
8/18/2005 11,364 11,918
8/19/2005 11,376 11,899
8/20/2005 11,376 11,899
8/21/2005 11,376 11,899
8/22/2005 11,400 11,885
8/23/2005 11,376 11,864
8/24/2005 11,356 11,883
8/25/2005 11,380 11,913
8/26/2005 11,256 11,770
8/27/2005 11,256 11,770
8/28/2005 11,256 11,770
8/29/2005 11,348 11,858
8/30/2005 11,280 11,785
8/31/2005 11,472 11,986
9/1/2005 11,436 11,919
9/2/2005 11,372 11,853
9/3/2005 11,372 11,853
9/4/2005 11,372 11,853
9/5/2005 11,372 11,853
9/6/2005 11,516 11,997
9/7/2005 11,580 12,074
9/8/2005 11,524 11,997
9/9/2005 11,608 12,117
9/10/2005 11,608 12,117
9/11/2005 11,608 12,117
9/12/2005 11,628 12,144
9/13/2005 11,532 12,057
9/14/2005 11,476 12,010
9/15/2005 11,456 12,010
9/16/2005 11,500 12,023
9/17/2005 11,500 12,023
9/18/2005 11,500 12,023
9/19/2005 11,432 11,917
9/20/2005 11,316 11,776
9/21/2005 11,168 11,631
9/22/2005 11,216 11,723
9/23/2005 11,260 11,760
9/24/2005 11,260 11,760
9/25/2005 11,260 11,760
9/26/2005 11,320 11,850
9/27/2005 11,312 11,845
9/28/2005 11,300 11,832
9/29/2005 11,420 11,945
9/30/2005 11,524 12,033
10/1/2005 11,524 12,033
10/2/2005 11,524 12,033
10/3/2005 11,584 12,098
10/4/2005 11,464 11,821
10/5/2005 11,212 11,575
10/6/2005 11,116 11,520
10/7/2005 11,168 11,531
10/8/2005 11,168 11,531
10/9/2005 11,168 11,531
10/10/2005 11,108 11,450
10/11/2005 11,052 11,390
10/12/2005 10,916 11,250
10/13/2005 10,888 11,238
10/14/2005 11,032 11,358
10/15/2005 11,032 11,358
10/16/2005 11,032 11,358
10/17/2005 11,088 11,402
10/18/2005 10,956 11,287
10/19/2005 11,140 11,483
10/20/2005 11,012 11,333
10/21/2005 11,108 11,435
10/22/2005 11,108 11,435
10/23/2005 11,108 11,435
10/24/2005 11,296 11,626
10/25/2005 11,260 11,587
10/26/2005 11,212 11,553
10/27/2005 10,980 11,357
10/28/2005 11,164 11,555
10/29/2005 11,164 11,555
10/30/2005 11,164 11,555
10/31/2005 11,344 11,928
11/1/2005 11,368 11,789
11/2/2005 11,568 12,005
11/3/2005 11,636 12,083
11/4/2005 11,616 12,073
11/5/2005 11,616 12,073
11/6/2005 11,616 12,073
11/7/2005 11,652 12,285
11/8/2005 11,572 12,184
11/9/2005 11,612 12,222
11/10/2005 11,676 12,320
11/11/2005 11,696 12,358
11/12/2005 11,696 12,358
11/13/2005 11,696 12,358
11/14/2005 11,692 12,342
11/15/2005 11,628 12,216
11/16/2005 11,644 12,275
11/17/2005 11,836 12,499
11/18/2005 11,864 12,494
11/19/2005 11,864 12,494
11/20/2005 11,864 12,494
11/21/2005 11,992 12,606
11/22/2005 12,076 12,722
11/23/2005 12,096 12,744
11/24/2005 12,096 12,744
11/25/2005 12,128 12,784
11/26/2005 12,128 12,784
11/27/2005 12,128 12,784
11/28/2005 11,916 12,578
11/29/2005 11,948 12,595
11/30/2005 11,960 12,582
12/1/2005 12,140 12,738
12/2/2005 12,140 12,765
12/3/2005 12,140 12,765
12/4/2005 12,140 12,765
12/5/2005 12,088 12,705
12/6/2005 12,080 12,699
12/7/2005 12,032 12,656
12/8/2005 12,060 12,690
12/9/2005 12,108 12,763
12/10/2005 12,108 12,763
12/11/2005 12,108 12,763
12/12/2005 12,116 12,757
12/13/2005 12,140 12,755
12/14/2005 12,204 12,852
12/15/2005 12,124 12,762
12/16/2005 12,064 12,770
12/17/2005 12,064 12,770
12/18/2005 12,064 12,770
12/19/2005 11,912 12,616
12/20/2005 11,948 12,658
12/21/2005 12,052 12,770
12/22/2005 12,160 12,881
12/23/2005 12,224 12,951
12/24/2005 12,224 12,951
12/25/2005 12,224 12,951
12/26/2005 12,224 12,951
12/27/2005 12,108 12,829
12/28/2005 12,192 12,920
12/29/2005 12,168 12,894
12/30/2005 12,096 12,821
12/31/2005 12,096 12,821
1/1/2006 12,096 12,821
1/2/2006 12,096 12,821
1/3/2006 12,220 12,955
1/4/2006 12,296 13,035
1/5/2006 12,336 13,080
1/6/2006 12,484 13,242
1/7/2006 12,484 13,242
1/8/2006 12,484 13,242
1/9/2006 12,624 13,389
1/10/2006 12,644 13,413
1/11/2006 12,636 13,404
1/12/2006 12,532 13,296
1/13/2006 12,492 13,257
1/14/2006 12,492 13,257
1/15/2006 12,492 13,257
1/16/2006 12,492 13,257
1/17/2006 12,400 13,162
1/18/2006 12,400 13,163
1/19/2006 12,528 13,299
1/20/2006 12,276 13,032
1/21/2006 12,276 13,032
1/22/2006 12,276 13,032
1/23/2006 12,292 13,049
1/24/2006 12,408 13,167
1/25/2006 12,376 13,109
1/26/2006 12,568 13,314
1/27/2006 12,628 13,382
1/28/2006 12,628 13,382
1/29/2006 12,628 13,382
1/30/2006 12,624 13,378
1/31/2006 12,744 13,506
2/1/2006 12,744 13,505
2/2/2006 12,648 13,407
2/3/2006 12,628 13,386
2/4/2006 12,628 13,386
2/5/2006 12,628 13,386
2/6/2006 12,624 13,379
2/7/2006 12,468 13,217
2/8/2006 12,584 13,339
2/9/2006 12,544 13,295
2/10/2006 12,496 13,248
2/11/2006 12,496 13,248
2/12/2006 12,496 13,248
2/13/2006 12,392 13,138
2/14/2006 12,492 13,248
2/15/2006 12,556 13,313
2/16/2006 12,656 13,422
2/17/2006 12,632 13,396
2/18/2006 12,632 13,396
2/19/2006 12,632 13,396
2/20/2006 12,632 13,396
2/21/2006 12,532 13,294
2/22/2006 12,704 13,476
2/23/2006 12,672 13,441
2/24/2006 12,760 13,537
2/25/2006 12,760 13,537
2/26/2006 12,760 13,537
2/27/2006 12,820 13,603
2/28/2006 12,644 13,416
3/1/2006 12,824 13,608
3/2/2006 12,720 13,497
3/3/2006 12,672 13,449
3/4/2006 12,672 13,449
3/5/2006 12,672 13,449
3/6/2006 12,568 13,338
3/7/2006 12,408 13,171
3/8/2006 12,416 13,179
3/9/2006 12,328 13,089
3/10/2006 12,420 13,188
3/11/2006 12,420 13,188
3/12/2006 12,420 13,188
3/13/2006 12,476 13,250
3/14/2006 12,600 13,385
3/15/2006 12,648 13,434
3/16/2006 12,620 13,405
3/17/2006 12,660 13,451
3/18/2006 12,660 13,451
3/19/2006 12,660 13,451
3/20/2006 12,648 13,439
3/21/2006 12,560 13,344
3/22/2006 12,664 13,456
3/23/2006 12,688 13,481
3/24/2006 12,720 13,521
3/25/2006 12,720 13,521
3/26/2006 12,720 13,521
3/27/2006 12,688 13,485
3/28/2006 12,676 13,473
3/29/2006 12,832 13,642
3/30/2006 12,840 13,651
3/31/2006 12,860 13,673
4/1/2006 12,860 13,673
4/2/2006 12,860 13,673
4/3/2006 12,780 13,589
4/4/2006 12,848 13,662
4/5/2006 12,956 13,779
4/6/2006 12,972 13,795
4/7/2006 12,852 13,671
4/8/2006 12,852 13,671
4/9/2006 12,852 13,671
4/10/2006 12,784 13,599
4/11/2006 12,656 13,464
4/12/2006 12,660 13,470
4/13/2006 12,672 13,483
4/14/2006 12,672 13,483
4/15/2006 12,672 13,483
4/16/2006 12,672 13,483
4/17/2006 12,652 13,462
4/18/2006 12,916 13,747
4/19/2006 13,020 13,860
4/20/2006 13,020 13,857
4/21/2006 12,900 13,733
4/22/2006 12,900 13,733
4/23/2006 12,900 13,733
4/24/2006 12,816 13,643
4/25/2006 12,776 13,602
4/26/2006 12,740 13,562
4/27/2006 12,684 13,504
4/28/2006 12,740 13,564
4/29/2006 12,740 13,564
4/30/2006 12,740 13,564
5/1/2006 12,656 13,477
5/2/2006 12,696 13,521
5/3/2006 12,688 13,513
5/4/2006 12,676 13,498
5/5/2006 12,796 13,631
5/6/2006 12,796 13,631
5/7/2006 12,796 13,631
5/8/2006 12,792 13,628
5/9/2006 12,748 13,582
5/10/2006 12,708 13,540
5/11/2006 12,540 13,360
5/12/2006 12,328 13,137
5/13/2006 12,328 13,137
5/14/2006 12,328 13,137
5/15/2006 12,260 13,066
5/16/2006 12,248 13,052
5/17/2006 12,052 12,842
5/18/2006 11,988 12,775
5/19/2006 12,048 12,842
5/20/2006 12,048 12,842
5/21/2006 12,048 12,842
5/22/2006 11,928 12,715
5/23/2006 11,848 12,627
5/24/2006 11,812 12,590
5/25/2006 11,928 12,714
5/26/2006 12,008 12,802
5/27/2006 12,008 12,802
5/28/2006 12,008 12,802
5/29/2006 12,008 12,802
5/30/2006 11,788 12,569
5/31/2006 11,960 12,752
6/1/2006 12,144 12,949
6/2/2006 12,160 12,967
6/3/2006 12,160 12,967
6/4/2006 12,160 12,967
6/5/2006 11,844 12,628
6/6/2006 11,812 12,600
6/7/2006 11,748 12,532
6/8/2006 11,716 12,496
6/9/2006 11,672 12,451
6/10/2006 11,672 12,451
6/11/2006 11,672 12,451
6/12/2006 11,372 12,132
6/13/2006 11,184 11,929
6/14/2006 11,272 12,023
6/15/2006 11,648 12,426
6/16/2006 11,580 12,360
6/17/2006 11,580 12,360
6/18/2006 11,580 12,360
6/19/2006 11,408 12,176
6/20/2006 11,360 12,125
6/21/2006 11,572 12,354
6/22/2006 11,500 12,275
6/23/2006 11,696 12,488
6/24/2006 11,696 12,488
6/25/2006 11,696 12,488
6/26/2006 11,728 12,523
6/27/2006 11,596 12,381
6/28/2006 11,564 12,349
6/29/2006 11,908 12,719
6/30/2006 11,960 12,779
7/1/2006 11,960 12,779
7/2/2006 11,960 12,779
7/3/2006 12,020 12,846
7/4/2006 12,020 12,846
7/5/2006 11,828 12,638
7/6/2006 11,856 12,670
7/7/2006 11,736 12,544
7/8/2006 11,736 12,544
7/9/2006 11,736 12,544
7/10/2006 11,664 12,466
7/11/2006 11,708 12,514
7/12/2006 11,544 12,341
7/13/2006 11,324 12,107
7/14/2006 11,232 12,007
7/15/2006 11,232 12,007
7/16/2006 11,232 12,007
7/17/2006 11,184 11,957
7/18/2006 11,184 11,960
7/19/2006 11,488 12,289
7/20/2006 11,224 12,000
7/21/2006 11,072 11,841
7/22/2006 11,072 11,841
7/23/2006 11,072 11,841
7/24/2006 11,368 12,159
7/25/2006 11,488 12,286
7/26/2006 11,412 12,207
7/27/2006 11,272 12,054
7/28/2006 11,452 12,252
7/29/2006 11,452 12,252
7/30/2006 11,452 12,252
7/31/2006 11,452 12,251
8/1/2006 11,296 12,084
8/2/2006 11,376 12,169
8/3/2006 11,460 12,263
8/4/2006 11,348 12,146
8/5/2006 11,348 12,146
8/6/2006 11,348 12,146
8/7/2006 11,288 12,081
8/8/2006 11,144 11,930
8/9/2006 11,024 11,801
8/10/2006 11,112 11,894
8/11/2006 10,992 11,771
8/12/2006 10,992 11,771
8/13/2006 10,992 11,771
8/14/2006 10,980 11,759
8/15/2006 11,208 12,004
8/16/2006 11,400 12,215
8/17/2006 11,412 12,229
8/18/2006 11,460 12,280
8/19/2006 11,460 12,280
8/20/2006 11,460 12,280
8/21/2006 11,320 12,130
8/22/2006 11,320 12,130
8/23/2006 11,232 12,036
8/24/2006 11,120 11,917
8/25/2006 11,116 11,915
8/26/2006 11,116 11,915
8/27/2006 11,116 11,915
8/28/2006 11,240 12,048
8/29/2006 11,304 12,117
8/30/2006 11,344 12,159
8/31/2006 11,356 12,174
9/1/2006 11,424 12,247
9/2/2006 11,424 12,247
9/3/2006 11,424 12,247
9/4/2006 11,424 12,247
9/5/2006 11,456 12,282
9/6/2006 11,264 12,077
9/7/2006 11,212 12,023
9/8/2006 11,216 12,028
9/9/2006 11,216 12,028
9/10/2006 11,216 12,028
9/11/2006 11,248 12,063
9/12/2006 11,536 12,374
9/13/2006 11,604 12,449
9/14/2006 11,540 12,380
9/15/2006 11,516 12,355
9/16/2006 11,516 12,355
9/17/2006 11,516 12,355
9/18/2006 11,532 12,373
9/19/2006 11,516 12,356
9/20/2006 11,600 12,444
9/21/2006 11,540 12,384
9/22/2006 11,460 12,298
9/23/2006 11,460 12,298
9/24/2006 11,460 12,298
9/25/2006 11,596 12,443
9/26/2006 11,700 12,557
9/27/2006 11,708 12,567
9/28/2006 11,712 12,574
9/29/2006 11,592 12,444
9/30/2006 11,592 12,444
10/1/2006 11,592 12,444
10/2/2006 11,544 12,391
10/3/2006 11,532 12,383
10/4/2006 11,760 12,626
10/5/2006 11,904 12,784
10/6/2006 11,820 12,694
10/7/2006 11,820 12,694
10/8/2006 11,820 12,694
10/9/2006 11,900 12,780
10/10/2006 11,952 12,838
10/11/2006 11,908 12,793
10/12/2006 12,128 13,031
10/13/2006 12,180 13,087
10/14/2006 12,180 13,087
10/15/2006 12,180 13,087
10/16/2006 12,272 13,186
10/17/2006 12,148 13,055
10/18/2006 12,092 12,994
10/19/2006 12,116 13,018
10/20/2006 12,056 12,957
10/21/2006 12,056 12,957
10/22/2006 12,056 12,957
10/23/2006 12,120 13,028
10/24/2006 12,104 13,010
10/25/2006 12,112 13,021
10/26/2006 12,260 13,181
10/27/2006 12,100 13,010
10/28/2006 12,100 13,010
10/29/2006 12,100 13,010
10/30/2006 12,144 13,055
10/31/2006 12,076 12,985
11/1/2006 11,892 12,787
11/2/2006 11,912 12,808
11/3/2006 11,924 12,823
11/4/2006 11,924 12,823
11/5/2006 11,924 12,823
11/6/2006 12,072 12,984
11/7/2006 12,116 13,030
11/8/2006 12,184 13,108
11/9/2006 12,084 12,998
11/10/2006 12,196 13,120
11/11/2006 12,196 13,120
11/12/2006 12,196 13,120
11/13/2006 12,232 13,159
11/14/2006 12,412 13,355
11/15/2006 12,548 13,503
11/16/2006 12,548 13,504
11/17/2006 12,520 13,480
11/18/2006 12,520 13,480
11/19/2006 12,520 13,480
11/20/2006 12,508 13,464
11/21/2006 12,540 13,500
11/22/2006 12,616 13,588
11/23/2006 12,616 13,588
11/24/2006 12,596 13,568
11/25/2006 12,596 13,568
11/26/2006 12,596 13,568
11/27/2006 12,356 13,309
11/28/2006 12,364 13,318
11/29/2006 12,536 13,505
11/30/2006 12,548 13,518
12/1/2006 12,556 13,528
12/2/2006 12,556 13,528
12/3/2006 12,556 13,528
12/4/2006 12,712 13,696
12/5/2006 12,768 13,757
12/6/2006 12,780 13,772
12/7/2006 12,696 13,680
12/8/2006 12,704 13,691
12/9/2006 12,704 13,691
12/10/2006 12,704 13,691
12/11/2006 12,674 13,661
12/12/2006 12,593 13,572
12/13/2006 12,615 13,596
12/14/2006 12,700 13,689
12/15/2006 12,649 13,637
12/16/2006 12,649 13,637
12/17/2006 12,649 13,637
12/18/2006 12,530 13,513
12/19/2006 12,538 13,520
12/20/2006 12,551 13,535
12/21/2006 12,504 13,484
12/22/2006 12,462 13,442
12/23/2006 12,462 13,442
12/24/2006 12,462 13,442
12/25/2006 12,462 13,442
12/26/2006 12,504 13,487
12/27/2006 12,615 13,608
12/28/2006 12,576 13,566
12/29/2006 12,474 13,459
12/30/2006 12,474 13,459
12/31/2006 12,474 13,459
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND 3.13% 8.66%
S&P MIDCAP 400/CITIGROUP PURE GROWTH INDEX 4.98% 11.80%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400/CITIGROUP PURE
GROWTH INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT
FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P MIDCAP 400/CITIGROUP
MID-CAP GROWTH FUND PURE GROWTH INDEX
OTHER 5.3% 2.2%
CONSUMER DISCRETIONARY 34.4% 27.4%
HEALTH CARE 19.7% 16.0%
INFORMATION TECHNOLOGY 12.6% 18.4%
INDUSTRIALS 12.3% 15.3%
FINANCIALS 9.0% 9.8%
ENERGY 6.3% 10.9%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Sepracor, Inc. 1.6%
Par Pharmaceuticals Cos., Inc. 1.6%
Corinthian Colleges, Inc. 1.5%
Aeropostale, Inc. 1.5%
Gen-Probe, Inc. 1.5%
Hovnanian Enterprises, Inc. -- Class A 1.4%
Western Digital Corp. 1.4%
Chico's FAS, Inc. 1.4%
Career Education Corp. 1.3%
Community Health Systems, Inc. 1.3%
- --------------------------------------------------------------------------------
Top Ten Total 14.5%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 29
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 3, 2004
For 2006, the S&P 500/Citigroup Pure Growth Index posted its fourth consecutive
annual gain. Although growth stocks underperformed value stocks in 2006, the
index still managed to gain 7.43% for the year. Rydex Large-Cap Growth Fund
gained 5.40% for the period, with the consumer discretionary and information
technology sectors contributing most to returns.
CUMULATIVE FUND PERFORMANCE:
MAY 3, 2004 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP PURE
DATE LARGE-CAP GROWTH FUND GROWTH INDEX
5/3/2004 10,000 10,000
5/4/2004 10,004 9,977
5/5/2004 10,024 10,052
5/6/2004 9,984 9,951
5/7/2004 9,908 9,808
5/8/2004 9,908 9,808
5/9/2004 9,908 9,808
5/10/2004 9,852 9,675
5/11/2004 9,916 9,793
5/12/2004 9,896 9,783
5/13/2004 9,880 9,813
5/14/2004 9,848 9,815
5/15/2004 9,848 9,815
5/16/2004 9,848 9,815
5/17/2004 9,760 9,702
5/18/2004 9,820 9,785
5/19/2004 9,784 9,753
5/20/2004 9,788 9,742
5/21/2004 9,816 9,812
5/22/2004 9,816 9,812
5/23/2004 9,816 9,812
5/24/2004 9,800 9,848
5/25/2004 9,956 10,047
5/26/2004 9,980 10,046
5/27/2004 10,064 10,118
5/28/2004 10,048 10,129
5/29/2004 10,048 10,129
5/30/2004 10,048 10,129
5/31/2004 10,048 10,129
6/1/2004 10,056 10,150
6/2/2004 10,084 10,166
6/3/2004 10,016 10,076
6/4/2004 10,068 10,132
6/5/2004 10,068 10,132
6/6/2004 10,068 10,132
6/7/2004 10,228 10,321
6/8/2004 10,260 10,328
6/9/2004 10,164 10,183
6/10/2004 10,192 10,200
6/11/2004 10,192 10,200
6/12/2004 10,192 10,200
6/13/2004 10,192 10,200
6/14/2004 10,116 10,091
6/15/2004 10,180 10,147
6/16/2004 10,180 10,165
6/17/2004 10,148 10,120
6/18/2004 10,164 10,114
6/19/2004 10,164 10,114
6/20/2004 10,164 10,114
6/21/2004 10,116 10,061
6/22/2004 10,160 10,107
6/23/2004 10,240 10,194
6/24/2004 10,200 10,175
6/25/2004 10,124 10,212
6/26/2004 10,124 10,212
6/27/2004 10,124 10,212
6/28/2004 10,128 10,146
6/29/2004 10,168 10,150
6/30/2004 10,200 10,216
7/1/2004 10,080 10,090
7/2/2004 10,032 10,056
7/3/2004 10,032 10,056
7/4/2004 10,032 10,056
7/5/2004 10,032 10,056
7/6/2004 9,944 9,952
7/7/2004 9,960 9,982
7/8/2004 9,884 9,856
7/9/2004 9,920 9,863
7/10/2004 9,920 9,863
7/11/2004 9,920 9,863
7/12/2004 9,920 9,865
7/13/2004 9,928 9,880
7/14/2004 9,880 9,869
7/15/2004 9,836 9,870
7/16/2004 9,764 9,770
7/17/2004 9,764 9,770
7/18/2004 9,764 9,770
7/19/2004 9,740 9,740
7/20/2004 9,820 9,829
7/21/2004 9,680 9,682
7/22/2004 9,720 9,689
7/23/2004 9,576 9,586
7/24/2004 9,576 9,586
7/25/2004 9,576 9,586
7/26/2004 9,548 9,542
7/27/2004 9,644 9,617
7/28/2004 9,644 9,574
7/29/2004 9,676 9,644
7/30/2004 9,696 9,681
7/31/2004 9,696 9,681
8/1/2004 9,696 9,681
8/2/2004 9,740 9,686
8/3/2004 9,652 9,602
8/4/2004 9,664 9,542
8/5/2004 9,484 9,366
8/6/2004 9,324 9,184
8/7/2004 9,324 9,184
8/8/2004 9,324 9,184
8/9/2004 9,332 9,209
8/10/2004 9,456 9,366
8/11/2004 9,432 9,346
8/12/2004 9,332 9,244
8/13/2004 9,352 9,267
8/14/2004 9,352 9,267
8/15/2004 9,352 9,267
8/16/2004 9,460 9,403
8/17/2004 9,484 9,423
8/18/2004 9,612 9,550
8/19/2004 9,572 9,519
8/20/2004 9,616 9,592
8/21/2004 9,616 9,592
8/22/2004 9,616 9,592
8/23/2004 9,616 9,567
8/24/2004 9,620 9,561
8/25/2004 9,696 9,625
8/26/2004 9,688 9,629
8/27/2004 9,716 9,657
8/28/2004 9,716 9,657
8/29/2004 9,716 9,657
8/30/2004 9,628 9,558
8/31/2004 9,656 9,602
9/1/2004 9,684 9,661
9/2/2004 9,796 9,797
9/3/2004 9,732 9,779
9/4/2004 9,732 9,779
9/5/2004 9,732 9,779
9/6/2004 9,732 9,779
9/7/2004 9,776 9,856
9/8/2004 9,752 9,818
9/9/2004 9,764 9,824
9/10/2004 9,820 9,895
9/11/2004 9,820 9,895
9/12/2004 9,820 9,895
9/13/2004 9,840 9,945
9/14/2004 9,868 9,993
9/15/2004 9,792 9,924
9/16/2004 9,784 9,963
9/17/2004 9,832 10,020
9/18/2004 9,832 10,020
9/19/2004 9,832 10,020
9/20/2004 9,772 9,976
9/21/2004 9,804 10,063
9/22/2004 9,656 9,924
9/23/2004 9,628 9,896
9/24/2004 9,628 9,931
9/25/2004 9,628 9,931
9/26/2004 9,628 9,931
9/27/2004 9,572 9,869
9/28/2004 9,632 9,910
9/29/2004 9,700 9,975
9/30/2004 9,660 9,994
10/1/2004 9,804 10,134
10/2/2004 9,804 10,134
10/3/2004 9,804 10,134
10/4/2004 9,836 10,156
10/5/2004 9,832 10,138
10/6/2004 9,884 10,196
10/7/2004 9,756 10,092
10/8/2004 9,652 9,988
10/9/2004 9,652 9,988
10/10/2004 9,652 9,988
10/11/2004 9,680 10,000
10/12/2004 9,660 9,976
10/13/2004 9,612 9,912
10/14/2004 9,544 9,849
10/15/2004 9,580 9,884
10/16/2004 9,580 9,884
10/17/2004 9,580 9,884
10/18/2004 9,664 9,963
10/19/2004 9,596 9,840
10/20/2004 9,612 9,829
10/21/2004 9,644 9,884
10/22/2004 9,520 9,821
10/23/2004 9,520 9,821
10/24/2004 9,520 9,821
10/25/2004 9,484 9,810
10/26/2004 9,604 9,975
10/27/2004 9,772 10,142
10/28/2004 9,788 10,118
10/29/2004 9,792 10,148
10/30/2004 9,792 10,148
10/31/2004 9,792 10,148
11/1/2004 9,780 10,135
11/2/2004 9,788 10,156
11/3/2004 9,908 10,281
11/4/2004 10,048 10,428
11/5/2004 10,100 10,515
11/6/2004 10,100 10,515
11/7/2004 10,100 10,515
11/8/2004 10,100 10,494
11/9/2004 10,100 10,487
11/10/2004 10,072 10,509
11/11/2004 10,164 10,611
11/12/2004 10,248 10,701
11/13/2004 10,248 10,701
11/14/2004 10,248 10,701
11/15/2004 10,272 10,715
11/16/2004 10,200 10,623
11/17/2004 10,260 10,690
11/18/2004 10,276 10,709
11/19/2004 10,140 10,587
11/20/2004 10,140 10,587
11/21/2004 10,140 10,587
11/22/2004 10,172 10,653
11/23/2004 10,136 10,659
11/24/2004 10,172 10,737
11/25/2004 10,172 10,737
11/26/2004 10,168 10,758
11/27/2004 10,168 10,758
11/28/2004 10,168 10,758
11/29/2004 10,140 10,718
11/30/2004 10,084 10,703
12/1/2004 10,264 10,858
12/2/2004 10,296 10,855
12/3/2004 10,308 10,864
12/4/2004 10,308 10,864
12/5/2004 10,308 10,864
12/6/2004 10,284 10,879
12/7/2004 10,172 10,756
12/8/2004 10,240 10,837
12/9/2004 10,296 10,935
12/10/2004 10,280 10,945
12/11/2004 10,280 10,945
12/12/2004 10,280 10,945
12/13/2004 10,360 11,014
12/14/2004 10,408 11,070
12/15/2004 10,416 11,082
12/16/2004 10,416 11,004
12/17/2004 10,304 10,937
12/18/2004 10,304 10,937
12/19/2004 10,304 10,937
12/20/2004 10,320 10,924
12/21/2004 10,404 10,996
12/22/2004 10,432 11,022
12/23/2004 10,440 10,998
12/24/2004 10,440 10,998
12/25/2004 10,440 10,998
12/26/2004 10,440 10,998
12/27/2004 10,384 10,936
12/28/2004 10,456 11,062
12/29/2004 10,448 11,095
12/30/2004 10,447 11,109
12/31/2004 10,426 11,110
1/1/2005 10,426 11,110
1/2/2005 10,426 11,110
1/3/2005 10,358 10,975
1/4/2005 10,236 10,822
1/5/2005 10,196 10,776
1/6/2005 10,224 10,780
1/7/2005 10,224 10,757
1/8/2005 10,224 10,757
1/9/2005 10,224 10,757
1/10/2005 10,268 10,814
1/11/2005 10,212 10,793
1/12/2005 10,268 10,850
1/13/2005 10,159 10,784
1/14/2005 10,228 10,872
1/15/2005 10,228 10,872
1/16/2005 10,228 10,872
1/17/2005 10,228 10,872
1/18/2005 10,309 10,977
1/19/2005 10,216 10,880
1/20/2005 10,131 10,751
1/21/2005 10,062 10,677
1/22/2005 10,062 10,677
1/23/2005 10,062 10,677
1/24/2005 10,009 10,622
1/25/2005 10,074 10,650
1/26/2005 10,111 10,716
1/27/2005 10,119 10,756
1/28/2005 10,090 10,714
1/29/2005 10,090 10,714
1/30/2005 10,090 10,714
1/31/2005 10,155 10,815
2/1/2005 10,224 10,935
2/2/2005 10,268 10,962
2/3/2005 10,240 10,929
2/4/2005 10,341 11,025
2/5/2005 10,341 11,025
2/6/2005 10,341 11,025
2/7/2005 10,321 11,003
2/8/2005 10,333 10,979
2/9/2005 10,228 10,848
2/10/2005 10,268 10,888
2/11/2005 10,333 10,985
2/12/2005 10,333 10,985
2/13/2005 10,333 10,985
2/14/2005 10,353 10,984
2/15/2005 10,394 11,037
2/16/2005 10,402 11,058
2/17/2005 10,325 10,941
2/18/2005 10,345 10,960
2/19/2005 10,345 10,960
2/20/2005 10,345 10,960
2/21/2005 10,345 10,960
2/22/2005 10,192 10,819
2/23/2005 10,240 10,853
2/24/2005 10,341 10,957
2/25/2005 10,422 11,085
2/26/2005 10,422 11,085
2/27/2005 10,422 11,085
2/28/2005 10,374 11,055
3/1/2005 10,422 11,088
3/2/2005 10,430 11,109
3/3/2005 10,434 11,145
3/4/2005 10,515 11,261
3/5/2005 10,515 11,261
3/6/2005 10,515 11,261
3/7/2005 10,536 11,291
3/8/2005 10,487 11,207
3/9/2005 10,394 11,089
3/10/2005 10,418 11,070
3/11/2005 10,333 10,987
3/12/2005 10,333 10,987
3/13/2005 10,333 10,987
3/14/2005 10,370 11,024
3/15/2005 10,293 10,935
3/16/2005 10,208 10,838
3/17/2005 10,228 10,851
3/18/2005 10,232 10,856
3/19/2005 10,232 10,856
3/20/2005 10,232 10,856
3/21/2005 10,192 10,840
3/22/2005 10,119 10,764
3/23/2005 10,135 10,758
3/24/2005 10,119 10,776
3/25/2005 10,119 10,776
3/26/2005 10,119 10,776
3/27/2005 10,119 10,776
3/28/2005 10,147 10,785
3/29/2005 10,070 10,701
3/30/2005 10,208 10,834
3/31/2005 10,175 10,834
4/1/2005 10,102 10,791
4/2/2005 10,102 10,791
4/3/2005 10,102 10,791
4/4/2005 10,139 10,840
4/5/2005 10,196 10,876
4/6/2005 10,200 10,881
4/7/2005 10,272 10,933
4/8/2005 10,192 10,811
4/9/2005 10,192 10,811
4/10/2005 10,192 10,811
4/11/2005 10,183 10,806
4/12/2005 10,232 10,871
4/13/2005 10,127 10,702
4/14/2005 10,042 10,593
4/15/2005 9,888 10,391
4/16/2005 9,888 10,391
4/17/2005 9,888 10,391
4/18/2005 9,896 10,419
4/19/2005 9,945 10,503
4/20/2005 9,819 10,347
4/21/2005 10,042 10,538
4/22/2005 9,961 10,434
4/23/2005 9,961 10,434
4/24/2005 9,961 10,434
4/25/2005 10,038 10,552
4/26/2005 9,953 10,460
4/27/2005 9,981 10,515
4/28/2005 9,859 10,389
4/29/2005 9,973 10,482
4/30/2005 9,973 10,482
5/1/2005 9,973 10,482
5/2/2005 10,021 10,540
5/3/2005 10,021 10,520
5/4/2005 10,119 10,648
5/5/2005 10,102 10,625
5/6/2005 10,098 10,621
5/7/2005 10,098 10,621
5/8/2005 10,098 10,621
5/9/2005 10,147 10,687
5/10/2005 10,050 10,568
5/11/2005 10,106 10,624
5/12/2005 10,021 10,505
5/13/2005 9,997 10,478
5/14/2005 9,997 10,478
5/15/2005 9,997 10,478
5/16/2005 10,090 10,626
5/17/2005 10,147 10,714
5/18/2005 10,244 10,846
5/19/2005 10,293 10,906
5/20/2005 10,268 10,894
5/21/2005 10,268 10,894
5/22/2005 10,268 10,894
5/23/2005 10,313 10,956
5/24/2005 10,317 10,965
5/25/2005 10,281 10,917
5/26/2005 10,341 10,999
5/27/2005 10,345 11,044
5/28/2005 10,345 11,044
5/29/2005 10,345 11,044
5/30/2005 10,345 11,044
5/31/2005 10,272 10,991
6/1/2005 10,374 11,104
6/2/2005 10,394 11,135
6/3/2005 10,301 11,082
6/4/2005 10,301 11,082
6/5/2005 10,301 11,082
6/6/2005 10,313 11,131
6/7/2005 10,317 11,123
6/8/2005 10,285 11,088
6/9/2005 10,337 11,193
6/10/2005 10,289 11,129
6/11/2005 10,289 11,129
6/12/2005 10,289 11,129
6/13/2005 10,309 11,202
6/14/2005 10,321 11,279
6/15/2005 10,341 11,299
6/16/2005 10,366 11,354
6/17/2005 10,402 11,406
6/18/2005 10,402 11,406
6/19/2005 10,402 11,406
6/20/2005 10,394 11,409
6/21/2005 10,362 11,363
6/22/2005 10,349 11,350
6/23/2005 10,228 11,267
6/24/2005 10,135 11,179
6/25/2005 10,135 11,179
6/26/2005 10,135 11,179
6/27/2005 10,135 11,198
6/28/2005 10,248 11,304
6/29/2005 10,212 11,275
6/30/2005 10,127 11,271
7/1/2005 10,155 11,300
7/2/2005 10,155 11,300
7/3/2005 10,155 11,300
7/4/2005 10,155 11,300
7/5/2005 10,248 11,443
7/6/2005 10,159 11,354
7/7/2005 10,183 11,421
7/8/2005 10,321 11,524
7/9/2005 10,321 11,524
7/10/2005 10,321 11,524
7/11/2005 10,394 11,595
7/12/2005 10,426 11,628
7/13/2005 10,430 11,606
7/14/2005 10,471 11,586
7/15/2005 10,475 11,611
7/16/2005 10,475 11,611
7/17/2005 10,475 11,611
7/18/2005 10,430 11,557
7/19/2005 10,519 11,635
7/20/2005 10,572 11,685
7/21/2005 10,515 11,581
7/22/2005 10,556 11,687
7/23/2005 10,556 11,687
7/24/2005 10,556 11,687
7/25/2005 10,515 11,627
7/26/2005 10,532 11,665
7/27/2005 10,584 11,709
7/28/2005 10,641 11,783
7/29/2005 10,552 11,687
7/30/2005 10,552 11,687
7/31/2005 10,552 11,687
8/1/2005 10,564 11,717
8/2/2005 10,645 11,776
8/3/2005 10,649 11,765
8/4/2005 10,552 11,687
8/5/2005 10,495 11,580
8/6/2005 10,495 11,580
8/7/2005 10,495 11,580
8/8/2005 10,467 11,565
8/9/2005 10,540 11,628
8/10/2005 10,503 11,616
8/11/2005 10,584 11,709
8/12/2005 10,511 11,676
8/13/2005 10,511 11,676
8/14/2005 10,511 11,676
8/15/2005 10,540 11,703
8/16/2005 10,406 11,555
8/17/2005 10,418 11,561
8/18/2005 10,418 11,541
8/19/2005 10,410 11,539
8/20/2005 10,410 11,539
8/21/2005 10,410 11,539
8/22/2005 10,426 11,533
8/23/2005 10,394 11,513
8/24/2005 10,329 11,493
8/25/2005 10,349 11,522
8/26/2005 10,293 11,439
8/27/2005 10,293 11,439
8/28/2005 10,293 11,439
8/29/2005 10,366 11,506
8/30/2005 10,321 11,478
8/31/2005 10,418 11,629
9/1/2005 10,410 11,635
9/2/2005 10,378 11,570
9/3/2005 10,378 11,570
9/4/2005 10,378 11,570
9/5/2005 10,378 11,570
9/6/2005 10,528 11,716
9/7/2005 10,552 11,756
9/8/2005 10,520 11,705
9/9/2005 10,593 11,805
9/10/2005 10,593 11,805
9/11/2005 10,593 11,805
9/12/2005 10,589 11,817
9/13/2005 10,507 11,715
9/14/2005 10,451 11,673
9/15/2005 10,455 11,682
9/16/2005 10,520 11,733
9/17/2005 10,520 11,733
9/18/2005 10,520 11,733
9/19/2005 10,467 11,662
9/20/2005 10,394 11,547
9/21/2005 10,317 11,454
9/22/2005 10,365 11,535
9/23/2005 10,365 11,545
9/24/2005 10,365 11,545
9/25/2005 10,365 11,545
9/26/2005 10,357 11,549
9/27/2005 10,369 11,569
9/28/2005 10,373 11,569
9/29/2005 10,451 11,646
9/30/2005 10,467 11,667
10/1/2005 10,467 11,667
10/2/2005 10,467 11,667
10/3/2005 10,430 11,667
10/4/2005 10,345 11,541
10/5/2005 10,203 11,327
10/6/2005 10,170 11,248
10/7/2005 10,203 11,303
10/8/2005 10,203 11,303
10/9/2005 10,203 11,303
10/10/2005 10,150 11,229
10/11/2005 10,138 11,210
10/12/2005 10,097 11,122
10/13/2005 10,109 11,110
10/14/2005 10,187 11,232
10/15/2005 10,187 11,232
10/16/2005 10,187 11,232
10/17/2005 10,207 11,287
10/18/2005 10,114 11,159
10/19/2005 10,272 11,312
10/20/2005 10,142 11,134
10/21/2005 10,130 11,181
10/22/2005 10,130 11,181
10/23/2005 10,130 11,181
10/24/2005 10,272 11,340
10/25/2005 10,239 11,274
10/26/2005 10,183 11,196
10/27/2005 10,065 11,064
10/28/2005 10,215 11,274
10/29/2005 10,215 11,274
10/30/2005 10,215 11,274
10/31/2005 10,284 11,400
11/1/2005 10,223 11,386
11/2/2005 10,317 11,523
11/3/2005 10,394 11,556
11/4/2005 10,402 11,555
11/5/2005 10,402 11,555
11/6/2005 10,402 11,555
11/7/2005 10,422 11,573
11/8/2005 10,394 11,491
11/9/2005 10,402 11,497
11/10/2005 10,495 11,637
11/11/2005 10,520 11,653
11/12/2005 10,520 11,653
11/13/2005 10,520 11,653
11/14/2005 10,503 11,628
11/15/2005 10,491 11,605
11/16/2005 10,528 11,640
11/17/2005 10,601 11,789
11/18/2005 10,649 11,809
11/19/2005 10,649 11,809
11/20/2005 10,649 11,809
11/21/2005 10,710 11,906
11/22/2005 10,751 11,980
11/23/2005 10,771 11,996
11/24/2005 10,771 11,996
11/25/2005 10,796 12,014
11/26/2005 10,796 12,014
11/27/2005 10,796 12,014
11/28/2005 10,710 11,872
11/29/2005 10,698 11,889
11/30/2005 10,654 11,846
12/1/2005 10,775 12,003
12/2/2005 10,788 12,043
12/3/2005 10,788 12,043
12/4/2005 10,788 12,043
12/5/2005 10,755 12,021
12/6/2005 10,767 12,052
12/7/2005 10,727 11,992
12/8/2005 10,702 11,998
12/9/2005 10,719 12,035
12/10/2005 10,719 12,035
12/11/2005 10,719 12,035
12/12/2005 10,739 12,076
12/13/2005 10,779 12,116
12/14/2005 10,820 12,179
12/15/2005 10,828 12,148
12/16/2005 10,792 12,123
12/17/2005 10,792 12,123
12/18/2005 10,792 12,123
12/19/2005 10,702 12,017
12/20/2005 10,714 12,028
12/21/2005 10,743 12,063
12/22/2005 10,785 12,111
12/23/2005 10,785 12,114
12/24/2005 10,785 12,114
12/25/2005 10,785 12,114
12/26/2005 10,785 12,114
12/27/2005 10,677 11,992
12/28/2005 10,710 12,032
12/29/2005 10,669 11,984
12/30/2005 10,611 11,923
12/31/2005 10,611 11,923
1/1/2006 10,611 11,923
1/2/2006 10,611 11,923
1/3/2006 10,760 12,090
1/4/2006 10,810 12,147
1/5/2006 10,805 12,143
1/6/2006 10,917 12,272
1/7/2006 10,917 12,272
1/8/2006 10,917 12,272
1/9/2006 11,000 12,363
1/10/2006 10,983 12,347
1/11/2006 11,012 12,379
1/12/2006 10,967 12,328
1/13/2006 10,971 12,336
1/14/2006 10,971 12,336
1/15/2006 10,971 12,336
1/16/2006 10,971 12,336
1/17/2006 10,938 12,301
1/18/2006 10,905 12,261
1/19/2006 10,983 12,351
1/20/2006 10,814 12,161
1/21/2006 10,814 12,161
1/22/2006 10,814 12,161
1/23/2006 10,814 12,163
1/24/2006 10,880 12,239
1/25/2006 10,822 12,172
1/26/2006 10,896 12,258
1/27/2006 11,012 12,393
1/28/2006 11,012 12,393
1/29/2006 11,012 12,393
1/30/2006 11,008 12,390
1/31/2006 10,967 12,342
2/1/2006 10,942 12,316
2/2/2006 10,863 12,226
2/3/2006 10,797 12,153
2/4/2006 10,797 12,153
2/5/2006 10,797 12,153
2/6/2006 10,797 12,152
2/7/2006 10,686 12,029
2/8/2006 10,756 12,111
2/9/2006 10,719 12,068
2/10/2006 10,727 12,080
2/11/2006 10,727 12,080
2/12/2006 10,727 12,080
2/13/2006 10,698 12,049
2/14/2006 10,777 12,135
2/15/2006 10,830 12,198
2/16/2006 10,925 12,306
2/17/2006 10,876 12,254
2/18/2006 10,876 12,254
2/19/2006 10,876 12,254
2/20/2006 10,876 12,254
2/21/2006 10,834 12,204
2/22/2006 10,921 12,302
2/23/2006 10,892 12,272
2/24/2006 10,909 12,292
2/25/2006 10,909 12,292
2/26/2006 10,909 12,292
2/27/2006 10,954 12,344
2/28/2006 10,772 12,138
3/1/2006 10,839 12,214
3/2/2006 10,830 12,204
3/3/2006 10,801 12,173
3/4/2006 10,801 12,173
3/5/2006 10,801 12,173
3/6/2006 10,715 12,078
3/7/2006 10,673 12,031
3/8/2006 10,702 12,064
3/9/2006 10,644 12,002
3/10/2006 10,706 12,073
3/11/2006 10,706 12,073
3/12/2006 10,706 12,073
3/13/2006 10,727 12,096
3/14/2006 10,851 12,237
3/15/2006 10,888 12,281
3/16/2006 10,909 12,305
3/17/2006 10,921 12,320
3/18/2006 10,921 12,320
3/19/2006 10,921 12,320
3/20/2006 10,892 12,288
3/21/2006 10,830 12,216
3/22/2006 10,867 12,261
3/23/2006 10,867 12,260
3/24/2006 10,892 12,289
3/25/2006 10,892 12,289
3/26/2006 10,892 12,289
3/27/2006 10,876 12,273
3/28/2006 10,855 12,252
3/29/2006 10,954 12,362
3/30/2006 10,938 12,345
3/31/2006 10,888 12,290
4/1/2006 10,888 12,290
4/2/2006 10,888 12,290
4/3/2006 10,876 12,274
4/4/2006 10,942 12,353
4/5/2006 10,962 12,378
4/6/2006 10,958 12,374
4/7/2006 10,863 12,265
4/8/2006 10,863 12,265
4/9/2006 10,863 12,265
4/10/2006 10,859 12,264
4/11/2006 10,760 12,152
4/12/2006 10,772 12,164
4/13/2006 10,772 12,167
4/14/2006 10,772 12,167
4/15/2006 10,772 12,167
4/16/2006 10,772 12,167
4/17/2006 10,756 12,151
4/18/2006 10,896 12,308
4/19/2006 10,934 12,351
4/20/2006 10,971 12,396
4/21/2006 10,917 12,336
4/22/2006 10,917 12,336
4/23/2006 10,917 12,336
4/24/2006 10,896 12,316
4/25/2006 10,826 12,235
4/26/2006 10,830 12,242
4/27/2006 10,789 12,195
4/28/2006 10,781 12,187
4/29/2006 10,781 12,187
4/30/2006 10,781 12,187
5/1/2006 10,727 12,128
5/2/2006 10,752 12,156
5/3/2006 10,710 12,109
5/4/2006 10,727 12,128
5/5/2006 10,830 12,248
5/6/2006 10,830 12,248
5/7/2006 10,830 12,248
5/8/2006 10,834 12,251
5/9/2006 10,801 12,216
5/10/2006 10,793 12,207
5/11/2006 10,640 12,035
5/12/2006 10,508 11,888
5/13/2006 10,508 11,888
5/14/2006 10,508 11,888
5/15/2006 10,529 11,911
5/16/2006 10,504 11,884
5/17/2006 10,364 11,723
5/18/2006 10,302 11,657
5/19/2006 10,343 11,700
5/20/2006 10,343 11,700
5/21/2006 10,343 11,700
5/22/2006 10,285 11,640
5/23/2006 10,227 11,573
5/24/2006 10,248 11,595
5/25/2006 10,355 11,720
5/26/2006 10,397 11,769
5/27/2006 10,397 11,769
5/28/2006 10,397 11,769
5/29/2006 10,397 11,769
5/30/2006 10,244 11,594
5/31/2006 10,326 11,692
6/1/2006 10,450 11,833
6/2/2006 10,425 11,807
6/3/2006 10,425 11,807
6/4/2006 10,425 11,807
6/5/2006 10,235 11,588
6/6/2006 10,202 11,552
6/7/2006 10,178 11,526
6/8/2006 10,186 11,535
6/9/2006 10,149 11,494
6/10/2006 10,149 11,494
6/11/2006 10,149 11,494
6/12/2006 10,000 11,326
6/13/2006 9,926 11,241
6/14/2006 9,992 11,317
6/15/2006 10,215 11,574
6/16/2006 10,178 11,531
6/17/2006 10,178 11,531
6/18/2006 10,178 11,531
6/19/2006 10,058 11,396
6/20/2006 10,033 11,365
6/21/2006 10,157 11,507
6/22/2006 10,099 11,442
6/23/2006 10,112 11,461
6/24/2006 10,112 11,461
6/25/2006 10,112 11,461
6/26/2006 10,128 11,477
6/27/2006 10,021 11,355
6/28/2006 10,062 11,406
6/29/2006 10,293 11,670
6/30/2006 10,302 11,680
7/1/2006 10,302 11,680
7/2/2006 10,302 11,680
7/3/2006 10,335 11,720
7/4/2006 10,335 11,720
7/5/2006 10,223 11,595
7/6/2006 10,240 11,611
7/7/2006 10,161 11,523
7/8/2006 10,161 11,523
7/9/2006 10,161 11,523
7/10/2006 10,149 11,512
7/11/2006 10,190 11,558
7/12/2006 10,066 11,418
7/13/2006 9,950 11,287
7/14/2006 9,876 11,202
7/15/2006 9,876 11,202
7/16/2006 9,876 11,202
7/17/2006 9,876 11,205
7/18/2006 9,855 11,181
7/19/2006 10,037 11,388
7/20/2006 9,913 11,248
7/21/2006 9,806 11,129
7/22/2006 9,806 11,129
7/23/2006 9,806 11,129
7/24/2006 10,008 11,358
7/25/2006 10,103 11,468
7/26/2006 10,070 11,428
7/27/2006 10,000 11,350
7/28/2006 10,136 11,505
7/29/2006 10,136 11,505
7/30/2006 10,136 11,505
7/31/2006 10,132 11,504
8/1/2006 10,083 11,448
8/2/2006 10,165 11,542
8/3/2006 10,207 11,596
8/4/2006 10,198 11,584
8/5/2006 10,198 11,584
8/6/2006 10,198 11,584
8/7/2006 10,161 11,542
8/8/2006 10,136 11,518
8/9/2006 10,058 11,427
8/10/2006 10,116 11,494
8/11/2006 10,054 11,427
8/12/2006 10,054 11,427
8/13/2006 10,054 11,427
8/14/2006 10,041 11,415
8/15/2006 10,215 11,609
8/16/2006 10,335 11,750
8/17/2006 10,380 11,799
8/18/2006 10,397 11,819
8/19/2006 10,397 11,819
8/20/2006 10,397 11,819
8/21/2006 10,322 11,734
8/22/2006 10,339 11,755
8/23/2006 10,273 11,683
8/24/2006 10,293 11,705
8/25/2006 10,281 11,695
8/26/2006 10,281 11,695
8/27/2006 10,281 11,695
8/28/2006 10,355 11,777
8/29/2006 10,405 11,836
8/30/2006 10,434 11,869
8/31/2006 10,434 11,872
9/1/2006 10,487 11,935
9/2/2006 10,487 11,935
9/3/2006 10,487 11,935
9/4/2006 10,487 11,935
9/5/2006 10,516 11,971
9/6/2006 10,388 11,822
9/7/2006 10,339 11,766
9/8/2006 10,397 11,836
9/9/2006 10,397 11,836
9/10/2006 10,397 11,836
9/11/2006 10,430 11,874
9/12/2006 10,607 12,079
9/13/2006 10,649 12,128
9/14/2006 10,624 12,100
9/15/2006 10,694 12,180
9/16/2006 10,694 12,180
9/17/2006 10,694 12,180
9/18/2006 10,682 12,168
9/19/2006 10,640 12,121
9/20/2006 10,702 12,192
9/21/2006 10,632 12,110
9/22/2006 10,574 12,046
9/23/2006 10,574 12,046
9/24/2006 10,574 12,046
9/25/2006 10,682 12,169
9/26/2006 10,735 12,233
9/27/2006 10,727 12,222
9/28/2006 10,739 12,236
9/29/2006 10,702 12,199
9/30/2006 10,702 12,199
10/1/2006 10,702 12,199
10/2/2006 10,644 12,132
10/3/2006 10,628 12,116
10/4/2006 10,830 12,345
10/5/2006 10,884 12,410
10/6/2006 10,839 12,359
10/7/2006 10,839 12,359
10/8/2006 10,839 12,359
10/9/2006 10,880 12,406
10/10/2006 10,888 12,415
10/11/2006 10,839 12,358
10/12/2006 10,954 12,493
10/13/2006 10,938 12,479
10/14/2006 10,938 12,479
10/15/2006 10,938 12,479
10/16/2006 10,983 12,530
10/17/2006 10,921 12,459
10/18/2006 10,917 12,456
10/19/2006 10,917 12,455
10/20/2006 10,900 12,440
10/21/2006 10,900 12,440
10/22/2006 10,900 12,440
10/23/2006 10,967 12,514
10/24/2006 11,012 12,567
10/25/2006 11,029 12,588
10/26/2006 11,103 12,673
10/27/2006 10,991 12,545
10/28/2006 10,991 12,545
10/29/2006 10,991 12,545
10/30/2006 11,012 12,570
10/31/2006 11,024 12,586
11/1/2006 10,896 12,438
11/2/2006 10,896 12,439
11/3/2006 10,859 12,401
11/4/2006 10,859 12,401
11/5/2006 10,859 12,401
11/6/2006 11,004 12,568
11/7/2006 11,016 12,583
11/8/2006 11,024 12,589
11/9/2006 10,958 12,516
11/10/2006 10,995 12,562
11/11/2006 10,995 12,562
11/12/2006 10,995 12,562
11/13/2006 11,037 12,609
11/14/2006 11,148 12,735
11/15/2006 11,227 12,827
11/16/2006 11,252 12,857
11/17/2006 11,243 12,848
11/18/2006 11,243 12,848
11/19/2006 11,243 12,848
11/20/2006 11,198 12,798
11/21/2006 11,239 12,845
11/22/2006 11,301 12,916
11/23/2006 11,301 12,916
11/24/2006 11,252 12,864
11/25/2006 11,252 12,864
11/26/2006 11,252 12,864
11/27/2006 11,062 12,646
11/28/2006 11,099 12,687
11/29/2006 11,198 12,804
11/30/2006 11,235 12,845
12/1/2006 11,186 12,790
12/2/2006 11,186 12,790
12/3/2006 11,186 12,790
12/4/2006 11,305 12,930
12/5/2006 11,359 12,993
12/6/2006 11,359 12,992
12/7/2006 11,293 12,915
12/8/2006 11,294 12,919
12/9/2006 11,294 12,919
12/10/2006 11,294 12,919
12/11/2006 11,306 12,935
12/12/2006 11,269 12,889
12/13/2006 11,277 12,902
12/14/2006 11,365 13,004
12/15/2006 11,352 12,989
12/16/2006 11,352 12,989
12/17/2006 11,352 12,989
12/18/2006 11,269 12,899
12/19/2006 11,306 12,940
12/20/2006 11,281 12,914
12/21/2006 11,243 12,867
12/22/2006 11,189 12,811
12/23/2006 11,189 12,811
12/24/2006 11,189 12,811
12/25/2006 11,189 12,811
12/26/2006 11,210 12,832
12/27/2006 11,269 12,900
12/28/2006 11,243 12,875
12/29/2006 11,185 12,808
12/30/2006 11,185 12,808
12/31/2006 11,185 12,808
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/03/04)
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND 5.40% 4.29%
S&P 500/CITIGROUP PURE GROWTH INDEX 7.43% 9.74%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500/CITIGROUP PURE GROWTH
INDEX IS AND UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES
OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE
HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL
GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
S&P 500/CITIGROUP
LARGE-CAP GROWTH FUND PURE GROWTH INDEX
OTHER 4.9% 4.9%
HEALTH CARE 24.1% 24.3%
CONSUMER DISCRETIONARY 19.9% 19.9%
INFORMATION TECHNOLOGY 18.7% 18.7%
CONSUMER STAPLES 9.8% 9.8%
ENERGY 8.7% 8.8%
FINANCIALS 8.4% 8.5%
INDUSTRIALS 5.1% 5.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Caremark Rx, Inc. 1.3%
Amazon.com, Inc. 1.3%
Hospira, Inc. 1.3%
Google, Inc. -- Class A 1.2%
Coach, Inc. 1.2%
XTO Energy, Inc. 1.2%
Forest Laboratories, Inc. 1.2%
Express Scripts, Inc. 1.1%
Coventry Health Care, Inc. 1.1%
Zimmer Holdings, Inc. 1.1%
- --------------------------------------------------------------------------------
Top Ten Total 12.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
30 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: September 30, 2005
The U.S. dollar weakened against most major currencies in 2006. Rising
short-term interest rates no longer provided support for the dollar as the
Federal Reserve last raised the Fed Funds rate at their June meeting. The U.S.
Dollar Index was down -8.25% during 2006. Rydex Dynamic Strengthening Dollar
Fund returned -10.63% for the year. The Fund achieved a daily correlation of
more than 0.92 to its benchmark of 200% of the daily price performance of the
U.S. Dollar Index for the year ended December 31, 2006.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
SEPTEMBER 30, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DYNAMIC STRENGTHENING
DATE DOLLAR FUND U.S. DOLLAR INDEX
9/30/2005 10,000 10,000
10/1/2005 10,000 10,000
10/2/2005 10,000 10,000
10/3/2005 10,000 10,068
10/4/2005 9,980 10,065
10/5/2005 9,964 10,051
10/6/2005 9,672 9,904
10/7/2005 9,772 9,961
10/8/2005 9,772 9,961
10/9/2005 9,772 9,961
10/10/2005 9,836 9,993
10/11/2005 9,944 10,050
10/12/2005 9,888 10,012
10/13/2005 9,920 10,032
10/14/2005 9,828 9,993
10/15/2005 9,828 9,993
10/16/2005 9,828 9,993
10/17/2005 9,956 10,031
10/18/2005 10,028 10,086
10/19/2005 9,964 10,053
10/20/2005 9,940 10,029
10/21/2005 10,060 10,088
10/22/2005 10,060 10,088
10/23/2005 10,060 10,088
10/24/2005 9,992 10,066
10/25/2005 9,820 9,969
10/26/2005 9,900 9,997
10/27/2005 9,784 9,953
10/28/2005 9,888 10,008
10/29/2005 9,888 10,008
10/30/2005 9,888 10,008
10/31/2005 10,000 10,061
11/1/2005 9,992 10,063
11/2/2005 9,940 10,022
11/3/2005 10,088 10,103
11/4/2005 10,292 10,194
11/5/2005 10,292 10,194
11/6/2005 10,292 10,194
11/7/2005 10,308 10,198
11/8/2005 10,304 10,207
11/9/2005 10,356 10,221
11/10/2005 10,472 10,286
11/11/2005 10,412 10,275
11/12/2005 10,412 10,275
11/13/2005 10,412 10,275
11/14/2005 10,464 10,292
11/15/2005 10,440 10,287
11/16/2005 10,556 10,314
11/17/2005 10,444 10,264
11/18/2005 10,440 10,269
11/19/2005 10,440 10,269
11/20/2005 10,440 10,269
11/21/2005 10,480 10,280
11/22/2005 10,336 10,221
11/23/2005 10,316 10,207
11/24/2005 10,316 10,232
11/25/2005 10,480 10,282
11/26/2005 10,480 10,282
11/27/2005 10,480 10,282
11/28/2005 10,268 10,163
11/29/2005 10,380 10,235
11/30/2005 10,360 10,229
12/1/2005 10,436 10,257
12/2/2005 10,440 10,269
12/3/2005 10,440 10,269
12/4/2005 10,440 10,269
12/5/2005 10,340 10,219
12/6/2005 10,352 10,214
12/7/2005 10,452 10,265
12/8/2005 10,288 10,194
12/9/2005 10,300 10,193
12/10/2005 10,300 10,193
12/11/2005 10,300 10,193
12/12/2005 10,092 10,089
12/13/2005 10,120 10,096
12/14/2005 9,992 10,035
12/15/2005 10,020 10,056
12/16/2005 9,964 10,021
12/17/2005 9,964 10,021
12/18/2005 9,964 10,021
12/19/2005 10,000 10,039
12/20/2005 10,224 10,141
12/21/2005 10,268 10,159
12/22/2005 10,219 10,134
12/23/2005 10,195 10,141
12/24/2005 10,195 10,141
12/25/2005 10,195 10,141
12/26/2005 10,195 10,141
12/27/2005 10,291 10,187
12/28/2005 10,324 10,189
12/29/2005 10,299 10,177
12/30/2005 10,316 10,184
12/31/2005 10,316 10,184
1/1/2006 10,316 10,184
1/2/2006 10,316 10,184
1/3/2006 10,006 10,036
1/4/2006 9,844 9,958
1/5/2006 9,905 9,979
1/6/2006 9,796 9,932
1/7/2006 9,796 9,932
1/8/2006 9,796 9,932
1/9/2006 9,881 9,970
1/10/2006 9,893 9,979
1/11/2006 9,824 9,941
1/12/2006 9,961 9,991
1/13/2006 9,812 9,930
1/14/2006 9,812 9,930
1/15/2006 9,812 9,930
1/16/2006 9,812 9,955
1/17/2006 9,881 9,975
1/18/2006 9,917 9,970
1/19/2006 9,933 9,985
1/20/2006 9,849 9,939
1/21/2006 9,849 9,939
1/22/2006 9,849 9,939
1/23/2006 9,599 9,825
1/24/2006 9,643 9,837
1/25/2006 9,720 9,867
1/26/2006 9,756 9,899
1/27/2006 9,933 9,978
1/28/2006 9,933 9,978
1/29/2006 9,933 9,978
1/30/2006 9,961 9,989
1/31/2006 9,836 9,937
2/1/2006 9,981 9,999
2/2/2006 9,949 9,988
2/3/2006 10,078 10,041
2/4/2006 10,078 10,041
2/5/2006 10,078 10,041
2/6/2006 10,175 10,086
2/7/2006 10,146 10,080
2/8/2006 10,175 10,102
2/9/2006 10,130 10,086
2/10/2006 10,235 10,115
2/11/2006 10,235 10,115
2/12/2006 10,235 10,115
2/13/2006 10,219 10,114
2/14/2006 10,199 10,114
2/15/2006 10,275 10,134
2/16/2006 10,287 10,135
2/17/2006 10,207 10,125
2/18/2006 10,207 10,125
2/19/2006 10,207 10,125
2/20/2006 10,207 10,101
2/21/2006 10,251 10,115
2/22/2006 10,255 10,128
2/23/2006 10,195 10,097
2/24/2006 10,267 10,122
2/25/2006 10,267 10,122
2/26/2006 10,267 10,122
2/27/2006 10,275 10,124
2/28/2006 10,138 10,066
3/1/2006 10,171 10,078
3/2/2006 10,014 10,004
3/3/2006 10,042 10,016
3/4/2006 10,042 10,016
3/5/2006 10,042 10,016
3/6/2006 10,114 10,041
3/7/2006 10,316 10,140
3/8/2006 10,263 10,123
3/9/2006 10,291 10,137
3/10/2006 10,368 10,149
3/11/2006 10,368 10,149
3/12/2006 10,368 10,149
3/13/2006 10,255 10,114
3/14/2006 10,142 10,054
3/15/2006 10,078 10,020
3/16/2006 9,945 9,950
3/17/2006 9,917 9,933
3/18/2006 9,917 9,933
3/19/2006 9,917 9,933
3/20/2006 9,949 9,956
3/21/2006 10,114 10,011
3/22/2006 10,110 10,022
3/23/2006 10,251 10,105
3/24/2006 10,171 10,061
3/25/2006 10,171 10,061
3/26/2006 10,171 10,061
3/27/2006 10,195 10,061
3/28/2006 10,255 10,082
3/29/2006 10,207 10,077
3/30/2006 10,010 9,985
3/31/2006 10,122 10,023
4/1/2006 10,122 10,023
4/2/2006 10,122 10,023
4/3/2006 10,102 10,012
4/4/2006 9,929 9,923
4/5/2006 9,889 9,901
4/6/2006 9,973 9,937
4/7/2006 10,142 10,019
4/8/2006 10,142 10,019
4/9/2006 10,142 10,019
4/10/2006 10,110 10,015
4/11/2006 10,042 9,991
4/12/2006 10,118 10,011
4/13/2006 10,114 10,008
4/14/2006 10,114 10,008
4/15/2006 10,114 10,008
4/16/2006 10,114 10,008
4/17/2006 9,897 9,902
4/18/2006 9,828 9,857
4/19/2006 9,708 9,807
4/20/2006 9,840 9,858
4/21/2006 9,768 9,836
4/22/2006 9,768 9,836
4/23/2006 9,768 9,836
4/24/2006 9,659 9,769
4/25/2006 9,647 9,754
4/26/2006 9,603 9,743
4/27/2006 9,478 9,677
4/28/2006 9,345 9,619
4/29/2006 9,345 9,619
4/30/2006 9,345 9,619
5/1/2006 9,353 9,603
5/2/2006 9,305 9,583
5/3/2006 9,313 9,589
5/4/2006 9,212 9,535
5/5/2006 9,176 9,511
5/6/2006 9,176 9,511
5/7/2006 9,176 9,511
5/8/2006 9,176 9,521
5/9/2006 9,104 9,476
5/10/2006 9,023 9,439
5/11/2006 9,011 9,414
5/12/2006 8,910 9,373
5/13/2006 8,910 9,373
5/14/2006 8,910 9,373
5/15/2006 9,104 9,444
5/16/2006 8,995 9,402
5/17/2006 9,148 9,478
5/18/2006 9,059 9,440
5/19/2006 9,172 9,482
5/20/2006 9,172 9,482
5/21/2006 9,172 9,482
5/22/2006 9,047 9,422
5/23/2006 9,031 9,422
5/24/2006 9,196 9,490
5/25/2006 9,136 9,463
5/26/2006 9,236 9,513
5/27/2006 9,236 9,513
5/28/2006 9,236 9,513
5/29/2006 9,236 9,501
5/30/2006 9,035 9,415
5/31/2006 9,120 9,464
6/1/2006 9,144 9,472
6/2/2006 8,975 9,388
6/3/2006 8,975 9,388
6/4/2006 8,975 9,388
6/5/2006 9,023 9,399
6/6/2006 9,164 9,465
6/7/2006 9,220 9,494
6/8/2006 9,398 9,589
6/9/2006 9,385 9,576
6/10/2006 9,385 9,576
6/11/2006 9,385 9,576
6/12/2006 9,426 9,590
6/13/2006 9,530 9,660
6/14/2006 9,458 9,622
6/15/2006 9,394 9,609
6/16/2006 9,402 9,600
6/17/2006 9,402 9,600
6/18/2006 9,402 9,600
6/19/2006 9,506 9,643
6/20/2006 9,470 9,627
6/21/2006 9,353 9,582
6/22/2006 9,542 9,650
6/23/2006 9,643 9,705
6/24/2006 9,643 9,705
6/25/2006 9,643 9,705
6/26/2006 9,559 9,662
6/27/2006 9,547 9,659
6/28/2006 9,583 9,677
6/29/2006 9,422 9,598
6/30/2006 9,249 9,513
7/1/2006 9,249 9,513
7/2/2006 9,249 9,513
7/3/2006 9,253 9,516
7/4/2006 9,253 9,512
7/5/2006 9,373 9,562
7/6/2006 9,357 9,534
7/7/2006 9,241 9,496
7/8/2006 9,241 9,496
7/9/2006 9,241 9,496
7/10/2006 9,369 9,551
7/11/2006 9,357 9,535
7/12/2006 9,482 9,597
7/13/2006 9,474 9,589
7/14/2006 9,547 9,618
7/15/2006 9,547 9,618
7/16/2006 9,547 9,618
7/17/2006 9,736 9,721
7/18/2006 9,708 9,720
7/19/2006 9,587 9,665
7/20/2006 9,559 9,631
7/21/2006 9,486 9,599
7/22/2006 9,486 9,599
7/23/2006 9,486 9,599
7/24/2006 9,595 9,645
7/25/2006 9,671 9,678
7/26/2006 9,458 9,591
7/27/2006 9,498 9,589
7/28/2006 9,373 9,538
7/29/2006 9,373 9,538
7/30/2006 9,373 9,538
7/31/2006 9,345 9,529
8/1/2006 9,321 9,496
8/2/2006 9,337 9,515
8/3/2006 9,305 9,500
8/4/2006 9,200 9,448
8/5/2006 9,200 9,448
8/6/2006 9,200 9,448
8/7/2006 9,253 9,466
8/8/2006 9,232 9,476
8/9/2006 9,232 9,463
8/10/2006 9,353 9,508
8/11/2006 9,438 9,550
8/12/2006 9,438 9,550
8/13/2006 9,438 9,550
8/14/2006 9,466 9,570
8/15/2006 9,317 9,520
8/16/2006 9,257 9,482
8/17/2006 9,325 9,500
8/18/2006 9,301 9,505
8/19/2006 9,301 9,505
8/20/2006 9,301 9,505
8/21/2006 9,253 9,454
8/22/2006 9,357 9,514
8/23/2006 9,345 9,510
8/24/2006 9,381 9,526
8/25/2006 9,402 9,538
8/26/2006 9,402 9,538
8/27/2006 9,402 9,538
8/28/2006 9,345 9,524
8/29/2006 9,329 9,491
8/30/2006 9,345 9,492
8/31/2006 9,373 9,501
9/1/2006 9,305 9,486
9/2/2006 9,305 9,486
9/3/2006 9,305 9,486
9/4/2006 9,305 9,459
9/5/2006 9,361 9,495
9/6/2006 9,381 9,506
9/7/2006 9,486 9,554
9/8/2006 9,559 9,601
9/9/2006 9,559 9,601
9/10/2006 9,559 9,601
9/11/2006 9,567 9,598
9/12/2006 9,551 9,598
9/13/2006 9,559 9,591
9/14/2006 9,522 9,569
9/15/2006 9,583 9,605
9/16/2006 9,583 9,605
9/17/2006 9,583 9,605
9/18/2006 9,555 9,586
9/19/2006 9,587 9,600
9/20/2006 9,542 9,586
9/21/2006 9,385 9,517
9/22/2006 9,426 9,513
9/23/2006 9,426 9,513
9/24/2006 9,426 9,513
9/25/2006 9,462 9,538
9/26/2006 9,547 9,565
9/27/2006 9,522 9,572
9/28/2006 9,526 9,581
9/29/2006 9,619 9,610
9/30/2006 9,619 9,610
10/1/2006 9,619 9,610
10/2/2006 9,494 9,562
10/3/2006 9,534 9,574
10/4/2006 9,587 9,589
10/5/2006 9,607 9,598
10/6/2006 9,752 9,663
10/7/2006 9,752 9,663
10/8/2006 9,752 9,663
10/9/2006 9,744 9,668
10/10/2006 9,836 9,721
10/11/2006 9,885 9,732
10/12/2006 9,808 9,710
10/13/2006 9,905 9,732
10/14/2006 9,905 9,732
10/15/2006 9,905 9,732
10/16/2006 9,820 9,719
10/17/2006 9,796 9,704
10/18/2006 9,824 9,705
10/19/2006 9,671 9,634
10/20/2006 9,724 9,637
10/21/2006 9,724 9,637
10/22/2006 9,724 9,637
10/23/2006 9,824 9,686
10/24/2006 9,772 9,685
10/25/2006 9,720 9,649
10/26/2006 9,603 9,595
10/27/2006 9,559 9,558
10/28/2006 9,559 9,558
10/29/2006 9,559 9,558
10/30/2006 9,559 9,561
10/31/2006 9,494 9,531
11/1/2006 9,514 9,542
11/2/2006 9,498 9,533
11/3/2006 9,619 9,574
11/4/2006 9,619 9,574
11/5/2006 9,619 9,574
11/6/2006 9,611 9,579
11/7/2006 9,518 9,543
11/8/2006 9,534 9,541
11/9/2006 9,470 9,515
11/10/2006 9,446 9,503
11/11/2006 9,446 9,503
11/12/2006 9,446 9,503
11/13/2006 9,555 9,536
11/14/2006 9,494 9,529
11/15/2006 9,547 9,532
11/16/2006 9,587 9,550
11/17/2006 9,518 9,530
11/18/2006 9,518 9,530
11/19/2006 9,518 9,530
11/20/2006 9,559 9,542
11/21/2006 9,518 9,522
11/22/2006 9,373 9,443
11/23/2006 9,373 9,435
11/24/2006 9,176 9,345
11/25/2006 9,176 9,345
11/26/2006 9,176 9,345
11/27/2006 9,128 9,328
11/28/2006 9,059 9,286
11/29/2006 9,148 9,326
11/30/2006 9,031 9,266
12/1/2006 8,930 9,214
12/2/2006 8,930 9,214
12/3/2006 8,930 9,214
12/4/2006 8,935 9,208
12/5/2006 8,967 9,217
12/6/2006 9,027 9,243
12/7/2006 9,027 9,245
12/8/2006 9,150 9,304
12/9/2006 9,150 9,304
12/10/2006 9,150 9,304
12/11/2006 9,093 9,292
12/12/2006 9,040 9,265
12/13/2006 9,162 9,307
12/14/2006 9,240 9,350
12/15/2006 9,321 9,388
12/16/2006 9,321 9,388
12/17/2006 9,321 9,388
12/18/2006 9,309 9,383
12/19/2006 9,158 9,322
12/20/2006 9,207 9,333
12/21/2006 9,232 9,338
12/22/2006 9,281 9,362
12/23/2006 9,281 9,362
12/24/2006 9,281 9,362
12/25/2006 9,281 9,362
12/26/2006 9,342 9,390
12/27/2006 9,277 9,380
12/28/2006 9,277 9,363
12/29/2006 9,219 9,344
12/30/2006 9,219 9,344
12/31/2006 9,219 9,344
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (09/30/05)
- --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DOLLAR FUND -10.63% -6.28%
U.S. DOLLAR INDEX -8.25% -5.27%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE U.S. DOLLAR INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS 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 200.2%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as currency index
swap agreements, futures contracts, and options on index futures.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 31
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: September 30, 2005
The U.S. dollar weakened against most major currencies in 2006, highlighted with
a 14-year low against the British pound. Rising short-term interest rates no
longer provided support for the dollar as the Federal Reserve last raised the
Fed Funds rate at their June meeting. The U.S. Dollar Index was down -8.25%
during 2006. Rydex Dynamic Weakening Dollar Fund was up 16.72% for the same
period. The Fund achieved a daily correlation of more than 0.92 to its benchmark
of -200% of the daily price performance of the U.S. Dollar Index for the year
ended December 31, 2006.
The effects of compounding may cause the longer-term correlation of the Fund to
its benchmark to diminish. The apparent discrepancy between the leveraged and
unleveraged indices is the result of compounding, which is described briefly on
page 4 of this report.
CUMULATIVE FUND PERFORMANCE:
SEPTEMBER 30, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DYNAMIC WEAKENING
DATE DOLLAR FUND U.S. DOLLAR INDEX
9/30/2005 10,000 10,000
10/1/2005 10,000 10,000
10/2/2005 10,000 10,000
10/3/2005 10,000 10,068
10/4/2005 10,020 10,065
10/5/2005 10,040 10,051
10/6/2005 10,328 9,904
10/7/2005 10,228 9,961
10/8/2005 10,228 9,961
10/9/2005 10,228 9,961
10/10/2005 10,160 9,993
10/11/2005 10,048 10,050
10/12/2005 10,104 10,012
10/13/2005 10,072 10,032
10/14/2005 10,168 9,993
10/15/2005 10,168 9,993
10/16/2005 10,168 9,993
10/17/2005 10,044 10,031
10/18/2005 9,972 10,086
10/19/2005 10,040 10,053
10/20/2005 10,064 10,029
10/21/2005 9,944 10,088
10/22/2005 9,944 10,088
10/23/2005 9,944 10,088
10/24/2005 10,012 10,066
10/25/2005 10,188 9,969
10/26/2005 10,104 9,997
10/27/2005 10,224 9,953
10/28/2005 10,124 10,008
10/29/2005 10,124 10,008
10/30/2005 10,124 10,008
10/31/2005 10,008 10,061
11/1/2005 10,020 10,063
11/2/2005 10,072 10,022
11/3/2005 9,920 10,103
11/4/2005 9,728 10,194
11/5/2005 9,728 10,194
11/6/2005 9,728 10,194
11/7/2005 9,716 10,198
11/8/2005 9,720 10,207
11/9/2005 9,672 10,221
11/10/2005 9,564 10,286
11/11/2005 9,620 10,275
11/12/2005 9,620 10,275
11/13/2005 9,620 10,275
11/14/2005 9,572 10,292
11/15/2005 9,600 10,287
11/16/2005 9,504 10,314
11/17/2005 9,604 10,264
11/18/2005 9,612 10,269
11/19/2005 9,612 10,269
11/20/2005 9,612 10,269
11/21/2005 9,576 10,280
11/22/2005 9,708 10,221
11/23/2005 9,732 10,207
11/24/2005 9,732 10,232
11/25/2005 9,580 10,282
11/26/2005 9,580 10,282
11/27/2005 9,580 10,282
11/28/2005 9,776 10,163
11/29/2005 9,664 10,235
11/30/2005 9,688 10,229
12/1/2005 9,616 10,257
12/2/2005 9,616 10,269
12/3/2005 9,616 10,269
12/4/2005 9,616 10,269
12/5/2005 9,708 10,219
12/6/2005 9,700 10,214
12/7/2005 9,608 10,265
12/8/2005 9,760 10,194
12/9/2005 9,756 10,193
12/10/2005 9,756 10,193
12/11/2005 9,756 10,193
12/12/2005 9,952 10,089
12/13/2005 9,924 10,096
12/14/2005 10,052 10,035
12/15/2005 10,020 10,056
12/16/2005 10,084 10,021
12/17/2005 10,084 10,021
12/18/2005 10,084 10,021
12/19/2005 10,048 10,039
12/20/2005 9,824 10,141
12/21/2005 9,784 10,159
12/22/2005 9,827 10,134
12/23/2005 9,855 10,141
12/24/2005 9,855 10,141
12/25/2005 9,855 10,141
12/26/2005 9,855 10,141
12/27/2005 9,767 10,187
12/28/2005 9,731 10,189
12/29/2005 9,755 10,177
12/30/2005 9,747 10,184
12/31/2005 9,747 10,184
1/1/2006 9,747 10,184
1/2/2006 9,747 10,184
1/3/2006 10,040 10,036
1/4/2006 10,204 9,958
1/5/2006 10,144 9,979
1/6/2006 10,260 9,932
1/7/2006 10,260 9,932
1/8/2006 10,260 9,932
1/9/2006 10,176 9,970
1/10/2006 10,160 9,979
1/11/2006 10,232 9,941
1/12/2006 10,096 9,991
1/13/2006 10,248 9,930
1/14/2006 10,248 9,930
1/15/2006 10,248 9,930
1/16/2006 10,248 9,955
1/17/2006 10,176 9,975
1/18/2006 10,140 9,970
1/19/2006 10,124 9,985
1/20/2006 10,216 9,939
1/21/2006 10,216 9,939
1/22/2006 10,216 9,939
1/23/2006 10,477 9,825
1/24/2006 10,429 9,837
1/25/2006 10,349 9,867
1/26/2006 10,309 9,899
1/27/2006 10,128 9,978
1/28/2006 10,128 9,978
1/29/2006 10,128 9,978
1/30/2006 10,104 9,989
1/31/2006 10,228 9,937
2/1/2006 10,080 9,999
2/2/2006 10,116 9,988
2/3/2006 9,984 10,041
2/4/2006 9,984 10,041
2/5/2006 9,984 10,041
2/6/2006 9,888 10,086
2/7/2006 9,920 10,080
2/8/2006 9,892 10,102
2/9/2006 9,936 10,086
2/10/2006 9,839 10,115
2/11/2006 9,839 10,115
2/12/2006 9,839 10,115
2/13/2006 9,859 10,114
2/14/2006 9,876 10,114
2/15/2006 9,807 10,134
2/16/2006 9,795 10,135
2/17/2006 9,880 10,125
2/18/2006 9,880 10,125
2/19/2006 9,880 10,125
2/20/2006 9,880 10,101
2/21/2006 9,835 10,115
2/22/2006 9,831 10,128
2/23/2006 9,896 10,097
2/24/2006 9,827 10,122
2/25/2006 9,827 10,122
2/26/2006 9,827 10,122
2/27/2006 9,823 10,124
2/28/2006 9,956 10,066
3/1/2006 9,928 10,078
3/2/2006 10,084 10,004
3/3/2006 10,060 10,016
3/4/2006 10,060 10,016
3/5/2006 10,060 10,016
3/6/2006 9,992 10,041
3/7/2006 9,787 10,140
3/8/2006 9,839 10,123
3/9/2006 9,815 10,137
3/10/2006 9,747 10,149
3/11/2006 9,747 10,149
3/12/2006 9,747 10,149
3/13/2006 9,855 10,114
3/14/2006 9,960 10,054
3/15/2006 10,032 10,020
3/16/2006 10,164 9,950
3/17/2006 10,196 9,933
3/18/2006 10,196 9,933
3/19/2006 10,196 9,933
3/20/2006 10,164 9,956
3/21/2006 9,996 10,011
3/22/2006 10,004 10,022
3/23/2006 9,863 10,105
3/24/2006 9,948 10,061
3/25/2006 9,948 10,061
3/26/2006 9,948 10,061
3/27/2006 9,916 10,061
3/28/2006 9,872 10,082
3/29/2006 9,916 10,077
3/30/2006 10,112 9,985
3/31/2006 10,004 10,023
4/1/2006 10,004 10,023
4/2/2006 10,004 10,023
4/3/2006 10,028 10,012
4/4/2006 10,196 9,923
4/5/2006 10,244 9,901
4/6/2006 10,156 9,937
4/7/2006 9,988 10,019
4/8/2006 9,988 10,019
4/9/2006 9,988 10,019
4/10/2006 10,024 10,015
4/11/2006 10,092 9,991
4/12/2006 10,012 10,011
4/13/2006 10,028 10,008
4/14/2006 10,028 10,008
4/15/2006 10,028 10,008
4/16/2006 10,028 10,008
4/17/2006 10,244 9,902
4/18/2006 10,317 9,857
4/19/2006 10,445 9,807
4/20/2006 10,305 9,858
4/21/2006 10,385 9,836
4/22/2006 10,385 9,836
4/23/2006 10,385 9,836
4/24/2006 10,505 9,769
4/25/2006 10,517 9,754
4/26/2006 10,565 9,743
4/27/2006 10,705 9,677
4/28/2006 10,862 9,619
4/29/2006 10,862 9,619
4/30/2006 10,862 9,619
5/1/2006 10,854 9,603
5/2/2006 10,914 9,583
5/3/2006 10,906 9,589
5/4/2006 11,026 9,535
5/5/2006 11,078 9,511
5/6/2006 11,078 9,511
5/7/2006 11,078 9,511
5/8/2006 11,078 9,521
5/9/2006 11,167 9,476
5/10/2006 11,275 9,439
5/11/2006 11,295 9,414
5/12/2006 11,427 9,373
5/13/2006 11,427 9,373
5/14/2006 11,427 9,373
5/15/2006 11,175 9,444
5/16/2006 11,315 9,402
5/17/2006 11,127 9,478
5/18/2006 11,231 9,440
5/19/2006 11,098 9,482
5/20/2006 11,098 9,482
5/21/2006 11,098 9,482
5/22/2006 11,251 9,422
5/23/2006 11,271 9,422
5/24/2006 11,070 9,490
5/25/2006 11,147 9,463
5/26/2006 11,030 9,513
5/27/2006 11,030 9,513
5/28/2006 11,030 9,513
5/29/2006 11,030 9,501
5/30/2006 11,275 9,415
5/31/2006 11,167 9,464
6/1/2006 11,139 9,472
6/2/2006 11,355 9,388
6/3/2006 11,355 9,388
6/4/2006 11,355 9,388
6/5/2006 11,295 9,399
6/6/2006 11,118 9,465
6/7/2006 11,054 9,494
6/8/2006 10,846 9,589
6/9/2006 10,866 9,576
6/10/2006 10,866 9,576
6/11/2006 10,866 9,576
6/12/2006 10,822 9,590
6/13/2006 10,705 9,660
6/14/2006 10,786 9,622
6/15/2006 10,862 9,609
6/16/2006 10,858 9,600
6/17/2006 10,858 9,600
6/18/2006 10,858 9,600
6/19/2006 10,738 9,643
6/20/2006 10,782 9,627
6/21/2006 10,914 9,582
6/22/2006 10,697 9,650
6/23/2006 10,593 9,705
6/24/2006 10,593 9,705
6/25/2006 10,593 9,705
6/26/2006 10,689 9,662
6/27/2006 10,705 9,659
6/28/2006 10,665 9,677
6/29/2006 10,846 9,598
6/30/2006 11,050 9,513
7/1/2006 11,050 9,513
7/2/2006 11,050 9,513
7/3/2006 11,050 9,516
7/4/2006 11,050 9,512
7/5/2006 10,938 9,562
7/6/2006 10,962 9,534
7/7/2006 11,102 9,496
7/8/2006 11,102 9,496
7/9/2006 11,102 9,496
7/10/2006 10,950 9,551
7/11/2006 10,966 9,535
7/12/2006 10,826 9,597
7/13/2006 10,834 9,589
7/14/2006 10,762 9,618
7/15/2006 10,762 9,618
7/16/2006 10,762 9,618
7/17/2006 10,549 9,721
7/18/2006 10,581 9,720
7/19/2006 10,718 9,665
7/20/2006 10,746 9,631
7/21/2006 10,834 9,599
7/22/2006 10,834 9,599
7/23/2006 10,834 9,599
7/24/2006 10,710 9,645
7/25/2006 10,625 9,678
7/26/2006 10,858 9,591
7/27/2006 10,814 9,589
7/28/2006 10,966 9,538
7/29/2006 10,966 9,538
7/30/2006 10,966 9,538
7/31/2006 11,002 9,529
8/1/2006 11,030 9,496
8/2/2006 11,010 9,515
8/3/2006 11,050 9,500
8/4/2006 11,183 9,448
8/5/2006 11,183 9,448
8/6/2006 11,183 9,448
8/7/2006 11,118 9,466
8/8/2006 11,147 9,476
8/9/2006 11,147 9,463
8/10/2006 10,998 9,508
8/11/2006 10,906 9,550
8/12/2006 10,906 9,550
8/13/2006 10,906 9,550
8/14/2006 10,874 9,570
8/15/2006 11,014 9,520
8/16/2006 11,090 9,482
8/17/2006 11,014 9,500
8/18/2006 11,050 9,505
8/19/2006 11,050 9,505
8/20/2006 11,050 9,505
8/21/2006 11,106 9,454
8/22/2006 10,986 9,514
8/23/2006 10,998 9,510
8/24/2006 10,958 9,526
8/25/2006 10,938 9,538
8/26/2006 10,938 9,538
8/27/2006 10,938 9,538
8/28/2006 11,010 9,524
8/29/2006 11,034 9,491
8/30/2006 11,010 9,492
8/31/2006 10,982 9,501
9/1/2006 11,070 9,486
9/2/2006 11,070 9,486
9/3/2006 11,070 9,486
9/4/2006 11,070 9,459
9/5/2006 11,010 9,495
9/6/2006 10,990 9,506
9/7/2006 10,870 9,554
9/8/2006 10,794 9,601
9/9/2006 10,794 9,601
9/10/2006 10,794 9,601
9/11/2006 10,786 9,598
9/12/2006 10,806 9,598
9/13/2006 10,798 9,591
9/14/2006 10,842 9,569
9/15/2006 10,778 9,605
9/16/2006 10,778 9,605
9/17/2006 10,778 9,605
9/18/2006 10,814 9,586
9/19/2006 10,782 9,600
9/20/2006 10,830 9,586
9/21/2006 11,010 9,517
9/22/2006 10,970 9,513
9/23/2006 10,970 9,513
9/24/2006 10,970 9,513
9/25/2006 10,930 9,538
9/26/2006 10,834 9,565
9/27/2006 10,862 9,572
9/28/2006 10,862 9,581
9/29/2006 10,766 9,610
9/30/2006 10,766 9,610
10/1/2006 10,766 9,610
10/2/2006 10,902 9,562
10/3/2006 10,858 9,574
10/4/2006 10,802 9,589
10/5/2006 10,782 9,598
10/6/2006 10,629 9,663
10/7/2006 10,629 9,663
10/8/2006 10,629 9,663
10/9/2006 10,641 9,668
10/10/2006 10,541 9,721
10/11/2006 10,489 9,732
10/12/2006 10,573 9,710
10/13/2006 10,477 9,732
10/14/2006 10,477 9,732
10/15/2006 10,477 9,732
10/16/2006 10,565 9,719
10/17/2006 10,597 9,704
10/18/2006 10,569 9,705
10/19/2006 10,738 9,634
10/20/2006 10,681 9,637
10/21/2006 10,681 9,637
10/22/2006 10,681 9,637
10/23/2006 10,573 9,686
10/24/2006 10,633 9,685
10/25/2006 10,693 9,649
10/26/2006 10,822 9,595
10/27/2006 10,878 9,558
10/28/2006 10,878 9,558
10/29/2006 10,878 9,558
10/30/2006 10,882 9,561
10/31/2006 10,954 9,531
11/1/2006 10,934 9,542
11/2/2006 10,954 9,533
11/3/2006 10,826 9,574
11/4/2006 10,826 9,574
11/5/2006 10,826 9,574
11/6/2006 10,834 9,579
11/7/2006 10,942 9,543
11/8/2006 10,926 9,541
11/9/2006 10,998 9,515
11/10/2006 11,034 9,503
11/11/2006 11,034 9,503
11/12/2006 11,034 9,503
11/13/2006 10,910 9,536
11/14/2006 10,978 9,529
11/15/2006 10,918 9,532
11/16/2006 10,874 9,550
11/17/2006 10,962 9,530
11/18/2006 10,962 9,530
11/19/2006 10,962 9,530
11/20/2006 10,918 9,542
11/21/2006 10,962 9,522
11/22/2006 11,131 9,443
11/23/2006 11,131 9,435
11/24/2006 11,379 9,345
11/25/2006 11,379 9,345
11/26/2006 11,379 9,345
11/27/2006 11,435 9,328
11/28/2006 11,523 9,286
11/29/2006 11,411 9,326
11/30/2006 11,568 9,266
12/1/2006 11,700 9,214
12/2/2006 11,700 9,214
12/3/2006 11,700 9,214
12/4/2006 11,696 9,208
12/5/2006 11,656 9,217
12/6/2006 11,580 9,243
12/7/2006 11,584 9,245
12/8/2006 11,430 9,304
12/9/2006 11,430 9,304
12/10/2006 11,430 9,304
12/11/2006 11,505 9,292
12/12/2006 11,575 9,265
12/13/2006 11,422 9,307
12/14/2006 11,323 9,350
12/15/2006 11,236 9,388
12/16/2006 11,236 9,388
12/17/2006 11,236 9,388
12/18/2006 11,248 9,383
12/19/2006 11,430 9,322
12/20/2006 11,372 9,333
12/21/2006 11,343 9,338
12/22/2006 11,294 9,362
12/23/2006 11,294 9,362
12/24/2006 11,294 9,362
12/25/2006 11,294 9,362
12/26/2006 11,224 9,390
12/27/2006 11,298 9,380
12/28/2006 11,302 9,363
12/29/2006 11,377 9,344
12/30/2006 11,377 9,344
12/31/2006 11,377 9,344
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (09/30/05)
- --------------------------------------------------------------------------------
DYNAMIC WEAKENING DOLLAR FUND 16.72% 10.85%
U.S. DOLLAR INDEX -8.25% -5.27%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE U.S. DOLLAR INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
DYNAMIC WEAKENING
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 SHORT SALES -199.8%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in derivative instruments such as currency index
swap agreements, futures contracts, and options on index futures.
32 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
OBJECTIVE: To provide long-term capital appreciation.
INCEPTION: November 29, 2005
Rydex Multi-Cap Core Equity Fund gained 14.36% during the last one-year period,
roughly in line with its benchmark, the Russell 3000(R) Index, which gained
15.71%. The fund seeks to produce long-term superior performance using two key
drivers: a bias toward small- and mid-cap stocks and a disciplined and balanced
stock selection.
The Fund's equity portfolio is allocated across each market cap group in
generally equal proportions, thereby giving greater weight to small- and mid-cap
stocks. Small-cap stocks outperformed large-caps, but mid-caps lagged behind the
other size groups. Thus, while the higher allocation to small-cap stocks
benefited performance, higher exposure to mid-caps detracted from results.
Additionally, the investment team uses a quantitative investment model that
selects stocks which exhibit attractive growth prospects, yet still have
reasonable valuations (or growth at a reasonable price). Similar to 2005,
historically high energy prices and demand for raw materials were major trends
driving the Fund's performance.
This can be seen in the strongest-performing sectors: energy, utilities and
basic materials. Resurging strength in telecommunications, the leading sector in
2006, also benefited fund performance.
CUMULATIVE FUND PERFORMANCE:
NOVEMBER 29, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE MULTI-CAP CORE EQUITY FUND RUSSELL 3000(R) INDEX
11/29/2005 10,000 10,000
11/30/2005 9,996 9,953
12/1/2005 10,156 10,081
12/2/2005 10,164 10,086
12/3/2005 10,164 10,086
12/4/2005 10,164 10,086
12/5/2005 10,140 10,059
12/6/2005 10,140 10,072
12/7/2005 10,080 10,022
12/8/2005 10,096 10,020
12/9/2005 10,128 10,049
12/10/2005 10,128 10,049
12/11/2005 10,128 10,049
12/12/2005 10,140 10,058
12/13/2005 10,160 10,107
12/14/2005 10,196 10,146
12/15/2005 10,144 10,125
12/16/2005 10,104 10,097
12/17/2005 10,104 10,097
12/18/2005 10,104 10,097
12/19/2005 10,000 10,025
12/20/2005 10,016 10,026
12/21/2005 10,072 10,061
12/22/2005 10,132 10,108
12/23/2005 10,148 10,118
12/24/2005 10,148 10,118
12/25/2005 10,148 10,118
12/26/2005 10,148 10,118
12/27/2005 10,044 10,019
12/28/2005 10,088 10,040
12/29/2005 10,076 10,012
12/30/2005 10,016 9,962
12/31/2005 10,016 9,962
1/1/2006 10,016 9,962
1/2/2006 10,016 9,962
1/3/2006 10,160 10,119
1/4/2006 10,220 10,165
1/5/2006 10,232 10,172
1/6/2006 10,320 10,270
1/7/2006 10,320 10,270
1/8/2006 10,320 10,270
1/9/2006 10,388 10,317
1/10/2006 10,424 10,324
1/11/2006 10,440 10,355
1/12/2006 10,380 10,290
1/13/2006 10,392 10,305
1/14/2006 10,392 10,305
1/15/2006 10,392 10,305
1/16/2006 10,392 10,305
1/17/2006 10,340 10,266
1/18/2006 10,316 10,230
1/19/2006 10,408 10,297
1/20/2006 10,244 10,108
1/21/2006 10,244 10,108
1/22/2006 10,244 10,108
1/23/2006 10,272 10,129
1/24/2006 10,348 10,173
1/25/2006 10,324 10,152
1/26/2006 10,432 10,234
1/27/2006 10,492 10,307
1/28/2006 10,492 10,307
1/29/2006 10,492 10,307
1/30/2006 10,512 10,316
1/31/2006 10,492 10,295
2/1/2006 10,500 10,314
2/2/2006 10,384 10,222
2/3/2006 10,356 10,170
2/4/2006 10,356 10,170
2/5/2006 10,356 10,170
2/6/2006 10,380 10,183
2/7/2006 10,268 10,094
2/8/2006 10,328 10,174
2/9/2006 10,288 10,158
2/10/2006 10,292 10,176
2/11/2006 10,292 10,176
2/12/2006 10,292 10,176
2/13/2006 10,240 10,133
2/14/2006 10,356 10,238
2/15/2006 10,396 10,282
2/16/2006 10,488 10,363
2/17/2006 10,464 10,349
2/18/2006 10,464 10,349
2/19/2006 10,464 10,349
2/20/2006 10,464 10,349
2/21/2006 10,436 10,312
2/22/2006 10,516 10,393
2/23/2006 10,488 10,362
2/24/2006 10,520 10,383
2/25/2006 10,520 10,383
2/26/2006 10,520 10,383
2/27/2006 10,556 10,426
2/28/2006 10,436 10,313
3/1/2006 10,560 10,410
3/2/2006 10,544 10,392
3/3/2006 10,512 10,374
3/4/2006 10,512 10,374
3/5/2006 10,512 10,374
3/6/2006 10,420 10,301
3/7/2006 10,352 10,263
3/8/2006 10,364 10,281
3/9/2006 10,328 10,232
3/10/2006 10,412 10,307
3/11/2006 10,412 10,307
3/12/2006 10,412 10,307
3/13/2006 10,448 10,331
3/14/2006 10,572 10,438
3/15/2006 10,648 10,492
3/16/2006 10,676 10,507
3/17/2006 10,692 10,528
3/18/2006 10,692 10,528
3/19/2006 10,692 10,528
3/20/2006 10,668 10,514
3/21/2006 10,588 10,442
3/22/2006 10,668 10,510
3/23/2006 10,672 10,493
3/24/2006 10,708 10,515
3/25/2006 10,708 10,515
3/26/2006 10,708 10,515
3/27/2006 10,716 10,505
3/28/2006 10,656 10,444
3/29/2006 10,780 10,539
3/30/2006 10,764 10,519
3/31/2006 10,748 10,492
4/1/2006 10,748 10,492
4/2/2006 10,748 10,492
4/3/2006 10,748 10,501
4/4/2006 10,796 10,559
4/5/2006 10,868 10,607
4/6/2006 10,848 10,591
4/7/2006 10,744 10,483
4/8/2006 10,744 10,483
4/9/2006 10,744 10,483
4/10/2006 10,732 10,483
4/11/2006 10,620 10,400
4/12/2006 10,668 10,419
4/13/2006 10,680 10,431
4/14/2006 10,680 10,431
4/15/2006 10,680 10,431
4/16/2006 10,680 10,431
4/17/2006 10,660 10,402
4/18/2006 10,864 10,591
4/19/2006 10,916 10,624
4/20/2006 10,912 10,630
4/21/2006 10,900 10,621
4/22/2006 10,900 10,621
4/23/2006 10,900 10,621
4/24/2006 10,852 10,590
4/25/2006 10,804 10,542
4/26/2006 10,820 10,564
4/27/2006 10,800 10,595
4/28/2006 10,832 10,605
4/29/2006 10,832 10,605
4/30/2006 10,832 10,605
5/1/2006 10,800 10,560
5/2/2006 10,868 10,619
5/3/2006 10,844 10,585
5/4/2006 10,896 10,629
5/5/2006 10,988 10,741
5/6/2006 10,988 10,741
5/7/2006 10,988 10,741
5/8/2006 10,992 10,737
5/9/2006 10,972 10,737
5/10/2006 10,940 10,717
5/11/2006 10,756 10,573
5/12/2006 10,604 10,444
5/13/2006 10,604 10,444
5/14/2006 10,604 10,444
5/15/2006 10,580 10,457
5/16/2006 10,584 10,443
5/17/2006 10,408 10,269
5/18/2006 10,328 10,198
5/19/2006 10,364 10,239
5/20/2006 10,364 10,239
5/21/2006 10,364 10,239
5/22/2006 10,284 10,188
5/23/2006 10,252 10,142
5/24/2006 10,252 10,151
5/25/2006 10,388 10,276
5/26/2006 10,440 10,339
5/27/2006 10,440 10,339
5/28/2006 10,440 10,339
5/29/2006 10,440 10,339
5/30/2006 10,244 10,170
5/31/2006 10,356 10,266
6/1/2006 10,508 10,404
6/2/2006 10,524 10,426
6/3/2006 10,524 10,426
6/4/2006 10,524 10,426
6/5/2006 10,284 10,228
6/6/2006 10,252 10,204
6/7/2006 10,184 10,149
6/8/2006 10,180 10,156
6/9/2006 10,132 10,114
6/10/2006 10,132 10,114
6/11/2006 10,132 10,114
6/12/2006 9,936 9,969
6/13/2006 9,812 9,859
6/14/2006 9,856 9,907
6/15/2006 10,132 10,136
6/16/2006 10,060 10,094
6/17/2006 10,060 10,094
6/18/2006 10,060 10,094
6/19/2006 9,936 9,991
6/20/2006 9,916 9,985
6/21/2006 10,056 10,097
6/22/2006 10,012 10,046
6/23/2006 10,044 10,048
6/24/2006 10,044 10,048
6/25/2006 10,044 10,048
6/26/2006 10,128 10,102
6/27/2006 10,024 10,005
6/28/2006 10,064 10,054
6/29/2006 10,344 10,287
6/30/2006 10,372 10,284
7/1/2006 10,372 10,284
7/2/2006 10,372 10,284
7/3/2006 10,440 10,364
7/4/2006 10,440 10,364
7/5/2006 10,336 10,278
7/6/2006 10,356 10,306
7/7/2006 10,264 10,227
7/8/2006 10,264 10,227
7/9/2006 10,264 10,227
7/10/2006 10,276 10,235
7/11/2006 10,320 10,275
7/12/2006 10,184 10,157
7/13/2006 10,028 10,016
7/14/2006 9,952 9,958
7/15/2006 9,952 9,958
7/16/2006 9,952 9,958
7/17/2006 9,904 9,939
7/18/2006 9,936 9,962
7/19/2006 10,172 10,162
7/20/2006 10,012 10,051
7/21/2006 9,892 9,962
7/22/2006 9,892 9,962
7/23/2006 9,892 9,962
7/24/2006 10,108 10,140
7/25/2006 10,204 10,213
7/26/2006 10,184 10,203
7/27/2006 10,072 10,148
7/28/2006 10,232 10,284
7/29/2006 10,232 10,284
7/30/2006 10,232 10,284
7/31/2006 10,252 10,274
8/1/2006 10,168 10,216
8/2/2006 10,244 10,282
8/3/2006 10,312 10,315
8/4/2006 10,280 10,306
8/5/2006 10,280 10,306
8/6/2006 10,280 10,306
8/7/2006 10,236 10,269
8/8/2006 10,156 10,224
8/9/2006 10,088 10,174
8/10/2006 10,144 10,224
8/11/2006 10,068 10,175
8/12/2006 10,068 10,175
8/13/2006 10,068 10,175
8/14/2006 10,088 10,192
8/15/2006 10,272 10,345
8/16/2006 10,392 10,437
8/17/2006 10,408 10,456
8/18/2006 10,432 10,489
8/19/2006 10,432 10,489
8/20/2006 10,432 10,489
8/21/2006 10,372 10,441
8/22/2006 10,384 10,455
8/23/2006 10,296 10,397
8/24/2006 10,296 10,418
8/25/2006 10,284 10,412
8/26/2006 10,284 10,412
8/27/2006 10,284 10,412
8/28/2006 10,352 10,476
8/29/2006 10,408 10,508
8/30/2006 10,440 10,524
8/31/2006 10,452 10,526
9/1/2006 10,496 10,578
9/2/2006 10,496 10,578
9/3/2006 10,496 10,578
9/4/2006 10,496 10,578
9/5/2006 10,532 10,604
9/6/2006 10,376 10,486
9/7/2006 10,328 10,433
9/8/2006 10,360 10,471
9/9/2006 10,360 10,471
9/10/2006 10,360 10,471
9/11/2006 10,372 10,473
9/12/2006 10,532 10,600
9/13/2006 10,600 10,650
9/14/2006 10,564 10,632
9/15/2006 10,576 10,658
9/16/2006 10,576 10,658
9/17/2006 10,576 10,658
9/18/2006 10,588 10,663
9/19/2006 10,552 10,637
9/20/2006 10,644 10,701
9/21/2006 10,564 10,638
9/22/2006 10,492 10,601
9/23/2006 10,492 10,601
9/24/2006 10,492 10,601
9/25/2006 10,600 10,694
9/26/2006 10,664 10,770
9/27/2006 10,684 10,779
9/28/2006 10,696 10,797
9/29/2006 10,640 10,761
9/30/2006 10,640 10,761
10/1/2006 10,640 10,761
10/2/2006 10,608 10,719
10/3/2006 10,600 10,736
10/4/2006 10,752 10,878
10/5/2006 10,824 10,926
10/6/2006 10,776 10,893
10/7/2006 10,776 10,893
10/8/2006 10,776 10,893
10/9/2006 10,812 10,915
10/10/2006 10,832 10,938
10/11/2006 10,796 10,908
10/12/2006 10,940 11,027
10/13/2006 10,976 11,056
10/14/2006 10,976 11,056
10/15/2006 10,976 11,056
10/16/2006 11,044 11,093
10/17/2006 10,980 11,046
10/18/2006 10,976 11,057
10/19/2006 11,016 11,068
10/20/2006 10,980 11,068
10/21/2006 10,980 11,068
10/22/2006 10,980 11,068
10/23/2006 11,020 11,131
10/24/2006 11,024 11,132
10/25/2006 11,080 11,172
10/26/2006 11,184 11,241
10/27/2006 11,064 11,144
10/28/2006 11,064 11,144
10/29/2006 11,064 11,144
10/30/2006 11,100 11,155
10/31/2006 11,072 11,149
11/1/2006 10,924 11,054
11/2/2006 10,900 11,050
11/3/2006 10,904 11,034
11/4/2006 10,904 11,034
11/5/2006 10,904 11,034
11/6/2006 11,036 11,163
11/7/2006 11,068 11,187
11/8/2006 11,112 11,221
11/9/2006 11,032 11,160
11/10/2006 11,096 11,192
11/11/2006 11,096 11,192
11/12/2006 11,096 11,192
11/13/2006 11,132 11,225
11/14/2006 11,256 11,309
11/15/2006 11,316 11,348
11/16/2006 11,328 11,370
11/17/2006 11,316 11,376
11/18/2006 11,316 11,376
11/19/2006 11,316 11,376
11/20/2006 11,324 11,377
11/21/2006 11,352 11,400
11/22/2006 11,376 11,432
11/23/2006 11,376 11,432
11/24/2006 11,344 11,398
11/25/2006 11,344 11,398
11/26/2006 11,344 11,398
11/27/2006 11,144 11,224
11/28/2006 11,176 11,263
11/29/2006 11,300 11,376
11/30/2006 11,316 11,391
12/1/2006 11,268 11,360
12/2/2006 11,268 11,360
12/3/2006 11,268 11,360
12/4/2006 11,396 11,474
12/5/2006 11,444 11,519
12/6/2006 11,440 11,507
12/7/2006 11,400 11,461
12/8/2006 11,411 11,479
12/9/2006 11,411 11,479
12/10/2006 11,411 11,479
12/11/2006 11,443 11,502
12/12/2006 11,407 11,481
12/13/2006 11,423 11,492
12/14/2006 11,507 11,587
12/15/2006 11,499 11,594
12/16/2006 11,499 11,594
12/17/2006 11,499 11,594
12/18/2006 11,423 11,543
12/19/2006 11,451 11,564
12/20/2006 11,463 11,556
12/21/2006 11,427 11,514
12/22/2006 11,382 11,459
12/23/2006 11,382 11,459
12/24/2006 11,382 11,459
12/25/2006 11,382 11,459
12/26/2006 11,459 11,514
12/27/2006 11,567 11,602
12/28/2006 11,539 11,584
12/29/2006 11,455 11,528
12/30/2006 11,455 11,528
12/31/2006 11,455 11,528
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (11/29/05)
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND 14.36% 13.30%
RUSSELL 3000(R) INDEX 15.71% 13.96%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 3000(R) INDEX IS AN
UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER
OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND
INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
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 9.0%
FINANCIALS 18.0%
INFORMATION TECHNOLOGY 13.2%
CONSUMER DISCRETIONARY 12.2%
INDUSTRIALS 10.2%
HEALTH CARE 9.8%
ENERGY 6.3%
CONSUMER STAPLES 5.4%
FUTURES CONTRACTS 15.9%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 1.2%
Citigroup, Inc. 0.9%
General Electric, Co. 0.9%
Bank of America Corp. 0.8%
Pfizer, Inc. 0.7%
Altria Group, Inc. 0.6%
Procter & Gamble Co. 0.6%
J.P. Morgan Chase & Co. 0.6%
Microsoft Corp. 0.6%
Chevron Corp. 0.6%
- --------------------------------------------------------------------------------
Top Ten Total 7.5%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 33
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
OBJECTIVE: Seeks long-term capital appreciation.
INCEPTION: May 1, 2002
In 2006, industry momentum started out with a boom (up as much as 17.85% on
5/10/06), went bust (down as much as 5% on 6/13/06), and then struggled to
regain its previous drive. Rydex Sector Rotation Fund finished the year up
11.47% which underperformed the S&P 500's 15.79% return.
At a sector level, the Fund did well with an overweight in industrials and large
underweights in financials and information technology. The Fund was hurt by
positions in the energy, materials, consumer staples and consumer discretionary
sectors. At the more granular industry level, overweights in airlines,
construction & engineering and wireless telecommunication services were
beneficial to performance, as was an underweight in the semiconductors, which
struggled in 2006. Positions in the energy equipment & services, road & rail,
and auto components all had negative impacts on the Fund's performance. The
Fund's style qualities transformed during the course of the year as the Fund
moved from mid-cap growth to large-cap value exposures.
CUMULATIVE FUND PERFORMANCE:
MAY 1, 2002 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE SECTOR ROTATION FUND S&P 500 INDEX
5/1/2002 10,000 10,000
5/31/2002 9,860 9,838
6/30/2002 9,400 9,137
7/31/2002 8,520 8,425
8/31/2002 8,410 8,481
9/30/2002 7,740 7,559
10/31/2002 7,830 8,224
11/30/2002 8,240 8,708
12/31/2002 7,760 8,197
1/31/2003 7,520 7,982
2/28/2003 7,410 7,862
3/31/2003 7,550 7,939
4/30/2003 7,990 8,592
5/31/2003 8,710 9,045
6/30/2003 8,660 9,160
7/31/2003 8,940 9,322
8/31/2003 9,390 9,504
9/30/2003 9,140 9,403
10/31/2003 9,870 9,935
11/30/2003 9,960 10,022
12/31/2003 10,080 10,548
1/31/2004 10,410 10,741
2/29/2004 10,590 10,891
3/31/2004 10,370 10,726
4/30/2004 9,700 10,558
5/31/2004 9,820 10,703
6/30/2004 10,130 10,911
7/31/2004 9,660 10,550
8/31/2004 9,570 10,593
9/30/2004 9,990 10,707
10/31/2004 10,200 10,871
11/30/2004 10,790 11,311
12/31/2004 11,160 11,696
1/31/2005 10,720 11,411
2/28/2005 11,260 11,651
3/31/2005 11,030 11,444
4/30/2005 10,580 11,227
5/31/2005 11,060 11,585
6/30/2005 11,450 11,601
7/31/2005 12,010 12,032
8/31/2005 12,130 11,923
9/30/2005 12,700 12,019
10/31/2005 12,120 11,819
11/30/2005 12,500 12,266
12/31/2005 12,690 12,270
1/31/2006 13,800 12,595
2/28/2006 13,420 12,629
3/31/2006 13,990 12,786
4/30/2006 14,210 12,958
5/31/2006 13,350 12,585
6/30/2006 13,140 12,602
7/31/2006 12,690 12,680
8/31/2006 12,930 12,982
9/30/2006 12,720 13,316
10/31/2006 13,490 13,750
11/30/2006 14,080 14,012
12/31/2006 14,135 14,208
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (05/01/02)
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND 11.47% 7.69%
S&P 500 INDEX 15.79% 7.81%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR ROTATION FUND
CONSUMER DISCRETIONARY 32.7%
TELECOMMUNICATION SERVICES 18.2%
FINANCIALS 17.3%
MATERIALS 15.7%
INDUSTRIALS 8.9%
UTILITIES 8.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Brookfield Asset Management, Inc. -- Class A 2.4%
Cemex SA de CV -- SP ADR 2.2%
Amazon.com, Inc. 2.0%
ABB Ltd. -- SP ADR 2.0%
IAC/InterActiveCorp 1.9%
Brookfield Properties Corp. 1.8%
Mattel, Inc. 1.6%
CB Richard Ellis Group, Inc. -- Class A 1.5%
Rinker Group Ltd. -- SP ADR 1.5%
Expedia, Inc. 1.5%
- --------------------------------------------------------------------------------
Top Ten Total 18.4%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
34 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: To provide security of principal, high current income and liquidity
by investing in securities issued by the U.S. Government, its agencies or
instrumentalities.
INCEPTION: May 7, 1997
During the first half of 2006, short-term money market rates increased as the
Federal Reserve raised its target rate to 5.25% from 4.25%.
On June 29, The Federal Open Market Committee halted its campaign to raise
interest rates after 17 hikes that lifted the Fed's key rate from 1.00% in
mid-2004 to the current 5.25%.
Stable short rates and declining long rates created an inverted yield curve, as
investors anticipated a Fed rate cut in response to a slowing economy.
The Federal Reserve, however, opted to keep short-term rates unchanged through
year-end, as the housing and manufacturing activity visibly slowed and
inflation, although "well contained", remained above the Fed's comfort level.
For the year, the Fund returned 3.82%.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/07/97)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND 3.82% 1.30% 2.43%
- --------------------------------------------------------------------------------
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
U.S. GOVERNMENT
MONEY MARKET FUND
REPURCHASE AGREEMENTS 49.8%
FEDERAL HOME LOAN BANK - FADN 24.0%
FEDERAL FARM CREDIT BANK - FADN 12.0%
FARMER MAC - FADN 2.4%
FANNIE MAE - FADN 9.6%
FADN -- Federal Agency Discount Notes
The Fund invests principally in U.S. Government securities.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 35
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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 saving-and-loan institutions.
INCEPTION: May 2, 2001
Twelve quarter-point increases in the Fed Funds Rate during 2005-06 raised rates
from 2.25% to 5.25%. Despite improved performance from 2005, the increased rates
did not fuel abnormal growth in the banking sector. Rydex Banking Fund, up
11.25%, underperformed the S&P 500 Index for the second year in a row.
Diversified financial services led the outperformers in this sector while
regional banks and thrifts & mortgage finance saw modest gains throughout the
year. The Fund's modified cap weighting (less emphasis of the large-cap names)
benefited the fund as small-cap banks outperformed large-cap banks.
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE BANKING FUND S&P 500 INDEX S&P 500 FINANCIALS INDEX*
5/2/2001 10,000 10,000 10,000
5/31/2001 10,448 9,923 10,225
6/30/2001 10,464 9,682 10,213
7/31/2001 10,636 9,587 10,034
8/31/2001 10,204 8,986 9,408
9/30/2001 9,676 8,261 8,840
10/31/2001 9,124 8,418 8,661
11/30/2001 9,812 9,064 9,265
12/31/2001 10,084 9,143 9,452
1/31/2002 10,216 9,010 9,284
2/28/2002 10,248 8,836 9,136
3/31/2002 10,984 9,169 9,732
4/30/2002 11,344 8,613 9,459
5/31/2002 11,548 8,549 9,428
6/30/2002 11,148 7,940 8,964
7/31/2002 10,508 7,321 8,239
8/31/2002 10,840 7,369 8,392
9/30/2002 9,604 6,568 7,397
10/31/2002 10,017 7,147 8,047
11/30/2002 10,178 7,567 8,363
12/31/2002 10,005 7,123 7,899
1/31/2003 10,021 6,936 7,750
2/28/2003 9,897 6,832 7,496
3/31/2003 9,604 6,898 7,451
4/30/2003 10,410 7,467 8,349
5/31/2003 11,128 7,860 8,773
6/30/2003 11,096 7,960 8,779
7/31/2003 11,561 8,101 9,158
8/31/2003 11,561 8,259 9,051
9/30/2003 11,559 8,171 9,094
10/31/2003 12,654 8,633 9,696
11/30/2003 12,974 8,709 9,653
12/31/2003 13,181 9,166 10,105
1/31/2004 13,436 9,334 10,403
2/29/2004 13,830 9,464 10,665
3/31/2004 13,603 9,321 10,538
4/30/2004 12,929 9,175 10,027
5/31/2004 13,590 9,300 10,198
6/30/2004 13,566 9,481 10,227
7/31/2004 13,526 9,168 9,990
8/31/2004 13,984 9,205 10,312
9/30/2004 14,069 9,304 10,203
10/31/2004 14,298 9,446 10,225
11/30/2004 14,731 9,829 10,509
12/31/2004 15,123 10,163 10,937
1/31/2005 14,531 9,915 10,684
2/28/2005 14,335 10,124 10,602
3/31/2005 13,940 9,945 10,176
4/30/2005 13,648 9,756 10,158
5/31/2005 14,085 10,067 10,421
6/30/2005 14,423 10,081 10,547
7/31/2005 14,765 10,456 10,685
8/31/2005 14,431 10,360 10,470
9/30/2005 14,051 10,444 10,554
10/31/2005 14,244 10,270 10,869
11/30/2005 14,769 10,659 11,332
12/31/2005 14,705 10,662 11,345
1/31/2006 14,878 10,945 11,427
2/28/2006 15,101 10,974 11,631
3/31/2006 15,215 11,111 11,639
4/30/2006 15,715 11,260 12,111
5/31/2006 15,289 10,936 11,634
6/30/2006 15,175 10,951 11,550
7/31/2006 15,438 11,018 11,817
8/31/2006 15,448 11,281 11,909
9/30/2006 15,795 11,571 12,394
10/31/2006 15,923 11,948 12,674
11/30/2006 15,928 12,176 12,703
12/31/2006 16,359 12,346 13,178
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON
SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
BANKING FUND 11.25% 10.16% 9.08%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 FINANCIALS INDEX 19.23% 9.50% 7.49%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
FINANCIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 64%
THRIFTS & MORTGAGE FINANCE 27%
DIVERSIFIED FINANCIAL SERVICES 9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
J.P. Morgan Chase & Co. 4.8%
Bank of America Corp. 4.6%
Wells Fargo & Co. 4.1%
Wachovia Corp. 3.6%
U.S. Bancorp 3.2%
Fannie Mae 3.0%
Regions Financial Corp. 2.8%
Freddie Mac 2.6%
Washington Mutual, Inc. 2.6%
SunTrust Banks, Inc. 2.2%
- --------------------------------------------------------------------------------
Top Ten Total 33.5%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
36 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 2, 2001
Basic materials outgained the S&P 500 Index during the period, as a maturing
economic recovery and overseas demand for products helped boost this sector.
Unabated demand for raw materials by China and steady growth in the U.S. economy
propelled basic materials companies. Metals and construction materials led the
gainers, with these industries advancing 26.3% and 19.9%, respectively. Paper
and forest products were the laggards, rising 2.6%. Rydex Basic Materials Fund
returned 22.29% during the period.
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE BASIC MATERIALS FUND S&P 500 MATERIALS INDEX* S&P 500 INDEX
5/2/2001 10,000 10,000 10,000
5/31/2001 10,304 10,249 9,923
6/30/2001 9,840 9,800 9,682
7/31/2001 9,788 9,813 9,587
8/31/2001 9,764 9,700 8,986
9/30/2001 8,668 8,603 8,261
10/31/2001 8,868 8,807 8,418
11/30/2001 9,820 9,829 9,064
12/31/2001 9,684 9,583 9,143
1/31/2002 9,804 9,763 9,010
2/28/2002 10,316 10,248 8,836
3/31/2002 10,672 10,585 9,169
4/30/2002 10,108 10,075 8,613
5/31/2002 10,520 10,540 8,549
6/30/2002 10,256 10,304 7,940
7/31/2002 9,020 9,143 7,321
8/31/2002 9,000 9,078 7,369
9/30/2002 7,800 7,891 6,568
10/31/2002 8,016 8,286 7,147
11/30/2002 8,802 9,255 7,567
12/31/2002 8,450 8,844 7,123
1/31/2003 7,960 8,403 6,936
2/28/2003 7,668 8,153 6,832
3/31/2003 7,539 8,150 6,898
4/30/2003 8,137 8,899 7,467
5/31/2003 8,554 9,149 7,860
6/30/2003 8,606 9,210 7,960
7/31/2003 9,079 9,932 8,101
8/31/2003 9,420 10,217 8,259
9/30/2003 9,098 9,733 8,171
10/31/2003 9,936 10,619 8,633
11/30/2003 10,161 10,838 8,709
12/31/2003 11,108 11,919 9,166
1/31/2004 10,735 11,345 9,334
2/29/2004 11,244 11,897 9,464
3/31/2004 11,184 11,647 9,321
4/30/2004 10,710 11,084 9,175
5/31/2004 10,943 11,321 9,300
6/30/2004 11,709 11,876 9,481
7/31/2004 11,372 11,614 9,168
8/31/2004 11,553 11,796 9,205
9/30/2004 12,168 12,230 9,304
10/31/2004 11,967 12,130 9,446
11/30/2004 13,195 13,045 9,829
12/31/2004 13,421 13,205 10,163
1/31/2005 12,998 12,793 9,915
2/28/2005 13,960 13,762 10,124
3/31/2005 13,487 13,372 9,945
4/30/2005 12,328 12,431 9,756
5/31/2005 12,443 12,284 10,067
6/30/2005 12,435 12,039 10,081
7/31/2005 13,434 12,681 10,456
8/31/2005 12,912 12,129 10,360
9/30/2005 13,107 12,201 10,444
10/31/2005 12,836 12,260 10,270
11/30/2005 13,673 13,127 10,659
12/31/2005 13,963 13,489 10,662
1/31/2006 15,086 14,120 10,945
2/28/2006 14,870 13,816 10,974
3/31/2006 15,647 14,407 11,111
4/30/2006 16,098 14,917 11,260
5/31/2006 15,336 14,273 10,936
6/30/2006 15,326 14,258 10,951
7/31/2006 14,705 13,760 11,018
8/31/2006 15,051 14,131 11,281
9/30/2006 15,106 14,097 11,571
10/31/2006 16,193 14,926 11,948
11/30/2006 16,950 15,543 12,176
12/31/2006 17,077 15,611 12,346
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
BASIC MATERIALS FUND 22.29% 12.01% 9.91%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 MATERIALS INDEX 18.98% 13.00% 10.88%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
MATERIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 47%
METALS & MINING 27%
CONTAINERS & PACKAGING 12%
PAPER & FOREST PRODUCTS 9%
CONSTRUCTION MATERIALS 5%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
E.I. du Pont de Nemours and Co. 3.4%
Dow Chemical Co. 3.0%
Phelps Dodge Corp. 2.8%
Monsanto Co. 2.7%
Alcoa, Inc. 2.5%
Newmont Mining Corp. 2.1%
Weyerhaeuser Co. 2.1%
Praxair, Inc. 2.1%
Nucor Corp. 2.1%
Southern Copper Corp. 2.1%
- --------------------------------------------------------------------------------
Top Ten Total 24.9%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 37
PERFORMANCE REPORTS AND 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.
INCEPTION: May 2, 2001
Rise, fall and recovery is the story of Rydex Biotechnology Fund for the year.
The Fund was up 8% in the first three months, gave it all up and more in the
next three months, then staged a recovery and ended in negative territory with a
slight loss of 3.32%.
Why the underperformance? Sector heavyweights Amgen and Genentech had
double-digit negative returns. Additionally, a tough regulatory environment
resulted in several phase-three drug trial failures, including stocks like
Neurocrine Biosciences, Nuvelo, Inc. and Telik, Inc.
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE BIOTECHNOLOGY FUND S&P 500 HEALTH CARE INDEX* S&P 500 INDEX
5/2/2001 10,000 10,000 10,000
5/31/2001 10,564 10,161 9,923
6/30/2001 10,828 9,688 9,682
7/31/2001 9,588 10,201 9,587
8/31/2001 9,664 9,820 8,986
9/30/2001 8,304 9,962 8,261
10/31/2001 9,588 9,905 8,418
11/30/2001 10,448 10,373 9,064
12/31/2001 9,868 10,035 9,143
1/31/2002 8,432 9,932 9,010
2/28/2002 8,060 9,957 8,836
3/31/2002 8,332 9,971 9,169
4/30/2002 7,072 9,347 8,613
5/31/2002 6,348 9,153 8,549
6/30/2002 5,604 8,307 7,940
7/31/2002 5,676 8,126 7,321
8/31/2002 5,424 8,213 7,369
9/30/2002 5,196 7,679 6,568
10/31/2002 5,666 8,130 7,147
11/30/2002 6,063 8,336 7,567
12/31/2002 5,393 8,031 7,123
1/31/2003 5,244 7,991 6,936
2/28/2003 5,124 7,836 6,832
3/31/2003 5,401 8,099 6,898
4/30/2003 5,971 8,374 7,467
5/31/2003 7,010 8,514 7,860
6/30/2003 6,813 8,875 7,960
7/31/2003 7,423 8,739 8,101
8/31/2003 7,303 8,402 8,259
9/30/2003 7,287 8,428 8,171
10/31/2003 7,283 8,484 8,633
11/30/2003 7,371 8,607 8,709
12/31/2003 7,664 9,100 9,166
1/31/2004 8,037 9,348 9,334
2/29/2004 8,077 9,412 9,464
3/31/2004 7,953 9,019 9,321
4/30/2004 8,041 9,295 9,175
5/31/2004 7,833 9,262 9,300
6/30/2004 7,800 9,230 9,481
7/31/2004 7,006 8,730 9,168
8/31/2004 7,038 8,866 9,205
9/30/2004 7,367 8,700 9,304
10/31/2004 7,086 8,507 9,446
11/30/2004 7,367 8,637 9,829
12/31/2004 7,748 9,121 10,163
1/31/2005 7,339 8,826 9,915
2/28/2005 7,046 9,082 10,124
3/31/2005 6,741 9,029 9,945
4/30/2005 6,878 9,332 9,756
5/31/2005 7,182 9,407 10,067
6/30/2005 7,263 9,367 10,081
7/31/2005 7,969 9,580 10,456
8/31/2005 8,226 9,526 10,360
9/30/2005 8,258 9,467 10,444
10/31/2005 8,073 9,181 10,270
11/30/2005 8,467 9,252 10,659
12/31/2005 8,575 9,564 10,662
1/31/2006 8,824 9,698 10,945
2/28/2006 9,221 9,773 10,974
3/31/2006 8,936 9,647 11,111
4/30/2006 8,438 9,336 11,260
5/31/2006 8,017 9,125 10,936
6/30/2006 8,057 9,127 10,951
7/31/2006 7,969 9,620 11,018
8/31/2006 8,109 9,878 11,281
9/30/2006 8,109 10,018 11,571
10/31/2006 8,800 10,060 11,948
11/30/2006 8,671 10,005 12,176
12/31/2006 8,290 10,117 12,346
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
BIOTECHNOLOGY FUND -3.32% -3.43% -3.26%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 HEALTH CARE INDEX 7.53% 1.68% 1.69%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
HEALTH CARE INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 SCIENCE TOOLS & SERVICES 10%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Genentech, Inc. 10.4%
Amgen, Inc. 9.9%
Gilead Sciences, Inc. 6.0%
Celgene Corp. 5.9%
Biogen Idec, Inc. 4.9%
Genzyme Corp. 4.4%
Medimmune, Inc. 3.3%
Cephalon, Inc. 2.5%
Vertex Pharmaceuticals, Inc. 2.4%
Millenium Pharmaceuticals, Inc. 2.2%
- --------------------------------------------------------------------------------
Top Ten Total 51.9%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
38 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
COMMODITIES FUND
OBJECTIVE: Seeks long-term capital appreciation through an investment in
commodity-linked instruments and seeks 100% (but at all times at least 80%)
exposure to the performance of the commodities market.
INCEPTION: September 30, 2005
Commodity prices rose during the first half of 2006 as oil rose above $75 a
barrel. However, predictions of $100/barrel failed to materialize as a benign
hurricane season did not disrupt production in the Gulf of Mexico and
subsequently energy prices fell dramatically in the third quarter of the year.
Forecasts of a mild winter in the Northeast U.S. led to further decreases in
energy prices in December. This contributed to Rydex Commodities Fund's -17.87%
loss for the year versus the GSCI, which returned -15.08%.
CUMULATIVE FUND PERFORMANCE:
SEPTEMBER 30, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE COMMODITIES FUND S&P 500 INDEX GOLDMAN SACHS COMMODITY INDEX
9/30/2005 10,000 10,000 10,000
10/1/2005 10,000 10,000 10,000
10/2/2005 10,000 10,000 10,000
10/3/2005 10,000 9,983 9,946
10/4/2005 9,856 9,884 9,814
10/5/2005 9,724 9,741 9,692
10/6/2005 9,496 9,701 9,432
10/7/2005 9,500 9,737 9,453
10/8/2005 9,500 9,737 9,453
10/9/2005 9,500 9,737 9,453
10/10/2005 9,504 9,667 9,423
10/11/2005 9,700 9,648 9,631
10/12/2005 9,716 9,591 9,672
10/13/2005 9,560 9,584 9,526
10/14/2005 9,472 9,663 9,432
10/15/2005 9,472 9,663 9,432
10/16/2005 9,472 9,663 9,432
10/17/2005 9,668 9,692 9,651
10/18/2005 9,468 9,594 9,451
10/19/2005 9,380 9,739 9,363
10/20/2005 9,176 9,593 9,161
10/21/2005 9,220 9,607 9,184
10/22/2005 9,220 9,607 9,184
10/23/2005 9,220 9,607 9,184
10/24/2005 9,108 9,769 9,125
10/25/2005 9,520 9,746 9,494
10/26/2005 9,328 9,704 9,298
10/27/2005 9,284 9,604 9,273
10/28/2005 9,252 9,763 9,219
10/29/2005 9,252 9,763 9,219
10/30/2005 9,252 9,763 9,219
10/31/2005 8,992 9,833 8,966
11/1/2005 8,964 9,799 8,928
11/2/2005 8,876 9,898 8,874
11/3/2005 9,092 9,943 9,074
11/4/2005 8,976 9,945 8,948
11/5/2005 8,976 9,945 8,948
11/6/2005 8,976 9,945 8,948
11/7/2005 8,904 9,967 8,891
11/8/2005 8,912 9,938 8,895
11/9/2005 8,840 9,955 8,834
11/10/2005 8,688 10,041 8,681
11/11/2005 8,716 10,072 8,695
11/12/2005 8,716 10,072 8,695
11/13/2005 8,716 10,072 8,695
11/14/2005 8,752 10,064 8,710
11/15/2005 8,640 10,027 8,618
11/16/2005 8,768 10,047 8,770
11/17/2005 8,648 10,141 8,635
11/18/2005 8,596 10,187 8,567
11/19/2005 8,596 10,187 8,567
11/20/2005 8,596 10,187 8,567
11/21/2005 8,628 10,241 8,590
11/22/2005 8,732 10,294 8,700
11/23/2005 8,652 10,330 8,647
11/24/2005 8,652 10,330 8,647
11/25/2005 8,644 10,352 8,631
11/26/2005 8,644 10,352 8,631
11/27/2005 8,644 10,352 8,631
11/28/2005 8,520 10,265 8,500
11/29/2005 8,464 10,267 8,451
11/30/2005 8,648 10,205 8,621
12/1/2005 8,800 10,329 8,819
12/2/2005 9,028 10,333 9,003
12/3/2005 9,028 10,333 9,003
12/4/2005 9,028 10,333 9,003
12/5/2005 9,056 10,309 9,045
12/6/2005 9,032 10,322 8,993
12/7/2005 9,004 10,272 8,954
12/8/2005 9,284 10,261 9,236
12/9/2005 9,060 10,290 9,061
12/10/2005 9,060 10,290 9,061
12/11/2005 9,060 10,290 9,061
12/12/2005 9,288 10,299 9,277
12/13/2005 9,368 10,357 9,381
12/14/2005 9,260 10,401 9,266
12/15/2005 9,084 10,387 9,093
12/16/2005 8,896 10,357 8,905
12/17/2005 8,896 10,357 8,905
12/18/2005 8,896 10,357 8,905
12/19/2005 8,876 10,297 8,858
12/20/2005 8,860 10,295 8,868
12/21/2005 8,948 10,321 8,936
12/22/2005 8,793 10,367 8,798
12/23/2005 8,701 10,373 8,733
12/24/2005 8,701 10,373 8,733
12/25/2005 8,701 10,373 8,733
12/26/2005 8,701 10,373 8,828
12/27/2005 8,545 10,274 8,563
12/28/2005 8,773 10,289 8,764
12/29/2005 8,769 10,259 8,773
12/30/2005 8,866 10,209 8,868
12/31/2005 8,866 10,209 8,868
1/1/2006 8,866 10,209 8,868
1/2/2006 8,866 10,209 8,868
1/3/2006 9,002 10,376 9,005
1/4/2006 9,038 10,417 9,013
1/5/2006 8,902 10,417 8,882
1/6/2006 9,014 10,517 9,002
1/7/2006 9,014 10,517 9,002
1/8/2006 9,014 10,517 9,002
1/9/2006 8,894 10,556 8,896
1/10/2006 8,858 10,553 8,857
1/11/2006 8,862 10,591 8,849
1/12/2006 8,821 10,524 8,828
1/13/2006 8,830 10,537 8,836
1/14/2006 8,830 10,537 8,836
1/15/2006 8,830 10,537 8,836
1/16/2006 8,830 10,537 8,836
1/17/2006 9,114 10,499 9,094
1/18/2006 8,970 10,459 8,969
1/19/2006 9,094 10,517 9,086
1/20/2006 9,291 10,325 9,255
1/21/2006 9,291 10,325 9,255
1/22/2006 9,291 10,325 9,255
1/23/2006 9,170 10,344 9,173
1/24/2006 9,078 10,369 9,105
1/25/2006 8,978 10,351 8,985
1/26/2006 8,998 10,426 9,007
1/27/2006 9,162 10,508 9,149
1/28/2006 9,162 10,508 9,149
1/29/2006 9,162 10,508 9,149
1/30/2006 9,319 10,521 9,307
1/31/2006 9,243 10,479 9,253
2/1/2006 9,030 10,500 9,079
2/2/2006 8,898 10,407 8,895
2/3/2006 8,974 10,352 8,987
2/4/2006 8,974 10,352 8,987
2/5/2006 8,974 10,352 8,987
2/6/2006 8,866 10,361 8,894
2/7/2006 8,625 10,277 8,664
2/8/2006 8,581 10,370 8,601
2/9/2006 8,573 10,356 8,584
2/10/2006 8,420 10,382 8,436
2/11/2006 8,420 10,382 8,436
2/12/2006 8,420 10,382 8,436
2/13/2006 8,332 10,350 8,353
2/14/2006 8,192 10,455 8,230
2/15/2006 8,059 10,494 8,097
2/16/2006 8,160 10,572 8,177
2/17/2006 8,280 10,554 8,312
2/18/2006 8,280 10,554 8,312
2/19/2006 8,280 10,554 8,312
2/20/2006 8,280 10,554 8,312
2/21/2006 8,464 10,520 8,495
2/22/2006 8,276 10,600 8,310
2/23/2006 8,292 10,563 8,301
2/24/2006 8,452 10,578 8,475
2/25/2006 8,452 10,578 8,475
2/26/2006 8,452 10,578 8,475
2/27/2006 8,188 10,618 8,239
2/28/2006 8,288 10,508 8,318
3/1/2006 8,356 10,597 8,369
3/2/2006 8,541 10,580 8,543
3/3/2006 8,569 10,565 8,597
3/4/2006 8,569 10,565 8,597
3/5/2006 8,569 10,565 8,597
3/6/2006 8,328 10,491 8,409
3/7/2006 8,248 10,472 8,294
3/8/2006 8,099 10,497 8,173
3/9/2006 8,228 10,446 8,248
3/10/2006 8,164 10,522 8,207
3/11/2006 8,164 10,522 8,207
3/12/2006 8,164 10,522 8,207
3/13/2006 8,368 10,546 8,387
3/14/2006 8,545 10,656 8,559
3/15/2006 8,404 10,702 8,466
3/16/2006 8,533 10,722 8,558
3/17/2006 8,460 10,737 8,490
3/18/2006 8,460 10,737 8,490
3/19/2006 8,460 10,737 8,490
3/20/2006 8,240 10,720 8,288
3/21/2006 8,292 10,655 8,344
3/22/2006 8,240 10,720 8,276
3/23/2006 8,485 10,692 8,492
3/24/2006 8,513 10,702 8,529
3/25/2006 8,513 10,702 8,529
3/26/2006 8,513 10,702 8,529
3/27/2006 8,485 10,691 8,517
3/28/2006 8,661 10,623 8,687
3/29/2006 8,757 10,704 8,745
3/30/2006 8,854 10,683 8,839
3/31/2006 8,701 10,638 8,744
4/1/2006 8,701 10,638 8,744
4/2/2006 8,701 10,638 8,744
4/3/2006 8,709 10,663 8,800
4/4/2006 8,713 10,731 8,724
4/5/2006 8,834 10,778 8,832
4/6/2006 8,918 10,760 8,928
4/7/2006 8,834 10,649 8,849
4/8/2006 8,834 10,649 8,849
4/9/2006 8,834 10,649 8,849
4/10/2006 9,026 10,658 9,017
4/11/2006 9,066 10,577 9,072
4/12/2006 9,070 10,590 9,093
4/13/2006 9,191 10,598 9,171
4/14/2006 9,191 10,598 9,171
4/15/2006 9,191 10,598 9,171
4/16/2006 9,191 10,598 9,171
4/17/2006 9,363 10,567 9,334
4/18/2006 9,552 10,751 9,541
4/19/2006 9,652 10,771 9,642
4/20/2006 9,520 10,784 9,548
4/21/2006 9,748 10,782 9,708
4/22/2006 9,748 10,782 9,708
4/23/2006 9,748 10,782 9,708
4/24/2006 9,524 10,756 9,511
4/25/2006 9,491 10,704 9,496
4/26/2006 9,391 10,735 9,422
4/27/2006 9,191 10,774 9,221
4/28/2006 9,315 10,781 9,298
4/29/2006 9,315 10,781 9,298
4/30/2006 9,315 10,781 9,298
5/1/2006 9,515 10,737 9,483
5/2/2006 9,600 10,803 9,580
5/3/2006 9,339 10,760 9,352
5/4/2006 9,259 10,797 9,209
5/5/2006 9,243 10,908 9,264
5/6/2006 9,243 10,908 9,264
5/7/2006 9,243 10,908 9,264
5/8/2006 9,219 10,900 9,206
5/9/2006 9,347 10,904 9,340
5/10/2006 9,576 10,890 9,554
5/11/2006 9,712 10,753 9,706
5/12/2006 9,540 10,632 9,543
5/13/2006 9,540 10,632 9,543
5/14/2006 9,540 10,632 9,543
5/15/2006 9,154 10,660 9,217
5/16/2006 9,247 10,641 9,233
5/17/2006 9,050 10,464 9,130
5/18/2006 9,179 10,395 9,162
5/19/2006 8,998 10,438 9,026
5/20/2006 8,998 10,438 9,026
5/21/2006 8,998 10,438 9,026
5/22/2006 9,090 10,397 9,126
5/23/2006 9,323 10,352 9,362
5/24/2006 9,070 10,369 9,083
5/25/2006 9,235 10,488 9,230
5/26/2006 9,279 10,549 9,280
5/27/2006 9,279 10,549 9,280
5/28/2006 9,279 10,549 9,280
5/29/2006 9,279 10,549 9,280
5/30/2006 9,319 10,383 9,311
5/31/2006 9,207 10,471 9,227
6/1/2006 9,142 10,600 9,164
6/2/2006 9,403 10,621 9,377
6/3/2006 9,403 10,621 9,377
6/4/2006 9,403 10,621 9,377
6/5/2006 9,307 10,432 9,368
6/6/2006 9,291 10,421 9,301
6/7/2006 9,142 10,359 9,162
6/8/2006 9,066 10,375 9,075
6/9/2006 9,162 10,328 9,183
6/10/2006 9,162 10,328 9,183
6/11/2006 9,162 10,328 9,183
6/12/2006 9,062 10,197 9,076
6/13/2006 8,797 10,095 8,837
6/14/2006 8,850 10,148 8,888
6/15/2006 9,006 10,364 9,013
6/16/2006 9,002 10,325 9,027
6/17/2006 9,002 10,325 9,027
6/18/2006 9,002 10,325 9,027
6/19/2006 8,834 10,231 8,898
6/20/2006 8,838 10,231 8,869
6/21/2006 8,974 10,331 8,987
6/22/2006 9,006 10,279 9,033
6/23/2006 8,982 10,270 9,006
6/24/2006 8,982 10,270 9,006
6/25/2006 8,982 10,270 9,006
6/26/2006 9,098 10,320 9,099
6/27/2006 9,102 10,227 9,114
6/28/2006 9,106 10,285 9,116
6/29/2006 9,271 10,507 9,279
6/30/2006 9,355 10,485 9,334
7/1/2006 9,355 10,485 9,334
7/2/2006 9,355 10,485 9,334
7/3/2006 9,363 10,569 9,352
7/4/2006 9,363 10,569 9,352
7/5/2006 9,451 10,493 9,425
7/6/2006 9,443 10,522 9,462
7/7/2006 9,323 10,451 9,344
7/8/2006 9,323 10,451 9,344
7/9/2006 9,323 10,451 9,344
7/10/2006 9,247 10,467 9,272
7/11/2006 9,351 10,510 9,379
7/12/2006 9,459 10,396 9,469
7/13/2006 9,660 10,262 9,650
7/14/2006 9,692 10,211 9,716
7/15/2006 9,692 10,211 9,716
7/16/2006 9,692 10,211 9,716
7/17/2006 9,443 10,197 9,473
7/18/2006 9,323 10,217 9,317
7/19/2006 9,263 10,408 9,280
7/20/2006 9,183 10,320 9,237
7/21/2006 9,223 10,247 9,237
7/22/2006 9,223 10,247 9,237
7/23/2006 9,223 10,247 9,237
7/24/2006 9,331 10,417 9,339
7/25/2006 9,223 10,483 9,240
7/26/2006 9,279 10,479 9,303
7/27/2006 9,383 10,438 9,390
7/28/2006 9,271 10,565 9,295
7/29/2006 9,271 10,565 9,295
7/30/2006 9,271 10,565 9,295
7/31/2006 9,536 10,550 9,521
8/1/2006 9,552 10,502 9,526
8/2/2006 9,696 10,567 9,665
8/3/2006 9,556 10,584 9,533
8/4/2006 9,495 10,577 9,502
8/5/2006 9,495 10,577 9,502
8/6/2006 9,495 10,577 9,502
8/7/2006 9,664 10,548 9,638
8/8/2006 9,580 10,513 9,588
8/9/2006 9,616 10,470 9,634
8/10/2006 9,391 10,521 9,388
8/11/2006 9,343 10,480 9,367
8/12/2006 9,343 10,480 9,367
8/13/2006 9,343 10,480 9,367
8/14/2006 9,207 10,493 9,214
8/15/2006 9,158 10,638 9,188
8/16/2006 9,066 10,722 9,121
8/17/2006 8,882 10,739 8,923
8/18/2006 8,946 10,779 8,989
8/19/2006 8,946 10,779 8,989
8/20/2006 8,946 10,779 8,989
8/21/2006 9,090 10,740 9,095
8/22/2006 9,098 10,750 9,131
8/23/2006 8,942 10,703 9,003
8/24/2006 9,046 10,729 9,072
8/25/2006 9,058 10,722 9,111
8/26/2006 9,058 10,722 9,111
8/27/2006 9,058 10,722 9,111
8/28/2006 8,793 10,777 8,875
8/29/2006 8,729 10,800 8,808
8/30/2006 8,741 10,804 8,798
8/31/2006 8,777 10,801 8,830
9/1/2006 8,677 10,861 8,701
9/2/2006 8,677 10,861 8,701
9/3/2006 8,677 10,861 8,701
9/4/2006 8,677 10,861 8,701
9/5/2006 8,585 10,880 8,671
9/6/2006 8,525 10,774 8,598
9/7/2006 8,432 10,722 8,542
9/8/2006 8,324 10,763 8,411
9/9/2006 8,324 10,763 8,411
9/10/2006 8,324 10,763 8,411
9/11/2006 8,148 10,769 8,273
9/12/2006 8,039 10,881 8,139
9/13/2006 7,967 10,926 8,109
9/14/2006 7,799 10,911 7,973
9/15/2006 7,807 10,941 7,935
9/16/2006 7,807 10,941 7,935
9/17/2006 7,807 10,941 7,935
9/18/2006 7,875 10,952 8,000
9/19/2006 7,670 10,928 7,846
9/20/2006 7,534 10,986 7,696
9/21/2006 7,650 10,929 7,794
9/22/2006 7,502 10,902 7,693
9/23/2006 7,502 10,902 7,693
9/24/2006 7,502 10,902 7,693
9/25/2006 7,538 10,998 7,713
9/26/2006 7,534 11,081 7,718
9/27/2006 7,710 11,085 7,845
9/28/2006 7,690 11,106 7,857
9/29/2006 7,706 11,079 7,885
9/30/2006 7,706 11,079 7,885
10/1/2006 7,706 11,079 7,885
10/2/2006 7,554 11,042 7,743
10/3/2006 7,377 11,065 7,550
10/4/2006 7,441 11,201 7,627
10/5/2006 7,546 11,229 7,746
10/6/2006 7,550 11,199 7,747
10/7/2006 7,550 11,199 7,747
10/8/2006 7,550 11,199 7,747
10/9/2006 7,622 11,208 7,837
10/10/2006 7,502 11,231 7,717
10/11/2006 7,437 11,204 7,672
10/12/2006 7,437 11,311 7,674
10/13/2006 7,566 11,334 7,762
10/14/2006 7,566 11,334 7,762
10/15/2006 7,566 11,334 7,762
10/16/2006 7,682 11,362 7,938
10/17/2006 7,642 11,321 7,863
10/18/2006 7,618 11,338 7,755
10/19/2006 7,650 11,346 7,859
10/20/2006 7,562 11,360 7,778
10/21/2006 7,562 11,360 7,778
10/22/2006 7,562 11,360 7,778
10/23/2006 7,502 11,430 7,729
10/24/2006 7,570 11,433 7,794
10/25/2006 7,762 11,474 7,994
10/26/2006 7,682 11,531 7,892
10/27/2006 7,654 11,435 7,904
10/28/2006 7,654 11,435 7,904
10/29/2006 7,654 11,435 7,904
10/30/2006 7,441 11,440 7,667
10/31/2006 7,470 11,440 7,682
11/1/2006 7,470 11,357 7,689
11/2/2006 7,405 11,357 7,667
11/3/2006 7,514 11,332 7,772
11/4/2006 7,514 11,332 7,772
11/5/2006 7,514 11,332 7,772
11/6/2006 7,582 11,461 7,830
11/7/2006 7,526 11,487 7,774
11/8/2006 7,606 11,513 7,840
11/9/2006 7,694 11,455 7,980
11/10/2006 7,542 11,476 7,789
11/11/2006 7,542 11,476 7,789
11/12/2006 7,542 11,476 7,789
11/13/2006 7,474 11,508 7,706
11/14/2006 7,446 11,582 7,696
11/15/2006 7,514 11,613 7,770
11/16/2006 7,317 11,640 7,584
11/17/2006 7,361 11,652 7,626
11/18/2006 7,361 11,652 7,626
11/19/2006 7,361 11,652 7,626
11/20/2006 7,377 11,646 7,631
11/21/2006 7,502 11,666 7,771
11/22/2006 7,385 11,694 7,659
11/23/2006 7,385 11,694 7,659
11/24/2006 7,450 11,653 7,720
11/25/2006 7,450 11,653 7,720
11/26/2006 7,450 11,653 7,720
11/27/2006 7,550 11,494 7,809
11/28/2006 7,610 11,537 7,868
11/29/2006 7,750 11,648 8,018
11/30/2006 7,835 11,658 8,107
12/1/2006 7,823 11,625 8,086
12/2/2006 7,823 11,625 8,086
12/3/2006 7,823 11,625 8,086
12/4/2006 7,646 11,729 7,927
12/5/2006 7,682 11,776 7,929
12/6/2006 7,622 11,763 7,861
12/7/2006 7,582 11,717 7,851
12/8/2006 7,514 11,739 7,811
12/9/2006 7,514 11,739 7,811
12/10/2006 7,514 11,739 7,811
12/11/2006 7,486 11,765 7,748
12/12/2006 7,437 11,753 7,715
12/13/2006 7,474 11,769 7,742
12/14/2006 7,570 11,872 7,841
12/15/2006 7,606 11,886 7,852
12/16/2006 7,606 11,886 7,852
12/17/2006 7,606 11,886 7,852
12/18/2006 7,433 11,847 7,717
12/19/2006 7,490 11,873 7,767
12/20/2006 7,498 11,857 7,763
12/21/2006 7,441 11,816 7,685
12/22/2006 7,393 11,755 7,673
12/23/2006 7,393 11,755 7,673
12/24/2006 7,393 11,755 7,673
12/25/2006 7,393 11,755 7,673
12/26/2006 7,241 11,806 7,531
12/27/2006 7,201 11,892 7,483
12/28/2006 7,237 11,875 7,506
12/29/2006 7,281 11,821 7,530
12/30/2006 7,281 11,821 7,530
12/31/2006 7,281 11,821 7,530
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (09/30/05)
- --------------------------------------------------------------------------------
COMMODITIES FUND -17.87% -22.39%
S&P 500 INDEX 15.79% 14.30%
GOLDMAN SACHS COMMODITY INDEX -15.08% -20.28%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE GOLDMAN
SACHS COMMODITY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 21.6%
COMMODITY LINKED NOTES 65.5%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
The Fund invests principally in exchange traded funds and in derivative
instruments such as commodity linked notes, futures contracts, and options on
index futures.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 39
PERFORMANCE REPORTS AND 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.
INCEPTION: May 29, 2001
In 2006, the consumer products sector lived up to its billing as a defensive
sector. The fund returned 17.42% for the year versus the S&P 500 Index, which
returned 15.79% for the same period.
All six of the industries included in Rydex Consumer Products Fund had
double-digit returns for the year. Best performers were tobacco and personal
products, which returned more than 30%. Food products, household products, food
& staples retailing and beverages had 15%-20% gains.
CUMULATIVE FUND PERFORMANCE:
MAY 29, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
CONSUMER PRODUCTS S&P 500 CONSUMER
DATE FUND S&P 500 INDEX STAPLES INDEX*
5/29/2001 10,000 10,000 10,000
5/31/2001 9,860 9,908 9,973
6/30/2001 9,604 9,667 9,645
7/31/2001 9,664 9,571 9,713
8/31/2001 9,968 8,972 10,106
9/30/2001 9,716 8,248 9,899
10/31/2001 9,752 8,405 9,837
11/30/2001 10,044 9,050 10,050
12/31/2001 10,128 9,129 10,100
1/31/2002 10,216 8,996 10,206
2/28/2002 10,624 8,822 10,612
3/31/2002 10,984 9,154 10,960
4/30/2002 11,108 8,599 11,163
5/31/2002 11,208 8,536 11,255
6/30/2002 10,596 7,928 10,568
7/31/2002 10,124 7,310 10,079
8/31/2002 10,268 7,358 10,176
9/30/2002 9,446 6,558 9,413
10/31/2002 9,911 7,135 9,735
11/30/2002 9,919 7,555 9,441
12/31/2002 9,763 7,111 9,463
1/31/2003 9,418 6,925 9,115
2/28/2003 9,162 6,821 8,851
3/31/2003 9,202 6,887 8,799
4/30/2003 9,747 7,455 9,053
5/31/2003 10,464 7,847 9,479
6/30/2003 10,608 7,948 9,549
7/31/2003 10,632 8,088 9,482
8/31/2003 10,841 8,245 9,664
9/30/2003 10,913 8,158 9,618
10/31/2003 11,358 8,619 10,082
11/30/2003 11,682 8,695 10,167
12/31/2003 11,897 9,151 10,336
1/31/2004 12,111 9,319 10,345
2/29/2004 12,568 9,449 10,931
3/31/2004 12,641 9,306 10,868
4/30/2004 12,856 9,160 10,989
5/31/2004 12,747 9,286 10,842
6/30/2004 13,058 9,466 10,866
7/31/2004 12,180 9,153 10,327
8/31/2004 12,386 9,190 10,520
9/30/2004 12,056 9,290 10,209
10/31/2004 12,203 9,432 10,269
11/30/2004 12,890 9,813 10,563
12/31/2004 13,479 10,147 10,960
1/31/2005 13,598 9,900 11,079
2/28/2005 13,643 10,108 11,090
3/31/2005 13,496 9,929 10,977
4/30/2005 13,123 9,741 10,861
5/31/2005 13,479 10,051 11,082
6/30/2005 13,406 10,065 10,849
7/31/2005 13,802 10,439 11,169
8/31/2005 13,606 10,344 10,995
9/30/2005 13,702 10,428 11,121
10/31/2005 13,337 10,254 11,073
11/30/2005 13,371 10,642 11,152
12/31/2005 13,426 10,645 11,107
1/31/2006 13,562 10,927 11,088
2/28/2006 13,685 10,957 11,195
3/31/2006 13,935 11,093 11,216
4/30/2006 14,071 11,242 11,285
5/31/2006 14,266 10,919 11,339
6/30/2006 14,326 10,934 11,475
7/31/2006 14,559 11,001 11,682
8/31/2006 15,022 11,263 12,101
9/30/2006 15,090 11,553 12,059
10/31/2006 15,332 11,930 12,280
11/30/2006 15,455 12,156 12,147
12/31/2006 15,765 12,327 12,413
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/29/01)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND 17.42% 9.25% 8.48%
S&P 500 INDEX 15.79% 6.19% 3.81%
S&P 500 CONSUMER STAPLES INDEX 14.58% 6.51% 6.24%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
CONSUMER STAPLES INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 33%
BEVERAGES 21%
HOUSEHOLD PRODUCTS 16%
TOBACCO 12%
FOOD & STAPLES RETAILING 12%
PERSONAL PRODUCTS 6%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Procter & Gamble Co. 6.8%
Altria Group, Inc. 6.6%
Coca-Cola Co. 5.1%
PepsiCo, Inc. 4.6%
Kraft Foods, Inc. -- Class A 3.6%
Anheuser-Bush Cos., Inc. 2.9%
Colgate-Palmolive Co. 2.8%
Kimberly-Clark Corp. 2.6%
Sysco Corp. 2.3%
General Mills, Inc. 2.1%
- --------------------------------------------------------------------------------
Top Ten Total 39.4%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative
investments.
40 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: August 3, 2001
Renewed investor concern about excess capacity resulted in semiconductors being
the worst performing industry group in the technology sector for 2006. In
addition, the no-holds-barred battle for market share among industry leaders,
particularly Intel and Advanced Micro Devices, weighed heavily on the entire
group. With Intel declining nearly 19% and AMD losing more than one third of its
value during the period, it should come as no surprise that electronics
companies as a whole underperformed the S&P 500 Index (+15.79%) by a wide
margin. Although Rydex Electronics Fund, in step with its sector, underperformed
the S&P 500, it stayed out of negative return territory with a 2.49% for the
year.
CUMULATIVE FUND PERFORMANCE:
AUGUST 3, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500 INFORMATION
DATE ELECTRONICS FUND S&P 500 INDEX TECHNOLOGY INDEX*
8/3/2001 10,000 10,000 10,000
8/31/2001 8,824 9,346 8,437
9/30/2001 6,068 8,592 6,777
10/31/2001 7,312 8,755 7,954
11/30/2001 8,432 9,427 9,310
12/31/2001 8,256 9,510 9,128
1/31/2002 8,504 9,371 9,253
2/28/2002 7,568 9,190 7,954
3/31/2002 8,696 9,536 8,446
4/30/2002 7,864 8,958 7,399
5/31/2002 7,308 8,892 7,113
6/30/2002 5,900 8,258 6,247
7/31/2002 5,164 7,615 5,726
8/31/2002 4,688 7,665 5,654
9/30/2002 3,643 6,832 4,662
10/31/2002 4,482 7,433 5,701
11/30/2002 5,674 7,870 6,660
12/31/2002 4,276 7,408 5,698
1/31/2003 4,043 7,214 5,602
2/28/2003 4,319 7,106 5,737
3/31/2003 4,147 7,175 5,667
4/30/2003 4,676 7,766 6,178
5/31/2003 5,484 8,175 6,695
6/30/2003 5,244 8,279 6,690
7/31/2003 5,764 8,425 7,060
8/31/2003 6,753 8,589 7,461
9/30/2003 6,125 8,498 7,410
10/31/2003 7,222 8,979 8,013
11/30/2003 7,627 9,058 8,137
12/31/2003 7,261 9,533 8,351
1/31/2004 7,450 9,708 8,641
2/29/2004 7,166 9,843 8,357
3/31/2004 6,908 9,694 8,133
4/30/2004 6,035 9,542 7,753
5/31/2004 6,685 9,673 8,135
6/30/2004 6,534 9,861 8,358
7/31/2004 5,433 9,535 7,727
8/31/2004 4,848 9,573 7,310
9/30/2004 4,998 9,677 7,522
10/31/2004 5,338 9,825 7,916
11/30/2004 5,480 10,223 8,295
12/31/2004 5,665 10,570 8,529
1/31/2005 5,132 10,313 8,081
2/28/2005 5,553 10,530 8,079
3/31/2005 5,205 10,343 7,892
4/30/2005 4,835 10,147 7,580
5/31/2005 5,424 10,470 8,162
6/30/2005 5,368 10,485 8,018
7/31/2005 5,953 10,875 8,488
8/31/2005 5,867 10,776 8,462
9/30/2005 5,833 10,863 8,484
10/31/2005 5,403 10,682 8,297
11/30/2005 6,065 11,086 8,822
12/31/2005 5,884 11,089 8,562
1/31/2006 6,517 11,383 8,835
2/28/2006 6,465 11,414 8,747
3/31/2006 6,525 11,556 8,904
4/30/2006 6,680 11,711 8,802
5/31/2006 6,022 11,374 8,171
6/30/2006 5,781 11,390 8,034
7/31/2006 5,433 11,460 7,731
8/31/2006 5,897 11,733 8,369
9/30/2006 5,915 12,035 8,703
10/31/2006 5,988 12,427 9,061
11/30/2006 6,207 12,663 9,348
12/31/2006 6,031 12,841 9,221
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (08/03/01)
- --------------------------------------------------------------------------------
ELECTRONICS FUND 2.49% -6.09% -8.92%
S&P 500 INDEX 15.79% 6.19% 4.73%
S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -1.04%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
INFORMATION TECHNOLOGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
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.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Intel Corp. 9.2%
Texas Instruments, Inc. 5.3%
Applied Materials, Inc. 4.6%
Nvidia Corp. 3.5%
Broadcom Corp. -- Class A 3.4%
Analog Devices, Inc. 3.1%
KLA-Tencor Corp. 2.8%
Maxim Integrated Products, Inc. 2.8%
MEMC Electronic Materials, Inc. 2.6%
Linear Technology Corp. 2.6%
- --------------------------------------------------------------------------------
Top Ten Total 39.9%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 41
PERFORMANCE REPORTS AND 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.
INCEPTION: May 29, 2001
Oil prices hit record highs in 2006, breaking $77 dollars per barrel before
closing the year near where they started. Escalated tension in the Middle East
over the summer propelled oil prices higher. Israel and Palestine clashed after
the kidnapping of an Israeli soldier near Gaza. Shortly thereafter, Iran
abandoned discussions over its nuclear program with the U.S. and Europe, further
exacerbating the unease. However as the situation in the Middle East improved,
oil prices fell. Energy stocks continued to benefit from higher-than average oil
prices and outpaced the broader S&P 500 Index. Large-cap energy stocks
outperformed their smaller compatriots, affecting Rydex fund performance. Rydex
Energy Fund returned 11.93% for the year.
CUMULATIVE FUND PERFORMANCE:
MAY 29, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE ENERGY FUND S&P 500 INDEX S&P 500 ENERGY INDEX*
5/29/2001 10,000 10,000 10,000
5/31/2001 9,984 9,908 10,045
6/30/2001 9,188 9,667 9,362
7/31/2001 9,040 9,571 9,207
8/31/2001 8,796 8,972 8,848
9/30/2001 8,088 8,248 8,248
10/31/2001 8,324 8,405 8,508
11/30/2001 7,984 9,050 8,151
12/31/2001 8,440 9,129 8,580
1/31/2002 8,052 8,996 8,417
2/28/2002 8,304 8,822 8,748
3/31/2002 9,060 9,154 9,329
4/30/2002 8,768 8,599 8,853
5/31/2002 8,376 8,536 8,861
6/30/2002 8,104 7,928 8,835
7/31/2002 7,072 7,310 7,709
8/31/2002 7,200 7,358 7,674
9/30/2002 6,648 6,558 7,010
10/31/2002 6,980 7,135 7,210
11/30/2002 7,180 7,555 7,439
12/31/2002 7,300 7,111 7,436
1/31/2003 7,040 6,925 7,244
2/28/2003 7,140 6,821 7,352
3/31/2003 7,052 6,887 7,436
4/30/2003 7,120 7,455 7,399
5/31/2003 7,972 7,847 8,000
6/30/2003 7,900 7,948 7,911
7/31/2003 7,504 8,088 7,712
8/31/2003 7,916 8,245 8,149
9/30/2003 7,748 8,158 7,945
10/31/2003 7,876 8,619 8,009
11/30/2003 7,980 8,695 7,998
12/31/2003 8,980 9,151 9,102
1/31/2004 9,100 9,319 9,215
2/29/2004 9,576 9,449 9,585
3/31/2004 9,556 9,306 9,520
4/30/2004 9,752 9,160 9,677
5/31/2004 9,616 9,286 9,687
6/30/2004 10,252 9,466 10,185
7/31/2004 10,536 9,153 10,523
8/31/2004 10,300 9,190 10,378
9/30/2004 11,290 9,290 11,246
10/31/2004 11,330 9,432 11,316
11/30/2004 12,294 9,813 11,963
12/31/2004 11,878 10,147 11,721
1/31/2005 12,210 9,900 12,039
2/28/2005 13,935 10,108 14,240
3/31/2005 13,679 9,929 13,720
4/30/2005 12,874 9,741 12,991
5/31/2005 13,279 10,051 13,168
6/30/2005 14,359 10,065 13,929
7/31/2005 15,432 10,439 14,725
8/31/2005 16,328 10,344 15,476
9/30/2005 17,270 10,428 16,404
10/31/2005 15,847 10,254 14,863
11/30/2005 16,099 10,642 15,063
12/31/2005 16,456 10,645 15,136
1/31/2006 18,781 10,927 17,232
2/28/2006 16,833 10,957 15,829
3/31/2006 17,711 11,093 16,437
4/30/2006 18,697 11,242 17,278
5/31/2006 18,139 10,919 16,728
6/30/2006 18,508 10,934 17,069
7/31/2006 18,769 11,001 17,916
8/31/2006 17,883 11,263 17,187
9/30/2006 17,010 11,553 16,705
10/31/2006 17,849 11,930 17,451
11/30/2006 19,247 12,156 18,856
12/31/2006 18,418 12,327 18,498
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/29/01)
- --------------------------------------------------------------------------------
ENERGY FUND 11.93% 16.89% 11.54%
S&P 500 INDEX 15.79% 6.19% 3.81%
S&P 500 ENERGY INDEX 24.21% 19.09% 13.99%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
ENERGY INDEX ARE UNMANAGED STOCK INDECES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 71%
ENERGY EQUIPMENT & SERVICES 29%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 7.3%
BP PLC -- SP ADR 4.8%
TOTAL SA -- SP ADR 4.4%
Chevron Corp. 4.3%
ConocoPhillips 3.8%
Royal Dutch Shell PLC- SP ADR 3.8%
Schlumberger Ltd. 2.8%
Repsol YPF SA -- SP ADR 2.2%
Occidental Petroleum Corp. 2.1%
Marathon Oil Corp. 2.0%
- --------------------------------------------------------------------------------
Top Ten Total 37.5%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
42 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 2, 2001
High crude oil prices, fueled by a combination of strong demand and constrained
supply, have produced rich profits for oil producers over the last few years. In
an effort to expand production, these producers increased their spending with
the oilfield services companies that provide drilling rigs and associated
products and services. These companies have enjoyed the strongest operating
environment in two decades. This euphoria drove oilfield services companies
higher through the early months of 2006. However, oil prices fell precipitously
from their mid-year highs as geopolitical tensions eased and negatively impacted
performance in this industry. Rydex Energy Services Fund rose 10.98%, trailing
the S&P 500 Index's gain of 15.79%
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE ENERGY SERVICES FUND S&P 500 INDEX S&P 500 ENERGY INDEX*
5/2/2001 10,000 10,000 10,000
5/31/2001 10,376 9,923 10,409
6/30/2001 8,272 9,682 9,702
7/31/2001 7,620 9,587 9,541
8/31/2001 6,660 8,986 9,168
9/30/2001 5,700 8,261 8,547
10/31/2001 6,772 8,418 8,817
11/30/2001 6,584 9,064 8,447
12/31/2001 7,096 9,143 8,892
1/31/2002 6,836 9,010 8,722
2/28/2002 7,112 8,836 9,066
3/31/2002 7,844 9,169 9,668
4/30/2002 7,976 8,613 9,174
5/31/2002 7,776 8,549 9,182
6/30/2002 6,864 7,940 9,156
7/31/2002 5,940 7,321 7,989
8/31/2002 6,060 7,369 7,952
9/30/2002 5,571 6,568 7,264
10/31/2002 5,944 7,147 7,472
11/30/2002 6,296 7,567 7,709
12/31/2002 6,239 7,123 7,706
1/31/2003 5,953 6,936 7,506
2/28/2003 6,278 6,832 7,619
3/31/2003 5,983 6,898 7,705
4/30/2003 6,048 7,467 7,668
5/31/2003 7,029 7,860 8,290
6/30/2003 6,690 7,960 8,198
7/31/2003 6,083 8,101 7,991
8/31/2003 6,513 8,259 8,444
9/30/2003 6,122 8,171 8,233
10/31/2003 6,083 8,633 8,300
11/30/2003 6,027 8,709 8,288
12/31/2003 6,764 9,166 9,432
1/31/2004 7,198 9,334 9,550
2/29/2004 7,641 9,464 9,933
3/31/2004 7,411 9,321 9,866
4/30/2004 7,402 9,175 10,028
5/31/2004 7,111 9,300 10,038
6/30/2004 7,753 9,481 10,555
7/31/2004 8,044 9,168 10,905
8/31/2004 7,914 9,205 10,754
9/30/2004 8,782 9,304 11,654
10/31/2004 8,556 9,446 11,726
11/30/2004 9,198 9,829 12,397
12/31/2004 9,046 10,163 12,146
1/31/2005 9,415 9,915 12,476
2/28/2005 10,444 10,124 14,757
3/31/2005 10,235 9,945 14,218
4/30/2005 9,415 9,756 13,462
5/31/2005 9,827 10,067 13,646
6/30/2005 10,713 10,081 14,434
7/31/2005 11,958 10,456 15,260
8/31/2005 12,674 10,360 16,038
9/30/2005 13,151 10,444 16,999
10/31/2005 12,387 10,270 15,402
11/30/2005 13,060 10,659 15,610
12/31/2005 13,416 10,662 15,685
1/31/2006 16,132 10,945 17,857
2/28/2006 14,114 10,974 16,403
3/31/2006 15,299 11,111 17,033
4/30/2006 16,349 11,260 17,904
5/31/2006 15,780 10,936 17,335
6/30/2006 15,746 10,951 17,689
7/31/2006 15,381 11,018 18,566
8/31/2006 14,466 11,281 17,811
9/30/2006 13,828 11,571 17,311
10/31/2006 14,387 11,948 18,084
11/30/2006 15,589 12,176 19,540
12/31/2006 14,889 12,346 19,169
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON
SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
ENERGY SERVICES FUND 10.98% 15.98% 7.28%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 ENERGY INDEX 24.21% 19.09% 14.62%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND S&P 500
ENERGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 EQIUPMENT & SERVICES 100%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Schlumberger Ltd. 9.5%
Halliburton Co. 6.4%
Transocean, Inc. 5.8%
Baker Hughes, Inc. 5.6%
Weatherford International Ltd. 4.1%
Noble Corp. 3.8%
Diamond Offshore Drilling, Inc. 3.7%
National-Oilwell Varco, Inc. 3.6%
Smith International, Inc. 3.3%
Nabors Industries Ltd. 3.2%
- --------------------------------------------------------------------------------
Top Ten Total 49.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 43
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies involved in the
financial services sector.
INCEPTION: July 20, 2001
A record level of mergers and acquisitions activity along with higher rates
helped Rydex Financial Services Fund (+16.73%) outperform the S&P 500 Index's
15.79% return. Real estate, diversified financials and insurance all had strong
years, but for the third year in a row banks, even though they were up more
than10%, were the worst performing industry group in the sector. REITs in
general had a very good year, due in some degree to large private equity
acquisitions, but the residential and office REITs in particular stood out this
year as the hottest real estate sectors.
CUMULATIVE FUND PERFORMANCE:
JULY 20, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE FINANCIAL SERVICES FUND S&P 500 INDEX S&P 500 FINANCIALS INDEX*
7/20/2001 10,000 10,000 10,000
7/31/2001 10,108 10,005 10,088
8/31/2001 9,496 9,378 9,458
9/30/2001 8,992 8,621 8,887
10/31/2001 8,680 8,785 8,708
11/30/2001 9,280 9,459 9,315
12/31/2001 9,560 9,542 9,503
1/31/2002 9,480 9,403 9,334
2/28/2002 9,460 9,222 9,185
3/31/2002 10,064 9,568 9,784
4/30/2002 9,980 8,988 9,510
5/31/2002 9,984 8,922 9,478
6/30/2002 9,500 8,286 9,012
7/31/2002 8,628 7,641 8,284
8/31/2002 8,808 7,691 8,437
9/30/2002 7,678 6,855 7,436
10/31/2002 8,097 7,458 8,090
11/30/2002 8,406 7,897 8,408
12/31/2002 8,117 7,433 7,942
1/31/2003 7,988 7,239 7,792
2/28/2003 7,775 7,130 7,536
3/31/2003 7,682 7,199 7,492
4/30/2003 8,486 7,792 8,394
5/31/2003 8,993 8,203 8,820
6/30/2003 9,005 8,307 8,826
7/31/2003 9,403 8,454 9,207
8/31/2003 9,355 8,619 9,100
9/30/2003 9,370 8,527 9,143
10/31/2003 9,993 9,010 9,748
11/30/2003 10,106 9,089 9,705
12/31/2003 10,464 9,565 10,160
1/31/2004 10,855 9,741 10,459
2/29/2004 11,209 9,876 10,722
3/31/2004 11,064 9,727 10,594
4/30/2004 10,541 9,575 10,081
5/31/2004 10,839 9,706 10,253
6/30/2004 10,891 9,895 10,282
7/31/2004 10,589 9,567 10,044
8/31/2004 10,955 9,606 10,367
9/30/2004 11,065 9,710 10,258
10/31/2004 11,267 9,858 10,280
11/30/2004 11,787 10,257 10,566
12/31/2004 12,255 10,606 10,996
1/31/2005 11,739 10,348 10,741
2/28/2005 11,800 10,566 10,659
3/31/2005 11,424 10,379 10,231
4/30/2005 11,215 10,182 10,213
5/31/2005 11,602 10,506 10,477
6/30/2005 11,945 10,521 10,604
7/31/2005 12,405 10,912 10,742
8/31/2005 12,106 10,812 10,526
9/30/2005 12,142 10,900 10,611
10/31/2005 12,151 10,718 10,927
11/30/2005 12,678 11,123 11,393
12/31/2005 12,669 11,127 11,406
1/31/2006 12,983 11,422 11,489
2/28/2006 13,240 11,453 11,693
3/31/2006 13,431 11,596 11,701
4/30/2006 13,627 11,751 12,176
5/31/2006 13,135 11,413 11,697
6/30/2006 13,157 11,428 11,612
7/31/2006 13,266 11,499 11,880
8/31/2006 13,440 11,773 11,974
9/30/2006 13,893 12,076 12,460
10/31/2006 14,224 12,469 12,743
11/30/2006 14,433 12,707 12,771
12/31/2006 14,789 12,885 13,249
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON
SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (07/20/01)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND 16.73% 9.12% 7.44%
S&P 500 INDEX 15.79% 6.19% 4.76%
S&P 500 FINANCIALS INDEX 19.23% 9.50% 7.84%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
FINANCIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
FINANCIAL
SERVICES
FUND
OTHER 5%
INSURANCE 22%
REAL ESTATE INVESTMENT TRUSTS 21%
COMMERCIAL BANKS 20%
CAPITAL MARKETS 14%
DIVERSIFIED FINANCIAL SERVICES 9%
THRIFTS & MORTGAGE FINANCE 9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Bank of America Corp. 2.2%
Citigroup, Inc. 2.0%
Wells Fargo & Co. 1.6%
American International Group, Inc. 1.6%
Morgan Stanley 1.5%
J.P. Morgan Chase & Co. 1.4%
Wachovia Corp. 1.4%
Fannie Mae 1.2%
Regions Financial Corp. 1.2%
Freddie Mac 1.1%
- --------------------------------------------------------------------------------
Top Ten Total 15.2%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
44 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
HEALTH CARE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are
involved in the health care industry.
INCEPTION: June 19, 2001
Health care was the worst performing sector within S&P 500 for the year.
Medical technology stocks performed poorly, limiting industry performance.
Biotech stocks returned -1.4%, due in large part to negative returns from
large-cap stocks like Amgen, Genentech, Genzyme and Imclone.
There were bright spots, however: life sciences tools & services and health care
technology. Most pharmaceutical companies had double-digit gains for the year in
spite of patent expirations, pending litigations and Democrats gaining control
of Congress. The equipment and supplies industry had a return of about 5.7%, in
line with the sector. In the providers and services space, winners and losers
were evenly distributed, resulting in a flat performance.
Not surprisingly given the performance of the sector, Rydex Health Care Fund
produced sub par returns for the year 2006, returning 5.11% compared to 15.79%
for S&P 500 Index.
CUMULATIVE FUND PERFORMANCE:
JUNE 19, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500 HEALTH
DATE HEALTH CARE FUND S&P 500 INDEX CARE INDEX*
6/19/2001 10,000 10,000 10,000
6/30/2001 9,552 10,100 9,363
7/31/2001 9,852 10,000 9,858
8/31/2001 9,516 9,374 9,491
9/30/2001 9,480 8,617 9,628
10/31/2001 9,436 8,781 9,573
11/30/2001 9,796 9,455 10,024
12/31/2001 9,528 9,538 9,698
1/31/2002 9,356 9,399 9,598
2/28/2002 9,360 9,218 9,622
3/31/2002 9,416 9,564 9,637
4/30/2002 8,848 8,984 9,033
5/31/2002 8,740 8,918 8,846
6/30/2002 7,856 8,283 8,028
7/31/2002 7,640 7,637 7,854
8/31/2002 7,736 7,687 7,937
9/30/2002 7,273 6,852 7,421
10/31/2002 7,538 7,455 7,857
11/30/2002 7,674 7,894 8,056
12/31/2002 7,498 7,430 7,761
1/31/2003 7,510 7,235 7,723
2/28/2003 7,342 7,127 7,573
3/31/2003 7,526 7,196 7,827
4/30/2003 7,943 7,789 8,093
5/31/2003 8,488 8,199 8,229
6/30/2003 8,688 8,304 8,577
7/31/2003 9,017 8,450 8,446
8/31/2003 8,944 8,615 8,119
9/30/2003 8,964 8,523 8,145
10/31/2003 9,205 9,006 8,199
11/30/2003 9,433 9,085 8,318
12/31/2003 9,730 9,561 8,794
1/31/2004 10,103 9,737 9,034
2/29/2004 10,167 9,872 9,096
3/31/2004 10,010 9,723 8,716
4/30/2004 10,131 9,571 8,983
5/31/2004 10,095 9,702 8,951
6/30/2004 10,167 9,891 8,920
7/31/2004 9,501 9,563 8,437
8/31/2004 9,598 9,602 8,568
9/30/2004 9,662 9,706 8,408
10/31/2004 9,438 9,854 8,221
11/30/2004 9,751 10,253 8,347
12/31/2004 10,335 10,602 8,815
1/31/2005 10,047 10,343 8,530
2/28/2005 10,271 10,561 8,777
3/31/2005 10,177 10,374 8,726
4/30/2005 10,409 10,177 9,019
5/31/2005 10,644 10,501 9,092
6/30/2005 10,701 10,516 9,053
7/31/2005 11,038 10,907 9,258
8/31/2005 11,107 10,808 9,206
9/30/2005 11,091 10,895 9,149
10/31/2005 10,827 10,713 8,873
11/30/2005 11,172 11,119 8,941
12/31/2005 11,436 11,122 9,243
1/31/2006 11,647 11,417 9,373
2/28/2006 11,712 11,448 9,445
3/31/2006 11,643 11,590 9,323
4/30/2006 11,269 11,746 9,023
5/31/2006 11,005 11,408 8,819
6/30/2006 11,005 11,423 8,820
7/31/2006 11,342 11,494 9,297
8/31/2006 11,651 11,767 9,546
9/30/2006 11,744 12,071 9,681
10/31/2006 11,838 12,464 9,722
11/30/2006 11,907 12,701 9,669
12/31/2006 12,020 12,879 9,777
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (06/19/01)
- --------------------------------------------------------------------------------
HEALTH CARE FUND 5.11% 4.76% 3.38%
S&P 500 INDEX 15.79% 6.19% 4.68%
S&P 500 HEALTH CARE INDEX 7.53% 1.68% 1.07%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
HEALTH CARE INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
HEALTH CARE FUND
OTHER 2%
PHARMACEUTICALS 33%
HEALTH CARE PROVIDERS & SERVICES 22%
HEALTH CARE EQUIPMENT & SUPPLIES 20%
BIOTECHNOLOGY 16%
LIFE SCIENCES TOOLS & SERVICES 7%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Johnson & Johnson, Inc. 6.1%
Pfizer, Inc. 5.8%
Merck & Co., Inc. 4.0%
Amgen, Inc. 3.5%
Genentech, Inc. 3.4%
Medtronic, Inc. 3.0%
Abbott Laboratories 2.9%
UnitedHealth Group, Inc. 2.8%
Eli Lilly & Co. 2.8%
Wyeth 2.7%
- --------------------------------------------------------------------------------
Top Ten Total 37.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 45
PERFORMANCE REPORTS AND 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.
INCEPTION: May 24, 2001
Last year's big winner within the Internet sector, the Internet software &
services industry, became this year's biggest loser. The industry, which is
dominated by Google, eBay and Yahoo, suffered due to relatively higher
valuations and competitive pressures. Other industries such as communications
equipment, application software, systems software, and Internet & catalog
retailing benefited from increasing internet usage rates and adoption of
broadband access.
Rydex Internet Fund gained a modest 9.70%, as Internet companies failed to keep
up with the broader S&P 500 Index (+15.79%) for the second year in a row.
CUMULATIVE FUND PERFORMANCE:
MAY 24, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500 INFORMATION
DATE INTERNET FUND S&P 500 INDEX TECHNOLOGY INDEX*
5/24/2001 10,000 10,000 10,000
5/31/2001 8,716 9,715 9,002
6/30/2001 8,232 9,479 9,105
7/31/2001 7,292 9,385 8,564
8/31/2001 5,840 8,798 7,482
9/30/2001 4,544 8,087 6,010
10/31/2001 5,236 8,241 7,055
11/30/2001 6,360 8,874 8,257
12/31/2001 6,304 8,951 8,096
1/31/2002 5,976 8,821 8,207
2/28/2002 4,804 8,651 7,055
3/31/2002 5,216 8,976 7,491
4/30/2002 4,336 8,432 6,562
5/31/2002 4,172 8,370 6,308
6/30/2002 3,608 7,773 5,540
7/31/2002 3,132 7,168 5,078
8/31/2002 3,196 7,215 5,015
9/30/2002 2,780 6,430 4,134
10/31/2002 3,440 6,996 5,056
11/30/2002 4,288 7,408 5,907
12/31/2002 3,572 6,973 5,054
1/31/2003 3,540 6,790 4,968
2/28/2003 3,484 6,689 5,088
3/31/2003 3,512 6,753 5,026
4/30/2003 3,880 7,310 5,479
5/31/2003 4,544 7,695 5,938
6/30/2003 4,620 7,793 5,933
7/31/2003 4,764 7,930 6,262
8/31/2003 5,036 8,085 6,617
9/30/2003 4,912 7,999 6,572
10/31/2003 5,384 8,452 7,106
11/30/2003 5,524 8,526 7,216
12/31/2003 5,872 8,973 7,406
1/31/2004 6,284 9,138 7,664
2/29/2004 6,176 9,265 7,412
3/31/2004 6,144 9,125 7,213
4/30/2004 5,788 8,982 6,876
5/31/2004 6,196 9,105 7,215
6/30/2004 6,464 9,282 7,413
7/31/2004 5,764 8,975 6,853
8/31/2004 5,468 9,011 6,483
9/30/2004 5,788 9,109 6,671
10/31/2004 6,144 9,248 7,020
11/30/2004 6,604 9,622 7,357
12/31/2004 6,804 9,950 7,564
1/31/2005 6,156 9,707 7,168
2/28/2005 5,780 9,911 7,166
3/31/2005 5,740 9,736 6,999
4/30/2005 5,516 9,551 6,722
5/31/2005 6,180 9,855 7,239
6/30/2005 5,920 9,869 7,112
7/31/2005 6,264 10,236 7,528
8/31/2005 6,204 10,143 7,505
9/30/2005 6,442 10,225 7,524
10/31/2005 6,405 10,055 7,358
11/30/2005 6,715 10,435 7,824
12/31/2005 6,710 10,438 7,593
1/31/2006 7,006 10,715 7,836
2/28/2006 6,865 10,744 7,758
3/31/2006 7,188 10,878 7,897
4/30/2006 7,075 11,024 7,807
5/31/2006 6,606 10,706 7,247
6/30/2006 6,597 10,721 7,125
7/31/2006 6,005 10,787 6,856
8/31/2006 6,519 11,044 7,423
9/30/2006 6,751 11,328 7,719
10/31/2006 7,152 11,697 8,037
11/30/2006 7,430 11,920 8,291
12/31/2006 7,361 12,087 8,178
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/24/01)
- --------------------------------------------------------------------------------
INTERNET FUND 9.70% 3.15% -5.32%
S&P 500 INDEX 15.79% 6.19% 3.44%
S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -3.09%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
INFORMATION TECHNOLGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
INTERNET FUND
OTHER 17%
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 29%
DIVERSIFIED TELECOMMUNICATION SERVICES 26%
CAPITAL MARKETS 13%
COMMERCIAL SERVICES & SUPPLIES 8%
HEALTH CARE TECHNOLOGY 7%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Cisco Systems, Inc. 10.2%
Google, Inc. -- Class A 7.8%
Time Warner, Inc. 7.3%
Qualcomm, Inc. 5.8%
eBay, Inc. 4.9%
Yahoo!, Inc. 4.3%
Research in Motion, Ltd. 3.9%
Sun Microsystems, Inc. 3.3%
Amazon.com, Inc. 3.3%
Symantec Corp. 3.2%
- --------------------------------------------------------------------------------
Top Ten Total 54.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
46 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
LEISURE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies in the leisure
and entertainment businesses.
INCEPTION: May 22, 2001
Rebounding from last year's decline, casinos were by far the biggest winners
this year. Gains in the movies & entertainment, hotels resorts & cruise lines
and restaurant industries also made significant contributions to the fund's
strong performance. The leisure facilities and broadcasting & cable TV
industries both had rough years and were the only two industries to post
negative returns in the sector.
For the fourth time in five years, Rydex Leisure Fund (+23.47%) outperformed the
S&P 500 Index (+15.79%).
CUMULATIVE FUND PERFORMANCE:
MAY 22, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500 CONSUMER
DATE LEISURE FUND S&P 500 INDEX DISCRETIONARY INDEX*
5/22/2001 10,000 10,000 10,000
5/31/2001 9,528 9,595 9,536
6/30/2001 9,488 9,362 9,388
7/31/2001 8,792 9,270 9,415
8/31/2001 7,872 8,689 8,414
9/30/2001 6,136 7,988 7,346
10/31/2001 6,368 8,140 7,513
11/30/2001 6,980 8,764 8,530
12/31/2001 7,236 8,841 8,734
1/31/2002 7,504 8,712 8,656
2/28/2002 7,424 8,544 8,760
3/31/2002 7,828 8,865 8,917
4/30/2002 8,060 8,328 8,553
5/31/2002 8,020 8,267 8,533
6/30/2002 7,608 7,678 7,842
7/31/2002 7,000 7,079 6,919
8/31/2002 6,876 7,126 7,096
9/30/2002 6,292 6,351 6,482
10/31/2002 6,312 6,910 6,900
11/30/2002 6,572 7,317 7,234
12/31/2002 6,168 6,887 6,599
1/31/2003 5,908 6,707 6,382
2/28/2003 5,676 6,606 6,324
3/31/2003 5,912 6,670 6,494
4/30/2003 6,272 7,220 7,244
5/31/2003 6,688 7,600 7,609
6/30/2003 6,952 7,697 7,717
7/31/2003 7,180 7,833 7,882
8/31/2003 7,380 7,985 8,272
9/30/2003 7,320 7,901 7,875
10/31/2003 7,908 8,348 8,576
11/30/2003 8,124 8,421 8,648
12/31/2003 8,320 8,863 8,980
1/31/2004 8,580 9,025 8,907
2/29/2004 9,004 9,151 9,087
3/31/2004 9,148 9,013 9,073
4/30/2004 8,796 8,871 8,928
5/31/2004 8,708 8,993 8,987
6/30/2004 8,836 9,168 9,029
7/31/2004 8,500 8,864 8,668
8/31/2004 8,392 8,900 8,653
9/30/2004 8,812 8,997 8,903
10/31/2004 8,990 9,134 9,263
11/30/2004 9,615 9,504 9,629
12/31/2004 10,305 9,827 10,071
1/31/2005 10,111 9,588 9,650
2/28/2005 10,106 9,789 9,600
3/31/2005 10,131 9,616 9,477
4/30/2005 9,591 9,434 8,862
5/31/2005 10,033 9,734 9,376
6/30/2005 9,891 9,748 9,363
7/31/2005 10,098 10,110 9,885
8/31/2005 9,729 10,018 9,538
9/30/2005 9,504 10,099 9,259
10/31/2005 9,384 9,931 9,072
11/30/2005 9,839 10,306 9,416
12/31/2005 9,804 10,310 9,330
1/31/2006 10,308 10,583 9,491
2/28/2006 10,433 10,612 9,548
3/31/2006 10,888 10,744 9,581
4/30/2006 10,960 10,888 9,703
5/31/2006 10,580 10,575 9,546
6/30/2006 10,522 10,589 9,511
7/31/2006 9,808 10,654 9,189
8/31/2006 10,147 10,908 9,361
9/30/2006 10,746 11,189 9,960
10/31/2006 11,420 11,553 10,601
11/30/2006 11,848 11,773 10,706
12/31/2006 12,104 11,938 10,938
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/22/01)
- --------------------------------------------------------------------------------
LEISURE FUND 23.47% 10.84% 3.46%
S&P 500 INDEX 15.79% 6.19% 3.21%
S&P 500 CONSUMER DISCRETIONARY INDEX 18.64% 5.67% 2.63%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
CONSUMER DISCRETIONARY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
LEISURE FUND
SOFTWARE 5%
HOTELS RESTAURANTS & LEISURE 62%
MEDIA 22%
LEISURE EQUIPMENT & PRODUCTS 11%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Time Warner, Inc. 5.6%
Walt Disney Co. 4.9%
McDonald's Corp. 4.3%
News Corp. -- Class A 3.9%
Las Vegas Sands Corp. 3.5%
Carnival Corp. 3.1%
Viacom, Inc. -- Class B 3.0%
Starbucks Corp. 2.9%
Marriott International, Inc. -- Class A 2.7%
MGM Mirage, Inc. 2.7%
- --------------------------------------------------------------------------------
Top Ten Total 36.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 47
PERFORMANCE REPORTS AND 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.
INCEPTION: May 29, 1997
Precious metals stocks were turbulent in 2006, but managed to outgain the
broader S&P 500 Index for the year. After a strong start, gold stocks weakened
in August, giving up significant gains. While they later recovered in September
and posted a strong rally into late November 2006, gold stocks did not reach the
highs set earlier in the year.
Gold prices have been rising steadily since 2001 and in 2006 reached the highest
average price level since 1980. Gold prices benefited from a lack of global
production in the metal and a weakened dollar.
The Fund's underweight in Newmont Mining (one of the worst performing stocks in
the industry) and overweights in Agnico-Eagle and Silver Standard (two of the
best performers) contributed to the Fund's outperformance. In general,
smaller-cap stocks in this sector performed better than larger cap. This result
added to performance as the fund has higher exposure to smaller-cap issues.
Rydex Precious Metals Fund rose 21.43% during the year.
CUMULATIVE FUND PERFORMANCE:
MAY 29, 1997 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
PRECIOUS S&P 500
DATE METALS FUND S&P 500 INDEX MATERIALS INDEX*
5/29/1997 10,000 10,000 10,000
6/30/1997 8,870 10,500 10,368
9/30/1997 9,990 11,287 10,774
12/31/1997 7,020 11,611 9,790
3/31/1998 7,650 13,231 10,810
6/30/1998 6,610 13,667 10,407
9/30/1998 6,730 12,308 8,772
12/31/1998 5,810 14,929 9,009
3/31/1999 5,240 15,673 9,077
6/30/1999 5,740 16,778 10,894
9/30/1999 6,499 15,730 9,953
12/31/1999 5,602 18,070 11,078
3/31/2000 4,611 18,485 9,667
6/30/2000 4,797 17,994 8,177
9/30/2000 4,323 17,820 7,495
12/31/2000 4,446 16,425 9,114
3/31/2001 4,333 14,478 8,547
6/30/2001 4,890 15,325 9,414
9/30/2001 5,179 13,076 8,265
12/31/2001 5,024 14,473 9,206
3/31/2002 6,603 14,513 10,169
6/30/2002 6,819 12,569 9,899
9/30/2002 6,541 10,397 7,581
12/31/2002 7,314 11,274 8,497
3/31/2003 6,272 10,919 7,830
6/30/2003 7,139 12,600 8,848
9/30/2003 8,202 12,934 9,350
12/31/2003 10,306 14,508 11,450
3/31/2004 10,255 14,754 11,189
6/30/2004 8,129 15,008 11,409
9/30/2004 9,532 14,728 11,749
12/31/2004 8,841 16,087 12,686
3/31/2005 8,243 15,742 12,846
6/30/2005 8,057 15,957 11,566
9/30/2005 9,553 16,532 11,721
12/31/2005 10,688 16,877 12,958
3/31/2006 12,607 17,588 13,841
6/30/2006 12,266 17,334 13,697
9/30/2006 11,338 18,316 13,543
12/31/2006 12,978 19,543 14,997
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/29/97)
- --------------------------------------------------------------------------------
PRECIOUS METALS FUND 21.43% 20.90% 2.76%
S&P 500 INDEX 15.79% 6.19% 7.24%
S&P 500 MATERIALS INDEX 18.98% 13.00% 6.74%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
MATERIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Goldcorp, Inc. 14.5%
Newmont Mining Corp. 10.1%
Freeport-McMoRan Copper & Gold, Inc. -- Class B 8.2%
Barrick Gold Corp. 6.1%
Agnico-Eagle Mines Ltd. 5.8%
AngloGold Ashanti Ltd. -- SP ADR 5.0%
Yamana Gold, Inc. 3.8%
Gold Fields Ltd. -- SP ADR 3.7%
Pan American Silver Corp. 3.3%
Coeur d'Alene Mines Corp. 3.2%
- --------------------------------------------------------------------------------
Top Ten Total 63.7%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
48 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED)
- --------------------------------------------------------------------------------
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
("REIT").
INCEPTION: October 1, 2001
Since the end of 1999, real estate investment trusts (REITs) have easily
outperformed the broader stock market and continued to surpass it in 2006.
REITs, as measured by the S&P REIT Composite Index, gained 35.78% during the
year while the S&P 500 Index rose 15.79%.
Despite incremental Fed Funds rate increases during the year, growth in the
economy and a high degree of acquisition activity helped this industry.
Larger-cap stocks generally outperformed their smaller cap brethren in this
sector, hurting fund performance compared to a purely cap-weighted index. Rydex
Real Estate Fund gained 30.72% for the year vs. the S&P 500 Index.
CUMULATIVE FUND PERFORMANCE
OCTOBER 1, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P REIT
REAL COMPOSITE S&P 500
DATE ESTATE FUND INDEX* INDEX
10/1/2001 10,000 10,000 10,000
10/31/2001 9,708 9,691 10,214
11/30/2001 10,208 10,168 10,998
12/31/2001 10,409 10,312 11,094
1/31/2002 10,284 10,295 10,932
2/28/2002 10,401 10,453 10,721
3/31/2002 10,975 11,005 11,124
4/30/2002 10,979 11,041 10,450
5/31/2002 11,100 11,123 10,373
6/30/2002 11,338 11,350 9,634
7/31/2002 10,757 10,736 8,883
8/31/2002 10,733 10,666 8,942
9/30/2002 10,276 10,161 7,970
10/31/2002 9,782 9,633 8,671
11/30/2002 10,231 10,034 9,182
12/31/2002 10,293 10,028 8,642
1/31/2003 9,963 9,693 8,416
2/28/2003 10,062 9,749 8,289
3/31/2003 10,215 9,876 8,370
4/30/2003 10,623 10,264 9,059
5/31/2003 11,122 10,815 9,537
6/30/2003 11,332 11,046 9,658
7/31/2003 11,914 11,583 9,829
8/31/2003 11,910 11,588 10,020
9/30/2003 12,280 11,895 9,914
10/31/2003 12,490 12,053 10,475
11/30/2003 13,019 12,498 10,567
12/31/2003 13,413 12,783 11,121
1/31/2004 13,923 13,296 11,325
2/29/2004 14,149 13,489 11,483
3/31/2004 14,956 14,184 11,309
4/30/2004 12,796 12,037 11,132
5/31/2004 13,683 12,855 11,285
6/30/2004 14,118 13,164 11,504
7/31/2004 14,118 13,147 11,123
8/31/2004 15,204 14,163 11,168
9/30/2004 15,198 14,065 11,289
10/31/2004 15,922 14,785 11,462
11/30/2004 16,610 15,342 11,926
12/31/2004 17,375 15,951 12,331
1/31/2005 15,995 14,547 12,031
2/28/2005 16,361 14,948 12,284
3/31/2005 16,004 14,588 12,066
4/30/2005 16,722 15,367 11,838
5/31/2005 17,298 15,843 12,214
6/30/2005 18,180 16,515 12,232
7/31/2005 19,231 17,646 12,686
8/31/2005 18,477 16,903 12,571
9/30/2005 18,488 16,908 12,672
10/31/2005 18,021 16,486 12,461
11/30/2005 18,724 17,093 12,933
12/31/2005 18,617 16,896 12,937
1/31/2006 19,883 18,143 13,280
2/28/2006 20,193 18,464 13,316
3/31/2006 21,209 19,258 13,481
4/30/2006 20,493 18,494 13,662
5/31/2006 19,786 17,920 13,269
6/30/2006 20,687 18,715 13,287
7/31/2006 21,163 19,323 13,369
8/31/2006 22,004 19,937 13,687
9/30/2006 22,355 20,227 14,040
10/31/2006 23,708 21,472 14,497
11/30/2006 24,637 22,429 14,773
12/31/2006 24,337 21,955 14,980
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (10/01/01)
- --------------------------------------------------------------------------------
REAL ESTATE FUND 30.72% 18.51% 18.46%
S&P 500 INDEX 15.79% 6.19% 8.00%
S&P REIT COMPOSITE INDEX 35.78% 23.17% 23.14%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P
REIT COMPOSITE INDEX ARE UNMANGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 MANAGEMENT & DEVELOPMENT 6%
REAL ESTATE INVESTMENT TRUSTS 94%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Simon Property Group, Inc. 2.6%
Equity Office Properties Trust 2.3%
Vornado Realty Trust 2.3%
Public Storage, Inc. 2.2%
ProLogis 2.1%
Equity Residential 2.0%
Boston Properties, Inc. 1.9%
General Growth Properties, Inc. 1.9%
Host Hotels and Resorts, Inc. 1.9%
Archstone-Smith Trust 1.9%
- --------------------------------------------------------------------------------
Top Ten Total 21.1%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 49
PERFORMANCE REPORTS AND 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.
INCEPTION: July 23, 2001
Despite falling unemployment rates, consumer confidence remained volatile
throughout the year, but started to show signs of improvement toward year-end.
While retail sales growth remained positive for most of the year, growth rates
were lower than last year. Rydex Retailing Fund, up 10.08%, underperformed the
S&P 500 Index (+15.79%). Catalog retail, department stores, automotive retail,
and drug retail led the gainers. Negative performers included Internet retail
and distributors.
CUMULATIVE FUND PERFORMANCE:
JULY 23, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
RETAILING S&P 500 CONSUMER S&P 500
DATE FUND DISCRETIONARY INDEX* INDEX
7/23/2001 10,000 10,000 10,000
7/31/2001 10,224 10,306 10,171
8/31/2001 9,400 9,211 9,534
9/30/2001 8,412 8,042 8,764
10/31/2001 8,628 8,225 8,932
11/30/2001 9,892 9,337 9,617
12/31/2001 10,260 9,561 9,701
1/31/2002 10,420 9,476 9,559
2/28/2002 10,408 9,589 9,375
3/31/2002 10,480 9,762 9,728
4/30/2002 10,300 9,364 9,138
5/31/2002 10,112 9,341 9,070
6/30/2002 9,520 8,584 8,424
7/31/2002 8,344 7,574 7,768
8/31/2002 8,600 7,769 7,819
9/30/2002 7,833 7,096 6,969
10/31/2002 8,436 7,553 7,582
11/30/2002 8,780 7,919 8,029
12/31/2002 8,012 7,224 7,557
1/31/2003 7,696 6,986 7,359
2/28/2003 7,538 6,923 7,249
3/31/2003 7,783 7,109 7,319
4/30/2003 8,598 7,930 7,922
5/31/2003 8,992 8,330 8,339
6/30/2003 9,316 8,448 8,446
7/31/2003 9,798 8,629 8,594
8/31/2003 10,624 9,055 8,762
9/30/2003 9,958 8,621 8,669
10/31/2003 10,979 9,388 9,159
11/30/2003 11,146 9,468 9,240
12/31/2003 10,838 9,831 9,725
1/31/2004 10,775 9,750 9,903
2/29/2004 11,409 9,947 10,041
3/31/2004 11,434 9,932 9,889
4/30/2004 11,004 9,773 9,734
5/31/2004 11,179 9,838 9,868
6/30/2004 11,317 9,884 10,060
7/31/2004 10,658 9,488 9,727
8/31/2004 10,412 9,473 9,766
9/30/2004 10,639 9,747 9,872
10/31/2004 10,939 10,141 10,022
11/30/2004 11,529 10,541 10,428
12/31/2004 11,928 11,025 10,783
1/31/2005 11,637 10,564 10,520
2/28/2005 11,771 10,510 10,741
3/31/2005 12,075 10,374 10,551
4/30/2005 11,243 9,701 10,351
5/31/2005 12,223 10,264 10,680
6/30/2005 12,613 10,249 10,696
7/31/2005 13,297 10,821 11,093
8/31/2005 12,375 10,442 10,992
9/30/2005 11,867 10,136 11,081
10/31/2005 11,940 9,931 10,896
11/30/2005 12,653 10,308 11,309
12/31/2005 12,581 10,214 11,312
1/31/2006 12,924 10,389 11,612
2/28/2006 12,933 10,453 11,644
3/31/2006 13,308 10,489 11,788
4/30/2006 13,331 10,622 11,947
5/31/2006 12,807 10,450 11,603
6/30/2006 12,735 10,412 11,619
7/31/2006 12,080 10,059 11,690
8/31/2006 12,337 10,248 11,968
9/30/2006 13,241 10,904 12,277
10/31/2006 13,846 11,605 12,677
11/30/2006 13,792 11,720 12,918
12/31/2006 13,849 11,974 13,099
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (07/23/01)
- --------------------------------------------------------------------------------
RETAILING FUND 10.08% 6.18% 6.17%
S&P 500 INDEX 15.79% 6.19% 5.09%
S&P 500 CONSUMER DISCRETIONARY INDEX 18.64% 5.67% 4.41%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
CONSUMER DISCRETIONARY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
RETAILING FUND
OTHER 2%
SPECIALTY RETAIL 56%
MULTILINE RETAIL 19%
FOOD & STAPLES RETAILING 15%
INTERNET & CATALOG RETAIL 8%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Wal-Mart Stores, Inc. 5.8%
Home Depot, Inc. 4.1%
Lowe's Cos. Inc. 3.1%
Target Corp. 3.1%
Walgreen Co. 3.0%
Sears Holdings Corp. 2.3%
Costco Wholesale Corp. 2.2%
CVS Corp. 2.1%
Kohl's Corp. 2.1%
Best Buy Co., Inc. 2.0%
- --------------------------------------------------------------------------------
Top Ten Total 29.8%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
50 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: May 2, 2001
Volatility, both at market level and intra sector, hit a multi-year low level
during 2006. In terms of both breadth and performance, the technology sector was
one of the worst performers. During the market slide between mid-April and
mid-July, the sector lost about 20% and then rebounded about 20% when the market
recovered later. Hardware and software stocks both returned double digits, while
semiconductors and semiconductor equipment were flat. Amid this environment,
Rydex Technology Fund returned 5.89% for the year.
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
TECHNOLOGY S&P 500 INFORMATION S&P 500
DATE FUND TECHNOLOGY INDEX* INDEX
5/2/2001 10,000 10,000 10,000
5/31/2001 8,972 9,007 9,923
6/30/2001 8,896 9,111 9,682
7/31/2001 8,220 8,569 9,587
8/31/2001 7,112 7,487 8,986
9/30/2001 5,640 6,014 8,261
10/31/2001 6,524 7,059 8,418
11/30/2001 7,596 8,262 9,064
12/31/2001 7,444 8,100 9,143
1/31/2002 7,408 8,211 9,010
2/28/2002 6,432 7,058 8,836
3/31/2002 6,820 7,495 9,169
4/30/2002 6,032 6,566 8,613
5/31/2002 5,776 6,312 8,549
6/30/2002 4,992 5,543 7,940
7/31/2002 4,500 5,081 7,321
8/31/2002 4,480 5,018 7,369
9/30/2002 3,651 4,137 6,568
10/31/2002 4,524 5,059 7,147
11/30/2002 5,419 5,910 7,567
12/31/2002 4,533 5,056 7,123
1/31/2003 4,482 4,971 6,936
2/28/2003 4,542 5,091 6,832
3/31/2003 4,496 5,029 6,898
4/30/2003 4,962 5,482 7,467
5/31/2003 5,707 5,941 7,860
6/30/2003 5,725 5,937 7,960
7/31/2003 6,127 6,265 8,101
8/31/2003 6,785 6,621 8,259
9/30/2003 6,506 6,576 8,171
10/31/2003 7,170 7,110 8,633
11/30/2003 7,307 7,220 8,709
12/31/2003 7,312 7,410 9,166
1/31/2004 7,705 7,668 9,334
2/29/2004 7,524 7,416 9,464
3/31/2004 7,391 7,217 9,321
4/30/2004 6,855 6,880 9,175
5/31/2004 7,239 7,219 9,300
6/30/2004 7,361 7,417 9,481
7/31/2004 6,580 6,857 9,168
8/31/2004 6,207 6,487 9,205
9/30/2004 6,454 6,675 9,304
10/31/2004 6,821 7,024 9,446
11/30/2004 7,183 7,361 9,829
12/31/2004 7,396 7,569 10,163
1/31/2005 6,920 7,171 9,915
2/28/2005 6,969 7,170 10,124
3/31/2005 6,794 7,003 9,945
4/30/2005 6,514 6,726 9,756
5/31/2005 7,139 7,243 10,067
6/30/2005 7,018 7,115 10,081
7/31/2005 7,462 7,532 10,456
8/31/2005 7,374 7,509 10,360
9/30/2005 7,468 7,528 10,444
10/31/2005 7,380 7,363 10,270
11/30/2005 7,747 7,829 10,659
12/31/2005 7,626 7,597 10,662
1/31/2006 7,994 7,840 10,945
2/28/2006 7,928 7,762 10,974
3/31/2006 8,114 7,902 11,111
4/30/2006 8,092 7,811 11,260
5/31/2006 7,500 7,251 10,936
6/30/2006 7,342 7,129 10,951
7/31/2006 6,991 6,860 11,018
8/31/2006 7,484 7,427 11,281
9/30/2006 7,714 7,723 11,571
10/31/2006 7,972 8,041 11,948
11/30/2006 8,191 8,295 12,176
12/31/2006 8,076 8,182 12,346
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
TECHNOLOGY FUND 5.89% 1.64% -3.70%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -3.04%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
INFORMATION TECHNOLOGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
TECHNOLOGY FUND
OTHER 1%
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 23%
SOFTWARE 19%
COMPUTERS & PERIPHERALS 14%
IT SERVICES 13%
ELECTRONIC EQUIPMENT & INSTRUMENTS 12%
COMMUNICATIONS EQUIPMENT 11%
INTERNET SOFTWARE & SERVICES 7%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Microsoft Corp. 2.8%
Cisco Systems, Inc. 2.1%
Google, Inc. -- Class A 2.1%
International Business Machines Corp. 2.1%
Intel Corp. 2.0%
Apple Computer, Inc. 1.8%
Oracle Corp. 1.8%
Hewlett-Packard Co. 1.7%
Dell Inc. 1.6%
Qualcomm, Inc. 1.6%
- --------------------------------------------------------------------------------
Top Ten Total 19.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 51
PERFORMANCE REPORTS AND 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.
INCEPTION: July 27, 2001
In contrast to 2005, the telecommunications sector was the best-performing
sector in 2006. One of the sector's three industries, diversified
telecommunication services, generated a 45% return during the year; the wireless
sector returned 24%. The third industry, diversified telecommunication services,
saw a wave of merger & acquisition as companies fought for market share.
Rydex Telecommunications Fund returned 19.51% for the year, besting the S&P 500
Index (+15.79%).
CUMULATIVE FUND PERFORMANCE:
JULY 27, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500
TELECOMMUNICATIONS S&P 500 TELECOMMUNICATION
DATE FUND INDEX SERVICES INDEX*
7/27/2001 10,000 10,000 10,000
7/31/2001 9,960 10,045 9,837
8/31/2001 8,932 9,416 8,924
9/30/2001 8,804 8,656 9,430
10/31/2001 8,524 8,821 8,154
11/30/2001 9,092 9,498 8,301
12/31/2001 9,024 9,581 8,440
1/31/2002 8,180 9,441 7,753
2/28/2002 7,292 9,259 7,253
3/31/2002 7,216 9,607 7,097
4/30/2002 6,076 9,025 5,965
5/31/2002 5,936 8,958 6,182
6/30/2002 5,176 8,320 5,406
7/31/2002 4,576 7,672 4,703
8/31/2002 4,668 7,722 4,620
9/30/2002 3,948 6,883 3,966
10/31/2002 5,148 7,489 5,230
11/30/2002 6,188 7,929 5,858
12/31/2002 5,452 7,464 5,411
1/31/2003 5,420 7,268 5,033
2/28/2003 5,184 7,159 4,612
3/31/2003 5,096 7,228 4,595
4/30/2003 5,588 7,824 5,008
5/31/2003 6,188 8,236 5,344
6/30/2003 6,216 8,341 5,535
7/31/2003 6,232 8,488 5,196
8/31/2003 6,488 8,654 5,196
9/30/2003 6,512 8,562 4,976
10/31/2003 6,992 9,046 5,200
11/30/2003 7,068 9,126 5,135
12/31/2003 7,288 9,604 5,589
1/31/2004 8,072 9,781 5,795
2/29/2004 8,220 9,917 5,910
3/31/2004 7,936 9,767 5,821
4/30/2004 7,372 9,614 5,788
5/31/2004 7,444 9,746 5,550
6/30/2004 7,720 9,935 5,718
7/31/2004 7,204 9,606 5,897
8/31/2004 7,120 9,645 5,964
9/30/2004 7,392 9,750 6,034
10/31/2004 7,676 9,899 6,088
11/30/2004 8,072 10,299 6,329
12/31/2004 8,212 10,650 6,482
1/31/2005 7,640 10,390 5,989
2/28/2005 7,588 10,609 6,028
3/31/2005 7,376 10,421 5,924
4/30/2005 7,284 10,223 5,932
5/31/2005 7,700 10,548 6,003
6/30/2005 7,800 10,563 6,080
7/31/2005 8,256 10,956 6,270
8/31/2005 8,232 10,856 6,052
9/30/2005 8,405 10,944 5,960
10/31/2005 8,135 10,762 5,836
11/30/2005 8,453 11,169 6,123
12/31/2005 8,308 11,173 5,895
1/31/2006 8,771 11,468 6,087
2/28/2006 8,944 11,500 6,486
3/31/2006 9,465 11,643 6,684
4/30/2006 9,403 11,799 6,490
5/31/2006 8,824 11,459 6,294
6/30/2006 8,811 11,475 6,590
7/31/2006 8,493 11,546 6,868
8/31/2006 9,023 11,821 6,946
9/30/2006 9,306 12,125 7,224
10/31/2006 9,558 12,520 7,474
11/30/2006 9,747 12,758 7,450
12/31/2006 9,929 12,937 7,789
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (07/27/01)
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND 19.51% 1.93% -0.13%
S&P 500 INDEX 15.79% 6.19% 4.86%
S&P 500 TELECOMMUNICATION SERVICES INDEX 36.74% 1.82% -1.36%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
TELECOMMUNICATION SERVICES INDEX ARE UNMANAGED STOCK INDEX AND, UNLIKE THE FUND,
HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED
RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED
DIVIDENDS AND CAPITAL GAINS.
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 49%
DIVERSIFIED TELECOMMUNICATION SERVICES 28%
WIRELESS TELECOMMUNICATION SERVICES 23%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Cisco Systems, Inc. 7.3%
Vodafone Group, Inc. -- SP ADR 6.9%
AT&T, Inc. 6.4%
Verizon Communications, Inc. 5.4%
BellSouth Corp. 5.1%
Nokia OYJ -- SP ADR 4.8%
Alcatel SA -- SP ADR 4.5%
Qualcomm, Inc. 4.2%
Sprint Nextel Corp. 4.0%
Motorola, Inc. 3.3%
- --------------------------------------------------------------------------------
Top Ten Total 51.9%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
52 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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.
INCEPTION: June 11, 2001
The transportation industry underperformed the S&P 500 Index in 2006, negatively
impacted from the poor performance of airline stocks. Fuel costs, high capacity
and mounting labor costs drove stock prices down for legacy air carriers such as
United and Continental.
Railroad stocks were among the best performers in the group. Solid import
volumes helped offset weakness in other freight in need of transportation.
Pricing power remained solid and revenues per freight car showed continued
year-over-year growth.
Rydex Transportation Fund was up 7.38% for the year, though--like the industry
as a whole--it underperformed the S&P 500 Index.
CUMULATIVE FUND PERFORMANCE:
JUNE 11, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500
TRANSPORTATION S&P 500 INDUSTRIALS
DATE FUND INDEX INDEX*
6/11/2001 10,000 10,000 10,000
6/30/2001 10,008 9,766 9,810
7/31/2001 10,184 9,670 9,473
8/31/2001 9,760 9,064 9,056
9/30/2001 8,112 8,332 7,934
10/31/2001 8,392 8,491 8,091
11/30/2001 9,448 9,143 8,838
12/31/2001 9,760 9,223 9,224
1/31/2002 10,312 9,088 8,735
2/28/2002 10,412 8,913 8,937
3/31/2002 10,584 9,248 9,071
4/30/2002 9,704 8,687 8,221
5/31/2002 9,820 8,623 8,233
6/30/2002 9,748 8,009 7,750
7/31/2002 8,652 7,385 7,418
8/31/2002 8,404 7,433 7,248
9/30/2002 8,004 6,625 6,366
10/31/2002 8,484 7,209 6,607
11/30/2002 8,780 7,633 7,018
12/31/2002 8,620 7,184 6,681
1/31/2003 7,940 6,996 6,355
2/28/2003 7,608 6,891 6,239
3/31/2003 7,860 6,958 6,315
4/30/2003 8,704 7,531 6,984
5/31/2003 8,972 7,928 7,166
6/30/2003 8,904 8,029 7,280
7/31/2003 9,316 8,171 7,488
8/31/2003 9,568 8,330 7,794
9/30/2003 9,508 8,242 7,576
10/31/2003 10,204 8,708 8,000
11/30/2003 10,200 8,785 8,109
12/31/2003 10,388 9,245 8,668
1/31/2004 9,900 9,415 8,761
2/29/2004 9,888 9,546 8,664
3/31/2004 9,936 9,402 8,544
4/30/2004 10,004 9,254 8,528
5/31/2004 10,220 9,381 8,719
6/30/2004 11,000 9,564 9,225
7/31/2004 10,444 9,247 9,030
8/31/2004 10,440 9,285 8,998
9/30/2004 10,838 9,385 9,180
10/31/2004 11,700 9,528 9,278
11/30/2004 12,337 9,914 9,807
12/31/2004 12,776 10,251 10,050
1/31/2005 11,927 10,001 9,778
2/28/2005 12,102 10,212 9,821
3/31/2005 11,931 10,031 9,846
4/30/2005 11,005 9,841 9,545
5/31/2005 11,663 10,154 9,757
6/30/2005 11,289 10,168 9,473
7/31/2005 12,224 10,547 9,786
8/31/2005 11,793 10,450 9,548
9/30/2005 12,140 10,535 9,655
10/31/2005 12,616 10,359 9,544
11/30/2005 13,605 10,751 10,074
12/31/2005 13,860 10,755 10,086
1/31/2006 14,514 11,040 10,040
2/28/2006 14,628 11,070 10,278
3/31/2006 15,125 11,207 10,743
4/30/2006 15,278 11,358 10,958
5/31/2006 15,155 11,031 10,765
6/30/2006 16,008 11,046 10,693
7/31/2006 14,081 11,114 10,126
8/31/2006 13,677 11,379 10,244
9/30/2006 14,174 11,672 10,631
10/31/2006 15,112 12,052 10,874
11/30/2006 15,346 12,281 11,107
12/31/2006 14,883 12,454 11,198
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (06/11/01)
- --------------------------------------------------------------------------------
TRANSPORTATION FUND 7.38% 8.81% 7.42%
S&P 500 INDEX 15.79% 6.19% 4.03%
S&P 500 INDUSTRIALS INDEX 13.29% 5.90% 3.94%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
INDUSTRIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
TRANSPORTATION
FUND
OTHER 3%
ROAD & RAIL 46%
AIR FREIGHT & LOGISTICS 26%
AIRLINES 25%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
United Parcel Service, Inc. -- Class B 8.8%
FedEx Corp. 7.0%
Burlington Northern Santa Fe Corp. 6.3%
Union Pacific Corp. 6.2%
Norfolk Southern Corp. 6.0%
CSX Corp. 4.9%
Southwest Airlines Co. 4.1%
AMR Corp. 3.5%
Expeditors International Washington, Inc. 3.4%
UAL Corp. 3.4%
- --------------------------------------------------------------------------------
Top Ten Total 53.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 53
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
UTILITIES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that operate
public utiltities.
INCEPTION: May 2, 2001
Over the course of 2006, a more benign interest rate environment became apparent
and some concerns over a slowdown in economic growth arose. These conditions
benefited utility stocks, which typically have higher dividend yields than other
equities and are viewed as a safe haven in times of market uncertainty.
The regulatory front improved with the repeal of the Public Utility Holding
Company Act, leading to some expectation that it would promote further industry
consolidation. Still, there were some stumbling blocks. The planned mergers of
Exelon and Public Service Enterprise Group and of FPL Group and Constellation
Energy were terminated. These events raised questions regarding the successful
navigation of the regulatory approval process. Additionally, there was heated
political backlash in states like Maryland and Illinois due to proposed (and
rather sharp) rate hikes that were associated with the expiration of pricing
freezes.
The utilities sector posted a solid performance against the broader S&P 500
Index. Likewise, Rydex Utilities Fund performed well, gaining 20.96% vs. the S&P
500 Index's 15.79%.
CUMULATIVE FUND PERFORMANCE:
MAY 2, 2001 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE UTILITIES S&P 500 S&P 500
FUND INDEX UTILITIES INDEX*
5/2/2001 10,000 10,000 10,000
5/31/2001 9,904 9,923 9,888
6/30/2001 9,124 9,682 9,084
7/31/2001 8,672 9,587 8,656
8/31/2001 8,460 8,986 8,382
9/30/2001 7,548 8,261 7,395
10/31/2001 7,500 8,418 7,360
11/30/2001 7,072 9,064 6,932
12/31/2001 7,292 9,143 7,091
1/31/2002 6,736 9,010 6,669
2/28/2002 6,528 8,836 6,491
3/31/2002 7,276 9,169 7,263
4/30/2002 7,144 8,613 7,118
5/31/2002 6,516 8,549 6,454
6/30/2002 6,032 7,940 5,975
7/31/2002 5,156 7,321 5,130
8/31/2002 5,336 7,369 5,288
9/30/2002 4,674 6,568 4,589
10/31/2002 4,646 7,147 4,490
11/30/2002 4,778 7,567 4,581
12/31/2002 4,898 7,123 4,752
1/31/2003 4,774 6,936 4,593
2/28/2003 4,562 6,832 4,349
3/31/2003 4,798 6,898 4,549
4/30/2003 5,254 7,467 4,934
5/31/2003 5,803 7,860 5,419
6/30/2003 5,791 7,960 5,466
7/31/2003 5,475 8,101 5,093
8/31/2003 5,563 8,259 5,165
9/30/2003 5,785 8,171 5,383
10/31/2003 5,867 8,633 5,427
11/30/2003 5,896 8,709 5,407
12/31/2003 6,142 9,166 5,754
1/31/2004 6,257 9,334 5,861
2/29/2004 6,339 9,464 5,949
3/31/2004 6,368 9,321 5,993
4/30/2004 6,175 9,175 5,759
5/31/2004 6,270 9,300 5,786
6/30/2004 6,376 9,481 5,857
7/31/2004 6,331 9,168 5,940
8/31/2004 6,549 9,205 6,155
9/30/2004 6,607 9,304 6,193
10/31/2004 6,761 9,446 6,480
11/30/2004 7,048 9,829 6,724
12/31/2004 7,206 10,163 6,882
1/31/2005 7,268 9,915 7,014
2/28/2005 7,397 10,124 7,132
3/31/2005 7,426 9,945 7,188
4/30/2005 7,488 9,756 7,398
5/31/2005 7,717 10,067 7,383
6/30/2005 8,107 10,081 7,788
7/31/2005 8,307 10,456 7,948
8/31/2005 8,328 10,360 7,984
9/30/2005 8,585 10,444 8,284
10/31/2005 8,000 10,270 7,751
11/30/2005 7,933 10,659 7,698
12/31/2005 7,967 10,662 7,760
1/31/2006 8,188 10,945 7,942
2/28/2006 8,263 10,974 7,995
3/31/2006 8,004 11,111 7,602
4/30/2006 8,121 11,260 7,709
5/31/2006 8,176 10,936 7,796
6/30/2006 8,368 10,951 7,962
7/31/2006 8,789 11,018 8,345
8/31/2006 8,994 11,281 8,537
9/30/2006 8,797 11,571 8,376
10/31/2006 9,290 11,948 8,822
11/30/2006 9,590 12,176 8,987
12/31/2006 9,637 12,346 9,070
* DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF
DIVIDENDS ON SECURITIES IN THE INDEX.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE FIVE INCEPTION
YEAR YEAR (05/02/01)
- --------------------------------------------------------------------------------
UTILITIES FUND 20.96% 5.74% -0.65%
S&P 500 INDEX 15.79% 6.19% 3.79%
S&P 500 UTILITIES INDEX 20.99% 9.20% 2.12%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500
UTILITIES INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
UTILITIES
FUND
OTHER 1%
ELECTRIC UTILITIES 39%
MULTI-UTILITIES 34%
GAS UTILITIES 15%
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 11%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Duke Energy Corp. 3.4%
Exelon Corp. 3.2%
Dominion Resources, Inc. 2.8%
Southern Co. 2.7%
FPL Group, Inc. 2.6%
Entergy Corp. 2.4%
TXU Corp. 2.3%
FirstEnergy Corp. 2.3%
American Electric Power Co., Inc. 2.2%
PG&E Corp. 2.1%
- --------------------------------------------------------------------------------
Top Ten Total 26.0%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
54 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
NOVA FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 66.9%
FINANCIALS 14.7%
DIVERSIFIED FINANCIALS 4.4%
Citigroup, Inc. 41,920 $ 2,334,944
Bank of America Corp. 38,390 2,049,642
J.P. Morgan Chase & Co. 32,090 1,549,947
-------------
TOTAL DIVERSIFIED FINANCIALS 5,934,533
-------------
INSURANCE 3.9%
American International Group, Inc. 13,180 944,479
MetLife, Inc. 11,420 673,894
Hartford Financial Services Group,
Inc.+ 6,050 564,525
ACE Ltd. 8,550 517,874
Lincoln National Corp. 7,620 505,968
Genworth Financial, Inc. --
Class A 14,120 483,045
Ambac Financial Group, Inc. 4,810 428,427
Cincinnati Financial Corp. 8,880 402,353
Allstate Corp.+ 5,910 384,800
Loews Corp. 9,110 377,792
-------------
TOTAL INSURANCE 5,283,157
-------------
BANKS 2.8%
Wells Fargo & Co.+ 33,240 1,182,014
Wachovia Corp. 19,961 1,136,779
PNC Financial Services Group,
Inc.+ 7,040 521,242
KeyCorp 12,280 467,008
Zions Bancorporation 3,190 262,984
Regions Financial Corp. 1,970 73,678
U.S. Bancorp+ 1,960 70,932
-------------
TOTAL BANKS 3,714,637
-------------
CAPITAL MARKETS 1.9%
Charles Schwab Corp. 26,640 515,217
Mellon Financial Corp.+ 11,720 493,998
Ameriprise Financial, Inc. 8,290 451,805
E*Trade Financial Corp.* 18,230 408,717
Morgan Stanley+ 2,970 241,847
Goldman Sachs Group, Inc.+ 1,200 239,220
Merrill Lynch & Co., Inc.+ 2,260 210,406
-------------
TOTAL CAPITAL MARKETS 2,561,210
-------------
THRIFTS & MORTGAGE FINANCE 0.9%
Washington Mutual, Inc.+ 9,060 412,140
MGIC Investment Corp.+ 6,560 410,262
Countrywide Financial Corp.+ 7,690 326,441
Fannie Mae+ 870 51,669
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,200,512
-------------
CONSUMER FINANCE 0.5%
Capital One Financial Corp. 7,421 570,081
American Express Co. 2,530 153,495
-------------
TOTAL CONSUMER FINANCE 723,576
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
REAL ESTATE 0.3%
Boston Properties, Inc.+ 3,820 $ 427,382
-------------
TOTAL REAL ESTATE 427,382
-------------
TOTAL FINANCIALS 19,845,007
-------------
INFORMATION TECHNOLOGY 10.3%
COMPUTERS & PERIPHERALS 2.4%
International Business Machines
Corp. 14,560 1,414,504
Hewlett-Packard Co. 28,220 1,162,382
NCR Corp.*+ 5,843 249,847
Apple Computer, Inc.* 2,090 177,315
Dell, Inc.*+ 2,980 74,768
SanDisk Corp.*+ 1,480 63,684
Lexmark International, Inc.* 590 43,188
-------------
TOTAL COMPUTERS & PERIPHERALS 3,185,688
-------------
SOFTWARE 2.1%
Microsoft Corp. 48,560 1,450,002
Oracle Corp.* 41,160 705,482
Compuware Corp.* 37,840 315,207
Symantec Corp.*+ 14,560 303,576
Citrix Systems, Inc.*+ 2,690 72,765
-------------
TOTAL SOFTWARE 2,847,032
-------------
COMMUNICATIONS EQUIPMENT 1.9%
Cisco Systems, Inc.* 29,640 810,061
Motorola, Inc.+ 31,740 652,574
Avaya, Inc.*+ 31,010 433,520
Tellabs, Inc.* 38,426 394,251
Comverse Technology, Inc.*+ 6,270 132,360
Qualcomm, Inc. 2,290 86,539
-------------
TOTAL COMMUNICATIONS EQUIPMENT 2,509,305
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.6%
Intel Corp.* 23,630 478,507
Micron Technology, Inc.*+ 29,580 412,937
Novellus Systems, Inc.*+ 11,800 406,156
Teradyne, Inc.*+ 25,530 381,929
National Semiconductor Corp.+ 16,720 379,544
Altera Corp.* 7,300 143,664
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 2,202,737
-------------
IT CONSULTING & SERVICES 1.1%
First Data Corp.+ 19,830 506,062
Sabre Holdings Corp. 13,730 437,850
Convergys Corp.* 15,730 374,059
Electronic Data Systems Corp.+ 6,920 190,646
-------------
TOTAL IT CONSULTING & SERVICES 1,508,617
-------------
INTERNET SOFTWARE & SERVICES 0.5%
VeriSign, Inc.* 15,730 378,306
Google, Inc. -- Class A*+ 750 345,360
-------------
TOTAL INTERNET SOFTWARE & SERVICES 723,666
-------------
OFFICE ELECTRONICS 0.4%
Xerox Corp.* 28,460 482,397
-------------
TOTAL OFFICE ELECTRONICS 482,397
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 55
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
NOVA FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3%
Symbol Technologies, Inc. 25,270 $ 377,534
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 377,534
-------------
TOTAL INFORMATION TECHNOLOGY 13,836,976
-------------
HEALTH CARE 8.0%
PHARMACEUTICALS 4.1%
Pfizer, Inc. 63,960 1,656,564
Johnson & Johnson, Inc. 15,580 1,028,592
Wyeth 13,070 665,524
Merck & Co., Inc.+ 13,070 569,852
Watson Pharmaceuticals, Inc.* 14,480 376,914
Barr Pharmaceuticals, Inc.*+ 7,350 368,382
Bristol-Myers Squibb Co. 10,070 265,042
Forest Laboratories, Inc.*+ 3,820 193,292
Mylan Laboratories, Inc.+ 9,610 191,816
Abbott Laboratories 3,460 168,537
Eli Lilly & Co. 770 40,117
-------------
TOTAL PHARMACEUTICALS 5,524,632
-------------
HEALTH CARE PROVIDERS & SERVICES 2.2%
UnitedHealth Group, Inc. 9,790 526,017
Aetna, Inc. 11,760 507,797
Quest Diagnostics, Inc. 7,830 414,990
AmerisourceBergen Corp. 9,140 410,934
Humana, Inc.* 7,050 389,935
Coventry Health Care, Inc.*+ 7,220 361,361
CIGNA Corp. 1,370 180,251
Laboratory Corporation of
America Holdings*+ 1,980 145,471
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,936,756
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.0%
Boston Scientific Corp.* 21,070 361,982
Zimmer Holdings, Inc.*+ 4,170 326,845
Medtronic, Inc.+ 5,180 277,182
Becton, Dickinson & Co. 3,220 225,883
Thermo Fisher Scientific, Inc.* 3,610 163,497
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,355,389
-------------
BIOTECHNOLOGY 0.7%
Amgen, Inc.* 12,910 881,882
Biogen Idec, Inc.* 1,850 91,001
-------------
TOTAL BIOTECHNOLOGY 972,883
-------------
TOTAL HEALTH CARE 10,789,660
-------------
CONSUMER DISCRETIONARY 7.2%
MEDIA 2.2%
Walt Disney Co.+ 25,380 869,772
Comcast Corp. -- Class A*+ 11,690 494,838
Omnicom Group, Inc.+ 4,620 482,975
Gannett Co., Inc. 7,560 457,078
Meredith Corp.+ 6,810 383,743
Time Warner, Inc.+ 11,354 247,290
-------------
TOTAL MEDIA 2,935,696
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SPECIALTY RETAIL 1.6%
TJX Cos., Inc.+ 15,490 $ 441,775
The Gap, Inc.+ 21,680 422,760
Sherwin-Williams Co.+ 6,470 411,362
Office Depot, Inc.* 10,416 397,579
OfficeMax, Inc. 6,380 316,767
Home Depot, Inc. 5,410 217,266
-------------
TOTAL SPECIALTY RETAIL 2,207,509
-------------
MULTILINE RETAIL 1.3%
Federated Department Stores, Inc. 12,530 477,769
Big Lots, Inc.*+ 16,980 389,181
Dillard's, Inc. -- Class A+ 10,330 361,240
J.C. Penney Co., Inc.+ 4,300 332,648
Kohl's Corp.* 2,790 190,920
Nordstrom, Inc.+ 290 14,309
-------------
TOTAL MULTILINE RETAIL 1,766,067
-------------
HOUSEHOLD DURABLES 0.9%
Lennar Corp. -- Class A+ 7,700 403,942
Stanley Works+ 7,560 380,193
Whirlpool Corp.+ 4,040 335,401
Black & Decker Corp.+ 420 33,587
-------------
TOTAL HOUSEHOLD DURABLES 1,153,123
-------------
HOTELS, RESTAURANTS & LEISURE 0.4%
Wyndham Worldwide Corp.* 7,620 243,992
McDonald's Corp. 3,160 140,083
Starwood Hotels & Resorts
Worldwide, Inc. 1,750 109,375
Darden Restaurants, Inc.+ 2,010 80,742
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 574,192
-------------
INTERNET & CATALOG RETAIL 0.3%
IAC/InterActiveCorp*+ 11,400 423,624
-------------
TOTAL INTERNET & CATALOG RETAIL 423,624
-------------
COMMERCIAL SERVICES & SUPPLIES 0.2%
Apollo Group, Inc. -- Class A*+ 7,750 302,017
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 302,017
-------------
AUTOMOBILES 0.2%
Harley-Davidson, Inc.+ 3,010 212,115
-------------
TOTAL AUTOMOBILES 212,115
-------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Mattel, Inc. 3,450 78,177
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 78,177
-------------
TEXTILES & APPAREL 0.0%
VF Corp. 700 57,456
-------------
TOTAL TEXTILES & APPAREL 57,456
-------------
TOTAL CONSUMER DISCRETIONARY 9,709,976
-------------
INDUSTRIALS 7.2%
INDUSTRIAL CONGLOMERATES 2.4%
General Electric Co. 62,540 2,327,113
Tyco International Ltd. 25,880 786,752
3M Co. 850 66,241
-------------
TOTAL INDUSTRIAL CONGLOMERATES 3,180,106
-------------
See Notes to Financial Statements.
56 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
NOVA FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE 1.7%
Lockheed Martin Corp. 6,410 $ 590,169
General Dynamics Corp. 7,550 561,342
Northrop Grumman Corp. 7,670 519,259
Raytheon Co. 6,380 336,864
United Technologies Corp. 2,650 165,678
Boeing Co. 1,620 143,921
-------------
TOTAL AEROSPACE & DEFENSE 2,317,233
-------------
MACHINERY 1.4%
Caterpillar, Inc.+ 10,390 637,219
Dover Corp. 8,620 422,552
Eaton Corp.+ 5,190 389,977
Cummins, Inc.+ 3,196 377,703
Terex Corp.*+ 660 42,623
-------------
TOTAL MACHINERY 1,870,074
-------------
ROAD & RAIL 0.7%
Union Pacific Corp. 5,790 532,796
CSX Corp. 12,920 444,835
-------------
TOTAL ROAD & RAIL 977,631
-------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Waste Management, Inc. 9,070 333,504
Allied Waste Industries, Inc.*+ 20,780 255,386
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 588,890
-------------
AIR FREIGHT & COURIERS 0.4%
FedEx Corp.+ 2,510 272,636
United Parcel Service, Inc. --
Class B+ 3,010 225,690
-------------
TOTAL AIR FREIGHT & COURIERS 498,326
-------------
ELECTRICAL EQUIPMENT 0.2%
Cooper Industries Ltd. -- Class A 2,400 217,032
-------------
TOTAL ELECTRICAL EQUIPMENT 217,032
-------------
BUILDING PRODUCTS 0.0%
Masco Corp. 360 10,753
-------------
TOTAL BUILDING PRODUCTS 10,753
-------------
TOTAL INDUSTRIALS 9,660,045
-------------
ENERGY 6.6%
OIL & GAS 5.6%
Exxon Mobil Corp.+ 41,870 3,208,498
ConocoPhillips 11,740 844,693
Chevron Corp. 10,602 779,565
Occidental Petroleum Corp. 13,060 637,720
Marathon Oil Corp. 6,200 573,500
Valero Energy Corp. 10,630 543,831
El Paso Corp.+ 29,000 443,120
Anadarko Petroleum Corp. 9,320 405,606
Kinder Morgan, Inc. 90 9,518
-------------
TOTAL OIL & GAS 7,446,051
-------------
ENERGY EQUIPMENT & SERVICES 1.0%
Halliburton Co. 17,790 552,379
National-Oilwell Varco, Inc.* 6,470 395,835
Weatherford International Ltd.* 5,660 236,531
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Schlumberger Ltd.+ 3,130 $ 197,691
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,382,436
-------------
TOTAL ENERGY 8,828,487
-------------
CONSUMER STAPLES 6.1%
TOBACCO 1.5%
Altria Group, Inc.+ 18,020 1,546,476
Reynolds American, Inc.+ 6,730 440,613
-------------
TOTAL TOBACCO 1,987,089
-------------
BEVERAGES 1.5%
Molson Coors Brewing Co. --
Class B+ 5,280 403,603
PepsiCo, Inc. 6,150 384,682
Pepsi Bottling Group, Inc.+ 11,850 366,283
Brown-Forman Corp. -- Class B 4,890 323,914
Coca-Cola Co.+ 6,710 323,758
Anheuser-Busch Cos., Inc. 3,510 172,692
-------------
TOTAL BEVERAGES 1,974,932
-------------
HOUSEHOLD PRODUCTS 1.1%
Procter & Gamble Co. 22,810 1,465,999
-------------
TOTAL HOUSEHOLD PRODUCTS 1,465,999
-------------
FOOD & DRUG RETAILING 1.1%
Safeway, Inc.+ 14,610 504,922
Kroger Co.+ 21,140 487,700
Wal-Mart Stores, Inc. 10,190 470,574
-------------
TOTAL FOOD & DRUG RETAILING 1,463,196
-------------
FOOD PRODUCTS 0.9%
Archer-Daniels-Midland Co. 14,410 460,544
General Mills, Inc.+ 7,000 403,200
Campbell Soup Co.+ 10,150 394,733
-------------
TOTAL FOOD PRODUCTS 1,258,477
-------------
TOTAL CONSUMER STAPLES 8,149,693
-------------
TELECOMMUNICATION SERVICES 2.5%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.1%
AT&T, Inc.+ 31,880 1,139,710
Verizon Communications, Inc.+ 11,490 427,887
Embarq Corp. 7,970 418,903
CenturyTel, Inc.+ 9,160 399,926
BellSouth Corp. 5,040 237,434
Qwest Communications
International, Inc.*+ 23,980 200,713
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 2,824,573
-------------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Alltel Corp. 8,830 534,039
Sprint Nextel Corp. 2,736 51,683
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 585,722
-------------
TOTAL TELECOMMUNICATION SERVICES 3,410,295
-------------
UTILITIES 2.5%
MULTI-UTILITIES 1.5%
PG&E Corp.+ 10,060 476,140
Xcel Energy, Inc.+ 18,330 422,690
DTE Energy Co.+ 8,720 422,135
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 57
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
NOVA FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CenterPoint Energy, Inc.+ 23,950 $ 397,091
Sempra Energy 5,180 290,287
-------------
TOTAL MULTI-UTILITIES 2,008,343
-------------
ELECTRIC UTILITIES 1.0%
Pinnacle West Capital Corp.+ 7,850 397,916
FirstEnergy Corp.+ 4,740 285,822
Edison International 6,180 281,066
TXU Corp. 5,050 273,761
Allegheny Energy, Inc.* 1,480 67,947
-------------
TOTAL ELECTRIC UTILITIES 1,306,512
-------------
TOTAL UTILITIES 3,314,855
-------------
MATERIALS 1.8%
METALS & MINING 1.0%
Phelps Dodge Corp. 4,300 514,796
United States Steel Corp.+ 5,700 416,898
Nucor Corp.+ 7,190 393,006
-------------
TOTAL METALS & MINING 1,324,700
-------------
CHEMICALS 0.5%
E.I. du Pont de Nemours and Co.+ 6,400 311,744
Sigma-Aldrich Corp. 3,700 287,564
-------------
TOTAL CHEMICALS 599,308
-------------
CONTAINERS & PACKAGING 0.3%
Temple-Inland, Inc.+ 9,770 449,713
-------------
TOTAL CONTAINERS & PACKAGING 449,713
-------------
TOTAL MATERIALS 2,373,721
-------------
TOTAL COMMON STOCKS
(Cost $79,755,488) 89,918,715
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 30.7%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 3,859,206 $ 3,859,206
4.80% due 01/02/07 9,843,302 9,843,302
4.79% due 01/02/07 9,843,302 9,843,302
4.65% due 01/02/07 9,843,302 9,843,302
4.60% due 01/02/07 7,973,071 7,973,071
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $41,362,183) 41,362,183
-------------
SECURITIES LENDING COLLATERAL 13.7%
Investment in Securities Lending Short Term
Investment Portfolio held by
U.S. Bank (Note 8) 18,387,759 18,387,759
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $18,387,759) 18,387,759
-------------
TOTAL INVESTMENTS 111.3%
(Cost $139,505,430) $ 149,668,657
-------------
LIABILITIES IN EXCESS OF
OTHER ASSETS - (11.3)% $ (15,191,977)
-------------
NET ASSETS - 100.0% $ 134,476,680
- -------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $48,580,838) 681 $ (59,190)
-------------
UNITS
------
EQUITY INDEX SWAP AGREEMENTS
March 2007 S&P 500 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$41,306,722) 29,124 $ (192,197)
March 2007 S&P 500 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$22,800,881) 16,076 3,362
-------------
(TOTAL NOTIONAL MARKET
VALUE $64,107,603) $ (188,835)
-------------
* 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 DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
58 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE S&P 500 FUND
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 10.5%
Farmer Mac*
5.15% due 01/23/07 $ 2,000,000 $ 1,993,992
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $1,993,992) 1,993,992
-------------
CONTRACTS
-------------
OPTIONS PURCHASED 0.0%
Call Options on:
March 2007 S&P 500 Index
Futures Contracts
Expiring March 2007
with strike price of 2100 50 --
-------------
TOTAL OPTIONS PURCHASED
(Cost $828) --
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 75.6%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ $ 1,041,240 1,041,240
4.80% due 01/02/07 3,503,761 3,503,761
4.79% due 01/02/07 3,503,761 3,503,761
4.65% due 01/02/07 3,503,761 3,503,761
4.60% due 01/02/07 2,838,045 2,838,045
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $14,390,568) 14,390,568
-------------
TOTAL INVESTMENTS 86.1%
(Cost $16,385,388) $ 16,384,560
-------------
OTHER ASSETS IN EXCESS
OF LIABILITIES - 13.9% $ 2,640,732
-------------
NET ASSETS - 100.0% $ 19,025,292
- -------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $4,779,613) 67 $ (422)
=============
UNITS
-------------
EQUITY INDEX SWAP AGREEMENTS
SOLD SHORT
March 2007 S&P 500 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$5,482,573) 3,866 $ 25,711
March 2007 S&P 500 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$8,854,279) 6,243 (9,350)
-------------
(TOTAL NOTIONAL MARKET
VALUE $14,336,852) $ 16,361
=============
* 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 DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 59
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 93.7%
INFORMATION TECHNOLOGY 57.8%
SOFTWARE 14.2%
Microsoft Corp.+ 147,790 $ 4,413,009
Oracle Corp.* 103,039 1,766,089
Adobe Systems, Inc.* 23,030 946,994
Symantec Corp.*+ 44,698 931,953
Intuit, Inc.* 22,572 688,672
Electronic Arts, Inc.* 9,300 468,348
Autodesk, Inc.*+ 9,210 372,637
Citrix Systems, Inc.*+ 12,449 336,745
BEA Systems, Inc.* 26,412 332,263
Check Point Software
Technologies Ltd.*+ 5,110 112,011
-------------
TOTAL SOFTWARE 10,368,721
-------------
COMMUNICATIONS EQUIPMENT 11.6%
Qualcomm, Inc. 90,157 3,407,033
Cisco Systems, Inc.*+ 108,816 2,973,941
Research In Motion, Ltd.*+ 8,476 1,083,063
Comverse Technology, Inc.*+ 10,673 225,307
Juniper Networks, Inc.*+ 11,380 215,537
Tellabs, Inc.* 20,844 213,860
Telefonaktiebolaget LM
Ericsson -- SP ADR 4,210 169,368
JDS Uniphase Corp.*+ 7,700 128,282
-------------
TOTAL COMMUNICATIONS EQUIPMENT 8,416,391
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 10.3%
Intel Corp.* 85,590 1,733,198
Lam Research Corp.*+ 22,465 1,137,178
Applied Materials, Inc.+ 50,101 924,363
Broadcom Corp. -- Class A* 18,760 606,136
Nvidia Corp.*+ 15,622 578,170
Altera Corp.* 27,477 540,747
Xilinx, Inc.+ 21,794 518,915
Maxim Integrated Products, Inc. 12,630 386,731
Microchip Technology, Inc.+ 11,719 383,211
Marvell Technology Group Ltd.*+ 18,740 359,621
Linear Technology Corp. 10,810 327,759
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 7,496,029
-------------
COMPUTERS & PERIPHERALS 9.5%
Apple Computer, Inc.*+ 53,018 4,498,047
Dell, Inc.*+ 36,370 912,523
Network Appliance, Inc.* 21,004 825,037
SanDisk Corp.*+ 10,885 468,382
Sun Microsystems, Inc.*+ 43,890 237,884
-------------
TOTAL COMPUTERS & PERIPHERALS 6,941,873
-------------
INTERNET SOFTWARE & SERVICES 8.4%
Google, Inc. -- Class A*+ 5,790 2,666,179
eBay, Inc.* 45,350 1,363,675
VeriSign, Inc.*+ 42,323 1,017,868
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Yahoo!, Inc.*+ 24,940 $ 636,968
Akamai Technologies, Inc.*+ 7,986 424,216
-------------
TOTAL INTERNET SOFTWARE & SERVICES 6,108,906
-------------
IT CONSULTING & SERVICES 3.1%
Fiserv, Inc.*+ 25,751 1,349,868
Cognizant Technology Solutions
Corp. -- Class A* 6,727 519,055
Paychex, Inc.+ 7,507 296,827
CheckFree Corp.*+ 2,670 107,227
-------------
TOTAL IT CONSULTING & SERVICES 2,272,977
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7%
CDW Corp.+ 7,091 498,639
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 498,639
-------------
TOTAL INFORMATION TECHNOLOGY 42,103,536
-------------
CONSUMER DISCRETIONARY 16.5%
MEDIA 5.1%
Comcast Corp. -- Class A*+ 46,386 1,963,519
EchoStar Communications Corp.* 16,017 609,127
Sirius Satellite Radio, Inc.*+ 110,542 391,319
Lamar Advertising Co. --
Class A*+ 4,501 294,320
NTL, Inc. 9,460 238,770
XM Satellite Radio Holdings, Inc.*+ 6,930 100,139
Liberty Global, Inc. -- Class A* 3,180 92,697
-------------
TOTAL MEDIA 3,689,891
-------------
HOTELS, RESTAURANTS & LEISURE 3.0%
Starbucks Corp.*+ 45,380 1,607,359
Wynn Resorts Ltd.+ 6,155 577,647
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 2,185,006
-------------
SPECIALTY RETAIL 2.9%
Bed Bath & Beyond, Inc.*+ 15,420 587,502
Petsmart, Inc.+ 19,364 558,845
Staples, Inc. 13,370 356,979
American Eagle Outfitters, Inc.+ 10,635 331,918
Ross Stores, Inc. 7,230 211,839
Urban Outfitters, Inc.*+ 4,330 99,720
-------------
TOTAL SPECIALTY RETAIL 2,146,803
-------------
INTERNET & CATALOG RETAIL 2.6%
Liberty Media Corp - Interactive* 31,207 673,135
IAC/InterActiveCorp*+ 14,486 538,300
Amazon.com, Inc.*+ 10,980 433,271
Expedia, Inc.* 12,450 261,201
-------------
TOTAL INTERNET & CATALOG RETAIL 1,905,907
-------------
MULTILINE RETAIL 1.7%
Sears Holdings Corp.*+ 7,525 1,263,673
-------------
TOTAL MULTILINE RETAIL 1,263,673
-------------
HOUSEHOLD DURABLES 0.8%
Garmin Ltd.+ 9,828 547,027
-------------
TOTAL HOUSEHOLD DURABLES 547,027
-------------
See Notes to Financial Statements.
60 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Apollo Group, Inc. -- Class A*+ 7,898 $ 307,785
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 307,785
-------------
TOTAL CONSUMER DISCRETIONARY 12,046,092
-------------
HEALTH CARE 12.8%
BIOTECHNOLOGY 8.8%
Amgen, Inc.*+ 32,808 2,241,114
Gilead Sciences, Inc.*+ 27,032 1,755,188
Celgene Corp.*+ 17,585 1,011,665
Genzyme Corp.*+ 14,170 872,589
Biogen Idec, Inc.* 8,050 395,980
Amylin Pharmaceuticals, Inc.*+ 2,920 105,324
-------------
TOTAL BIOTECHNOLOGY 6,381,860
-------------
PHARMACEUTICALS 1.6%
Teva Pharmaceutical Industries
Ltd. -- SP ADR+ 28,258 878,258
Sepracor, Inc.*+ 4,600 283,268
-------------
TOTAL PHARMACEUTICALS 1,161,526
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.3%
Biomet, Inc. 15,637 645,339
DENTSPLY International, Inc. 5,460 162,981
Intuitive Surgical, Inc.*+ 1,660 159,194
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 967,514
-------------
HEALTH CARE PROVIDERS & SERVICES 1.1%
Express Scripts, Inc.*+ 5,658 405,113
Patterson Cos., Inc.*+ 6,523 231,632
Lincare Holdings, Inc.* 3,640 145,017
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 781,762
-------------
TOTAL HEALTH CARE 9,292,662
-------------
INDUSTRIALS 4.0%
MACHINERY 1.5%
Paccar, Inc. 12,534 813,457
Joy Global, Inc.+ 5,274 254,945
-------------
TOTAL MACHINERY 1,068,402
-------------
AIR FREIGHT & COURIERS 0.9%
Expeditors International
Washington, Inc.+ 9,390 380,295
CH Robinson Worldwide, Inc.+ 7,554 308,883
-------------
TOTAL AIR FREIGHT & COURIERS 689,178
-------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Cintas Corp.+ 8,892 353,102
Monster Worldwide, Inc.*+ 6,102 284,597
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 637,699
-------------
ELECTRICAL EQUIPMENT 0.4%
American Power Conversion Corp. 9,143 279,684
-------------
TOTAL ELECTRICAL EQUIPMENT 279,684
-------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
Fastenal Co.+ 6,685 239,858
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 239,858
-------------
TOTAL INDUSTRIALS 2,914,821
-------------
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 1.2%
FOOD & DRUG RETAILING 1.2%
Costco Wholesale Corp.+ 10,330 $ 546,147
Whole Foods Market, Inc.+ 6,533 306,594
-------------
TOTAL FOOD & DRUG RETAILING 852,741
-------------
TOTAL CONSUMER STAPLES 852,741
-------------
TELECOMMUNICATION SERVICES 0.9%
WIRELESS TELECOMMUNICATION SERVICES 0.9%
NII Holdings, Inc. -- Class B* 6,530 420,793
Millicom International Cellular
SA*+ 4,352 268,257
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 689,050
-------------
TOTAL TELECOMMUNICATION SERVICES 689,050
-------------
MATERIALS 0.3%
CHEMICALS 0.3%
Sigma-Aldrich Corp. 2,500 194,300
-------------
TOTAL CHEMICALS 194,300
-------------
TOTAL MATERIALS 194,300
-------------
ENERGY 0.2%
ENERGY EQUIPMENT & SERVICES 0.2%
Patterson-UTI Energy, Inc.+ 7,320 170,044
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 170,044
-------------
TOTAL ENERGY 170,044
-------------
TOTAL COMMON STOCKS
(Cost $44,149,566) 68,263,246
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 1.5%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 81,252 81,252
4.80% due 01/02/07 256,891 256,891
4.79% due 01/02/07 256,891 256,891
4.65% due 01/02/07 256,891 256,891
4.60% due 01/02/07 208,080 208,080
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,060,005) 1,060,005
-------------
SECURITIES LENDING COLLATERAL 28.8%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 21,014,171 21,014,171
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $21,014,171) 21,014,171
-------------
TOTAL INVESTMENTS 124.0%
(Cost $66,223,742) $ 90,337,422
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (24.0)% $ (17,466,335)
=============
NET ASSETS - 100.0% $ 72,871,087
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 61
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
OTC FUND
- --------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Nasdaq 100 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $3,371,550) 95 $ (28,991)
-------------
UNITS
-------------
EQUITY INDEX SWAP AGREEMENTS
March 2007 Nasdaq 100 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$1,006,901) 573 $ (1,302)
March 2007 Nasdaq 100 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$262,749) 150 (8,259)
-------------
(TOTAL NOTIONAL MARKET
VALUE $1,269,650) $ (9,561)
=============
* 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 DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
62 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE OTC FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 20.9%
Federal Home Loan Bank*
5.15% due 01/17/07 $ 2,000,000 $ 1,995,708
Freddie Mac*
5.00% due 01/02/07 3,000,000 3,000,000
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $4,995,708) 4,995,708
-------------
CONTRACTS
-------------
OPTIONS PURCHASED 0.0%
Call Options on:
March 2007 Nasdaq 100 Index
Futures Contracts
Expiring March 2007
with strike price of 2700 50 --
-------------
TOTAL OPTIONS PURCHASED
(Cost $453) --
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 62.0%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ $ 488,440 488,440
4.80% due 01/02/07 3,518,214 3,518,214
4.79% due 01/02/07 3,518,214 3,518,214
4.65% due 01/02/07 3,518,214 3,518,214
4.60% due 01/02/07+ 3,798,999 3,798,999
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $14,842,081) 14,842,081
-------------
TOTAL INVESTMENTS 82.9%
(Cost $19,838,242) $19,837,789
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 17.1% $ 4,090,834
=============
NET ASSETS - 100.0% $23,928,623
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
March 2007 Nasdaq 100 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $9,156,420) 258 $ 242,153
-------------
UNITS
-------------
EQUITY INDEX SWAP AGREEMENTS
SOLD SHORT
March 2007 Nasdaq 100 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$9,416,837) 5,360 $ 138,936
March 2007 Nasdaq 100 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$5,684,977) 3,236 2,956
-------------
(TOTAL NOTIONAL MARKET
VALUE $15,101,814) $ 141,892
=============
* 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 NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 63
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 63.8%
FINANCIALS 14.2%
DIVERSIFIED FINANCIALS 3.6%
Citigroup, Inc. 9,280 $ 516,896
Bank of America Corp. 8,480 452,747
J.P. Morgan Chase & Co. 6,550 316,365
Chicago Mercantile Exchange
Holdings, Inc.+ 70 35,683
Moody's Corp.+ 440 30,386
CIT Group, Inc. 370 20,635
-------------
TOTAL DIVERSIFIED FINANCIALS 1,372,712
-------------
INSURANCE 3.1%
American International Group, Inc. 4,910 351,851
MetLife, Inc. 1,440 84,974
Prudential Financial, Inc. 900 77,274
Allstate Corp.+ 1,180 76,830
St. Paul Travelers Cos., Inc. 1,298 69,690
Hartford Financial Services Group,
Inc. 600 55,986
AFLAC, Inc.+ 928 42,688
Chubb Corp. 780 41,270
ACE Ltd. 620 37,553
Lincoln National Corp. 540 35,856
Loews Corp. 860 35,664
Progressive Corp. 1,440 34,877
Marsh & McLennan Cos., Inc.+ 1,040 31,886
Principal Financial Group, Inc. 510 29,937
Genworth Financial, Inc. -- Class A 840 28,736
XL Capital Ltd.+ 340 24,487
Aon Corp.+ 590 20,851
MBIA, Inc.+ 250 18,265
Ambac Financial Group, Inc. 200 17,814
Cincinnati Financial Corp. 330 14,952
UnumProvident Corp.+ 650 13,507
SAFECO Corp.+ 200 12,510
Torchmark Corp. 190 12,114
-------------
TOTAL INSURANCE 1,169,572
-------------
BANKS 2.7%
Wells Fargo & Co. 6,380 226,873
Wachovia Corp. 3,600 205,020
U.S. Bancorp+ 3,320 120,151
SunTrust Banks, Inc.+ 670 56,581
Regions Financial Corp. 1,382 51,687
BB&T Corp.+ 1,019 44,765
National City Corp.+ 1,190 43,506
Fifth Third Bancorp+ 1,050 42,976
PNC Financial Services Group,
Inc.+ 556 41,166
KeyCorp+ 760 28,903
Marshall & Ilsley Corp.+ 480 23,093
Synovus Financial Corp.+ 610 18,806
M&T Bank Corp. 150 18,324
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Comerica, Inc.+ 300 $ 17,604
Zions Bancorporation 200 16,488
Compass Bancshares, Inc.+ 250 14,912
Commerce Bancorp, Inc.+ 350 12,345
Huntington Bancshares, Inc.+ 450 10,688
First Horizon National Corp.+ 240 10,027
-------------
TOTAL BANKS 1,003,915
-------------
CAPITAL MARKETS 2.4%
Morgan Stanley+ 2,000 162,860
Goldman Sachs Group, Inc. 800 159,480
Merrill Lynch & Co., Inc.+ 1,670 155,477
Lehman Brothers Holdings, Inc.+ 1,000 78,120
Bank of New York Co., Inc. 1,440 56,693
State Street Corp. 630 42,487
Charles Schwab Corp. 1,930 37,326
Bear Stearns Cos., Inc.+ 220 35,812
Franklin Resources, Inc.+ 310 34,153
Mellon Financial Corp.+ 780 32,877
Ameriprise Financial, Inc. 460 25,070
Legg Mason, Inc.+ 250 23,762
T. Rowe Price Group, Inc.+ 500 21,885
Northern Trust Corp.+ 350 21,242
E*Trade Financial Corp.* 810 18,160
Janus Capital Group, Inc. 370 7,988
Federated Investors, Inc. --
Class B 170 5,743
-------------
TOTAL CAPITAL MARKETS 919,135
-------------
THRIFTS & MORTGAGE FINANCE 1.0%
Fannie Mae+ 1,840 109,278
Freddie Mac 1,310 88,949
Washington Mutual, Inc.+ 1,790 81,427
Countrywide Financial Corp. 1,170 49,667
Sovereign Bancorp, Inc.+ 680 17,265
MGIC Investment Corp.+ 160 10,006
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 356,592
-------------
REAL ESTATE 0.8%
Simon Property Group, Inc.+ 420 42,542
Equity Office Properties Trust 660 31,792
Vornado Realty Trust 240 29,160
ProLogis 470 28,562
Equity Residential+ 550 27,912
Boston Properties, Inc.+ 220 24,614
Archstone-Smith Trust+ 410 23,866
Public Storage, Inc.+ 230 22,425
KIMCO Realty Corp. 430 19,328
Plum Creek Timber Co., Inc. (REIT) 330 13,151
Realogy Corp.* 410 12,431
CB Richard Ellis Group, Inc. --
Class A* 350 11,620
Apartment Investment &
Management Co. -- Class A+ 180 10,084
-------------
TOTAL REAL ESTATE 297,487
-------------
See Notes to Financial Statements.
64 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER FINANCE 0.6%
American Express Co. 2,278 $ 138,206
Capital One Financial Corp. 770 59,152
SLM Corp. 770 37,553
-------------
TOTAL CONSUMER FINANCE 234,911
-------------
TOTAL FINANCIALS 5,354,324
-------------
INFORMATION TECHNOLOGY 9.6%
COMPUTERS & PERIPHERALS 2.4%
International Business Machines
Corp. 2,850 276,878
Hewlett-Packard Co. 5,170 212,952
Apple Computer, Inc.* 1,610 136,592
Dell, Inc.*+ 4,290 107,636
EMC Corp.*+ 4,160 54,912
Sun Microsystems, Inc.*+ 6,650 36,043
Network Appliance, Inc.* 710 27,889
SanDisk Corp.*+ 430 18,503
NCR Corp.*+ 340 14,538
Lexmark International, Inc.* 190 13,908
QLogic Corp.* 300 6,576
-------------
TOTAL COMPUTERS & PERIPHERALS 906,427
-------------
SOFTWARE 2.2%
Microsoft Corp.+ 16,340 487,912
Oracle Corp.* 7,560 129,578
Adobe Systems, Inc.* 1,100 45,232
Symantec Corp.*+ 1,770 36,905
Electronic Arts, Inc.* 580 29,209
Intuit, Inc.* 660 20,137
Autodesk, Inc.* 440 17,802
CA, Inc.+ 777 17,599
BMC Software, Inc.* 390 12,558
Citrix Systems, Inc.*+ 340 9,197
Compuware Corp.* 670 5,581
Novell, Inc.* 640 3,968
-------------
TOTAL SOFTWARE 815,678
-------------
COMMUNICATIONS EQUIPMENT 1.7%
Cisco Systems, Inc.* 11,470 313,475
Qualcomm, Inc. 3,120 117,905
Motorola, Inc.+ 4,570 93,959
Corning, Inc.* 2,960 55,381
Juniper Networks, Inc.*+ 1,070 20,266
Avaya, Inc.* 860 12,023
Tellabs, Inc.* 830 8,516
Comverse Technology, Inc.*+ 380 8,022
JDS Uniphase Corp.*+ 400 6,664
Ciena Corp.*+ 160 4,433
ADC Telecommunications, Inc.* 220 3,197
-------------
TOTAL COMMUNICATIONS EQUIPMENT 643,841
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.5%
Intel Corp.* 10,890 220,522
Texas Instruments, Inc. 2,800 80,640
Applied Materials, Inc.+ 2,620 48,339
Broadcom Corp. -- Class A*+ 890 28,756
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Nvidia Corp.*+ 670 $ 24,797
Analog Devices, Inc.+ 650 21,366
Advanced Micro Devices, Inc.*+ 1,040 21,164
Micron Technology, Inc.*+ 1,430 19,963
KLA-Tencor Corp.+ 380 18,905
Maxim Integrated Products, Inc. 610 18,678
Linear Technology Corp. 560 16,979
Xilinx, Inc.+ 640 15,238
Altera Corp.* 680 13,382
National Semiconductor Corp. 550 12,485
Novellus Systems, Inc.*+ 230 7,917
LSI Logic Corp.*+ 760 6,840
Teradyne, Inc.*+ 360 5,386
PMC - Sierra, Inc.*+ 400 2,684
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 584,041
-------------
INTERNET SOFTWARE & SERVICES 0.8%
Google, Inc. -- Class A*+ 400 184,192
eBay, Inc.* 2,190 65,853
Yahoo!, Inc.*+ 2,310 58,998
VeriSign, Inc.* 460 11,063
-------------
TOTAL INTERNET SOFTWARE & SERVICES 320,106
-------------
IT CONSULTING & SERVICES 0.7%
Automatic Data Processing, Inc.+ 1,040 51,220
First Data Corp.+ 1,450 37,004
Western Union Co.+ 1,450 32,509
Electronic Data Systems Corp. 980 26,999
Paychex, Inc.+ 640 25,306
Cognizant Technology Solutions
Corp. -- Class A* 270 20,833
Fiserv, Inc.*+ 330 17,299
Computer Sciences Corp.* 320 17,078
Fidelity National Information
Services, Inc. 310 12,428
Affiliated Computer Services,
Inc. -- Class A* 220 10,745
Sabre Holdings Corp. 250 7,972
Convergys Corp.* 260 6,183
Unisys Corp.* 650 5,096
-------------
TOTAL IT CONSULTING & SERVICES 270,672
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2%
Agilent Technologies, Inc.*+ 770 26,834
Jabil Circuit, Inc. 350 8,593
Molex, Inc.+ 270 8,540
Symbol Technologies, Inc. 480 7,171
Solectron Corp.* 1,730 5,571
Tektronix, Inc. 160 4,667
Sanmina-SCI Corp.* 1,010 3,485
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 64,861
-------------
OFFICE ELECTRONICS 0.1%
Xerox Corp.* 1,820 30,849
-------------
TOTAL OFFICE ELECTRONICS 30,849
-------------
TOTAL INFORMATION TECHNOLOGY 3,636,475
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 65
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HEALTH CARE 7.7%
PHARMACEUTICALS 4.0%
Johnson & Johnson, Inc. 5,480 $ 361,789
Pfizer, Inc. 13,620 352,758
Merck & Co., Inc.+ 4,100 178,760
Abbott Laboratories 2,900 141,259
Wyeth 2,540 129,337
Bristol-Myers Squibb Co. 3,720 97,910
Eli Lilly & Co. 1,861 96,958
Schering-Plough Corp. 2,800 66,192
Allergan, Inc.+ 290 34,725
Forest Laboratories, Inc.*+ 600 30,360
Barr Pharmaceuticals, Inc.*+ 200 10,024
Mylan Laboratories, Inc.+ 400 7,984
King Pharmaceuticals, Inc.* 460 7,323
Watson Pharmaceuticals, Inc.* 190 4,946
-------------
TOTAL PHARMACEUTICALS 1,520,325
-------------
HEALTH CARE PROVIDERS & SERVICES 1.6%
UnitedHealth Group, Inc. 2,540 136,474
WellPoint, Inc.* 1,170 92,067
Cardinal Health, Inc. 767 49,418
Caremark Rx, Inc. 809 46,202
Aetna, Inc. 990 42,748
Medco Health Solutions, Inc.* 550 29,392
McKesson Corp. 560 28,392
CIGNA Corp. 190 24,998
Express Scripts, Inc.*+ 260 18,616
Laboratory Corporation of America
Holdings*+ 240 17,633
Humana, Inc.* 310 17,146
AmerisourceBergen Corp.+ 360 16,186
Quest Diagnostics, Inc. 300 15,900
Coventry Health Care, Inc.* 300 15,015
IMS Health, Inc. 370 10,168
Health Management Associates,
Inc. -- Class A+ 450 9,499
Patterson Cos., Inc.*+ 260 9,233
Manor Care, Inc.+ 140 6,569
Tenet Healthcare Corp.*+ 890 6,203
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 591,859
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.2%
Medtronic, Inc.+ 2,171 116,170
Baxter International, Inc. 1,240 57,524
Boston Scientific Corp.* 2,230 38,312
Zimmer Holdings, Inc.*+ 450 35,271
Thermo Fisher Scientific, Inc.* 770 34,873
Becton, Dickinson & Co. 470 32,971
Stryker Corp.+ 560 30,862
St. Jude Medical, Inc.* 670 24,495
Biomet, Inc. 460 18,984
C.R. Bard, Inc. 190 15,764
Hospira, Inc.* 290 9,738
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Waters Corp.* 190 $ 9,304
Millipore Corp.* 100 6,660
Bausch & Lomb, Inc. 100 5,206
PerkinElmer, Inc. 230 5,113
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 441,247
-------------
BIOTECHNOLOGY 0.9%
Amgen, Inc.* 2,200 150,282
Gilead Sciences, Inc.* 870 56,489
Celgene Corp.*+ 700 40,271
Biogen Idec, Inc.* 640 31,482
Genzyme Corp.*+ 500 30,790
Medimmune, Inc.*+ 450 14,566
Applera Corp. - Applied Biosystems
Group+ 350 12,842
-------------
TOTAL BIOTECHNOLOGY 336,722
-------------
TOTAL HEALTH CARE 2,890,153
-------------
INDUSTRIALS 6.9%
INDUSTRIAL CONGLOMERATES 2.6%
General Electric Co. 19,477 724,739
Tyco International Ltd. 3,760 114,304
3M Co. 1,390 108,323
Textron, Inc. 240 22,505
-------------
TOTAL INDUSTRIAL CONGLOMERATES 969,871
-------------
AEROSPACE & DEFENSE 1.5%
Boeing Co.+ 1,490 132,371
United Technologies Corp. 1,900 118,788
Honeywell International, Inc. 1,540 69,670
Lockheed Martin Corp. 670 61,687
General Dynamics Corp. 760 56,506
Raytheon Co.+ 840 44,352
Northrop Grumman Corp. 650 44,005
Rockwell Collins, Inc. 320 20,253
L-3 Communications Holdings,
Inc.+ 240 19,627
Goodrich Corp. 240 10,932
-------------
TOTAL AEROSPACE & DEFENSE 578,191
-------------
MACHINERY 0.9%
Caterpillar, Inc. 1,230 75,436
Deere & Co. 440 41,831
Illinois Tool Works, Inc. 790 36,490
Danaher Corp.+ 450 32,598
Paccar, Inc. 465 30,178
Ingersoll-Rand Co. -- Class A 580 22,695
Eaton Corp. 280 21,039
ITT Industries, Inc. 350 19,887
Dover Corp. 390 19,118
Parker Hannifin Corp. 220 16,914
Terex Corp.*+ 190 12,270
Cummins, Inc.+ 100 11,818
Pall Corp. 230 7,947
-------------
TOTAL MACHINERY 348,221
-------------
See Notes to Financial Statements.
66 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AIR FREIGHT & COURIERS 0.6%
United Parcel Service, Inc. --
Class B+ 2,030 $ 152,209
FedEx Corp.+ 580 63,000
-------------
TOTAL AIR FREIGHT & COURIERS 215,209
-------------
ROAD & RAIL 0.4%
Burlington Northern Santa Fe
Corp. 680 50,191
Union Pacific Corp. 510 46,930
Norfolk Southern Corp. 750 37,717
CSX Corp. 820 28,233
Ryder System, Inc.+ 110 5,617
-------------
TOTAL ROAD & RAIL 168,688
-------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Waste Management, Inc. 1,010 37,138
Pitney Bowes, Inc.+ 420 19,400
RR Donnelley & Sons Co. 410 14,571
Avery Dennison Corp. 180 12,227
Robert Half International, Inc.+ 320 11,878
Monster Worldwide, Inc.*+ 240 11,194
Cintas Corp. 260 10,325
Equifax, Inc. 240 9,744
Allied Waste Industries, Inc.*+ 480 5,899
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 132,376
-------------
ELECTRICAL EQUIPMENT 0.3%
Emerson Electric Co. 1,520 67,017
Rockwell Automation, Inc. 320 19,545
Cooper Industries Ltd. -- Class A 170 15,373
American Power Conversion
Corp.+ 320 9,789
-------------
TOTAL ELECTRICAL EQUIPMENT 111,724
-------------
BUILDING PRODUCTS 0.1%
Masco Corp.+ 740 22,104
American Standard Cos., Inc.+ 330 15,130
-------------
TOTAL BUILDING PRODUCTS 37,234
-------------
AIRLINES 0.1%
Southwest Airlines Co.+ 1,500 22,980
-------------
TOTAL AIRLINES 22,980
-------------
CONSTRUCTION & ENGINEERING 0.0%
Fluor Corp. 170 13,880
-------------
TOTAL CONSTRUCTION & ENGINEERING 13,880
-------------
TRADING COMPANIES & DISTRIBUTORS 0.0%
W.W. Grainger, Inc. 140 9,792
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 9,792
-------------
TOTAL INDUSTRIALS 2,608,166
-------------
CONSUMER DISCRETIONARY 6.8%
MEDIA 2.4%
Comcast Corp. -- Class A*+ 3,930 166,357
Time Warner, Inc.+ 7,540 164,221
Walt Disney Co.+ 3,910 133,996
News Corp. -- Class A+ 4,420 94,942
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Viacom, Inc. - Class B* 1,320 $ 54,160
CBS Corp.+ 1,480 46,146
McGraw-Hill Cos., Inc. 670 45,573
DIRECTV Group, Inc.* 1,460 36,412
Omnicom Group, Inc.+ 320 33,453
Clear Channel Communications,
Inc. 930 33,052
Gannett Co., Inc.+ 440 26,602
Univision Communications, Inc. --
Class A*+ 480 17,002
Tribune Co.+ 360 11,081
Interpublic Group of Cos., Inc.*+ 830 10,159
EW Scripps Co. -- Class A 160 7,990
New York Times Co. -- Class A+ 270 6,577
Dow Jones & Co., Inc. 120 4,560
Meredith Corp.+ 70 3,945
--------------
TOTAL MEDIA 896,228
--------------
SPECIALTY RETAIL 1.3%
Home Depot, Inc. 3,860 155,017
Lowe's Cos., Inc.+ 2,880 89,712
Best Buy Co., Inc.+ 760 37,384
Staples, Inc. 1,370 36,579
TJX Cos., Inc.+ 860 24,527
Office Depot, Inc.* 530 20,230
Bed Bath & Beyond, Inc.* 530 20,193
The Gap, Inc.+ 1,000 19,500
Limited Brands, Inc. 650 18,811
Sherwin-Williams Co. 210 13,352
AutoZone, Inc.*+ 100 11,556
Tiffany & Co.+ 260 10,202
OfficeMax, Inc. 140 6,951
AutoNation, Inc.*+ 280 5,970
Circuit City Stores, Inc.+ 270 5,125
RadioShack Corp.+ 260 4,363
--------------
TOTAL SPECIALTY RETAIL 479,472
--------------
HOTELS, RESTAURANTS & LEISURE 1.0%
McDonald's Corp. 2,340 103,732
Starbucks Corp.*+ 1,430 50,651
Carnival Corp.+ 840 41,202
Marriott International, Inc. --
Class A 630 30,064
International Game Technology,
Inc.+ 640 29,568
Yum! Brands, Inc. 500 29,400
Harrah's Entertainment, Inc. 350 28,952
Hilton Hotels Corp.+ 730 25,477
Starwood Hotels & Resorts
Worldwide, Inc. 400 25,000
Wyndham Worldwide Corp.* 370 11,847
Darden Restaurants, Inc. 280 11,248
Wendy's International, Inc. 180 5,956
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 393,097
--------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 67
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 0.7%
Target Corp.+ 1,620 $ 92,421
Kohl's Corp.* 616 42,153
Federated Department Stores, Inc. 990 37,749
J.C. Penney Co., Inc.+ 430 33,265
Sears Holdings Corp.*+ 160 26,869
Nordstrom, Inc.+ 430 21,216
Dollar General Corp.+ 590 9,475
Family Dollar Stores, Inc. 290 8,506
Big Lots, Inc.*+ 210 4,813
Dillard's, Inc. -- Class A+ 120 4,196
--------------
TOTAL MULTILINE RETAIL 280,663
--------------
HOUSEHOLD DURABLES 0.4%
Fortune Brands, Inc. 290 24,763
Newell Rubbermaid, Inc.+ 520 15,054
D.R. Horton, Inc.+ 520 13,775
Lennar Corp. -- Class A+ 260 13,640
Pulte Homes, Inc.+ 400 13,248
Whirlpool Corp.+ 150 12,453
Centex Corp.+ 220 12,379
Harman International Industries,
Inc.+ 120 11,989
Black & Decker Corp.+ 130 10,396
Leggett & Platt, Inc.+ 340 8,126
KB HOME 150 7,692
Stanley Works+ 150 7,544
Snap-On, Inc. 110 5,240
--------------
TOTAL HOUSEHOLD DURABLES 156,299
--------------
TEXTILES & APPAREL 0.3%
Nike, Inc. -- Class B+ 360 35,651
Coach, Inc.*+ 690 29,643
VF Corp. 170 13,954
Liz Claiborne, Inc.+ 190 8,257
Jones Apparel Group, Inc. 210 7,020
--------------
TOTAL TEXTILES & APPAREL 94,525
--------------
AUTOMOBILES 0.3%
Harley-Davidson, Inc.+ 490 34,530
General Motors Corp.+ 1,070 32,870
Ford Motor Co.+ 3,570 26,811
--------------
TOTAL AUTOMOBILES 94,211
--------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Mattel, Inc. 720 16,315
Eastman Kodak Co.+ 540 13,932
Hasbro, Inc. 300 8,175
Brunswick Corp. 170 5,423
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 43,845
--------------
AUTO COMPONENTS 0.1%
Johnson Controls, Inc.+ 370 31,790
Goodyear Tire & Rubber Co.*+ 340 7,137
--------------
TOTAL AUTO COMPONENTS 38,927
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL 0.1%
Amazon.com, Inc.*+ 580 $ 22,887
IAC/InterActiveCorp*+ 420 15,607
--------------
TOTAL INTERNET & CATALOG RETAIL 38,494
--------------
COMMERCIAL SERVICES & SUPPLIES 0.1%
H&R Block, Inc.+ 610 14,055
Apollo Group, Inc. -- Class A*+ 260 10,132
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 24,187
--------------
DISTRIBUTORS 0.0%
Genuine Parts Co. 320 15,178
--------------
TOTAL DISTRIBUTORS 15,178
--------------
TOTAL CONSUMER DISCRETIONARY 2,555,126
--------------
ENERGY 6.3%
OIL & GAS 5.2%
Exxon Mobil Corp.+ 11,020 844,463
Chevron Corp. 4,120 302,944
ConocoPhillips 3,110 223,764
Occidental Petroleum Corp. 1,630 79,593
Marathon Oil Corp. 660 61,050
Valero Energy Corp. 1,140 58,322
Devon Energy Corp.+ 840 56,347
Apache Corp. 620 41,236
Anadarko Petroleum Corp. 870 37,862
XTO Energy, Inc. 690 32,464
Williams Cos., Inc. 1,130 29,516
EOG Resources, Inc.+ 460 28,727
Hess Corp. 510 25,281
Chesapeake Energy Corp.+ 790 22,949
Kinder Morgan, Inc. 200 21,150
El Paso Corp.+ 1,330 20,322
Peabody Energy Corp. 500 20,205
Murphy Oil Corp.+ 350 17,798
Sunoco, Inc. 230 14,343
Consol Energy, Inc.+ 350 11,246
--------------
TOTAL OIL & GAS 1,949,582
--------------
ENERGY EQUIPMENT & SERVICES 1.1%
Schlumberger Ltd.+ 2,230 140,847
Halliburton Co. 1,900 58,995
Baker Hughes, Inc.+ 610 45,542
Transocean, Inc.* 550 44,489
Weatherford International Ltd.* 640 26,746
National-Oilwell Varco, Inc.*+ 330 20,189
Noble Corp. 260 19,799
Nabors Industries Ltd.*+ 570 16,975
BJ Services Co. 550 16,126
Smith International, Inc.+ 380 15,607
Rowan Cos., Inc.+ 210 6,972
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 412,287
--------------
TOTAL ENERGY 2,361,869
--------------
See Notes to Financial Statements.
68 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 5.9%
HOUSEHOLD PRODUCTS 1.4%
Procter & Gamble Co. 5,990 $ 384,977
Colgate-Palmolive Co. 970 63,283
Kimberly-Clark Corp. 870 59,116
Clorox Co. 290 18,604
--------------
TOTAL HOUSEHOLD PRODUCTS 525,980
--------------
FOOD & DRUG RETAILING 1.4%
Wal-Mart Stores, Inc. 4,645 214,506
Walgreen Co. 1,900 87,191
CVS Corp.+ 1,560 48,220
Costco Wholesale Corp.+ 870 45,997
Sysco Corp.+ 1,170 43,009
Kroger Co. 1,360 31,375
Safeway, Inc.+ 840 29,030
Supervalu, Inc. 390 13,943
Whole Foods Market, Inc.+ 270 12,671
--------------
TOTAL FOOD & DRUG RETAILING 525,942
--------------
BEVERAGES 1.3%
PepsiCo, Inc. 3,100 193,905
Coca-Cola Co.+ 3,850 185,762
Anheuser-Busch Cos., Inc. 1,450 71,340
Constellation Brands, Inc. --
Class A*+ 400 11,608
Coca-Cola Enterprises, Inc. 520 10,618
Brown-Forman Corp. -- Class B 150 9,936
Pepsi Bottling Group, Inc.+ 260 8,037
Molson Coors Brewing Co. --
Class B 90 6,880
--------------
TOTAL BEVERAGES 498,086
--------------
TOBACCO 1.0%
Altria Group, Inc.+ 3,960 339,847
Reynolds American, Inc.+ 320 20,951
UST, Inc.+ 300 17,460
--------------
TOTAL TOBACCO 378,258
--------------
FOOD PRODUCTS 0.7%
Archer-Daniels-Midland Co. 1,240 39,631
General Mills, Inc.+ 650 37,440
H.J. Heinz Co.+ 620 27,906
ConAgra Foods, Inc. 956 25,812
Sara Lee Corp. 1,410 24,012
Kellogg Co.+ 470 23,528
WM Wrigley Jr Co. 410 21,205
Hershey Co. 330 16,434
Campbell Soup Co.+ 410 15,945
Dean Foods Co.* 250 10,570
McCormick & Co., Inc. 250 9,640
Tyson Foods, Inc. -- Class A+ 480 7,896
--------------
TOTAL FOOD PRODUCTS 260,019
--------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PERSONAL PRODUCTS 0.1%
Avon Products, Inc. 840 $ 27,753
Estee Lauder Cos., Inc. -- Class A 240 9,797
--------------
TOTAL PERSONAL PRODUCTS 37,550
--------------
TOTAL CONSUMER STAPLES 2,225,835
--------------
UTILITIES 2.3%
ELECTRIC UTILITIES 1.3%
Duke Energy Corp.+ 2,370 78,708
Exelon Corp.+ 1,270 78,600
Southern Co.+ 1,400 51,604
TXU Corp. 870 47,163
FPL Group, Inc.+ 760 41,359
FirstEnergy Corp.+ 600 36,180
Entergy Corp. 390 36,005
American Electric Power Co., Inc.+ 750 31,935
Edison International 620 28,197
PPL Corp. 720 25,805
Progress Energy, Inc.+ 480 23,558
Allegheny Energy, Inc.* 310 14,232
Pinnacle West Capital Corp. 190 9,631
--------------
TOTAL ELECTRIC UTILITIES 502,977
--------------
MULTI-UTILITIES 0.9%
Dominion Resources, Inc.+ 670 56,173
Public Service Enterprise Group,
Inc. 480 31,863
PG&E Corp.+ 660 31,238
Sempra Energy 500 28,020
AES Corp.* 1,250 27,550
Consolidated Edison, Inc.+ 490 23,554
Constellation Energy Group, Inc. 340 23,416
Ameren Corp.+ 390 20,955
Xcel Energy, Inc.+ 770 17,756
DTE Energy Co.+ 340 16,459
KeySpan Corp. 330 13,589
NiSource, Inc.+ 520 12,532
CenterPoint Energy, Inc.+ 590 9,782
CMS Energy Corp.* 420 7,014
TECO Energy, Inc. 400 6,892
Dynegy, Inc. -- Class A* 720 5,213
--------------
TOTAL MULTI-UTILITIES 332,006
--------------
GAS UTILITIES 0.1%
Questar Corp.+ 160 13,288
Nicor, Inc.+ 80 3,744
Peoples Energy Corp. 70 3,120
--------------
TOTAL GAS UTILITIES 20,152
--------------
TOTAL UTILITIES 855,135
--------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 69
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 2.2%
DIVERSIFIED TELECOMMUNICATION SERVICES 1.8%
AT&T, Inc.+ 7,260 $ 259,545
Verizon Communications, Inc.+ 5,518 205,490
BellSouth Corp. 3,450 162,530
Qwest Communications
International, Inc.*+ 3,040 25,445
Embarq Corp. 280 14,717
Windstream Corp.+ 900 12,798
CenturyTel, Inc.+ 220 9,605
Citizens Communications Co.+ 610 8,766
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 698,896
-------------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Sprint Nextel Corp.+ 5,470 103,328
Alltel Corp. 710 42,941
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 146,269
-------------
TOTAL TELECOMMUNICATION SERVICES 845,165
-------------
MATERIALS 1.9%
CHEMICALS 1.0%
E.I. du Pont de Nemours and Co.+ 1,740 84,755
Dow Chemical Co. 1,800 71,892
Monsanto Co. 1,030 54,106
Praxair, Inc. 610 36,191
Air Products & Chemicals, Inc. 420 29,518
PPG Industries, Inc.+ 310 19,905
Ecolab, Inc.+ 340 15,368
Rohm & Haas Co. 270 13,802
Eastman Chemical Co.+ 160 9,490
Sigma-Aldrich Corp. 120 9,326
Ashland, Inc. 110 7,610
International Flavors & Fragrances,
Inc. 150 7,374
Hercules, Inc.*+ 210 4,055
-------------
TOTAL CHEMICALS 363,392
-------------
METALS & MINING 0.6%
Alcoa, Inc. 1,640 49,216
Phelps Dodge Corp. 390 46,691
Newmont Mining Corp.+ 850 38,378
Nucor Corp.+ 570 31,156
Freeport-McMoRan Copper &
Gold, Inc. -- Class B+ 370 20,620
Allegheny Technologies, Inc.+ 190 17,229
United States Steel Corp.+ 220 16,091
-------------
TOTAL METALS & MINING 219,381
-------------
PAPER & FOREST PRODUCTS 0.2%
Weyerhaeuser Co. 450 31,793
International Paper Co. 858 29,258
MeadWestvaco Corp. 340 10,220
-------------
TOTAL PAPER & FOREST PRODUCTS 71,271
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING 0.1%
Sealed Air Corp. 150 $ 9,738
Temple-Inland, Inc.+ 200 9,206
Pactiv Corp.* 250 8,922
Ball Corp. 200 8,720
Bemis Co. 200 6,796
-------------
TOTAL CONTAINERS & PACKAGING 43,382
-------------
CONSTRUCTION MATERIALS 0.0%
Vulcan Materials Co. 180 16,177
-------------
TOTAL CONSTRUCTION MATERIALS 16,177
-------------
TOTAL MATERIALS 713,603
-------------
TOTAL COMMON STOCKS
(Cost $19,410,529) 24,045,851
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 34.3%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 2,249,794 2,249,794
4.80% due 01/02/07 2,795,253 2,795,253
4.79% due 01/02/07 2,795,253 2,795,253
4.65% due 01/02/07 2,795,253 2,795,253
4.60% due 01/02/07 2,264,154 2,264,154
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $12,899,707) 12,899,707
-------------
SECURITIES LENDING COLLATERAL 11.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,400,651 4,400,651
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,400,651) 4,400,651
-------------
TOTAL INVESTMENTS 109.8%
(Cost $36,710,887) $ 41,346,209
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (9.8)% $ (3,682,958)
=============
NET ASSETS - 100.0% 37,663,251
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $15,266,225) 214 $ 1,216
-------------
See Notes to Financial Statements.
70 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC S&P 500 FUND
- --------------------------------------------------------------------------------
UNREALIZED
LOSS
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS
March 2007 S&P 500 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$24,214,766) 17,073 $ (112,670)
March 2007 S&P 500 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$12,243,087) 8,632 (27,833)
-------------
(TOTAL NOTIONAL MARKET
VALUE $36,457,853) $ (140,503)
=============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE DATA.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 71
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 79.4%
INFORMATION TECHNOLOGY 48.8%
SOFTWARE 13.0%
Microsoft Corp.+ 53,120 $ 1,586,162
Oracle Corp.* 34,010 582,931
Adobe Systems, Inc.* 8,980 369,258
Symantec Corp.*+ 15,400 321,090
Electronic Arts, Inc.* 4,876 245,555
Intuit, Inc.* 6,905 210,672
Autodesk, Inc.*+ 3,780 152,939
Citrix Systems, Inc.*+ 3,370 91,158
Cadence Design Systems, Inc.*+ 4,560 81,670
Check Point Software
Technologies Ltd.*+ 3,700 81,104
BEA Systems, Inc.* 5,710 71,832
Activision, Inc.*+ 3,930 67,753
-------------
TOTAL SOFTWARE 3,862,124
-------------
COMMUNICATIONS EQUIPMENT 9.3%
Qualcomm, Inc. 31,290 1,182,449
Cisco Systems, Inc.* 34,060 930,860
Research In Motion Ltd.*+ 2,890 369,284
Juniper Networks, Inc.*+ 5,840 110,610
Comverse Technology, Inc.*+ 3,290 69,452
Telefonaktiebolaget LM Ericsson --
SP ADR+ 1,590 63,966
Tellabs, Inc.* 3,950 40,527
-------------
TOTAL COMMUNICATIONS EQUIPMENT 2,767,148
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 8.6%
Intel Corp.* 31,700 641,925
Broadcom Corp. -- Class A* 6,720 217,123
Maxim Integrated Products, Inc. 7,060 216,177
Applied Materials, Inc.+ 11,250 207,563
Nvidia Corp.*+ 5,480 202,815
Linear Technology Corp.+ 6,270 190,106
KLA-Tencor Corp.+ 3,780 188,055
Marvell Technology Group Ltd.*+ 8,770 168,296
Xilinx, Inc.+ 7,000 166,670
Altera Corp.* 7,994 157,322
Lam Research Corp.*+ 2,311 116,983
Microchip Technology, Inc.+ 2,823 92,312
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 2,565,347
-------------
COMPUTERS & PERIPHERALS 8.2%
Apple Computer, Inc.*+ 18,680 1,584,811
Dell, Inc.*+ 13,120 329,181
Network Appliance, Inc.*+ 6,100 239,608
SanDisk Corp.*+ 3,260 140,278
Sun Microsystems, Inc.*+ 24,043 130,313
-------------
TOTAL COMPUTERS & PERIPHERALS 2,424,191
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES 6.6%
Google, Inc. -- Class A*+ 2,134 $ 982,664
eBay, Inc.* 16,320 490,742
Yahoo!, Inc.*+ 10,270 262,296
Akamai Technologies, Inc.*+ 2,348 124,726
VeriSign, Inc.*+ 3,600 86,580
-------------
TOTAL INTERNET SOFTWARE & SERVICES 1,947,008
-------------
IT CONSULTING & SERVICES 2.4%
Paychex, Inc.+ 5,670 224,192
Fiserv, Inc.*+ 3,400 178,228
Cognizant Technology Solutions
Corp. -- Class A* 2,171 167,514
Infosys Technologies Ltd. --
SP ADR 1,730 94,389
CheckFree Corp.*+ 1,320 53,011
-------------
TOTAL IT CONSULTING & SERVICES 717,334
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7%
Flextronics International Ltd.* 9,881 113,434
CDW Corp.+ 1,278 89,869
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 203,303
-------------
TOTAL INFORMATION TECHNOLOGY 14,486,455
-------------
CONSUMER DISCRETIONARY 13.8%
MEDIA 4.4%
Comcast Corp. -- Class A*+ 15,038 636,559
NTL, Inc. 5,590 141,092
EchoStar Communications Corp.* 3,350 127,400
Liberty Global, Inc. -- Class A* 3,250 94,737
Sirius Satellite Radio, Inc.*+ 23,910 84,641
Lamar Advertising Co. --
Class A*+ 1,290 84,353
XM Satellite Radio Holdings,
Inc.*+ 4,950 71,528
Discovery Holding Co. -- Class A* 3,740 60,177
-------------
TOTAL MEDIA 1,300,487
-------------
HOTELS, RESTAURANTS & LEISURE 2.5%
Starbucks Corp.*+ 16,510 584,784
Wynn Resorts Ltd.+ 1,741 163,393
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 748,177
-------------
SPECIALTY RETAIL 2.3%
Bed Bath & Beyond, Inc.*+ 5,969 227,419
Staples, Inc. 7,620 203,454
American Eagle Outfitters, Inc. 3,640 113,604
Ross Stores, Inc. 2,160 63,288
Petsmart, Inc.+ 2,170 62,626
-------------
TOTAL SPECIALTY RETAIL 670,391
-------------
INTERNET & CATALOG RETAIL 2.2%
Liberty Media Corp - Interactive* 9,510 205,131
IAC/InterActiveCorp*+ 4,810 178,740
Amazon.com, Inc.*+ 4,290 169,283
Expedia, Inc.* 5,176 108,592
-------------
TOTAL INTERNET & CATALOG RETAIL 661,746
-------------
See Notes to Financial Statements.
72 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC OTC FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 1.4%
Sears Holdings Corp.*+ 2,530 $ 424,863
-------------
TOTAL MULTILINE RETAIL 424,863
-------------
HOUSEHOLD DURABLES 0.6%
Garmin Ltd.+ 3,140 174,772
-------------
TOTAL HOUSEHOLD DURABLES 174,772
-------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Apollo Group, Inc. -- Class A*+ 2,750 107,168
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 107,168
-------------
TOTAL CONSUMER DISCRETIONARY 4,087,604
-------------
HEALTH CARE 10.8%
BIOTECHNOLOGY 7.6%
Amgen, Inc.*+ 8,540 583,367
Gilead Sciences, Inc.* 7,112 461,782
Celgene Corp.*+ 5,880 338,276
Genzyme Corp.*+ 5,170 318,369
Biogen Idec, Inc.* 5,750 282,843
Medimmune, Inc.*+ 4,020 130,127
Vertex Pharmaceuticals, Inc.* 2,060 77,085
Amylin Pharmaceuticals, Inc.*+ 1,970 71,058
-------------
TOTAL BIOTECHNOLOGY 2,262,907
-------------
PHARMACEUTICALS 1.4%
Teva Pharmaceutical Industries
Ltd. -- SP ADR 9,540 296,503
Sepracor, Inc.*+ 1,670 102,839
-------------
TOTAL PHARMACEUTICALS 399,342
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.1%
Biomet, Inc. 5,180 213,779
DENTSPLY International, Inc. 2,290 68,356
Intuitive Surgical, Inc.*+ 581 55,718
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 337,853
-------------
HEALTH CARE PROVIDERS & SERVICES 0.7%
Express Scripts, Inc.*+ 1,900 136,040
Patterson Cos., Inc.*+ 2,090 74,216
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 210,256
-------------
TOTAL HEALTH CARE 3,210,358
-------------
INDUSTRIALS 3.4%
MACHINERY 1.3%
Paccar, Inc. 4,370 283,613
Joy Global, Inc.+ 1,830 88,462
-------------
TOTAL MACHINERY 372,075
-------------
AIR FREIGHT & COURIERS 0.8%
Expeditors International
Washington, Inc.+ 3,290 133,245
CH Robinson Worldwide, Inc.+ 2,620 107,132
-------------
TOTAL AIR FREIGHT & COURIERS 240,377
-------------
COMMERCIAL SERVICES & SUPPLIES 0.7%
Cintas Corp.+ 3,020 119,924
Monster Worldwide, Inc.*+ 2,060 96,078
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 216,002
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 0.3%
American Power Conversion
Corp. 3,054 $ 93,422
-------------
TOTAL ELECTRICAL EQUIPMENT 93,422
-------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
Fastenal Co.+ 2,267 81,340
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 81,340
-------------
TOTAL INDUSTRIALS 1,003,216
-------------
TELECOMMUNICATION SERVICES 1.2%
WIRELESS TELECOMMUNICATION SERVICES 0.8%
NII Holdings, Inc. -- Class B*+ 2,360 152,079
Millicom International
Cellular SA*+ 1,527 94,124
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 246,203
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.4%
Level 3 Communications, Inc.*+ 18,020 100,912
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 100,912
-------------
TOTAL TELECOMMUNICATION SERVICES 347,115
-------------
CONSUMER STAPLES 1.0%
FOOD & DRUG RETAILING 1.0%
Costco Wholesale Corp.+ 3,790 200,377
Whole Foods Market, Inc.+ 2,150 100,900
-------------
TOTAL FOOD & DRUG RETAILING 301,277
-------------
TOTAL CONSUMER STAPLES 301,277
-------------
MATERIALS 0.2%
CHEMICALS 0.2%
Sigma-Aldrich Corp. 990 76,943
-------------
TOTAL CHEMICALS 76,943
-------------
TOTAL MATERIALS 76,943
-------------
ENERGY 0.2%
ENERGY EQUIPMENT & SERVICES 0.2%
Patterson-UTI Energy, Inc.+ 2,520 58,540
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 58,540
-------------
TOTAL ENERGY 58,540
-------------
TOTAL COMMON STOCKS
(Cost $17,897,861) 23,571,508
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 23.9%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 2,881,307 2,881,307
4.80% due 01/02/07 937,977 937,977
4.79% due 01/02/07 937,977 937,977
4.65% due 01/02/07 937,977 937,977
4.60% due 01/02/07++ 1,395,955 1,395,955
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,091,193) 7,091,193
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 73
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC OTC FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
SECURITIES LENDING COLLATERAL 24.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) $ 7,320,487 $ 7,320,487
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,320,487) 7,320,487
-------------
TOTAL INVESTMENTS 128.0%
(Cost $32,309,541) $ 37,983,188
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (28.0)% $ (8,310,576)
=============
NET ASSETS - 100.0% $ 29,672,612
- -------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Nasdaq 100 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $354,900) 10 $ 248
=============
UNITS
-------------
EQUITY INDEX SWAP AGREEMENTS
March 2007 Nasdaq 100 Index
Swap, Terminating 03/29/07**
(Notional Market Value
$29,280,364) 16,666 $ (38,110)
March 2007 Nasdaq 100 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$6,496,317) 3,698 (479)
-------------
(TOTAL NOTIONAL MARKET
VALUE $35,776,681) $ (38,589)
=============
* 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 DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
74 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 67.4%
FINANCIALS 11.9%
INSURANCE 3.8%
Everest Re Group Ltd. 2,840 $ 278,632
W.R. Berkley Corp. 7,652 264,071
HCC Insurance Holdings, Inc. 6,960 223,346
Protective Life Corp. 4,430 210,425
American Financial Group, Inc.+ 5,355 192,298
Horace Mann Educators Corp. 7,533 152,167
Stancorp Financial Group, Inc. 1,650 74,332
Old Republic International Corp. 2,720 63,322
Fidelity National Financial, Inc. --
Class A 1,195 28,537
-------------
TOTAL INSURANCE 1,487,130
-------------
REAL ESTATE 2.8%
Regency Centers Corp. 3,260 254,834
AMB Property Corp. 4,200 246,162
Liberty Property Trust+ 4,630 227,518
Potlatch Corp.+ 4,060 177,909
Hospitality Properties Trust+ 1,740 82,702
Macerich Co.+ 790 68,390
Developers Diversified
Realty Corp.+ 550 34,623
-------------
TOTAL REAL ESTATE 1,092,138
-------------
CAPITAL MARKETS 1.7%
A.G. Edwards, Inc.+ 4,057 256,767
SEI Investments Co.+ 2,660 158,430
Investors Financial Services Corp.+ 3,250 138,677
Nuveen Investments, Inc. --
Class A 1,860 96,497
Eaton Vance Corp.+ 860 28,389
-------------
TOTAL CAPITAL MARKETS 678,760
-------------
BANKS 1.7%
Colonial BancGroup, Inc. 8,830 227,284
Cullen/Frost Bankers, Inc. 3,950 220,489
Greater Bay Bancorp+ 6,250 164,563
Cathay General Bancorp 1,240 42,792
Mercantile Bankshares Corp. 60 2,807
-------------
TOTAL BANKS 657,935
-------------
THRIFTS & MORTGAGE FINANCE 1.3%
PMI Group, Inc.+ 5,030 237,265
Radian Group, Inc.+ 4,360 235,048
Webster Financial Corp. 410 19,975
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 492,288
-------------
CONSUMER FINANCE 0.6%
AmeriCredit Corp.*+ 8,398 211,378
-------------
TOTAL CONSUMER FINANCE 211,378
-------------
TOTAL FINANCIALS 4,619,629
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIALS 10.6%
MACHINERY 2.9%
Joy Global, Inc.+ 5,790 $ 279,888
Oshkosh Truck Corp. 4,430 214,501
Timken Co.+ 6,620 193,172
Crane Co. 4,570 167,445
Nordson Corp. 2,160 107,633
Lincoln Electric Holdings, Inc. 1,710 103,318
AGCO Corp.*+ 1,670 51,670
Graco, Inc.+ 2 79
-------------
TOTAL MACHINERY 1,117,706
-------------
COMMERCIAL SERVICES & SUPPLIES 2.8%
Manpower, Inc. 3,860 289,230
Adesa, Inc. 7,170 198,968
Dun & Bradstreet Corp.*+ 1,920 158,957
Korn/Ferry International, Inc.*+ 6,640 152,454
Navigant Consulting, Inc.*+ 7,690 151,954
Kelly Services, Inc. 4,950 143,253
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,094,816
-------------
ROAD & RAIL 1.3%
Avis Budget Group, Inc. 8,490 184,148
YRC Worldwide, Inc.*+ 4,610 173,935
Swift Transportation Co., Inc.* 5,880 154,468
-------------
TOTAL ROAD & RAIL 512,551
-------------
AEROSPACE & DEFENSE 1.0%
Precision Castparts Corp.+ 3,410 266,935
DRS Technologies, Inc.+ 2,220 116,949
-------------
TOTAL AEROSPACE & DEFENSE 383,884
-------------
CONSTRUCTION & ENGINEERING 0.9%
Quanta Services, Inc.*+ 9,980 196,307
Granite Construction, Inc. 3,320 167,062
-------------
TOTAL CONSTRUCTION & ENGINEERING 363,369
-------------
AIR FREIGHT & COURIERS 0.6%
Expeditors International
Washington, Inc.+ 4,280 173,340
CH Robinson Worldwide, Inc.+ 1,162 47,514
-------------
TOTAL AIR FREIGHT & COURIERS 220,854
-------------
TRADING COMPANIES & DISTRIBUTORS 0.5%
United Rentals, Inc.* 6,803 173,000
MSC Industrial Direct Co.
-- Class A+ 710 27,797
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 200,797
-------------
INDUSTRIAL CONGLOMERATES 0.3%
Teleflex, Inc.+ 1,930 124,601
-------------
TOTAL INDUSTRIAL CONGLOMERATES 124,601
-------------
ELECTRICAL EQUIPMENT 0.3%
Roper Industries, Inc. 1,180 59,283
Thomas & Betts Corp.* 1,200 56,736
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 75
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AMETEK, Inc. 155 $ 4,935
-------------
TOTAL ELECTRICAL EQUIPMENT 120,954
-------------
TOTAL INDUSTRIALS 4,139,532
-------------
CONSUMER DISCRETIONARY 10.5%
SPECIALTY RETAIL 4.9%
American Eagle Outfitters, Inc. 8,955 279,485
Abercrombie & Fitch Co. --
Class A+ 3,980 277,127
Foot Locker, Inc.+ 9,300 203,949
Rent-A-Center, Inc.*+ 6,460 190,635
Payless Shoesource, Inc.* 5,780 189,700
AnnTaylor Stores Corp.* 5,509 180,916
Regis Corp. 4,480 177,139
Aeropostale, Inc.* 5,610 173,181
Charming Shoppes, Inc.*+ 10,440 141,253
Dick's Sporting Goods, Inc.*+ 870 42,621
GameStop Corp. -- Class A*+ 690 38,026
-------------
TOTAL SPECIALTY RETAIL 1,894,032
-------------
HOUSEHOLD DURABLES 1.4%
Mohawk Industries, Inc.*+ 2,940 220,089
Tupperware Brands Corp.+ 7,630 172,514
Furniture Brands International,
Inc.+ 5,770 93,647
M.D.C. Holdings, Inc. 919 52,429
-------------
TOTAL HOUSEHOLD DURABLES 538,679
-------------
MEDIA 1.2%
Lee Enterprises, Inc.+ 5,633 174,961
Harte-Hanks, Inc. 5,840 161,826
Media General, Inc. 2,645 98,315
Valassis Communications, Inc.*+ 3,390 49,155
-------------
TOTAL MEDIA 484,257
-------------
MULTILINE RETAIL 0.9%
Dollar Tree Stores, Inc.*+ 6,250 188,125
99 Cents Only Stores* 13,350 162,469
-------------
TOTAL MULTILINE RETAIL 350,594
-------------
HOTELS, RESTAURANTS & LEISURE 0.8%
Ruby Tuesday, Inc.+ 5,720 156,957
Bob Evans Farms, Inc.+ 2,930 100,265
International Speedway Corp. --
Class A 850 43,384
CBRL Group, Inc. 570 25,513
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 326,119
-------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
DeVry, Inc.+ 6,340 177,520
Sotheby's Holdings, Inc. --
Class A 1,870 58,007
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 235,527
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AUTO COMPONENTS 0.4%
BorgWarner, Inc.+ 2,470 $ 145,779
-------------
TOTAL AUTO COMPONENTS 145,779
-------------
TEXTILES & APPAREL 0.2%
Polo Ralph Lauren Corp. 1,060 82,320
Timberland Co. -- Class A*+ 5 158
-------------
TOTAL TEXTILES & APPAREL 82,478
-------------
AUTOMOBILES 0.1%
Thor Industries, Inc.+ 820 36,072
-------------
TOTAL AUTOMOBILES 36,072
-------------
TOTAL CONSUMER DISCRETIONARY 4,093,537
-------------
INFORMATION TECHNOLOGY 10.4%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.5%
Lam Research Corp.*+ 5,850 296,127
Intersil Corp. -- Class A 8,650 206,908
Integrated Device Technology,
Inc.* 10,780 166,874
MEMC Electronic Materials, Inc.*+ 4,060 158,908
Atmel Corp.* 9,140 55,297
Fairchild Semiconductor
International, Inc.* 2,720 45,723
Microchip Technology, Inc.+ 1,170 38,259
Silicon Laboratories, Inc.*+ 110 3,812
Semtech Corp.* 150 1,961
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 973,869
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.0%
Vishay Intertechnology, Inc.*+ 14,510 196,466
Ingram Micro, Inc. -- Class A* 8,200 167,362
Tech Data Corp.* 3,320 125,728
Plexus Corp.*+ 5,155 123,101
Avnet, Inc.*+ 4,540 115,906
CDW Corp.+ 900 63,288
Amphenol Corp. -- Class A+ 150 9,312
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 801,163
-------------
IT CONSULTING & SERVICES 1.8%
BISYS Group, Inc.* 13,880 179,191
Acxiom Corp. 6,860 175,959
CSG Systems International, Inc.* 5,920 158,241
SRA International, Inc. --
Class A*+ 5,490 146,803
Alliance Data Systems Corp.*+ 890 55,598
-------------
TOTAL IT CONSULTING & SERVICES 715,792
-------------
SOFTWARE 1.6%
Sybase, Inc.*+ 7,580 187,226
Fair Isaac Corp. 4,540 184,551
Jack Henry & Associates, Inc.+ 7,110 152,154
Mentor Graphics Corp.* 3,830 69,055
Macrovision Corp.*+ 1,250 35,325
-------------
TOTAL SOFTWARE 628,311
-------------
See Notes to Financial Statements.
76 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 1.3%
Polycom, Inc.*+ 6,200 $ 191,642
CommScope, Inc.*+ 5,712 174,102
Harris Corp. 2,060 94,472
ADTRAN, Inc.+ 1,210 27,467
Dycom Industries, Inc.*+ 310 6,547
-------------
TOTAL COMMUNICATIONS EQUIPMENT 494,230
-------------
COMPUTERS & PERIPHERALS 1.2%
Western Digital Corp.* 11,390 233,040
Palm, Inc.*+ 11,790 166,121
Diebold, Inc.+ 1,160 54,056
-------------
TOTAL COMPUTERS & PERIPHERALS 453,217
-------------
TOTAL INFORMATION TECHNOLOGY 4,066,582
-------------
HEALTH CARE 7.2%
HEALTH CARE PROVIDERS & SERVICES 2.8%
Covance, Inc.*+ 3,688 217,260
Universal Health Services, Inc. --
Class B 3,720 206,200
Psychiatric Solutions, Inc.*+ 4,620 173,342
LifePoint Hospitals, Inc.* 5,120 172,544
Apria Healthcare Group, Inc.* 6,246 166,456
Health Net, Inc.* 1,600 77,856
Omnicare, Inc.+ 1,980 76,487
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,090,145
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.4%
DENTSPLY International, Inc. 7,710 230,144
Hillenbrand Industries, Inc. 3,700 210,641
Edwards Lifesciences Corp.*+ 4,210 198,038
Advanced Medical Optics, Inc.*+ 5,120 180,224
Varian Medical Systems, Inc.*+ 1,950 92,762
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 911,809
-------------
BIOTECHNOLOGY 1.5%
Cephalon, Inc.*+ 3,160 222,496
Martek Biosciences Corp.*+ 6,140 143,308
Charles River Laboratories
International, Inc.*+ 3,130 135,372
Millennium Pharmaceuticals, Inc.* 5,830 63,547
Techne Corp.* 500 27,725
Vertex Pharmaceuticals, Inc.* 60 2,245
-------------
TOTAL BIOTECHNOLOGY 594,693
-------------
PHARMACEUTICALS 0.5%
Perrigo Co.+ 5,520 95,496
Sepracor, Inc.*+ 1,320 81,285
Par Pharmaceutical Cos., Inc.* 610 13,646
-------------
TOTAL PHARMACEUTICALS 190,427
-------------
TOTAL HEALTH CARE 2,787,074
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
UTILITIES 5.8%
MULTI-UTILITIES 2.5%
Wisconsin Energy Corp. 5,520 $ 261,979
OGE Energy Corp.+ 5,460 218,400
Puget Energy, Inc. 7,990 202,627
NSTAR+ 4,400 151,184
Aquila, Inc.* 28,280 132,916
-------------
TOTAL MULTI-UTILITIES 967,106
-------------
ELECTRIC UTILITIES 2.2%
Sierra Pacific Resources* 13,086 220,237
Pepco Holdings, Inc.+ 7,976 207,456
Westar Energy, Inc.+ 6,950 180,422
Black Hills Corp. 3,200 118,208
IDACORP, Inc. 3,040 117,496
-------------
TOTAL ELECTRIC UTILITIES 843,819
-------------
GAS UTILITIES 1.1%
Oneok, Inc. 5,570 240,178
AGL Resources, Inc. 5,210 202,721
-------------
TOTAL GAS UTILITIES 442,899
-------------
TOTAL UTILITIES 2,253,824
-------------
ENERGY 5.3%
OIL & GAS 3.0%
Noble Energy, Inc.+ 6,600 323,862
Newfield Exploration Co.* 5,690 261,455
Plains Exploration & Production
Co.*+ 4,540 215,786
Pogo Producing Co.+ 3,620 175,353
Overseas Shipholding Group,
Inc.+ 2,955 166,367
Southwestern Energy Co.*+ 840 29,442
-------------
TOTAL OIL & GAS 1,172,265
-------------
ENERGY EQUIPMENT & SERVICES 2.3%
ENSCO International, Inc.+ 6,001 300,410
Grant Prideco, Inc.* 5,140 204,418
Tidewater, Inc.+ 3,740 180,866
Pride International, Inc.*+ 3,830 114,938
Patterson-UTI Energy, Inc.+ 3,550 82,467
Cameron International Corp.*+ 250 13,263
Hanover Compressor Co.*+ 560 10,578
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 906,940
-------------
TOTAL ENERGY 2,079,205
-------------
MATERIALS 3.8%
CHEMICALS 2.5%
Lyondell Chemical Co.+ 10,260 262,348
FMC Corp. 2,750 210,512
Valspar Corp. 7,020 194,033
Cytec Industries, Inc.+ 2,150 121,497
Airgas, Inc. 2,933 118,845
Albemarle Corp. 850 61,030
-------------
TOTAL CHEMICALS 968,265
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 77
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
METALS & MINING 0.8%
Steel Dynamics, Inc.+ 6,220 $ 201,839
Reliance Steel & Aluminum Co.+ 2,202 86,715
Commercial Metals Co. 690 17,802
-------------
TOTAL METALS & MINING 306,356
-------------
CONTAINERS & PACKAGING 0.5%
Sonoco Products Co. 5,860 223,032
-------------
TOTAL CONTAINERS & PACKAGING 223,032
-------------
TOTAL MATERIALS 1,497,653
-------------
CONSUMER STAPLES 1.7%
HOUSEHOLD PRODUCTS 0.5%
Energizer Holdings, Inc.*+ 2,890 205,161
-------------
TOTAL HOUSEHOLD PRODUCTS 205,161
-------------
FOOD PRODUCTS 0.5%
J.M. Smucker Co. 4,050 196,303
-------------
TOTAL FOOD PRODUCTS 196,303
-------------
PERSONAL PRODUCTS 0.5%
Alberto-Culver Co.+ 8,260 177,177
-------------
TOTAL PERSONAL PRODUCTS 177,177
-------------
BEVERAGES 0.2%
Hansen Natural Corp.* 1,580 53,215
PepsiAmericas, Inc. 1,430 30,001
-------------
TOTAL BEVERAGES 83,216
-------------
TOTAL CONSUMER STAPLES 661,857
-------------
TELECOMMUNICATION SERVICES 0.2%
WIRELESS TELECOMMUNICATION SERVICES 0.1%
Telephone & Data Systems, Inc.+ 1,190 64,653
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 64,653
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.1%
Cincinnati Bell, Inc.* 5,930 27,100
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 27,100
-------------
TOTAL TELECOMMUNICATION SERVICES 91,753
-------------
TOTAL COMMON STOCKS
(Cost $24,123,921) 26,290,646
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 32.6%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 383,247 $ 383,247
4.80% due 01/02/07 3,235,099 3,235,099
4.79% due 01/02/07 3,235,099 3,235,099
4.65% due 01/02/07 3,235,099 3,235,099
4.60% due 01/02/07 2,620,430 2,620,430
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $12,708,974) 12,708,974
-------------
SECURITIES LENDING COLLATERAL 16.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 6,282,368 6,282,368
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $6,282,368) 6,282,368
-------------
TOTAL INVESTMENTS 116.1%
(Cost $43,115,263) $ 45,281,988
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (16.1)% $ (6,296,044)
=============
NET ASSETS - 100.0% $ 38,985,944
- -------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P MidCap 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $23,397,440) 289 $ (279,950)
-------------
UNITS
EQUITY INDEX SWAP AGREEMENT -------------
February 2006 S&P MidCap 400 Index
Swap, Terminating 02/22/07**
(Notional Market Value
$9,114,039) 11,331 $ (67,464)
-------------
* 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 DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
78 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE MID-CAP FUND
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 25.1%
Fannie Mae*
5.14% due 01/08/07 $ 500,000 $ 499,572
Freddie Mac*
5.00% due 01/02/07 1,000,000 1,000,000
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $1,499,572) 1,499,572
-------------
REPURCHASE AGREEMENTS 46.7%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ 397,001 397,001
4.80% due 01/02/07 625,925 625,925
4.79% due 01/02/07 625,925 625,925
4.65% due 01/02/07 625,925 625,925
4.60% due 01/02/07 506,999 506,999
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,781,775) 2,781,775
-------------
TOTAL INVESTMENTS 71.8%
(Cost $4,281,347) $4,281,347
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 28.2% $1,677,387
=============
NET ASSETS - 100.0% $5,958,734
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
March 2007 S&P MidCap 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $2,752,640) 34 14,923
=============
UNITS
EQUITY INDEX SWAP AGREEMENT -------------
SOLD SHORT
February 2007 S&P MidCap 400 Index
Swap, Terminating 02/22/07**
(Notional Market Value
$3,215,647) 3,998 $ 56,353
=============
* 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 MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 79
SCHEDULE OF INVESTMENTS December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 61.7%
FINANCIALS 13.5%
REAL ESTATE 4.6%
Alexandria Real Estate Equities,
Inc. 90 $ 9,036
Realty Income Corp. 310 8,587
Nationwide Health Properties, Inc. 270 8,159
LaSalle Hotel Properties 160 7,336
Home Properties, Inc. 120 7,112
Entertainment Properties Trust 120 7,013
Post Properties, Inc. 150 6,855
Potlatch Corp. 150 6,573
Corporate Office Properties
Trust SBI 130 6,561
Washington Real Estate Investment
Trust 160 6,400
American Home Mortgage
Investment Corp. 180 6,322
Strategic Hotel Capital, Inc. 270 5,883
Sunstone Hotel Investors, Inc. 220 5,881
BioMed Realty Trust, Inc. 200 5,720
Newcastle Investment Corp. 180 5,638
Senior Housing Properties Trust 230 5,630
Pennsylvania Real Estate
Investment Trust 140 5,513
Spirit Finance Corp. 410 5,113
FelCor Lodging Trust, Inc. 230 5,023
Cousins Properties, Inc. 140 4,938
Equity Lifestyle Properties, Inc. 90 4,899
Eastgroup Properties, Inc. 90 4,820
Tanger Factory Outlet Centers,
Inc. 120 4,690
Highwoods Properties, Inc. 110 4,484
PS Business Parks, Inc. 60 4,243
Highland Hospitality Corp. 290 4,132
Sovran Self Storage, Inc. 70 4,010
Acadia Realty Trust 160 4,003
Franklin Street Properties Corp.,
Inc. 190 3,999
Ashford Hospitality Trust, Inc. 310 3,860
Anthracite Capital, Inc. 300 3,819
NorthStar Realty Finance Corp. 220 3,645
Parkway Properties, Inc. 70 3,571
Medical Properties Trust, Inc. 230 3,519
Equity Inns, Inc. 220 3,511
Impac Mortgage Holdings, Inc. 390 3,432
Innkeepers USA Trust 220 3,410
Kite Realty Group Trust 170 3,165
RAIT Financial Trust 90 3,103
Capital Trust, Inc. -- Class A 60 2,996
Winston Hotels, Inc. 210 2,783
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
First Potomac Realty Trust 80 $ 2,329
-------------
TOTAL REAL ESTATE 211,716
-------------
BANKS 4.5%
SVB Financial Group* 180 8,392
Cathay General Bancorp 240 8,282
Westamerica Bancorporation 160 8,101
Pacific Capital Bancorp 240 8,059
International Bancshares Corp. 240 7,418
Chittenden Corp. 240 7,366
Greater Bay Bancorp 260 6,846
Sterling Financial Corp. 190 6,424
Wintrust Financial Corp. 130 6,243
Central Pacific Financial Corp. 160 6,202
Provident Bankshares Corp. 170 6,052
Citizens Banking Corp. 220 5,830
MB Financial Corp. 150 5,642
First Community Bancorp 100 5,227
First Republic Bank 130 5,080
Boston Private Financial Holdings,
Inc. 180 5,078
National Penn Bancshares, Inc. 250 5,063
UMB Financial Corp. 130 4,746
Hanmi Financial Corp. 210 4,731
CVB Financial Corp. 320 4,627
Sterling Bancshares, Inc. 355 4,622
Prosperity Bancshares, Inc. 130 4,486
Chemical Financial Corp. 130 4,329
Signature Bank* 130 4,027
PrivateBancorp, Inc. 90 3,747
City Holding Co. 90 3,680
Banner Corp. 80 3,547
First Bancorp Puerto Rico 370 3,526
Capitol Bancorp Ltd. 70 3,234
Centennial Bank Holdings, Inc.* 340 3,216
Columbia Banking Systems, Inc. 90 3,161
Western Alliance Bancorp, Inc.* 90 3,129
Integra Bank Corp. 110 3,027
Texas Capital Bancshares, Inc.* 150 2,982
Nara Bancorp, Inc. 140 2,929
Pinnacle Financial Partners, Inc.* 80 2,654
Old National Bancorp 140 2,649
Virginia Commerce Bancorp, Inc.* 130 2,584
Seacoast Banking Corporation
of Florida 100 2,480
Wilshire Bancorp, Inc. 130 2,466
Community Bancorp* 80 2,415
Texas United Bancshares, Inc. 70 2,404
Preferred Bank 40 2,404
Placer Sierra Bancshares 100 2,377
Intervest Bancshares Corp.* 60 2,065
Independent Bank Corp. 60 1,517
-------------
TOTAL BANKS 205,066
-------------
See Notes to Financial Statements.
80 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INSURANCE 1.7%
Ohio Casualty Corp. 250 $ 7,452
Selective Insurance Group, Inc. 120 6,875
Zenith National Insurance Corp. 140 6,567
Delphi Financial Group, Inc. --
Class A 160 6,473
Argonaut Group, Inc.* 160 5,578
RLI Corp. 90 5,078
LandAmerica Financial Group, Inc. 70 4,418
Infinity Property & Casualty Corp. 90 4,355
Safety Insurance Group, Inc. 80 4,057
Navigators Group, Inc.* 70 3,373
Universal American Financial
Corp.* 180 3,355
Tower Group, Inc. 100 3,107
Odyssey Re Holdings Corp. 80 2,984
Harleysville Group, Inc. 80 2,786
FPIC Insurance Group, Inc.* 70 2,728
EMC Insurance Group, Inc. 70 2,388
Meadowbrook Insurance Group,
Inc.* 220 2,176
American Physicians Capital, Inc.* 50 2,002
-------------
TOTAL INSURANCE 75,752
-------------
THRIFTS & MORTGAGE FINANCE 1.3%
Downey Financial Corp. 90 6,532
MAF Bancorp, Inc. 140 6,257
First Niagara Financial Group, Inc. 420 6,241
FirstFed Financial Corp.* 90 6,027
Corus Bankshares, Inc. 200 4,614
PFF Bancorp, Inc. 130 4,486
W Holding Co., Inc. 570 3,397
Triad Guaranty, Inc.* 60 3,292
Flagstar Bancorp, Inc. 220 3,265
Ocwen Financial Corp.* 200 3,172
TierOne Corp. 100 3,161
Franklin Bank Corp.* 150 3,081
Accredited Home Lenders Holding
Co.* 110 3,001
Fidelity Bankshares, Inc. 50 1,984
Fremont General Corp. 120 1,945
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 60,455
-------------
CAPITAL MARKETS 0.7%
Knight Capital Group, Inc. --
Class A* 390 7,476
Piper Jaffray Cos., Inc.* 80 5,212
Waddell & Reed Financial, Inc. --
Class A 180 4,925
SWS Group, Inc. 100 3,570
Calamos Asset Management,
Inc. -- Class A 120 3,219
LaBranche & Co., Inc.* 320 3,146
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
optionsXpress Holdings, Inc. 110 $ 2,496
TradeStation Group, Inc.* 180 2,475
-------------
TOTAL CAPITAL MARKETS 32,519
-------------
CONSUMER FINANCE 0.5%
Advanta Corp. 100 4,363
World Acceptance Corp.* 90 4,225
CompuCredit Corp.* 100 3,981
Cash America International, Inc. 80 3,752
Ezcorp, Inc. -- Class A* 150 2,438
First Cash Financial Services, Inc.* 90 2,328
Advance America Cash Advance
Centers, Inc. 130 1,905
Asta Funding, Inc. 50 1,522
-------------
TOTAL CONSUMER FINANCE 24,514
-------------
DIVERSIFIED FINANCIALS 0.2%
International Securities Exchange
Holdings, Inc. 80 3,743
Financial Federal Corp. 120 3,529
Portfolio Recovery Associates,
Inc.* 70 3,269
-------------
TOTAL DIVERSIFIED FINANCIALS 10,541
-------------
TOTAL FINANCIALS 620,563
-------------
INFORMATION TECHNOLOGY 11.6%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.4%
Varian Semiconductor Equipment
Associates, Inc.* 210 9,559
Formfactor, Inc.* 170 6,332
ON Semiconductor Corp.* 730 5,526
RF Micro Devices, Inc.* 720 4,889
Amkor Technology, Inc.* 500 4,670
Atheros Communications, Inc.* 210 4,477
Silicon Image, Inc.* 350 4,452
Cabot Microelectronics Corp.* 120 4,073
Trident Microsystems, Inc.* 220 4,000
MKS Instruments, Inc.* 170 3,839
Advanced Energy Industries, Inc.* 200 3,774
Micrel, Inc.* 350 3,773
Zoran Corp.* 250 3,645
OmniVision Technologies, Inc.* 260 3,549
Diodes, Inc.* 90 3,193
Intevac, Inc.* 120 3,114
Actel Corp.* 170 3,087
DSP Group, Inc.* 140 3,038
Kulicke & Soffa Industries, Inc.* 350 2,940
Hittite Microwave Corp.* 90 2,909
Mattson Technology, Inc.* 310 2,889
Cohu, Inc. 140 2,822
Cirrus Logic, Inc.* 410 2,821
Netlogic Microsystems, Inc.* 130 2,820
Asyst Technologies, Inc.* 370 2,705
AMIS Holdings, Inc.* 200 2,114
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 81
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Semtech Corp.* 160 $ 2,091
Supertex, Inc.* 50 1,962
Veeco Instruments, Inc.* 100 1,873
Cymer, Inc.* 30 1,319
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 108,255
-------------
SOFTWARE 2.1%
Sybase, Inc.* 320 7,904
TIBCO Software, Inc.* 800 7,552
Hyperion Solutions Corp.* 210 7,547
Micros Systems, Inc.* 140 7,378
Jack Henry & Associates, Inc. 310 6,634
Net 1 UEPS Technologies, Inc.* 200 5,912
MicroStrategy, Inc. -- Class A* 50 5,701
Macrovision Corp.* 190 5,369
Kronos, Inc.* 140 5,144
Transaction Systems Architects, Inc.
-- Class A* 140 4,560
Informatica Corp.* 330 4,029
Quest Software, Inc.* 220 3,223
Advent Software, Inc.* 90 3,176
Ansoft Corp.* 110 3,058
i2 Technologies, Inc.* 130 2,967
Ansys, Inc.* 60 2,609
Progress Software Corp.* 90 2,514
SPSS, Inc.* 80 2,406
Ultimate Software Group, Inc.* 100 2,326
Witness Systems, Inc.* 130 2,279
Smith Micro Software, Inc.* 160 2,270
Secure Computing Corp.* 270 1,771
-------------
TOTAL SOFTWARE 96,329
-------------
COMMUNICATIONS EQUIPMENT 1.8%
Polycom, Inc.* 310 9,582
Foundry Networks, Inc.* 540 8,089
Interdigital Communications
Corp.* 200 6,710
CommScope, Inc.* 210 6,401
ADTRAN, Inc. 270 6,129
Redback Networks, Inc.* 230 5,736
Arris Group, Inc.* 430 5,379
Utstarcom, Inc.* 500 4,375
Black Box Corp. 90 3,779
ViaSat, Inc.* 120 3,577
Packeteer, Inc.* 250 3,400
Mastec, Inc.* 270 3,116
Comtech Group, Inc.* 150 2,729
Oplink Communications, Inc.* 130 2,673
Blue Coat Systems, Inc.* 100 2,395
Radyne Corp., Inc.* 220 2,363
Sirenza Microdevices, Inc.* 300 2,358
Anaren, Inc.* 130 2,309
Carrier Access Corp.* 323 2,119
-------------
TOTAL COMMUNICATIONS EQUIPMENT 83,219
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.7%
Flir Systems, Inc.* 260 $ 8,276
Benchmark Electronics, Inc.* 250 6,090
Daktronics, Inc. 150 5,527
Itron, Inc.* 100 5,184
Plexus Corp.* 210 5,015
Global Imaging Systems, Inc.* 220 4,829
Rofin-Sinar Technologies, Inc.* 70 4,232
Rogers Corp.* 70 4,140
Coherent, Inc.* 120 3,788
Scansource, Inc.* 110 3,344
Littelfuse, Inc.* 100 3,188
MTS Systems Corp. 80 3,090
Cogent, Inc.* 260 2,863
TTM Technologies, Inc.* 250 2,832
Radisys Corp.* 150 2,501
CTS Corp. 150 2,355
Park Electrochemical Corp. 90 2,309
Zygo Corp., Inc.* 140 2,303
Agilsys, Inc. 120 2,009
Acacia Research - Acacia
Technologies* 140 1,873
SYNNEX Corp.* 80 1,755
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 77,503
-------------
INTERNET SOFTWARE & SERVICES 1.5%
Digital River, Inc.* 140 7,811
aQuantive, Inc.* 270 6,658
Digitas, Inc.* 430 5,766
j2 Global Communications, Inc.* 190 5,177
RealNetworks, Inc.* 440 4,814
Websense, Inc.* 210 4,794
ValueClick, Inc.* 200 4,726
United Online, Inc. 290 3,851
Internap Network Services Corp.* 180 3,577
Interwoven, Inc.* 240 3,521
The Knot, Inc.* 120 3,149
InfoSpace, Inc.* 150 3,076
webMethods, Inc.* 370 2,723
Perficient, Inc.* 150 2,462
TheStreet.com, Inc. 250 2,225
Vignette Corp.* 130 2,219
SonicWALL, Inc.* 250 2,105
Travelzoo, Inc.* 60 1,797
-------------
TOTAL INTERNET SOFTWARE & SERVICES 70,451
-------------
IT CONSULTING & SERVICES 1.3%
CACI International, Inc. --
Class A* 120 6,780
MPS Group, Inc.* 420 5,955
BISYS Group, Inc.* 460 5,938
Perot Systems Corp. -- Class A* 310 5,081
CSG Systems International, Inc.* 190 5,079
eFunds Corp.* 180 4,950
Talx Corp. 140 3,843
See Notes to Financial Statements.
82 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Mantech International Corp. --
Class A* 90 $ 3,315
SYKES Enterprises, Inc.* 170 2,999
Gevity HR, Inc. 120 2,843
Lightbridge, Inc.* 200 2,708
RightNow Technologies, Inc.* 140 2,411
Integral Systems, Inc. 100 2,317
Keane, Inc.* 190 2,263
SRA International, Inc. -- Class A* 80 2,139
-------------
TOTAL IT CONSULTING & SERVICES 58,621
-------------
COMPUTERS & PERIPHERALS 0.8%
Brocade Communications Systems,
Inc.* 960 7,882
Imation Corp. 150 6,964
Electronics for Imaging, Inc.* 260 6,911
Palm, Inc.* 410 5,777
Komag, Inc.* 140 5,303
McData Corp. -- Class A* 760 4,218
-------------
TOTAL COMPUTERS & PERIPHERALS 37,055
-------------
TOTAL INFORMATION TECHNOLOGY 531,433
-------------
CONSUMER DISCRETIONARY 10.0%
SPECIALTY RETAIL 2.4%
Payless Shoesource, Inc.* 240 7,877
Rent-A-Center, Inc.* 250 7,377
Regis Corp. 180 7,117
Men's Wearhouse, Inc. 180 6,887
Aeropostale, Inc.* 220 6,791
Charming Shoppes, Inc.* 480 6,494
Guess ?, Inc.* 90 5,709
Gymboree Corp.* 140 5,342
Group 1 Automotive, Inc. 100 5,172
Dress Barn, Inc.* 200 4,666
Stage Stores, Inc. 130 3,951
Cato Corp. -- Class A 160 3,666
Buckle, Inc. 70 3,560
Select Comfort Corp.* 200 3,478
DSW, Inc.* 90 3,471
CSK Auto Corp.* 200 3,430
The Wet Seal, Inc. -- Class A* 470 3,135
Charlotte Russe Holding, Inc.* 100 3,075
Books-A-Million, Inc. 120 2,722
Christopher & Banks Corp. 140 2,612
Bebe Stores, Inc. 130 2,573
Shoe Carnival, Inc.* 80 2,528
Asbury Automotive Group, Inc. 100 2,356
Talbots, Inc. 90 2,169
Tween Brands, Inc.* 40 1,597
-------------
TOTAL SPECIALTY RETAIL 107,755
-------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE 1.9%
Jack in the Box, Inc.* 130 $ 7,935
Sonic Corp.* 310 7,425
Ruby Tuesday, Inc. 230 6,311
Pinnacle Entertainment, Inc.* 190 6,297
CEC Entertainment, Inc.* 140 5,635
CBRL Group, Inc. 120 5,371
CKE Restaurants, Inc. 280 5,152
WMS Industries, Inc.* 140 4,881
Bob Evans Farms, Inc. 140 4,791
Rare Hospitality International, Inc.* 140 4,610
Domino's Pizza, Inc. 160 4,480
IHOP Corp. 80 4,216
Papa John's International, Inc.* 110 3,191
AFC Enterprises* 170 3,004
Monarch Casino & Resort, Inc.* 100 2,388
Ruth's Chris Steak House* 130 2,376
Speedway Motorsports, Inc. 60 2,304
Landry's Restaurants, Inc. 70 2,106
Dover Downs Gaming
& Entertainment, Inc. 140 1,872
Ameristar Casinos, Inc. 50 1,537
Texas Roadhouse, Inc.* 5 66
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 85,948
-------------
TEXTILES & APPAREL 1.2%
Phillips-Van Heusen Corp. 190 9,532
Wolverine World Wide, Inc. 220 6,274
Brown Shoe Co., Inc. 120 5,729
Warnaco Group, Inc.* 190 4,822
Kellwood Co. 130 4,228
Oxford Industries, Inc. 80 3,972
Deckers Outdoor Corp.* 60 3,597
Carter's, Inc.* 140 3,570
K-Swiss, Inc. -- Class A 100 3,074
Iconix Brand Group, Inc.* 150 2,909
Steven Madden Ltd. 80 2,807
Columbia Sportswear Co. 50 2,785
True Religion Apparel, Inc.* 140 2,143
Maidenform Brands, Inc.* 88 1,595
-------------
TOTAL TEXTILES & APPAREL 57,037
-------------
MEDIA 1.2%
Lee Enterprises, Inc. 190 5,902
Scholastic Corp.* 150 5,376
Catalina Marketing Corp. 180 4,950
Arbitron, Inc. 110 4,778
Entercom Communications Corp. 160 4,509
RCN Corp.* 140 4,221
Interactive Data Corp. 160 3,846
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 83
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Valassis Communications, Inc.* 230 $ 3,335
CKX, Inc.* 270 3,167
Morningstar, Inc.* 60 2,703
Westwood One, Inc. 380 2,683
Journal Register Co. 320 2,336
Harris Interactive, Inc.* 450 2,268
Cumulus Media, Inc. -- Class A* 180 1,870
Citadel Broadcasting Corp. 150 1,494
-------------
TOTAL MEDIA 53,438
-------------
HOUSEHOLD DURABLES 1.0%
Yankee Candle Co., Inc. 170 5,828
Tupperware Brands Corp. 250 5,653
Meritage Homes Corp.* 110 5,249
Ethan Allen Interiors, Inc. 140 5,055
American Greetings Corp. --
Class A 210 5,013
Tempur-Pedic International, Inc.* 240 4,910
Champion Enterprises, Inc.* 380 3,557
Furniture Brands International, Inc . 200 3,246
Interface, Inc. -- Class A* 210 2,986
Blyth, Inc. 140 2,905
Brookfield Homes Corp. 60 2,253
-------------
TOTAL HOUSEHOLD DURABLES 46,655
-------------
AUTO COMPONENTS 0.5%
ArvinMeritor, Inc. 320 5,834
Tenneco, Inc.* 200 4,944
Lear Corp. 140 4,134
Aftermarket Technology Corp.* 130 2,766
Fuel Systems Solutions, Inc.* 120 2,650
Drew Industries, Inc.* 80 2,081
LKQ Corp.* 60 1,379
-------------
TOTAL AUTO COMPONENTS 23,788
-------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Sotheby's Holdings, Inc. --
Class A 220 6,824
Jackson Hewitt Tax Service, Inc. 130 4,416
Corinthian Colleges, Inc.* 310 4,225
Pre-Paid Legal Services, Inc.* 60 2,348
Vertrue, Inc.* 60 2,305
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 20,118
-------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Marvel Entertainment, Inc.* 200 5,382
RC2 Corp.* 90 3,960
MarineMax, Inc.* 110 2,852
Jakks Pacific, Inc.* 110 2,403
Oakley, Inc. 110 2,207
Smith & Wesson Holding Corp.* 210 2,171
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 18,975
-------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL 0.3%
Priceline.com, Inc.* 120 $ 5,233
Systemax, Inc.* 190 3,315
Netflix, Inc.* 90 2,327
FTD Group, Inc.* 130 2,326
PetMed Express, Inc.* 130 1,736
-------------
TOTAL INTERNET & CATALOG RETAIL 14,937
-------------
MULTILINE RETAIL 0.3%
Big Lots, Inc.* 390 8,939
Bon-Ton Stores, Inc. 70 2,425
-------------
TOTAL MULTILINE RETAIL 11,364
-------------
AUTOMOBILES 0.2%
Winnebago Industries, Inc. 130 4,278
Monaco Coach Corp. 210 2,974
-------------
TOTAL AUTOMOBILES 7,252
-------------
DISTRIBUTORS 0.1%
Building Material Holding Corp. 150 3,704
Keystone Automotive Industries,
Inc.* 90 3,059
-------------
TOTAL DISTRIBUTORS 6,763
-------------
INTERNET SOFTWARE & SERVICES 0.1%
INVESTools, Inc.* 260 3,585
-------------
TOTAL INTERNET SOFTWARE & SERVICES 3,585
-------------
TOTAL CONSUMER DISCRETIONARY 457,615
-------------
INDUSTRIALS 8.6%
COMMERCIAL SERVICES & SUPPLIES 2.5%
Watson Wyatt & Co. Holdings 160 7,224
Waste Connections, Inc.* 170 7,063
Brady Corp. -- Class A 170 6,338
John H. Harland Co. 120 6,024
United Stationers, Inc.* 120 5,603
Herman Miller, Inc. 140 5,090
Labor Ready, Inc.* 260 4,766
Korn/Ferry International, Inc.* 200 4,592
Viad Corp. 110 4,466
Advisory Board Co.* 80 4,283
Heidrick & Struggles International,
Inc.* 100 4,236
Mine Safety Appliances Co. 110 4,031
CoStar Group, Inc.* 70 3,749
Amrep Corp. 30 3,675
American Reprographics Co.* 110 3,664
Consolidated Graphics, Inc.* 60 3,544
Ennis Inc. 140 3,424
Deluxe Corp. 120 3,024
Volt Information Sciences, Inc.* 60 3,013
Kenexa Corp. -- Class A* 90 2,993
Layne Christensen Co.* 90 2,955
CBIZ, Inc.* 400 2,788
PeopleSupport, Inc.* 130 2,737
See Notes to Financial Statements.
84 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- -------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMSYS IT Partners, Inc.* 130 $ 2,627
Pike Electric Corp.* 150 2,450
Waste Industries USA, Inc. 80 2,442
Kforce, Inc.* 200 2,434
Rollins, Inc. 110 2,432
ICT Group, Inc.* 70 2,211
School Specialty, Inc.* 50 1,875
Spherion Corp.* 200 1,486
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 117,239
-------------
MACHINERY 1.7%
Bucyrus International, Inc. --
Class A 140 7,246
Wabtec Corp. 210 6,380
Nordson Corp. 120 5,980
Actuant Corp. -- Class A 120 5,718
Watts Industries, Inc. -- Class A 130 5,344
Navistar International Corp.* 150 5,014
Mueller Industries, Inc. 140 4,438
Kaydon Corp. 110 4,371
Barnes Group, Inc. 170 3,697
RBC Bearings, Inc.* 120 3,439
Middleby Corp.* 30 3,140
EnPro Industries, Inc.* 90 2,989
American Science & Engineering,
Inc.* 50 2,976
Freightcar America, Inc. 50 2,773
Columbus McKinnon Corp. --
Class A* 130 2,733
NACCO Industries, Inc. -- Class A 20 2,732
Dynamic Materials Corp. 90 2,529
Astec Industries, Inc.* 60 2,106
Ampco-Pittsburgh Corp. PLC 60 2,009
Albany International Corp. --
Class A 60 1,975
-------------
TOTAL MACHINERY 77,589
-------------
ELECTRICAL EQUIPMENT 1.0%
Acuity Brands, Inc. 170 8,847
General Cable Corp.* 190 8,305
Regal-Beloit Corp. 140 7,352
Genlyte Group, Inc.* 90 7,030
Woodward Governor Co. 120 4,765
A.O. Smith Corp. 100 3,756
II-VI, Inc.* 130 3,632
Lamson & Sessions Co., Inc.* 120 2,911
-------------
TOTAL ELECTRICAL EQUIPMENT 46,598
-------------
AEROSPACE & DEFENSE 0.8%
BE Aerospace, Inc.* 310 7,961
Ceradyne, Inc.* 100 5,650
Teledyne Technologies, Inc.* 130 5,217
Orbital Sciences Corp.* 250 4,610
Hexcel Corp.* 190 3,308
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
EDO Corp. 130 $ 3,086
United Industrial Corp. 60 3,045
K&F Industries Holdings, Inc.* 130 2,952
-------------
TOTAL AEROSPACE & DEFENSE 35,829
-------------
BUILDING PRODUCTS 0.5%
Simpson Manufacturing Co., Inc. 170 5,380
NCI Building Systems, Inc.* 80 4,140
Ameron International Corp. 50 3,818
American Woodmark Corp. 80 3,348
Builders FirstSource, Inc.* 150 2,675
PW Eagle, Inc. 70 2,415
Universal Forest Products, Inc. 40 1,865
-------------
TOTAL BUILDING PRODUCTS 23,641
-------------
CONSTRUCTION & ENGINEERING 0.5%
EMCOR Group, Inc.* 120 6,822
Granite Construction, Inc. 130 6,542
Washington Group International,
Inc.* 60 3,587
Infrasource Services, Inc.* 150 3,265
Sterling Construction Co., Inc.* 100 2,176
-------------
TOTAL CONSTRUCTION & ENGINEERING 22,392
-------------
AIR FREIGHT & COURIERS 0.4%
HUB Group, Inc. -- Class A* 170 4,684
Pacer International, Inc. 140 4,168
Atlas Air Worldwide Holdings Co.,
Inc.* 90 4,005
EGL, Inc.* 130 3,871
Forward Air Corp. 40 1,157
-------------
TOTAL AIR FREIGHT & COURIERS 17,885
-------------
AIRLINES 0.4%
SkyWest, Inc. 260 6,633
JetBlue Airways Corp.* 360 5,112
Republic Airways Holdings, Inc.* 180 3,020
ExpressJet Holdings, Inc.* 360 2,916
-------------
TOTAL AIRLINES 17,681
-------------
ROAD & RAIL 0.4%
Genesee & Wyoming, Inc. --
Class A* 180 4,723
Arkansas Best Corp. 100 3,600
Amerco, Inc.* 40 3,480
Heartland Express, Inc. 230 3,455
Saia, Inc.* 100 2,321
-------------
TOTAL ROAD & RAIL 17,579
-------------
TRADING COMPANIES & DISTRIBUTORS 0.2%
Applied Industrial Technologies,
Inc. 170 4,473
Beacon Roofing Supply, Inc.* 210 3,952
BlueLinx Holdings, Inc. 200 2,080
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 10,505
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 85
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MARINE 0.2%
American Commercial Lines, Inc.* 70 $ 4,586
Horizon Lines, Inc. -- Class A 100 2,696
-------------
TOTAL MARINE 7,282
-------------
TOTAL INDUSTRIALS 394,220
-------------
HEALTH CARE 7.5%
HEALTH CARE EQUIPMENT & SUPPLIES 2.7%
Immucor, Inc.* 280 8,184
Bio--Rad Laboratories, Inc. -- Class A* 90 7,427
Mentor Corp. 140 6,842
Kyphon, Inc.* 160 6,464
West Pharmaceutical Services, Inc. 120 6,148
Varian, Inc.* 130 5,823
Hologic, Inc.* 110 5,201
Dionex Corp.* 90 5,104
Haemonetics Corp.* 110 4,952
American Medical Systems Holdings, Inc.* 250 4,630
Palomar Medical Technologies, Inc.* 90 4,560
Biosite, Inc.* 90 4,396
DJ Orthopedics, Inc.* 100 4,282
Zoll Medical Corp.* 70 4,077
ArthroCare Corp.* 100 3,992
Invacare Corp. 160 3,928
Integra LifeSciences Holdings Corp.* 90 3,833
Viasys Healthcare, Inc.* 130 3,617
Lifecell Corp.* 140 3,380
Intralase Corp.* 140 3,133
PharmaNet Development Group, Inc.* 130 2,869
OraSure Technologies, Inc.* 340 2,808
Quidel Corp.* 190 2,588
Conmed Corp.* 110 2,543
ICU Medical, Inc.* 60 2,441
Candela Corp.* 180 2,227
Meridian Bioscience, Inc. 90 2,208
SurModics, Inc.* 70 2,178
Abaxis, Inc.* 90 1,732
Steris Corp. 30 755
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 122,322
-------------
BIOTECHNOLOGY 1.8%
OSI Pharmaceuticals, Inc.* 200 6,996
Illumina, Inc.* 170 6,683
BioMarin Pharmaceuticals, Inc.* 350 5,736
Alkermes, Inc.* 400 5,348
Myriad Genetics, Inc.* 160 5,008
United Therapeutics Corp.* 90 4,893
Digene Corp.* 90 4,313
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Cubist Pharmaceuticals, Inc.* 220 $ 3,984
Martek Biosciences Corp.* 170 3,968
Savient Pharmaceuticals, Inc.* 350 3,924
Alnylam Pharmaceuticals, Inc.* 170 3,638
Array Biopharma, Inc.* 240 3,101
Progenics Pharmaceuticals, Inc.* 120 3,089
Tanox, Inc.* 150 2,985
Trimeris, Inc.* 230 2,923
Luminex Corp.* 200 2,540
Senomyx, Inc.* 190 2,468
BioCryst Pharmaceuticals, Inc.* 210 2,428
Alexion Pharmaceuticals, Inc.* 60 2,423
Genomic Health, Inc.* 130 2,418
Indevus Pharmaceuticals, Inc.* 270 1,917
Pharmion Corp.* 60 1,544
Telik, Inc.* 210 930
Nuvelo, Inc.* 220 880
-------------
TOTAL BIOTECHNOLOGY 84,137
-------------
HEALTH CARE PROVIDERS & SERVICES 1.7%
AMERIGROUP Corp.* 210 7,537
Magellan Health Services, Inc.* 150 6,483
Sunrise Senior Living, Inc.* 200 6,144
Apria Healthcare Group, Inc.* 210 5,596
Centene Corp.* 220 5,405
inVentiv Health, Inc.* 150 5,303
Corvel Corp.* 80 3,806
Kindred Healthcare, Inc.* 140 3,535
Gentiva Health Services, Inc.* 170 3,240
Omnicell, Inc.* 170 3,167
Vital Images, Inc.* 90 3,132
The Trizetto Group, Inc.* 160 2,939
Sun Healthcare Group, Inc.* 230 2,905
LHC Group, Inc.* 100 2,851
Amedisys, Inc.* 86 2,827
Molina Healthcare, Inc.* 80 2,601
PRA International* 100 2,527
Computer Programs & Systems, Inc. 70 2,379
Bio-Reference Labs, Inc.* 100 2,249
HealthExtras, Inc.* 90 2,169
Dendrite International, Inc.* 190 2,035
Odyssey HealthCare, Inc.* 110 1,459
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 80,289
-------------
PHARMACEUTICALS 1.3%
Perrigo Co. 350 6,055
Valeant Pharmaceuticals International 350 6,034
Viropharma, Inc.* 350 5,124
KV Pharmaceutical Co.* 180 4,281
Alpharma, Inc. -- Class A 170 4,097
Par Pharmaceutical Cos., Inc.* 180 4,027
See Notes to Financial Statements.
86 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Medicis Pharmaceutical Corp. -- Class A 110 $ 3,864
New River Pharmaceuticals, Inc.* 70 3,830
Sciele Pharma, Inc.* 150 3,600
Advanced Magnetics, Inc.* 60 3,583
Noven Pharmaceuticals, Inc.* 140 3,563
Pozen, Inc.* 180 3,058
Bradley Pharmaceuticals, Inc.* 130 2,675
Pain Therapeutics, Inc.* 300 2,670
Kendle International, Inc.* 80 2,516
-------------
TOTAL PHARMACEUTICALS 58,977
-------------
TOTAL HEALTH CARE 345,725
-------------
ENERGY 3.2%
OIL & GAS 1.6%
USEC, Inc.* 450 5,724
Comstock Resources, Inc.* 180 5,591
Swift Energy Co.* 120 5,377
Berry Petroleum Co. -- Class A 160 4,962
Penn Virginia Corp. 70 4,903
Stone Energy Corp.* 110 3,888
Alpha Natural Resources, Inc.* 270 3,842
PetroHawk Energy Corp.* 270 3,105
Arena Resources, Inc.* 70 2,990
Carrizo Oil & Gas, Inc.* 100 2,902
Harvest Natural Resources, Inc.* 270 2,870
Energy Partners Ltd.* 110 2,686
Parallel Petroleum Corp.* 150 2,635
Petroleum Development Corp.* 60 2,583
Vaalco Energy, Inc.* 360 2,430
Alon USA Energy, Inc. 90 2,368
Bois d'Arc Energy, Inc.* 160 2,341
World Fuel Services Corp. 50 2,223
Crosstex Energy, Inc. 70 2,218
Edge Petroleum Corp.* 120 2,189
GMX Resources, Inc.* 60 2,130
Brigham Exploration Co.* 278 2,032
Callon Petroleum Co.* 90 1,353
Houston Exploration Co.* 20 1,036
-------------
TOTAL OIL & GAS 74,378
-------------
ENERGY EQUIPMENT & SERVICES 1.6%
Lone Star Technologies, Inc.* 130 6,293
W-H Energy Services, Inc.* 120 5,843
Atwood Oceanics, Inc.* 110 5,387
Grey Wolf, Inc.* 780 5,351
Input/Output, Inc.* 370 5,043
Lufkin Industries, Inc. 80 4,646
Parker Drilling Co.* 560 4,575
Dril-Quip, Inc.* 110 4,307
Hornbeck Offshore Services, Inc.* 120 4,284
Allis-Chalmers Energy, Inc.* 150 3,456
GulfMark Offshore, Inc.* 90 3,367
Trico Marine Services, Inc.* 80 3,065
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Hydril* 40 $ 3,008
Dawson Geophysical Co.* 80 2,914
NATCO Group, Inc.* 90 2,869
Pioneer Drilling Co.* 210 2,789
Matrix Service Co.* 170 2,737
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 69,934
-------------
TOTAL ENERGY 144,312
-------------
MATERIALS 2.8%
METALS & MINING 1.1%
Oregon Steel Mills, Inc.* 140 8,737
Cleveland-Cliffs, Inc. 170 8,235
Chaparral Steel Co. 180 7,969
AK Steel Holding Corp.* 380 6,422
Quanex Corp. 160 5,534
Schnitzer Steel Industries, Inc. -- Class A 120 4,764
Gibraltar Industries, Inc. 140 3,291
Ryerson Tull, Inc. 130 3,262
Coeur d'Alene Mines Corp.* 580 2,871
Olympic Steel, Inc. 90 2,001
-------------
TOTAL METALS & MINING 53,086
-------------
CHEMICALS 0.9%
OM Group, Inc.* 120 5,434
H.B. Fuller Co. 210 5,422
NewMarket Corp. 80 4,724
Hercules, Inc.* 240 4,635
Rockwood Holdings, Inc.* 150 3,789
Spartech Corp. 140 3,671
PolyOne Corp.* 480 3,600
Georgia Gulf Corp. 180 3,476
A. Schulman, Inc. 120 2,670
Pioneer Cos., Inc.* 90 2,579
Zoltek Cos., Inc.* 120 2,360
-------------
TOTAL CHEMICALS 42,360
-------------
CONTAINERS & PACKAGING 0.4%
Greif, Inc. -- Class A 60 7,104
Silgan Holdings, Inc. 100 4,392
Myers Industries, Inc. 180 2,819
AEP Industries, Inc.* 50 2,665
-------------
TOTAL CONTAINERS & PACKAGING 16,980
-------------
PAPER & FOREST PRODUCTS 0.2%
Neenah Paper, Inc. 90 3,179
Schweitzer-Mauduit International, Inc. 100 2,605
Deltic Timber Corp. 40 2,231
-------------
TOTAL PAPER & FOREST PRODUCTS 8,015
-------------
CONSTRUCTION MATERIALS 0.2%
Headwaters, Inc.* 190 4,552
Texas Industries, Inc. 50 3,212
-------------
TOTAL CONSTRUCTION MATERIALS 7,764
-------------
TOTAL MATERIALS 128,205
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 87
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 1.9%
PERSONAL PRODUCTS 0.6%
NBTY, Inc.* 220 $ 9,145
Chattem, Inc.* 80 4,006
American Oriental Bioengineering, Inc.* 310 3,618
USANA Health Sciences, Inc.* 60 3,100
Elizabeth Arden, Inc.* 150 2,858
Mannatech, Inc. 160 2,357
Prestige Brands Holdings, Inc. -- Class A* 170 2,213
-------------
TOTAL PERSONAL PRODUCTS 27,297
-------------
FOOD & DRUG RETAILING 0.6%
Central European Distribution Corp.* 160 4,752
Pantry, Inc.* 100 4,684
Andersons, Inc. 80 3,391
Longs Drug Stores Corp. 80 3,391
Spartan Stores, Inc. 140 2,930
Wild Oats Markets, Inc.* 190 2,732
Ingles Markets, Inc. -- Class A 90 2,681
Nash Finch Co. 80 2,184
-------------
TOTAL FOOD & DRUG RETAILING 26,745
-------------
FOOD PRODUCTS 0.5%
Flowers Foods, Inc. 220 5,938
Hain Celestial Group, Inc.* 160 4,993
Tootsie Roll Industries, Inc. 140 4,578
Lancaster Colony Corp. 90 3,988
Imperial Sugar Co., Inc. 100 2,421
-------------
TOTAL FOOD PRODUCTS 21,918
-------------
BEVERAGES 0.1%
Jones Soda Co.* 250 3,075
MGP Ingredients, Inc. 100 2,261
-------------
TOTAL BEVERAGES 5,336
-------------
HOUSEHOLD PRODUCTS 0.1%
Central Garden and Pet Co.* 90 4,358
-------------
TOTAL HOUSEHOLD PRODUCTS 4,358
-------------
TOTAL CONSUMER STAPLES 85,654
-------------
UTILITIES 1.7%
ELECTRIC UTILITIES 0.9%
Westar Energy, Inc. 320 8,307
IDACORP, Inc. 160 6,184
Cleco Corp. 240 6,055
Allete, Inc. 110 5,120
Unisource Energy Corp. 140 5,114
El Paso Electric Co.* 200 4,874
Otter Tail Power Co. 140 4,363
-------------
TOTAL ELECTRIC UTILITIES 40,017
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
GAS UTILITIES 0.6%
Piedmont Natural Gas Co. 280 $ 7,490
Nicor, Inc. 160 7,488
Southwest Gas Corp. 160 6,139
Northwest Natural Gas Co. 100 4,244
Laclede Group, Inc. 90 3,153
South Jersey Industries, Inc. 50 1,670
-------------
TOTAL GAS UTILITIES 30,184
-------------
MULTI-UTILITIES 0.2%
Avista Corp. 200 5,062
PNM Resources, Inc. 150 4,665
-------------
TOTAL MULTI-UTILITIES 9,727
-------------
TOTAL UTILITIES 79,928
-------------
TELECOMMUNICATION SERVICES 0.9%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.7%
Time Warner Telecom, Inc. -- Class A* 280 5,580
General Communication, Inc. -- Class A* 280 4,404
Golden Telecom, Inc. 90 4,216
Commonwealth Telephone Enterprises, Inc. 100 4,186
Iowa Telecommunications Services, Inc. 170 3,351
Cbeyond, Inc.* 100 3,059
CT Communications, Inc. 130 2,980
Cogent Communications Group, Inc.* 160 2,595
Cincinnati Bell, Inc.* 510 2,331
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 32,702
-------------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
Dobson Communications Corp. -- Class A* 560 4,877
USA Mobility, Inc. 140 3,132
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 8,009
-------------
TOTAL TELECOMMUNICATION SERVICES 40,711
-------------
TOTAL COMMON STOCKS
(Cost $2,770,580) 2,828,366
-------------
See Notes to Financial Statements.
88 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 51.0%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 $ 613,118 $ 613,118
4.79% due 01/02/07 613,118 613,118
4.65% due 01/02/07 613,118 613,118
4.60% due 01/02/07 496,627 496,627
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,335,981) 2,335,981
-------------
TOTAL INVESTMENTS 112.7%
(Cost $5,106,561) $ 5,164,347
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (12.7)% $ (580,557)
=============
NET ASSETS - 100.0% $ 4,583,790
- -------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Russell 2000(R) Index
Futures Contracts
(Aggregate Market Value
of Contracts $1,903,200) 24 $ (23,502)
=============
UNITS
-----
EQUITY INDEX SWAP AGREEMENTS
March 2007 Russell 2000(R) Index
Swap, Terminating 03/29/07**
(Notional Market Value
$2,939,644) 3,732 $ (25,816)
February 2007 Russell 2000(R) Index
Swap, Terminating 02/22/07**
(Notional Market Value
$1,465,118) 1,860 (9,913)
-------------
(TOTAL NOTIONAL MARKET
VALUE $4,404,762) $ (35,729)
=============
* NON-INCOME PRODUCING SECURITY.
** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE
RATE.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 89
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 89.0%
FINANCIALS 19.5%
REAL ESTATE 6.7%
Alexandria Real Estate Equities, Inc.+ 2,010 $ 201,815
Realty Income Corp.+ 7,210 199,717
Nationwide Health Properties, Inc.+ 6,250 188,875
Home Properties, Inc.+ 2,810 166,549
LaSalle Hotel Properties+ 3,600 165,060
Post Properties, Inc.+ 3,530 161,321
Entertainment Properties Trust+ 2,660 155,450
Potlatch Corp.+ 3,480 152,494
Corporate Office Properties Trust SBI+ 2,980 150,401
American Home Mortgage Investment Corp.+ 4,209 147,820
Washington Real Estate Investment Trust+ 3,660 146,400
Sunstone Hotel Investors, Inc.+ 5,150 137,659
Strategic Hotel Capital, Inc.+ 6,290 137,059
Senior Housing Properties Trust+ 5,380 131,702
BioMed Realty Trust, Inc.+ 4,562 130,473
Newcastle Investment Corp. 4,080 127,786
Pennsylvania Real Estate Investment Trust+ 3,190 125,622
Spirit Finance Corp. 9,420 117,467
FelCor Lodging Trust, Inc. 5,320 116,189
Equity Lifestyle Properties, Inc.+ 2,100 114,303
Cousins Properties, Inc. 3,140 110,748
Eastgroup Properties, Inc.+ 1,990 106,584
Tanger Factory Outlet Centers, Inc. 2,690 105,125
Highwoods Properties, Inc.+ 2,540 103,530
PS Business Parks, Inc. 1,430 101,115
Sovran Self Storage, Inc.+ 1,700 97,376
Highland Hospitality Corp.+ 6,590 93,907
Franklin Street Properties Corp., Inc. 4,420 93,041
Acadia Realty Trust 3,591 89,847
Ashford Hospitality Trust, Inc. 7,150 89,018
Anthracite Capital, Inc.+ 6,850 87,201
NorthStar Realty Finance Corp. 5,140 85,170
Parkway Properties, Inc.+ 1,650 84,167
Medical Properties Trust, Inc.+ 5,320 81,396
Equity Inns, Inc.+ 5,050 80,598
Innkeepers USA Trust+ 5,120 79,360
Impac Mortgage Holdings, Inc.+ 9,010 79,288
Capital Trust, Inc. -- Class A+ 1,480 73,911
Kite Realty Group Trust 3,930 73,177
RAIT Financial Trust 2,030 69,994
Winston Hotels, Inc. 4,920 65,190
First Potomac Realty Trust+ 1,860 54,145
-------------
TOTAL REAL ESTATE 4,878,050
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BANKS 6.4%
SVB Financial Group*+ 4,180 $ 194,872
Cathay General Bancorp 5,566 192,083
Westamerica Bancorporation+ 3,660 185,306
Pacific Capital Bancorp+ 5,450 183,011
Chittenden Corp. 5,570 170,943
International Bancshares Corp. 5,500 170,005
Greater Bay Bancorp+ 5,970 157,190
Sterling Financial Corp.+ 4,290 145,045
Central Pacific Financial Corp.+ 3,670 142,249
Wintrust Financial Corp.+ 2,880 138,298
Citizens Banking Corp.+ 5,120 135,680
Provident Bankshares Corp.+ 3,790 134,924
MB Financial Corp. 3,340 125,617
First Community Bancorp+ 2,330 121,789
Boston Private Financial Holdings, Inc.+ 4,200 118,482
First Republic Bank+ 2,980 116,458
National Penn Bancshares, Inc.+ 5,730 116,032
UMB Financial Corp. 3,090 112,816
Hanmi Financial Corp. 4,810 108,369
Sterling Bancshares, Inc. 8,100 105,462
CVB Financial Corp. 7,290 105,413
Prosperity Bancshares, Inc. 3,020 104,220
Chemical Financial Corp. 2,990 99,567
Signature Bank* 2,920 90,462
City Holding Co. 2,130 87,096
Banner Corp. 1,890 83,803
PrivateBancorp, Inc. 1,980 82,427
First Bancorp Puerto Rico 8,430 80,338
Capitol Bancorp, Ltd. 1,660 76,692
Columbia Banking Systems, Inc. 2,120 74,454
Centennial Bank Holdings, Inc.* 7,800 73,788
Integra Bank Corp. 2,510 69,075
Nara Bancorp, Inc. 3,280 68,618
Western Alliance Bancorp, Inc.*+ 1,970 68,497
Texas Capital Bancshares, Inc.* 3,340 66,399
Pinnacle Financial Partners, Inc.* 1,950 64,701
Old National Bancorp 3,190 60,355
Seacoast Banking Corporation of Florida+ 2,390 59,272
Virginia Commerce Bancorp, Inc.* 2,960 58,845
Texas United Bancshares, Inc. 1,680 57,691
Preferred Bank 950 57,085
Wilshire Bancorp, Inc.+ 2,980 56,531
Community Bancorp* 1,840 55,550
Placer Sierra Bancshares 2,310 54,909
Intervest Bancshares Corp.*+ 1,390 47,830
Independent Bank Corp. 1,370 34,647
-------------
TOTAL BANKS 4,712,896
-------------
INSURANCE 2.4%
Ohio Casualty Corp.+ 5,770 172,004
Selective Insurance Group, Inc.+ 2,780 159,266
Zenith National Insurance Corp.+ 3,240 151,989
See Notes to Financial Statements.
90 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Delphi Financial Group, Inc. --
Class A 3,630 $ 146,870
Argonaut Group, Inc.*+ 3,719 129,644
RLI Corp. 2,010 113,404
LandAmerica Financial Group,
Inc.+ 1,670 105,394
Infinity Property & Casualty Corp. 2,010 97,264
Safety Insurance Group, Inc.+ 1,740 88,235
Universal American Financial
Corp.* 4,160 77,542
Navigators Group, Inc.* 1,580 76,124
Tower Group, Inc. 2,270 70,529
Odyssey Re Holdings Corp. 1,840 68,632
FPIC Insurance Group, Inc.* 1,710 66,639
Harleysville Group, Inc. 1,910 66,506
EMC Insurance Group, Inc. 1,640 55,957
Meadowbrook Insurance Group,
Inc.* 4,980 49,252
American Physicians Capital, Inc.* 1,230 49,249
-------------
TOTAL INSURANCE 1,744,500
-------------
THRIFTS & MORTGAGE FINANCE 1.9%
Downey Financial Corp. 2,100 152,418
MAF Bancorp, Inc.+ 3,320 148,371
First Niagara Financial Group,
Inc.+ 9,550 141,913
FirstFed Financial Corp.*+ 1,950 130,592
Corus Bankshares, Inc.+ 4,660 107,506
PFF Bancorp, Inc. 2,920 100,769
Triad Guaranty, Inc.* 1,430 78,464
W Holding Co., Inc.+ 13,010 77,540
Flagstar Bancorp, Inc. 5,080 75,387
TierOne Corp. 2,330 73,651
Ocwen Financial Corp.* 4,570 72,480
Franklin Bank Corp.* 3,460 71,069
Accredited Home Lenders
Holding Co.*+ 2,530 69,018
Fremont General Corp.+ 2,790 45,226
Fidelity Bankshares, Inc. 1,110 44,034
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,388,438
-------------
CAPITAL MARKETS 1.0%
Knight Capital Group, Inc. --
Class A* 8,890 170,421
Piper Jaffray Cos., Inc.* 1,910 124,436
Waddell & Reed Financial, Inc. --
Class A 4,030 110,261
SWS Group, Inc. 2,260 80,682
Calamos Asset Management, Inc.
-- Class A 2,830 75,929
LaBranche & Co., Inc.*+ 7,230 71,071
optionsXpress Holdings, Inc.+ 2,610 59,221
TradeStation Group, Inc.* 4,130 56,788
-------------
TOTAL CAPITAL MARKETS 748,809
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER FINANCE 0.8%
Advanta Corp. 2,280 $ 99,476
World Acceptance Corp.* 2,010 94,369
Cash America International, Inc.+ 1,930 90,517
CompuCredit Corp.*+ 2,267 90,249
Ezcorp, Inc. -- Class A* 3,330 54,113
First Cash Financial Services, Inc.* 2,010 51,999
Advance America Cash Advance
Centers, Inc.+ 3,046 44,624
Asta Funding, Inc.+ 1,170 35,615
-------------
TOTAL CONSUMER FINANCE 560,962
-------------
DIVERSIFIED FINANCIALS 0.3%
International Securities Exchange
Holdings, Inc.+ 1,820 85,158
Financial Federal Corp.+ 2,800 82,348
Portfolio Recovery Associates,
Inc.*+ 1,710 79,840
-------------
TOTAL DIVERSIFIED FINANCIALS 247,346
-------------
TOTAL FINANCIALS 14,281,001
-------------
INFORMATION TECHNOLOGY 16.7%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.4%
Varian Semiconductor Equipment
Associates, Inc.* 4,750 216,220
Formfactor, Inc.* 3,800 141,550
ON Semiconductor Corp.* 16,760 126,873
RF Micro Devices, Inc.*+ 16,530 112,239
Amkor Technology, Inc.* 11,484 107,260
Atheros Communications, Inc.* 4,877 103,978
Silicon Image, Inc.* 8,010 101,887
Cabot Microelectronics Corp.*+ 2,711 92,011
Trident Microsystems, Inc.*+ 5,050 91,809
MKS Instruments, Inc.* 3,890 87,836
Micrel, Inc.* 8,080 87,102
Advanced Energy Industries,
Inc.*+ 4,611 87,010
Zoran Corp.* 5,720 83,398
OmniVision Technologies, Inc.*+ 6,070 82,855
Diodes, Inc.*+ 2,130 75,572
Intevac, Inc.*+ 2,860 74,217
Actel Corp.*+ 3,890 70,642
DSP Group, Inc.* 3,190 69,223
Kulicke & Soffa Industries, Inc.* 8,050 67,620
Mattson Technology, Inc.* 7,130 66,452
Cirrus Logic, Inc.* 9,340 64,259
Hittite Microwave Corp.*+ 1,980 63,994
Cohu, Inc. 3,130 63,101
Netlogic Microsystems, Inc.*+ 2,900 62,901
Asyst Technologies, Inc.* 8,600 62,866
AMIS Holdings, Inc.* 4,680 49,468
Semtech Corp.* 3,680 48,098
Supertex, Inc.*+ 1,220 47,885
Veeco Instruments, Inc.*+ 2,300 43,079
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 91
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Cymer, Inc.*+ 790 $ 34,720
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 2,486,125
-------------
SOFTWARE 3.0%
Sybase, Inc.*+ 7,240 178,828
Micros Systems, Inc.*+ 3,320 174,964
Hyperion Solutions Corp.* 4,850 174,309
TIBCO Software, Inc.* 18,270 172,469
Jack Henry & Associates, Inc. 7,070 151,298
Net 1 UEPS Technologies, Inc.* 4,670 138,045
Macrovision Corp.* 4,310 121,801
MicroStrategy, Inc. -- Class A*+ 1,050 119,711
Kronos, Inc.*+ 3,110 114,261
Transaction Systems Architects,
Inc. -- Class A* 3,320 108,132
Informatica Corp.*+ 7,520 91,819
Quest Software, Inc.* 5,160 75,594
Ansoft Corp.* 2,590 72,002
Advent Software, Inc.*+ 1,990 70,227
i2 Technologies, Inc.*+ 2,920 66,634
Ansys, Inc.*+ 1,420 61,756
Progress Software Corp.*+ 2,140 59,770
Ultimate Software Group, Inc.* 2,340 54,428
SPSS, Inc.* 1,740 52,322
Smith Micro Software, Inc.* 3,620 51,368
Witness Systems, Inc.* 2,920 51,188
Secure Computing Corp.*+ 6,280 41,197
-------------
TOTAL SOFTWARE 2,202,123
-------------
COMMUNICATIONS EQUIPMENT 2.6%
Polycom, Inc.*+ 7,050 217,916
Foundry Networks, Inc.* 12,340 184,853
Interdigital Communications
Corp.*+ 4,580 153,659
CommScope, Inc.*+ 4,848 147,767
ADTRAN, Inc.+ 6,294 142,874
Redback Networks, Inc.*+ 5,260 131,185
Arris Group, Inc.*+ 9,877 123,561
Utstarcom, Inc.*+ 11,580 101,325
Black Box Corp. 2,070 86,919
ViaSat, Inc.* 2,790 83,170
Packeteer, Inc.* 5,630 76,568
Mastec, Inc.* 6,220 71,779
Comtech Group, Inc.*+ 3,340 60,755
Oplink Communications, Inc.* 2,940 60,446
Radyne Corp., Inc.* 5,010 53,807
Sirenza Microdevices, Inc.*+ 6,830 53,684
Anaren, Inc.* 3,000 53,280
Blue Coat Systems, Inc.*+ 2,215 53,049
Carrier Access Corp.* 7,370 48,347
-------------
TOTAL COMMUNICATIONS EQUIPMENT 1,904,944
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.4%
Flir Systems, Inc.*+ 5,900 $ 187,797
Benchmark Electronics, Inc.*+ 5,656 137,780
Daktronics, Inc. 3,480 128,238
Itron, Inc.*+ 2,310 119,750
Plexus Corp.* 4,810 114,863
Global Imaging Systems, Inc.* 5,040 110,628
Rogers Corp.* 1,620 95,823
Rofin-Sinar Technologies, Inc.*+ 1,520 91,899
Coherent, Inc.*+ 2,780 87,765
Scansource, Inc.*+ 2,540 77,216
Littelfuse, Inc.*+ 2,300 73,324
MTS Systems Corp.+ 1,890 72,992
TTM Technologies, Inc.* 5,770 65,374
Cogent, Inc.* 5,900 64,959
Radisys Corp.* 3,480 58,012
CTS Corp. 3,370 52,909
Zygo Corp., Inc.* 3,180 52,311
Park Electrochemical Corp. 1,970 50,530
Agilsys, Inc. 2,721 45,550
Acacia Research - Acacia
Technologies* 3,280 43,886
SYNNEX Corp.* 1,890 41,467
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,773,073
-------------
INTERNET SOFTWARE & SERVICES 2.2%
Digital River, Inc.*+ 3,310 184,665
aQuantive, Inc.*+ 6,212 153,188
Digitas, Inc.*+ 9,840 131,954
j2 Global Communications, Inc.*+ 4,430 120,718
RealNetworks, Inc.*+ 9,990 109,291
Websense, Inc.* 4,700 107,301
ValueClick, Inc.* 4,540 107,280
United Online, Inc.+ 6,700 88,976
Internap Network Services
Corp.*+ 4,210 83,653
Interwoven, Inc.* 5,390 79,071
The Knot, Inc.* 2,800 73,472
InfoSpace, Inc.* 3,330 68,298
webMethods, Inc.* 8,540 62,854
Perficient, Inc.*+ 3,340 54,809
TheStreet.com, Inc. 5,820 51,798
Vignette Corp.* 2,970 50,698
SonicWALL, Inc.*+ 5,650 47,573
Travelzoo, Inc.* 1,370 41,032
-------------
TOTAL INTERNET SOFTWARE & SERVICES 1,616,631
-------------
IT CONSULTING & SERVICES 1.9%
CACI International, Inc. --
Class A* 2,850 161,025
BISYS Group, Inc.* 10,644 137,414
MPS Group, Inc.*+ 9,560 135,561
Perot Systems Corp. -- Class A* 7,170 117,516
See Notes to Financial Statements.
92 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
eFunds Corp.* 4,180 $ 114,950
CSG Systems International, Inc.* 4,280 114,404
Talx Corp. 3,300 90,585
Mantech International Corp. --
Class A* 1,970 72,555
SYKES Enterprises, Inc.*+ 3,950 69,678
Gevity HR, Inc. 2,830 67,043
Lightbridge, Inc.* 4,520 61,201
RightNow Technologies, Inc.*+ 3,280 56,481
Keane, Inc.*+ 4,280 50,975
Integral Systems, Inc. 2,180 50,511
SRA International, Inc. --
Class A*+ 1,790 47,865
-------------
TOTAL IT CONSULTING & SERVICES 1,347,764
-------------
COMPUTERS & PERIPHERALS 1.2%
Brocade Communications Systems,
Inc.*+ 22,077 181,252
Imation Corp.+ 3,430 159,255
Electronics for Imaging, Inc.*+ 5,920 157,354
Palm, Inc.*+ 9,450 133,150
Komag, Inc.* 3,190 120,837
McData Corp. -- Class A*+ 17,510 97,181
-------------
TOTAL COMPUTERS & PERIPHERALS 849,029
-------------
TOTAL INFORMATION TECHNOLOGY 12,179,689
-------------
CONSUMER DISCRETIONARY 14.4%
SPECIALTY RETAIL 3.4%
Payless Shoesource, Inc.* 5,550 182,151
Rent-A-Center, Inc.*+ 5,740 169,387
Regis Corp. 4,220 166,859
Men's Wearhouse, Inc.+ 4,140 158,396
Aeropostale, Inc.*+ 5,090 157,128
Charming Shoppes, Inc.*+ 10,940 148,018
Guess ?, Inc.*+ 2,010 127,494
Gymboree Corp.* 3,310 126,310
Group 1 Automotive, Inc. 2,340 121,025
Dress Barn, Inc.*+ 4,580 106,851
Stage Stores, Inc. 3,090 93,905
Cato Corp. -- Class A+ 3,660 83,851
DSW, Inc.*+ 2,130 82,154
Buckle, Inc. 1,570 79,834
Select Comfort Corp.*+ 4,570 79,472
CSK Auto Corp.* 4,610 79,062
Charlotte Russe Holding, Inc.* 2,390 73,493
The Wet Seal, Inc. -- Class A* 10,850 72,370
Books-A-Million, Inc. 2,800 63,504
Christopher & Banks Corp. 3,257 60,776
Bebe Stores, Inc.+ 3,070 60,755
Shoe Carnival, Inc.* 1,900 60,040
Asbury Automotive Group, Inc.+ 2,314 54,518
Talbots, Inc.+ 2,060 49,646
Tween Brands, Inc.*+ 860 34,340
-------------
TOTAL SPECIALTY RETAIL 2,491,339
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE 2.7%
Jack in the Box, Inc.* 3,050 $ 186,172
Sonic Corp.* 7,160 171,482
Ruby Tuesday, Inc. 5,260 144,334
Pinnacle Entertainment, Inc.* 4,330 143,496
CEC Entertainment, Inc.* 3,230 130,008
CBRL Group, Inc. 2,691 120,449
CKE Restaurants, Inc.+ 6,330 116,472
WMS Industries, Inc.*+ 3,110 108,415
Bob Evans Farms, Inc.+ 3,166 108,341
Rare Hospitality International,
Inc.*+ 3,190 105,047
Domino's Pizza, Inc.+ 3,560 99,680
IHOP Corp.+ 1,850 97,495
Papa John's International, Inc.*+ 2,440 70,784
AFC Enterprises* 3,820 67,499
Monarch Casino & Resort, Inc.*+ 2,360 56,357
Ruth's Chris Steak House* 3,000 54,840
Speedway Motorsports, Inc. 1,410 54,144
Landry's Restaurants, Inc.+ 1,600 48,144
Dover Downs Gaming
& Entertainment, Inc. 3,280 43,854
Ameristar Casinos, Inc. 1,255 38,579
Texas Roadhouse, Inc.* 121 1,604
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,967,196
-------------
TEXTILES & APPAREL 1.8%
Phillips-Van Heusen Corp. 4,440 222,755
Wolverine World Wide, Inc.+ 5,070 144,596
Brown Shoe Co., Inc. 2,813 134,293
Warnaco Group, Inc.* 4,460 113,195
Kellwood Co. 3,060 99,511
Oxford Industries, Inc.+ 1,750 86,887
Deckers Outdoor Corp.*+ 1,370 82,131
Carter's, Inc.* 3,150 80,325
K-Swiss, Inc. -- Class A 2,240 68,858
Columbia Sportswear Co.+ 1,190 66,283
Iconix Brand Group, Inc.* 3,390 65,732
Steven Madden Ltd. 1,750 61,408
True Religion Apparel, Inc.*+ 3,300 50,523
Maidenform Brands, Inc.* 2,120 38,414
-------------
TOTAL TEXTILES & APPAREL 1,314,911
-------------
MEDIA 1.7%
Lee Enterprises, Inc.+ 4,380 136,043
Scholastic Corp.* 3,460 124,006
Catalina Marketing Corp. 4,120 113,300
Arbitron, Inc.+ 2,600 112,944
Entercom Communications Corp. 3,650 102,857
RCN Corp.* 3,110 93,767
Interactive Data Corp. 3,670 88,227
Valassis Communications, Inc.*+ 5,360 77,720
CKX, Inc.*+ 6,080 71,318
Westwood One, Inc.+ 8,630 60,928
Morningstar, Inc.*+ 1,300 58,565
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 93
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Journal Register Co. 7,300 $ 53,290
Harris Interactive, Inc.* 10,380 52,315
Cumulus Media, Inc. -- Class A*+ 4,130 42,911
Citadel Broadcasting Corp. 3,420 34,063
-------------
TOTAL MEDIA 1,222,254
-------------
HOUSEHOLD DURABLES 1.5%
Yankee Candle Co., Inc. 3,820 130,950
Tupperware Brands Corp.+ 5,660 127,973
Meritage Homes Corp.* 2,460 117,391
American Greetings Corp. --
Class A+ 4,837 115,459
Ethan Allen Interiors, Inc.+ 3,130 113,024
Tempur-Pedic International, Inc.*+ 5,500 112,530
Champion Enterprises, Inc.* 8,720 81,619
Furniture Brands International,
Inc.+ 4,700 76,281
Interface, Inc. -- Class A* 4,830 68,683
Blyth, Inc. 3,210 66,607
Brookfield Homes Corp.+ 1,427 53,584
-------------
TOTAL HOUSEHOLD DURABLES 1,064,101
-------------
AUTO COMPONENTS 0.7%
ArvinMeritor, Inc.+ 7,244 132,058
Tenneco, Inc.*+ 4,580 113,218
Lear Corp.+ 3,210 94,791
Aftermarket Technology Corp.* 2,956 62,904
Fuel Systems Solutions, Inc.* 2,800 61,824
Drew Industries, Inc.*+ 1,750 45,517
LKQ Corp.*+ 1,410 32,416
-------------
TOTAL AUTO COMPONENTS 542,728
-------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Sotheby's Holdings, Inc. -- Class A 5,090 157,892
Jackson Hewitt Tax Service, Inc. 2,960 100,551
Corinthian Colleges, Inc.*+ 7,160 97,591
Pre-Paid Legal Services, Inc.*+ 1,410 55,173
Vertrue, Inc.*+ 1,390 53,390
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 464,597
-------------
LEISURE EQUIPMENT & PRODUCTS 0.6%
Marvel Entertainment, Inc.*+ 4,480 120,557
RC2 Corp.*+ 2,160 95,040
MarineMax, Inc.*+ 2,500 64,825
Jakks Pacific, Inc.* 2,570 56,129
Smith & Wesson Holding Corp.*+ 4,850 50,149
Oakley, Inc. 2,440 48,946
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 435,646
-------------
INTERNET & CATALOG RETAIL 0.5%
Priceline.com, Inc.*+ 2,640 115,130
Systemax, Inc.*+ 4,370 76,257
FTD Group, Inc.* 3,090 55,280
Netflix, Inc.*+ 2,120 54,823
PetMed Express, Inc.* 3,020 40,317
-------------
TOTAL INTERNET & CATALOG RETAIL 341,807
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 0.4%
Big Lots, Inc.*+ 9,055 $ 207,541
Bon-Ton Stores, Inc.+ 1,556 53,915
-------------
TOTAL MULTILINE RETAIL 261,456
-------------
AUTOMOBILES 0.2%
Winnebago Industries, Inc.+ 3,090 101,692
Monaco Coach Corp. 4,870 68,959
-------------
TOTAL AUTOMOBILES 170,651
-------------
DISTRIBUTORS 0.2%
Building Material Holding Corp.+ 3,410 84,193
Keystone Automotive Industries,
Inc.*+ 2,060 70,019
-------------
TOTAL DISTRIBUTORS 154,212
-------------
INTERNET SOFTWARE & SERVICES 0.1%
INVESTools, Inc.* 6,010 82,878
-------------
TOTAL INTERNET SOFTWARE & SERVICES 82,878
-------------
TOTAL CONSUMER DISCRETIONARY 10,513,776
-------------
INDUSTRIALS 12.4%
COMMERCIAL SERVICES & SUPPLIES 3.7%
Watson Wyatt & Co. Holdings+ 3,750 169,312
Waste Connections, Inc.* 3,800 157,890
Brady Corp. -- Class A+ 3,805 141,850
John H. Harland Co. 2,790 140,058
United Stationers, Inc.* 2,780 129,798
Herman Miller, Inc.+ 3,180 115,625
Labor Ready, Inc.* 5,900 108,147
Korn/Ferry International, Inc.*+ 4,610 105,846
Viad Corp.+ 2,570 104,342
Advisory Board Co.*+ 1,770 94,766
Heidrick & Struggles International,
Inc.*+ 2,200 93,192
Mine Safety Appliances Co. 2,480 90,892
Amrep Corp. PLC+ 717 87,832
American Reprographics Co.* 2,450 81,609
Ennis Inc. 3,310 80,963
CoStar Group, Inc.*+ 1,500 80,340
Consolidated Graphics, Inc.* 1,330 78,563
Volt Information Sciences, Inc.* 1,410 70,796
Kenexa Corp. -- Class A* 2,120 70,511
Deluxe Corp.+ 2,760 69,552
Layne Christensen Co.* 2,050 67,302
PeopleSupport, Inc.* 3,030 63,782
CBIZ, Inc.*+ 9,080 63,288
COMSYS IT Partners, Inc.* 3,070 62,045
Pike Electric Corp.* 3,470 56,665
Kforce, Inc.* 4,590 55,860
Rollins, Inc.+ 2,460 54,391
Waste Industries USA, Inc. 1,770 54,020
ICT Group, Inc.* 1,530 48,333
School Specialty, Inc.* 1,160 43,488
Spherion Corp.* 4,610 34,252
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 2,675,310
-------------
See Notes to Financial Statements.
94 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MACHINERY 2.5%
Bucyrus International, Inc. --
Class A+ 3,207 $ 165,994
Wabtec Corp.+ 4,820 146,431
Nordson Corp. 2,720 135,538
Actuant Corp. -- Class A 2,721 129,656
Watts Industries, Inc. -- Class A 2,880 118,397
Navistar International Corp.*+ 3,410 113,996
Mueller Industries, Inc.+ 3,320 105,244
Kaydon Corp.+ 2,530 100,542
Barnes Group, Inc.+ 3,916 85,173
NACCO Industries, Inc. -- Class A 570 77,862
RBC Bearings, Inc.* 2,660 76,236
American Science & Engineering,
Inc.*+ 1,240 73,792
Freightcar America, Inc.+ 1,260 69,867
EnPro Industries, Inc.* 1,970 65,424
Middleby Corp.* 610 63,849
Columbus McKinnon Corp. --
Class A*+ 2,910 61,168
Dynamic Materials Corp. 2,045 57,464
Astec Industries, Inc.* 1,456 51,106
Ampco-Pittsburgh Corp. PLC 1,485 49,718
Albany International Corp. --
Class A+ 1,430 47,061
-------------
TOTAL MACHINERY 1,794,518
-------------
ELECTRICAL EQUIPMENT 1.4%
Acuity Brands, Inc.+ 3,825 199,053
General Cable Corp.*+ 4,261 186,248
Regal-Beloit Corp.+ 3,120 163,831
Genlyte Group, Inc.*+ 2,000 156,220
Woodward Governor Co.+ 2,800 111,188
A.O. Smith Corp. 2,327 87,402
II-VI, Inc.* 2,940 82,144
Lamson & Sessions Co., Inc.*+ 2,690 65,260
-------------
TOTAL ELECTRICAL EQUIPMENT 1,051,346
-------------
AEROSPACE & DEFENSE 1.1%
BE Aerospace, Inc.*+ 7,093 182,148
Ceradyne, Inc.*+ 2,400 135,600
Teledyne Technologies, Inc.* 2,940 117,982
Orbital Sciences Corp.* 5,800 106,952
United Industrial Corp. 1,470 74,603
Hexcel Corp.*+ 4,270 74,341
K&F Industries Holdings, Inc.* 3,070 69,720
EDO Corp.+ 2,880 68,371
-------------
TOTAL AEROSPACE & DEFENSE 829,717
-------------
BUILDING PRODUCTS 0.7%
Simpson Manufacturing Co., Inc.+ 3,870 122,485
NCI Building Systems, Inc.*+ 1,950 100,913
Ameron International Corp. 1,037 79,196
American Woodmark Corp.+ 1,838 76,920
Builders FirstSource, Inc.*+ 3,354 59,802
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PW Eagle, Inc.+ 1,720$ 59,340
Universal Forest Products, Inc.+ 1,010 47,086
-------------
TOTAL BUILDING PRODUCTS 545,742
-------------
CONSTRUCTION & ENGINEERING 0.7%
EMCOR Group, Inc.* 2,810 159,748
Granite Construction, Inc. 2,940 147,941
Washington Group International,
Inc.*+ 1,420 84,902
Infrasource Services, Inc.* 3,430 74,671
Sterling Construction Co., Inc.* 2,180 47,437
-------------
TOTAL CONSTRUCTION & ENGINEERING 514,699
-------------
AIR FREIGHT & COURIERS 0.6%
HUB Group, Inc. -- Class A*+ 3,930 108,271
Atlas Air Worldwide Holdings Co.,
Inc.* 2,155 95,897
Pacer International, Inc. 3,130 93,180
EGL, Inc.*+ 2,920 86,958
Forward Air Corp.+ 960 27,773
-------------
TOTAL AIR FREIGHT & COURIERS 412,079
-------------
AIRLINES 0.6%
SkyWest, Inc.+ 5,990 152,805
JetBlue Airways Corp.*+ 8,260 117,292
Republic Airways Holdings, Inc.* 4,160 69,805
ExpressJet Holdings, Inc.*+ 8,320 67,392
-------------
TOTAL AIRLINES 407,294
-------------
ROAD & RAIL 0.6%
Genesee & Wyoming, Inc. --
Class A* 4,060 106,535
Arkansas Best Corp.+ 2,357 84,852
Heartland Express, Inc.+ 5,370 80,657
Amerco, Inc.* 900 78,309
Saia, Inc.* 2,320 53,847
-------------
TOTAL ROAD & RAIL 404,200
-------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
Applied Industrial Technologies,
Inc. 3,926 103,293
Beacon Roofing Supply, Inc.*+ 4,755 89,489
BlueLinx Holdings, Inc. 4,624 48,090
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 240,872
-------------
MARINE 0.2%
American Commercial Lines,
Inc.*+ 1,500 98,265
Horizon Lines, Inc. -- Class A 2,390 64,434
-------------
TOTAL MARINE 162,699
-------------
TOTAL INDUSTRIALS 9,038,476
-------------
HEALTH CARE 10.9%
HEALTH CARE EQUIPMENT & SUPPLIES 3.8%
Immucor, Inc.*+ 6,334 185,143
Bio--Rad Laboratories, Inc. --
Class A* 1,950 160,914
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 95
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Mentor Corp.+ 3,200 $ 156,384
Kyphon, Inc.*+ 3,760 151,904
West Pharmaceutical Services, Inc. 2,720 139,346
Varian, Inc.* 2,890 129,443
Hologic, Inc.* 2,490 117,727
Dionex Corp.* 2,040 115,689
Haemonetics Corp.*+ 2,490 112,100
Palomar Medical Technologies, Inc.*+ 2,130 107,927
American Medical Systems
Holdings, Inc.*+ 5,687 105,323
DJ Orthopedics, Inc.* 2,300 98,486
Biosite, Inc.*+ 1,990 97,212
Invacare Corp. 3,690 90,590
Zoll Medical Corp.* 1,530 89,107
ArthroCare Corp.*+ 2,205 88,024
Integra LifeSciences Holdings Corp.* 2,030 86,458
Viasys Healthcare, Inc.* 2,920 81,234
Lifecell Corp.*+ 3,160 76,282
Intralase Corp.*+ 3,260 72,959
PharmaNet Development
Group, Inc.*+ 2,890 63,782
OraSure Technologies, Inc.* 7,690 63,519
Quidel Corp.* 4,460 60,745
Conmed Corp.*+ 2,490 57,569
ICU Medical, Inc.*+ 1,410 57,359
Candela Corp.* 4,230 52,325
Meridian Bioscience, Inc.+ 1,980 48,569
SurModics, Inc.*+ 1,560 48,547
Abaxis, Inc.* 2,145 41,291
Steris Corp. 630 15,857
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,771,815
-------------
BIOTECHNOLOGY 2.7%
OSI Pharmaceuticals, Inc.*+ 4,610 161,258
Illumina, Inc.*+ 3,950 155,274
BioMarin Pharmaceuticals, Inc.*+ 8,065 132,185
Alkermes, Inc.*+ 9,238 123,512
United Therapeutics Corp.*+ 2,180 118,527
Myriad Genetics, Inc.*+ 3,730 116,749
Digene Corp.* 2,100 100,632
Cubist Pharmaceuticals, Inc.*+ 5,150 93,267
Savient Pharmaceuticals, Inc.*+ 8,030 90,016
Martek Biosciences Corp.*+ 3,820 89,159
Alnylam Pharmaceuticals, Inc.*+ 3,941 84,337
Array Biopharma, Inc.* 5,600 72,352
Tanox, Inc.* 3,480 69,252
Progenics Pharmaceuticals, Inc.* 2,690 69,241
Trimeris, Inc.*+ 5,190 65,965
Alexion Pharmaceuticals, Inc.*+ 1,488 60,100
Senomyx, Inc.* 4,460 57,935
Luminex Corp.*+ 4,540 57,658
Genomic Health, Inc.* 3,070 57,102
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BioCryst Pharmaceuticals, Inc.* 4,895 $ 56,586
Indevus Pharmaceuticals, Inc.* 6,280 44,588
Pharmion Corp.*+ 1,300 33,462
Telik, Inc.*+ 4,920 21,796
Nuvelo, Inc.*+ 5,030 20,120
-------------
TOTAL BIOTECHNOLOGY 1,951,073
-------------
HEALTH CARE PROVIDERS & SERVICES 2.5%
AMERIGROUP Corp.*+ 4,927 176,830
Magellan Health Services, Inc.* 3,410 147,380
Sunrise Senior Living, Inc.*+ 4,560 140,083
Apria Healthcare Group, Inc.* 4,785 127,520
Centene Corp.*+ 5,130 126,044
inVentiv Health, Inc.* 3,390 119,836
Corvel Corp.* 1,740 82,772
Kindred Healthcare, Inc.* 3,270 82,567
Gentiva Health Services, Inc.*+ 3,950 75,287
Vital Images, Inc.*+ 2,120 73,776
Omnicell, Inc.*+ 3,800 70,794
Amedisys, Inc.*+ 2,117 69,586
The Trizetto Group, Inc.* 3,710 68,153
Sun Healthcare Group, Inc.* 5,190 65,550
LHC Group, Inc.* 2,250 64,148
Molina Healthcare, Inc.*+ 1,920 62,419
Computer Programs & Systems, Inc. 1,710 58,123
PRA International* 2,250 56,858
HealthExtras, Inc.* 2,150 51,815
Bio-Reference Labs, Inc.* 2,250 50,603
Dendrite International, Inc.*+ 4,420 47,338
Odyssey HealthCare, Inc.* 2,600 34,476
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,851,958
-------------
PHARMACEUTICALS 1.9%
Valeant Pharmaceuticals
International+ 8,050 138,782
Perrigo Co.+ 7,990 138,227
Viropharma, Inc.* 7,940 116,242
KV Pharmaceutical Co.* 4,170 99,163
Par Pharmaceutical Cos., Inc.* 4,230 94,625
Alpharma, Inc. -- Class A 3,915 94,351
Medicis Pharmaceutical Corp. --
Class A+ 2,640 92,743
New River Pharmaceuticals, Inc.*+ 1,560 85,348
Sciele Pharma, Inc.*+ 3,500 84,000
Advanced Magnetics, Inc.*+ 1,370 81,816
Noven Pharmaceuticals, Inc.* 3,170 80,676
Pozen, Inc.* 4,100 69,659
Pain Therapeutics, Inc.*+ 6,950 61,855
Bradley Pharmaceuticals, Inc.*+ 2,991 61,555
Kendle International, Inc.* 1,820 57,239
-------------
TOTAL PHARMACEUTICALS 1,356,281
-------------
TOTAL HEALTH CARE 7,931,127
-------------
See Notes to Financial Statements.
96 | THERYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY 4.5%
OIL & GAS 2.3%
USEC, Inc.* 10,360 $ 131,779
Comstock Resources, Inc.*+ 4,190 130,141
Swift Energy Co.*+ 2,760 123,676
Penn Virginia Corp. 1,710 119,768
Berry Petroleum Co. -- Class A+ 3,682 114,179
Stone Energy Corp.* 2,550 90,142
Alpha Natural Resources, Inc.* 6,161 87,671
Arena Resources, Inc.* 1,710 73,034
PetroHawk Energy Corp.*+ 6,190 71,185
Carrizo Oil & Gas, Inc.* 2,340 67,907
Harvest Natural Resources, Inc.* 6,100 64,843
Petroleum Development Corp.* 1,470 63,283
Parallel Petroleum Corp.*+ 3,470 60,968
Energy Partners Ltd.* 2,430 59,341
Alon USA Energy, Inc. 2,118 55,725
Vaalco Energy, Inc.* 8,200 55,350
Bois d'Arc Energy, Inc.* 3,604 52,726
Crosstex Energy, Inc. 1,620 51,338
GMX Resources, Inc.*+ 1,420 50,410
Edge Petroleum Corp.*+ 2,730 49,795
World Fuel Services Corp.+ 1,060 47,128
Brigham Exploration Co.* 6,370 46,565
Callon Petroleum Co.* 1,980 29,759
Houston Exploration Co.* 570 29,515
-------------
TOTAL OIL & GAS 1,726,228
-------------
ENERGY EQUIPMENT & SERVICES 2.2%
Lone Star Technologies, Inc.* 3,020 146,198
W-H Energy Services, Inc.* 2,690 130,976
Atwood Oceanics, Inc.*+ 2,580 126,343
Grey Wolf, Inc.*+ 17,950 123,137
Input/Output, Inc.*+ 8,380 114,219
Parker Drilling Co.* 12,840 104,903
Dril-Quip, Inc.* 2,610 102,208
Hornbeck Offshore Services, Inc.* 2,830 101,031
Lufkin Industries, Inc.+ 1,730 100,478
Allis-Chalmers Energy, Inc.*+ 3,339 76,930
GulfMark Offshore, Inc.*+ 1,980 74,072
Trico Marine Services, Inc.* 1,760 67,426
Hydril*+ 880 66,167
Pioneer Drilling Co.* 4,870 64,674
Dawson Geophysical Co.* 1,770 64,481
NATCO Group, Inc.* 2,010 64,079
Matrix Service Co.*+ 3,960 63,756
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,591,078
-------------
TOTAL ENERGY 3,317,306
-------------
MATERIALS 4.0%
METALS & MINING 1.7%
Oregon Steel Mills, Inc.* 3,260 203,457
Cleveland-Cliffs, Inc.+ 3,860 186,978
Chaparral Steel Co.+ 4,140 183,278
AK Steel Holding Corp.* 8,750 147,875
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Quanex Corp. 3,590 $ 124,178
Schnitzer Steel Industries, Inc. --
Class A+ 2,660 105,602
Gibraltar Industries, Inc. 3,290 77,348
Ryerson Tull, Inc.+ 2,870 72,008
Coeur d'Alene Mines Corp.*+ 13,235 65,513
Olympic Steel, Inc. 2,020 44,905
-------------
TOTAL METALS & MINING 1,211,142
-------------
CHEMICALS 1.3%
OM Group, Inc.*+ 2,850 129,048
H.B. Fuller Co.+ 4,790 123,678
Hercules, Inc.*+ 5,440 105,046
NewMarket Corp. 1,730 102,156
Rockwood Holdings, Inc.*+ 3,520 88,915
Spartech Corp.+ 3,320 87,050
PolyOne Corp.* 11,110 83,325
Georgia Gulf Corp.+ 4,070 78,592
A. Schulman, Inc. 2,790 62,078
Pioneer Cos., Inc.* 2,160 61,906
Zoltek Cos., Inc.*+ 2,730 53,699
-------------
TOTAL CHEMICALS 975,493
-------------
CONTAINERS & PACKAGING 0.5%
Greif, Inc. -- Class A 1,480 175,232
Silgan Holdings, Inc. 2,250 98,820
Myers Industries, Inc. 4,100 64,206
AEP Industries, Inc.* 1,110 59,174
-------------
TOTAL CONTAINERS & PACKAGING 397,432
-------------
PAPER & FOREST PRODUCTS 0.3%
Neenah Paper, Inc.+ 2,050 72,406
Schweitzer-Mauduit International,
Inc. 2,300 59,915
Deltic Timber Corp.+ 870 48,529
-------------
TOTAL PAPER & FOREST PRODUCTS 180,850
-------------
CONSTRUCTION MATERIALS 0.2%
Headwaters, Inc.*+ 4,300 103,028
Texas Industries, Inc.+ 1,090 70,011
-------------
TOTAL CONSTRUCTION MATERIALS 173,039
-------------
TOTAL MATERIALS 2,937,956
-------------
CONSUMER STAPLES 2.8%
FOOD & DRUG RETAILING 0.9%
Central European Distribution
Corp.* 3,750 111,375
Pantry, Inc.* 2,370 111,011
Longs Drug Stores Corp. 1,950 82,641
Andersons, Inc. 1,901 80,583
Spartan Stores, Inc. 3,140 65,720
Wild Oats Markets, Inc.*+ 4,400 63,272
Ingles Markets, Inc. -- Class A 2,120 63,155
Nash Finch Co.+ 1,770 48,321
-------------
TOTAL FOOD & DRUG RETAILING 626,078
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 97
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PERSONAL PRODUCTS 0.8%
NBTY, Inc.* 5,100 $ 212,007
Chattem, Inc.*+ 1,890 94,651
American Oriental Bioengineering,
Inc. PLC*+ 7,063 82,425
USANA Health Sciences, Inc.*+ 1,280 66,125
Elizabeth Arden, Inc.* 3,410 64,961
Mannatech, Inc.+ 3,730 54,943
Prestige Brands Holdings, Inc. --
Class A* 3,850 50,127
-------------
TOTAL PERSONAL PRODUCTS 625,239
-------------
FOOD PRODUCTS 0.8%
Flowers Foods, Inc. 5,150 138,998
Hain Celestial Group, Inc.*+ 3,630 113,292
Tootsie Roll Industries, Inc.+ 3,170 103,659
Lancaster Colony Corp. 2,160 95,710
Seaboard Corp. 49 86,485
Imperial Sugar Co., Inc.+ 2,360 57,136
-------------
TOTAL FOOD PRODUCTS 595,280
-------------
BEVERAGES 0.2%
Jones Soda Co.*+ 5,800 71,340
MGP Ingredients, Inc. 2,320 52,455
-------------
TOTAL BEVERAGES 123,795
-------------
HOUSEHOLD PRODUCTS 0.1%
Central Garden and Pet Co.*+ 2,070 100,229
-------------
TOTAL HOUSEHOLD PRODUCTS 100,229
-------------
TOTAL CONSUMER STAPLES 2,070,621
-------------
UTILITIES 2.5%
ELECTRIC UTILITIES 1.2%
Westar Energy, Inc. 7,330 190,287
IDACORP, Inc.+ 3,750 144,937
Cleco Corp. 5,570 140,531
Unisource Energy Corp.+ 3,310 120,914
Allete, Inc.+ 2,418 112,534
El Paso Electric Co.* 4,570 111,371
Otter Tail Power Co. 3,260 101,582
-------------
TOTAL ELECTRIC UTILITIES 922,156
-------------
GAS UTILITIES 1.0%
Nicor, Inc.+ 3,650 170,820
Piedmont Natural Gas Co.+ 6,370 170,397
Southwest Gas Corp.+ 3,750 143,887
Northwest Natural Gas Co. 2,400 101,856
Laclede Group, Inc. 2,120 74,264
South Jersey Industries, Inc. 1,250 41,763
-------------
TOTAL GAS UTILITIES 702,987
-------------
MULTI-UTILITIES 0.3%
Avista Corp.+ 4,635 117,312
PNM Resources, Inc.+ 3,380 105,118
-------------
TOTAL MULTI-UTILITIES 222,430
-------------
TOTAL UTILITIES 1,847,573
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 1.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 1.0%
Time Warner Telecom, Inc. --
Class A*+ 6,470 $ 128,947
Commonwealth Telephone
Enterprises, Inc. 2,400 100,464
General Communication, Inc. --
Class A* 6,370 100,200
Golden Telecom, Inc. 1,980 92,743
Iowa Telecommunications Services,
Inc. 3,930 77,460
Cbeyond, Inc.* 2,320 70,969
CT Communications, Inc. 2,930 67,156
Cogent Communications Group,
Inc.* 3,690 59,852
Cincinnati Bell, Inc.* 11,800 53,926
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 751,717
-------------
WIRELESS TELECOMMUNICATION SERVICES 0.3%
Dobson Communications Corp.
-- Class A* 12,910 112,446
USA Mobility, Inc. 3,250 72,702
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 185,148
-------------
TOTAL TELECOMMUNICATION SERVICES 936,865
-------------
TOTAL COMMON STOCKS
(Cost $60,750,714) 65,054,390
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 10.8%
Repurchase Agreement (Note 5)
4.90% due 01/02/07++ $ 1,628,732 1,628,732
4.80% due 01/02/07 1,635,036 1,635,036
4.79% due 01/02/07 1,635,036 1,635,036
4.65% due 01/02/07 1,635,036 1,635,036
4.60% due 01/02/07 1,324,378 1,324,378
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,858,218) 7,858,218
-------------
SECURITIES LENDING COLLATERAL 21.9%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 16,042,381 16,042,381
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $16,042,381) 16,042,381
-------------
TOTAL INVESTMENTS 121.7%
(Cost $84,651,313) $ 88,954,989
-------------
LIABILITIES IN EXCESS OF
OTHER ASSETS - (21.7)% $(15,843,223)
-------------
NET ASSETS - 100.0% $ 73,111,766
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
98 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
RUSSELL 2000(R) ADVANTAGE FUND
- --------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $20,380,100) 257 $ (251,665)
=============
UNITS
-----
EQUITY INDEX SWAP AGREEMENTS
February 2007 Russell 2000(R) Index
Swap, Terminating 02/22/07**
(Notional Market Value
$19,352,389) 24,569 $ 38,061
March 2007 Russell 2000(R) Index
Swap, Terminating 03/29/07**
(Notional Market Value
$5,843,338) 7,419 (51,316)
-------------
(TOTAL NOTIONAL MARKET
VALUE $25,195,727) $ (13,255)
=============
* 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 DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 99
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE RUSSELL 2000(R) FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 16.3%
Federal Home Loan Bank*
5.15% due 01/17/07 $ 1,000,000 $ 997,854
Freddie Mac*
5.00% due 01/02/07 1,000,000 1,000,000
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $1,997,854) 1,997,854
-------------
REPURCHASE AGREEMENTS 61.4%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ 517,337 517,337
4.80% due 01/02/07 1,834,551 1,834,551
4.79% due 01/02/07 1,834,551 1,834,551
4.65% due 01/02/07 1,834,551 1,834,551
4.60% due 01/02/07 1,485,984 1,485,984
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,506,974) 7,506,974
-------------
TOTAL INVESTMENTS 77.7%
(Cost $9,504,828) $ 9,504,828
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 22.3% $ 2,732,618
=============
NET ASSETS - 100.0% $ 12,237,446
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
SOLD SHORT
March 2007 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value of
Contracts $3,806,400) 48 $ 22,034
=============
UNITS
-----
EQUITY INDEX SWAP AGREEMENT
SOLD SHORT
February 2007 Russell 2000(R) Index
Swap, Terminating 02/22/07**
(Notional Market Value
$8,365,522) 10,621 $ 61,898
=============
* 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 RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE
RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
100 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
GOVERNMENT LONG BOND ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 41.6%
Fannie Mae*
5.14% due 01/08/07 $ 5,000,000 $ 4,995,717
Farmer Mac*
5.15% due 01/23/07 5,000,000 4,984,979
Federal Farm Credit Bank*
5.14% due 01/10/07 3,000,000 2,996,573
Federal Home Loan Bank*
5.15% due 01/17/07 5,000,000 4,989,271
Freddie Mac*
5.10% due 01/02/07 3,000,000 3,000,000
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $20,966,540) 20,966,540
-------------
U.S. TREASURY OBLIGATIONS 34.4%
United States Treasury Bond
4.50% due 02/15/36 18,240,000 17,362,200
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $16,162,618) 17,362,200
-------------
REPURCHASE AGREEMENTS 22.4%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 2,958,105 2,958,105
4.79% due 01/02/07 2,958,105 2,958,105
4.65% due 01/02/07 2,958,105 2,958,105
4.60% due 01/02/07 2,396,063 2,396,063
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $11,270,378) 11,270,378
-------------
TOTAL INVESTMENTS 98.4%
(Cost $48,399,536) $ 49,599,118
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 1.6% $ 821,072
=============
NET ASSETS - 100.0% $ 50,420,190
- -------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 U.S. Treasury
Bond Futures Contracts
(Aggregate Market Value
of Contracts $43,201,051) 608 $ (639,133)
=============
* 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.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 101
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG BOND FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 33.4%
Fannie Mae*
5.15% due 01/25/07 $ 4,000,000 $ 3,986,839
Farmer Mac*+
5.15% due 01/23/07 2,800,000 2,791,588
Federal Home Loan Bank*
5.15% due 01/17/07 3,000,000 2,993,563
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $9,771,990) 9,771,990
-------------
CONTRACTS
-------------
OPTIONS PURCHASED 0.0%
Call Options on:
March 2007 U.S. Treasury Bond
Index Futures Contracts
Expiring February 2007 with strike
price of 123 ++ 35 --
-------------
TOTAL OPTIONS PURCHASED
(Cost $696) --
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 146.1%
Repurchase Agreement (Note 5)
4.80% due 01/02/07+ $ 5,269,046 5,269,046
4.79% due 01/02/07+ 5,269,046 5,269,046
4.65% due 01/02/07+ 5,269,046 5,269,046
4.60% due 01/02/07+ 4,267,926 4,267,926
Individual Repurchase Agreement
Lehman Brothers, Inc. at 2.20%
due 01/03/07 ( Secured by
U.S. Treasury Bonds, at rate
of 4.50% and maturing
02/15/36 as collateral, with a
Market Value of $23,095,700)
and a Maturity Value of
$22,646,918 22,640,000 22,640,000
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $42,715,064) 42,715,064
-------------
TOTAL LONG TERM SECURITIES 179.5%
(Cost $52,487,750) $ 52,487,054
=============
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS SOLD SHORT (77.2)%
U.S. Treasury Bond at
4.50% due 02 /15 /36 $ 23,715,000 $ (22,573,716)
-------------
TOTAL U.S. TREASURY OBLIGATIONS SOLD SHORT
(Proceeds $23,234,870) (22,573,716)
-------------
TOTAL SHORT SALES
(Proceeds $23,234,870) (22,573,716)
-------------
TOTAL INVESTMENTS 102.3%
(Cost $29,252,880) 29,913,338
=============
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.3)% $ (666,966)
=============
NET ASSETS - 100.0% $ 29,246,372
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
March 2007 U.S. Treasury Bond
Futures Contracts
(Aggregate Market Value
of Contracts $10,809,438) 97 $ 127,326
=============
* 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 DECEMBER 31,
2006.
++ SECURITY IS FAIR VALUED.
See Notes to Financial Statements.
102 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 54.9%
FINANCIALS 18.1%
BANKS 10.6%
HSBC Holdings PLC -- SP ADR 31,430 $ 2,880,560
Banco Santander Central
Hispano SA -- SP ADR 87,770 1,637,788
Barclays PLC -- SP ADR 26,340 1,531,408
Banco Bilbao Vizcaya
Argentaria SA -- SP ADR 51,500 1,239,090
ABN AMRO Holding N.V. -- SP
ADR 34,180 1,095,469
Lloyds TSB Group PLC -- SP
ADR 24,010 1,088,373
-------------
TOTAL BANKS 9,472,688
-------------
CAPITAL MARKETS 3.8%
UBS AG Co., Inc. 24,880 1,501,010
Credit Suisse Group -- SP ADR 13,960 975,106
Deutsche Bank AG -- SP ADR 6,700 892,708
-------------
TOTAL CAPITAL MARKETS 3,368,824
-------------
INSURANCE 2.2%
Allianz AG -- SP ADR 51,820 1,058,164
AXA SA -- SP ADR 23,020 928,397
-------------
TOTAL INSURANCE 1,986,561
-------------
DIVERSIFIED FINANCIALS 1.5%
ING Groep N.V. -- SP ADR 30,900 1,364,853
-------------
TOTAL DIVERSIFIED FINANCIALS 1,364,853
-------------
TOTAL FINANCIALS 16,192,926
-------------
ENERGY 8.4%
OIL & GAS 8.4%
BP PLC -- SP ADR 37,990 2,549,129
Total SA -- SP ADR 25,510 1,834,679
Royal Dutch Shell PLC --
SP ADR 24,220 1,714,534
ENI-Ente Nazionale Idrocarburi
-- SP ADR 20,700 1,392,696
-------------
TOTAL OIL & GAS 7,491,038
-------------
TOTAL ENERGY 7,491,038
-------------
HEALTH CARE 7.0%
PHARMACEUTICALS 6.7%
GlaxoSmithKline PLC -- SP ADR 41,770 2,203,785
Novartis AG -- SP ADR 34,770 1,997,189
AstraZeneca PLC -- SP ADR 22,930 1,227,902
Sanofi-Aventis SA -- SP ADR 7,270 335,656
Teva Pharmaceutical Industries
Ltd. -- SP ADR 7,690 239,005
-------------
TOTAL PHARMACEUTICALS 6,003,537
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.3%
Alcon, Inc. 2,560 286,131
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 286,131
-------------
TOTAL HEALTH CARE 6,289,668
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 6.6%
DIVERSIFIED TELECOMMUNICATION SERVICES 4.6%
Telefonica SA -- SP ADR 22,130 $ 1,410,787
BT Group PLC -- SP ADR 17,260 1,033,701
Deutsche Telekom AG -- SP ADR 37,950 690,690
France Telecom SA -- SP ADR 19,550 541,535
Telecom Italia -- SP ADR 12,550 378,132
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,054,845
-------------
WIRELESS TELECOMMUNICATION SERVICES 2.0%
Vodafone Group, Inc. PLC -- SP
ADR 64,710 1,797,644
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,797,644
-------------
TOTAL TELECOMMUNICATION SERVICES 5,852,489
-------------
MATERIALS 3.3%
METALS & MINING 2.2%
Anglo American PLC -- ADR 34,980 853,862
Rio Tinto PLC -- SP ADR 2,950 626,845
BHP Billiton Ltd. -- SP ADR 12,750 506,813
-------------
TOTAL METALS & MINING 1,987,520
-------------
CHEMICALS 1.1%
BASF AG -- SP ADR 9,720 944,881
-------------
TOTAL CHEMICALS 944,881
-------------
TOTAL MATERIALS 2,932,401
-------------
CONSUMER STAPLES 3.2%
FOOD PRODUCTS 1.9%
Unilever N.V 37,440 1,020,240
Cadbury Schweppes PLC -- SP
ADR 16,900 725,517
-------------
TOTAL FOOD PRODUCTS 1,745,757
-------------
BEVERAGES 1.3%
Diageo PLC -- SP ADR 14,150 1,122,236
-------------
TOTAL BEVERAGES 1,122,236
-------------
TOTAL CONSUMER STAPLES 2,867,993
-------------
UTILITIES 2.7%
ELECTRIC UTILITIES 1.7%
E.ON AG -- SP ADR 34,740 1,569,901
-------------
TOTAL ELECTRIC UTILITIES 1,569,901
-------------
MULTI-UTILITIES 1.0%
Suez SA -- SP ADR 16,950 880,722
-------------
TOTAL MULTI-UTILITIES 880,722
-------------
TOTAL UTILITIES 2,450,623
-------------
INFORMATION TECHNOLOGY 2.4%
COMMUNICATIONS EQUIPMENT 1.8%
Nokia OYJ -- SP ADR 46,910 953,211
Telefonaktiebolaget LM Ericsson
-- SP ADR 16,750 673,853
-------------
TOTAL COMMUNICATIONS EQUIPMENT 1,627,064
-------------
SOFTWARE 0.6%
SAP AG -- SP ADR 10,130 537,903
-------------
TOTAL SOFTWARE 537,903
-------------
TOTAL INFORMATION TECHNOLOGY 2,164,967
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 103
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
EUROPE ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY 1.8%
AUTOMOBILES 0.7%
DaimlerChrysler AG 10,710 $ 657,701
-------------
TOTAL AUTOMOBILES 657,701
-------------
HOUSEHOLD DURABLES 0.6%
Koninklijke Philips Electronics N.V 13,610 511,464
-------------
TOTAL HOUSEHOLD DURABLES 511,464
-------------
TEXTILES & APPAREL 0.5%
Luxottica Group -- SP ADR 14,720 451,462
-------------
TOTAL TEXTILES & APPAREL 451,462
-------------
TOTAL CONSUMER DISCRETIONARY 1,620,627
-------------
INDUSTRIALS 1.4%
INDUSTRIAL CONGLOMERATES 1.1%
Siemens AG -- SP ADR 10,040 989,442
-------------
TOTAL INDUSTRIAL CONGLOMERATES 989,442
-------------
AIRLINES 0.3%
Ryanair Holdings PLC* -- SP
ADR 3,150 256,725
-------------
TOTAL AIRLINES 256,725
-------------
TOTAL INDUSTRIALS 1,246,167
-------------
TOTAL COMMON STOCKS
(Cost $42,837,068) 49,108,899
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 45.8%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ $ 2,361,918 2,361,918
4.80% due 01/02/07 8,624,485 8,624,485
4.79% due 01/02/07 8,624,485 8,624,485
4.65% due 01/02/07 8,624,485 8,624,485
4.60% due 01/02/07+ 12,762,371 12,762,371
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $40,997,744) 40,997,744
-------------
TOTAL INVESTMENTS 100.7%
(Cost $83,834,812) $ 90,106,643
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (0.7)% $ (616,399)
=============
NET ASSETS - 100.0% $ 89,490,244
- -------------------------------------------------------------------------------
UNREALIZED
LOSS
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS
March 2007 Dow Jones
STOXX 50 Index Swap,
Terminating 03/14/07**
(Notional Market Value
$38,375,447) 7,897 $ (178,267)
March 2007 Dow Jones
STOXX 50 Index Swap,
Terminating 03/29/07**
(Notional Market Value
$24,570,115) 5,036 (96,584)
-------------
(TOTAL NOTIONAL MARKET
VALUE $62,945,562) $ (274,851)
=============
COUNTRY DIVERSIFICATION
[THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.]
BRITAIN 38%
GERMANY 16%
NETHERLANDS 12%
FRANCE 9%
ITALY 7%
SPAIN 6%
SWITZERLAND 5%
SWEDEN 4%
IRELAND 1%
AUSTRALIA 1%
FINLAND 1%
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 DECEMBER 31, 2006.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
104 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
JAPAN ADVANTAGE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 22.9%
Farmer Mac*
5.15% due 01/23/07 $ 2,000,000 $ 1,993,992
Federal Home Loan Bank*
5.15% due 01/17/07 2,000,000 1,995,708
Freddie Mac*
5.00% due 01/02/07 3,000,000 3,000,000
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $6,989,700) 6,989,700
-------------
REPURCHASE AGREEMENTS 74.6%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 4,877,852 4,877,852
4.79% due 01/02/07 4,877,852 4,877,852
4.65% due 01/02/07 4,877,852 4,877,852
4.60% due 01/02/07+ 8,122,063 8,122,063
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $22,755,619) 22,755,619
-------------
TOTAL INVESTMENTS 97.5%
(Cost $29,745,319) $ 29,745,319
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 2.5% $ 764,371
=============
NET ASSETS - 100.0% $ 30,509,690
- -------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Nikkei 225 Index
Futures Contracts
(Aggregate Market Value
of Contracts $10,207,000) 118 $ 352,799
March 2007 Yen Currency
Exchange Futures Contracts
(Aggregate Market Value
of Contracts $9,973,400) 94 (223,435)
-------------
(TOTAL AGGREGATE MARKET VALUE OF
CONTRACTS $20,180,400) $ 129,364
=============
UNITS
-------------
EQUITY INDEX SWAP AGREEMENT
March 2007 Topix 100 Index
Swap, Terminating 03/14/07**
(Notional Market Value
$27,957,485) 2,714,113 $ 538,576
=============
* 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 TOPIX 100 INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 105
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC DOW FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 74.2%
INDUSTRIALS 17.8%
AEROSPACE & DEFENSE 9.4%
Boeing Co. 21,640 $ 1,922,497
United Technologies Corp. 21,642 1,353,058
Honeywell International, Inc.+ 21,640 978,994
-------------
TOTAL AEROSPACE & DEFENSE 4,254,549
-------------
INDUSTRIAL CONGLOMERATES 5.5%
3M Co. 21,640 1,686,405
General Electric Co. 21,640 805,225
-------------
TOTAL INDUSTRIAL CONGLOMERATES 2,491,630
-------------
MACHINERY 2.9%
Caterpillar, Inc.+ 21,640 1,327,181
-------------
TOTAL MACHINERY 1,327,181
-------------
TOTAL INDUSTRIALS 8,073,360
-------------
CONSUMER STAPLES 11.7%
TOBACCO 4.1%
Altria Group, Inc.+ 21,640 1,857,145
-------------
TOTAL TOBACCO 1,857,145
-------------
HOUSEHOLD PRODUCTS 3.1%
Procter & Gamble Co. 21,638 1,390,674
-------------
TOTAL HOUSEHOLD PRODUCTS 1,390,674
-------------
BEVERAGES 2.3%
Coca-Cola Co.+ 21,640 1,044,130
-------------
TOTAL BEVERAGES 1,044,130
-------------
FOOD & DRUG RETAILING 2.2%
Wal-Mart Stores, Inc. 21,640 999,335
-------------
TOTAL FOOD & DRUG RETAILING 999,335
-------------
TOTAL CONSUMER STAPLES 5,291,284
-------------
FINANCIALS 11.3%
DIVERSIFIED FINANCIALS 5.0%
Citigroup, Inc. 21,643 1,205,515
J.P. Morgan Chase & Co. 21,640 1,045,212
-------------
TOTAL DIVERSIFIED FINANCIALS 2,250,727
-------------
INSURANCE 3.4%
American International Group, Inc. 21,640 1,550,722
-------------
TOTAL INSURANCE 1,550,722
-------------
CONSUMER FINANCE 2.9%
American Express Co. 21,640 1,312,899
-------------
TOTAL CONSUMER FINANCE 1,312,899
-------------
TOTAL FINANCIALS 5,114,348
-------------
INFORMATION TECHNOLOGY 9.0%
COMPUTERS & PERIPHERALS 6.6%
International Business Machines
Corp. 21,640 2,102,326
Hewlett-Packard Co. 21,640 891,352
-------------
TOTAL COMPUTERS & PERIPHERALS 2,993,678
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SOFTWARE 1.4%
Microsoft Corp.+ 21,640 $ 646,170
-------------
TOTAL SOFTWARE 646,170
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.0%
Intel Corp.* 21,640 438,210
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 438,210
-------------
TOTAL INFORMATION TECHNOLOGY 4,078,058
-------------
CONSUMER DISCRETIONARY 7.1%
HOTELS, RESTAURANTS & LEISURE 2.1%
McDonald's Corp. 21,640 959,301
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 959,301
-------------
SPECIALTY RETAIL 1.9%
Home Depot, Inc. 21,640 869,062
-------------
TOTAL SPECIALTY RETAIL 869,062
-------------
MEDIA 1.6%
Walt Disney Co.+ 21,640 741,603
-------------
TOTAL MEDIA 741,603
-------------
AUTOMOBILES 1.5%
General Motors Corp.+ 21,640 664,781
-------------
TOTAL AUTOMOBILES 664,781
-------------
TOTAL CONSUMER DISCRETIONARY 3,234,747
-------------
HEALTH CARE 6.5%
PHARMACEUTICALS 6.5%
Johnson & Johnson, Inc. 21,640 1,428,673
Merck & Co., Inc.+ 21,640 943,504
Pfizer, Inc. 21,640 560,476
-------------
TOTAL PHARMACEUTICALS 2,932,653
-------------
TOTAL HEALTH CARE 2,932,653
-------------
MATERIALS 3.7%
CHEMICALS 2.3%
E.I. du Pont de Nemours and Co.+ 21,640 1,054,085
TOTAL CHEMICALS 1,054,085
METALS & MINING 1.4%
Alcoa, Inc. 21,640 649,416
-------------
TOTAL METALS & MINING 649,416
-------------
TOTAL MATERIALS 1,703,501
-------------
ENERGY 3.6%
OIL & GAS 3.6%
Exxon Mobil Corp. 21,640 1,658,273
-------------
TOTAL OIL & GAS 1,658,273
-------------
TOTAL ENERGY 1,658,273
-------------
See Notes to Financial Statements.
106 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC DOW FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 3.5%
DIVERSIFIED TELECOMMUNICATION SERVICES 3.5%
Verizon Communications, Inc.+ 21,636 $ 805,725
AT&T, Inc.+ 21,640 773,630
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 1,579,355
-------------
TOTAL TELECOMMUNICATION SERVICES 1,579,355
-------------
TOTAL COMMON STOCKS
(Cost $30,645,652) 33,665,579
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 24.7%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 $ 2,066,900 2,066,900
4.79% due 01/02/07 2,066,900 2,066,900
4.65% due 01/02/07 2,066,900 2,066,900
4.60% due 01/02/07++ 5,000,326 5,000,326
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $11,201,026) 11,201,026
-------------
SECURITIES LENDING COLLATERAL 9.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,136,460 4,136,460
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,136,460) 4,136,460
-------------
TOTAL INVESTMENTS 108.0%
(Cost $45,983,138) $ 49,003,065
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (8.0)% $ (3,637,812)
=============
NET ASSETS - 100.0% $ 45,365,253
- -------------------------------------------------------------------------------
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 Dow Jones Industrial
Average Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $24,946,640) 398 $ 179,992
=============
UNITS
-------------
EQUITY INDEX SWAP AGREEMENT
March 2007 Dow Jones Industrial
Average Index Swap,
Terminating 03/14/07*
(Notional Market Value
$32,624,134) 2,618 $ 274,021
=============
* PRICE RETURN BASED ON DOW JONES INDUSTRIAL AVERAGE INDEX +/- FINANCING AT
A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 107
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INVERSE DYNAMIC DOW FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 23.4%
Fannie Mae*
5.14% due 01/08/07 $ 2,000,000 $ 1,998,287
Federal Home Loan Bank*
5.15% due 01/17/07 2,000,000 1,995,708
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $3,993,995) 3,993,995
-------------
REPURCHASE AGREEMENTS 75.0%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 2,515,525 2,515,525
4.79% due 01/02/07 2,515,525 2,515,525
4.65% due 01/02/07 2,515,525 2,515,525
4.60% due 01/02/07+ 5,246,050 5,246,050
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $12,792,625) 12,792,625
-------------
TOTAL INVESTMENTS 98.4%
(Cost $16,786,620) $ 16,786,620
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 1.6% $ 266,781
=============
NET ASSETS - 100.0% $ 17,053,401
- -------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
SOLD SHORT
March 2007 Dow Jones Industrial
Average Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $4,763,680) 76 $ (32,587)
=============
UNITS
-------------
EQUITY INDEX SWAP AGREEMENT
SOLD SHORT
March 2007 Dow Jones Industrial
Average Index Swap,
Terminating 03/14/07**
(Notional Market Value
$29,226,178) 2,345 $ (267,949)
=============
* 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 DOW JONES INDUSTRIAL AVERAGE INDEX +/- FINANCING AT
A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
108 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
CONSUMER DISCRETIONARY 24.5%
HOUSEHOLD DURABLES 6.8%
Libbey, Inc.+ 37,270 $ 459,912
La-Z-Boy, Inc.+ 35,653 423,201
Bassett Furniture Industries, Inc. 19,946 325,918
Standard-Pacific Corp.+ 11,813 316,470
M/I Homes, Inc. 8,170 312,012
National Presto Industries, Inc. 2,069 123,871
Lenox Group, Inc.* 16,566 106,023
Skyline Corp.+ 2,620 105,376
Champion Enterprises, Inc.* 8,100 75,816
Ethan Allen Interiors, Inc. 1,780 64,276
-------------
TOTAL HOUSEHOLD DURABLES 2,312,875
-------------
SPECIALTY RETAIL 6.7%
Hancock Fabrics, Inc.*+ 155,693 535,584
Sonic Automotive, Inc.+ 10,815 314,067
Haverty Furniture Cos., Inc. 20,547 304,096
Cost Plus, Inc.*+ 29,300 301,790
PEP Boys-Manny Moe & Jack 18,530 275,356
Jo-Ann Stores, Inc.*+ 9,543 234,758
Group 1 Automotive, Inc. 4,183 216,345
Stein Mart, Inc. 9,000 119,340
-------------
TOTAL SPECIALTY RETAIL 2,301,336
-------------
AUTOMOBILES 2.3%
Coachmen Industries, Inc. 28,654 315,194
Monaco Coach Corp. 20,330 287,873
Fleetwood Enterprises, Inc.*+ 21,230 167,929
-------------
TOTAL AUTOMOBILES 770,996
-------------
AUTO COMPONENTS 2.0%
Standard Motor Products, Inc. 24,691 369,871
Superior Industries International, Inc.+ 16,945 326,530
-------------
TOTAL AUTO COMPONENTS 696,401
-------------
DISTRIBUTORS 1.5%
Building Material Holding Corp. 14,510 358,252
Audiovox Corp. -- Class A* 10,380 146,254
-------------
TOTAL DISTRIBUTORS 504,506
-------------
HOTELS, RESTAURANTS & LEISURE 1.4%
Landry's Restaurants, Inc. 6,380 191,974
O'Charleys, Inc.*+ 8,298 176,582
Marcus Corp. 4,599 117,642
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 486,198
-------------
LEISURE EQUIPMENT & PRODUCTS 1.3%
Arctic Cat, Inc.+ 11,690 205,627
K2, Inc.* 11,854 156,354
Jakks Pacific, Inc.* 4,470 97,625
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 459,606
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TEXTILES & APPAREL 1.3%
Ashworth, Inc.* 33,321 $ 241,910
Kellwood Co. 5,699 185,332
-------------
TOTAL TEXTILES & APPAREL 427,242
-------------
MULTILINE RETAIL 0.8%
Fred's, Inc. 21,870 263,315
-------------
TOTAL MULTILINE RETAIL 263,315
-------------
MEDIA 0.4%
Radio One, Inc.*+ 18,300 123,342
-------------
TOTAL MEDIA 123,342
-------------
TOTAL CONSUMER DISCRETIONARY 8,345,817
-------------
FINANCIALS 17.9%
REAL ESTATE 5.3%
New Century Financial Corp.+ 12,750 402,772
National Retail Properties, Inc.+ 7,958 182,636
Parkway Properties, Inc.+ 3,491 178,076
Lexington Corporate Properties Trust+ 7,852 176,042
Senior Housing Properties Trust+ 6,820 166,954
LTC Properties, Inc. 6,053 165,307
Colonial Properties Trust 3,449 161,689
Inland Real Estate Corp. 5,580 104,458
Sovran Self Storage, Inc.+ 1,817 104,078
Entertainment Properties Trust+ 1,691 98,822
Mid-America Apartment
Communities, Inc.+ 1,150 65,826
-------------
TOTAL REAL ESTATE 1,806,660
-------------
BANKS 4.1%
First Bancorp Puerto Rico+ 22,559 214,987
First Commonwealth Financial Corp.+ 11,862 159,307
Susquehanna Bancshares, Inc. 5,190 139,507
Community Bank System, Inc. 5,761 132,503
Sterling Bancorp+ 6,094 120,052
South Financial Group, Inc. 4,477 119,043
First Financial Bancorp+ 6,980 115,938
Provident Bankshares Corp.+ 3,124 111,214
Irwin Financial Corp. 4,570 103,419
Whitney Holding Corp. 3,037 99,067
Central Pacific Financial Corp. 1,850 71,706
-------------
TOTAL BANKS 1,386,743
-------------
INSURANCE 3.7%
Stewart Information Services Corp. 9,911 429,741
LandAmerica Financial Group, Inc.+ 6,579 415,201
Presidential Life Corp. 6,763 148,448
Selective Insurance Group, Inc.+ 2,015 115,439
Safety Insurance Group, Inc. 1,490 75,558
SCPIE Holdings Inc.*+ 2,523 65,951
-------------
TOTAL INSURANCE 1,250,338
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 109
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE 3.5%
Flagstar Bancorp, Inc. 24,260 $ 360,019
Fremont General Corp.+ 14,920 241,853
Brookline Bancorp, Inc.+ 12,737 167,746
Dime Community Bancshares 11,450 160,415
MAF Bancorp, Inc.+ 2,390 106,809
TrustCo Bank Corp.+ 7,970 88,626
Bank Mutual Corp. 6,000 72,660
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 1,198,128
-------------
CAPITAL MARKETS 1.3%
LaBranche & Co., Inc.*+ 19,920 195,814
SWS Group, Inc. 4,877 174,109
Piper Jaffray Cos., Inc.* 1,395 90,884
-------------
TOTAL CAPITAL MARKETS 460,807
-------------
TOTAL FINANCIALS 6,102,676
-------------
MATERIALS 15.0%
CHEMICALS 6.8%
Wellman, Inc. 111,775 356,562
Georgia Gulf Corp.+ 16,630 321,125
Quaker Chemical Corp. 13,204 291,412
A. Schulman, Inc. 12,732 283,287
PolyOne Corp.* 35,050 262,875
Penford Corp. 11,196 193,691
Arch Chemicals, Inc.+ 5,588 186,136
Tronox, Inc. 11,267 177,906
Omnova Solutions, Inc.* 29,642 135,761
Material Sciences Corp.* 8,838 114,364
-------------
TOTAL CHEMICALS 2,323,119
-------------
METALS & MINING 3.0%
Steel Technologies, Inc. 24,707 433,608
Ryerson Tull, Inc.+ 16,517 414,412
Quanex Corp. 3,131 108,301
A.M. Castle & Co. 2,891 73,576
-------------
TOTAL METALS & MINING 1,029,897
-------------
PAPER & FOREST PRODUCTS 2.7%
Pope & Talbot, Inc.*+ 62,907 344,101
Schweitzer-Mauduit International,
Inc. 9,034 235,336
Wausau Paper Corp. 8,802 131,942
Neenah Paper, Inc.+ 2,845 100,485
Buckeye Technologies, Inc.* 8,278 99,171
-------------
TOTAL PAPER & FOREST PRODUCTS 911,035
-------------
CONTAINERS & PACKAGING 2.5%
Chesapeake Corp. 29,885 508,642
Caraustar Industries, Inc.* 23,143 187,227
Rock-Tenn Co. -- Class A 6,126 166,076
-------------
TOTAL CONTAINERS & PACKAGING 861,945
-------------
TOTAL MATERIALS 5,125,996
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIALS 15.0%
COMMERCIAL SERVICES & SUPPLIES 4.7%
Spherion Corp.* 47,467 $ 352,680
Standard Register Co. 29,300 351,600
Angelica Corp. 8,210 211,818
ABM Industries, Inc. 7,117 161,627
CDI Corp. 6,367 158,538
United Stationers, Inc.* 3,181 148,521
Volt Information Sciences, Inc.* 2,471 124,069
Bowne & Co., Inc. 5,462 87,064
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,595,917
-------------
MACHINERY 2.7%
Briggs & Stratton Corp.+ 10,251 276,264
Lydall, Inc.* 18,038 194,991
Wabash National Corp. 11,260 170,026
Mueller Industries, Inc.+ 3,114 98,714
Albany International Corp. --
Class A 2,960 97,414
Barnes Group, Inc.+ 4,140 90,045
-------------
TOTAL MACHINERY 927,454
-------------
AIRLINES 2.0%
Mesa Air Group, Inc.* 41,630 356,769
Frontier Airlines Holdings, Inc.*+ 24,634 182,291
SkyWest, Inc.+ 6,270 159,948
-------------
TOTAL AIRLINES 699,008
-------------
ELECTRICAL EQUIPMENT 1.7%
C&D Technologies, Inc.+ 78,291 371,099
A.O. Smith Corp. 5,158 193,735
-------------
TOTAL ELECTRICAL EQUIPMENT 564,834
-------------
BUILDING PRODUCTS 1.1%
Universal Forest Products, Inc. 3,660 170,629
Apogee Enterprises, Inc. 5,220 100,798
Lennox International, Inc. 2,980 91,218
-------------
TOTAL BUILDING PRODUCTS 362,645
-------------
INDUSTRIAL CONGLOMERATES 0.9%
Standex International Corp.+ 6,818 205,427
Tredegar Corp.+ 5,066 114,542
-------------
TOTAL INDUSTRIAL CONGLOMERATES 319,969
-------------
ROAD & RAIL 0.5%
Arkansas Best Corp.+ 5,047 181,692
-------------
TOTAL ROAD & RAIL 181,692
-------------
TRADING COMPANIES & DISTRIBUTORS 0.5%
Kaman Corp. -- Class A 7,734 173,164
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 173,164
-------------
CONSTRUCTION & ENGINEERING 0.5%
URS Corp.* 2,020 86,557
Shaw Group, Inc.* 2,080 69,680
-------------
TOTAL CONSTRUCTION & ENGINEERING 156,237
-------------
See Notes to Financial Statements.
110 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE 0.4%
Applied Signal Technology, Inc. 8,810 $ 123,869
-------------
TOTAL AEROSPACE & DEFENSE 123,869
-------------
TOTAL INDUSTRIALS 5,104,789
-------------
UTILITIES 9.9%
GAS UTILITIES 4.6%
Atmos Energy Corp. 9,351 298,390
Laclede Group, Inc. 7,266 254,528
Cascade Natural Gas Corp. 6,911 179,133
Southwest Gas Corp.+ 4,376 167,907
UGI Corp. 5,573 152,032
Northwest Natural Gas Co. 3,513 149,092
New Jersey Resources Corp. 2,920 141,854
Piedmont Natural Gas Co.+ 4,923 131,690
South Jersey Industries, Inc. 3,110 103,905
-------------
TOTAL GAS UTILITIES 1,578,531
-------------
ELECTRIC UTILITIES 4.0%
Central Vermont Public Service
Corp. 14,582 343,406
Green Mountain Power Corp. 7,883 267,155
Cleco Corp. 9,428 237,869
UIL Holding Corp. 4,492 189,518
Unisource Energy Corp.+ 5,061 184,878
Allete, Inc.+ 2,773 129,055
-------------
TOTAL ELECTRIC UTILITIES 1,351,881
-------------
MULTI-UTILITIES 1.3%
CH Energy Group, Inc. 4,592 242,457
Avista Corp.+ 8,316 210,478
-------------
TOTAL MULTI-UTILITIES 452,935
-------------
TOTAL UTILITIES 3,383,347
-------------
INFORMATION TECHNOLOGY 8.2%
ELECTRONIC EQUIPMENT & INSTRUMENTS 4.2%
Agilsys, Inc. 17,929 300,131
Bell Microproducts, Inc.* 36,709 258,798
Anixter International, Inc.*+ 3,772 204,820
Insight Enterprises, Inc.* 10,028 189,228
Brightpoint, Inc.* 12,408 166,888
Methode Electronics, Inc. --
Class A 12,577 136,209
Park Electrochemical Corp. 4,060 104,139
CTS Corp. 5,130 80,541
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,440,754
-------------
INTERNET SOFTWARE & SERVICES 1.4%
MIVA, Inc.* 86,160 292,082
United Online, Inc. 13,650 181,272
-------------
TOTAL INTERNET SOFTWARE & SERVICES 473,354
-------------
IT CONSULTING & SERVICES 1.2%
Startek, Inc. 17,784 240,795
Ciber, Inc.* 24,974 169,324
-------------
TOTAL IT CONSULTING & SERVICES 410,119
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 0.8%
Inter-Tel, Inc. 7,330 $ 162,433
Tollgrade Communications, Inc.* 9,670 102,212
-------------
TOTAL COMMUNICATIONS EQUIPMENT 264,645
-------------
COMPUTERS & PERIPHERALS 0.3%
Adaptec, Inc.* 26,557 123,756
-------------
TOTAL COMPUTERS & PERIPHERALS 123,756
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3%
Photronics, Inc.*+ 5,813 94,984
-------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 94,984
-------------
TOTAL INFORMATION TECHNOLOGY 2,807,612
-------------
CONSUMER STAPLES 4.5%
FOOD & DRUG RETAILING 3.2%
Nash Finch Co.+ 17,435 475,975
Performance Food Group Co.* 10,150 280,546
Longs Drug Stores Corp. 5,494 232,836
Casey's General Stores, Inc.+ 4,780 112,569
-------------
TOTAL FOOD & DRUG RETAILING 1,101,926
-------------
FOOD PRODUCTS 0.5%
Lance, Inc. 7,595 152,508
-------------
TOTAL FOOD PRODUCTS 152,508
-------------
TOBACCO 0.4%
Alliance One International, Inc.*+ 19,981 141,066
-------------
TOTAL TOBACCO 141,066
-------------
HOUSEHOLD PRODUCTS 0.4%
Spectrum Brands, Inc.*+ 12,600 137,340
-------------
TOTAL HOUSEHOLD PRODUCTS 137,340
-------------
TOTAL CONSUMER STAPLES 1,532,840
-------------
HEALTH CARE 4.2%
HEALTH CARE PROVIDERS & SERVICES 2.1%
Owens & Minor, Inc. 7,559 236,370
RehabCare Group, Inc.* 14,730 218,741
Genesis HealthCare Corp.* 3,766 177,868
Gentiva Health Services, Inc.* 5,207 99,245
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 732,224
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.7%
Datascope Corp. 5,455 198,780
Invacare Corp. 7,790 191,245
Theragenics Corp.* 58,270 180,637
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 570,662
-------------
PHARMACEUTICALS 0.4%
Alpharma, Inc. -- Class A 5,440 131,104
-------------
TOTAL PHARMACEUTICALS 131,104
-------------
TOTAL HEALTH CARE 1,433,990
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 111
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 0.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.3%
Commonwealth Telephone
Enterprises, Inc. 2,450 $ 102,557
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 102,557
-------------
TOTAL TELECOMMUNICATION SERVICES 102,557
-------------
TOTAL COMMON STOCKS
(Cost $31,338,892) 33,939,624
-------------
FACE
AMOUNT
REPURCHASE AGREEMENTS 0.9% -------------
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 324,761 324,761
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $324,761) 324,761
-------------
SECURITIES LENDING COLLATERAL 14.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,879,062 4,879,062
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,879,062) 4,879,062
-------------
TOTAL INVESTMENTS 114.7%
(Cost $36,542,715) $ 39,143,447
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (14.7)% $ (5,019,927)
=============
NET ASSETS - 100.0% $ 34,123,520
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
112 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.5%
UTILITIES 23.9%
MULTI-UTILITIES 10.7%
WPS Resources Corp.+ 9,598 $ 518,580
Energy East Corp.+ 19,057 472,614
Puget Energy, Inc.+ 16,098 408,245
SCANA Corp. 8,333 338,487
Vectren Corp.+ 10,661 301,493
OGE Energy Corp. 6,802 272,080
PNM Resources, Inc. 7,371 229,238
Alliant Energy Corp.+ 5,303 200,294
NSTAR 4,381 150,531
Wisconsin Energy Corp. 2,950 140,007
-------------
TOTAL MULTI-UTILITIES 3,031,569
-------------
ELECTRIC UTILITIES 9.3%
Black Hills Corp.+ 10,679 394,482
Pepco Holdings, Inc. 14,384 374,128
Northeast Utilities 12,234 344,509
Great Plains Energy, Inc.+ 10,386 330,275
Hawaiian Electric Industries, Inc.+ 11,269 305,953
Westar Energy, Inc.+ 10,105 262,326
IDACORP, Inc.+ 5,152 199,125
Duquesne Light Holdings, Inc. 8,888 176,427
DPL, Inc. 4,440 123,343
Sierra Pacific Resources* 6,695 112,677
-------------
TOTAL ELECTRIC UTILITIES 2,623,245
-------------
GAS UTILITIES 3.9%
WGL Holdings, Inc.+ 10,557 343,947
Oneok, Inc. 7,116 306,842
AGL Resources, Inc. 6,904 268,635
National Fuel Gas Co.+ 5,006 192,931
-------------
TOTAL GAS UTILITIES 1,112,355
-------------
TOTAL UTILITIES 6,767,169
-------------
CONSUMER DISCRETIONARY 18.8%
AUTO COMPONENTS 5.8%
Lear Corp.+ 19,138 565,145
Modine Manufacturing Co. 17,170 429,765
ArvinMeritor, Inc.+ 14,684 267,689
Bandag, Inc.+ 4,352 219,472
BorgWarner, Inc.+ 2,395 141,353
-------------
TOTAL AUTO COMPONENTS 1,623,424
-------------
HOUSEHOLD DURABLES 4.9%
Furniture Brands International,
Inc.+ 35,473 575,727
Beazer Homes USA, Inc.+ 7,200 338,472
Tupperware Brands Corp.+ 11,012 248,981
American Greetings Corp. -- Class A+ 9,618 229,582
-------------
TOTAL HOUSEHOLD DURABLES 1,392,762
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDIA 4.9%
Westwood One, Inc. 65,760 $ 464,266
Belo Corp. -- Class A+ 13,150 241,565
Media General, Inc. 6,412 238,334
Scholastic Corp.* 6,294 225,577
Lee Enterprises, Inc. 6,930 215,246
-------------
TOTAL MEDIA 1,384,988
-------------
SPECIALTY RETAIL 1.7%
Borders Group, Inc.+ 13,072 292,159
Foot Locker, Inc. 7,930 173,905
-------------
TOTAL SPECIALTY RETAIL 466,064
-------------
HOTELS, RESTAURANTS & LEISURE 0.6%
Bob Evans Farms, Inc. 5,003 171,202
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 171,202
-------------
MULTILINE RETAIL 0.5%
Saks, Inc.+ 8,334 148,512
-------------
TOTAL MULTILINE RETAIL 148,512
-------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Callaway Golf Co.+ 8,280 119,315
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 119,315
-------------
TOTAL CONSUMER DISCRETIONARY 5,306,267
-------------
FINANCIALS 16.8%
INSURANCE 7.4%
First American Corp.+ 8,997 365,998
Old Republic International Corp. 13,971 325,245
Unitrin, Inc. 5,616 281,418
Mercury General Corp.+ 4,125 217,511
American Financial Group, Inc. 5,777 207,452
Fidelity National Financial, Inc. -- Class A 8,520 203,458
Horace Mann Educators Corp.+ 9,506 192,021
Protective Life Corp. 3,571 169,623
Ohio Casualty Corp.+ 4,882 145,532
-------------
TOTAL INSURANCE 2,108,258
-------------
REAL ESTATE 4.7%
Potlatch Corp.+ 5,755 252,184
Hospitality Properties Trust 3,980 189,169
Mack-Cali Realty Corp.+ 3,235 164,985
Liberty Property Trust+ 3,347 164,472
New Plan Excel Realty Trust+ 5,793 159,192
Highwoods Properties, Inc.+ 3,625 147,755
Rayonier, Inc. 3,537 145,194
Weingarten Realty Investors 2,130 98,214
-------------
TOTAL REAL ESTATE 1,321,165
-------------
THRIFTS & MORTGAGE FINANCE 2.2%
First Niagara Financial Group, Inc. 14,520 215,767
Washington Federal, Inc.+ 7,761 182,616
Webster Financial Corp. 2,414 117,610
Astoria Financial Corp. 3,260 98,322
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 614,315
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 113
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BANKS 2.1%
FirstMerit Corp.+ 8,195 $ 197,827
Associated Banc-Corp. 4,500 156,960
Greater Bay Bancorp 4,700 123,751
Colonial BancGroup, Inc. 4,040 103,990
-------------
TOTAL BANKS 582,528
-------------
CONSUMER FINANCE 0.4%
AmeriCredit Corp.* 5,050 127,108
-------------
TOTAL CONSUMER FINANCE 127,108
-------------
TOTAL FINANCIALS 4,753,374
-------------
MATERIALS 13.7%
CHEMICALS 8.2%
Lyondell Chemical Co.+ 20,063 513,011
Olin Corp. 24,200 399,784
Ferro Corp. 16,673 344,964
Chemtura Corp.+ 28,040 270,025
RPM International, Inc.+ 10,399 217,235
Sensient Technologies Corp. 7,227 177,784
Lubrizol Corp. 3,498 175,355
Cytec Industries, Inc. 2,590 146,361
Cabot Corp.+ 1,950 84,962
-------------
TOTAL CHEMICALS 2,329,481
-------------
PAPER & FOREST PRODUCTS 3.2%
Bowater, Inc.+ 19,578 440,505
Louisiana-Pacific Corp. 13,730 295,607
Glatfelter+ 9,921 153,776
-------------
TOTAL PAPER & FOREST PRODUCTS 889,888
-------------
CONTAINERS & PACKAGING 1.2%
Packaging Corporation
of America 10,056 222,237
Sonoco Products Co. 3,011 114,599
-------------
TOTAL CONTAINERS & PACKAGING 336,836
-------------
METALS & MINING 1.1%
Worthington Industries, Inc.+ 17,208 304,926
-------------
TOTAL METALS & MINING 304,926
-------------
TOTAL MATERIALS 3,861,131
-------------
INDUSTRIALS 12.2%
ROAD & RAIL 4.9%
Avis Budget Group, Inc. 29,690 643,976
YRC Worldwide, Inc.*+ 12,306 464,305
Werner Enterprises, Inc. 8,968 156,761
Con-way, Inc. 2,850 125,514
-------------
TOTAL ROAD & RAIL 1,390,556
-------------
COMMERCIAL SERVICES & SUPPLIES 3.6%
Kelly Services, Inc.+ 12,563 363,573
Deluxe Corp. 10,550 265,860
Banta Corp. 6,726 244,826
Manpower, Inc. 1,664 124,684
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 998,943
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MACHINERY 1.8%
Timken Co.+ 11,298 $ 329,676
Pentair, Inc. 2,950 92,630
Kennametal, Inc. 1,545 90,923
-------------
TOTAL MACHINERY 513,229
-------------
TRADING COMPANIES & DISTRIBUTORS 0.6%
United Rentals, Inc.* 6,380 162,243
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 162,243
-------------
MARINE 0.5%
Alexander & Baldwin, Inc. 3,400 150,756
-------------
TOTAL MARINE 150,756
-------------
INDUSTRIAL CONGLOMERATES 0.5%
Sequa Corp. -- Class A* 1,149 132,204
-------------
TOTAL INDUSTRIAL CONGLOMERATES 132,204
-------------
AIRLINES 0.3%
Alaska Air Group, Inc.* 2,319 91,601
-------------
TOTAL AIRLINES 91,601
-------------
TOTAL INDUSTRIALS 3,439,532
-------------
CONSUMER STAPLES 6.4%
FOOD PRODUCTS 2.4%
Smithfield Foods, Inc.*+ 11,560 296,630
Lancaster Colony Corp.+ 4,590 203,383
J.M. Smucker Co. 3,400 164,798
-------------
TOTAL FOOD PRODUCTS 664,811
-------------
FOOD & DRUG RETAILING 1.8%
Ruddick Corp.+ 10,329 286,630
BJ's Wholesale Club, Inc.* 7,031 218,734
-------------
TOTAL FOOD & DRUG RETAILING 505,364
-------------
TOBACCO 1.6%
Universal Corp.+ 9,403 460,841
-------------
TOTAL TOBACCO 460,841
-------------
BEVERAGES 0.6%
PepsiAmericas, Inc. 8,440 177,071
-------------
TOTAL BEVERAGES 177,071
-------------
TOTAL CONSUMER STAPLES 1,808,087
-------------
INFORMATION TECHNOLOGY 6.1%
ELECTRONIC EQUIPMENT & INSTRUMENTS 5.3%
Avnet, Inc.*+ 13,651 348,510
Ingram Micro, Inc. -- Class A* 15,734 321,131
Vishay Intertechnology, Inc.*+ 19,787 267,916
Tech Data Corp.* 6,083 230,363
Arrow Electronics, Inc.*+ 6,830 215,487
KEMET Corp.* 15,200 110,960
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,494,367
-------------
COMMUNICATIONS EQUIPMENT 0.5%
Andrew Corp.*+ 13,975 142,964
-------------
TOTAL COMMUNICATIONS EQUIPMENT 142,964
-------------
See Notes to Financial Statements.
114 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3%
Fairchild Semiconductor International, Inc.* 4,840 $ 81,360
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 81,360
-------------
TOTAL INFORMATION TECHNOLOGY 1,718,691
-------------
ENERGY 1.2%
OIL & GAS 1.2%
Overseas Shipholding Group, Inc. 3,800 213,940
Forest Oil Corp.* 4,240 138,563
-------------
TOTAL OIL & GAS 352,503
-------------
TOTAL ENERGY 352,503
-------------
TELECOMMUNICATION SERVICES 0.4%
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Telephone & Data Systems, Inc. 1,840 99,967
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 99,967
-------------
TOTAL TELECOMMUNICATION SERVICES 99,967
-------------
TOTAL COMMON STOCKS
(Cost $25,860,789) 28,106,721
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 163,272 163,272
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $163,272) 163,272
-------------
SECURITIES LENDING COLLATERAL 16.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,663,653 4,663,653
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,663,653) 4,663,653
-------------
TOTAL INVESTMENTS 116.6%
(Cost $30,687,714) $ 32,933,646
=============
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.6)% $ (4,679,324)
=============
NET ASSETS - 100.0% $ 28,254,322
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 115
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
FINANCIALS 23.8%
BANKS 8.0%
First Horizon National Corp.+ 19,711 $ 823,526
National City Corp.+ 20,411 746,226
Regions Financial Corp. 16,709 624,917
Wachovia Corp. 10,578 602,417
Comerica, Inc.+ 9,536 559,572
KeyCorp+ 14,012 532,876
Huntington Bancshares, Inc.+ 21,595 512,881
BB&T Corp.+ 10,007 439,608
Fifth Third Bancorp+ 10,300 421,579
PNC Financial Services Group,Inc.+ 5,656 418,770
SunTrust Banks, Inc.+ 4,330 365,669
U.S. Bancorp+ 10,041 363,384
Wells Fargo & Co.+ 7,833 278,541
-------------
TOTAL BANKS 6,689,966
-------------
INSURANCE 7.9%
XL Capital Ltd.+ 12,551 903,923
UnumProvident Corp.+ 37,094 770,813
Cincinnati Financial Corp. 15,400 697,774
St. Paul Travelers Cos., Inc. 12,450 668,441
ACE Ltd. 10,951 663,302
Allstate Corp.+ 9,679 630,200
Hartford Financial Services Group,Inc.+ 5,677 529,721
Lincoln National Corp. 7,390 490,696
Genworth Financial, Inc. -- Class A 13,374 457,525
SAFECO Corp.+ 6,535 408,764
Chubb Corp. 6,862 363,068
-------------
TOTAL INSURANCE 6,584,227
-------------
THRIFTS & MORTGAGE FINANCE 2.9%
Fannie Mae 25,700 1,526,323
Washington Mutual, Inc.+ 18,902 859,852
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 2,386,175
-------------
DIVERSIFIED FINANCIALS 2.5%
J.P. Morgan Chase & Co. 12,534 605,392
Citigroup, Inc. 9,721 541,460
CIT Group, Inc.+ 8,804 490,999
Bank of America Corp. 9,000 480,510
-------------
TOTAL DIVERSIFIED FINANCIALS 2,118,361
-------------
REAL ESTATE 2.2%
Apartment Investment & Management Co. --
Class A+ 7,779 435,779
Plum Creek Timber Co., Inc. (REIT) 10,100 402,485
Equity Office Properties Trust+ 8,039 387,239
Boston Properties, Inc.+ 2,900 324,452
Realogy Corp.* 9,000 272,880
-------------
TOTAL REAL ESTATE 1,822,835
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CAPITAL MARKETS 0.3%
Bear Stearns Cos., Inc.+ 1,457 $ 237,170
-------------
TOTAL CAPITAL MARKETS 237,170
-------------
TOTAL FINANCIALS 19,838,734
-------------
UTILITIES 20.1%
MULTI-UTILITIES 12.1%
DTE Energy Co.+ 21,532 1,042,364
NiSource, Inc.+ 41,911 1,010,055
KeySpan Corp. 24,476 1,007,922
Xcel Energy, Inc.+ 39,140 902,568
Consolidated Edison, Inc.+ 17,241 828,775
CenterPoint Energy, Inc.+ 47,566 788,644
Ameren Corp.+ 13,069 702,197
TECO Energy, Inc.+ 37,600 647,848
CMS Energy Corp.* 37,582 627,619
Dynegy, Inc. -- Class A* 74,433 538,895
Dominion Resources, Inc.+ 6,332 530,875
Public Service Enterprise Group,Inc. 7,791 517,167
PG&E Corp.+ 9,968 471,786
Sempra Energy 7,740 433,750
-------------
TOTAL MULTI-UTILITIES 10,050,465
-------------
ELECTRIC UTILITIES 6.2%
Progress Energy, Inc.+ 19,144 939,588
Pinnacle West Capital Corp.+ 18,425 933,963
Duke Energy Corp.+ 18,749 622,654
Southern Co.+ 16,079 592,672
American Electric Power Co., Inc.+ 13,323 567,293
FirstEnergy Corp.+ 9,139 551,082
FPL Group, Inc.+ 6,127 333,431
Entergy Corp. 3,402 314,073
PPL Corp. 8,364 299,766
-------------
TOTAL ELECTRIC UTILITIES 5,154,522
-------------
GAS UTILITIES 1.8%
Peoples Energy Corp.+ 18,920 843,264
Nicor, Inc.+ 14,921 698,303
-------------
TOTAL GAS UTILITIES 1,541,567
-------------
TOTAL UTILITIES 16,746,554
-------------
CONSUMER DISCRETIONARY 16.4%
AUTOMOBILES 3.6%
Ford Motor Co.+ 257,353 1,932,721
General Motors Corp.+ 34,746 1,067,397
-------------
TOTAL AUTOMOBILES 3,000,118
-------------
MEDIA 2.9%
CBS Corp.+ 24,500 763,910
Tribune Co.+ 13,000 400,140
New York Times Co. -- Class A+ 15,400 375,144
Time Warner, Inc.+ 14,100 307,098
Dow Jones & Co., Inc. 7,800 296,400
Gannett Co., Inc. 4,800 290,208
-------------
TOTAL MEDIA 2,432,900
-------------
See Notes to Financial Statements.
116 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SPECIALTY RETAIL 2.2%
AutoNation, Inc.*+ 43,110 $ 919,105
OfficeMax, Inc. 11,059 549,079
Circuit City Stores, Inc.+ 18,167 344,810
-------------
TOTAL SPECIALTY RETAIL 1,812,994
-------------
HOUSEHOLD DURABLES 2.1%
Whirlpool Corp.+ 8,144 676,115
Leggett & Platt, Inc.+ 24,564 587,080
Newell Rubbermaid, Inc.+ 9,030 261,418
Stanley Works 4,500 226,305
-------------
TOTAL HOUSEHOLD DURABLES 1,750,918
-------------
LEISURE EQUIPMENT & PRODUCTS 1.6%
Brunswick Corp.+ 23,260 741,994
Eastman Kodak Co.+ 22,584 582,667
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 1,324,661
-------------
MULTILINE RETAIL 1.6%
Dillard's, Inc. -- Class A+ 30,819 1,077,741
Federated Department Stores,Inc. 6,139 234,080
-------------
TOTAL MULTILINE RETAIL 1,311,821
-------------
AUTO COMPONENTS 1.1%
Johnson Controls, Inc.+ 5,987 514,403
Goodyear Tire & Rubber Co.*+ 17,800 373,622
-------------
TOTAL AUTO COMPONENTS 888,025
-------------
TEXTILES & APPAREL 0.5%
Jones Apparel Group, Inc. 12,720 425,230
-------------
TOTAL TEXTILES & APPAREL 425,230
-------------
DISTRIBUTORS 0.4%
Genuine Parts Co. 7,800 369,954
-------------
TOTAL DISTRIBUTORS 369,954
-------------
HOTELS, RESTAURANTS & LEISURE 0.4%
Wyndham Worldwide Corp.* 11,200 358,624
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 358,624
-------------
TOTAL CONSUMER DISCRETIONARY 13,675,245
-------------
MATERIALS 8.5%
CHEMICALS 3.6%
Ashland, Inc. 11,069 765,754
Dow Chemical Co. 16,594 662,764
Eastman Chemical Co.+ 10,352 613,977
PPG Industries, Inc.+ 6,163 395,726
Air Products & Chemicals, Inc. 4,300 302,204
Rohm & Haas Co. 4,413 225,593
-------------
TOTAL CHEMICALS 2,966,018
-------------
PAPER & FOREST PRODUCTS 2.3%
MeadWestvaco Corp.+ 23,902 718,494
Weyerhaeuser Co. 9,613 679,158
International Paper Co.+ 14,700 501,270
-------------
TOTAL PAPER & FOREST PRODUCTS 1,898,922
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
METALS & MINING 1.3%
Alcoa, Inc. 16,097 $ 483,071
United States Steel Corp. 4,362 319,037
Freeport-McMoRan Copper &Gold, Inc. --
Class B+ 5,600 312,088
-------------
TOTAL METALS & MINING 1,114,196
-------------
CONTAINERS & PACKAGING 1.3%
Temple-Inland, Inc.+ 16,535 761,106
Bemis Co. 8,843 300,485
-------------
TOTAL CONTAINERS & PACKAGING 1,061,591
-------------
TOTAL MATERIALS 7,040,727
-------------
CONSUMER STAPLES 7.6%
FOOD & DRUG RETAILING 3.2%
Supervalu, Inc. 32,188 1,150,721
Kroger Co. 26,100 602,127
Safeway, Inc.+ 14,878 514,184
Costco Wholesale Corp.+ 6,982 369,138
-------------
TOTAL FOOD & DRUG RETAILING 2,636,170
-------------
FOOD PRODUCTS 2.5%
Tyson Foods, Inc. -- Class A+ 57,805 950,892
Sara Lee Corp. 39,300 669,279
ConAgra Foods, Inc.+ 18,435 497,745
-------------
TOTAL FOOD PRODUCTS 2,117,916
-------------
BEVERAGES 1.5%
Molson Coors Brewing Co. -- Class B+ 9,159 700,114
Coca-Cola Enterprises, Inc. 29,062 593,446
-------------
TOTAL BEVERAGES 1,293,560
-------------
TOBACCO 0.4%
Reynolds American, Inc.+ 4,685 306,727
-------------
TOTAL TOBACCO 306,727
-------------
TOTAL CONSUMER STAPLES 6,354,373
-------------
TELECOMMUNICATION SERVICES 7.5%
DIVERSIFIED TELECOMMUNICATION SERVICES 6.0%
Embarq Corp. 28,589 1,502,638
Windstream Corp.+ 67,745 963,334
Verizon Communications, Inc.+ 24,702 919,902
Citizens Communications Co.+ 50,851 730,729
AT&T, Inc.+ 15,923 569,247
CenturyTel, Inc.+ 7,909 345,307
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 5,031,157
-------------
WIRELESS TELECOMMUNICATION SERVICES 1.5%
Sprint Nextel Corp. 33,300 629,037
Alltel Corp. 9,900 598,752
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,227,789
-------------
TOTAL TELECOMMUNICATION SERVICES 6,258,946
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 117
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INDUSTRIALS 5.7%
COMMERCIAL SERVICES & SUPPLIES 1.6%
RR Donnelley & Sons Co. 18,983 $ 674,656
Allied Waste Industries, Inc.*+ 32,173 395,406
Waste Management, Inc. 7,000 257,390
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,327,452
-------------
AEROSPACE & DEFENSE 1.3%
Northrop Grumman Corp. 8,398 568,544
Raytheon Co.+ 5,636 297,581
Goodrich Corp. 5,300 241,415
-------------
TOTAL AEROSPACE & DEFENSE 1,107,540
-------------
ROAD & RAIL 1.2%
Ryder System, Inc.+ 13,990 714,330
Union Pacific Corp. 3,017 277,624
-------------
TOTAL ROAD & RAIL 991,954
-------------
MACHINERY 1.0%
Cummins, Inc.+ 4,175 493,402
Paccar, Inc. 5,200 337,480
-------------
TOTAL MACHINERY 830,882
-------------
BUILDING PRODUCTS 0.6%
Masco Corp.+ 15,806 472,125
-------------
TOTAL BUILDING PRODUCTS 472,125
-------------
TOTAL INDUSTRIALS 4,729,953
-------------
INFORMATION TECHNOLOGY 4.2%
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.7%
Sanmina-SCI Corp.* 404,448 1,395,346
Solectron Corp.* 256,740 826,703
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,222,049
-------------
IT CONSULTING & SERVICES 1.2%
Computer Sciences Corp.* 9,078 484,493
Unisys Corp.* 37,198 291,632
Electronic Data Systems Corp.+ 8,516 234,616
-------------
TOTAL IT CONSULTING & SERVICES 1,010,741
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3%
Micron Technology, Inc.*+ 17,994 251,196
-------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 251,196
-------------
TOTAL INFORMATION TECHNOLOGY 3,483,986
-------------
HEALTH CARE 3.4%
HEALTH CARE PROVIDERS & SERVICES 2.7%
AmerisourceBergen Corp.+ 18,400 827,264
McKesson Corp. 13,106 664,474
Tenet Healthcare Corp.*+ 73,166 509,967
Medco Health Solutions, Inc.* 5,200 277,888
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,279,593
-------------
PHARMACEUTICALS 0.4%
Bristol-Myers Squibb Co. 11,500 302,680
-------------
TOTAL PHARMACEUTICALS 302,680
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.3%
Bausch & Lomb, Inc. 4,300 $ 223,858
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 223,858
-------------
TOTAL HEALTH CARE 2,806,131
-------------
ENERGY 2.3%
OIL & GAS 2.3%
ConocoPhillips 11,991 862,752
Marathon Oil Corp. 6,179 571,558
Hess Corp. 10,200 505,614
-------------
TOTAL OIL & GAS 1,939,924
-------------
TOTAL ENERGY 1,939,924
-------------
TOTAL COMMON STOCKS
(Cost $76,780,506) 82,874,573
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.9%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 772,319 772,319
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $772,319) 772,319
-------------
SECURITIES LENDING COLLATERAL 24.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by U.S. Bank
(Note 8) 20,056,352 20,056,352
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $20,056,352) 20,056,352
-------------
TOTAL INVESTMENTS 124.5%
(Cost $97,609,177) $ 103,703,244
=============
LIABILITIES IN EXCESS OF OTHER ASSETS - (24.5)% $ (20,380,517)
=============
NET ASSETS - 100.0% $ 83,322,727
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
118 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
CONSUMER DISCRETIONARY 25.4%
SPECIALTY RETAIL 6.6%
Christopher & Banks Corp. 10,694 $ 199,550
HOT Topic, Inc.* 14,727 196,458
Stage Stores, Inc. 6,410 194,800
Tractor Supply Co.*+ 3,782 169,093
Hibbett Sporting Goods, Inc.* 4,653 142,056
Jos. A. Bank Clothiers, Inc.*+ 4,630 135,891
Guitar Center, Inc.*+ 2,753 125,151
Children's Place Retail Stores,
Inc.*+ 1,649 104,745
Gymboree Corp.* 2,600 99,216
Dress Barn, Inc.* 3,980 92,853
Tween Brands, Inc.*+ 1,920 76,666
-------------
TOTAL SPECIALTY RETAIL 1,536,479
-------------
HOTELS, RESTAURANTS & LEISURE 6.0%
Shuffle Master, Inc.*+ 8,326 218,141
Panera Bread Co. -- Class A*+ 3,730 208,544
Multimedia Games, Inc.*+ 21,603 207,389
P.F. Chang's China Bistro, Inc.*+ 5,121 196,544
Sonic Corp.* 6,786 162,525
Papa John's International, Inc.*+ 4,967 144,093
CEC Entertainment, Inc.* 3,445 138,661
Jack in the Box, Inc.* 1,770 108,041
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,383,938
-------------
COMMERCIAL SERVICES & SUPPLIES 3.5%
Vertrue, Inc.*+ 6,687 256,848
Coinstar, Inc.* 8,105 247,770
Pre-Paid Legal Services, Inc.*+ 4,653 182,072
Bright Horizons Family Solutions, Inc.*+ 3,210 124,098
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 810,788
-------------
TEXTILES & APPAREL 2.7%
K-Swiss, Inc. -- Class A 6,453 198,365
Fossil, Inc.* 6,238 140,854
Quiksilver, Inc.*+ 8,020 126,315
Deckers Outdoor Corp.*+ 1,700 101,915
CROCS, Inc.*+ 1,390 60,048
-------------
TOTAL TEXTILES & APPAREL 627,497
-------------
HOUSEHOLD DURABLES 2.0%
NVR, Inc.*+ 380 245,100
Meritage Homes Corp.* 4,718 225,143
-------------
TOTAL HOUSEHOLD DURABLES 470,243
-------------
LEISURE EQUIPMENT & PRODUCTS 1.7%
Pool Corp.+ 5,185 203,096
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Nautilus, Inc.+ 13,710 $ 191,940
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 395,036
-------------
AUTO COMPONENTS 1.1%
LKQ Corp.*+ 5,900 135,641
Drew Industries, Inc.*+ 4,770 124,068
-------------
TOTAL AUTO COMPONENTS 259,709
-------------
INTERNET & CATALOG RETAIL 1.1%
PetMed Express, Inc.* 18,970 253,249
-------------
TOTAL INTERNET & CATALOG RETAIL 253,249
-------------
AUTOMOBILES 0.7%
Winnebago Industries, Inc.+ 5,112 168,236
-------------
TOTAL AUTOMOBILES 168,236
-------------
TOTAL CONSUMER DISCRETIONARY 5,905,175
-------------
HEALTH CARE 21.9%
HEALTH CARE EQUIPMENT & SUPPLIES 12.9%
Possis Medical, Inc.* 20,309 273,765
Integra LifeSciences Holdings Corp.* 5,714 243,359
Biosite, Inc.*+ 4,705 229,839
Immucor, Inc.*+ 5,761 168,394
PharmaNet Development Group, Inc.*+ 6,980 154,049
SurModics, Inc.*+ 4,783 148,847
PolyMedica Corp.+ 3,645 147,294
Kensey Nash Corp.* 4,592 146,026
Mentor Corp.+ 2,941 143,727
Cooper Cos., Inc.+ 3,150 140,175
Dionex Corp.* 2,419 137,181
Greatbatch, Inc.* 5,030 135,408
BioLase Technology, Inc.*+ 15,217 133,149
Hologic, Inc.* 2,800 132,384
American Medical Systems Holdings, Inc.*+ 7,118 131,825
Merit Medical Systems, Inc.* 8,194 129,793
Respironics, Inc.*+ 3,199 120,762
Idexx Laboratories, Inc.* 1,412 111,972
ArthroCare Corp.*+ 2,576 102,834
ICU Medical, Inc.*+ 2,216 90,147
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,020,930
-------------
HEALTH CARE PROVIDERS & SERVICES 7.0%
AMN Healthcare Services, Inc.*+ 9,210 253,643
Healthways, Inc.*+ 4,485 213,979
Sierra Health Services, Inc.* 4,936 177,894
Per-Se Technologies, Inc.* 6,228 173,014
Sunrise Senior Living, Inc.*+ 5,257 161,495
AmSurg Corp.*+ 6,239 143,497
Amedisys, Inc.*+ 4,286 140,881
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 119
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Odyssey HealthCare, Inc.* 10,212 $ 135,411
Pediatrix Medical Group, Inc.* 2,428 118,729
Cerner Corp.*+ 2,377 108,154
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,626,697
-------------
PHARMACEUTICALS 1.6%
Bradley Pharmaceuticals, Inc.*+ 9,140 188,101
Sciele Pharma, Inc.*+ 4,793 115,032
Noven Pharmaceuticals, Inc.* 2,566 65,305
-------------
TOTAL PHARMACEUTICALS 368,438
-------------
BIOTECHNOLOGY 0.4%
Digene Corp.* 1,950 93,444
-------------
TOTAL BIOTECHNOLOGY 93,444
-------------
TOTAL HEALTH CARE 5,109,509
-------------
INFORMATION TECHNOLOGY 21.1%
SOFTWARE 5.2%
Factset Research Systems, Inc. 3,290 185,819
EPIQ Systems, Inc.*+ 9,641 163,608
Altiris, Inc.* 6,100 154,818
Ansys, Inc.*+ 3,227 140,342
Quality Systems, Inc.+ 3,667 136,669
Take-Two Interactive Software,Inc.*+ 7,640 135,686
Kronos, Inc.*+ 3,251 119,442
Manhattan Associates, Inc.* 3,457 103,987
Micros Systems, Inc.*+ 1,580 83,266
-------------
TOTAL SOFTWARE 1,223,637
-------------
INTERNET SOFTWARE & SERVICES 4.4%
Bankrate, Inc.*+ 6,589 250,053
j2 Global Communications, Inc.*+ 9,092 247,757
Websense, Inc.* 10,326 235,743
WebEx Communications, Inc.*+ 4,879 170,228
Digital Insight Corp.*+ 2,884 111,005
-------------
TOTAL INTERNET SOFTWARE & SERVICES 1,014,786
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.6%
Flir Systems, Inc.*+ 7,799 248,242
Itron, Inc.*+ 3,250 168,480
Scansource, Inc.*+ 5,248 159,539
Trimble Navigation Ltd.* 2,850 144,581
Daktronics, Inc. 3,273 120,610
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 841,452
-------------
IT CONSULTING & SERVICES 2.9%
Talx Corp. 5,853 160,665
CACI International, Inc. -- Class A* 2,536 143,284
Mantech International Corp. -- Class A* 3,579 131,814
Global Payments, Inc. 2,760 127,788
eFunds Corp.* 3,764 103,510
-------------
TOTAL IT CONSULTING & SERVICES 667,061
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 2.7%
Komag, Inc.* 6,653 $ 252,016
Neoware, Inc.*+ 19,046 251,598
Synaptics, Inc.*+ 4,480 133,011
-------------
TOTAL COMPUTERS & PERIPHERALS 636,625
-------------
COMMUNICATIONS EQUIPMENT 1.4%
Netgear, Inc.*+ 7,490 196,612
Comtech Telecommunications
Corp.*+ 3,569 135,872
-------------
TOTAL COMMUNICATIONS EQUIPMENT 332,484
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.9%
Cabot Microelectronics Corp.*+ 3,490 118,451
Diodes, Inc.*+ 2,480 87,990
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 206,441
-------------
TOTAL INFORMATION TECHNOLOGY 4,922,486
-------------
FINANCIALS 9.2%
BANKS 3.3%
Wilshire Bancorp, Inc.+ 9,801 185,925
Nara Bancorp, Inc. 7,010 146,649
PrivateBancorp, Inc. 3,003 125,015
UCBH Holdings, Inc.+ 6,693 117,529
Cascade Bancorp.+ 3,640 112,949
East-West Bancorp, Inc.+ 2,405 85,185
-------------
TOTAL BANKS 773,252
-------------
INSURANCE 2.2%
Infinity Property & Casualty Corp. 5,230 253,080
Hilb Rogal & Hobbs Co.+ 3,212 135,289
Philadelphia Consolidated Holding Corp.*+ 2,758 122,897
-------------
TOTAL INSURANCE 511,266
-------------
CONSUMER FINANCE 1.7%
Rewards Network, Inc.* 34,704 241,193
World Acceptance Corp.* 3,176 149,113
-------------
TOTAL CONSUMER FINANCE 390,306
-------------
DIVERSIFIED FINANCIALS 1.0%
Portfolio Recovery Associates,
Inc.*+ 4,865 227,147
-------------
TOTAL DIVERSIFIED FINANCIALS 227,147
-------------
THRIFTS & MORTGAGE FINANCE 0.6%
Franklin Bank Corp.* 7,420 152,407
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 152,407
-------------
CAPITAL MARKETS 0.4%
Investment Technology
Group, Inc.* 1,995 85,545
-------------
TOTAL CAPITAL MARKETS 85,545
-------------
TOTAL FINANCIALS 2,139,923
-------------
See Notes to Financial Statements.
120 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY 8.5%
OIL & GAS 5.3%
St. Mary Land & Exploration Co. 5,630 $ 207,409
Stone Energy Corp.* 5,500 194,425
Frontier Oil Corp. 5,860 168,417
Petroleum Development Corp.* 3,876 166,862
Swift Energy Co.*+ 3,040 136,222
Penn Virginia Corp. 1,831 128,243
Helix Energy Solutions Group,
Inc.*+ 4,006 125,668
Cabot Oil & Gas Corp. 1,721 104,379
-------------
TOTAL OIL & GAS 1,231,625
-------------
ENERGY EQUIPMENT & SERVICES 3.2%
Hydril*+ 2,555 192,110
W-H Energy Services, Inc.* 3,332 162,235
Unit Corp.* 3,331 161,387
CARBO Ceramics, Inc.+ 3,523 131,655
Oceaneering International, Inc.* 2,230 88,531
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 735,918
-------------
TOTAL ENERGY 1,967,543
-------------
INDUSTRIALS 7.5%
AEROSPACE & DEFENSE 2.1%
Ceradyne, Inc.*+ 3,509 198,258
Curtiss-Wright Corp.+ 4,108 152,325
Armor Holdings, Inc.*+ 2,410 132,189
-------------
TOTAL AEROSPACE & DEFENSE 482,772
-------------
ROAD & RAIL 1.7%
Landstar System, Inc.+ 3,845 146,802
Knight Transportation, Inc.+ 7,806 133,092
Heartland Express, Inc.+ 7,994 120,070
-------------
TOTAL ROAD & RAIL 399,964
-------------
MACHINERY 1.5%
ASV, Inc.*+ 8,597 139,873
Toro Co. 2,620 122,170
Manitowoc Co., Inc. 1,290 76,665
-------------
TOTAL MACHINERY 338,708
-------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Waste Connections, Inc.* 3,229 134,165
Mobile Mini, Inc.* 3,110 83,783
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 217,948
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BUILDING PRODUCTS 0.6%
Simpson Manufacturing Co., Inc.+ 4,307 $ 136,317
-------------
TOTAL BUILDING PRODUCTS 136,317
-------------
AIR FREIGHT & COURIERS 0.4%
Forward Air Corp.+ 3,599 104,119
-------------
TOTAL AIR FREIGHT & COURIERS 104,119
-------------
MARINE 0.3%
Kirby Corp.* 2,200 75,086
-------------
TOTAL MARINE 75,086
-------------
TOTAL INDUSTRIALS 1,754,914
-------------
CONSUMER STAPLES 3.2%
PERSONAL PRODUCTS 2.0%
USANA Health Sciences, Inc.*+ 4,169 215,370
NBTY, Inc.* 4,251 176,714
Playtex Products, Inc.* 4,440 63,892
-------------
TOTAL PERSONAL PRODUCTS 455,976
-------------
FOOD PRODUCTS 0.7%
Sanderson Farms, Inc.+ 5,630 170,533
-------------
TOTAL FOOD PRODUCTS 170,533
-------------
FOOD & DRUG RETAILING 0.5%
United Natural Foods, Inc.*+ 3,390 121,769
-------------
TOTAL FOOD & DRUG RETAILING 121,769
-------------
TOTAL CONSUMER STAPLES 748,278
-------------
MATERIALS 2.2%
METALS & MINING 1.1%
Chaparral Steel Co. 3,090 136,794
Cleveland-Cliffs, Inc. 2,590 125,460
-------------
TOTAL METALS & MINING 262,254
-------------
CONSTRUCTION MATERIALS 1.1%
Headwaters, Inc.*+ 10,574 253,353
-------------
TOTAL CONSTRUCTION MATERIALS 253,353
-------------
TOTAL MATERIALS 515,607
-------------
TELECOMMUNICATION SERVICES 0.6%
DIVERSIFIED TELECOMMUNICATION SERVICES 0.6%
General Communication, Inc. -- Class A* 9,090 142,986
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 142,986
-------------
TOTAL TELECOMMUNICATION SERVICES 142,986
-------------
TOTAL COMMON STOCKS
(Cost $20,751,132) 23,206,421
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 121
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 116,843 $ 116,843
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $116,843) 116,843
-------------
SECURITIES LENDING COLLATERAL 26.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by U.S. Bank
(Note 8) 6,228,573 6,228,573
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $6,228,573) 6,228,573
-------------
TOTAL INVESTMENTS 126.8%
(Cost $27,096,548) $ 29,551,837
=============
LIABILITIES IN EXCESS OF OTHER ASSETS - (26.8)% $ (6,252,261)
=============
NET ASSETS - 100.0% $ 23,299,576
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
122 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
CONSUMER DISCRETIONARY 34.4%
SPECIALTY RETAIL 13.0%
Aeropostale, Inc.* 7,454 $ 230,105
Chico's FAS, Inc.*+ 10,130 209,590
GameStop Corp. -- Class A*+ 3,219 177,399
Abercrombie & Fitch Co. --
Class A+ 2,309 160,776
Urban Outfitters, Inc.*+ 6,718 154,715
Pacific Sunwear of California, Inc.* 7,891 154,506
Advance Auto Parts, Inc. 4,243 150,881
Ross Stores, Inc. 5,054 148,082
Williams-Sonoma, Inc.+ 4,328 136,072
Petsmart, Inc.+ 4,689 135,325
Dick's Sporting Goods, Inc.*+ 2,519 123,406
O'Reilly Automotive, Inc.* 3,490 111,889
American Eagle Outfitters, Inc. 3,486 108,798
-------------
TOTAL SPECIALTY RETAIL 2,001,544
-------------
COMMERCIAL SERVICES & SUPPLIES 5.4%
Corinthian Colleges, Inc.*+ 17,083 232,841
Career Education Corp.*+ 8,227 203,865
Strayer Education, Inc.+ 1,590 168,619
ITT Educational Services, Inc.*+ 2,426 161,014
DeVry, Inc. 2,510 70,280
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 836,619
-------------
HOTELS, RESTAURANTS & LEISURE 4.7%
Applebee's International, Inc.+ 5,714 140,964
Scientific Games Corp. --
Class A*+ 4,437 134,131
Cheesecake Factory, Inc.*+ 5,052 124,279
Brinker International, Inc. 4,050 122,148
Ruby Tuesday, Inc. 3,960 108,662
International Speedway Corp. --
Class A 1,940 99,018
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 729,202
-------------
HOUSEHOLD DURABLES 3.7%
Hovnanian Enterprises, Inc. --
Class A*+ 6,305 213,740
Ryland Group, Inc.+ 3,457 188,821
Toll Brothers, Inc.*+ 5,279 170,142
-------------
TOTAL HOUSEHOLD DURABLES 572,703
-------------
MEDIA 3.3%
Entercom Communications Corp. 4,210 118,638
John Wiley & Sons, Inc. -- Class A 3,080 118,488
Valassis Communications, Inc.*+ 7,060 102,370
Catalina Marketing Corp. 3,185 87,587
Harte-Hanks, Inc. 2,860 79,251
-------------
TOTAL MEDIA 506,334
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTILINE RETAIL 1.8%
99 Cents Only Stores* 12,020 $ 146,283
Dollar Tree Stores, Inc.*+ 4,260 128,226
-------------
TOTAL MULTILINE RETAIL 274,509
-------------
TEXTILES & APPAREL 1.4%
Timberland Co. -- Class A*+ 4,574 144,447
Polo Ralph Lauren Corp. 960 74,554
-------------
TOTAL TEXTILES & APPAREL 219,001
-------------
AUTOMOBILES 1.1%
Thor Industries, Inc.+ 3,932 172,969
-------------
TOTAL AUTOMOBILES 172,969
-------------
TOTAL CONSUMER DISCRETIONARY 5,312,881
-------------
HEALTH CARE 19.7%
HEALTH CARE EQUIPMENT & SUPPLIES 6.4%
Gen-Probe, Inc.* 4,392 230,009
Cytyc Corp.*+ 7,024 198,780
ResMed, Inc.*+ 3,272 161,048
Varian Medical Systems, Inc.* 3,060 145,564
DENTSPLY International, Inc. 3,486 104,057
Ventana Medical Systems, Inc.* 2,040 87,781
Edwards Lifesciences Corp.*+ 1,300 61,152
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 988,391
-------------
HEALTH CARE PROVIDERS & SERVICES 6.2%
Community Health Systems, Inc.*+ 5,534 202,102
Lincare Holdings, Inc.* 4,362 173,782
Apria Healthcare Group, Inc.* 6,426 171,253
Universal Health Services, Inc. --
Class B 2,210 122,500
Pharmaceutical Product
Development, Inc.+ 3,796 122,307
Henry Schein, Inc.* 2,140 104,817
Covance, Inc.* 1,000 58,910
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 955,671
-------------
PHARMACEUTICALS 4.0%
Sepracor, Inc.*+ 4,134 254,572
Par Pharmaceutical Cos., Inc.* 10,861 242,961
Medicis Pharmaceutical Corp. --
Class A+ 3,249 114,137
-------------
TOTAL PHARMACEUTICALS 611,670
-------------
BIOTECHNOLOGY 3.1%
Cephalon, Inc.*+ 2,304 162,225
Techne Corp.* 2,406 133,413
Invitrogen Corp.* 2,065 116,858
Affymetrix, Inc.* 3,090 71,255
-------------
TOTAL BIOTECHNOLOGY 483,751
-------------
TOTAL HEALTH CARE 3,039,483
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 123
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY 12.6%
IT CONSULTING & SERVICES 3.3%
DST Systems, Inc.*+ 3,099 $ 194,090
Alliance Data Systems Corp.*+ 1,990 124,315
SRA International, Inc. --
Class A*+ 4,130 110,436
CSG Systems International, Inc.* 3,261 87,167
-------------
TOTAL IT CONSULTING & SERVICES 516,008
-------------
SOFTWARE 3.1%
Macrovision Corp.*+ 4,314 121,913
McAfee, Inc.* 4,142 117,550
Fair Isaac Corp.+ 2,303 93,617
Jack Henry & Associates, Inc.+ 4,165 89,131
Activision, Inc.*+ 3,411 58,806
-------------
TOTAL SOFTWARE 481,017
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.0%
Silicon Laboratories, Inc.*+ 5,717 198,094
Cree, Inc.*+ 6,198 107,349
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 305,443
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5%
CDW Corp.+ 1,870 131,499
Amphenol Corp. -- Class A+ 1,679 104,232
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 235,731
-------------
COMPUTERS & PERIPHERALS 1.4%
Western Digital Corp.* 10,264 210,001
-------------
TOTAL COMPUTERS & PERIPHERALS 210,001
-------------
COMMUNICATIONS EQUIPMENT 0.8%
Plantronics, Inc.+ 5,603 118,784
-------------
TOTAL COMMUNICATIONS EQUIPMENT 118,784
-------------
OFFICE ELECTRONICS 0.5%
Zebra Technologies Corp. --
Class A* 2,211 76,921
-------------
TOTAL OFFICE ELECTRONICS 76,921
-------------
TOTAL INFORMATION TECHNOLOGY 1,943,905
-------------
INDUSTRIALS 12.3%
COMMERCIAL SERVICES & SUPPLIES 4.9%
Corporate Executive Board Co. 1,754 153,826
Rollins, Inc. 5,664 125,231
Stericycle, Inc.*+ 1,568 118,384
Copart, Inc.*+ 3,771 113,130
Mine Safety Appliances Co. 2,810 102,987
ChoicePoint, Inc.* 2,253 88,723
Dun & Bradstreet Corp.*+ 760 62,920
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 765,201
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MACHINERY 2.0%
Graco, Inc.+ 2,766 $ 109,589
Donaldson Co., Inc.+ 3,020 104,824
Oshkosh Truck Corp. 1,910 92,482
-------------
TOTAL MACHINERY 306,895
-------------
AIR FREIGHT & COURIERS 1.6%
Expeditors International
Washington, Inc.+ 3,346 135,513
CH Robinson Worldwide, Inc.+ 2,687 109,871
-------------
TOTAL AIR FREIGHT & COURIERS 245,384
-------------
AEROSPACE & DEFENSE 1.1%
Alliant Techsystems, Inc.*+ 2,171 169,751
-------------
TOTAL AEROSPACE & DEFENSE 169,751
-------------
ELECTRICAL EQUIPMENT 0.9%
AMETEK, Inc. 2,180 69,411
Roper Industries, Inc. 1,320 66,317
-------------
TOTAL ELECTRICAL EQUIPMENT 135,728
-------------
TRADING COMPANIES & DISTRIBUTORS 0.7%
Fastenal Co.+ 2,845 102,079
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 102,079
-------------
AIRLINES 0.6%
AirTran Holdings, Inc.*+ 7,810 91,689
-------------
TOTAL AIRLINES 91,689
-------------
CONSTRUCTION & ENGINEERING 0.5%
Jacobs Engineering Group, Inc.* 1,021 83,252
-------------
TOTAL CONSTRUCTION & ENGINEERING 83,252
-------------
TOTAL INDUSTRIALS 1,899,979
-------------
FINANCIALS 9.0%
CAPITAL MARKETS 4.3%
Investors Financial Services Corp.+ 3,757 160,311
Eaton Vance Corp.+ 4,378 144,518
SEI Investments Co.+ 2,129 126,803
Nuveen Investments, Inc. --
Class A 2,380 123,475
Waddell & Reed Financial, Inc. --
Class A 3,712 101,560
-------------
TOTAL CAPITAL MARKETS 656,667
-------------
INSURANCE 3.9%
W.R. Berkley Corp. 5,490 189,460
Brown & Brown, Inc. 6,286 177,328
Everest Re Group Ltd. 1,250 122,637
HCC Insurance Holdings, Inc. 3,640 116,808
-------------
TOTAL INSURANCE 606,233
-------------
DIVERSIFIED FINANCIALS 0.8%
Leucadia National Corp. 4,320 121,824
-------------
TOTAL DIVERSIFIED FINANCIALS 121,824
-------------
TOTAL FINANCIALS 1,384,724
-------------
See Notes to Financial Statements.
124 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
MID-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY 6.3%
OIL & GAS 5.1%
Pogo Producing Co.+ 3,944 $ 191,048
Pioneer Natural Resources Co.+ 4,112 163,205
Newfield Exploration Co.* 3,502 160,917
Denbury Resources, Inc.*+ 4,838 134,448
Quicksilver Resources, Inc.*+ 2,300 84,157
Southwestern Energy Co.*+ 1,405 49,245
-------------
TOTAL OIL & GAS 783,020
-------------
ENERGY EQUIPMENT & SERVICES 1.2%
Patterson-UTI Energy, Inc.+ 4,178 97,055
FMC Technologies, Inc.* 1,440 88,747
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 185,802
-------------
TOTAL ENERGY 968,822
-------------
CONSUMER STAPLES 2.8%
HOUSEHOLD PRODUCTS 1.8%
Energizer Holdings, Inc.*+ 2,572 182,586
Church & Dwight Co., Inc.+ 2,309 98,479
-------------
TOTAL HOUSEHOLD PRODUCTS 281,065
-------------
BEVERAGES 1.0%
Hansen Natural Corp.* 4,590 154,591
-------------
TOTAL BEVERAGES 154,591
-------------
TOTAL CONSUMER STAPLES 435,656
-------------
MATERIALS 1.9%
METALS & MINING 1.9%
Steel Dynamics, Inc. 4,650 150,893
Commercial Metals Co. 5,730 147,834
-------------
TOTAL METALS & MINING 298,727
-------------
TOTAL MATERIALS 298,727
-------------
UTILITIES 0.5%
GAS UTILITIES 0.5%
Equitable Resources, Inc. 1,850 77,238
-------------
TOTAL GAS UTILITIES 77,238
-------------
TOTAL UTILITIES 77,238
-------------
TOTAL COMMON STOCKS
(Cost $13,288,061) 15,361,415
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 104,567 $ 104,567
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $104,567) 104,567
-------------
SECURITIES LENDING COLLATERAL 27.2%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,196,579 4,196,579
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,196,579) 4,196,579
-------------
TOTAL INVESTMENTS 127.3%
(Cost $17,589,207) $ 19,662,561
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (27.3)% $ (4,222,778)
=============
NET ASSETS - 100.0% $ 15,439,783
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 125
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
HEALTH CARE 24.1%
HEALTH CARE PROVIDERS & SERVICES 9.1%
Caremark Rx, Inc. 5,442 $ 310,793
Express Scripts, Inc.*+ 3,777 270,433
Coventry Health Care, Inc.*+ 5,298 265,165
UnitedHealth Group, Inc. 4,371 234,854
Quest Diagnostics, Inc. 3,642 193,026
Patterson Cos., Inc.*+ 5,150 182,876
Health Management Associates,
Inc. -- Class A+ 8,545 180,385
Cardinal Health, Inc. 2,539 163,588
IMS Health, Inc. 5,453 149,848
Humana, Inc.* 1,793 99,171
Laboratory Corporation of
America Holdings*+ 1,191 87,503
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,137,642
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 8.2%
Hospira, Inc.* 8,812 295,907
Zimmer Holdings, Inc.*+ 3,343 262,024
Stryker Corp.+ 3,472 191,342
Biomet, Inc. 4,473 184,601
Waters Corp.* 3,374 165,225
St. Jude Medical, Inc.* 4,461 163,094
Medtronic, Inc.+ 2,904 155,393
Boston Scientific Corp.* 8,368 143,762
C.R. Bard, Inc. 1,410 116,988
Becton, Dickinson & Co. 1,474 103,401
Baxter International, Inc. 1,840 85,358
Millipore Corp.* 1,112 74,059
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,941,154
-------------
PHARMACEUTICALS 3.8%
Forest Laboratories, Inc.*+ 5,428 274,657
Barr Pharmaceuticals, Inc.*+ 3,295 165,145
Mylan Laboratories, Inc.+ 7,012 139,960
Johnson & Johnson, Inc. 2,018 133,228
Wyeth 2,133 108,612
Allergan, Inc.+ 680 81,423
-------------
TOTAL PHARMACEUTICALS 903,025
-------------
BIOTECHNOLOGY 3.0%
Gilead Sciences, Inc.* 3,885 252,253
Amgen, Inc.* 2,398 163,807
Celgene Corp.*+ 1,952 112,299
Genzyme Corp.* 1,540 94,833
Applera Corp. - Applied
Biosystems Group 1,880 68,977
-------------
TOTAL BIOTECHNOLOGY 692,169
-------------
TOTAL HEALTH CARE 5,673,990
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY 19.8%
SPECIALTY RETAIL 6.4%
Bed Bath & Beyond, Inc.*+ 5,729 $ 218,275
AutoZone, Inc.*+ 1,843 212,977
TJX Cos., Inc.+ 6,858 195,590
Lowe's Cos., Inc.+ 5,930 184,720
Best Buy Co., Inc.+ 3,671 180,577
Home Depot, Inc. 3,977 159,716
RadioShack Corp.+ 8,281 138,955
Staples, Inc. 4,070 108,669
Tiffany & Co.+ 2,652 104,064
-------------
TOTAL SPECIALTY RETAIL 1,503,543
-------------
HOTELS, RESTAURANTS & LEISURE 3.0%
International Game Technology,
Inc. 4,898 226,288
Starbucks Corp.*+ 5,612 198,777
Darden Restaurants, Inc.+ 3,847 154,534
Yum! Brands, Inc.+ 2,233 131,300
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 710,899
-------------
TEXTILES & APPAREL 2.3%
Coach, Inc.*+ 6,728 289,035
Nike, Inc. -- Class B+ 1,314 130,126
Liz Claiborne, Inc.+ 2,855 124,078
-------------
TOTAL TEXTILES & APPAREL 543,239
-------------
HOUSEHOLD DURABLES 2.3%
D.R. Horton, Inc.+ 8,975 237,748
Harman International Industries,
Inc.+ 1,640 163,852
Black & Decker Corp. 1,617 129,312
-------------
TOTAL HOUSEHOLD DURABLES 530,912
-------------
COMMERCIAL SERVICES & SUPPLIES 1.9%
Apollo Group, Inc. -- Class A*+ 6,488 252,837
H&R Block, Inc.+ 8,948 206,162
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 458,999
-------------
INTERNET & CATALOG RETAIL 1.3%
Amazon.com, Inc.*+ 7,533 297,252
-------------
TOTAL INTERNET & CATALOG RETAIL 297,252
-------------
MEDIA 1.0%
Omnicom Group, Inc.+ 1,323 138,307
McGraw-Hill Cos., Inc. 1,560 106,111
-------------
TOTAL MEDIA 244,418
-------------
AUTOMOBILES 0.9%
Harley-Davidson, Inc.+ 3,139 221,205
-------------
TOTAL AUTOMOBILES 221,205
-------------
MULTILINE RETAIL 0.7%
Kohl's Corp.* 2,488 170,254
-------------
TOTAL MULTILINE RETAIL 170,254
-------------
TOTAL CONSUMER DISCRETIONARY 4,680,721
-------------
See Notes to Financial Statements.
126 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY 18.7%
SOFTWARE 4.7%
Intuit, Inc.* 8,126 $ 247,924
Electronic Arts, Inc.* 3,761 189,404
Symantec Corp.*+ 7,436 155,041
Adobe Systems, Inc.* 3,526 144,989
Oracle Corp.* 7,735 132,578
Citrix Systems, Inc.*+ 4,615 124,836
Autodesk, Inc.* 2,920 118,143
-------------
TOTAL SOFTWARE 1,112,915
-------------
IT CONSULTING & SERVICES 4.6%
Cognizant Technology Solutions
Corp. -- Class A* 3,360 259,258
First Data Corp.+ 8,024 204,772
Fiserv, Inc.*+ 3,547 185,934
Affiliated Computer Services,
Inc. -- Class A* 3,049 148,913
Paychex, Inc. 3,140 124,156
Automatic Data Processing, Inc. 1,800 88,650
Fidelity National Information
Services, Inc. 1,535 61,538
-------------
TOTAL IT CONSULTING & SERVICES 1,073,221
-------------
COMPUTERS & PERIPHERALS 3.6%
Dell, Inc.*+ 7,064 177,236
Lexmark International, Inc.* 2,210 161,772
QLogic Corp.* 7,207 157,977
International Business Machines
Corp. 1,257 122,117
SanDisk Corp.*+ 2,835 121,990
Network Appliance, Inc.* 2,831 111,202
-------------
TOTAL COMPUTERS & PERIPHERALS 852,294
-------------
INTERNET SOFTWARE & SERVICES 2.9%
Google, Inc. -- Class A* 632 291,023
eBay, Inc.* 7,706 231,720
Yahoo!, Inc.*+ 6,515 166,393
-------------
TOTAL INTERNET SOFTWARE & SERVICES 689,136
-------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.5%
Nvidia Corp.*+ 4,980 184,310
National Semiconductor Corp. 5,058 114,816
KLA-Tencor Corp. 1,180 58,705
-------------
TOTAL SEMICONDUCTOR
& SEMICONDUCTOR EQUIPMENT 357,831
-------------
COMMUNICATIONS EQUIPMENT 1.0%
Cisco Systems, Inc.* 4,501 123,013
Qualcomm, Inc. 2,989 112,954
-------------
TOTAL COMMUNICATIONS EQUIPMENT 235,967
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.4%
Jabil Circuit, Inc. 3,270 80,278
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 80,278
-------------
TOTAL INFORMATION TECHNOLOGY 4,401,642
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 9.8%
FOOD PRODUCTS 2.5%
Kellogg Co.+ 2,662 $ 133,260
WM Wrigley Jr Co. 2,396 123,921
Campbell Soup Co.+ 3,109 120,909
Hershey Co. 2,250 112,050
McCormick & Co., Inc. 2,699 104,074
-------------
TOTAL FOOD PRODUCTS 594,214
-------------
BEVERAGES 2.4%
Pepsi Bottling Group, Inc. 6,190 191,333
Anheuser-Busch Cos., Inc. 3,339 164,279
PepsiCo, Inc. 1,843 115,279
Brown-Forman Corp. -- Class B 1,520 100,685
-------------
TOTAL BEVERAGES 571,576
-------------
FOOD & DRUG RETAILING 1.9%
Sysco Corp.+ 4,497 165,310
Walgreen Co.+ 3,208 147,215
Wal-Mart Stores, Inc. 3,017 139,325
-------------
TOTAL FOOD & DRUG RETAILING 451,850
-------------
HOUSEHOLD PRODUCTS 1.8%
Clorox Co. 2,246 144,081
Colgate-Palmolive Co. 2,165 141,244
Procter & Gamble Co. 2,036 130,854
-------------
TOTAL HOUSEHOLD PRODUCTS 416,179
-------------
PERSONAL PRODUCTS 1.2%
Avon Products, Inc.+ 4,740 156,609
Estee Lauder Cos., Inc. -- Class A 2,830 115,521
-------------
TOTAL PERSONAL PRODUCTS 272,130
-------------
TOTAL CONSUMER STAPLES 2,305,949
-------------
ENERGY 8.7%
OIL & GAS 6.4%
XTO Energy, Inc. 6,044 284,370
Apache Corp. 3,413 226,999
Devon Energy Corp.+ 3,116 209,021
EOG Resources, Inc.+ 2,917 182,167
Murphy Oil Corp. 3,490 177,466
Chesapeake Energy Corp.+ 5,641 163,871
Anadarko Petroleum Corp. 3,526 153,452
Exxon Mobil Corp. 1,590 121,842
-------------
TOTAL OIL & GAS 1,519,188
-------------
ENERGY EQUIPMENT & SERVICES 2.3%
BJ Services Co.+ 4,606 135,048
Nabors Industries Ltd.*+ 4,314 128,471
Smith International, Inc. 2,950 121,156
National-Oilwell Varco, Inc.*+ 1,430 87,487
Noble Corp. 810 61,682
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 533,844
-------------
TOTAL ENERGY 2,053,032
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 127
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
LARGE-CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
FINANCIALS 8.4%
INSURANCE 2.3%
Progressive Corp. 10,266 $ 248,643
Ambac Financial Group, Inc. 1,960 174,577
American International Group, Inc. 1,730 123,972
-------------
TOTAL INSURANCE 547,192
-------------
CONSUMER FINANCE 1.9%
Capital One Financial Corp. 2,287 175,687
SLM Corp. 3,470 169,232
American Express Co. 1,662 100,834
-------------
TOTAL CONSUMER FINANCE 445,753
-------------
DIVERSIFIED FINANCIALS 1.8%
Moody's Corp.+ 3,210 221,683
Chicago Mercantile Exchange
Holdings, Inc. 380 193,705
-------------
TOTAL DIVERSIFIED FINANCIALS 415,388
-------------
THRIFTS & MORTGAGE FINANCE 1.1%
Countrywide Financial Corp.+ 6,163 261,619
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 261,619
-------------
CAPITAL MARKETS 0.7%
Federated Investors, Inc. --
Class B 5,089 171,906
-------------
TOTAL CAPITAL MARKETS 171,906
-------------
BANKS 0.6%
Commerce Bancorp, Inc.+ 4,123 145,418
-------------
TOTAL BANKS 145,418
-------------
TOTAL FINANCIALS 1,987,276
-------------
INDUSTRIALS 5.1%
AEROSPACE & DEFENSE 2.5%
L-3 Communications Holdings,
Inc.+ 2,120 173,373
Rockwell Collins, Inc. 2,570 162,655
General Dynamics Corp. 1,996 148,403
United Technologies Corp. 1,700 106,284
-------------
TOTAL AEROSPACE & DEFENSE 590,715
-------------
MACHINERY 1.1%
Danaher Corp.+ 1,938 140,389
ITT Industries, Inc. 2,150 122,163
-------------
TOTAL MACHINERY 262,552
-------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Pitney Bowes, Inc. 2,430 112,242
Cintas Corp. 2,312 91,809
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 204,051
-------------
BUILDING PRODUCTS 0.6%
American Standard Cos., Inc.+ 3,100 142,135
-------------
TOTAL BUILDING PRODUCTS 142,135
-------------
TOTAL INDUSTRIALS 1,199,453
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MATERIALS 4.1%
CHEMICALS 2.0%
Ecolab, Inc.+ 3,276 $ 148,075
Sigma-Aldrich Corp. 1,705 132,512
International Flavors & Fragrances,
Inc. 2,080 102,253
Praxair, Inc. 1,420 84,249
-------------
TOTAL CHEMICALS 467,089
-------------
CONTAINERS & PACKAGING 1.1%
Ball Corp. 3,420 149,112
Pactiv Corp.* 3,080 109,925
-------------
TOTAL CONTAINERS & PACKAGING 259,037
-------------
METALS & MINING 1.0%
Nucor Corp.+ 2,460 134,464
Newmont Mining Corp.+ 2,400 108,360
-------------
TOTAL METALS & MINING 242,824
-------------
TOTAL MATERIALS 968,950
-------------
UTILITIES 0.8%
GAS UTILITIES 0.4%
Questar Corp. 1,170 97,169
-------------
TOTAL GAS UTILITIES 97,169
-------------
MULTI-UTILITIES 0.4%
AES Corp.* 4,360 96,094
-------------
TOTAL MULTI-UTILITIES 96,094
-------------
TOTAL UTILITIES 193,263
-------------
TOTAL COMMON STOCKS
(Cost $21,472,201) 23,464,276
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.7%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 165,517 165,517
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $165,517) 165,517
-------------
SECURITIES LENDING COLLATERAL 20.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,824,809 4,824,809
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,824,809) 4,824,809
-------------
TOTAL INVESTMENTS 120.7%
(Cost $26,462,527) $ 28,454,602
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (20.7)% $ (4,886,985)
=============
NET ASSETS - 100.0% $ 23,567,617
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
128 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DOLLAR FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 16.3%
Farmer Mac*
5.15% due 01/23/07 $ 200,000 $ 199,399
Federal Home Loan Bank*
5.15% due 01/17/07 300,000 299,356
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $498,755) 498,755
-------------
REPURCHASE AGREEMENTS 84.0%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ 933,269 933,269
4.80% due 01/02/07 431,180 431,180
4.79% due 01/02/07 431,180 431,180
4.65% due 01/02/07 431,180 431,180
4.60% due 01/02/07 349,256 349,256
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,576,065) 2,576,065
-------------
TOTAL INVESTMENTS 100.3%
(Cost $3,074,820) $ 3,074,820
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (0.3)% $ (8,266)
=============
NET ASSETS - 100.0% $ 3,066,554
- --------------------------------------------------------------------------------
UNREALIZED
GAIN
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
CURRENCY INDEX SWAP AGREEMENT
February 2007 U.S. Dollar Index
Swap, Terminating 02/28/07**
(Notional Market Value
$6,138,949) 73,494 $ 13,656
=============
* 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 U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 129
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC WEAKENING DOLLAR FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 17.9%
Farmer Mac*
5.15% due 01/23/07 $ 1,000,000 $ 996,996
Federal Home Loan Bank*
5.15% due 01/17/07 1,000,000 997,854
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $1,994,850) 1,994,850
-------------
REPURCHASE AGREEMENTS 82.6%
Repurchase Agreement (Note 5)
4.90% due 01/02/07+ 3,520,910 3,520,910
4.80% due 01/02/07 1,495,358 1,495,358
4.79% due 01/02/07 1,495,358 1,495,358
4.65% due 01/02/07 1,495,358 1,495,358
4.60% due 01/02/07 1,211,241 1,211,241
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $9,218,225) 9,218,225
-------------
TOTAL INVESTMENTS 100.5%
(Cost $11,213,075) $ 11,213,075
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (0.5)% $ (57,591)
=============
NET ASSETS - 100.0% $ 11,155,484
- --------------------------------------------------------------------------------
UNREALIZED
LOSS
UNITS (NOTE 1)
- --------------------------------------------------------------------------------
CURRENCY INDEX SWAP AGREEMENT
SOLD SHORT
February 2007 U.S. Dollar Index
Swap, Terminating 02/28/07**
(Notional Market Value
$22,289,053) 266,839 $ (68,976)
=============
* 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 U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
See Notes to Financial Statements.
130 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 84.3%
FINANCIALS 18.0%
BANKS 3.9%
Wachovia Corp. 650 $ 37,017
KeyCorp 520 19,776
Regions Financial Corp. 488 18,251
National City Corp. 470 17,183
Wells Fargo & Co. 480 17,069
PNC Financial Services Group, Inc. 229 16,955
M&T Bank Corp. 130 15,881
Huntington Bancshares, Inc. 618 14,677
IBERIABANK Corp. 229 13,522
Royal Bancshares of Pennsylvania,
Inc. -- Class A 515 13,521
Whitney Holding Corp. 409 13,342
Community Banks, Inc. 470 13,047
FNB Corp. 310 12,881
First Bancorp 578 12,624
First Regional Bancorp/
Los Angeles CA* 370 12,613
Taylor Capital Group, Inc. 339 12,411
First Bancorp Puerto Rico 1,296 12,351
MainSource Financial Group, Inc. 691 11,704
1st Source Corp. 350 11,246
First Citizens BancShares, Inc. --
Class A 50 10,132
Intervest Bancshares Corp.* 289 9,944
First Community Bancorp 189 9,879
U.S. Bancorp 70 2,533
-------------
TOTAL BANKS 328,559
-------------
INSURANCE 3.9%
American International Group, Inc. 340 24,365
MetLife, Inc. 300 17,703
Lincoln National Corp. 250 16,600
Chubb Corp. 310 16,402
Genworth Financial, Inc. -- Class A 470 16,079
Assurant, Inc. 290 16,023
Alleghany Corp.* 40 14,544
Markel Corp.* 30 14,403
W.R. Berkley Corp. 410 14,149
Nationwide Financial Services, Inc. 260 14,092
American Financial Group, Inc. 390 14,005
Argonaut Group, Inc.* 400 13,944
Protective Life Corp. 290 13,775
NYMAGIC, Inc. 359 13,139
Odyssey Re Holdings Corp. 349 13,018
CNA Financial Corp.* 320 12,902
CNA Surety Corp.* 600 12,900
HCC Insurance Holdings, Inc. 400 12,836
American Physicians Capital, Inc.* 310 12,412
Reinsurance Group of America, Inc. 220 12,254
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Meadowbrook Insurance
Group, Inc.* 1,030 $ 10,187
Conseco, Inc.* 350 6,993
National Western Life
Insurance Co. -- Class A 30 6,904
Crawford & Co. -- Class B 360 2,628
Allstate Corp. 30 1,953
-------------
TOTAL INSURANCE 324,210
-------------
REAL ESTATE 3.3%
ProLogis 319 19,386
Boston Properties, Inc. 169 18,908
Host Hotels & Resorts, Inc. 767 18,830
Simon Property Group, Inc. 150 15,193
LaSalle Hotel Properties 330 15,130
American Home Mortgage
Investment Corp. 409 14,364
Newcastle Investment Corp. 458 14,345
Deerfield Triarc Capital Corp. 837 14,170
Capital Trust, Inc. -- Class A 280 13,983
Gramercy Capital Corp. 449 13,870
Taubman Centers, Inc. 269 13,681
Cousins Properties, Inc. 379 13,367
Camden Property Trust 179 13,219
Arbor Realty Trust, Inc. 439 13,210
Newkirk Realty Trust Co., Inc. 700 12,628
Colonial Properties Trust 269 12,611
Ashford Hospitality Trust, Inc. 1,007 12,537
Anthracite Capital, Inc. 910 11,584
Spirit Finance Corp. 618 7,706
NorthStar Realty Finance Corp. 359 5,949
Jones Lang LaSalle, Inc. 10 922
-------------
TOTAL REAL ESTATE 275,593
-------------
DIVERSIFIED FINANCIALS 2.3%
Citigroup, Inc. 1,380 76,866
Bank of America Corp. 1,270 67,805
J.P. Morgan Chase & Co. 1,050 50,715
-------------
TOTAL DIVERSIFIED FINANCIALS 195,386
-------------
CAPITAL MARKETS 2.1%
Merrill Lynch & Co., Inc. 349 32,492
Ameriprise Financial, Inc. 340 18,530
Charles Schwab Corp. 880 17,019
E*Trade Financial Corp.* 750 16,815
Bear Stearns Cos., Inc. 100 16,278
A.G. Edwards, Inc. 250 15,823
American Capital Strategies, Ltd. 339 15,682
Investment Technology
Group, Inc.* 339 14,536
SWS Group, Inc. 390 13,923
Morgan Stanley 100 8,143
Goldman Sachs Group, Inc. 30 5,981
-------------
TOTAL CAPITAL MARKETS 175,222
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 131
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE 1.6%
Washington Mutual, Inc. 460 $ 20,925
PMI Group, Inc. 320 15,094
Radian Group, Inc. 270 14,556
FirstFed Financial Corp.* 210 14,064
Ocwen Financial Corp.* 840 13,322
Triad Guaranty, Inc.* 240 13,169
Fremont General Corp. 807 13,081
Flagstar Bancorp, Inc. 860 12,762
Willow Financial Bancorp, Inc. 817 12,190
Fannie Mae 30 1,782
Federal Agricultural Mortgage
Corp. 60 1,628
-------------
TOTAL THRIFTS & MORTGAGE FINANCE 132,573
-------------
CONSUMER FINANCE 0.9%
Capital One Financial Corp. 240 18,437
Cash America International, Inc. 320 15,008
AmeriCredit Corp.* 580 14,599
First Marblehead Corp. 253 13,826
Asta Funding, Inc. 330 10,045
American Express Co. 50 3,034
-------------
TOTAL CONSUMER FINANCE 74,949
-------------
TOTAL FINANCIALS 1,506,492
-------------
INFORMATION TECHNOLOGY 13.2%
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7%
Varian Semiconductor Equipment
Associates, Inc.* 390 17,753
Lam Research Corp.* 310 15,692
Intel Corp.* 770 15,592
Novellus Systems, Inc.* 440 15,145
MKS Instruments, Inc.* 630 14,225
Advanced Energy Industries, Inc.* 750 14,152
Cymer, Inc.* 319 14,020
Teradyne, Inc.* 920 13,763
National Semiconductor Corp. 600 13,620
Atheros Communications, Inc.* 628 13,389
Fairchild Semiconductor
International, Inc.* 770 12,944
Zoran Corp.* 877 12,787
Actel Corp.* 700 12,712
Intevac, Inc.* 468 12,145
LSI Logic Corp.* 1,120 10,080
OmniVision Technologies, Inc.* 680 9,282
Intersil Corp. -- Class A 329 7,870
-------------
TOTAL SEMICONDUCTOR &
SEMICONDUCTOR EQUIPMENT 225,171
-------------
COMPUTERS & PERIPHERALS 2.2%
International Business Machines
Corp. 480 46,632
Hewlett-Packard Co. 940 38,719
Lexmark International, Inc.* 220 16,104
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
EMC Corp.* 1,140 $ 15,048
Brocade Communications
Systems, Inc.* 1,800 14,778
Imation Corp. 310 14,393
Western Digital Corp.* 688 14,076
Palm, Inc.* 999 14,076
Apple Computer, Inc.* 70 5,939
Dell, Inc.* 100 2,509
-------------
TOTAL COMPUTERS & PERIPHERALS 182,274
-------------
COMMUNICATIONS EQUIPMENT 2.1%
Cisco Systems, Inc.* 990 27,057
Motorola, Inc. 1,110 22,822
Avaya, Inc.* 1,170 16,357
Loral Space &
Communications, Inc.* 399 16,247
Interdigital Communications Corp.* 450 15,097
Arris Group, Inc.* 1,199 14,999
Tellabs, Inc.* 1,425 14,620
Inter-Tel, Inc. 580 12,853
EMS Technologies, Inc.* 618 12,379
Dycom Industries, Inc.* 560 11,827
Utstarcom, Inc.* 1,330 11,638
Qualcomm, Inc. 60 2,267
-------------
TOTAL COMMUNICATIONS EQUIPMENT 178,163
-------------
SOFTWARE 2.0%
Microsoft Corp. 1,630 48,672
Symantec Corp.* 777 16,200
Sybase, Inc.* 638 15,759
Cadence Design Systems, Inc.* 807 14,453
EPIQ Systems, Inc.* 777 13,186
Sonic Solutions, Inc.* 787 12,828
MicroStrategy, Inc. -- Class A* 110 12,541
Compuware Corp.* 1,400 11,662
eSpeed, Inc. -- Class A* 1,250 10,912
Altiris, Inc.* 269 6,827
Oracle Corp.* 290 4,971
TIBCO Software, Inc.* 300 2,832
-------------
TOTAL SOFTWARE 170,843
-------------
IT CONSULTING & SERVICES 1.6%
First Data Corp. 659 16,818
Infocrossing, Inc.* 877 14,295
Convergys Corp.* 570 13,555
Acxiom Corp. 520 13,338
MPS Group, Inc.* 910 12,904
Mantech International Corp. --
Class A* 350 12,891
Integral Systems, Inc. 518 12,002
SRA International, Inc. -- Class A* 430 11,498
Forrester Research, Inc.* 390 10,573
Computer Sciences Corp.* 170 9,073
SYKES Enterprises, Inc.* 510 8,996
See Notes to Financial Statements.
132 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ceridian Corp.* 30 $ 839
-------------
TOTAL IT CONSULTING & SERVICES 136,782
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.6%
Agilent Technologies, Inc.* 468 16,310
Paxar Corp.* 618 14,251
Avnet, Inc.* 548 13,991
Vishay Intertechnology, Inc.* 1,010 13,675
Global Imaging Systems, Inc.* 620 13,609
Rofin-Sinar Technologies, Inc.* 210 12,697
Tektronix, Inc. 430 12,543
Methode Electronics, Inc. --
Class A 1,100 11,913
AVX Corp. 740 10,945
Aeroflex, Inc.* 820 9,610
Agilsys, Inc. 80 1,339
-------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 130,883
-------------
INTERNET SOFTWARE & SERVICES 0.7%
VeriSign, Inc.* 610 14,670
RealNetworks, Inc.* 1,250 13,675
Vignette Corp.* 708 12,086
Interwoven, Inc.* 817 11,985
Google, Inc. -- Class A* 20 9,210
-------------
TOTAL INTERNET SOFTWARE & SERVICES 61,626
-------------
OFFICE ELECTRONICS 0.3%
Xerox Corp.* 1,278 21,662
-------------
TOTAL OFFICE ELECTRONICS 21,662
-------------
TOTAL INFORMATION TECHNOLOGY 1,107,404
-------------
CONSUMER DISCRETIONARY 12.2%
SPECIALTY RETAIL 2.8%
Home Depot, Inc. 770 30,923
Rent-A-Center, Inc.* 548 16,171
Payless Shoesource, Inc.* 490 16,082
Staples, Inc. 600 16,020
Sherwin-Williams Co. 250 15,895
Best Buy Co., Inc. 309 15,200
Regis Corp. 380 15,025
American Eagle Outfitters, Inc. 478 14,918
OfficeMax, Inc. 289 14,349
Abercrombie & Fitch Co. --
Class A 200 13,926
Dress Barn, Inc.* 560 13,065
Asbury Automotive Group, Inc. 510 12,016
Group 1 Automotive, Inc. 230 11,896
AnnTaylor Stores Corp.* 310 10,180
United Auto Group, Inc. 390 9,192
Office Depot, Inc.* 90 3,435
Charming Shoppes, Inc.* 60 812
-------------
TOTAL SPECIALTY RETAIL 229,105
-------------
MEDIA 2.7%
Time Warner, Inc. 1,496 32,583
SHARES MARKET
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
Walt Disney Co. 860 $ 29,472
News Corp. -- Class A 1,096 23,542
Liberty Media Corp. - Capital* 210 20,576
Gannett Co., Inc. 329 19,891
Omnicom Group, Inc. 150 15,681
Tribune Co. 450 13,851
Meredith Corp. 240 13,524
McClatchy Co. -- Class A 309 13,379
Cox Radio Inc. -- Class A* 790 12,877
DreamWorks Animation SKG,
Inc. -- Class A* 430 12,681
DIRECTV Group, Inc.* 488 12,171
Comcast Corp. -- Class A* 160 6,773
-------------
TOTAL MEDIA 227,001
-------------
HOTELS, RESTAURANTS & LEISURE 1.7%
McDonald's Corp. 560 24,825
Wynn Resorts Ltd. 159 14,922
CBRL Group, Inc. 330 14,771
Triarc Cos., Inc. -- Class B 738 14,760
Bob Evans Farms, Inc. 410 14,030
CKE Restaurants, Inc. 760 13,984
Wyndham Worldwide Corp.* 419 13,416
International Speedway Corp. --
Class A 240 12,250
Luby's, Inc.* 1,110 12,088
Starwood Hotels & Resorts
Worldwide, Inc. 130 8,125
Pinnacle Entertainment, Inc.* 30 994
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 144,165
-------------
HOUSEHOLD DURABLES 1.4%
Lennar Corp. -- Class A 300 15,738
Whirlpool Corp. 180 14,944
Avatar Holdings, Inc.* 180 14,553
Black & Decker Corp. 180 14,395
Stanley Works 280 14,081
Mohawk Industries, Inc.* 179 13,400
NVR, Inc.* 20 12,900
Kimball International, Inc. --
Class B 500 12,150
Champion Enterprises, Inc.* 390 3,650
Snap-On, Inc. 20 953
-------------
TOTAL HOUSEHOLD DURABLES 116,764
-------------
MULTILINE RETAIL 1.1%
J.C. Penney Co., Inc. 290 22,434
Big Lots, Inc.* 730 16,732
Federated Department Stores, Inc. 419 15,976
Sears Holdings Corp.* 90 15,114
Dillard's, Inc. -- Class A 370 12,939
Nordstrom, Inc. 210 10,361
-------------
TOTAL MULTILINE RETAIL 93,556
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 133
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TEXTILES & APPAREL 0.8%
Phillips-Van Heusen Corp. 330 $ 16,556
Polo Ralph Lauren Corp. 180 13,979
Jones Apparel Group, Inc. 410 13,706
Perry Ellis International, Inc.* 319 13,079
Unifirst Corp. 300 11,523
-------------
TOTAL TEXTILES & APPAREL 68,843
-------------
INTERNET & CATALOG RETAIL 0.5%
Expedia, Inc.* 770 16,154
IAC/InterActiveCorp* 429 15,942
FTD Group, Inc.* 710 12,702
-------------
TOTAL INTERNET & CATALOG RETAIL 44,798
-------------
AUTO COMPONENTS 0.4%
Johnson Controls, Inc. 189 16,239
Autoliv, Inc. 250 15,075
-------------
TOTAL AUTO COMPONENTS 31,314
-------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Mattel, Inc. 740 16,768
MarineMax, Inc.* 478 12,395
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 29,163
-------------
DISTRIBUTORS 0.3%
Building Material Holding Corp. 518 12,789
Core-Mark Holding Co., Inc.* 379 12,678
-------------
TOTAL DISTRIBUTORS 25,467
-------------
HEALTH CARE PROVIDERS & SERVICES 0.1%
Stewart Enterprises, Inc. -- Class A 1,290 8,063
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 8,063
-------------
TOTAL CONSUMER DISCRETIONARY 1,018,239
-------------
INDUSTRIALS 10.2%
MACHINERY 2.2%
Eaton Corp. 239 17,958
Terex Corp.* 270 17,437
Joy Global, Inc. 340 16,436
Parker Hannifin Corp. 210 16,145
Illinois Tool Works, Inc. 340 15,705
Cummins, Inc. 130 15,363
Freightcar America, Inc. 239 13,253
Gardner Denver, Inc.* 350 13,058
NACCO Industries, Inc. -- Class A 90 12,294
Mueller Industries, Inc. 380 12,046
Ampco-Pittsburgh Corp. PLC 350 11,718
Crane Co. 300 10,992
Dover Corp. 130 6,373
Gehl Co.* 40 1,101
Caterpillar, Inc. 10 613
-------------
TOTAL MACHINERY 180,492
-------------
COMMERCIAL SERVICES & SUPPLIES 1.7%
M&F Worldwide Corp.* 728 18,389
Waste Management, Inc. 450 16,546
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Amrep Corp. PLC 130 $ 15,925
Manpower, Inc. 210 15,735
Viad Corp. 340 13,804
Ennis Inc. 559 13,673
Allied Waste Industries, Inc.* 1,076 13,224
Steelcase, Inc. -- Class A 710 12,894
Central Parking Corp. 670 12,060
CBIZ, Inc.* 710 4,949
Volt Information Sciences, Inc.* 50 2,511
-------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 139,710
-------------
AEROSPACE & DEFENSE 1.4%
Lockheed Martin Corp. 210 19,335
General Dynamics Corp. 240 17,844
Raytheon Co. 330 17,424
Northrop Grumman Corp. 249 16,857
K&F Industries Holdings, Inc.* 598 13,580
Orbital Sciences Corp.* 700 12,908
Armor Holdings, Inc.* 229 12,561
Boeing Co. 50 4,442
United Technologies Corp. 60 3,751
-------------
TOTAL AEROSPACE & DEFENSE 118,702
-------------
INDUSTRIAL CONGLOMERATES 1.2%
General Electric Co. 2,050 76,280
Tredegar Corp. 660 14,923
Walter Industries, Inc. 269 7,276
3M Co. 30 2,338
Teleflex, Inc. 10 646
-------------
TOTAL INDUSTRIAL CONGLOMERATES 101,463
-------------
ROAD & RAIL 1.1%
CSX Corp. 580 19,969
Union Pacific Corp. 190 17,484
Norfolk Southern Corp. 300 15,087
YRC Worldwide, Inc.* 329 12,413
Avis Budget Group, Inc. 568 12,320
Swift Transportation Co., Inc.* 449 11,795
Laidlaw International, Inc. 239 7,273
-------------
TOTAL ROAD & RAIL 96,341
-------------
BUILDING PRODUCTS 0.8%
American Woodmark Corp. 330 13,810
Ameron International Corp. 180 13,747
Goodman Global, Inc.* 740 12,728
PW Eagle, Inc. 360 12,420
NCI Building Systems, Inc.* 230 11,902
-------------
TOTAL BUILDING PRODUCTS 64,607
-------------
ELECTRICAL EQUIPMENT 0.6%
Belden CDT, Inc. 370 14,463
A.O. Smith Corp. 360 13,522
EnerSys* 787 12,592
Thomas & Betts Corp.* 230 10,874
Encore Wire Corp. 159 3,500
-------------
TOTAL ELECTRICAL EQUIPMENT 54,951
-------------
See Notes to Financial Statements.
134 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AIRLINES 0.6%
UAL Corp.* 350 $ 15,400
Continental Airlines, Inc. -- Class B* 340 14,025
Republic Airways Holdings, Inc.* 748 12,552
SkyWest, Inc. 189 4,821
-------------
TOTAL AIRLINES 46,798
-------------
TRADING COMPANIES & DISTRIBUTORS 0.3%
United Rentals, Inc.* 508 12,918
WESCO International, Inc.* 160 9,410
-------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 22,328
-------------
CONSTRUCTION & ENGINEERING 0.2%
Quanta Services, Inc.* 708 13,926
URS Corp.* 110 4,714
-------------
TOTAL CONSTRUCTION & ENGINEERING 18,640
-------------
WATER UTILITIES 0.1%
Mueller Water Products, Inc. --
Class B* 444 6,616
-------------
TOTAL WATER UTILITIES 6,616
-------------
TOTAL INDUSTRIALS 850,648
-------------
HEALTH CARE 9.8%
PHARMACEUTICALS 3.2%
Pfizer, Inc. 2,110 54,649
Johnson & Johnson, Inc. 510 33,670
Abbott Laboratories 490 23,868
Forest Laboratories, Inc.* 430 21,758
Barr Pharmaceuticals, Inc.* 280 14,034
Sciele Pharma, Inc.* 570 13,680
Watson Pharmaceuticals, Inc.* 518 13,484
Mylan Laboratories, Inc. 670 13,373
King Pharmaceuticals, Inc.* 840 13,373
Viropharma, Inc.* 897 13,132
KV Pharmaceutical Co.* 550 13,079
Pain Therapeutics, Inc.* 1,420 12,638
Bradley Pharmaceuticals, Inc.* 590 12,142
Merck & Co., Inc. 240 10,464
Wyeth 70 3,564
Noven Pharmaceuticals, Inc.* 90 2,291
Eli Lilly & Co. 10 521
-------------
TOTAL PHARMACEUTICALS 269,720
-------------
HEALTH CARE PROVIDERS & SERVICES 3.1%
UnitedHealth Group, Inc. 480 25,790
WellPoint, Inc.* 290 22,820
Aetna, Inc. 400 17,272
Caremark Rx, Inc. 300 17,133
AmerisourceBergen Corp. 380 17,085
Cardinal Health, Inc. 260 16,752
AMERIGROUP Corp.* 429 15,397
Quest Diagnostics, Inc. 290 15,370
Horizon Health Corp.* 757 14,814
Apria Healthcare Group, Inc.* 540 14,391
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
McKesson Corp. 280 $ 14,196
Coventry Health Care, Inc.* 270 13,513
Healthspring, Inc.* 648 13,187
Medcath Corp.* 470 12,859
Magellan Health Services, Inc.* 290 12,534
Molina Healthcare, Inc.* 300 9,753
Sunrise Senior Living, Inc.* 80 2,458
-------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 255,324
-------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.3%
Thermo Fisher Scientific, Inc.* 510 23,098
Boston Scientific Corp.* 1,027 17,644
West Pharmaceutical Services, Inc. 300 15,369
Bio-Rad Laboratories, Inc. --
Class A* 180 14,854
Zoll Medical Corp.* 240 13,978
Kinetic Concepts, Inc.* 349 13,803
Hillenbrand Industries, Inc. 239 13,606
Edwards Lifesciences Corp.* 289 13,595
Viasys Healthcare, Inc.* 470 13,075
Advanced Medical Optics, Inc.* 370 13,024
Greatbatch, Inc.* 480 12,922
Haemonetics Corp.* 260 11,705
Datascope Corp. 260 9,474
Medtronic, Inc. 50 2,675
Vital Signs, Inc. 10 499
-------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 189,321
-------------
BIOTECHNOLOGY 1.2%
Amgen, Inc.* 420 28,690
Biogen Idec, Inc.* 299 14,708
Cephalon, Inc.* 189 13,308
Martek Biosciences Corp.* 540 12,604
Digene Corp.* 259 12,411
ImClone Systems, Inc.* 429 11,480
Illumina, Inc.* 169 6,643
Savient Pharmaceuticals, Inc.* 130 1,457
Celgene Corp.* 10 575
-------------
TOTAL BIOTECHNOLOGY 101,876
-------------
TOTAL HEALTH CARE 816,241
-------------
ENERGY 6.3%
OIL & GAS 4.7%
Exxon Mobil Corp. 1,310 100,385
Chevron Corp. 639 46,986
ConocoPhillips 540 38,853
Occidental Petroleum Corp. 400 19,532
Marathon Oil Corp. 210 19,425
El Paso Corp. 1,196 18,275
Valero Energy Corp. 350 17,906
Devon Energy Corp. 260 17,441
Noble Energy, Inc. 310 15,212
Anadarko Petroleum Corp. 349 15,188
Newfield Exploration Co.* 309 14,199
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 135
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
USEC, Inc.* 1,096 $ 13,941
Tesoro Corp. 200 13,154
Cabot Oil & Gas Corp. 210 12,736
Overseas Shipholding Group, Inc. 219 12,330
Delek US Holdings, Inc. 710 11,637
Mariner Energy, Inc.* 409 8,016
-------------
TOTAL OIL & GAS 395,216
-------------
ENERGY EQUIPMENT & SERVICES 1.6%
ENSCO International, Inc. 310 15,519
SEACOR Holdings, Inc.* 140 13,880
Allis-Chalmers Energy, Inc.* 588 13,548
Trico Marine Services, Inc.* 339 12,987
Hornbeck Offshore Services, Inc.* 350 12,495
Tidewater, Inc. 250 12,090
Basic Energy Services, Inc.* 490 12,078
T-3 Energy Services, Inc. -- Class A* 540 11,907
Global Industries Ltd.* 879 11,462
National-Oilwell Varco, Inc.* 130 7,953
Veritas DGC, Inc.* 60 5,138
-------------
TOTAL ENERGY EQUIPMENT & SERVICES 129,057
-------------
TOTAL ENERGY 524,273
-------------
CONSUMER STAPLES 5.4%
FOOD PRODUCTS 1.4%
Seaboard Corp. 10 17,650
General Mills, Inc. 280 16,128
Archer-Daniels-Midland Co. 489 15,629
Hain Celestial Group, Inc.* 440 13,732
Kraft Foods, Inc. -- Class A 380 13,566
Imperial Sugar Co., Inc. 549 13,291
Corn Products International, Inc. 369 12,745
J.M. Smucker Co. 230 11,148
-------------
TOTAL FOOD PRODUCTS 113,889
-------------
TOBACCO 1.0%
Altria Group, Inc. 620 53,209
Loews Corp. - Carolina Group 240 15,533
Reynolds American, Inc. 220 14,403
-------------
TOTAL TOBACCO 83,145
-------------
FOOD & DRUG RETAILING 0.9%
Kroger Co. 900 20,763
Wal-Mart Stores, Inc. 360 16,625
Central European Distribution
Corp.* 458 13,603
Safeway, Inc. 390 13,478
Ingles Markets, Inc. -- Class A 420 12,512
-------------
TOTAL FOOD & DRUG RETAILING 76,981
-------------
HOUSEHOLD PRODUCTS 0.8%
Procter & Gamble Co. 800 51,416
Kimberly-Clark Corp. 260 17,667
-------------
TOTAL HOUSEHOLD PRODUCTS 69,083
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BEVERAGES 0.8%
Molson Coors Brewing Co. --
Class B 190 $ 14,524
PepsiCo, Inc. 220 13,761
Brown-Forman Corp. -- Class B 200 13,248
Pepsi Bottling Group, Inc. 400 12,364
Coca-Cola Co. 210 10,132
-------------
TOTAL BEVERAGES 64,029
-------------
PERSONAL PRODUCTS 0.5%
NBTY, Inc.* 420 17,459
Prestige Brands Holdings, Inc. --
Class A* 1,050 13,671
Alberto-Culver Co. 618 13,256
-------------
TOTAL PERSONAL PRODUCTS 44,386
-------------
TOTAL CONSUMER STAPLES 451,513
-------------
UTILITIES 3.8%
MULTI-UTILITIES 1.6%
Sempra Energy 360 20,174
Xcel Energy, Inc. 750 17,295
DTE Energy Co. 349 16,895
Mirant Corp.* 528 16,669
KeySpan Corp. 390 16,060
NRG Energy, Inc.* 280 15,683
CenterPoint Energy, Inc. 900 14,922
Avista Corp. 528 13,364
Puget Energy, Inc. 80 2,029
-------------
TOTAL MULTI-UTILITIES 133,091
-------------
ELECTRIC UTILITIES 1.6%
Duke Energy Corp. 610 20,258
FPL Group, Inc. 310 16,870
FirstEnergy Corp. 270 16,281
Westar Energy, Inc. 590 15,317
Pinnacle West Capital Corp. 290 14,700
Cleco Corp. 560 14,129
Sierra Pacific Resources* 837 14,087
IDACORP, Inc. 360 13,914
TXU Corp. 120 6,505
-------------
TOTAL ELECTRIC UTILITIES 132,061
-------------
GAS UTILITIES 0.6%
Southwest Gas Corp. 380 14,581
WGL Holdings, Inc. 440 14,335
Oneok, Inc. 330 14,230
AGL Resources, Inc. 350 13,618
-------------
TOTAL GAS UTILITIES 56,764
-------------
TOTAL UTILITIES 321,916
-------------
MATERIALS 3.3%
CHEMICALS 1.5%
Lyondell Chemical Co. 600 15,342
FMC Corp. 189 14,468
OM Group, Inc.* 300 13,584
See Notes to Financial Statements.
136 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Huntsman Corp.* 708 $ 13,431
Valspar Corp. 470 12,991
Pioneer Cos., Inc.* 449 12,868
PolyOne Corp.* 1,709 12,818
Georgia Gulf Corp. 590 11,393
Westlake Chemical Corp. 359 11,265
Celanese Corp. 209 5,409
Innospec, Inc. 80 3,724
-------------
TOTAL CHEMICALS 127,293
-------------
METALS & MINING 1.3%
United States Steel Corp. 230 16,822
Phelps Dodge Corp. 140 16,761
Alcoa, Inc. 530 15,905
Nucor Corp. 270 14,758
Chaparral Steel Co. 330 14,609
Steel Dynamics, Inc. 420 13,629
Carpenter Technology Corp. 120 12,303
Freeport-McMoRan Copper &
Gold, Inc. -- Class B 80 4,458
NN, Inc. 190 2,362
-------------
TOTAL METALS & MINING 111,607
-------------
CONTAINERS & PACKAGING 0.2%
Temple-Inland, Inc. 359 16,525
-------------
TOTAL CONTAINERS & PACKAGING 16,525
-------------
PAPER & FOREST PRODUCTS 0.2%
Buckeye Technologies, Inc.* 1,086 13,010
-------------
TOTAL PAPER & FOREST PRODUCTS 13,010
-------------
CONSTRUCTION MATERIALS 0.1%
Eagle Materials, Inc. 160 6,917
-------------
TOTAL CONSTRUCTION MATERIALS 6,917
-------------
TOTAL MATERIALS 275,352
-------------
TELECOMMUNICATION SERVICES 2.1%
DIVERSIFIED TELECOMMUNICATION SERVICES 1.5%
Verizon Communications, Inc. 1,008 37,538
AT&T, Inc. 550 19,663
CenturyTel, Inc. 340 14,844
Citizens Communications Co. 970 13,939
General Communication, Inc. --
Class A* 870 13,685
Atlantic Tele-Network, Inc. 420 12,306
BellSouth Corp. 160 7,538
Windstream Corp. 270 3,839
Embarq Corp. 50 2,628
-------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 125,980
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES 0.6%
Alltel Corp. 290 $ 17,539
Syniverse Holdings, Inc.* 897 13,446
USA Mobility, Inc. 510 11,409
Sprint Nextel Corp. 130 2,456
American Tower Corp. -- Class A* 20 745
-------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 45,595
-------------
TOTAL TELECOMMUNICATION SERVICES 171,575
-------------
TOTAL COMMON STOCKS
(Cost $6,405,831) 7,043,653
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 15.3%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 $ 336,946 336,946
4.79% due 01/02/07 336,946 336,946
4.65% due 01/02/07 336,946 336,946
4.60% due 01/02/07 272,926 272,926
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,283,764) 1,283,764
-------------
TOTAL INVESTMENTS 99.6%
(Cost $7,689,595) $ 8,327,417
=============
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% $ 30,501
=============
NET ASSETS - 100.0% $ 8,357,918
- --------------------------------------------------------------------------------
UNREALIZED
GAIN (LOSS)
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $356,688) 5 $ 429
March 2007 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $79,300) 1 (979)
March 2007 S&P 400 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $890,560) 11 (15,813)
-------------
(TOTAL AGGREGATE MARKET
VALUE OF CONTRACTS $1,326,548) $ (16,363)
=============
* NON-INCOME PRODUCING SECURITY.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 137
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 100.8%
CONSUMER DISCRETIONARY 32.6%
INTERNET & CATALOG RETAIL 8.5%
Amazon.com, Inc.*+ 43,400 $ 1,712,564
IAC/InterActiveCorp*+ 44,100 1,638,756
Expedia, Inc.* 63,100 1,323,838
Nutri/System, Inc.*+ 10,000 633,900
Priceline.com, Inc.*+ 13,600 593,096
Coldwater Creek, Inc.* 23,900 586,028
VistaPrint Ltd.*+ 15,400 509,894
Netflix, Inc.*+ 18,200 470,652
-------------
TOTAL INTERNET & CATALOG RETAIL 7,468,728
-------------
TEXTILES & APPAREL 8.1%
Nike, Inc. -- Class B+ 12,000 1,188,360
Coach, Inc.*+ 21,700 932,232
VF Corp. 8,100 664,848
Polo Ralph Lauren Corp. 8,100 629,046
Liz Claiborne, Inc.+ 11,475 498,703
Jones Apparel Group, Inc. 13,200 441,276
Phillips-Van Heusen Corp. 7,100 356,207
Timberland Co. -- Class A*+ 10,481 330,990
Gildan Activewear, Inc.* 7,030 327,809
Columbia Sportswear Co.+ 5,869 326,903
Quiksilver, Inc.*+ 20,300 319,725
Under Armour, Inc.* 6,200 312,790
Wolverine World Wide, Inc.+ 10,258 292,558
Fossil, Inc.* 12,900 291,282
Carter's, Inc.* 9,505 242,378
-------------
TOTAL TEXTILES & APPAREL 7,155,107
-------------
LEISURE EQUIPMENT & PRODUCTS 8.1%
Mattel, Inc. 60,200 1,364,132
Eastman Kodak Co.+ 46,600 1,202,280
Hasbro, Inc. 35,500 967,375
Brunswick Corp.+ 23,874 761,581
Polaris Industries, Inc.+ 14,000 655,620
Pool Corp.+ 16,500 646,305
Marvel Entertainment, Inc.*+ 22,900 616,239
RC2 Corp.* 10,533 463,452
Callaway Golf Co.+ 31,000 446,710
-------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 7,123,694
-------------
HOTELS, RESTAURANTS & LEISURE 7.9%
McDonald's Corp. 19,200 851,136
Carnival Corp.+ 14,900 730,845
Las Vegas Sands Corp.*+ 6,500 581,620
Starbucks Corp.*+ 16,100 570,262
Marriott International, Inc. --
Class A 10,000 477,200
Harrah's Entertainment, Inc. 5,400 446,688
MGM Mirage, Inc.* 7,600 435,860
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
International Game
Technology, Inc. 9,400 $ 434,280
Yum! Brands, Inc. 7,000 411,600
Hilton Hotels Corp.+ 11,600 404,840
Starwood Hotels & Resorts
Worldwide, Inc. 6,200 387,500
Royal Caribbean Cruises Ltd.+ 7,900 326,902
Wynn Resorts Ltd.+ 3,200 300,320
Wyndham Worldwide Corp.* 8,700 278,574
Tim Hortons, Inc. 8,800 254,848
-------------
TOTAL HOTELS, RESTAURANTS & LEISURE 6,892,475
-------------
TOTAL CONSUMER DISCRETIONARY 28,640,004
-------------
TELECOMMUNICATION SERVICES 18.2%
DIVERSIFIED TELECOMMUNICATION
SERVICES 9.6%
France Telecom SA 40,866 1,131,988
AT&T, Inc.+ 25,000 893,750
Verizon Communications, Inc.+ 21,300 793,212
Telefonica SA -- SP ADR 11,800 752,250
BellSouth Corp. 15,100 711,361
Deutsche Telekom AG 36,700 667,940
Nippon Telegraph -- SP ADR 25,200 624,708
BT Group PLC+ 8,600 515,054
Telefonos de Mexico SA
de CV -- SP ADR 14,200 401,292
Telekomunikasi Indonesia
Tbk PT -- SP ADR 8,200 373,920
BCE, Inc. 12,700 342,900
Chunghwa Telecom Co. Ltd. --
SP ADR 16,700 329,491
Qwest Communications
International, Inc.* 35,900 300,483
TELUS Corp. 6,700 299,289
KT Corp. -- SP ADR*+ 9,600 243,360
-------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 8,380,998
-------------
WIRELESS TELECOMMUNICATION SERVICES 8.6%
China Mobile Hong Kong Ltd. --
SP ADR+ 28,900 1,249,058
Vodafone Group, Inc.+ 41,380 1,149,537
America Movil SA de CV --
SP ADR+ 18,800 850,136
Sprint Nextel Corp. 37,600 710,264
Mobile Telesystems -- SP ADR 9,000 451,710
Alltel Corp. 7,400 447,552
Rogers Communications, Inc. --
Class B* 6,600 393,360
SK Telecom Co., Ltd. -- SP ADR+ 14,300 378,664
American Tower Corp. -- Class A* 9,500 354,160
Vimpel--Communications --
SP ADR* 4,400 347,380
See Notes to Financial Statements.
138 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Turkcell Iletisim Hizmet AS, Inc. --
SP ADR 21,700 $ 290,346
NII Holdings, Inc. -- Class B*+ 4,000 257,760
Philippine Long Distance
Telephone Co. -- SP ADR+ 4,800 245,424
Crown Castle International
Corp.*+ 6,800 219,640
U.S. Cellular Corp.*+ 3,058 212,806
-------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 7,557,797
-------------
TOTAL TELECOMMUNICATION SERVICES 15,938,795
-------------
FINANCIALS 17.3%
REAL ESTATE 17.3%
Brookfield Asset Management,
Inc. -- Class A+ 42,995 2,071,499
Brookfield Properties Corp.+ 39,326 1,546,692
CB Richard Ellis Group, Inc. --
Class A*+ 40,911 1,358,245
Forest City Enterprises, Inc. --
Class A+ 20,525 1,198,660
The St. Joe Co.+ 17,400 932,118
Jones Lang LaSalle, Inc. 7,928 730,724
Simon Property Group, Inc.+ 6,900 698,901
Equity Office Properties Trust+ 13,300 640,661
ProLogis 9,000 546,930
Vornado Realty Trust+ 4,500 546,750
Equity Residential+ 10,200 517,650
General Growth Properties, Inc.+ 9,900 517,077
Archstone-Smith Trust+ 8,600 500,606
Host Hotels & Resorts, Inc.+ 20,100 493,455
KIMCO Realty Corp. 10,400 467,480
Boston Properties, Inc.+ 4,100 458,708
Public Storage, Inc.+ 4,600 448,500
AvalonBay Communities, Inc.+ 3,100 403,155
Developers Diversified Realty
Corp.+ 6,100 383,995
Plum Creek Timber Co., Inc. (REIT) 9,100 362,635
Macerich Co.+ 3,800 328,966
-------------
TOTAL REAL ESTATE 15,153,407
-------------
TOTAL FINANCIALS 15,153,407
-------------
MATERIALS 15.7%
CONSTRUCTION MATERIALS 8.2%
Cemex SA de CV -- SP ADR* 56,300 1,907,444
Rinker Group Ltd. -- SP ADR 19,000 1,349,950
Vulcan Materials Co. 11,900 1,069,453
Martin Marietta Materials, Inc.+ 7,800 810,498
Florida Rock Industries, Inc. 15,200 654,360
Eagle Materials, Inc.+ 12,400 536,052
Texas Industries, Inc.+ 7,200 462,456
Headwaters, Inc.* 15,700 376,172
-------------
TOTAL CONSTRUCTION MATERIALS 7,166,385
-------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
METALS & MINING 7.5%
BHP Billiton Ltd.+ 23,428 $ 931,263
Rio Tinto PLC -- SP ADR+ 3,622 769,639
Companhia Vale do Rio Doce --
SP ADR 25,354 754,028
POSCO -- SP ADR+ 6,272 518,506
Mittal Steel Co.N.V. -- Class A+ 12,129 511,601
Alcoa, Inc. 14,063 422,031
Anglo American PLC -- ADR 17,237 420,755
Nucor Corp.+ 7,514 410,715
Alcan, Inc. 7,467 363,942
Barrick Gold Corp.+ 11,377 349,274
Newmont Mining Corp.+ 7,128 321,829
AngloGold Ashanti Ltd. --
SP ADR 6,198 291,864
Phelps Dodge Corp. 2,138 255,961
Freeport-McMoRan Copper
& Gold, Inc. -- Class B+ 4,584 255,466
-------------
TOTAL METALS & MINING 6,576,874
-------------
TOTAL MATERIALS 13,743,259
-------------
INDUSTRIALS 8.9%
ELECTRICAL EQUIPMENT 8.9%
ABB Ltd. -- SP ADR+ 95,139 1,710,599
Emerson Electric Co. 27,940 1,231,316
American Power Conversion
Corp.+ 22,200 679,098
Rockwell Automation, Inc.+ 10,800 659,664
Cooper Industries Ltd. -- Class A 6,700 605,881
Roper Industries, Inc.+ 9,417 473,110
AMETEK, Inc.+ 12,750 405,960
Acuity Brands, Inc.+ 6,599 343,412
Hubbell, Inc. -- Class B 7,500 339,075
Thomas & Betts Corp.* 7,100 335,688
General Cable Corp.*+ 7,600 332,196
Regal-Beloit Corp.+ 5,700 299,307
Energy Conversion Devices, Inc.*+ 6,400 217,472
A.O. Smith Corp. 5,300 199,068
-------------
TOTAL ELECTRICAL EQUIPMENT 7,831,846
-------------
TOTAL INDUSTRIALS 7,831,846
-------------
UTILITIES 8.1%
ELECTRIC UTILITIES 8.1%
E.ON AG 20,000 903,800
Endesa SA -- SP ADR 14,547 676,726
Exelon Corp. 10,100 625,089
Korea Electric Power Corp. --
SP ADR*+ 22,900 520,059
Southern Co.+ 13,900 512,354
FPL Group, Inc.+ 8,478 461,373
Scottish Power, Inc. -- SP ADR 7,800 455,754
Entergy Corp. 4,700 433,904
FirstEnergy Corp. 7,100 428,130
American Electric Power Co., Inc. 9,400 400,252
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 139
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
SECTOR ROTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Edison International 8,125 $ 369,525
PPL Corp. 10,036 359,690
Progress Energy, Inc.+ 7,100 348,468
Enersis SA/Chile -- SP ADR+ 20,200 323,200
Allegheny Energy, Inc.* 6,000 275,460
-------------
TOTAL ELECTRIC UTILITIES 7,093,784
-------------
TOTAL UTILITIES 7,093,784
-------------
TOTAL COMMON STOCKS
(Cost $82,341,539) 88,401,095
-------------
FACE
AMOUNT
-------------
SECURITIES LENDING COLLATERAL 25.9%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) $ 22,672,786 22,672,786
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $22,672,786) 22,672,786
-------------
TOTAL INVESTMENTS 126.7%
(Cost $105,014,325) $ 111,073,881
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (26.7)% $ (23,401,319)
=============
NET ASSETS - 100.0% $ 87,672,562
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
140 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES 47.9%
Fannie Mae*
5.14% due 01/10/07 $ 20,000,000 $ 19,977,155
Farmer Mac*
5.14% due 01/16/07 5,000,000 4,990,005
Federal Farm Credit Bank*
5.23% due 01/25/07 25,000,000 24,916,465
Federal Home Loan Bank*
5.14% due 01/24/07 25,000,000 24,921,549
5.12% due 01/19/07 20,000,000 19,951,692
5.15% due 01/17/07 5,000,000 4,989,271
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $99,746,137) 99,746,137
-------------
REPURCHASE AGREEMENTS 49.8%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 27,218,472 27,218,472
4.79% due 01/02/07 27,218,472 27,218,472
4.65% due 01/02/07 27,218,472 27,218,472
4.60% due 01/02/07 22,046,950 22,046,950
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $103,702,366) 103,702,366
-------------
TOTAL INVESTMENTS 97.7%
(Cost $203,448,503) $ 203,448,503
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 2.3% $ 4,699,334
=============
NET ASSETS - 100.0% $ 208,147,837
* 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.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 141
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
BANKING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
J.P. Morgan Chase & Co. 23,963 $ 1,157,413
Bank of America Corp. 20,754 1,108,056
Wells Fargo & Co.+ 28,085 998,703
Wachovia Corp. 15,540 885,003
U.S. Bancorp+ 21,338 772,222
Fannie Mae 12,112 719,332
Regions Financial Corp. 18,210 681,054
Freddie Mac 9,401 638,328
Washington Mutual, Inc.+ 13,659 621,348
SunTrust Banks, Inc.+ 6,345 535,835
National City Corp.+ 14,481 529,425
Countrywide Financial Corp.+ 11,813 501,462
Fifth Third Bancorp+ 11,169 457,147
BB&T Corp.+ 10,202 448,174
PNC Financial Services Group, Inc.+ 5,874 434,911
KeyCorp+ 9,563 363,681
M&T Bank Corp.+ 2,888 352,798
Sovereign Bancorp, Inc.+ 13,818 350,839
Marshall & Ilsley Corp.+ 6,704 322,530
Synovus Financial Corp.+ 9,669 298,095
Comerica, Inc.+ 4,954 290,701
Zions Bancorporation 3,471 286,149
UnionBanCal Corp. 4,451 272,624
TD Banknorth, Inc. 8,262 266,697
Hudson City Bancorp, Inc.+ 19,137 265,622
Compass Bancshares, Inc.+ 4,382 261,386
Mercantile Bankshares Corp. 5,432 254,163
People's Bank+ 5,488 244,875
Commerce Bancorp, Inc.+ 6,562 231,442
MGIC Investment Corp.+ 3,556 222,392
First Horizon National Corp.+ 5,259 219,721
Huntington Bancshares, Inc.+ 9,184 218,120
Associated Banc-Corp.+ 5,869 204,711
New York Community Bancorp, Inc.+ 12,363 199,044
Popular, Inc.+ 11,018 197,773
PMI Group, Inc.+ 4,097 193,256
Radian Group, Inc.+ 3,503 188,847
Colonial BancGroup, Inc. 7,312 188,211
BOK Financial Corp. 3,383 185,997
City National Corp.+ 2,534 180,421
TCF Financial Corp.+ 6,464 177,243
IndyMac Bancorp, Inc.+ 3,868 174,679
Sky Financial Group, Inc.+ 6,080 173,523
Commerce Bancshares, Inc. 3,573 172,969
Bank of Hawaii Corp.+ 3,094 166,921
Valley National Bancorp+ 6,226 165,051
Cullen/Frost Bankers, Inc. 2,934 163,776
Capital Federal Financial+ 4,183 160,711
Fulton Financial Corp. 9,533 159,201
Astoria Financial Corp. 5,265 158,792
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Wilmington Trust Corp.+ 3,731 $ 157,336
Webster Financial Corp. 3,163 154,101
Downey Financial Corp. 1,934 140,370
Washington Federal, Inc.+ 5,750 135,298
First Midwest Bancorp, Inc.+ 3,433 132,788
Whitney Holding Corp. 4,064 132,568
East-West Bancorp, Inc.+ 3,726 131,975
South Financial Group, Inc. 4,960 131,886
FirstMerit Corp.+ 5,409 130,573
International Bancshares Corp. 4,220 130,440
Cathay General Bancorp 3,576 123,408
NewAlliance Bancshares, Inc. 7,522 123,361
United Bankshares, Inc. 3,160 122,134
Umpqua Holding Corp. 4,140 121,840
SVB Financial Group*+ 2,612 121,771
UCBH Holdings, Inc.+ 6,750 118,530
Westamerica Bancorporation+ 2,340 118,474
MAF Bancorp, Inc.+ 2,643 118,116
First Niagara Financial Group, Inc.+ 7,922 117,721
Chittenden Corp. 3,786 116,192
Susquehanna Bancshares, Inc. 4,220 113,434
Fremont General Corp.+ 6,859 111,184
Sterling Financial Corp.+ 3,201 108,226
Central Pacific Financial Corp.+ 2,736 106,047
Greater Bay Bancorp+ 4,026 106,005
Glacier Bancorp, Inc. 4,244 103,723
Hanmi Financial Corp. 4,586 103,323
Wintrust Financial Corp.+ 2,140 102,763
Prosperity Bancshares, Inc. 2,940 101,459
FirstFed Financial Corp.*+ 1,509 101,058
Provident Bankshares Corp. 2,800 99,680
Bankunited Financial Corp. --
Class A+ 3,526 98,587
Boston Private Financial
Holdings, Inc.+ 3,426 96,648
Fidelity Bankshares, Inc. 2,413 95,724
First Republic Bank+ 2,393 93,518
First Commonwealth
Financial Corp.+ 6,962 93,500
Republic Bancorp, Inc.+ 6,861 92,349
W Holding Co., Inc.+ 15,350 91,486
Flagstar Bancorp, Inc. 6,079 90,212
Sterling Bancshares, Inc. 6,570 85,541
PrivateBancorp, Inc. 2,040 84,925
TrustCo Bank Corp.+ 7,630 84,846
Irwin Financial Corp. 3,676 83,188
Brookline Bancorp, Inc.+ 6,139 80,851
Community Bank System, Inc. 3,466 79,718
BankAtlantic Bancorp, Inc. --
Class A 5,709 78,841
Bank Mutual Corp. 6,479 78,461
First Bancorp Puerto Rico+ 7,863 74,934
See Notes to Financial Statements.
142 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
BANKING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Nara Bancorp, Inc. 3,560 $ 74,475
Anchor BanCorp Wisconsin, Inc.+ 2,583 74,442
Independent Bank Corp. 2,880 72,835
Wilshire Bancorp, Inc.+ 3,707 70,322
Franklin Bank Corp.* 3,256 66,878
Dime Community Bancshares 4,499 63,031
First Indiana Corp. 2,373 60,179
Sterling Bancorp+ 2,900 57,130
Doral Financial Corp.+ 11,768 33,774
Capital One Financial Corp. 184 14,135
-------------
TOTAL COMMON STOCKS
(Cost $21,451,026) 24,227,688
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 150,523 150,523
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $150,523) 150,523
-------------
SECURITIES LENDING COLLATERAL 26.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 6,424,227 6,424,227
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $6,424,227) 6,424,227
-------------
TOTAL INVESTMENTS 126.5%
(Cost $28,025,776) $ 30,802,438
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (26.5)% $ (6,454,037)
=============
NET ASSETS - 100.0% $ 24,348,401
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 143
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
BASIC MATERIALS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
E.I. du Pont de Nemours and Co.+ 40,990 $ 1,996,623
Dow Chemical Co. 43,882 1,752,647
Phelps Dodge Corp. 13,830 1,655,728
Monsanto Co. 29,994 1,575,585
Alcoa, Inc. 49,125 1,474,241
Newmont Mining Corp.+ 27,769 1,253,770
Weyerhaeuser Co. 17,630 1,245,559
Praxair, Inc. 20,609 1,222,732
Nucor Corp. 22,110 1,208,533
Southern Copper Corp.+ 22,315 1,202,555
Air Products & Chemicals, Inc. 16,215 1,139,590
International Paper Co.+ 33,284 1,134,984
Allegheny Technologies, Inc.+ 11,330 1,027,404
Rohm & Haas Co. 19,114 977,108
Ecolab, Inc.+ 21,470 970,444
The Mosaic Co.*+ 44,920 959,491
United States Steel Corp.+ 12,931 945,773
Freeport-McMoRan Copper &
Gold, Inc. -- Class B+ 16,617 926,065
PPG Industries, Inc.+ 13,839 888,602
Vulcan Materials Co.+ 9,839 884,231
Sealed Air Corp.+ 10,876 706,070
Lyondell Chemical Co.+ 27,572 705,016
MeadWestvaco Corp.+ 23,085 693,935
Pactiv Corp.* 19,442 693,885
Celanese Corp.+ 26,268 679,816
Martin Marietta Materials, Inc.+ 6,440 669,180
Temple-Inland, Inc.+ 14,510 667,895
Titanium Metals Corp.*+ 22,320 658,663
International Flavors & Fragrances,
Inc. 13,330 655,303
Ashland, Inc. 9,432 652,506
Eastman Chemical Co.+ 10,957 649,860
Sigma-Aldrich Corp. 8,348 648,807
Ball Corp. 14,300 623,480
Albemarle Corp. 8,231 590,986
Huntsman Corp.* 30,870 585,604
Sonoco Products Co. 15,129 575,810
Steel Dynamics, Inc. 17,648 572,678
Scotts Miracle-Gro Co. -- Class A 10,890 562,468
Crown Holdings, Inc.* 26,673 557,999
Commercial Metals Co. 21,502 554,752
Lubrizol Corp. 10,870 544,913
Reliance Steel & Aluminum Co.+ 13,658 537,852
Bemis Co. 15,740 534,845
FMC Corp. 6,901 528,272
Airgas, Inc. 12,980 525,950
Owens-Illinois, Inc.*+ 27,893 514,626
Valhi, Inc. 19,724 512,430
Nalco Holding Co.* 24,509 501,454
Cabot Corp.+ 11,475 499,966
RTI International Metals, Inc.* 6,386 499,513
Florida Rock Industries, Inc. 11,469 493,740
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Valspar Corp. 17,300 $ 478,172
Eagle Materials, Inc. 10,840 468,613
RPM International, Inc.+ 22,050 460,624
Cytec Industries, Inc.+ 8,135 459,709
Chaparral Steel Co. 10,340 457,752
Hercules, Inc.*+ 23,678 457,222
Louisiana-Pacific Corp. 20,953 451,118
Chemtura Corp.+ 46,556 448,334
Cleveland-Cliffs, Inc.+ 9,254 448,264
Smurfit-Stone Container Corp.*+ 42,153 445,136
Carpenter Technology Corp. 4,314 442,271
AptarGroup, Inc.+ 7,336 433,117
Packaging Corporation of America 18,703 413,336
Westlake Chemical Corp. 12,680 397,898
Century Aluminum Co.*+ 8,676 387,383
Texas Industries, Inc.+ 5,956 382,554
H.B. Fuller Co.+ 14,120 364,578
Worthington Industries, Inc.+ 20,122 356,562
Quanex Corp. 9,782 338,359
Sensient Technologies Corp. 13,710 337,266
OM Group, Inc.*+ 7,260 328,733
Rock-Tenn Co. -- Class A 12,110 328,302
Bowater, Inc.+ 14,530 326,925
Olin Corp. 19,226 317,614
Minerals Technologies, Inc.+ 5,320 312,763
MacDermid, Inc.+ 8,700 296,670
Headwaters, Inc.*+ 11,978 286,993
Ferro Corp. 13,800 285,522
Arch Chemicals, Inc. 8,127 270,710
Amcol International Corp.+ 9,737 270,104
Brush Engineered Materials, Inc.* 7,930 267,796
Wausau Paper Corp. 17,210 257,978
Glatfelter+ 16,170 250,635
Deltic Timber Corp.+ 4,487 250,285
Ryerson Tull, Inc.+ 9,710 243,624
Buckeye Technologies, Inc.* 18,654 223,475
PolyOne Corp.* 29,435 220,762
A. Schulman, Inc. 9,811 218,295
Schweitzer-Mauduit International,
Inc. 7,990 208,140
Neenah Paper, Inc.+ 5,800 204,856
Myers Industries, Inc. 12,743 199,555
Georgia Gulf Corp. 9,890 190,976
Tronox, Inc. 11,930 188,375
A.M. Castle & Co. 7,102 180,746
Chesapeake Corp. 10,430 177,519
Material Sciences Corp.* 10,848 140,373
Quaker Chemical Corp. 6,280 138,600
Caraustar Industries, Inc.* 16,650 134,699
Steel Technologies, Inc. 7,252 127,273
Penford Corp. 6,803 117,692
Pope & Talbot, Inc.*+ 15,000 82,050
Wellman, Inc. 25,330 80,803
------------
TOTAL COMMON STOCKS
(Cost $46,949,315) 58,397,050
-------------
See Notes to Financial Statements.
144 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
BASIC MATERIALS FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.7%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 426,565 $ 426,565
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $426,565) 426,565
-------------
SECURITIES LENDING COLLATERAL 18.6%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 10,871,653 10,871,653
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,871,653) 10,871,653
-------------
TOTAL INVESTMENTS 118.9%
(Cost $58,247,533) $ 69,695,268
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (18.9)% $ (11,073,303)
=============
NET ASSETS - 100.0% $ 58,621,965
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 145
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
BIOTECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Genentech, Inc.*+ 13,792 $ 1,118,945
Amgen, Inc.*+ 15,636 1,068,095
Gilead Sciences, Inc.* 9,960 646,703
Celgene Corp.*+ 10,992 632,370
Biogen Idec, Inc.*+ 10,718 527,218
Genzyme Corp.*+ 7,606 468,377
Medimmune, Inc.*+ 11,052 357,753
Cephalon, Inc.*+ 3,826 269,389
Vertex Pharmaceuticals, Inc.* 7,012 262,389
Millennium Pharmaceuticals, Inc.*+ 21,763 237,217
Amylin Pharmaceuticals, Inc.*+ 6,478 233,661
ICOS Corp.*+ 6,250 211,187
Invitrogen Corp.* 3,547 200,725
PDL BioPharma, Inc.*+ 9,412 189,558
Techne Corp.* 3,405 188,807
Medarex, Inc.*+ 12,481 184,594
Illumina, Inc.*+ 4,554 179,018
ImClone Systems, Inc.*+ 6,667 178,409
InterMune, Inc.*+ 5,546 170,540
OSI Pharmaceuticals, Inc.*+ 4,767 166,750
Human Genome Sciences, Inc.*+ 13,059 162,454
Affymetrix, Inc.*+ 6,848 157,915
BioMarin Pharmaceuticals, Inc.* 9,470 155,213
Crucell -- SP ADR*+ 6,088 155,122
Myriad Genetics, Inc.*+ 4,908 153,620
Alexion Pharmaceuticals, Inc.*+ 3,724 150,412
Regeneron Pharmaceuticals, Inc.*+ 7,366 147,836
Nektar Therapeutics*+ 9,659 146,913
United Therapeutics Corp.*+ 2,587 140,655
Digene Corp.* 2,837 135,949
Alkermes, Inc.*+ 9,768 130,598
Applera Corp. - Celera Genomics
Group* 9,086 127,113
Pharmion Corp.*+ 4,715 121,364
Zymogenetics, Inc.*+ 7,702 119,920
QLT, Inc.*+ 13,166 111,384
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Cubist Pharmaceuticals, Inc.*+ 6,123 $ 110,888
CV Therapeutics, Inc.*+ 7,882 110,033
Exelixis, Inc.* 12,017 108,153
Progenics Pharmaceuticals, Inc.* 4,044 104,093
MannKind Corp.*+ 6,247 103,013
Arena Pharmaceuticals, Inc.*+ 7,680 99,149
Angiotech Pharmaceuticals, Inc.* 12,012 98,679
Keryx Biopharmaceuticals, Inc.*+ 7,386 98,234
Idenix Pharmaceuticals, Inc.* 9,293 80,756
Luminex Corp.*+ 5,040 64,008
Onyx Pharmaceuticals, Inc.*+ 5,990 63,374
Telik, Inc.*+ 6,628 29,362
Nuvelo, Inc.*+ 6,526 26,104
-------------
TOTAL COMMON STOCKS
(Cost $7,564,300) 10,704,019
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.9%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 98,752 98,752
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $98,752) 98,752
-------------
SECURITIES LENDING COLLATERAL 57.8%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 6,212,852 6,212,852
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $6,212,852) 6,212,852
-------------
TOTAL INVESTMENTS 158.2%
(Cost $13,875,904) $ 17,015,623
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (58.2)% $ (6,261,426)
=============
NET ASSETS - 100.0% $ 10,754,197
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
146 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
COMMODITIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS 21.6%
IShares GSCI Commodity Indexed
Trust* 109,540 $ 4,384,886
-------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $4,483,361) 4,384,886
-------------
FACE
AMOUNT
-------------
COMMODITY LINKED SECURITIES 22.4%
Credit Suisse, Goldman Sachs
Commodity Index Total Return
Linked Notes 5.12%
due 10/15/07 $ 2,180,400 1,872,147
Swedish Export Credit Corp.,
Goldman Sachs Commodity
Index Total Return
Linked Notes 5.10%
due 10/22/07 2,100,000 1,825,926
Credit Suisse, Goldman Sachs
Commodity Index Total Return
Linked Notes 5.12%
due 11/26/07 1,058,212 848,239
-------------
TOTAL COMMODITY LINKED SECURITIES
(Cost $5,209,683) 4,546,310
-------------
FEDERAL AGENCY DISCOUNT NOTES 19.7%
Farmer Mac**
5.15% due 01/23/07 2,000,000 1,993,992
Federal Home Loan Bank**
5.15% due 01/17/07 2,000,000 1,995,708
-------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES
(Cost $3,989,700) 3,989,700
-------------
REPURCHASE AGREEMENTS 27.0%
Repurchase Agreement (Note 5)
4.80% due 01/02/07 1,435,558 1,435,558
4.79% due 01/02/07 1,435,558 1,435,558
4.65% due 01/02/07 1,435,558 1,435,558
4.60% due 01/02/07 1,162,800 1,162,800
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $5,469,474) 5,469,474
-------------
TOTAL INVESTMENTS 90.7%
(Cost $19,152,218) $ 18,390,370
=============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 9.3% $ 1,878,900
=============
NET ASSETS - 100.0% $ 20,269,270
* 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.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 147
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Procter & Gamble Co. 45,776 $ 2,942,024
Altria Group, Inc.+ 32,872 2,821,075
Coca-Cola Co.+ 45,549 2,197,739
PepsiCo, Inc. 31,624 1,978,081
Kraft Foods, Inc. -- Class A+ 42,838 1,529,317
Anheuser-Busch Cos., Inc. 25,307 1,245,104
Colgate-Palmolive Co. 18,145 1,183,780
Kimberly-Clark Corp.+ 16,658 1,131,911
Sysco Corp.+ 27,044 994,137
General Mills, Inc.+ 15,780 908,928
Reynolds American, Inc.+ 13,744 899,820
Kellogg Co.+ 17,786 890,367
Archer-Daniels-Midland Co. 26,146 835,626
Safeway, Inc.+ 24,076 832,067
Campbell Soup Co.+ 20,981 815,951
Kroger Co.+ 35,087 809,457
WM Wrigley Jr Co. 15,438 798,453
H.J. Heinz Co.+ 17,664 795,057
Avon Products, Inc. 24,036 794,149
ConAgra Foods, Inc.+ 28,732 775,764
Sara Lee Corp. 43,268 736,854
Hershey Co.+ 13,191 656,912
UST, Inc.+ 10,789 627,920
Clorox Co. 9,751 625,527
Coca-Cola Enterprises, Inc. 30,042 613,458
Supervalu, Inc. 16,741 598,491
Estee Lauder Cos., Inc. -- Class A 14,422 588,706
Molson Coors Brewing Co. --
Class B+ 7,127 544,788
Brown-Forman Corp. -- Class B 8,060 533,894
Constellation Brands, Inc. --
Class A*+ 17,543 509,098
Pepsi Bottling Group, Inc.+ 16,187 500,340
Loews Corp. - Carolina Group 7,576 490,319
Tyson Foods, Inc. -- Class A+ 29,743 489,272
Dean Foods Co.* 11,201 473,578
Hormel Foods Corp. 12,321 460,066
Whole Foods Market, Inc.+ 9,701 455,268
McCormick & Co., Inc. 11,724 452,077
Energizer Holdings, Inc.*+ 5,690 403,933
NBTY, Inc.* 9,542 396,661
Hansen Natural Corp.* 10,520 354,314
Church & Dwight Co., Inc.+ 8,210 350,156
J.M. Smucker Co. 6,950 336,866
Smithfield Foods, Inc.* 12,772 327,730
Corn Products International, Inc. 9,370 323,640
PepsiAmericas, Inc. 15,201 318,917
Del Monte Foods Co. 27,525 303,601
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Tootsie Roll Industries, Inc. 8,557 $ 279,814
United Natural Foods, Inc.*+ 7,446 267,460
Universal Corp.+ 5,280 258,773
Flowers Foods, Inc. 9,502 256,459
Delta & Pine Land Co. 6,009 243,064
Lancaster Colony Corp. 5,460 241,933
Hain Celestial Group, Inc.*+ 7,719 240,910
Ralcorp Holdings, Inc.* 4,670 237,656
Ruddick Corp.+ 8,504 235,986
TreeHouse Foods, Inc.*+ 7,326 228,571
Casey's General Stores, Inc.+ 9,462 222,830
Alliance One International, Inc.* 30,278 213,763
Great Atlantic & Pacific Tea Co.+ 8,254 212,458
USANA Health Sciences, Inc.*+ 3,950 204,057
J&J Snack Foods Corp. 4,842 200,459
Playtex Products, Inc.* 13,695 197,071
Performance Food Group Co.* 7,097 196,161
Alberto-Culver Co. 8,534 183,054
Spectrum Brands, Inc.*+ 15,561 169,615
Lance, Inc. 7,536 151,323
WD-40 Co. 4,330 150,987
Sanderson Farms, Inc.+ 4,950 149,936
Nash Finch Co.+ 4,734 129,238
Peet's Coffee & Tea, Inc.*+ 4,680 122,803
American Italian Pasta Co. --
Class A* 9,690 86,241
Sally Beauty Holdings, Inc.* 8,534 66,565
-------------
TOTAL COMMON STOCKS
(Cost $35,825,581) 42,798,380
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.8%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 340,359 340,359
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $340,359) 340,359
-------------
SECURITIES LENDING COLLATERAL 27.8%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 11,958,394 11,958,394
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $11,958,394) 11,958,394
-------------
TOTAL INVESTMENTS 128.1%
(Cost $48,124,334) $ 55,097,133
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (28.1)% $ (12,090,095)
=============
NET ASSETS - 100.0% $ 43,007,038
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
148 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ELECTRONICS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Intel Corp.* 17,434 $ 353,038
Texas Instruments, Inc. 7,069 203,587
Applied Materials, Inc.+ 9,684 178,670
Nvidia Corp.* 3,594 133,014
Broadcom Corp. -- Class A*+ 4,093 132,245
Analog Devices, Inc.+ 3,608 118,595
KLA-Tencor Corp.+ 2,203 109,599
Maxim Integrated Products, Inc. 3,519 107,752
MEMC Electronic Materials, Inc.* 2,563 100,316
Linear Technology Corp.+ 3,259 98,813
Xilinx, Inc. 4,097 97,550
Micron Technology, Inc.*+ 6,743 94,132
Advanced Micro Devices, Inc.*+ 4,604 93,691
Lam Research Corp.*+ 1,842 93,242
Altera Corp.* 4,602 90,567
National Semiconductor Corp.+ 3,864 87,713
Microchip Technology, Inc.+ 2,681 87,669
Novellus Systems, Inc.*+ 2,198 75,655
Agere Systems, Inc.* 3,510 67,287
LSI Logic Corp.*+ 7,259 65,331
Teradyne, Inc.*+ 4,029 60,274
Intersil Corp. -- Class A 2,490 59,561
Varian Semiconductor Equipment
Associates, Inc.* 1,275 58,038
International Rectifier Corp.*+ 1,498 57,718
Integrated Device Technology, Inc.* 3,670 56,812
Atmel Corp.* 9,347 56,549
Cypress Semiconductor Corp.*+ 2,934 49,497
Silicon Laboratories, Inc.*+ 1,399 48,475
Rambus, Inc.* 2,527 47,836
Fairchild Semiconductor International,
Inc.* 2,665 44,799
Cymer, Inc.*+ 985 43,291
PMC - Sierra, Inc.* 6,176 41,441
Skyworks Solutions, Inc.* 5,800 41,064
Microsemi Corp.* 2,022 39,732
Spansion, Inc.* 2,505 37,224
Brooks Automation, Inc.* 2,502 36,029
ATMI, Inc.* 1,166 35,598
RF Micro Devices, Inc.*+ 5,235 35,546
Cree, Inc.*+ 2,041 35,350
FEI Co.*+ 1,317 34,729
Cabot Microelectronics Corp.*+ 955 32,413
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Semtech Corp.* 2,478 $ 32,387
Micrel, Inc.* 3,004 32,383
Advanced Energy Industries, Inc.*+ 1,687 31,834
Photronics, Inc.*+ 1,789 29,232
Diodes, Inc.*+ 802 28,455
Lattice Semiconductor Corp.* 4,263 27,624
Standard Microsystems Corp.* 918 25,686
DSP Group, Inc.* 1,181 25,628
Actel Corp.*+ 1,348 24,480
Supertex, Inc.* 618 24,256
Triquint Semiconductor, Inc.* 5,385 24,232
Veeco Instruments, Inc.*+ 1,286 24,087
Cohu, Inc. 1,172 23,627
Axcelis Technologies, Inc.*+ 3,948 23,017
Exar Corp.* 1,714 22,282
Kulicke & Soffa Industries, Inc.* 2,645 22,218
Rudolph Technologies, Inc.* 1,306 20,791
Pericom Semiconductor Corp.* 1,702 19,522
Ultratech, Inc.* 1,386 17,297
Kopin Corp.* 4,687 16,733
-------------
TOTAL COMMON STOCKS
(Cost $2,506,089) 3,836,213
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 1.3%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 51,731 51,731
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $51,731) 51,731
-------------
SECURITIES LENDING COLLATERAL 29.2%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 1,125,927 1,125,927
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $1,125,927) 1,125,927
-------------
TOTAL INVESTMENTS 130.0%
(Cost $3,683,747) $ 5,013,871
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (30.0)% $ (1,158,281)
=============
NET ASSETS - 100.0% $ 3,855,590
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 149
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ENERGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Exxon Mobil Corp.+ 67,005 $ 5,134,593
BP PLC+ 50,482 3,387,342
Total SA+ 43,165 3,104,427
Chevron Corp. 41,403 3,044,363
ConocoPhillips 37,483 2,696,902
Royal Dutch Shell PLC -- SP ADR 37,853 2,679,614
Schlumberger Ltd.+ 31,126 1,965,918
Repsol YPF SA -- SP ADR+ 45,511 1,570,129
Occidental Petroleum Corp. 29,812 1,455,720
Marathon Oil Corp. 15,411 1,425,517
Halliburton Co. 42,898 1,331,983
Devon Energy Corp.+ 18,783 1,259,964
Valero Energy Corp. 24,580 1,257,513
Transocean, Inc.* 14,732 1,191,671
Baker Hughes, Inc.+ 15,663 1,169,400
Apache Corp. 16,228 1,079,324
Anadarko Petroleum Corp. 23,094 1,005,051
XTO Energy, Inc. 20,956 985,980
Williams Cos., Inc. 35,610 930,133
Hess Corp. 18,520 918,036
EOG Resources, Inc.+ 13,758 859,187
Weatherford International Ltd.* 20,497 856,570
Kinder Morgan, Inc. 8,020 848,115
Noble Corp.+ 10,407 792,493
Chesapeake Energy Corp.+ 27,230 791,032
El Paso Corp.+ 50,850 776,988
Peabody Energy Corp. 19,050 769,811
Diamond Offshore Drilling, Inc.+ 9,496 759,110
National-Oilwell Varco, Inc.* 12,359 756,124
Murphy Oil Corp.+ 14,095 716,731
Noble Energy, Inc.+ 14,000 686,980
Smith International, Inc.+ 16,678 684,965
Nabors Industries Ltd.*+ 22,544 671,360
ENSCO International, Inc.+ 13,290 665,297
BJ Services Co.+ 22,467 658,732
Sunoco, Inc. 10,306 642,682
Newfield Exploration Co.*+ 13,099 601,899
Southwestern Energy Co.*+ 16,892 592,065
Cameron International Corp.*+ 10,786 572,197
Consol Energy, Inc.+ 17,100 549,423
Grant Prideco, Inc.* 13,149 522,936
Pride International, Inc.*+ 17,405 522,324
Tesoro Corp.+ 7,700 506,429
Pioneer Natural Resources Co.+ 12,750 506,048
FMC Technologies, Inc.* 8,027 494,704
Arch Coal, Inc.+ 15,900 477,477
CNX Gas Corp.* 18,201 464,126
Range Resources Corp. 16,675 457,896
Plains Exploration & Production Co.* 9,500 451,535
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Veritas DGC, Inc.* 5,194 $ 444,762
Rowan Cos., Inc. 13,265 440,398
Patterson-UTI Energy, Inc. 18,815 437,072
Cabot Oil & Gas Corp.+ 7,100 430,615
Holly Corp. 8,200 421,480
Frontier Oil Corp.+ 14,600 419,604
Pogo Producing Co.+ 8,500 411,740
Superior Energy Services, Inc.* 12,461 407,225
Quicksilver Resources, Inc.*+ 11,105 406,332
Denbury Resources, Inc.* 14,500 402,955
Cimarex Energy Co.+ 10,900 397,850
Tidewater, Inc.+ 8,008 387,267
SEACOR Holdings, Inc.* 3,808 377,525
Helmerich & Payne, Inc. 15,264 373,510
Oceaneering International, Inc.* 9,408 373,498
Helix Energy Solutions Group, Inc.*+ 11,752 368,660
Dresser-Rand Group, Inc.*+ 14,527 355,476
W&T Offshore, Inc. 11,522 353,956
Unit Corp.* 7,185 348,113
Forest Oil Corp.* 10,050 328,434
Todco -- Class A* 9,506 324,820
Massey Energy Co.+ 13,900 322,897
Hanover Compressor Co.*+ 16,919 319,600
Overseas Shipholding Group, Inc. 5,674 319,446
St. Mary Land & Exploration Co. 8,665 319,219
Hydril*+ 4,235 318,430
Tetra Technologies, Inc.*+ 12,258 313,560
Atwood Oceanics, Inc.*+ 5,848 286,377
Cheniere Energy, Inc.*+ 9,654 278,711
Input/Output, Inc.*+ 20,181 275,067
Lone Star Technologies, Inc.* 5,654 273,710
Foundation Coal Holdings, Inc. 8,500 269,960
Swift Energy Co.*+ 5,948 266,530
Penn Virginia Corp. 3,760 263,350
World Fuel Services Corp.+ 5,900 262,314
Global Industries Ltd.* 19,430 253,367
Lufkin Industries, Inc.+ 3,742 217,335
CARBO Ceramics, Inc.+ 5,800 216,746
Bristow Group, Inc.* 5,779 208,564
Stone Energy Corp.* 5,800 205,030
Petroleum Development Corp.* 4,506 193,983
-------------
TOTAL COMMON STOCKS
(Cost $45,849,261) 69,844,304
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.2%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 126,050 126,050
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $126,050) 126,050
-------------
See Notes to Financial Statements.
150 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
ENERGY FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
SECURITIES LENDING COLLATERAL 24.6%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) $ 17,273,359 $ 17,273,359
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $17,273,359) 17,273,359
-------------
TOTAL INVESTMENTS 124.3%
(Cost $63,248,670) $ 87,243,713
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (24.3)% $ (17,054,036)
=============
NET ASSETS - 100.0% $ 70,189,677
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 151
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ENERGY SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Schlumberger Ltd.+ 65,952 $ 4,165,528
Halliburton Co. 90,881 2,821,855
Transocean, Inc.* 31,307 2,532,423
Baker Hughes, Inc.+ 33,157 2,475,502
Weatherford International Ltd.* 43,475 1,816,820
Noble Corp. 22,040 1,678,346
Diamond Offshore Drilling, Inc.+ 20,171 1,612,470
National-Oilwell Varco, Inc.* 26,128 1,598,511
Smith International, Inc.+ 35,450 1,455,931
Nabors Industries Ltd.*+ 47,867 1,425,479
ENSCO International, Inc.+ 28,244 1,413,895
BJ Services Co.+ 47,565 1,394,606
Cameron International Corp.*+ 22,940 1,216,967
Grant Prideco, Inc.*+ 27,970 1,112,367
Pride International, Inc.*+ 36,816 1,104,848
FMC Technologies, Inc.* 17,054 1,051,038
Veritas DGC, Inc.* 11,166 956,145
Rowan Cos., Inc.+ 28,206 936,439
Patterson-UTI Energy, Inc.+ 39,906 927,016
Superior Energy Services, Inc.* 26,315 859,974
Tidewater, Inc.+ 17,038 823,958
SEACOR Holdings, Inc.* 8,284 821,276
Oceaneering International, Inc.* 20,016 794,635
Helmerich & Payne, Inc. 32,264 789,500
Dresser-Rand Group, Inc.*+ 30,895 756,001
Unit Corp.* 15,147 733,872
Todco -- Class A* 20,189 689,858
Hydril*+ 9,073 682,199
Hanover Compressor Co.*+ 35,925 678,623
Tetra Technologies, Inc.*+ 26,025 665,720
Atwood Oceanics, Inc.*+ 12,541 614,133
Lone Star Technologies, Inc.* 12,071 584,357
Input/Output, Inc.*+ 42,700 582,001
Global Industries Ltd.* 41,211 537,391
Lufkin Industries, Inc.+ 8,007 465,047
CARBO Ceramics, Inc.+ 12,414 463,911
Bristow Group, Inc.*+ 12,454 449,465
-------------
TOTAL COMMON STOCKS
(Cost $25,773,136) 43,688,107
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 228,891 $ 228,891
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $228,891) 228,891
-------------
SECURITIES LENDING COLLATERAL 27.0%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 11,849,821 11,849,821
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $11,849,821) 11,849,821
-------------
TOTAL INVESTMENTS 127.0%
(Cost $37,851,848) $ 55,766,819
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (27.0)% $ (11,856,598)
=============
NET ASSETS - 100.0% $ 43,910,221
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
152 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.7%
Bank of America Corp. 20,576 $ 1,098,553
Citigroup, Inc. 17,630 981,991
Wells Fargo & Co.+ 22,673 806,252
American International Group, Inc. 11,042 791,270
Morgan Stanley+ 9,150 745,084
J.P. Morgan Chase & Co. 14,604 705,373
Wachovia Corp. 12,051 686,304
Fannie Mae+ 10,365 615,577
Regions Financial Corp. 15,761 589,461
Freddie Mac 8,280 562,212
Prudential Financial, Inc. 6,480 556,373
Goldman Sachs Group, Inc.+ 2,680 534,258
Lehman Brothers Holdings, Inc.+ 6,744 526,841
Merrill Lynch & Co., Inc.+ 5,340 497,154
MetLife, Inc. 8,290 489,193
National City Corp.+ 12,713 464,787
Capital One Financial Corp. 5,903 453,468
American Express Co. 7,236 439,008
Chubb Corp. 7,910 418,518
Lincoln National Corp. 6,130 407,032
U.S. Bancorp+ 11,210 405,690
Vornado Realty Trust+ 3,316 402,894
Franklin Resources, Inc.+ 3,610 397,714
Marsh & McLennan Cos., Inc.+ 12,910 395,821
AFLAC, Inc.+ 8,550 393,300
Chicago Mercantile Exchange
Holdings, Inc.+ 762 388,429
Loews Corp. 9,314 386,252
ProLogis+ 6,190 376,166
Genworth Financial, Inc. -- Class A 10,810 369,810
Equity Residential+ 7,210 365,907
General Growth Properties, Inc.+ 6,853 357,932
Host Hotels & Resorts, Inc.+ 14,554 357,301
Archstone-Smith Trust+ 6,120 356,245
Washington Mutual, Inc. 7,682 349,454
Marshall & Ilsley Corp.+ 7,150 343,986
Ameriprise Financial, Inc. 6,310 343,895
Legg Mason, Inc.+ 3,610 343,130
Aon Corp.+ 9,570 338,204
Synovus Financial Corp.+ 10,690 329,573
Cbot Holdings, Inc.* 2,170 328,690
Realogy Corp.* 10,760 326,243
T. Rowe Price Group, Inc.+ 7,390 323,460
NYSE Group, Inc.*+ 3,300 320,760
Fifth Third Bancorp+ 7,772 318,108
M&T Bank Corp. 2,568 313,707
E*Trade Financial Corp.* 13,975 313,319
Simon Property Group, Inc.+ 3,060 309,947
TD Ameritrade Holding Corp.+ 19,062 308,423
SAFECO Corp.+ 4,800 300,240
Assurant, Inc. 5,300 292,825
KIMCO Realty Corp.+ 6,480 291,276
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
St. Paul Travelers Cos., Inc. 5,420 $ 291,000
SL Green Realty Corp.+ 2,190 290,788
Cincinnati Financial Corp. 6,410 290,437
Allstate Corp.+ 4,440 289,088
People's Bank+ 6,470 288,691
W.R. Berkley Corp. 8,255 284,880
Duke Realty Corp.+ 6,810 278,529
BB&T Corp.+ 6,320 277,638
Huntington Bancshares, Inc.+ 11,587 275,191
Old Republic International Corp. 11,742 273,354
AMB Property Corp. 4,660 273,123
Hudson City Bancorp, Inc.+ 19,635 272,534
CapitalSource, Inc.+ 9,790 267,365
Associated Banc-Corp.+ 7,610 265,437
Popular, Inc.+ 14,530 260,813
United Dominion Realty Trust, Inc.+ 8,200 260,678
Federal Realty Investment Trust+ 3,050 259,250
Liberty Property Trust+ 5,255 258,231
Torchmark Corp. 4,050 258,228
Weingarten Realty Investors 5,590 257,755
Camden Property Trust 3,475 256,629
New York Community Bancorp, Inc.+ 15,770 253,897
Apartment Investment &
Management Co. -- Class A+ 4,510 252,650
Global Signal, Inc. 4,770 251,236
Reckson Associates Realty Corp. 5,470 249,432
Radian Group, Inc.+ 4,608 248,417
Reinsurance Group of America, Inc. 4,450 247,865
Raymond James Financial, Inc. 8,133 246,511
Sky Financial Group, Inc.+ 8,600 245,444
Brown & Brown, Inc. 8,680 244,863
SunTrust Banks, Inc.+ 2,886 243,723
Hospitality Properties Trust 5,120 243,354
Nasdaq Stock Market, Inc.*+ 7,870 242,317
Federated Investors, Inc. -- Class B 7,160 241,865
Bank of New York Co., Inc. 6,120 240,944
Comerica, Inc.+ 4,080 239,414
CNA Financial Corp.*+ 5,920 238,694
Mack-Cali Realty Corp.+ 4,660 237,660
Jefferies Group, Inc. 8,770 235,211
Brandywine Realty Trust+ 7,050 234,413
Capital Federal Financial+ 6,091 234,016
New Plan Excel Realty Trust+ 8,430 231,656
AvalonBay Communities, Inc.+ 1,780 231,489
Conseco, Inc.* 11,580 231,368
Astoria Financial Corp. 7,580 228,613
Wilmington Trust Corp. 5,407 228,013
Countrywide Financial Corp.+ 5,364 227,702
Cullen/Frost Bankers, Inc. 4,050 226,071
Hartford Financial Services Group,
Inc. 2,420 225,810
Highwoods Properties, Inc.+ 5,530 225,403
Essex Property Trust, Inc. 1,728 223,344
Kilroy Realty Corp. 2,850 222,300
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 153
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
American National Insurance Co. 1,947 $ 222,172
Wesco Financial Corp. 479 220,340
Colonial Properties Trust 4,670 218,930
Downey Financial Corp. 2,970 215,563
AmeriCredit Corp.*+ 8,520 214,448
Whitney Holding Corp. 6,557 213,889
The St. Joe Co.+ 3,980 213,209
East-West Bancorp, Inc. 6,013 212,980
Affiliated Managers Group, Inc.*+ 2,010 211,311
First Citizens BancShares, Inc. --
Class A 1,042 211,151
First Niagara Financial Group, Inc.+ 13,900 206,554
UCBH Holdings, Inc.+ 11,750 206,330
SVB Financial Group*+ 4,416 205,874
Charles Schwab Corp. 10,630 205,584
Bear Stearns Cos., Inc.+ 1,240 201,847
National Retail Properties, Inc. 8,710 199,895
Mercantile Bankshares Corp. 4,256 199,138
Mid-America Apartment
Communities, Inc. 3,470 198,623
Entertainment Properties Trust+ 3,370 196,943
Eastgroup Properties, Inc. 3,660 196,030
XL Capital Ltd.+ 2,700 194,454
Prosperity Bancshares, Inc. 5,575 192,393
Greater Bay Bancorp 7,290 191,946
Provident Bankshares Corp. 5,379 191,492
New Century Financial Corp.+ 6,023 190,267
State Street Corp. 2,780 187,483
Boston Private Financial Holdings,
Inc. 6,540 184,493
Sovran Self Storage, Inc.+ 3,190 182,723
Acadia Realty Trust 7,300 182,646
Everest Re Group Ltd. 1,860 182,485
BankAtlantic Bancorp, Inc. --
Class A 13,040 180,082
Safety Insurance Group, Inc. 3,540 179,513
Portfolio Recovery Associates, Inc.*+ 3,842 179,383
LTC Properties, Inc. 6,481 176,996
Community Bank System, Inc. 7,671 176,433
Presidential Life Corp. 8,010 175,820
PNC Financial Services Group, Inc.+ 2,330 172,513
ACE Ltd. 2,840 172,019
TradeStation Group, Inc.* 12,500 171,875
LaBranche & Co., Inc.*+ 17,330 170,354
Wilshire Bancorp, Inc.+ 8,940 169,592
Equity Office Properties Trust+ 3,410 164,260
Flagstar Bancorp, Inc. 11,000 163,240
Dime Community Bancshares 11,600 162,516
Nelnet, Inc. -- Class A* 5,900 161,424
Moody's Corp.+ 2,310 159,529
Progressive Corp. 6,440 155,977
SCPIE Holdings Inc.*+ 5,913 154,566
IntercontinentalExchange, Inc.*+ 1,420 153,218
MARKET
VALUE
SHARES NOTE 1)
- --------------------------------------------------------------------------------
SLM Corp. 3,132 $ 152,748
Mellon Financial Corp.+ 3,610 152,162
Public Storage, Inc. 1,548 150,930
Boston Properties, Inc.+ 1,330 148,800
Transatlantic Holdings, Inc. 2,356 146,308
RLI Corp. 2,584 145,789
Thornburg Mortgage, Inc.+ 5,620 141,231
Wintrust Financial Corp.+ 2,940 141,179
Chittenden Corp. 4,590 140,867
Westamerica Bancorporation+ 2,660 134,676
Blackrock, Inc. 880 133,672
Delphi Financial Group, Inc. --
Class A 3,280 132,709
Principal Financial Group, Inc. 2,250 132,075
KeyCorp 3,252 123,674
Sovereign Bancorp, Inc.+ 4,588 116,489
United Fire & Casualty Co. 3,190 112,448
SEI Investments Co.+ 1,792 106,732
Northern Trust Corp. 1,750 106,208
Piper Jaffray Cos., Inc.* 1,500 97,725
CIT Group, Inc.+ 1,730 96,482
Janus Capital Group, Inc.+ 4,100 88,519
MBIA, Inc.+ 1,190 86,941
CBL & Associates Properties, Inc.+ 1,940 84,099
Cash America International, Inc.+ 1,750 82,075
PS Business Parks, Inc. 1,150 81,317
Zenith National Insurance Corp. 1,670 78,340
CB Richard Ellis Group, Inc. --
Class A* 2,229 74,003
Ambac Financial Group, Inc. 820 73,037
Jones Lang LaSalle, Inc. 790 72,814
Fremont General Corp.+ 4,200 68,082
ProAssurance Corp.* 1,340 66,893
Developers Diversified Realty Corp.+ 1,020 64,209
Philadelphia Consolidated Holding
Corp.*+ 1,420 63,275
Zions Bancorporation 730 60,181
UnionBanCal Corp. 960 58,800
TD Banknorth, Inc. 1,820 58,750
Plum Creek Timber Co., Inc. (REIT) 1,430 56,986
UnumProvident Corp.+ 2,600 54,028
Compass Bancshares, Inc. 880 52,492
First Marblehead Corp. 860 46,999
American Capital Strategies, Ltd.+ 1,010 46,723
Leucadia National Corp. 1,460 41,172
Macerich Co.+ 450 38,957
Anchor BanCorp Wisconsin, Inc. 1,250 36,025
BRE Properties, Inc. -- Class A+ 540 35,111
Fidelity National Financial, Inc. --
Class A 1,469 35,080
Commerce Bancorp, Inc. 983 34,670
Regency Centers Corp.+ 440 34,395
iStar Financial, Inc.+ 680 32,518
See Notes to Financial Statements.
154 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
FINANCIAL SERVICES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Health Care Property Investors, Inc.+ 810 $ 29,824
Brookline Bancorp, Inc.+ 1,840 24,233
Student Loan Corp. 116 24,047
A.G. Edwards, Inc. 370 23,417
First Horizon National Corp. 553 23,104
MGIC Investment Corp.+ 360 22,514
Allied Capital Corp.+ 500 16,340
American Financial Group, Inc. 430 15,441
Markel Corp.* 30 14,403
Eaton Vance Corp.+ 410 13,534
Forest City Enterprises, Inc. --
Class A+ 230 13,432
Ventas, Inc.+ 230 9,734
PMI Group, Inc.+ 130 6,132
Colonial BancGroup, Inc. 100 2,574
South Financial Group, Inc. 89 2,367
-------------
TOTAL COMMON STOCKS
(Cost $45,551,326) 50,031,738
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 268,475 268,475
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $268,475) 268,475
-------------
SECURITIES LENDING COLLATERAL 21.0%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 10,531,379 10,531,379
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,531,379) 10,531,379
-------------
TOTAL INVESTMENTS 121.2%
(Cost $56,351,180) $ 60,831,592
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (21.2)% $ (10,641,292)
=============
NET ASSETS - 100.0% $ 50,190,300
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 155
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
HEALTH CARE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Johnson & Johnson, Inc. 37,964 $ 2,506,383
Pfizer, Inc. 91,898 2,380,158
Merck & Co., Inc.+ 37,245 1,623,882
Amgen, Inc.*+ 20,748 1,417,296
Genentech, Inc.*+ 17,188 1,394,462
Medtronic, Inc.+ 23,084 1,235,225
Abbott Laboratories 23,927 1,165,484
UnitedHealth Group, Inc. 21,599 1,160,514
Eli Lilly & Co. 21,824 1,137,030
Wyeth 21,467 1,093,100
Bristol-Myers Squibb Co. 33,122 871,771
WellPoint, Inc.* 10,433 820,973
Gilead Sciences, Inc.* 11,165 724,943
Cardinal Health, Inc. 10,432 672,134
Schering-Plough Corp. 26,554 627,737
Baxter International, Inc. 11,754 545,268
Biogen Idec, Inc.*+ 10,692 525,939
Becton, Dickinson & Co. 7,420 520,513
Boston Scientific Corp.* 27,980 480,696
McKesson Corp. 9,431 478,152
Aetna, Inc. 10,324 445,790
Caremark Rx, Inc. 7,783 444,487
Thermo Fisher Scientific, Inc.* 9,774 442,664
Stryker Corp.+ 7,705 424,622
Celgene Corp.*+ 7,075 407,025
Zimmer Holdings, Inc.*+ 4,695 367,994
AmerisourceBergen Corp.+ 8,036 361,299
C.R. Bard, Inc. 4,309 357,518
St. Jude Medical, Inc.* 9,506 347,539
Allergan, Inc.+ 2,876 344,372
Applera Corp. - Applied
Biosystems Group+ 8,556 313,920
Forest Laboratories, Inc.*+ 5,892 298,135
Varian Medical Systems, Inc.* 6,131 291,652
Genzyme Corp.* 4,720 290,658
IMS Health, Inc. 10,265 282,082
CIGNA Corp. 2,137 281,165
Medco Health Solutions, Inc.* 5,228 279,384
Waters Corp.* 5,564 272,469
Patterson Cos., Inc.*+ 7,527 267,284
Vertex Pharmaceuticals, Inc.* 6,893 257,936
DENTSPLY International, Inc. 8,606 256,889
Omnicare, Inc.+ 6,632 256,194
Cephalon, Inc.*+ 3,638 256,152
Amylin Pharmaceuticals, Inc.*+ 6,866 247,657
Henry Schein, Inc.* 5,004 245,096
Millipore Corp.* 3,501 233,167
Pharmaceutical Product
Development, Inc.+ 7,235 233,112
Triad Hospitals, Inc.* 5,542 231,822
Covance, Inc.*+ 3,903 229,926
Hillenbrand Industries, Inc. 4,020 228,859
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Cerner Corp.*+ 4,998 $ 227,409
Dade Behring Holdings, Inc. 5,701 226,957
Intuitive Surgical, Inc.*+ 2,353 225,653
Endo Pharmaceuticals Holdings,
Inc.* 8,157 224,970
Manor Care, Inc.+ 4,659 218,600
Universal Health Services, Inc. --
Class B 3,821 211,798
Invitrogen Corp.* 3,736 211,420
Watson Pharmaceuticals, Inc.* 7,870 204,856
Hologic, Inc.*+ 4,299 203,257
Biomet, Inc. 4,791 197,725
Idexx Laboratories, Inc.* 2,476 196,347
PDL BioPharma, Inc.*+ 9,688 195,116
ImClone Systems, Inc.*+ 7,130 190,799
Medicis Pharmaceutical Corp. --
Class A+ 5,230 183,730
Mentor Corp.+ 3,692 180,428
Cooper Cos., Inc.+ 4,044 179,958
Advanced Medical Optics, Inc.*+ 5,107 179,766
Quest Diagnostics, Inc. 3,348 177,444
Express Scripts, Inc.*+ 2,463 176,351
Affymetrix, Inc.* 7,460 172,028
Health Management Associates,
Inc. -- Class A+ 8,146 171,962
Sunrise Senior Living, Inc.* 5,547 170,404
MGI Pharma, Inc.* 9,192 169,225
Laboratory Corporation of
America Holdings*+ 2,299 168,907
Valeant Pharmaceuticals
International+ 9,760 168,262
Varian, Inc.* 3,642 163,125
Haemonetics Corp.* 3,520 158,470
Regeneron Pharmaceuticals, Inc.*+ 7,810 156,747
Centene Corp.*+ 6,272 154,103
Dionex Corp.* 2,710 153,684
ArthroCare Corp.*+ 3,755 149,900
Humana, Inc.* 2,674 147,899
Viasys Healthcare, Inc.*+ 5,287 147,084
Genesis HealthCare Corp.* 3,077 145,327
Biosite, Inc.*+ 2,954 144,303
Brookdale Senior Living, Inc.+ 2,950 141,600
Martek Biosciences Corp.*+ 6,014 140,367
LCA-Vision, Inc.+ 4,063 139,605
Conmed Corp.*+ 5,960 137,795
Medimmune, Inc.*+ 4,244 137,378
Matria Healthcare, Inc.* 4,780 137,329
Vital Signs, Inc. 2,745 137,030
Cambrex Corp.+ 5,969 135,616
King Pharmaceuticals, Inc.* 8,477 134,954
SurModics, Inc.*+ 4,283 133,287
ICU Medical, Inc.*+ 3,257 132,495
Coventry Health Care, Inc.* 2,644 132,332
Cyberonics, Inc.*+ 6,396 132,013
See Notes to Financial Statements.
156 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
HEALTH CARE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Kendle International, Inc.* 4,182 $ 131,524
Emdeon Corp.* 10,479 129,835
Enzo Biochem, Inc.*+ 9,040 129,001
Odyssey HealthCare, Inc.* 9,703 128,662
WebMD Health Corp.*+ 3,099 124,022
Sepracor, Inc.*+ 1,927 118,665
RehabCare Group, Inc.* 7,980 118,503
Tenet Healthcare Corp.*+ 16,664 116,148
Mylan Laboratories, Inc.+ 4,728 94,371
DaVita, Inc.*+ 1,495 85,036
Health Net, Inc.* 1,744 84,863
Abraxis BioScience, Inc.* 2,971 81,227
Barr Pharmaceuticals, Inc.*+ 1,431 71,722
Perrigo Co.+ 4,124 71,345
Hospira, Inc.* 1,946 65,347
ResMed, Inc.*+ 852 41,935
Lincare Holdings, Inc.* 935 37,250
Pediatrix Medical Group, Inc.* 710 34,719
Millennium Pharmaceuticals, Inc.* 3,092 33,703
Beckman Coulter, Inc.+ 560 33,488
Meridian Bioscience, Inc.+ 1,354 33,214
Community Health Systems, Inc.* 654 23,884
Cytyc Corp.*+ 747 21,140
Arqule, Inc.* 2,918 17,275
Hooper Holmes, Inc.* 4,853 16,063
Kinetic Concepts, Inc.*+ 361 14,278
CryoLife, Inc.* 1,840 14,076
WellCare Health Plans, Inc.* 183 12,609
Charles River Laboratories
International, Inc.*+ 278 12,023
Bausch & Lomb, Inc. 208 10,828
PerkinElmer, Inc. 450 10,003
Theragenics Corp.* 2,971 9,210
Osteotech, Inc.* 1,593 9,000
Gen-Probe, Inc.* 120 6,284
Edwards Lifesciences Corp.*+ 130 6,115
Respironics, Inc.*+ 120 4,530
VCA Antech, Inc.* 120 3,863
-------------
TOTAL COMMON STOCKS
(Cost $34,375,648) 40,660,105
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.8%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 330,336 $ 330,336
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $330,336) 330,336
-------------
SECURITIES LENDING COLLATERAL 18.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 7,484,164 7,484,164
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,484,164) 7,484,164
-------------
TOTAL INVESTMENTS 118.7%
(Cost $42,190,148) $ 48,474,605
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (18.7)% $ (7,649,348)
=============
NET ASSETS - 100.0% $ 40,825,257
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 157
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
INTERNET FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.9%
Cisco Systems, Inc.*+ 34,859 $ 952,697
Google, Inc. -- Class A* 1,584 729,400
Time Warner, Inc.+ 31,627 688,836
Qualcomm, Inc. 14,434 545,461
eBay, Inc.* 15,132 455,019
Yahoo!, Inc.*+ 15,833 404,375
Research In Motion, Ltd.*+ 2,868 366,473
Sun Microsystems, Inc.*+ 57,023 309,065
Amazon.com, Inc.*+ 7,731 305,065
Symantec Corp.*+ 14,607 304,556
Broadcom Corp. -- Class A*+ 8,414 271,856
Qwest Communications
International, Inc.*+ 31,654 264,944
IAC/InterActiveCorp*+ 6,599 245,219
Juniper Networks, Inc.*+ 12,259 232,186
Intuit, Inc.* 7,026 214,363
E*Trade Financial Corp.* 9,052 202,946
Monster Worldwide, Inc.*+ 3,956 184,508
VeriSign, Inc.*+ 7,426 178,595
Check Point Software
Technologies Ltd.*+ 7,570 165,934
McAfee, Inc.* 5,474 155,352
Red Hat, Inc.*+ 6,442 148,166
F5 Networks, Inc.*+ 1,864 138,327
BEA Systems, Inc.* 10,878 136,845
Emdeon Corp.* 10,396 128,806
CheckFree Corp.*+ 3,133 125,821
Foundry Networks, Inc.* 7,127 106,763
Digital River, Inc.*+ 1,888 105,332
Ciena Corp.*+ 3,772 104,522
TIBCO Software, Inc.* 10,319 97,411
Priceline.com, Inc.*+ 2,231 97,294
Netflix, Inc.*+ 3,698 95,630
aQuantive, Inc.*+ 3,871 95,459
RealNetworks, Inc.*+ 8,326 91,086
Digital Insight Corp.*+ 2,299 88,489
WebEx Communications, Inc.*+ 2,386 83,248
Palm, Inc.*+ 5,716 80,538
j2 Global Communications, Inc.*+ 2,893 78,834
CNET Networks, Inc.*+ 8,474 77,029
Websense, Inc.* 3,168 72,325
United Online, Inc.+ 4,941 65,617
EarthLink, Inc.* 9,075 64,433
S1 Corp.* 8,406 46,317
webMethods, Inc.* 5,764 42,423
NetBank, Inc. 5,925 27,492
-------------
TOTAL COMMON STOCKS
(Cost $7,055,448) 9,375,057
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 57,957 $ 57,957
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $57,957) 57,957
-------------
SECURITIES LENDING COLLATERAL 39.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 3,692,757 3,692,757
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $3,692,757) 3,692,757
-------------
TOTAL INVESTMENTS 139.9%
(Cost $10,806,162) $ 13,125,771
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (39.9)% $ (3,745,216)
=============
NET ASSETS - 100.0% $ 9,380,555
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
158 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
LEISURE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Time Warner, Inc.+ 97,026 $ 2,113,226
Walt Disney Co.+ 54,036 1,851,814
McDonald's Corp. 36,796 1,631,167
News Corp. -- Class A+ 69,068 1,483,581
Las Vegas Sands Corp.*+ 14,877 1,331,194
Carnival Corp.+ 23,990 1,176,709
Viacom, Inc. -- Class B* 27,440 1,125,863
Starbucks Corp.*+ 30,966 1,096,816
Marriott International, Inc. --
Class A+ 21,130 1,008,324
MGM Mirage, Inc.* 17,504 1,003,854
Harrah's Entertainment, Inc. 11,019 911,492
Yum! Brands, Inc. 14,905 876,414
International Game Technology,
Inc.+ 18,686 863,293
Hilton Hotels Corp.+ 24,457 853,549
Starwood Hotels & Resorts
Worldwide, Inc. 12,861 803,812
Electronic Arts, Inc.* 15,313 771,163
Wynn Resorts Ltd.+ 8,029 753,522
Mattel, Inc. 28,784 652,245
Eastman Kodak Co.+ 23,525 606,945
Wyndham Worldwide Corp.* 17,490 560,030
Station Casinos, Inc. 6,690 546,372
Tim Hortons, Inc. 17,710 512,882
Darden Restaurants, Inc.+ 12,219 490,837
Activision, Inc.*+ 28,320 488,237
Hasbro, Inc. 17,523 477,502
Boyd Gaming Corp. 9,880 447,663
Brinker International, Inc. 14,080 424,653
Penn National Gaming, Inc.* 10,120 421,194
CTC Media, Inc.* 17,030 408,890
Burger King Holdings, Inc.* 18,860 397,946
OSI Restaurant Partners, Inc. 10,097 395,802
Brunswick Corp.+ 11,360 362,384
Warner Music Group Corp. 15,630 358,708
Choice Hotels International, Inc. 8,394 353,387
Scientific Games Corp. -- Class A*+ 11,170 337,669
Jack in the Box, Inc.* 5,415 330,532
THQ, Inc.*+ 9,784 318,176
Sonic Corp.* 12,810 306,799
Applebee's International, Inc.+ 12,260 302,454
Polaris Industries, Inc.+ 6,422 300,742
Pool Corp.+ 7,650 299,650
Aztar Corp.* 5,460 297,133
Wendy's International, Inc. 8,747 289,438
Pinnacle Entertainment, Inc.* 8,609 285,302
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
DreamWorks Animation SKG, Inc. --
Class A* 9,560 $ 281,924
Cheesecake Factory, Inc.*+ 11,240 276,504
CEC Entertainment, Inc.* 6,650 267,662
International Speedway Corp. --
Class A 5,190 264,898
Live Nation, Inc.*+ 11,800 264,320
Triarc Cos., Inc. -- Class B 13,200 264,000
Panera Bread Co. -- Class A*+ 4,720 263,895
Take-Two Interactive Software,
Inc.*+ 14,740 261,782
Regal Entertainment Group --
Class A 12,230 260,744
Ruby Tuesday, Inc. 9,470 259,857
CBRL Group, Inc. 5,750 257,370
Bob Evans Farms, Inc. 7,100 242,962
WMS Industries, Inc.*+ 6,770 236,002
Rare Hospitality International, Inc.*+ 6,950 228,864
RC2 Corp.* 5,190 228,360
Callaway Golf Co.+ 15,510 223,499
P.F. Chang's China Bistro, Inc.*+ 5,660 217,231
IHOP Corp.+ 4,100 216,070
Shuffle Master, Inc.*+ 7,490 196,238
Jakks Pacific, Inc.*+ 8,194 178,957
Papa John's International, Inc.*+ 6,074 176,207
K2, Inc.* 13,210 174,240
Landry's Restaurants, Inc.+ 5,640 169,708
Marcus Corp. 6,250 159,875
O'Charleys, Inc.* 7,285 155,025
Steak n Shake Co.* 8,507 149,723
MarineMax, Inc.*+ 5,550 143,912
Nautilus, Inc.+ 10,180 142,520
Red Robin Gourmet Burgers, Inc.*+ 3,940 141,249
Multimedia Games, Inc.*+ 11,460 110,016
Sturm Ruger & Co., Inc.* 11,270 108,192
4Kids Entertainment, Inc.* 5,864 106,842
Arctic Cat, Inc.+ 5,720 100,615
Bally Total Fitness Holding Corp.*+ 34,370 84,207
Napster, Inc.* 21,293 77,294
-------------
TOTAL COMMON STOCKS
(Cost $30,679,700) 37,520,129
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.5%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 203,962 203,962
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $203,962) 203,962
-------------
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 159
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
LEISURE FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
SECURITIES LENDING COLLATERAL 27.1%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) $ 10,208,573 $ 10,208,573
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,208,573) 10,208,573
-------------
TOTAL INVESTMENTS 127.1%
(Cost $41,092,235) $ 47,932,664
=============
LIABILITIES IN EXCESS OF OTHER ASSETS - (27.1)% $ (10,233,690)
=============
NET ASSETS - 100.0% $ 37,698,974
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
160 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
PRECIOUS METALS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.6%
Goldcorp, Inc. 321,236 $ 9,135,952
Newmont Mining Corp.+ 140,778 6,356,127
Freeport-McMoRan Copper &
Gold, Inc. -- Class B+ 92,658 5,163,830
Barrick Gold Corp.+ 125,043 3,838,820
Agnico-Eagle Mines Ltd.+ 88,393 3,645,327
AngloGold Ashanti Ltd. -- SP ADR 66,220 3,118,300
Yamana Gold, Inc.+ 181,131 2,387,307
Gold Fields Ltd. -- SP ADR+ 124,398 2,348,634
Pan American Silver Corp.*+ 83,033 2,089,941
Coeur d'Alene Mines Corp.*+ 412,163 2,040,207
Harmony Gold Mining Co. Ltd. --
SP ADR*+ 126,178 1,987,303
Meridian Gold, Inc.* 71,433 1,985,123
Bema Gold Corp.*+ 374,166 1,964,371
Silver Standard Resources, Inc.*+ 57,108 1,755,500
Kinross Gold Corp.*+ 134,543 1,598,371
Novagold Resources, Inc.*+ 86,642 1,486,777
Silver Wheaton Corp.*+ 140,064 1,467,871
Cia de Minas Buenaventura SA --
SP ADR 48,615 1,364,137
Royal Gold, Inc.+ 37,756 1,358,461
Stillwater Mining Co.* 104,407 1,304,043
Hecla Mining Co.*+ 168,722 1,292,410
Northgate Minerals Corp*+ 336,485 1,170,968
Randgold Resources Ltd. --
SP ADR* 44,937 1,054,222
Crystallex International Corp.* 280,442 1,015,200
Apex Silver Mines Ltd.*+ 54,864 871,789
Golden Star Resources Ltd.*+ 290,902 858,161
-------------
TOTAL COMMON STOCKS
(Cost $38,284,038) 62,659,152
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 354,314 $ 354,314
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $354,314) 354,314
-------------
SECURITIES LENDING COLLATERAL 39.3%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 24,714,825 24,714,825
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $24,714,825) 24,714,825
-------------
TOTAL INVESTMENTS 139.5%
(Cost $63,353,177) $ 87,728,291
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (39.5)% $ (24,818,252)
=============
NET ASSETS - 100.0% $ 62,910,039
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 161
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Simon Property Group, Inc.+ 21,186 $ 2,145,930
Equity Office Properties Trust+ 40,264 1,939,517
Vornado Realty Trust+ 15,451 1,877,297
Public Storage, Inc. 18,934 1,846,065
ProLogis+ 28,118 1,708,731
Equity Residential+ 32,548 1,651,811
Boston Properties, Inc.+ 14,315 1,601,562
General Growth Properties, Inc.+ 30,508 1,593,433
Host Hotels & Resorts, Inc.+ 64,694 1,588,238
Archstone-Smith Trust+ 26,912 1,566,548
KIMCO Realty Corp.+ 34,511 1,551,269
AvalonBay Communities, Inc.+ 10,625 1,381,781
Realogy Corp.* 45,100 1,367,432
CB Richard Ellis Group, Inc. --
Class A*+ 40,912 1,358,278
Plum Creek Timber Co., Inc. (REIT) 31,121 1,240,172
Developers Diversified Realty
Corp.+ 19,076 1,200,834
SL Green Realty Corp.+ 8,690 1,153,858
Macerich Co.+ 13,159 1,139,175
iStar Financial, Inc. 22,414 1,071,838
Regency Centers Corp.+ 13,577 1,061,314
Duke Realty Corp.+ 25,850 1,057,265
Health Care Property Investors,
Inc.+ 28,532 1,050,548
Health Care REIT, Inc.+ 23,704 1,019,746
Apartment Investment &
Management Co. -- Class A+ 18,171 1,017,939
AMB Property Corp. 17,212 1,008,795
Federal Realty Investment Trust+ 11,671 992,035
CapitalSource, Inc.+ 35,410 967,047
Ventas, Inc.+ 22,268 942,382
Forest City Enterprises, Inc. --
Class A+ 16,071 938,546
Liberty Property Trust+ 18,593 913,660
United Dominion Realty Trust,
Inc.+ 28,608 909,448
Weingarten Realty Investors 19,549 901,404
Reckson Associates Realty Corp. 18,918 862,661
Camden Property Trust 11,674 862,125
The St. Joe Co.+ 15,760 844,263
Global Signal, Inc. 15,967 840,982
BRE Properties, Inc. -- Class A+ 12,653 822,698
Jones Lang LaSalle, Inc.+ 8,880 818,470
Hospitality Properties Trust 16,975 806,822
Rayonier, Inc. 19,333 793,620
Essex Property Trust, Inc. 5,969 771,493
Alexandria Real Estate Equities,
Inc.+ 7,598 762,839
Mack-Cali Realty Corp.+ 14,846 757,146
Taubman Centers, Inc. 14,786 752,016
Brandywine Realty Trust+ 22,570 750,453
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Annaly Mortgage Management,
Inc. 52,867 $ 735,380
New Plan Excel Realty Trust+ 26,708 733,936
Realty Income Corp.+ 26,398 731,225
CBL & Associates Properties, Inc.+ 16,824 729,320
Thornburg Mortgage, Inc.+ 28,654 720,075
Nationwide Health Properties,
Inc.+ 23,455 708,810
HRPT Properties Trust+ 56,865 702,283
Kilroy Realty Corp. 8,925 696,150
Highwoods Properties, Inc.+ 16,503 672,662
Corporate Office Properties Trust
SBI+ 13,176 664,993
First Industrial Realty Trust, Inc.+ 13,694 642,112
Equity One, Inc.+ 23,767 633,628
Colonial Properties Trust 13,298 623,410
Home Properties, Inc.+ 10,311 611,133
Senior Housing Properties Trust+ 24,941 610,556
Potlatch Corp.+ 13,855 607,126
LaSalle Hotel Properties+ 13,077 599,580
Healthcare Realty Trust, Inc.+ 15,144 598,794
Post Properties, Inc.+ 12,941 591,404
Cousins Properties, Inc. 16,538 583,295
Crescent Real Estate EQT Co. 29,392 580,492
Entertainment Properties Trust+ 9,905 578,848
Washington Real Estate
Investment Trust+ 14,430 577,200
PS Business Parks, Inc. 8,071 570,700
BioMed Realty Trust, Inc.+ 19,880 568,568
Equity Lifestyle Properties, Inc.+ 9,763 531,400
Trustreet Properties, Inc. 31,488 530,573
FelCor Lodging Trust, Inc. 23,894 521,845
National Retail Properties, Inc.+ 22,269 511,074
New Century Financial Corp.+ 16,166 510,684
Sunstone Hotel Investors, Inc.+ 18,960 506,801
Mills Corp.+ 25,018 500,360
Inland Real Estate Corp. 26,646 498,813
Eastgroup Properties, Inc.+ 9,294 497,787
Digital Realty Trust, Inc. 14,541 497,738
Tanger Factory Outlet Centers, Inc. 12,679 495,495
Pennsylvania Real Estate
Investment Trust+ 12,577 495,282
Mid-America Apartment
Communities, Inc.+ 8,482 485,510
Lexington Corporate Properties
Trust+ 21,426 480,371
Saul Centers, Inc.+ 8,381 462,547
Sovran Self Storage, Inc.+ 7,778 445,524
National Health Investors, Inc. 13,414 442,662
Glimcher Realty Trust+ 16,563 442,398
Equity Inns, Inc.+ 25,191 402,048
Highland Hospitality Corp. 27,990 398,858
Parkway Properties, Inc.+ 7,510 383,085
Acadia Realty Trust 15,101 377,827
See Notes to Financial Statements.
162 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ramco-Gershenson Properties
Trust 9,738 $ 371,407
LTC Properties, Inc. 13,325 363,906
First Potomac Realty Trust+ 12,050 350,776
Innkeepers USA Trust+ 22,562 349,711
Sun Communities, Inc.+ 10,154 328,583
Kite Realty Group Trust 17,632 328,308
Cedar Shopping Centers, Inc. 19,819 315,320
Universal Health Realty Income
Trust 7,763 302,602
Winston Hotels, Inc. 20,846 276,210
Urstadt Biddle Properties, Inc. 13,783 263,117
CentraCore Properties Trust 7,990 258,317
American Land Lease, Inc. 7,739 205,161
Associated Estates Realty Corp. 14,257 195,891
Monmouth Real Estate Investment
Corp. -- Class A 21,852 184,649
-------------
TOTAL COMMON STOCKS
(Cost $63,642,325) 82,793,806
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.2%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 153,866 153,866
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $153,866) 153,866
-------------
SECURITIES LENDING COLLATERAL 31.6%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 26,298,248 26,298,248
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $26,298,248) 26,298,248
-------------
TOTAL INVESTMENTS 131.3%
(Cost $90,094,439) $ 109,245,920
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (31.3)% $ (26,065,185)
=============
NET ASSETS - 100.0% $ 83,180,735
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
REIT -- REAL ESTATE INVESTMENT TRUST.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 163
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
RETAILING FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.4%
Wal-Mart Stores, Inc. 35,526 $ 1,640,591
Home Depot, Inc. 29,119 1,169,419
Lowe's Cos., Inc.+ 28,466 886,716
Target Corp.+ 15,303 873,036
Walgreen Co.+ 18,380 843,458
Sears Holdings Corp.*+ 3,832 643,508
Costco Wholesale Corp.+ 11,818 624,818
CVS Corp.+ 19,658 607,629
Kohl's Corp.*+ 8,734 597,668
Best Buy Co., Inc.+ 11,580 569,620
Staples, Inc. 21,034 561,608
Amazon.com, Inc.*+ 13,892 548,178
J.C. Penney Co., Inc.+ 7,034 544,150
Federated Department Stores, Inc. 13,786 525,660
The Gap, Inc.+ 25,735 501,833
Liberty Media Corp - Interactive* 22,330 481,658
Nordstrom, Inc.+ 9,600 473,664
IAC/InterActiveCorp*+ 12,014 446,440
TJX Cos., Inc.+ 15,545 443,343
Limited Brands, Inc. 14,999 434,071
Bed Bath & Beyond, Inc.*+ 10,585 403,289
Office Depot, Inc.* 10,325 394,105
Sherwin-Williams Co.+ 6,090 387,202
AutoZone, Inc.*+ 3,235 373,837
Genuine Parts Co. 7,660 363,314
Expedia, Inc.* 17,235 361,590
CarMax, Inc.* 6,250 335,188
American Eagle Outfitters, Inc.+ 10,664 332,823
Tiffany & Co.+ 7,810 306,464
Abercrombie & Fitch Co. --
Class A+ 4,396 306,094
Dollar General Corp.+ 18,310 294,059
Urban Outfitters, Inc.*+ 11,854 272,998
Ross Stores, Inc. 9,018 264,227
AutoNation, Inc.*+ 12,228 260,701
Family Dollar Stores, Inc. 8,850 259,571
OfficeMax, Inc. 5,160 256,194
Petsmart, Inc. 8,786 253,564
Advance Auto Parts, Inc. 6,995 248,742
Rite Aid Corp.*+ 42,484 231,113
O'Reilly Automotive, Inc.*+ 7,158 229,485
Claire's Stores, Inc.+ 6,901 228,699
Chico's FAS, Inc.*+ 11,042 228,459
Williams-Sonoma, Inc.+ 7,211 226,714
Dollar Tree Stores, Inc.*+ 7,111 214,041
GameStop Corp. -- Class A*+ 3,870 213,276
Foot Locker, Inc. 9,680 212,282
Big Lots, Inc.*+ 9,150 209,718
Dillard's, Inc. -- Class A+ 5,940 207,722
Payless Shoesource, Inc.* 6,180 202,828
Barnes & Noble, Inc. 5,051 200,575
Saks, Inc.+ 11,030 196,555
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Circuit City Stores, Inc.+ 10,085 $ 191,413
Nutri/System, Inc.*+ 2,946 186,747
United Auto Group, Inc. 7,820 184,317
BJ's Wholesale Club, Inc.* 5,810 180,749
Men's Wearhouse, Inc.+ 4,680 179,057
Rent-A-Center, Inc.* 5,952 175,644
RadioShack Corp.+ 10,400 174,512
Dick's Sporting Goods, Inc.*+ 3,560 174,404
Coldwater Creek, Inc.*+ 6,974 171,002
Children's Place Retail Stores,
Inc.*+ 2,642 167,820
AnnTaylor Stores Corp.* 5,042 165,579
Aeropostale, Inc.* 5,271 162,716
Pacific Sunwear of California, Inc.* 8,131 159,205
Tractor Supply Co.*+ 3,464 154,875
Borders Group, Inc.+ 6,886 153,902
Aaron Rents, Inc.+ 5,330 153,397
Charming Shoppes, Inc.* 11,150 150,860
Longs Drug Stores Corp. 3,522 149,262
Dress Barn, Inc.*+ 6,376 148,752
Zale Corp.* 5,200 146,692
Tween Brands, Inc.* 3,570 142,550
Guitar Center, Inc.*+ 3,066 139,380
Group 1 Automotive, Inc. 2,680 138,610
Hibbett Sporting Goods, Inc.* 4,260 130,058
Gymboree Corp.* 3,350 127,836
Sonic Automotive, Inc.+ 4,337 125,946
Jo-Ann Stores, Inc.*+ 4,823 118,646
PEP Boys-Manny Moe & Jack 7,946 118,078
99 Cents Only Stores*+ 9,620 117,075
Genesco, Inc.* 3,070 114,511
Stage Stores, Inc. 3,600 109,404
Tuesday Morning Corp. 6,786 105,522
Select Comfort Corp.*+ 5,942 103,331
Cato Corp. -- Class A+ 4,461 102,202
Building Material Holding Corp. 4,066 100,390
Finish Line, Inc. -- Class A 6,974 99,589
HOT Topic, Inc.* 7,462 99,543
Jos. A. Bank Clothiers, Inc.*+ 3,008 88,285
Stein Mart, Inc. 6,374 84,519
Fred's, Inc. 6,769 81,499
Keystone Automotive Industries,
Inc.*+ 2,360 80,216
Christopher & Banks Corp. 4,270 79,678
Pier 1 Imports, Inc.+ 13,066 77,743
PetMed Express, Inc.* 5,818 77,670
Midas, Inc.* 3,350 77,050
Stamps.com, Inc.* 4,356 68,607
Audiovox Corp. -- Class A* 4,804 67,688
Haverty Furniture Cos., Inc. 4,258 63,018
Cost Plus, Inc.*+ 5,026 51,768
Hancock Fabrics, Inc.*+ 10,179 35,016
-------------
TOTAL COMMON STOCKS
(Cost $22,557,225) 28,148,830
-------------
See Notes to Financial Statements.
164 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
RETAILING FUND
- --------------------------------------------------------------------------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.7%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 187,593 $ 187,593
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $187,593) 187,593
-------------
SECURITIES LENDING COLLATERAL 25.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 7,275,886 7,275,886
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,275,886) 7,275,886
-------------
TOTAL INVESTMENTS 125.8%
(Cost $30,020,704) $ 35,612,309
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (25.8)% $ (7,305,939)
=============
NET ASSETS - 100.0% $ 28,306,370
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 165
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Microsoft Corp. 21,788 $ 650,590
Cisco Systems, Inc.* 18,115 495,083
Google, Inc. -- Class A* 1,075 495,016
International Business Machines
Corp. 4,973 483,127
Intel Corp.* 23,365 473,141
Apple Computer, Inc.*+ 5,015 425,473
Oracle Corp.* 24,411 418,405
Hewlett-Packard Co. 9,346 384,962
Dell, Inc.*+ 14,592 366,113
Qualcomm, Inc. 9,605 362,973
eBay, Inc.* 10,630 319,644
Motorola, Inc.+ 15,015 308,708
Texas Instruments, Inc. 10,326 297,389
Yahoo!, Inc.*+ 11,391 290,926
Corning, Inc.* 12,918 241,696
Electronic Arts, Inc.* 4,176 210,303
First Data Corp.+ 7,797 198,979
Cognizant Technology Solutions
Corp. -- Class A* 2,526 194,906
KLA-Tencor Corp.+ 3,896 193,826
Paychex, Inc.+ 4,776 188,843
Computer Sciences Corp.* 3,501 186,848
Intuit, Inc.* 6,120 186,721
Broadcom Corp. -- Class A* 5,717 184,716
MEMC Electronic Materials, Inc.* 4,667 182,666
Linear Technology Corp. 5,917 179,403
Sun Microsystems, Inc.*+ 33,098 179,391
Xilinx, Inc.+ 7,502 178,623
NCR Corp.* 4,127 176,471
Fidelity National Information
Services, Inc. 4,393 176,115
Juniper Networks, Inc.*+ 9,145 173,206
EMC Corp.* 13,047 172,220
National Semiconductor Corp.+ 7,385 167,639
Microchip Technology, Inc.+ 5,101 166,803
VeriSign, Inc.*+ 6,895 165,825
Applied Materials, Inc.+ 8,975 165,589
SanDisk Corp.*+ 3,846 165,493
Xerox Corp.* 9,489 160,839
Automatic Data Processing, Inc.+ 3,218 158,486
MasterCard, Inc.+ 1,590 156,599
Akamai Technologies, Inc.*+ 2,940 156,173
Amphenol Corp. -- Class A+ 2,475 153,648
Cadence Design Systems, Inc.*+ 8,529 152,754
Adobe Systems, Inc.* 3,658 150,417
Affiliated Computer Services, Inc. --
Class A* 3,078 150,330
Western Digital Corp.* 7,317 149,706
Iron Mountain, Inc.* 3,603 148,948
Jabil Circuit, Inc. 5,919 145,311
Salesforce.com, Inc.*+ 3,870 141,061
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Micron Technology, Inc.*+ 10,025 $ 139,949
Citrix Systems, Inc.*+ 5,057 136,792
McAfee, Inc.* 4,721 133,982
BEA Systems, Inc.* 10,606 133,423
Intersil Corp. -- Class A 5,444 130,220
International Rectifier Corp.*+ 3,363 129,576
Integrated Device Technology,
Inc.* 8,297 128,438
MoneyGram International, Inc.+ 4,066 127,510
Symantec Corp.*+ 6,020 125,517
Tektronix, Inc. 4,195 122,368
Cypress Semiconductor Corp.*+ 7,207 121,582
Molex, Inc.+ 3,828 121,080
THQ, Inc.*+ 3,711 120,682
Zebra Technologies Corp. --
Class A*+ 3,463 120,478
National Instruments Corp.+ 4,365 118,903
AVX Corp.+ 7,985 118,098
Tech Data Corp.* 3,101 117,435
Alliance Data Systems Corp.*+ 1,879 117,381
Hyperion Solutions Corp.* 3,263 117,272
Parametric Technology Corp.*+ 6,488 116,914
Anixter International, Inc.*+ 2,140 116,202
Activision, Inc.*+ 6,642 114,508
Novell, Inc.* 18,170 112,654
CACI International, Inc. -- Class A* 1,990 112,435
Nvidia Corp.*+ 3,018 111,696
Maxim Integrated Products, Inc. 3,646 111,641
Ansys, Inc.*+ 2,540 110,465
Avid Technology, Inc.*+ 2,920 108,799
Cymer, Inc.*+ 2,470 108,556
Benchmark Electronics, Inc.*+ 4,400 107,184
WebEx Communications, Inc.*+ 3,060 106,763
MPS Group, Inc.*+ 7,399 104,918
Electronic Data Systems Corp.+ 3,801 104,718
CSG Systems International, Inc.* 3,887 103,900
Komag, Inc.* 2,740 103,791
Network Appliance, Inc.* 2,607 102,403
ATMI, Inc.* 3,340 101,970
Websense, Inc.* 4,462 101,867
Agilent Technologies, Inc.*+ 2,894 100,856
Lam Research Corp.*+ 1,986 100,531
SRA International, Inc. -- Class A*+ 3,720 99,473
Advent Software, Inc.*+ 2,800 98,812
Alcatel-Lucent SA -- SP ADR+ 6,919 98,388
Rogers Corp.* 1,650 97,598
Coherent, Inc.* 3,070 96,920
Microsemi Corp.* 4,930 96,875
Bankrate, Inc.*+ 2,540 96,393
Quality Systems, Inc. 2,580 96,157
Insight Enterprises, Inc.* 5,040 95,105
Technitrol, Inc. 3,940 94,127
Scansource, Inc.*+ 3,080 93,632
Black Box Corp. 2,180 91,538
See Notes to Financial Statements.
166 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Rambus, Inc.*+ 4,830 $ 91,432
Open Solutions, Inc.* 2,420 91,089
Advanced Micro Devices, Inc.*+ 4,446 90,476
PMC - Sierra, Inc.*+ 13,410 89,981
Standard Microsystems Corp.* 3,190 89,256
Analog Devices, Inc.+ 2,669 87,730
Supertex, Inc.*+ 2,230 87,528
DST Systems, Inc.*+ 1,382 86,555
Veeco Instruments, Inc.*+ 4,610 86,345
Exar Corp.* 6,610 85,930
Mettler Toledo International, Inc.* 1,089 85,868
Park Electrochemical Corp. 3,341 85,697
JDS Uniphase Corp.*+ 5,133 85,516
Electro Scientific Industries, Inc.*+ 4,246 85,514
CA, Inc.+ 3,748 84,892
Kulicke & Soffa Industries, Inc.* 10,046 84,386
Gartner, Inc. -- Class A*+ 4,254 84,187
Axcelis Technologies, Inc.*+ 14,298 83,357
Pericom Semiconductor Corp.* 7,260 83,272
Symbol Technologies, Inc. 5,410 80,825
Fair Isaac Corp. 1,985 80,690
Radisys Corp.* 4,792 79,883
Gerber Scientific, Inc.* 6,268 78,726
Ingram Micro, Inc. -- Class A* 3,839 78,354
Wind River Systems, Inc.* 7,580 77,695
PC-Tel, Inc.* 8,221 76,866
Unisys Corp.* 9,719 76,197
Autodesk, Inc.* 1,876 75,903
Compuware Corp.* 8,979 74,795
Micrel, Inc.* 6,830 73,627
Fiserv, Inc.* 1,396 73,178
Verigy Ltd.* 3,860 68,515
j2 Global Communications, Inc.*+ 2,510 68,398
Lexmark International, Inc.* 919 67,271
Solectron Corp.* 20,771 66,883
Bel Fuse, Inc. -- Class B+ 1,905 66,275
CommScope, Inc.*+ 2,134 65,044
Palm, Inc.*+ 4,610 64,955
Diodes, Inc.*+ 1,780 63,154
SYKES Enterprises, Inc.*+ 3,490 61,564
BMC Software, Inc.* 1,855 59,731
Arrow Electronics, Inc.*+ 1,881 59,346
Jack Henry & Associates, Inc.+ 2,629 56,261
Blue Coat Systems, Inc.* 2,340 56,043
Altera Corp.* 2,836 55,812
Avaya, Inc.*+ 3,953 55,263
Daktronics, Inc. 1,490 54,907
Sanmina-SCI Corp.* 14,919 51,471
3Com Corp.* 11,802 48,506
CDW Corp.+ 673 47,325
Spansion, Inc.* 3,150 46,809
Harris Corp. 982 45,035
RF Micro Devices, Inc.*+ 6,560 44,542
VeriFone Holdings, Inc.*+ 1,251 44,285
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Total System Services, Inc.+ 1,634 $ 43,121
Utstarcom, Inc.*+ 4,806 42,053
Tellabs, Inc.* 4,031 41,358
Sabre Holdings Corp. 1,270 40,500
Semtech Corp.* 3,077 40,216
Avocent Corp.*+ 1,180 39,943
United Online, Inc. 2,990 39,707
McData Corp. -- Class A*+ 6,894 38,262
Ditech Networks, Inc.* 5,450 37,714
Agere Systems, Inc.* 1,964 37,650
CheckFree Corp.*+ 910 36,546
Epicor Software Corp.*+ 2,674 36,126
Take-Two Interactive Software,
Inc.* 1,990 35,342
Novellus Systems, Inc.*+ 1,024 35,246
Harmonic, Inc.* 4,830 35,114
Methode Electronics, Inc. --
Class A 3,200 34,656
Synopsys, Inc.* 1,296 34,642
Transaction Systems Architects,
Inc. -- Class A* 1,060 34,524
Lattice Semiconductor Corp.* 5,309 34,402
Hutchinson Technology, Inc.* 1,450 34,177
Diebold, Inc.+ 724 33,738
Avnet, Inc.*+ 1,305 33,317
Convergys Corp.* 1,393 33,126
Plexus Corp.*+ 1,380 32,954
Powerwave Technologies, Inc.*+ 4,949 31,921
Ceridian Corp.* 1,126 31,505
KEMET Corp.* 4,293 31,339
LSI Logic Corp.*+ 3,466 31,194
Adaptec, Inc.*+ 6,661 31,040
Keane, Inc.*+ 2,574 30,656
Brightpoint, Inc.* 2,254 30,316
Red Hat, Inc.* 1,314 30,222
Brooks Automation, Inc.*+ 2,097 30,197
Triquint Semiconductor, Inc.* 6,657 29,957
F5 Networks, Inc.*+ 400 29,684
NAVTEQ Corp.* 833 29,130
Newport Corp.* 1,310 27,445
Ciber, Inc.* 4,040 27,391
X-Rite, Inc. 2,210 27,183
Comverse Technology, Inc.* 1,223 25,818
Secure Computing Corp.*+ 3,855 25,289
QLogic Corp.* 1,148 25,164
Digi International, Inc.* 1,800 24,822
Plantronics, Inc. 1,130 23,956
Global Payments, Inc. 506 23,428
MapInfo Corp.* 1,787 23,320
Radiant Systems, Inc.* 2,110 22,028
Kopin Corp.* 5,867 20,945
Carreker Corp.* 2,637 20,147
Network Equipment Technologies,
Inc.* 3,276 19,066
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 167
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
TECHNOLOGY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Polycom, Inc.*+ 563 $ 17,402
Teradyne, Inc.*+ 1,136 16,995
Napster, Inc.* 4,217 15,308
Planar Systems, Inc.* 1,540 14,892
Factset Research Systems, Inc. 258 14,572
Phoenix Technologies, Ltd.* 3,150 14,175
MIVA, Inc.* 4,063 13,774
Varian Semiconductor Equipment
Associates, Inc.* 302 13,747
Trimble Navigation Ltd.* 270 13,697
Macrovision Corp.* 480 13,565
Atmel Corp.* 2,154 13,032
Silicon Laboratories, Inc.*+ 260 9,009
Flir Systems, Inc.* 230 7,321
Ciena Corp.*+ 190 5,265
Acxiom Corp. 147 3,771
BISYS Group, Inc.* 281 3,628
Sybase, Inc.* 120 2,964
DSP Group, Inc.* 129 2,799
Vishay Intertechnology, Inc.* 193 2,613
-------------
TOTAL COMMON STOCKS
(Cost $20,179,198) 23,109,850
-------------
FACE
AMOUNT
-----------
REPURCHASE AGREEMENTS 0.7%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 151,603 151,603
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $151,603) 151,603
-------------
SECURITIES LENDING COLLATERAL 19.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 4,537,454 4,537,454
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,537,454) 4,537,454
-------------
TOTAL INVESTMENTS 119.7%
(Cost $24,868,255) $ 27,798,907
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (19.7)% $ (4,583,634)
=============
NET ASSETS - 100.0% $ 23,215,273
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
168 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.7%
Cisco Systems, Inc.* 89,402 $ 2,443,357
Vodafone Group, Inc.+ 83,377 2,316,213
AT&T, Inc.+ 59,999 2,144,964
Verizon Communications, Inc.+ 48,541 1,807,667
BellSouth Corp. 35,805 1,686,774
Nokia OYJ+ 79,214 1,609,628
Alcatel-Lucent SA -- SP ADR+ 106,428 1,513,406
Qualcomm, Inc. 37,036 1,399,590
Sprint Nextel Corp. 71,060 1,342,323
Motorola, Inc.+ 54,380 1,118,053
Alltel Corp. 14,531 878,835
Corning, Inc.* 43,910 821,556
American Tower Corp. -- Class A*+ 18,742 698,702
Qwest Communications
International, Inc.*+ 81,194 679,594
Juniper Networks, Inc.*+ 31,430 595,284
NII Holdings, Inc. -- Class B*+ 8,660 558,050
Embarq Corp. 9,642 506,784
Avaya, Inc.*+ 34,722 485,414
Windstream Corp.+ 32,921 468,137
Level 3 Communications, Inc.*+ 81,030 453,768
Harris Corp. 9,536 437,321
Crown Castle International Corp.*+ 13,134 424,228
CenturyTel, Inc.+ 9,413 410,972
Citizens Communications Co.+ 26,278 377,615
Leap Wireless International, Inc. --
Class B* 6,170 366,930
U.S. Cellular Corp.*+ 5,208 362,425
Tellabs, Inc.* 35,113 360,259
Comverse Technology, Inc.*+ 16,865 356,020
F5 Networks, Inc.*+ 4,752 352,646
Telephone & Data Systems, Inc.+ 6,070 329,783
Polycom, Inc.*+ 10,418 322,020
JDS Uniphase Corp.*+ 19,063 317,590
SBA Communications Corp.*+ 11,340 311,850
NeuStar, Inc.* 8,910 289,040
Ciena Corp.*+ 9,673 268,039
Andrew Corp.*+ 22,820 233,449
Avocent Corp.*+ 6,647 225,001
CommScope, Inc.*+ 7,365 224,485
ADC Telecommunications, Inc.* 15,353 223,079
ADTRAN, Inc.+ 9,594 217,784
3Com Corp.* 51,930 213,432
Plantronics, Inc.+ 9,039 191,627
Netgear, Inc.*+ 6,994 183,592
Cincinnati Bell, Inc.* 39,316 179,674
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
Utstarcom, Inc.*+ 20,274 $ 177,397
General Communication, Inc. --
Class A* 11,064 174,037
ViaSat, Inc.* 5,832 173,852
Comtech Telecommunications
Corp.*+ 4,524 172,229
Commonwealth Telephone
Enterprises, Inc. 3,912 163,756
Dycom Industries, Inc.*+ 7,550 159,456
Black Box Corp. 3,686 154,775
C-COR, Inc.* 13,000 144,820
Powerwave Technologies, Inc.*+ 21,122 136,237
Inter-Tel, Inc. 6,105 135,287
Harmonic, Inc.* 17,497 127,203
Blue Coat Systems, Inc.* 4,920 117,834
Symmetricom, Inc.* 13,146 117,262
Digi International, Inc.* 7,450 102,736
Bel Fuse, Inc. -- Class B+ 2,915 101,413
Network Equipment Technologies,
Inc.* 13,560 78,919
Ditech Networks, Inc.* 11,296 78,168
PC-Tel, Inc.* 7,983 74,641
Tollgrade Communications, Inc.* 6,801 71,887
Idearc, Inc.* 2,337 66,955
-------------
TOTAL COMMON STOCKS
(Cost $26,090,184) 33,235,824
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.4%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 140,246 140,246
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $140,246) 140,246
-------------
SECURITIES LENDING COLLATERAL 31.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 10,569,991 10,569,991
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,569,991) 10,569,991
-------------
TOTAL INVESTMENTS 131.8%
(Cost $36,800,421) $ 43,946,061
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (31.8)% $ (10,608,827)
=============
NET ASSETS - 100.0% $ 33,337,234
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
ADR -- AMERICAN DEPOSITORY RECEIPT.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 169
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
TRANSPORTATION FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.5%
United Parcel Service, Inc. --
Class B+ 34,609 $ 2,594,983
FedEx Corp.+ 19,168 2,082,028
Burlington Northern Santa Fe
Corp.+ 25,337 1,870,124
Union Pacific Corp. 19,973 1,837,915
Norfolk Southern Corp. 34,982 1,759,245
CSX Corp. 41,950 1,444,339
Southwest Airlines Co.+ 78,402 1,201,119
AMR Corp.*+ 34,627 1,046,774
Expeditors International
Washington, Inc. 24,968 1,011,204
UAL Corp.*+ 22,611 994,884
CH Robinson Worldwide, Inc.+ 22,255 910,007
US Airways Group, Inc.* 16,090 866,447
Continental Airlines, Inc. --
Class B*+ 20,285 836,756
JetBlue Airways Corp.*+ 49,738 706,280
Ryder System, Inc.+ 12,497 638,097
J.B. Hunt Transport Services, Inc.+ 30,400 631,408
Laidlaw International, Inc. 19,785 602,058
Kansas City Southern*+ 18,996 550,504
YRC Worldwide, Inc.*+ 14,222 536,596
Swift Transportation Co., Inc.* 20,279 532,729
Con-way, Inc. 11,803 519,804
Kirby Corp.* 14,842 506,557
Landstar System, Inc.+ 13,262 506,343
Alexander & Baldwin, Inc.+ 11,248 498,736
SkyWest, Inc.+ 18,422 469,945
Alaska Air Group, Inc.*+ 11,692 461,834
Knight Transportation, Inc.+ 25,694 438,083
Heartland Express, Inc. 28,596 429,512
HUB Group, Inc. -- Class A*+ 15,320 422,066
AirTran Holdings, Inc.*+ 34,549 405,605
Werner Enterprises, Inc. 23,200 405,536
EGL, Inc.*+ 12,053 358,938
Forward Air Corp.+ 11,089 320,805
Arkansas Best Corp.+ 8,730 314,280
Old Dominion Freight Line, Inc.* 12,720 306,170
Mesa Air Group, Inc.* 24,680 211,508
Frontier Airlines Holdings, Inc.*+ 24,040 177,896
-------------
TOTAL COMMON STOCKS
(Cost $21,197,177) 29,407,115
-------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 0.6%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 170,014 $ 170,014
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $170,014) 170,014
-------------
SECURITIES LENDING COLLATERAL 29.9%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 8,845,111 8,845,111
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $8,845,111) 8,845,111
-------------
TOTAL INVESTMENTS 130.0%
(Cost $30,212,302) $ 38,422,240
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (30.0)% $ (8,873,023)
=============
NET ASSETS - 100.0% $ 29,549,217
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
170 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
UTILITIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 99.5%
Duke Energy Corp. 72,631 $ 2,412,076
Exelon Corp. 37,494 2,320,504
Dominion Resources, Inc. 24,229 2,031,359
Southern Co.+ 52,238 1,925,493
FPL Group, Inc.+ 33,734 1,835,804
Entergy Corp. 18,344 1,693,518
TXU Corp. 30,608 1,659,260
FirstEnergy Corp.+ 27,381 1,651,074
American Electric Power Co., Inc.+ 37,096 1,579,548
PG&E Corp.+ 32,543 1,540,260
Public Service Enterprise Group, Inc. 22,831 1,515,522
Sempra Energy 25,703 1,440,396
Edison International+ 31,512 1,433,166
AES Corp.* 64,120 1,413,205
PPL Corp. 38,312 1,373,102
Constellation Energy Group, Inc. 19,657 1,353,778
Progress Energy, Inc.+ 26,664 1,308,669
Consolidated Edison, Inc.+ 26,514 1,274,528
Ameren Corp.+ 22,285 1,197,373
Mirant Corp.* 37,290 1,177,245
Xcel Energy, Inc.+ 49,933 1,151,455
DTE Energy Co.+ 23,300 1,127,953
NRG Energy, Inc.*+ 19,505 1,092,475
Allegheny Energy, Inc.* 22,780 1,045,830
Questar Corp. 11,579 961,636
NiSource, Inc.+ 39,863 960,698
KeySpan Corp. 23,229 956,570
Wisconsin Energy Corp. 18,650 885,129
CenterPoint Energy, Inc.+ 52,597 872,058
Equitable Resources, Inc.+ 20,884 871,907
Oneok, Inc. 19,842 855,587
Pinnacle West Capital Corp.+ 16,780 850,578
Pepco Holdings, Inc. 31,636 822,852
MDU Resources Group, Inc.+ 32,028 821,198
Northeast Utilities 28,960 815,514
Reliant Energy, Inc.*+ 56,325 800,378
SCANA Corp. 19,070 774,623
Alliant Energy Corp.+ 20,490 773,907
Sierra Pacific Resources* 44,215 744,139
CMS Energy Corp.* 44,130 736,971
OGE Energy Corp.+ 17,962 718,480
TECO Energy, Inc. 41,187 709,652
Energy East Corp.+ 28,127 697,550
Energen Corp. 14,850 697,059
Dynegy, Inc. -- Class A* 96,009 695,105
NSTAR 20,178 693,316
National Fuel Gas Co.+ 17,020 655,951
Southern Union Co.+ 23,227 649,195
Puget Energy, Inc. 25,480 646,173
AGL Resources, Inc. 16,541 643,610
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
DPL, Inc.+ 23,141 $ 642,857
UGI Corp. 23,424 639,007
Aqua America, Inc.+ 27,630 629,411
Atmos Energy Corp.+ 19,064 608,332
Great Plains Energy, Inc.+ 18,132 576,598
WPS Resources Corp. 10,545 569,746
Westar Energy, Inc.+ 21,738 564,319
PNM Resources, Inc.+ 17,988 559,427
Vectren Corp.+ 19,086 539,752
Nicor, Inc.+ 11,509 538,621
Hawaiian Electric Industries, Inc.+ 19,566 531,217
Piedmont Natural Gas Co.+ 19,530 522,428
Aquila, Inc.* 104,693 492,057
Peoples Energy Corp.+ 11,010 490,716
Southwest Gas Corp.+ 12,520 480,392
Duquesne Light Holdings, Inc. 23,890 474,217
IDACORP, Inc.+ 12,013 464,302
WGL Holdings, Inc.+ 14,130 460,355
Allete, Inc.+ 9,430 438,872
Unisource Energy Corp.+ 11,642 425,282
Cleco Corp. 16,805 423,990
New Jersey Resources Corp. 8,520 413,902
Black Hills Corp.+ 11,190 413,359
Avista Corp. 16,227 410,705
El Paso Electric Co.* 16,657 405,931
Northwest Natural Gas Co. 9,470 401,907
UIL Holding Corp. 9,180 387,304
South Jersey Industries, Inc. 11,190 373,858
CH Energy Group, Inc. 6,230 328,944
Laclede Group, Inc. 9,232 323,397
-------------
TOTAL COMMON STOCKS
(Cost $58,803,876) 71,394,634
-------------
FACE
AMOUNT
-------------
REPURCHASE AGREEMENTS 0.2%
Repurchase Agreement (Note 5)
4.60% due 01/02/07 $ 172,668 172,668
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $172,668) 172,668
-------------
SECURITIES LENDING COLLATERAL 23.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8) 16,824,478 16,824,478
-------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $16,824,478) 16,824,478
-------------
TOTAL INVESTMENTS 123.2%
(Cost $75,801,022) $ 88,391,780
=============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (23.2)% $ (16,673,134)
=============
NET ASSETS - 100.0% $ 71,718,646
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE
NOTE 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 171
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
INVERSE INVERSE
NOVA S&P 500 OTC OTC
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $149,668,657 $ 16,384,560 $ 90,337,422 $ 19,837,789
Segregated Cash with Broker 4,323,601 870,043 6,536,369 670,475
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- 25,710 -- 96,598
Receivable for Futures Contracts Settlement (Note 1) -- 23,468 -- --
Receivable for Securities Sold (Note 1) -- -- -- --
Receivable for Fund Shares Sold 426,331 1,838,283 12,824 4,985,110
Investment Income Receivable (Note 1) 172,395 7,561 41,743 7,774
- ----------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 154,590,984 19,149,625 96,928,358 25,597,746
======================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) 197,544 10,653 88,483 --
Payable for Futures Contracts Settlement (Note 1) 240,053 -- -- 50
Payable upon Return of Securities Loaned (Note 8) 18,387,759 -- 21,014,171 --
Payable for Securities Purchased (Note 1) -- -- -- --
Payable for Fund Shares Redeemed 1,063,027 61,000 2,791,930 1,614,652
Investment Advisory Fees Payable (Note 3) 80,842 13,916 51,836 17,887
Transfer Agent and Administrative Fees Payable (Note 3) 26,947 3,866 17,279 4,969
Distribution and Service Fees Payable (Note 3) 26,947 3,866 17,279 4,969
Portfolio Accounting Fees Payable (Note 3) 10,779 1,546 6,911 1,987
Custody Fees Payable 2,803 402 2,035 688
Other Liabilities 77,603 29,084 67,347 23,921
- ----------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 20,114,304 124,333 24,057,271 1,669,123
======================================================================================================================
NET ASSETS $134,476,680 $ 19,025,292 $ 72,871,087 $ 23,928,623
======================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $212,247,981 $ 50,049,002 $ 439,951,171 $ 35,775,354
Undistributed Net Investment Income 304,133 114,443 -- 159,000
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts (87,990,636) (31,153,264) (391,155,212) (12,389,323)
Net Unrealized Appreciation (Depreciation) on
Investments, Equity Index Swaps, and Futures Contracts 9,915,202 15,111 24,075,128 383,592
======================================================================================================================
NET ASSETS $134,476,680 $ 19,025,292 $ 72,871,087 $ 23,928,623
======================================================================================================================
SHARES OUTSTANDING 13,330,100 4,337,265 4,735,087 1,209,272
NET ASSET VALUES $ 10.09 $ 4.39 $ 15.39 $ 19.79
* THE COST OF SECURITIES AT VALUE IS $139,505,430, $16,385,388, $66,223,742,
$19,838,242, $36,710,887, $32,309,541, $43,115,263, $4,281,347,
$5,106,561, $84,651,313, $9,504,828 AND $48,399,536, RESPECTIVELY.
See Notes to Financial Statements.
172 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC DYNAMIC MID-CAP INVERSE
S&P 500 OTC ADVANTAGE MID-CAP
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 41,346,209 $ 37,983,188 $ 45,281,988 $ 4,281,347
Segregated Cash with Broker 1,823,715 26,000 780,300 91,800
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- 122,421 190,983 23,798
Receivable for Futures Contracts Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) 3,807 -- -- --
Receivable for Fund Shares Sold 24,345 919,298 3,994 1,618,277
Investment Income Receivable (Note 1) 40,396 22,648 23,899 1,466
- ----------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 43,238,472 39,073,555 46,281,164 6,016,688
======================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) 138,418 39,852 -- --
Payable for Futures Contracts Settlement (Note 1) 119 -- 175,037 48,102
Payable upon Return of Securities Loaned (Note 8) 4,400,651 7,320,487 6,282,368 --
Payable for Securities Purchased (Note 1) -- -- -- --
Payable for Fund Shares Redeemed 959,130 1,955,600 757,257 171
Investment Advisory Fees Payable (Note 3) 32,172 31,855 29,861 3,728
Transfer Agent and Administrative Fees Payable (Note 3) 8,937 8,849 8,295 1,036
Distribution and Service Fees Payable (Note 3) 8,937 8,849 8,295 1,036
Portfolio Accounting Fees Payable (Note 3) 3,575 3,539 3,318 414
Custody Fees Payable 929 2,727 863 107
Other Liabilities 22,353 29,185 29,926 3,360
- ----------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 5,575,221 9,400,943 7,295,220 57,954
======================================================================================================================
NET ASSETS $ 37,663,251 $ 29,672,612 $ 38,985,944 $ 5,958,734
======================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 32,675,493 $ 27,639,555 $ 35,955,325 $ 7,490,869
Undistributed Net Investment Income 95,229 23,380 27,018 31,014
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts 396,494 (3,625,629) 1,184,290 (1,634,425)
Net Unrealized Appreciation (Depreciation) on
Investments, Equity Index Swaps, and Futures Contracts 4,496,035 5,635,306 1,819,311 71,276
======================================================================================================================
NET ASSETS $ 37,663,251 $ 29,672,612 $ 38,985,944 $ 5,958,734
======================================================================================================================
SHARES OUTSTANDING 1,734,973 1,264,562 1,610,653 161,216
NET ASSET VALUES $ 21.71 $ 23.46 $ 24.20 $ 36.96
GOVERNMENT
DYNAMIC RUSSELL 2000(R) INVERSE LONG BOND
RUSSELL 2000(R) ADVANTAGE RUSSELL 2000(R) ADVANTAGE
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 5,164,347 $ 88,954,989 $ 9,504,828 $ 49,599,118
Segregated Cash with Broker 674,800 1,148,640 129,600 608,000
Cash -- 590 -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- 81,020 --
Receivable for Futures Contracts Settlement (Note 1) -- -- 38,400 --
Receivable for Securities Sold (Note 1) -- -- -- 67,838
Receivable for Fund Shares Sold -- 40,206 2,509,017 56,295
Investment Income Receivable (Note 1) 3,469 77,601 3,944 318,166
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 5,842,616 90,222,026 12,266,809 50,649,417
==============================================================================================================================
LIABILITIES
Payable for Equity Index Swap Settlement (Note 1) 46,894 499,623 -- --
Payable for Futures Contracts Settlement (Note 1) 16,500 205,600 -- 57,000
Payable upon Return of Securities Loaned (Note 8) -- 16,042,381 -- --
Payable for Securities Purchased (Note 1) 990,147 -- -- --
Payable for Fund Shares Redeemed 198,168 208,258 3,014 67,192
Investment Advisory Fees Payable (Note 3) 3,717 64,373 8,694 26,506
Transfer Agent and Administrative Fees Payable (Note 3) 1,032 17,881 2,415 10,602
Distribution and Service Fees Payable (Note 3) 1,032 17,881 2,415 13,253
Portfolio Accounting Fees Payable (Note 3) 413 7,152 966 5,301
Custody Fees Payable 107 1,860 251 1,397
Other Liabilities 816 45,251 11,608 47,976
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 1,258,826 17,110,260 29,363 229,227
==============================================================================================================================
NET ASSETS $ 4,583,790 $ 73,111,766 $ 12,237,446 $ 50,420,190
==============================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 4,547,878 $ 68,744,958 $ 20,158,370 $ 55,735,005
Undistributed Net Investment Income 1,234 78,722 80,213 --
Accumulated Net Realized Gain (Loss) on Investments,
Equity Index Swaps, and Futures Contracts 36,123 249,330 (8,085,069) (5,875,264)
Net Unrealized Appreciation (Depreciation) on
Investments, Equity Index Swaps, and Futures Contracts (1,445) 4,038,756 83,932 560,449
==============================================================================================================================
NET ASSETS $ 4,583,790 $ 73,111,766 $ 12,237,446 $ 50,420,190
==============================================================================================================================
SHARES OUTSTANDING 176,509 1,777,185 353,602 4,362,711
NET ASSET VALUES $ 25.97 $ 41.14 $ 34.61 $ 11.56
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 173
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE
GOVERNMENT EUROPE JAPAN DYNAMIC
LONG BOND ADVANTAGE ADVANTAGE DOW
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 52,487,054 $ 90,106,643 $ 29,745,319 $ 49,003,065
Segregated Cash with Broker 96,663 -- 611,700 776,100
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- 581,388 296,016
Receivable for Futures Contracts Settlement (Note 1) 8,989 -- -- --
Receivable for Securities Sold (Note 1) -- -- -- --
Receivable for Fund Shares Sold 15,619 26,574 300,452 119,611
Investment Income Receivable (Note 1) 16,052 97,639 11,869 45,907
Other Assets -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 52,624,377 90,230,856 31,250,728 50,240,699
========================================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) 22,573,716 -- -- --
Payable to cover Short Sale 90,428 -- -- --
Payable for Equity Index Swap Settlement (Note 1) -- 293,453 -- --
Payable for Futures Contracts Settlement (Note 1) -- -- 14,125 75,620
Payable upon Return of Securities Loaned (Note 8) -- -- -- 4,136,460
Payable for Securities Purchased (Note 1) -- -- -- --
Payable for Fund Shares Redeemed 251,073 287,922 666,296 591,750
Investment Advisory Fees Payable (Note 3) 18,398 69,855 21,283 32,636
Transfer Agent and Administrative Fees Payable (Note 3) 5,111 19,404 5,912 9,066
Distribution and Service Fees Payable (Note 3) 5,111 19,404 5,912 9,066
Portfolio Accounting Fees Payable (Note 3) 2,044 7,762 2,365 3,626
Custody Fees Payable 531 2,018 654 943
Interest Payable 407,617 -- -- --
Other Liabilities 23,976 40,794 24,491 16,279
- ------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 23,378,005 740,612 741,038 4,875,446
========================================================================================================================
NET ASSETS $ 29,246,372 $ 89,490,244 $ 30,509,690 $ 45,365,253
========================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 37,122,748 $ 80,335,801 $ 29,955,426 $ 40,821,470
Undistributed Net Investment Income (Loss) 130,300 285,758 444,829 120,775
Accumulated Net Realized Gain (Loss) on Investments,
Equity/Currency Index Swaps, and Futures Contracts (8,794,460) 2,871,705 (558,505) 949,068
Net Unrealized Appreciation (Depreciation) on Investments,
Equity/Currency Index Swaps, and Futures Contracts 787,784 5,996,980 667,940 3,473,940
========================================================================================================================
NET ASSETS $ 29,246,372 $ 89,490,244 $ 30,509,690 $ 45,365,253
========================================================================================================================
SHARES OUTSTANDING 1,357,126 3,023,510 1,124,452 1,686,916
NET ASSET VALUES $ 21.55 $ 29.60 $ 27.13 $ 26.89
* THE COST OF SECURITIES AT VALUE IS $52,487,750, $83,834,812, $29,745,319,
$45,983,138, $16,786,620, $36,542,715, $30,687,714, $97,609,177,
$27,096,548, $17,589,207, $26,462,527 AND $3,074,820, RESPECTIVELY.
** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $23,234,870, $0, $0, $0,
$0, $0, $0, $0, $0, $0, $0 AND $0, RESPECTIVELY.
See Notes to Financial Statements.
174 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
December 31, 2006
- --------------------------------------------------------------------------------
INVERSE
DYNAMIC SMALL-CAP MID-CAP LARGE-CAP
DOW VALUE VALUE VALUE
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 16,786,620 $ 39,143,447 $ 32,933,646 $ 103,703,244
Segregated Cash with Broker 148,200 -- -- --
Cash -- -- 1,200 --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- --
Receivable for Futures Contracts Settlement (Note 1) 14,440 -- -- --
Receivable for Securities Sold (Note 1) -- 717,345 339,823 --
Receivable for Fund Shares Sold 500,917 773,706 2,157,254 1,311,040
Investment Income Receivable (Note 1) 6,661 56,331 25,162 143,663
Other Assets -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 17,456,838 40,690,829 35,457,085 105,157,947
========================================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) -- -- -- --
Payable to cover Short Sale -- -- -- --
Payable for Equity Index Swap Settlement (Note 1) 320,352 -- -- --
Payable for Futures Contracts Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) -- 4,879,062 4,663,653 20,056,352
Payable for Securities Purchased (Note 1) -- 122,258 1,187,683 1,565,823
Payable for Fund Shares Redeemed 51,442 1,513,659 1,301,777 103,043
Investment Advisory Fees Payable (Note 3) 13,688 18,391 17,601 42,383
Transfer Agent and Administrative Fees Payable (Note 3) 3,802 6,130 5,867 14,128
Distribution and Service Fees Payable (Note 3) 3,802 6,130 5,867 14,128
Portfolio Accounting Fees Payable (Note 3) 1,521 2,452 2,347 5,651
Custody Fees Payable 395 708 722 1,469
Interest Payable -- -- -- --
Other Liabilities 8,435 18,519 17,246 32,243
- ------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 403,437 6,567,309 7,202,763 21,835,220
========================================================================================================================
NET ASSETS $ 17,053,401 $ 34,123,520 $ 28,254,322 $ 83,322,727
========================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 21,370,219 $ 31,463,762 $ 28,022,690 $ 77,157,364
Undistributed Net Investment Income (Loss) 124,886 29,155 74,339 139,901
Accumulated Net Realized Gain (Loss) on Investments,
Equity/Currency Index Swaps, and Futures Contracts (4,141,168) 29,871 (2,088,639) (68,605)
Net Unrealized Appreciation (Depreciation) on Investments,
Equity/Currency Index Swaps, and Futures Contracts (300,536) 2,600,732 2,245,932 6,094,067
========================================================================================================================
NET ASSETS $ 17,053,401 $ 34,123,520 $ 28,254,322 $ 83,322,727
========================================================================================================================
SHARES OUTSTANDING 511,501 1,193,280 1,262,223 2,621,760
NET ASSET VALUES $ 33.34 $ 28.60 $ 22.38 $ 31.78
DYNAMIC
SMALL-CAP MID-CAP LARGE-CAP STRENGTHENING
GROWTH GROWTH GROWTH DOLLAR
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 29,551,837 $ 19,662,561 $ 28,454,602 $ 3,074,820
Segregated Cash with Broker -- -- -- --
Cash -- -- -- --
Receivable for Equity Index Swap Settlement (Note 1) -- -- -- 6,201
Receivable for Futures Contracts Settlement (Note 1) -- -- -- --
Receivable for Securities Sold (Note 1) -- 735,543 -- --
Receivable for Fund Shares Sold 1,879,033 -- 672,089 131
Investment Income Receivable (Note 1) 8,507 6,223 12,591 1,369
Other Assets 62,090 -- -- --
- ------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 31,501,467 20,404,327 29,139,282 3,082,521
========================================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) -- -- -- --
Payable to cover Short Sale -- -- -- --
Payable for Equity Index Swap Settlement (Note 1) -- -- -- --
Payable for Futures Contracts Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) 6,228,573 4,196,579 4,824,809 --
Payable for Securities Purchased (Note 1) 1,930,507 -- 601,090 --
Payable for Fund Shares Redeemed 345 732,686 102,412 11,180
Investment Advisory Fees Payable (Note 3) 15,597 11,295 15,924 1,865
Transfer Agent and Administrative Fees Payable (Note 3) 5,199 3,765 5,308 518
Distribution and Service Fees Payable (Note 3) 5,199 3,765 5,308 518
Portfolio Accounting Fees Payable (Note 3) 2,080 1,506 2,123 207
Custody Fees Payable 541 391 552 47
Interest Payable -- -- -- --
Other Liabilities 13,850 14,557 14,139 1,632
- ------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 8,201,891 4,964,544 5,571,665 15,967
========================================================================================================================
NET ASSETS $ 23,299,576 $ 15,439,783 $ 23,567,617 $ 3,066,554
========================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 23,192,330 $ 14,809,344 $ 23,027,678 $ 3,133,654
Undistributed Net Investment Income (Loss) -- -- -- (80,756)
Accumulated Net Realized Gain (Loss) on Investments,
Equity/Currency Index Swaps, and Futures Contracts (2,348,043) (1,442,915) (1,452,136) --
Net Unrealized Appreciation (Depreciation) on Investments,
Equity/Currency Index Swaps, and Futures Contracts 2,455,289 2,073,354 1,992,075 13,656
========================================================================================================================
NET ASSETS $ 23,299,576 $ 15,439,783 $ 23,567,617 $ 3,066,554
========================================================================================================================
SHARES OUTSTANDING 778,729 526,400 883,357 135,721
NET ASSET VALUES $ 29.92 $ 29.33 $ 26.68 $ 22.59
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 175
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP U.S.
WEAKENING CORE SECTOR GOVERNMENT
DOLLAR EQUITY ROTATION MONEY MARKET
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 11,213,075 $ 8,327,417 $ 111,073,881 $ 203,448,503
Segregated Cash with Broker -- 46,400 -- --
Receivable for Securities Sold (Note 1) -- -- -- --
Receivable for Fund Shares Sold 196,012 -- 18,622 5,045,095
Investment Income Receivable (Note 1) 4,902 12,345 125,218 54,334
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 11,413,989 8,386,162 111,217,721 208,547,932
====================================================================================================================================
LIABILITIES
Payable for Currency Index Swap Settlement (Note 1) 190,103 -- -- --
Payable for Futures Contracts Settlement (Note 1) -- 10,482 -- --
Payable upon Return of Securities Loaned (Note 8) -- -- 22,672,786 --
Payable for Securities Purchased (Note 1) -- -- -- --
Payable for Fund Shares Redeemed 46,281 5,224 643,387 27,120
Investment Advisory Fees Payable (Note 3) 9,760 4,240 69,876 85,955
Transfer Agent and Administrative Fees Payable (Note 3) 2,711 1,798 19,410 34,382
Distribution and Service Fees Payable (Note 3) 2,711 1,798 19,410 42,978
Portfolio Accounting Fees Payable (Note 3) 1,084 719 7,764 17,191
Custody Fees Payable 304 187 2,019 4,470
Cash Due to Custodian Bank -- -- 51,275 --
Other Liabilities 5,551 3,796 59,232 187,999
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 258,505 28,244 23,545,159 400,095
====================================================================================================================================
NET ASSETS $ 11,155,484 $ 8,357,918 $ 87,672,562 $ 208,147,837
====================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 10,967,788 $ 7,583,712 $ 78,623,850 $ 208,141,886
Undistributed Net Investment Income 256,672 12,850 -- 7,497
Accumulated Net Realized Gain (Loss) on Investments,
Currency Index Swaps, and Futures Contracts -- 139,897 2,989,156 (1,546)
Net Unrealized Appreciation (Depreciation) on Investments,
Currency Index Swaps, and Futures Contracts (68,976) 621,459 6,059,556 --
====================================================================================================================================
NET ASSETS $ 11,155,484 $ 8,357,918 $ 87,672,562 $ 208,147,837
====================================================================================================================================
SHARES OUTSTANDING 405,474 292,221 6,509,776 208,161,494
NET ASSET VALUES $ 27.51 $ 28.60 $ 13.47 $ 1.00
* THE COST OF SECURITIES AT VALUE IS $11,213,075, $7,689,595, $105,014,325,
$203,448,503, $28,025,776, $58,247,533, $13,875,904, $19,152,218,
$48,124,334, $3,683,747, $63,248,670 AND $37,851,848, RESPECTIVELY.
See Notes to Financial Statements.
176 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
December 31, 2006
- --------------------------------------------------------------------------------
BASIC BIO-
BANKING MATERIALS TECHNOLOGY COMMODITIES
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 30,802,438 $ 69,695,268 $ 17,015,623 $ 18,390,370
Segregated Cash with Broker -- -- -- --
Receivable for Securities Sold (Note 1) 545,916 362,392 100,255 1,882,265
Receivable for Fund Shares Sold 21,985 -- -- 41,824
Investment Income Receivable (Note 1) 50,770 69,748 1,798 2,866
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 31,421,109 70,127,408 17,117,676 20,317,325
===================================================================================================================================
LIABILITIES
Payable for Currency Index Swap Settlement (Note 1) -- -- -- --
Payable for Futures Contracts Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) 6,424,227 10,871,653 6,212,852 --
Payable for Securities Purchased (Note 1) -- -- -- --
Payable for Fund Shares Redeemed 605,081 532,047 105,652 3,527
Investment Advisory Fees Payable (Note 3) 17,194 41,111 14,208 12,508
Transfer Agent and Administrative Fees Payable (Note 3) 5,057 12,091 4,179 5,823
Distribution and Service Fees Payable (Note 3) 5,057 12,091 4,179 5,823
Portfolio Accounting Fees Payable (Note 3) 2,023 4,837 1,671 2,329
Custody Fees Payable 565 1,258 1,503 617
Cash Due to Custodian Bank -- -- -- --
Other Liabilities 13,504 30,355 19,235 17,428
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 7,072,708 11,505,443 6,363,479 48,055
===================================================================================================================================
NET ASSETS $ 24,348,401 $ 58,621,965 $ 10,754,197 $ 20,269,270
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 23,307,528 $ 50,649,687 $ 15,795,628 $ 27,909,381
Undistributed Net Investment Income 63,706 98,781 -- 6,206
Accumulated Net Realized Gain (Loss) on Investments,
Currency Index Swaps, and Futures Contracts (1,799,495) (3,574,238) (8,181,150) (6,884,469)
Net Unrealized Appreciation (Depreciation) on Investments,
Currency Index Swaps, and Futures Contracts 2,776,662 11,447,735 3,139,719 (761,848)
===================================================================================================================================
NET ASSETS $ 24,348,401 $ 58,621,965 $ 10,754,197 $ 20,269,270
===================================================================================================================================
SHARES OUTSTANDING 750,525 1,758,734 520,504 1,117,019
NET ASSET VALUES $ 32.44 $ 33.33 $ 20.66 $ 18.15
CONSUMER ENERGY
PRODUCTS ELECTRONICS ENERGY SERVICES
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 55,097,133 $ 5,013,871 $ 87,243,713 $ 55,766,819
Segregated Cash with Broker -- -- -- --
Receivable for Securities Sold (Note 1) 802,929 90,021 -- --
Receivable for Fund Shares Sold -- 11,982 1,804,898 1,528,385
Investment Income Receivable (Note 1) 97,253 657 22,814 14,796
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 55,997,315 5,116,531 89,071,425 57,310,000
===================================================================================================================================
LIABILITIES
Payable for Currency Index Swap Settlement (Note 1) -- -- -- --
Payable for Futures Contracts Settlement (Note 1) -- -- -- --
Payable upon Return of Securities Loaned (Note 8) 11,958,394 1,125,927 17,273,359 11,849,821
Payable for Securities Purchased (Note 1) -- -- 1,401,438 1,305,840
Payable for Fund Shares Redeemed 948,186 111,791 52,805 127,970
Investment Advisory Fees Payable (Note 3) 32,507 5,466 53,651 34,944
Transfer Agent and Administrative Fees Payable (Note 3) 9,561 1,608 15,780 10,278
Distribution and Service Fees Payable (Note 3) 9,561 1,608 15,780 10,278
Portfolio Accounting Fees Payable (Note 3) 3,824 643 6,312 4,111
Custody Fees Payable 994 196 1,641 1,115
Cash Due to Custodian Bank -- -- -- --
Other Liabilities 27,250 13,702 60,982 55,422
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 12,990,277 1,260,941 18,881,748 13,399,779
===================================================================================================================================
NET ASSETS $ 43,007,038 $ 3,855,590 $ 70,189,677 $ 43,910,221
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 38,204,932 $ 13,507,210 $ 49,175,197 $ 28,426,136
Undistributed Net Investment Income 312,611 -- -- --
Accumulated Net Realized Gain (Loss) on Investments,
Currency Index Swaps, and Futures Contracts (2,483,304) (10,981,744) (2,980,563) (2,430,886)
Net Unrealized Appreciation (Depreciation) on Investments,
Currency Index Swaps, and Futures Contracts 6,972,799 1,330,124 23,995,043 17,914,971
===================================================================================================================================
NET ASSETS $ 43,007,038 $ 3,855,590 $ 70,189,677 $ 43,910,221
===================================================================================================================================
SHARES OUTSTANDING 1,176,812 274,973 2,118,079 1,473,907
NET ASSET VALUES $ 36.55 $ 14.02 $ 33.14 $ 29.79
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 177
STATEMENTS OF ASSETS AND LIABILITIES (CONCLUDED)
- --------------------------------------------------------------------------------
FINANCIAL HEALTH
SERVICES CARE INTERNET LEISURE
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 60,831,592 $ 48,474,605 $ 13,125,771 $ 47,932,664
Receivable for Securities Sold (Note 1) 2,763,960 1,448,536 -- --
Receivable for Fund Shares Sold 18,674 62,764 -- 407,985
Investment Income Receivable (Note 1) 116,721 34,864 3,048 29,219
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 63,730,947 50,020,769 13,128,819 48,369,868
===================================================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 8) 10,531,379 7,484,164 3,692,757 10,208,573
Payable for Securities Purchased (Note 1) 2,770,015 1,539,432 -- 279,047
Payable for Fund Shares Redeemed 147,664 83,591 31,670 118,505
Investment Advisory Fees Payable (Note 3) 36,360 30,368 8,938 27,350
Transfer Agent and Administrative Fees Payable (Note 3) 10,694 8,932 2,629 8,044
Distribution and Service Fees Payable (Note 3) 10,694 8,932 2,629 8,044
Portfolio Accounting Fees Payable (Note 3) 4,278 3,573 1,052 3,218
Custody Fees Payable 1,159 929 273 837
Other Liabilities 28,404 35,591 8,316 17,276
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 13,540,647 9,195,512 3,748,264 10,670,894
===================================================================================================================================
NET ASSETS $ 50,190,300 $ 40,825,257 $ 9,380,555 $ 37,698,974
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 45,117,238 $ 37,032,237 $ 8,923,975 $ 32,546,952
Undistributed Net Investment Income 38,835 -- -- --
Accumulated Net Realized Gain (Loss) on Investments 553,815 (2,491,437) (1,863,029) (1,688,407)
Net Unrealized Appreciation on Investments 4,480,412 6,284,457 2,319,609 6,840,429
===================================================================================================================================
NET ASSETS $ 50,190,300 $ 40,825,257 $ 9,380,555 $ 37,698,974
===================================================================================================================================
SHARES OUTSTANDING 1,559,443 1,436,822 580,184 1,439,698
NET ASSET VALUES $ 32.18 $ 28.41 $ 16.17 $ 26.19
* THE COST OF SECURITIES AT VALUE IS $56,351,180, $42,190,148, $10,806,162,
$41,092,235, $63,353,177, $90,094,439, $30,020,704, $24,868,255,
$36,800,421, $30,212,302 AND $75,801,022, RESPECTIVELY.
See Notes to Financial Statements.
178 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
December 31, 2006
- --------------------------------------------------------------------------------
PRECIOUS REAL
METALS ESTATE RETAILING TECHNOLOGY
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 87,728,291 $ 109,245,920 $ 35,612,309 $ 27,798,907
Receivable for Securities Sold (Note 1) 1,091,661 2,364,018 -- 1,672,905
Receivable for Fund Shares Sold 426,543 3,799 6,376 7
Investment Income Receivable (Note 1) 11,171 434,612 21,954 6,727
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 89,257,666 112,048,349 35,640,639 29,478,546
===================================================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 8) 24,714,825 26,298,248 7,275,886 4,537,454
Payable for Securities Purchased (Note 1) -- -- -- 1,433,735
Payable for Fund Shares Redeemed 1,495,753 2,419,439 4,857 243,110
Investment Advisory Fees Payable (Note 3) 45,000 61,068 20,772 18,535
Transfer Agent and Administrative Fees Payable (Note 3) 15,000 17,961 6,110 5,451
Distribution and Service Fees Payable (Note 3) 15,000 17,961 6,110 5,451
Portfolio Accounting Fees Payable (Note 3) 6,000 7,184 2,444 2,181
Custody Fees Payable 1,560 1,868 635 567
Other Liabilities 54,489 43,885 17,455 16,789
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 26,347,627 28,867,614 7,334,269 6,263,273
===================================================================================================================================
NET ASSETS $ 62,910,039 $ 83,180,735 $ 28,306,370 $ 23,215,273
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 54,290,251 $ 68,448,347 $ 24,753,732 $ 22,364,837
Undistributed Net Investment Income -- 238,570 -- --
Accumulated Net Realized Gain (Loss) on Investments (15,755,326) (4,657,663) (2,038,967) (2,080,216)
Net Unrealized Appreciation on Investments 24,375,114 19,151,481 5,591,605 2,930,652
===================================================================================================================================
NET ASSETS $ 62,910,039 $ 83,180,735 $ 28,306,370 $ 23,215,273
===================================================================================================================================
SHARES OUTSTANDING 4,999,305 1,655,380 950,668 1,575,270
NET ASSET VALUES $ 12.58 $ 50.25 $ 29.78 $ 14.74
TELECOM- TRANS-
MUNICATIONS PORTATION UTILITIES
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2, 5 and 8) $ 43,946,061 $ 38,422,240 $ 88,391,780
Receivable for Securities Sold (Note 1) -- 367,028 412,838
Receivable for Fund Shares Sold 682,850 16 28,273
Investment Income Receivable (Note 1) 58,247 34,257 139,972
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 44,687,158 38,823,541 88,972,863
===================================================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 8) 10,569,991 8,845,111 16,824,478
Payable for Securities Purchased (Note 1) 713,490 -- --
Payable for Fund Shares Redeemed 7,043 363,509 300,243
Investment Advisory Fees Payable (Note 3) 22,662 21,779 51,959
Transfer Agent and Administrative Fees Payable (Note 3) 6,665 6,406 15,282
Distribution and Service Fees Payable (Note 3) 6,665 6,406 15,282
Portfolio Accounting Fees Payable (Note 3) 2,666 2,562 6,113
Custody Fees Payable 693 666 1,589
Other Liabilities 20,049 27,885 39,271
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 11,349,924 9,274,324 17,254,217
===================================================================================================================================
NET ASSETS $ 33,337,234 $ 29,549,217 $ 71,718,646
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 29,419,522 $ 24,669,451 $ 60,805,066
Undistributed Net Investment Income -- -- 231,235
Accumulated Net Realized Gain (Loss) on Investments (3,227,928) (3,330,172) (1,908,413)
Net Unrealized Appreciation on Investments 7,145,640 8,209,938 12,590,758
===================================================================================================================================
NET ASSETS $ 33,337,234 $ 29,549,217 $ 71,718,646
===================================================================================================================================
SHARES OUTSTANDING 1,521,288 843,159 3,204,946
NET ASSET VALUES $ 21.91 $ 35.05 $ 22.38
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 179
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
INVERSE INVERSE
NOVA S&P 500 OTC OTC
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 1,116,661 $ 1,707,693 $ 392,714 $ 1,553,616
Income from Securities Lending, net (Note 8) 6,317 -- 18,918 --
Dividends, Net of Foreign Tax Withheld* (Note 1) 1,127,537 -- 365,745 --
Other Income 405 -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Income 2,250,920 1,707,693 777,377 1,553,616
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 631,818 311,192 588,233 279,479
Transfer Agent and Administrative Fees (Note 3) 210,606 86,442 196,077 77,633
Portfolio Accounting Fees (Note 3) 84,243 34,577 78,431 31,053
Trustees' Fees** 8,723 3,773 7,554 2,239
Service Fees (Note 3) 210,606 86,442 196,077 77,633
Custody Fees 21,071 8,144 21,893 7,540
Miscellaneous 85,609 35,462 83,585 34,399
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,252,676 566,032 1,171,850 509,976
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 998,244 1,141,661 (394,473) 1,043,640
=========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 8,360,172 -- 6,399,786 --
Equity Index Swaps 6,740,604 (3,556,445) 80,108 174,362
Futures Contracts 902,603 (1,053,247) 885,344 (1,776,278)
- -------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 16,003,379 (4,609,692) 7,365,238 (1,601,916)
- -------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 996,459 (827) (3,093,224) (452)
Equity Index Swaps 57,542 (17,070) 35,140 (183,987)
Futures Contracts 961,524 (504,403) 13,457 107,398
- -------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 2,015,525 (522,300) (3,044,627) (77,041)
- -------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 18,018,904 (5,131,992) 4,320,611 (1,678,957)
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 19,017,148 $ (3,990,331) $ 3,926,138 $ (635,317)
=========================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $0, $2,100, $0, $0, $674, $0, $0, $1, $298, $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: OCTOBER 27, 2006.
See Notes to Financial Statements.
180 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
Year Ended December 31, 2006
- --------------------------------------------------------------------------------
DYNAMIC DYNAMIC MID-CAP INVERSE
S&P 500 OTC ADVANTAGE MID-CAP
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 415,404 $ 512,846 $ 458,402 $ 223,788
Income from Securities Lending, net (Note 8) 2,324 6,930 5,559 --
Dividends, Net of Foreign Tax Withheld* (Note 1) 350,285 136,321 330,151 --
Other Income -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Income 768,013 656,097 794,112 223,788
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 248,992 327,744 359,173 39,155
Transfer Agent and Administrative Fees (Note 3) 69,164 91,040 99,770 10,876
Portfolio Accounting Fees (Note 3) 27,666 36,416 39,908 4,351
Trustees' Fees** 1,823 2,759 2,998 255
Service Fees (Note 3) 69,164 91,040 99,770 10,876
Custody Fees 6,978 15,686 12,075 1,554
Miscellaneous 30,579 40,212 43,795 4,928
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 454,366 604,897 657,489 71,995
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 313,647 51,200 136,623 151,793
=========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (8,541) 688,452 2,480,011 --
Equity Index Swaps 3,757,644 2,117,435 (85,725) (566,506)
Futures Contracts 198,532 (108,795) 416,822 (242,875)
- -------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 3,947,635 2,697,092 2,811,108 (809,381)
- -------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 2,633,117 416,175 (660,366) --
Equity Index Swaps (21,563) 1,000,486 85,436 31,438
Futures Contracts 266,242 41,490 (174,290) 13,675
- -------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 2,877,796 1,458,151 (749,220) 45,113
- -------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 6,825,431 4,155,243 2,061,888 (764,268)
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 7,139,078 $ 4,206,443 $ 2,198,511 $ (612,475)
=========================================================================================================================
GOVERNMENT
DYNAMIC RUSSELL 2000(R) INVERSE LONG BOND
RUSSELL 2000(R) ADVANTAGE RUSSELL 2000(R) ADVANTAGE
FUND*** FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 17,000 $ 810,223 $ 810,535 $ 3,111,711
Income from Securities Lending, net (Note 8) -- 23,402 -- --
Dividends, Net of Foreign Tax Withheld* (Note 1) 4,912 423,714 -- --
Other Income -- 523 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 21,912 1,257,862 810,535 3,111,711
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 7,410 529,924 142,308 319,322
Transfer Agent and Administrative Fees (Note 3) 2,058 147,201 39,530 127,729
Portfolio Accounting Fees (Note 3) 824 58,880 15,812 63,864
Trustees' Fees** 1 3,614 977 3,858
Service Fees (Note 3) 2,058 147,201 39,530 159,661
Custody Fees 198 14,246 3,752 22,103
Miscellaneous 929 65,985 17,950 72,554
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 13,478 967,051 259,859 769,091
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 8,434 290,811 550,676 2,342,620
=================================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (2,191) 2,676,204 -- (1,145,953)
Equity Index Swaps 118,466 675,887 (2,341,675) --
Futures Contracts (80,152) 2,190,183 (1,253,765) (141,631)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 36,123 5,542,274 (3,595,440) (1,287,584)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 57,786 890,894 -- (259,824)
Equity Index Swaps (35,729) 123,800 (94,139) --
Futures Contracts (23,502) 77,211 (16,958) (662,646)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (1,445) 1,091,905 (111,097) (922,470)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 34,678 6,634,179 (3,706,537) (2,210,054)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 43,112 $ 6,924,990 $ (3,155,861) $ 132,566
=================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 181
STATEMENTS OF OPERATIONS (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE
GOVERNMENT EUROPE JAPAN DYNAMIC
LONG BOND ADVANTAGE ADVANTAGE DOW
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 2,463,716 $ 1,121,821 $ 1,625,704 $ 322,382
Income from Securities Lending, net (Note 8) -- -- -- 2,500
Dividends, Net of Foreign Tax Withheld* (Note 1) -- 1,113,583 -- 325,408
Other Income -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Income 2,463,716 2,235,404 1,625,704 650,290
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 269,763 480,072 314,810 184,675
Transfer Agent and Administrative Fees (Note 3) 74,934 133,353 87,447 51,298
Portfolio Accounting Fees (Note 3) 29,974 53,342 34,979 20,519
Interest Expense 1,047,838 -- -- --
Trustees' Fees** 2,627 2,583 2,471 1,011
Service Fees (Note 3) 74,934 133,353 87,447 51,298
Custody Fees 7,138 13,231 8,252 6,608
Miscellaneous 31,442 60,226 38,654 22,897
- ------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,538,650 876,160 574,060 338,306
- ------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 925,066 1,359,244 1,051,644 311,984
========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (5,631) (358,017) -- 334,431
Equity/Currency Index Swaps -- 6,459,321 (68,923) 3,303,536
Futures Contracts 70,914 -- 88,973 1,442,276
Securities Sold Short 947,077 -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 1,012,360 6,101,304 20,050 5,080,243
- ------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 775 5,007,996 -- 2,393,351
Equity/Currency Index Swaps -- (203,121) (979,803) 360,850
Futures Contracts 353,862 -- (449,192) 287,541
Securities Sold Short (44,007) -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 310,630 4,804,875 (1,428,995) 3,041,742
- ------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 1,322,990 10,906,179 (1,408,945) 8,121,985
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,248,056 $ 12,265,423 $ (357,301) $ 8,433,969
========================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $122,012, $0, $0, $0, $219, $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.
182 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
Year Ended December 31, 2006
- --------------------------------------------------------------------------------
INVERSE
DYNAMIC SMALL-CAP MID-CAP LARGE-CAP
DOW VALUE VALUE VALUE
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 542,829 $ 7,670 $ 5,084 $ 9,071
Income from Securities Lending, net (Note 8) -- 23,581 7,136 11,486
Dividends, Net of Foreign Tax Withheld* (Note 1) -- 550,418 587,273 1,178,430
Other Income -- -- -- 882
- ------------------------------------------------------------------------------------------------------------------------
Total Income 542,829 581,669 599,493 1,199,869
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 92,982 204,933 157,298 324,187
Transfer Agent and Administrative Fees (Note 3) 25,828 68,311 52,433 108,062
Portfolio Accounting Fees (Note 3) 10,331 27,324 20,973 43,224
Interest Expense -- -- -- --
Trustees' Fees** 512 1,643 1,672 2,028
Service Fees (Note 3) 25,828 68,311 52,433 108,062
Custody Fees 2,507 6,917 5,145 10,794
Miscellaneous 11,826 30,345 22,818 48,739
- ------------------------------------------------------------------------------------------------------------------------
Total Expenses 169,814 407,784 312,772 645,096
- ------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 373,015 173,885 286,721 554,773
========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities -- 1,000,837 138,273 1,020,513
Equity/Currency Index Swaps (2,792,018) -- -- --
Futures Contracts (605,408) -- -- --
Securities Sold Short -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (3,397,426) 1,000,837 138,273 1,020,513
- ------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities -- 1,860,179 1,884,835 5,455,621
Equity/Currency Index Swaps (446,064) -- -- --
Futures Contracts (44,370) -- -- --
Securities Sold Short -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (490,434) 1,860,179 1,884,835 5,455,621
- ------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments (3,887,860) 2,861,016 2,023,108 6,476,134
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(3,514,845) $ 3,034,901 $ 2,309,829 $ 7,030,907
========================================================================================================================
DYNAMIC
SMALL-CAP MID-CAP LARGE-CAP STRENGTHENING
GROWTH GROWTH GROWTH DOLLAR
FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 5,218 $ 5,428 $ 5,095 $ 121,816
Income from Securities Lending, net (Note 8) 29,120 7,731 2,706 --
Dividends, Net of Foreign Tax Withheld* (Note 1) 44,786 95,519 140,680 --
Other Income -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Income 79,124 108,678 148,481 121,816
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 125,195 140,820 134,823 22,043
Transfer Agent and Administrative Fees (Note 3) 41,732 46,940 44,941 6,123
Portfolio Accounting Fees (Note 3) 16,692 18,776 17,976 2,449
Interest Expense -- -- -- --
Trustees' Fees** 1,410 1,592 1,256 129
Service Fees (Note 3) 41,732 46,940 44,941 6,123
Custody Fees 4,246 4,580 4,288 670
Miscellaneous 18,188 20,440 19,880 2,765
- --------------------------------------------------------------------------------------------------------------------------
Total Expenses 249,195 280,088 268,105 40,302
- --------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (170,071) (171,410) (119,624) 81,514
==========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (724,911) 600,317 (498,552) --
Equity/Currency Index Swaps -- -- -- (361,215)
Futures Contracts -- -- -- --
Securities Sold Short -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (724,911) 600,317 (498,552) (361,215)
- --------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 1,013,673 437,245 1,637,437 --
Equity/Currency Index Swaps -- -- -- 5,612
Futures Contracts -- -- -- --
Securities Sold Short -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 1,013,673 437,245 1,637,437 5,612
- --------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 288,762 1,037,562 1,138,885 (355,603)
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 118,691 $ 866,152 $ 1,019,261 $ (274,089)
==========================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 183
STATEMENTS OF OPERATIONS (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP U.S.
WEAKENING CORE SECTOR GOVERNMENT
DOLLAR EQUITY ROTATION MONEY
FUND FUND FUND MARKET FUND
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 401,065 $ 17,733 $ 48,205 $12,652,304
Income from Securities Lending, net (Note 8) -- -- 44,578 --
Dividends, Net of Foreign Tax Withheld* (Note 1) -- 73,382 1,116,164 --
Other Income -- -- -- --
- --------------------------------------------------------------------------------------------------------------------
Total Income 401,065 91,115 1,208,947 12,652,304
- --------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 70,784 36,256 730,431 1,271,093
Transfer Agent and Administrative Fees (Note 3) 19,662 13,232 202,898 508,437
Portfolio Accounting Fees (Note 3) 7,865 5,293 81,159 247,164
Trustees' Fees** 320 206 5,229 16,437
Service Fees (Note 3) 19,662 13,232 202,898 635,547
Custody Fees 1,896 1,445 24,052 64,955
Miscellaneous 9,053 6,051 88,736 287,693
- --------------------------------------------------------------------------------------------------------------------
Total Expenses 129,242 75,715 1,335,403 3,031,326
- --------------------------------------------------------------------------------------------------------------------
Less Expenses Waived by Advisor -- -- -- --
- --------------------------------------------------------------------------------------------------------------------
Total Waived Expenses -- -- -- --
- --------------------------------------------------------------------------------------------------------------------
Net Expenses 129,242 75,715 1,335,403 3,031,326
- --------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 271,823 15,400 (126,456) 9,620,978
====================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities -- 192,380 5,627,444 --
Currency Index Swaps 457,540 -- -- --
Futures Contracts 5,240 (41,185) -- --
- --------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 462,780 151,195 5,627,444 --
- --------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities -- 633,818 289,785 --
Currency Index Swaps (59,561) -- -- --
Futures Contracts (36) (16,363) -- --
- --------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (59,597) 617,455 289,785 --
- --------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 403,183 768,650 5,917,229 --
- --------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 675,006 $ 784,050 $ 5,790,773 $ 9,620,978
====================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $4, $30,064, $0, $632, $0, $0, $0, $0, $0,
$38,309 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.
184 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
Year Ended December 31, 2006
- --------------------------------------------------------------------------------
BASIC BIO-
BANKING MATERIALS TECHNOLOGY COMMODITIES
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 3,754 $ 7,771 $ 6,955 $ 888,141
Income from Securities Lending, net (Note 8) 2,600 10,871 19,040 --
Dividends, Net of Foreign Tax Withheld* (Note 1) 512,956 1,041,752 1,951 --
Other Income -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Total Income 519,310 1,060,394 27,946 888,141
- -------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 146,468 342,886 220,641 181,709
Transfer Agent and Administrative Fees (Note 3) 43,079 100,849 64,894 60,570
Portfolio Accounting Fees (Note 3) 17,231 40,339 25,958 24,228
Trustees' Fees** 1,066 2,383 2,007 1,531
Service Fees (Note 3) 43,079 100,849 64,894 60,570
Custody Fees 4,408 14,388 8,887 8,084
Miscellaneous 19,230 45,210 28,553 26,891
- -------------------------------------------------------------------------------------------------------------------
Total Expenses 274,561 646,904 415,834 363,583
- -------------------------------------------------------------------------------------------------------------------
Less Expenses Waived by Advisor -- -- -- (44,553)
- -------------------------------------------------------------------------------------------------------------------
Total Waived Expenses -- -- -- (44,553)
- -------------------------------------------------------------------------------------------------------------------
Net Expenses 274,561 646,904 415,834 319,030
- -------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 244,749 413,490 (387,888) 569,111
===================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (81,922) (1,526,414) (1,311,771) (482,641)
Currency Index Swaps -- -- -- (5,231,262)
Futures Contracts -- -- -- (241,301)
- -------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (81,922) (1,526,414) (1,311,771) (5,955,204)
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 1,594,484 7,071,428 (1,248,519) (761,848)
Currency Index Swaps -- -- -- (123,283)
Futures Contracts -- -- -- 5,681
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 1,594,484 7,071,428 (1,248,519) (879,450)
- -------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 1,512,562 5,545,014 (2,560,290) (6,834,654)
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,757,311 $ 5,958,504 $(2,948,178) $(6,265,543)
===================================================================================================================
CONSUMER ENERGY
PRODUCTS ELECTRONICS ENERGY SERVICES
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 8,680 $ 5,823 $ 19,484 $ 22,422
Income from Securities Lending, net (Note 8) 8,009 4,060 15,156 17,541
Dividends, Net of Foreign Tax Withheld* (Note 1) 1,025,452 114,123 980,914 357,613
Other Income -- -- 114 --
- -------------------------------------------------------------------------------------------------------------------
Total Income 1,042,141 124,006 1,015,668 397,576
- -------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 295,176 184,321 671,196 658,963
Transfer Agent and Administrative Fees (Note 3) 86,816 54,212 197,410 193,813
Portfolio Accounting Fees (Note 3) 34,727 21,685 78,964 77,525
Trustees' Fees** 1,896 1,442 6,072 5,784
Service Fees (Note 3) 86,816 54,212 197,410 193,813
Custody Fees 8,618 5,796 19,859 20,526
Miscellaneous 39,236 24,177 87,194 85,841
- -------------------------------------------------------------------------------------------------------------------
Total Expenses 553,285 345,845 1,258,105 1,236,265
- -------------------------------------------------------------------------------------------------------------------
Less Expenses Waived by Advisor -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Total Waived Expenses -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Net Expenses 553,285 345,845 1,258,105 1,236,265
- -------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 488,856 (221,839) (242,437) (838,689)
===================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (453,196) (5,336,688) 7,402,486 9,657,085
Currency Index Swaps -- -- -- --
Futures Contracts -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (453,196) (5,336,688) 7,402,486 9,657,085
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 5,348,010 66,493 (221,636) (6,692,881)
Currency Index Swaps -- -- -- --
Futures Contracts -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 5,348,010 66,493 (221,636) (6,692,881)
- -------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 4,894,814 (5,270,195) 7,180,850 2,964,204
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,383,670 $(5,492,034) $ 6,938,413 $ 2,125,515
===================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 185
STATEMENTS OF OPERATIONS (CONCLUDED)
- --------------------------------------------------------------------------------
FINANCIAL HEALTH
SERVICES CARE INTERNET LEISURE
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 8,040 $ 11,393 $ 2,535 $ 5,426
Income from Securities Lending, net (Note 8) 13,098 8,954 3,242 12,150
Dividends, Net of Foreign Tax Withheld* (Note 1) 861,356 472,974 18,490 296,071
Other Income -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------
Total Income 882,494 493,321 24,267 313,647
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 309,488 393,117 83,765 175,172
Transfer Agent and Administrative Fees (Note 3) 91,026 115,622 24,637 51,521
Portfolio Accounting Fees (Note 3) 36,410 46,249 9,855 20,608
Trustees' Fees** 2,291 3,475 1,007 1,323
Service Fees (Note 3) 91,026 115,622 24,637 51,521
Custody Fees 8,836 11,036 2,734 5,443
Miscellaneous 40,575 50,981 10,401 22,809
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses 579,652 736,102 157,036 328,397
- ---------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 302,842 (242,781) (132,769) (14,750)
=====================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 3,185,263 2,083,105 1,298,775 (280,600)
- ---------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 3,185,263 2,083,105 1,298,775 (280,600)
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 2,469,827 (284,078) (96,412) 4,863,439
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 2,469,827 (284,078) (96,412) 4,863,439
- ---------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 5,655,090 1,799,027 1,202,363 4,582,839
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,957,932 $ 1,556,246 $ 1,069,594 $ 4,568,089
=====================================================================================================================
* FOREIGN TAX WITHHELD OF $336, $0, $0, $69, $13,789, $0, $0, $0, $12,339,
$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.
186 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
Year Ended December 31, 2006
- --------------------------------------------------------------------------------
PRECIOUS REAL
METALS ESTATE RETAILING TECHNOLOGY
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 20,626 $ 10,562 $ 5,654 $ 5,401
Income from Securities Lending, net (Note 8) 110,389 23,651 4,617 3,250
Dividends, Net of Foreign Tax Withheld* (Note 1) 795,140 1,712,156 240,694 96,325
Other Income -- 105 -- --
- ---------------------------------------------------------------------------------------------------------------------
Total Income 926,155 1,746,474 250,965 104,976
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 565,415 473,372 175,095 179,474
Transfer Agent and Administrative Fees (Note 3) 188,472 139,227 51,499 52,787
Portfolio Accounting Fees (Note 3) 75,388 55,691 20,600 21,114
Trustees' Fees** 5,438 2,923 1,513 1,636
Service Fees (Note 3) 188,472 139,227 51,499 52,787
Custody Fees 20,795 14,411 4,936 5,155
Miscellaneous 81,958 63,217 22,733 22,802
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses 1,125,938 888,068 327,875 335,755
- ---------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (199,783) 858,406 (76,910) (230,779)
=====================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (158,248) 462,193 69,862 1,022,806
- ---------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (158,248) 462,193 69,862 1,022,806
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 6,543,672 12,941,333 2,141,712 39,358
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 6,543,672 12,941,333 2,141,712 39,358
- ---------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 6,385,424 13,403,526 2,211,574 1,062,164
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,185,641 $14,261,932 $ 2,134,664 $ 831,385
=====================================================================================================================
TELECOM- TRANS-
MUNICATIONS PORTATION UTILITIES
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 6,029 $ 10,579 $ 9,331
Income from Securities Lending, net (Note 8) 7,338 14,086 9,673
Dividends, Net of Foreign Tax Withheld* (Note 1) 598,166 347,302 1,505,060
Other Income -- -- 9,206
- ---------------------------------------------------------------------------------------------------------------------
Total Income 611,533 371,967 1,533,270
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 225,010 346,981 392,767
Transfer Agent and Administrative Fees (Note 3) 66,179 102,053 115,520
Portfolio Accounting Fees (Note 3) 26,472 40,821 46,208
Trustees' Fees** 1,725 2,467 3,367
Service Fees (Note 3) 66,179 102,053 115,520
Custody Fees 6,891 9,870 11,100
Miscellaneous 29,250 45,794 50,591
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses 421,706 650,039 735,073
- ---------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 189,827 (278,072) 798,197
=====================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (564,196) (1,939,146) 1,047,225
- ---------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) (564,196) (1,939,146) 1,047,225
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 3,515,223 1,698,672 7,548,217
- ---------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 3,515,223 1,698,672 7,548,217
- ---------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on Investments 2,951,027 (240,474) 8,595,442
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,140,854 $ (518,546) $ 9,393,639
=====================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 187
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
NOVA FUND INVERSE S&P 500 FUND OTC FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 998,244 $ 647,004 $ 1,141,661 $ 519,167 $ (394,473) $ (702,227)
Net Realized Gain (Loss) on Investments 16,003,379 9,228,287 (4,609,692) (1,225,287) 7,365,238 18,570,499
Net Change in Unrealized Appreciation
(Depreciation) on Investments 2,015,525 (3,333,536) (522,300) 944,460 (3,044,627) (20,096,180)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 19,017,148 6,541,755 (3,990,331) 238,340 3,926,138 (2,227,908)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (1,341,115) (362,006) (1,546,385) -- -- --
Realized Gain on Investment -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,341,115) (362,006) (1,546,385) -- -- --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 330,789,125 525,436,344 323,687,307 296,790,050 340,799,995 464,820,799
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 1,341,115 362,006 1,546,385 -- -- --
COST OF SHARES REDEEMED (347,347,685) (530,160,037) (333,177,077) (283,598,621) (374,342,089) (551,582,169)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (15,217,445) (4,361,687) (7,943,385) 13,191,429 (33,542,094) (86,761,370)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 2,458,588 1,818,062 (13,480,101) 13,429,769 (29,615,956) (88,989,278)
NET ASSETS--BEGINNING OF PERIOD 132,018,092 130,200,030 32,505,393 19,075,624 102,487,043 191,476,321
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 134,476,680 $ 132,018,092 $ 19,025,292 $ 32,505,393 $ 72,871,087 $ 102,487,043
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 304,133 $ 647,004 $ 114,443 $ 519,167 $ -- $ --
==================================================================================================================================
See Notes to Financial Statements.
188 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
INVERSE DYNAMIC
OTC FUND S&P 500 FUND
- --------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- --------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 1,043,640 $ 478,824 $ 313,647 $ 134,395
Net Realized Gain (Loss) on Investments (1,601,916) (2,460,029) 3,947,635 259,519
Net Change in Unrealized Appreciation
(Depreciation) on Investments (77,041) 458,720 2,877,796 (707,365)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (635,317) (1,522,485) 7,139,078 (313,451)
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (1,363,464) -- (352,813) (24,721)
Realized Gain on Investment -- -- (1,389,756) (2,146,533)
- --------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,363,464) -- (1,742,569) (2,171,254)
========================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 590,666,208 423,296,526 177,319,546 201,720,009
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 1,363,464 -- 1,742,569 2,171,254
COST OF SHARES REDEEMED (585,750,595) (426,053,411) (172,192,682) (205,061,903)
========================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 6,279,077 (2,756,885) 6,869,433 (1,170,640)
- --------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 4,280,296 (4,279,370) 12,265,942 (3,655,345)
NET ASSETS--BEGINNING OF PERIOD 19,648,327 23,927,697 25,397,309 29,052,654
========================================================================================================
NET ASSETS--END OF PERIOD $ 23,928,623 $ 19,648,327 $ 37,663,251 $ 25,397,309
========================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 159,000 $ 478,824 $ 95,229 $ 134,395
========================================================================================================
DYNAMIC MID-CAP
OTC FUND ADVANTAGE FUND
- --------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- --------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 51,200 $ (145,490) $ 136,623 $ (23,585)
Net Realized Gain (Loss) on Investments 2,697,092 (3,225,596) 2,811,108 6,995,719
Net Change in Unrealized Appreciation
(Depreciation) on Investments 1,458,151 (636,716) (749,220) (627,067)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 4,206,443 (4,007,802) 2,198,511 6,345,067
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (27,820) -- (109,605) --
Realized Gain on Investment -- -- (7,740,154) (113,494)
- --------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (27,820) -- (7,849,759) (113,494)
========================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 708,369,127 363,014,039 325,859,602 367,015,570
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 27,820 -- 7,849,759 113,494
COST OF SHARES REDEEMED (727,215,523) (372,292,474) (340,269,215) (356,325,134)
========================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (18,818,576) (9,278,435) (6,559,854) 10,803,930
- --------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (14,639,953) (13,286,237) (12,211,102) 17,035,503
NET ASSETS--BEGINNING OF PERIOD 44,312,565 57,598,802 51,197,046 34,161,543
========================================================================================================
NET ASSETS--END OF PERIOD $ 29,672,612 $ 44,312,565 $ 38,985,944 $ 51,197,046
========================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 23,380 $ -- $ 27,018 $ --
========================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 189
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE DYNAMIC RUSSELL RUSSELL 2000(R)
MID-CAP FUND 2000(R) FUND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006* 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 151,793 $ 54,779 $ 8,434 $ 290,811 $ 15,708
Net Realized Gain (Loss) on Investments (809,381) (457,471) 36,123 5,542,274 (590,652)
Net Change in Unrealized Appreciation
(Depreciation) on Investments 45,113 66,476 (1,445) 1,091,905 (4,334,848)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from
Operations (612,475) (336,216) 43,112 6,924,990 (4,909,792)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (122,428) (53,130) (7,200) (227,797) (1,372,293)
Realized Gain on Investment -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (122,428) (53,130) (7,200) (227,797) (1,372,293)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 79,226,875 46,185,035 11,344,299 540,992,356 478,462,880
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT 122,428 53,130 7,200 227,797 1,372,293
COST OF SHARES REDEEMED (75,502,029) (44,321,303) (6,803,621) (513,395,018) (547,612,446)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 3,847,274 1,916,862 4,547,878 27,825,135 (67,777,273)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 3,112,371 1,527,516 4,583,790 34,522,328 (74,059,358)
NET ASSETS--BEGINNING OF PERIOD 2,846,363 1,318,847 -- 38,589,438 112,648,796
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 5,958,734 $ 2,846,363 $ 4,583,790 $ 73,111,766 $ 38,589,438
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF
PERIOD $ 31,014 $ 1,649 $ 1,234 $ 78,722 $ 15,708
==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
See Notes to Financial Statements.
190 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG
RUSSELL 2000(R) FUND BOND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 550,676 $ 212,988 $ 2,342,620 $ 1,716,438
Net Realized Gain (Loss) on Investments (3,595,440) (1,942,704) (1,287,584) 1,876,892
Net Change in Unrealized Appreciation
(Depreciation) on Investments (111,097) 298,512 (922,470) (243,546)
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from
Operations (3,155,861) (1,431,204) 132,566 3,349,784
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (478,048) (205,531) (2,342,620) (1,716,438)
Realized Gain on Investment -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (478,048) (205,531) (2,342,620) (1,716,438)
================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 220,791,019 220,021,876 601,286,045 553,065,048
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT 478,048 205,531 2,342,620 1,716,438
COST OF SHARES REDEEMED (217,247,922) (211,084,258) (611,158,020) (544,964,325)
================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 4,021,145 9,143,149 (7,529,355) 9,817,161
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 387,236 7,506,414 (9,739,409) 11,450,507
NET ASSETS--BEGINNING OF PERIOD 11,850,210 4,343,796 60,159,599 48,709,092
================================================================================================================
NET ASSETS--END OF PERIOD $ 12,237,446 $ 11,850,210 $ 50,420,190 $ 60,159,599
================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF
PERIOD $ 80,213 $ 7,457 $ -- $ --
================================================================================================================
INVERSE GOVERNMENT EUROPE
LONG BOND FUND ADVANTAGE FUND
- ----------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 925,066 $ (146,330) $ 1,359,244 $ 267,284
Net Realized Gain (Loss) on Investments 1,012,360 (3,209,670) 6,101,304 (1,027,733)
Net Change in Unrealized Appreciation
(Depreciation) on Investments 310,630 (84,112) 4,804,875 203,097
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from
Operations 2,248,056 (3,440,112) 12,265,423 (557,352)
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (794,766) -- (1,340,770) (85,714)
Realized Gain on Investment -- -- (2,181,876) (124,961)
- ----------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (794,766) -- (3,522,646) (210,675)
================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 170,305,300 280,273,210 200,327,455 167,248,429
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT 794,766 -- 3,522,646 210,675
COST OF SHARES REDEEMED (172,977,804) (288,260,074) (149,056,372) (195,731,588)
================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,877,738) (7,986,864) 54,793,729 (28,272,484)
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (424,448) (11,426,976) 63,536,506 (29,040,511)
NET ASSETS--BEGINNING OF PERIOD 29,670,820 41,097,796 25,953,738 54,994,249
================================================================================================================
NET ASSETS--END OF PERIOD $ 29,246,372 $ 29,670,820 $ 89,490,244 $ 25,953,738
================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF
PERIOD $ 130,300 $ -- $ 285,758 $ 267,284
================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 191
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
JAPAN DYNAMIC INVERSE DYNAMIC
ADVANTAGE FUND DOW FUND DOW FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 1,051,644 $ 289,871 $ 311,984 $ 90,896 $ 373,015 $ 104,667
Net Realized Gain (Loss) on Investments 20,050 4,255,205 5,080,243 17,904 (3,397,426) (601,094)
Net Change in Unrealized Appreciation
(Depreciation) on Investments (1,428,995) 1,237,578 3,041,742 66,186 (490,434) 309,129
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (357,301) 5,782,654 8,433,969 174,986 (3,514,845) (187,298)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (896,686) -- (191,209) (93,894) (253,535) (99,261)
Realized Gain on Investment (4,542,900) -- (3,941,317) (588,875) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (5,439,586) -- (4,132,526) (682,769) (253,535) (99,261)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 199,922,255 182,591,871 205,483,794 131,880,583 112,560,241 71,955,250
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 5,439,586 -- 4,132,526 682,769 253,535 99,261
COST OF SHARES REDEEMED (224,274,267) (147,383,613) (181,472,287) (129,555,135) (99,248,879) (67,695,366)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (18,912,426) 35,208,258 28,144,033 3,008,217 13,564,897 4,359,145
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (24,709,313) 40,990,912 32,445,476 2,500,434 9,796,517 4,072,586
NET ASSETS--BEGINNING OF PERIOD 55,219,003 14,228,091 12,919,777 10,419,343 7,256,884 3,184,298
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 30,509,690 $ 55,219,003 $ 45,365,253 $ 12,919,777 $ 17,053,401 $ 7,256,884
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 444,829 $ 289,871 $ 120,775 $ -- $ 124,886 $ 5,406
==================================================================================================================================
See Notes to Financial Statements.
192 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
SMALL-CAP MID-CAP
VALUE FUND VALUE FUND
- -------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- -------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 173,885 $ (30,467) $ 286,721 $ 81,788
Net Realized Gain (Loss) on Investments 1,000,837 3,233,372 138,273 3,667,245
Net Change in Unrealized Appreciation
(Depreciation) on Investments 1,860,179 (3,578,321) 1,884,835 (1,100,126)
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 3,034,901 (375,416) 2,309,829 2,648,907
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (144,730) -- (212,382) (97,068)
Realized Gain on Investment (1,515,321) (1,969,511) -- (4,952,655)
- -------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,660,051) (1,969,511) (212,382) (5,049,723)
=======================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 144,403,437 154,312,618 76,783,553 363,932,503
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 1,660,051 1,969,511 212,382 5,049,723
COST OF SHARES REDEEMED (132,350,088) (182,175,448) (65,070,840) (371,828,182)
=======================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 13,713,400 (25,893,319) 11,925,095 (2,845,956)
- -------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 15,088,250 (28,238,246) 14,022,542 (5,246,772)
NET ASSETS--BEGINNING OF PERIOD 19,035,270 47,273,516 14,231,780 19,478,552
=======================================================================================================
NET ASSETS--END OF PERIOD $ 34,123,520 $ 19,035,270 $ 28,254,322 $ 14,231,780
=======================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 29,155 $ -- $ 74,339 $ --
=======================================================================================================
LARGE-CAP SMALL-CAP
VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- -------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 554,773 $ 127,469 $ (170,071) $ (142,611)
Net Realized Gain (Loss) on Investments 1,020,513 1,052,365 (724,911) 1,800,090
Net Change in Unrealized Appreciation
(Depreciation) on Investments 5,455,621 (582,663) 1,013,673 (1,775,372)
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 7,030,907 597,171 118,691 (117,893)
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (420,965) (123,787) -- --
Realized Gain on Investment (1,346,753) (558,155) (747,457) (1,624,213)
- -------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,767,718) (681,942) (747,457) (1,624,213)
=======================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 241,682,369 82,963,538 145,874,332 147,569,663
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 1,767,718 681,942 747,457 1,624,213
COST OF SHARES REDEEMED (189,937,692) (70,157,445) (147,001,756) (153,412,827)
=======================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 53,512,395 13,488,035 (379,967) (4,218,951)
- -------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 58,775,584 13,403,264 (1,008,733) (5,961,057)
NET ASSETS--BEGINNING OF PERIOD 24,547,143 11,143,879 24,308,309 30,269,366
=======================================================================================================
NET ASSETS--END OF PERIOD $ 83,322,727 $ 24,547,143 $ 23,299,576 $ 24,308,309
=======================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 139,901 $ 6,093 $ -- $ --
=======================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 193
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
DYNAMIC
MID-CAP LARGE-CAP STRENGTHENING
GROWTH FUND GROWTH FUND DOLLAR FUND
- -----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005*
- -----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (171,410) $ (125,071) $ (119,624) $ (3,432) $ 81,514 $ 9,536
Net Realized Gain (Loss) on Investments 600,317 710,759 (498,552) 538,671 (361,215) 13,898
Net Change in Unrealized Appreciation
(Depreciation) on Investments 437,245 220,933 1,637,437 (672,193) 5,612 8,044
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 866,152 806,621 1,019,261 (136,954) (274,089) 31,478
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- -- -- (17,612) (23,111) (8,367)
Realized Gain on Investment (1,071,590) -- (363,547) (442,416) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,071,590) -- (363,547) (460,028) (23,111) (8,367)
===================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 102,677,830 256,948,529 119,074,730 138,034,497 23,302,911 6,070,999
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 1,071,590 -- 363,547 460,028 23,111 8,367
COST OF SHARES REDEEMED (141,139,057) (225,422,324) (119,064,356) (135,371,285) (21,211,936) (4,852,809)
===================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (37,389,637) 31,526,205 373,921 3,123,240 2,114,086 1,226,557
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (37,595,075) 32,332,826 1,029,635 2,526,258 1,816,886 1,249,668
NET ASSETS--BEGINNING OF PERIOD 53,034,858 20,702,032 22,537,982 20,011,724 1,249,668 --
===================================================================================================================================
NET ASSETS--END OF PERIOD $ 15,439,783 $ 53,034,858 $ 23,567,617 $ 22,537,982 $ 3,066,554 $ 1,249,668
===================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)--END OF PERIOD $ -- $ -- $ -- $ -- $ (80,756) $ 1,169
===================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005--DYNAMIC
STRENGTHENING DOLLAR FUND AND DYNAMIC WEAKENING DOLLAR FUND; NOVEMBER 29,
2005--MULTI-CAP CORE EQUITY FUND.
See Notes to Financial Statements.
194 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP
WEAKENING CORE EQUITY
DOLLAR FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005* 2006 2005*
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 271,823 $ 9,837 $ 15,400 $ 830
Net Realized Gain (Loss) on Investments 462,780 (78,938) 151,195 (4,548)
Net Change in Unrealized Appreciation
(Depreciation) on Investments (59,597) (9,379) 617,455 4,004
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 675,006 (78,480) 784,050 286
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (397,475) (7,332) (3,413) --
Realized Gain on Investment (6,122) -- (6,750) --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (403,597) (7,332) (10,163) --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 52,997,120 5,011,248 14,532,365 3,104,617
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 403,597 7,332 10,163 --
COST OF SHARES REDEEMED (45,470,997) (1,978,413) (9,818,903) (244,497)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 7,929,720 3,040,167 4,723,625 2,860,120
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 8,201,129 2,954,355 5,497,512 2,860,406
NET ASSETS--BEGINNING OF PERIOD 2,954,355 -- 2,860,406 --
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 11,155,484 $ 2,954,355 $ 8,357,918 $ 2,860,406
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)--END OF PERIOD $ 256,672 $ 2,505 $ 12,850 $ 830
==================================================================================================================================
SECTOR ROTATION U.S. GOVERNMENT
FUND MONEY MARKET FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (126,456) $ (68,343) $ 9,620,978 $ 4,700,835
Net Realized Gain (Loss) on Investments 5,627,444 2,791,341 -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments 289,785 1,800,965 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 5,790,773 4,523,963 9,620,978 4,700,835
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- -- (9,620,977) (4,700,832)
Realized Gain on Investment (4,280,033) -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (4,280,033) -- (9,620,977) (4,700,832)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 95,534,124 60,423,868 1,169,136,976 1,184,745,322
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 4,280,033 -- 9,620,977 4,700,832
COST OF SHARES REDEEMED (75,486,583) (30,861,025) (1,155,974,652) (1,171,759,619)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 24,327,574 29,562,843 22,783,301 17,686,535
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 25,838,314 34,086,806 22,783,302 17,686,538
NET ASSETS--BEGINNING OF PERIOD 61,834,248 27,747,442 185,364,535 167,677,997
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 87,672,562 $ 61,834,248 $ 208,147,837 $ 185,364,535
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)--END OF PERIOD $ -- $ -- $ 7,497 $ 7,496
==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 195
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
BANKING BASIC BIOTECHNOLOGY
FUND MATERIALS FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 244,749 $ 219,732 $ 413,490 $ 146,922 $ (387,888) $ (225,301)
Net Realized Gain (Loss) on Investments (81,922) (959,804) (1,526,414) 438,695 (1,311,771) (1,077,177)
Net Change in Unrealized Appreciation
(Depreciation) on Investments 1,594,484 (270,743) 7,071,428 (1,893,780) (1,248,519) 2,731,019
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 1,757,311 (1,010,815) 5,958,504 (1,308,163) (2,948,178) 1,428,541
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (400,775) (208,716) (461,631) (95,937) -- --
Realized Gain on Investment -- (2,141,474) (668,570) (3,971,372) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (400,775) (2,350,190) (1,130,201) (4,067,309) -- --
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 56,465,015 56,113,356 126,002,457 92,190,282 101,241,326 119,737,084
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 400,775 2,350,190 1,130,201 4,067,309 -- --
COST OF SHARES REDEEMED (48,453,716) (62,442,489) (101,656,305) (108,726,587) (123,624,888) (91,668,019)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 8,412,074 (3,978,943) 25,476,353 (12,468,996) (22,383,562) 28,069,065
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 9,768,610 (7,339,948) 30,304,656 (17,844,468) (25,331,740) 29,497,606
NET ASSETS--BEGINNING OF PERIOD 14,579,791 21,919,739 28,317,309 46,161,777 36,085,937 6,588,331
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 24,348,401 $ 14,579,791 $ 58,621,965 $ 28,317,309 $ 10,754,197 $ 36,085,937
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 63,706 $ 219,732 $ 98,781 $ 146,922 $ -- $ --
==================================================================================================================================
See Notes to Financial Statements.
196 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
COMMODITIES CONSUMER
FUND PRODUCTS FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005* 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 569,111 $ 114,126 $ 488,856 $ 127,914
Net Realized Gain (Loss) on Investments (5,955,204) (2,283,369) (453,196) 1,129,327
Net Change in Unrealized Appreciation
(Depreciation) on Investments (879,450) 117,602 5,348,010 (1,291,415)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (6,265,543) (2,051,641) 5,383,670 (34,174)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- (88,043) (304,159) (98,701)
Realized Gain on Investment -- -- (362,611) (595,563)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (88,043) (666,770) (694,264)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 98,028,421 45,650,039 107,976,426 83,987,436
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT -- 88,043 666,770 694,264
COST OF SHARES REDEEMED (99,680,653) (15,411,353) (92,529,674) (86,209,578)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (1,652,232) 30,326,729 16,113,522 (1,527,878)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (7,917,775) 28,187,045 20,830,422 (2,256,316)
NET ASSETS--BEGINNING OF PERIOD 28,187,045 -- 22,176,616 24,432,932
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 20,269,270 $ 28,187,045 $ 43,007,038 $ 22,176,616
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 6,206 $ 26,083 $ 312,611 $ 127,914
==================================================================================================================================
ELECTRONICS ENERGY
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (221,839) $ (120,698) $ (242,437) $ (11,471)
Net Realized Gain (Loss) on Investments (5,336,688) (1,865,668) 7,402,486 9,383,343
Net Change in Unrealized Appreciation
(Depreciation) on Investments 66,493 248,322 (221,636) 14,787,065
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (5,492,034) (1,738,044) 6,938,413 24,158,937
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- -- -- (16,641)
Realized Gain on Investment -- -- (18,089,879) (4,777,562)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- -- (18,089,879) (4,794,203)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 115,099,952 111,112,719 151,331,360 244,153,879
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT -- -- 18,089,879 4,794,203
COST OF SHARES REDEEMED (114,058,438) (113,357,895) (171,517,424) (245,376,150)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 1,041,514 (2,245,176) (2,096,185) 3,571,932
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (4,450,520) (3,983,220) (13,247,651) 22,936,666
NET ASSETS--BEGINNING OF PERIOD 8,306,110 12,289,330 83,437,328 60,500,662
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 3,855,590 $ 8,306,110 $ 70,189,677 $ 83,437,328
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ -- $ -- $ -- $ --
==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 197
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
ENERGY SERVICES FINANCIAL SERVICES HEALTH CARE
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (838,689) $ (679,814) $ 302,842 $ 287,113 $ (242,781) $ (281,990)
Net Realized Gain (Loss) on Investments 9,657,085 (1,689,593) 3,185,263 (28,632) 2,083,105 3,078,597
Net Change in Unrealized Appreciation
(Depreciation) on Investments (6,692,881) 19,597,826 2,469,827 (132,312) (284,078) 2,066,699
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 2,125,515 17,228,419 5,957,932 126,169 1,556,246 4,863,306
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- -- (551,120) (227,270) -- --
Realized Gain on Investment (6,569,274) -- (1,965,220) (1,835,580) (1,655,023) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (6,569,274) -- (2,516,340) (2,062,850) (1,655,023) --
=================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 179,186,685 226,791,272 85,868,908 75,836,087 99,583,702 128,683,744
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 6,569,274 -- 2,516,340 2,062,850 1,655,023 --
COST OF SHARES REDEEMED (217,123,691) (193,614,464) (78,476,024) (84,302,471) (112,006,276) (112,290,779)
=================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (31,367,732) 33,176,808 9,909,224 (6,403,534) (10,767,551) 16,392,965
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (35,811,491) 50,405,227 13,350,816 (8,340,215) (10,866,328) 21,256,271
NET ASSETS--BEGINNING OF PERIOD 79,721,712 29,316,485 36,839,484 45,179,699 51,691,585 30,435,314
=================================================================================================================================
NET ASSETS--END OF PERIOD $ 43,910,221 $ 79,721,712 $ 50,190,300 $ 36,839,484 $ 40,825,257 $ 51,691,585
=================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ -- $ -- $ 38,835 $ 287,113 $ -- $ --
=================================================================================================================================
See Notes to Financial Statements.
198 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
INTERNET LEISURE PRECIOUS
FUND FUND METALS FUND
- ---------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (132,769) $ (154,798) $ (14,750) $ (243,896) $ (199,783) $ (73,200)
Net Realized Gain (Loss) on
Investments 1,298,775 1,240,923 (280,600) 1,463,777 (158,248) (5,450,489)
Net Change in Unrealized Appreciation
(Depreciation) on Investments (96,412) (5,091,806) 4,863,439 (3,609,943) 6,543,672 11,668,972
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 1,069,594 (4,005,681) 4,568,089 (2,390,062) 6,185,641 6,145,283
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income -- -- -- -- -- --
Realized Gain on Investment -- (586,030) (1,244,064) (2,102,243) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders -- (586,030) (1,244,064) (2,102,243) -- --
=================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 49,845,898 85,148,669 65,902,349 54,494,972 202,255,388 155,123,238
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT -- 586,030 1,244,064 2,102,243 -- --
COST OF SHARES REDEEMED (62,493,795) (97,106,055) (46,732,242) (89,899,020) (213,772,035) (128,070,546)
=================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (12,647,897) (11,371,356) 20,414,171 (33,301,805) (11,516,647) 27,052,692
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (11,578,303) (15,963,067) 23,738,196 (37,794,110) (5,331,006) 33,197,975
NET ASSETS--BEGINNING OF PERIOD 20,958,858 36,921,925 13,960,778 51,754,888 68,241,045 35,043,070
=================================================================================================================================
NET ASSETS--END OF PERIOD $ 9,380,555 $ 20,958,858 $ 37,698,974 $ 13,960,778 $ 62,910,039 $ 68,241,045
=================================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ -- $ -- $ -- $ -- $ -- $ --
=================================================================================================================================
REAL ESTATE
FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR
ENDED ENDED
DECEMBER 31, DECEMBER 31,
2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 858,406 $ 627,909
Net Realized Gain (Loss) on Investments 462,193 (367,084)
Net Change in Unrealized Appreciation (Depreciation) on Investments 12,941,333 1,158,404
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 14,261,932 1,419,229
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (1,247,745) (486,247)
Realized Gain on Investment (2,424,876) --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (3,672,621) (486,247)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 373,442,790 290,942,708
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 3,672,621 486,247
COST OF SHARES REDEEMED (333,598,261) (290,202,854)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 43,517,150 1,226,101
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 54,106,461 2,159,083
NET ASSETS--BEGINNING OF PERIOD 29,074,274 26,915,191
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 83,180,735 $ 29,074,274
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 238,570 $ 627,909
==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 199
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
- --------------------------------------------------------------------------------
RETAILING TECHNOLOGY
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ---------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ (76,910) $ (252,985) $ (230,779) $ (202,912)
Net Realized Gain (Loss) on Investments 69,862 761,446 1,022,806 395,325
Net Change in Unrealized Appreciation (Depreciation) on Investments 2,141,712 (379,811) 39,358 201,044
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 2,134,664 128,650 831,385 393,457
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income -- -- -- --
Realized Gain on Investment (787,401) (373,394) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (787,401) (373,394) -- --
=================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 61,809,702 79,774,938 73,893,194 77,520,975
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 787,401 373,394 -- --
COST OF SHARES REDEEMED (53,253,592) (83,088,381) (70,654,267) (78,688,236)
=================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 9,343,511 (2,940,049) 3,238,927 (1,167,261)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 10,690,774 (3,184,793) 4,070,312 (773,804)
NET ASSETS--BEGINNING OF PERIOD 17,615,596 20,800,389 19,144,961 19,918,765
=================================================================================================================================
NET ASSETS--END OF PERIOD $ 28,306,370 $ 17,615,596 $ 23,215,273 $ 19,144,961
=================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ -- $ -- $ --
=================================================================================================================================
See Notes to Financial Statements.
200 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS TRANSPORTATION UTILITIES
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income (Loss) $ 189,827 $ 176,939 $ (278,072) $ (165,000) $ 798,197 $ 872,857
Net Realized Gain (Loss) on Investments (564,196) 681,979 (1,939,146) 986,215 1,047,225 (1,050,256)
Net Change in Unrealized Appreciation
(Depreciation) on Investments 3,515,223 (1,228,903) 1,698,672 (1,991,584) 7,548,217 2,775,884
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 3,140,854 (369,985) (518,546) (1,170,369) 9,393,639 2,598,485
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
(NOTE 1)
Net Investment Income (377,386) -- -- -- (1,439,819) (313,329)
Realized Gain on Investment (369,517) (1,560,307) -- (645,384) (638,278) --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (746,903) (1,560,307) -- (645,384) (2,078,097) (313,329)
==================================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 90,834,218 56,421,975 109,748,402 57,217,996 124,654,699 164,671,051
VALUE OF SHARES PURCHASED THROUGH
DIVIDEND REINVESTMENT 746,903 1,560,307 -- 645,384 2,078,097 313,329
COST OF SHARES REDEEMED (77,535,729) (69,344,879) (111,058,172) (72,003,523) (102,273,074) (149,228,346)
==================================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS 14,045,392 (11,362,597) (1,309,770) (14,140,143) 24,459,722 15,756,034
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 16,439,343 (13,292,889) (1,828,316) (15,955,896) 31,775,264 18,041,190
NET ASSETS--BEGINNING OF PERIOD 16,897,891 30,190,780 31,377,533 47,333,429 39,943,382 21,902,192
==================================================================================================================================
NET ASSETS--END OF PERIOD $ 33,337,234 $ 16,897,891 $ 29,549,217 $ 31,377,533 $ 71,718,646 $ 39,943,382
==================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END
OF PERIOD $ -- $ 176,939 $ -- $ -- $ 231,235 $ 872,857
==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 201
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
NET REALIZED (DECREASE)
NET ASSET NET AND IN NET ASSET
VALUE, INVESTMENT UNREALIZED VALUE
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS
- -----------------------------------------------------------------------------------
NOVA FUND
DECEMBER 31, 2006 $ 8.56 $ .11 $ 1.54 $ 1.65
December 31, 2005 8.26 .05 .28 .33
December 31, 2004 7.21 .03 1.02 1.05
December 31, 2003 5.18 .01 2.02 2.03
December 31, 2002 8.67 (.01) (3.07) (3.08)
INVERSE S&P 500 FUND
DECEMBER 31, 2006 5.15 .17 (.56) (.39)
December 31, 2005 5.19 .08 (.12) (.04)
December 31, 2004 5.77 (.02) (.56) (.58)
December 31, 2003 7.57 (.04) (1.76) (1.80)
December 31, 2002 6.29 (.02) 1.38 1.36
OTC FUND
DECEMBER 31, 2006 14.55 (.07) .91 .84
December 31, 2005 14.39 (.09) .25 .16
December 31, 2004 13.16 (.02) 1.25 1.23
December 31, 2003 9.05 (.13) 4.24 4.11
December 31, 2002 14.80 (.17) (5.58) (5.75)
INVERSE OTC FUND
DECEMBER 31, 2006 21.51 .74 (1.07) (.33)
December 31, 2005 21.24 .33 (.06) .27
December 31, 2004 24.09 (.08) (2.77) (2.85)
December 31, 2003 39.04 (.22) (14.33) (14.55)
December 31, 2002 29.48 (.19) 10.22 10.03
DYNAMIC S&P 500 FUND
DECEMBER 31, 2006 18.37 .23 4.12 4.35
December 31, 2005 19.83 .10 .53 .63
December 31, 2004 21.59 .02 2.98 3.00
December 31, 2003 16.09 (.11) 8.95 8.84
December 31, 2002 29.87 (.09) (13.65) (13.74)
DYNAMIC OTC FUND
DECEMBER 31, 2006 22.39 .03 1.06 1.09
December 31, 2005 23.09 (.09) (.61) (.70)
December 31, 2004 21.73 (.06) 2.76 2.70
December 31, 2003 11.90 (.21) 11.95 11.74
December 31, 2002 38.97 (.13) (26.94) (27.07)
DISTRIBUTIONS
DISTRIBUTIONS FROM NET DISTRIBUTIONS NET INCREASE NET ASSET
FROM NET REALIZED FROM (DECREASE) IN VALUE,
INVESTMENT CAPITAL RETURN OF TOTAL NET ASSET END OF
YEAR ENDED INCOME GAINS CAPITAL DISTRIBUTIONS VALUE PERIOD
- ---------------------------------------------------- ---------------- --------------- --------------- -----------
NOVA FUND
DECEMBER 31, 2006 $ (.12) $ -- $ -- $ (.12) $ 1.53 $ 10.09
December 31, 2005 (.03) -- -- (.03) .30 8.56
December 31, 2004 (--)# -- -- (--)# 1.05 8.26
December 31, 2003 -- -- -- -- 2.03 7.21
December 31, 2002 (.41) -- -- (.41) (3.49) 5.18
INVERSE S&P 500 FUND
DECEMBER 31, 2006 (.37) -- -- (.37) (.76) 4.39
December 31, 2005 -- -- -- -- (.04) 5.15
December 31, 2004 -- -- -- -- (.58) 5.19
December 31, 2003 -- -- -- -- (1.80) 5.77
December 31, 2002 (.08) -- -- (.08) 1.28 7.57
OTC FUND
DECEMBER 31, 2006 -- -- -- -- .84 15.39
December 31, 2005 -- -- -- -- .16 14.55
December 31, 2004 -- -- -- -- 1.23 14.39
December 31, 2003 -- -- -- -- 4.11 13.16
December 31, 2002 -- -- -- -- (5.75) 9.05
INVERSE OTC FUND
DECEMBER 31, 2006 (1.39) -- -- (1.39) (1.72) 19.79
December 31, 2005 -- -- -- -- .27 21.51
December 31, 2004 -- -- -- -- (2.85) 21.24
December 31, 2003 -- (.40) -- (.40) (14.95) 24.09
December 31, 2002 (.47) -- -- (.47) 9.56 39.04
DYNAMIC S&P 500 FUND
DECEMBER 31, 2006 (.20) (.81) -- (1.01) 3.34 21.71
December 31, 2005 (.02) (2.07) -- (2.09) (1.46) 18.37
December 31, 2004 -- (4.76) -- (4.76) (1.76) 19.83
December 31, 2003 -- (3.34) -- (3.34) 5.50 21.59
December 31, 2002 -- (.04) -- (.04) (13.78) 16.09
DYNAMIC OTC FUND
DECEMBER 31, 2006 (.02) -- -- (.02) 1.07 23.46
December 31, 2005 -- -- -- -- (.70) 22.39
December 31, 2004 (.97) (.06) (.31) (1.34) 1.36 23.09
December 31, 2003 -- (1.91) -- (1.91) 9.83 21.73
December 31, 2002 -- -- -- -- (27.07) 11.90
RATIOS TO
AVERAGE NET ASSETS:
----------------------
NET NET ASSETS,
TOTAL INVESTMENT PORTFOLIO END OF
INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S
YEAR ENDED RETURN EXPENSES (LOSS) RATE* OMITTED)
- -----------------------------------------------------------------------------------------
NOVA FUND
DECEMBER 31, 2006 19.27% 1.48% 1.18% 211% $ 134,477
December 31, 2005 3.97% 1.53% 0.60% 381% 132,018
December 31, 2004 14.62% 1.46% 0.41% 654% 130,200
December 31, 2003 39.19% 1.54% 0.09% 729% 81,816
December 31, 2002 (35.72)% 1.72% (0.14%) 570% 34,017
INVERSE S&P 500 FUND
DECEMBER 31, 2006 (7.50)% 1.63% 3.29% -- 19,025
December 31, 2005 (0.77)% 1.70% 1.46% -- 32,505
December 31, 2004 (10.05)% 1.62% (0.28)% -- 19,076
December 31, 2003 (23.78)% 1.67% (0.59)% -- 17,822
December 31, 2002 21.64% 1.79% (0.24)% -- 36,195
OTC FUND
DECEMBER 31, 2006 5.77% 1.49% (0.50)% 152% 72,871
December 31, 2005 1.11% 1.50% (0.68)% 294% 102,487
December 31, 2004 9.35% 1.47% (0.17)% 418% 191,476
December 31, 2003 45.41% 1.53% (1.20)% 482% 127,836
December 31, 2002 (38.85)% 1.74% (1.58)% 183% 77,635
INVERSE OTC FUND
DECEMBER 31, 2006 (1.40)% 1.64% 3.35% -- 23,929
December 31, 2005 1.27% 1.63% 1.49% -- 19,648
December 31, 2004 (11.83)% 1.64% (0.35)% -- 23,928
December 31, 2003 (37.37)% 1.68% (0.73)% -- 34,563
December 31, 2002 33.85% 1.77% (0.49)% -- 24,229
DYNAMIC S&P 500 FUND
DECEMBER 31, 2006 23.70% 1.64% 1.13% 168% 37,663
December 31, 2005 3.38% 1.65% 0.55% 585% 25,397
December 31, 2004 16.90% 1.65% 0.09% 974% 29,053
December 31, 2003 54.94% 1.69% (0.55)% 1,085% 30,428
December 31, 2002 (46.00)% 1.74% (0.49)% -- 2,122
DYNAMIC OTC FUND
DECEMBER 31, 2006 4.86% 1.65% 0.14% 250% 29,673
December 31, 2005 (3.03)% 1.65% (0.42)% 343% 44,313
December 31, 2004 14.21% 1.65% (0.29)% 662% 57,599
December 31, 2003 98.63% 1.71% (1.10)% 959% 40,632
December 31, 2002 (69.46)% 1.77% (0.79)% -- 3,346
* 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.
# LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00378.
202 | THE RYDEX VARIABLE TRUST 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 INCREASE
NET REALIZED (DECREASE)
NET ASSET NET AND IN NET ASSET
VALUE, INVESTMENT UNREALIZED VALUE
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS
- -----------------------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
DECEMBER 31, 2006 $ 30.15 $ .11 $ 3.23 $ 3.34
December 31, 2005 26.50 (.02) 3.75 3.73
December 31, 2004 24.74 (.09) 4.96 4.87
December 31, 2003 17.77 (.12) 9.44 9.32
December 31, 2002 31.21 (.12) (7.18) (7.30)
INVERSE MID-CAP FUND
DECEMBER 31, 2006 39.15 1.32 (2.83) (1.51)
December 31, 2005 44.03 .70 (4.31) (3.61)
December 31, 2004* 50.00 (.06) (5.91) (5.97)
DYNAMIC RUSSELL 2000(R) FUND
DECEMBER 31, 2006* 25.00 .05 .96 1.01
RUSSELL 2000(R) ADVANTAGE FUND
DECEMBER 31, 2006 34.14 .19 6.93 7.12
December 31, 2005 33.65 .01 1.31 1.32
December 31, 2004 29.75 (.10) 6.95 6.85
December 31, 2003 20.11 (.18) 13.11 12.93
December 31, 2002 31.91 (.17) (11.08) (11.25)
INVERSE RUSSELL 2000(R) FUND
DECEMBER 31, 2006 40.60 1.30 (6.16) (4.86)
December 31, 2005 42.83 .65 (1.98) (1.33)
December 31, 2004* 50.00 (.10) (7.07) (7.17)
GOVERNMENT LONG BOND ADVANTAGE FUND
DECEMBER 31, 2006 12.38 .42 (.82) (.40)
December 31, 2005 11.88 .41 .50 .91
December 31, 2004 11.67 .40 .54 .94
December 31, 2003 13.08 .41 (.52) (.11)
December 31, 2002 11.44 .44 1.64 2.08
INVERSE GOVERNMENT LONG BOND FUND
DECEMBER 31, 2006 20.80 .69 .97 1.66
December 31, 2005 21.95 (.07) (1.08) (1.15)
December 31, 2004 24.82 (.66) (1.98) (2.64)
December 31, 2003* 25.00 (.13) (.05) (.18)
EUROPE ADVANTAGE FUND
DECEMBER 31, 2006 23.84 .70 6.31 7.01
December 31, 2005 22.62 .21 1.23 1.44
December 31, 2004 22.87 (.05) 3.71 3.66
December 31, 2003 19.52 (.17) 8.58 8.41
December 31, 2002 28.01 (.09) (7.84) (7.93)
DISTRIBUTIONS
DISTRIBUTIONS FROM NET NET INCREASE NET ASSET
FROM NET REALIZED (DECREASE) IN VALUE,
INVESTMENT CAPITAL TOTAL NET ASSET END OF
YEAR ENDED INCOME GAINS DISTRIBUTIONS VALUE PERIOD
- ----------------------------------------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
DECEMBER 31, 2006 $ (.13) $ (9.16) $ (9.29) $ (5.95) $ 24.20
December 31, 2005 -- (.08) (.08) 3.65 30.15
December 31, 2004 -- (3.11) (3.11) 1.76 26.50
December 31, 2003 -- (2.35) (2.35) 6.97 24.74
December 31, 2002 -- (6.14) (6.14) (13.44) 17.77
INVERSE MID-CAP FUND
DECEMBER 31, 2006 (.68) -- (.68) (2.19) 36.96
December 31, 2005 (1.27) -- (1.27) (4.88) 39.15
December 31, 2004* -- -- -- (5.97) 44.03
DYNAMIC RUSSELL 2000(R) FUND
DECEMBER 31, 2006* (.04) -- (.04) .97 25.97
RUSSELL 2000(R) ADVANTAGE FUND
DECEMBER 31, 2006 (.12) -- (.12) 7.00 41.14
December 31, 2005 (.83) -- (.83) .49 34.14
December 31, 2004 -- (2.95) (2.95) 3.90 33.65
December 31, 2003 -- (3.29) (3.29) 9.64 29.75
December 31, 2002 -- (.55) (.55) (11.80) 20.11
INVERSE RUSSELL 2000(R) FUND
DECEMBER 31, 2006 (1.13) -- (1.13) (5.99) 34.61
December 31, 2005 (.90) -- (.90) (2.23) 40.60
December 31, 2004* -- -- -- (7.17) 42.83
GOVERNMENT LONG BOND ADVANTAGE FUND
DECEMBER 31, 2006 (.42) -- (.42) (.82) 11.56
December 31, 2005 (.41) -- (.41) .50 12.38
December 31, 2004 (.40) (.33) (.73) .21 11.88
December 31, 2003 (.41) (.89) (1.30) (1.41) 11.67
December 31, 2002 (.44) -- (.44) 1.64 13.08
INVERSE GOVERNMENT LONG BOND FUND
DECEMBER 31, 2006 (.91) -- (.91) .75 21.55
December 31, 2005 -- -- -- (1.15) 20.80
December 31, 2004 -- (.23) (.23) (2.87) 21.95
December 31, 2003* -- -- -- (.18) 24.82
EUROPE ADVANTAGE FUND
DECEMBER 31, 2006 (.48) (.77) (1.25) 5.76 29.60
December 31, 2005 (.09) (.13) (.22) 1.22 23.84
December 31, 2004 (3.82) (.09) (3.91) (.25) 22.62
December 31, 2003 -- (5.06) (5.06) 3.35 22.87
December 31, 2002 (.01) (.55) (.56) (8.49) 19.52
RATIOS TO
AVERAGE NET ASSETS:
------------------------
NET NET ASSETS,
TOTAL INVESTMENT PORTFOLIO END OF
INVESTMENT TOTAL NET OPERATING INCOME TURNOVER PERIOD (000'S
YEAR ENDED RETURN EXPENSES EXPENSES EXPENSES++ (LOSS) RATE*** OMITTED)
- -----------------------------------------------------------------------------------------------------------------------------
MID-CAP ADVANTAGE FUND
DECEMBER 31, 2006 10.46% 1.64% 1.64% 1.64% 0.34% 478% $ 38,986
December 31, 2005 14.07% 1.65% 1.65% 1.65% (0.05)% 573% 51,197
December 31, 2004 22.14% 1.64% 1.64% 1.64% (0.37)% 866% 34,162
December 31, 2003 52.43% 1.70% 1.70% 1.70% (0.54)% 1,665% 18,544
December 31, 2002 (24.44)% 1.75% 1.75% 1.75% (0.49)% 4,320% 6,707
INVERSE MID-CAP FUND
DECEMBER 31, 2006 (3.83)% 1.65% 1.65% 1.65% 3.49% -- 5,959
December 31, 2005 (8.16)% 1.64% 1.64% 1.64% 1.65% -- 2,846
December 31, 2004* (11.94)% 1.62%** 1.62%** 1.62%** (0.17)%** -- 1,319
DYNAMIC RUSSELL 2000(R) FUND
DECEMBER 31, 2006* 4.06% 1.64%** 1.64%** 1.64%** 1.02%** 60% 4,584
RUSSELL 2000(R) ADVANTAGE FUND
DECEMBER 31, 2006 20.85% 1.64% 1.64% 1.64% 0.49% 380% 73,112
December 31, 2005 3.91% 1.63% 1.63% 1.63% 0.04% 404% 38,589
December 31, 2004 25.20% 1.65% 1.65% 1.65% (0.32)% 1,171% 112,649
December 31, 2003 64.28% 1.70% 1.70% 1.70% (0.66)% 1,135% 122,995
December 31, 2002 (35.45)% 1.74% 1.74% 1.74% (0.70)% 1,940% 12,947
INVERSE RUSSELL 2000(R) FUND
DECEMBER 31, 2006 (11.95)% 1.64% 1.64% 1.64% 3.48% -- 12,237
December 31, 2005 (3.07)% 1.63% 1.63% 1.63% 1.49% -- 11,850
December 31, 2004* (14.34)% 1.65%** 1.65%** 1.65%** (0.29)%** -- 4,344
GOVERNMENT LONG BOND ADVANTAGE FUND
DECEMBER 31, 2006 (3.14%) 1.20% 1.20% 1.20% 3.66% 1,339% 50,420
December 31, 2005 7.71% 1.18% 1.18% 1.18% 3.30% 1,284% 60,160
December 31, 2004 8.42% 1.21% 1.21% 1.21% 3.36% 1,318% 48,709
December 31, 2003 (0.64)% 1.23% 1.23% 1.23% 3.26% 1,272% 65,358
December 31, 2002 18.62% 1.24% 1.24% 1.24% 3.65% 1,239% 25,190
INVERSE GOVERNMENT LONG BOND FUND
DECEMBER 31, 2006 8.11% 5.12% 5.12% 1.63% 3.08% 597% 29,246
December 31, 2005 (5.24)% 5.11% 5.11% 1.63% (0.33)% 589% 29,671
December 31, 2004 (10.67)% 5.02% 5.02% 1.63% (2.86)% -- 41,098
December 31, 2003* (0.72)% 1.69%** 1.69%** 1.69%** (0.74)%** -- 22,355
EUROPE ADVANTAGE FUND
DECEMBER 31, 2006 29.51% 1.65% 1.65% 1.65% 2.55% 219% 89,490
December 31, 2005 6.36% 1.63% 1.63% 1.63% 0.94% 399% 25,954
December 31, 2004 16.15% 1.64% 1.64% 1.64% (0.23)% -- 54,994
December 31, 2003 43.08% 1.70% 1.70% 1.70% (0.75)% -- 38,443
December 31, 2002 (28.35)% 1.78% 1.78% 1.78% (0.41)% -- 3,082
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 1, 2003 -- INVERSE GOVERNMENT
LONG BOND FUND; MAY 3, 2004 -- INVERSE MID-CAP FUND AND INVERSE RUSSELL
2000(R) FUND; OCTOBER 27, 2006 -- DYNAMIC RUSSELL 2000(R) FUND.
** 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.
++ OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 203
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 INCREASE
NET REALIZED (DECREASE) DISTRIBUTIONS
NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET
VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
JAPAN ADVANTAGE FUND
DECEMBER 31, 2006 $ 33.42 $ 1.02 $ .50 $ 1.52 $ (1.29) $ (6.52) $ (7.81)
December 31, 2005 27.77 .48 5.17 5.65 -- -- --
December 31, 2004 25.17 (.14) 2.74 2.60 -- -- --
December 31, 2003 18.29 (.16) 7.04 6.88 -- -- --
December 31, 2002 21.91 (.08) (3.46) (3.54) -- (.08) (.08)
DYNAMIC DOW FUND
DECEMBER 31, 2006 23.10 .40 6.58 6.98 (.15) (3.04) (3.19)
December 31, 2005 25.89 .24 (1.25) (1.01) (.17) (1.61) (1.78)
December 31, 2004* 25.00 .14 2.03 2.17 (1.16) (.12) (1.28)
INVERSE DYNAMIC DOW FUND
DECEMBER 31, 2006 43.20 1.35 (10.75) (9.40) (.46) -- (.46)
December 31, 2005 43.22 .74 (.06) .68 (.70) -- (.70)
December 31, 2004* 50.00 (.03) (5.71) (5.74) -- (1.04) (1.04)
SMALL-CAP VALUE FUND
DECEMBER 31, 2006 25.67 .18 4.74 4.92 (.17) (1.82) (1.99)
December 31, 2005 28.84 (.05) 1.13 1.08 -- (4.25) (4.25)
December 31, 2004* 25.00 .01 4.50 4.51 (.01) (.66) (.67)
MID-CAP VALUE FUND
DECEMBER 31, 2006 19.27 .28 3.01 3.29 (.18) -- (.18)
December 31, 2005 27.08 .07 2.28 2.35 (.20) (9.96) (10.16)
December 31, 2004* 25.00 -- 3.80 3.80 (--)# (1.72) (1.72)
LARGE-CAP VALUE FUND
DECEMBER 31, 2006 27.90 .39 4.53 4.92 (.25) (.79) (1.04)
December 31, 2005 27.68 .21 .95 1.16 (.15) (.79) (.94)
December 31, 2004* 25.00 .12 3.00 3.12 (.11) (.33) (.44)
SMALL-CAP GROWTH FUND
DECEMBER 31, 2006 28.64 (.31) 2.54 2.23 -- (.95) (.95)
December 31, 2005 28.55 (.21) 2.00 1.79 -- (1.70) (1.70)
December 31, 2004* 25.00 (.17) 4.12 3.95 -- (.40) (.40)
MID-CAP GROWTH FUND
DECEMBER 31, 2006 30.24 (.28) 1.26 .98 -- (1.89) (1.89)
December 31, 2005 27.13 (.20) 3.31 3.11 -- -- --
December 31, 2004* 25.00 (.13) 2.26 2.13 -- -- --
LARGE-CAP GROWTH FUND
DECEMBER 31, 2006 25.69 (.17) 1.56 1.39 -- (.40) (.40)
December 31, 2005 25.75 (.01) .47 .46 (.02) (.50) (.52)
December 31, 2004* 25.00 .36 .71 1.07 (.15) (.17) (.32)
DYNAMIC STRENGHTHENING
DOLLAR FUND
DECEMBER 31, 2006 25.62 .79 (3.51) (2.72) (.31) -- (.31)
December 31, 2005* 25.00 .14 .65 .79 (.17) -- (.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 TOTAL INCOME TURNOVER PERIOD (000'S
YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED)
- --------------------------------------------------------------------------------------------------------------------
JAPAN ADVANTAGE FUND
DECEMBER 31, 2006 $ (6.29) $ 27.13 5.14% 1.63% 2.99% -- $ 30,510
December 31, 2005 5.65 33.42 20.35% 1.70% 1.72% -- 55,219
December 31, 2004 2.60 27.77 10.33% 1.63% (0.50)% -- 14,228
December 31, 2003 6.88 25.17 37.62% 1.69% (0.75)% -- 11,541
December 31, 2002 (3.62) 18.29 (16.20)% 1.80% (0.38)% -- 3,590
DYNAMIC DOW FUND
DECEMBER 31, 2006 3.79 26.89 30.54% 1.65% 1.52% 224% 45,365
December 31, 2005 (2.79) 23.10 (3.81)% 1.67% 1.03% 666% 12,920
December 31, 2004* .89 25.89 8.65% 1.63%** 0.91%** 907% 10,419
INVERSE DYNAMIC DOW FUND
DECEMBER 31, 2006 (9.86) 33.34 (21.77)% 1.64% 3.61% -- 17,053
December 31, 2005 (.02) 43.20 1.63% 1.65% 1.67% -- 7,257
December 31, 2004* (6.78) 43.22 (11.47)% 1.62%** (0.09)%** -- 3,184
SMALL-CAP VALUE FUND
DECEMBER 31, 2006 2.93 28.60 19.21% 1.49% 0.64% 433% 34,124
December 31, 2005 (3.17) 25.67 3.64% 1.47% (0.16)% 825% 19,035
December 31, 2004* 3.84 28.84 18.03% 1.46%** 0.07%** 507% 47,274
MID-CAP VALUE FUND
DECEMBER 31, 2006 3.11 22.38 17.08% 1.49% 1.37% 307% 28,254
December 31, 2005 (7.81) 19.27 8.32% 1.48% 0.26% 1,133% 14,232
December 31, 2004* 2.08 27.08 15.20% 1.48%** 0.01%** 1,173% 19,479
LARGE-CAP VALUE FUND
DECEMBER 31, 2006 3.88 31.78 17.66% 1.50% 1.29% 401% 83,323
December 31, 2005 .22 27.90 4.19% 1.50% 0.77% 493% 24,547
December 31, 2004* 2.68 27.68 12.49% 1.45%** 0.69%** 983% 11,144
SMALL-CAP GROWTH FUND
DECEMBER 31, 2006 1.28 29.92 7.73% 1.49% (1.01)% 769% 23,300
December 31, 2005 .09 28.64 6.20% 1.50% (0.72)% 737% 24,308
December 31, 2004* 3.55 28.55 15.82% 1.46%** (0.93)%** 733% 30,269
MID-CAP GROWTH FUND
DECEMBER 31, 2006 (.91) 29.33 3.13% 1.47% (0.90)% 462% 15,440
December 31, 2005 3.11 30.24 11.46% 1.52% (0.70)% 1,178% 53,035
December 31, 2004* 2.13 27.13 8.52% 1.46%** (0.75)%** 875% 20,702
LARGE-CAP GROWTH FUND
DECEMBER 31, 2006 .99 26.68 5.40% 1.49% (0.66)% 612% 23,568
December 31, 2005 (.06) 25.69 1.77% 1.52% (0.03)% 1,111% 22,538
December 31, 2004* .75 25.75 4.26% 1.46%** 2.12%** 1,087% 20,012
DYNAMIC STRENGHTHENING
DOLLAR FUND
DECEMBER 31, 2006 (3.03) 22.59 (10.63)% 1.65% 3.33% -- 3,067
December 31, 2005* .62 25.62 3.16% 1.78%** 2.11%** -- 1,250
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 3, 2004 -- DYNAMIC DOW FUND,
INVERSE DYNAMIC DOW FUND, SMALL-CAP VALUE FUND, MID-CAP VALUE FUND,
LARGE-CAP VALUE FUND, SMALL-CAP GROWTH FUND, MID-CAP GROWTH FUND AND
LARGE-CAP GROWTH FUND; SEPTEMBER 30, 2005 -- DYNAMIC STRENGTHENING DOLLAR
FUND.
** 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.
# LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00454.
204 | THE RYDEX VARIABLE TRUST 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 INCREASE
NET REALIZED (DECREASE) DISTRIBUTIONS
NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET
VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
DYNAMIC WEAKENING DOLLAR
FUND
DECEMBER 31, 2006 $ 24.31 $ .93 $ 3.14 $ 4.07 $ (.86) $ (.01) $ (.87)
December 31, 2005* 25.00 .15 (.78) (.63) (.06) -- (.06)
MULTI-CAP CORE EQUITY
FUND
DECEMBER 31, 2006 25.04 .08 3.52 3.60 (.01) (.03) (.04)
December 31, 2005* 25.00 .01 .03 .04 -- -- --
SECTOR ROTATION FUND
DECEMBER 31, 2006 12.68 (.02) 1.48 1.46 -- (.67) (.67)
December 31, 2005 11.16 (.02) 1.54 1.52 -- -- --
December 31, 2004 10.08 (.05) 1.13 1.08 -- -- --
December 31, 2003 7.76 (.07) 2.39 2.32 -- -- --
December 31, 2002* 10.00 (.01) (2.23) (2.24) -- -- --
U.S. GOVERNMENT MONEY
MARKET FUND
DECEMBER 31, 2006 1.00 .04 -- .04 (.04) -- (.04)
December 31, 2005 1.00 .02 -- .02 (.02) -- (.02)
December 31, 2004 1.00 --### -- -- (--)### -- (--)###
December 31, 2003 1.00 --## -- -- (--)## -- (--)##
December 31, 2002 1.00 --# -- -- (--)# -- (--)#
BANKING FUND
DECEMBER 31, 2006 29.69 .44 2.89 3.33 (.58) -- (.58)
December 31, 2005 36.29 .44 (1.52) (1.08) (.49) (5.03) (5.52)
December 31, 2004 32.50 .35 4.38 4.73 (.11) (.83) (.94)
December 31, 2003 24.95 .36 7.52 7.88 (.33) -- (.33)
December 31, 2002 25.21 .28 (.47) (.19) (.07) -- (.07)
BASIC MATERIALS FUND
DECEMBER 31, 2006 27.87 .32 5.90 6.22 (.31) (.45) (.76)
December 31, 2005 32.66 .12 0.80 0.92 (.13) (5.58) (5.71)
December 31, 2004 27.69 .09 5.58 5.67 (.01) (.69) (.70)
December 31, 2003 21.07 .04 6.59 6.63 (.01) -- (.01)
December 31, 2002 24.21 .09 (3.17) (3.08) (.06) -- (.06)
BIOTECHNOLOGY FUND
DECEMBER 31, 2006 21.37 (.32) (.39) (.71) -- -- --
December 31, 2005 19.31 (.31) 2.37 2.06 -- -- --
December 31, 2004 19.10 (.29) .50 .21 -- -- --
December 31, 2003 13.44 (.28) 5.94 5.66 -- -- --
December 31, 2002 24.67 (.28) (10.91) (11.19) -- (.04) (.04)
COMMODITIES FUND
DECEMBER 31, 2006 22.10 .50 (4.45) (3.95) -- -- --
December 31, 2005* 25.00 .14 (2.98) (2.84) (.06) -- (.06)
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 NET INCOME TURNOVER PERIOD (000'S
YEAR ENDED VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED)
- -----------------------------------------------------------------------------------------------------------------------------
DYNAMIC WEAKENING DOLLAR
FUND
DECEMBER 31, 2006 $ 3.20 $ 27.51 16.72% 1.65% 1.65% 3.46% -- $ 11,155
December 31, 2005* (.69) 24.31 (2.53)% 1.76%** 1.76%** 2.28%** -- 2,954
MULTI-CAP CORE EQUITY
FUND
DECEMBER 31, 2006 3.56 28.60 14.36% 1.43% 1.43% 0.29% 171% 8,358
December 31, 2005* 0.04 25.04 0.16% 1.67%** 1.67%** 0.33%** 8% 2,860
SECTOR ROTATION FUND
DECEMBER 31, 2006 .79 13.47 11.47% 1.64% 1.64% (0.16)% 353% 87,673
December 31, 2005 1.52 12.68 13.62% 1.70% 1.70% (0.20)% 281% 61,834
December 31, 2004 1.08 11.16 10.71% 1.63% 1.63% (0.52)% 333% 27,747
December 31, 2003 2.32 10.08 29.97% 1.70% 1.70% (0.78)% 401% 20,594
December 31, 2002* (2.24) 7.76 (22.40)% 1.69%** 1.69%** (0.16)%** 357% 6,669
U.S. GOVERNMENT MONEY
MARKET FUND
DECEMBER 31, 2006 -- 1.00 3.82% 1.19% 1.19% 3.78% -- 208,148
December 31, 2005 -- 1.00 2.00% 1.17% 1.17% 1.96% -- 185,365
December 31, 2004 -- 1.00 0.23% 1.19% 1.10% 0.20% -- 167,678
December 31, 2003 -- 1.00 0.01% 1.22% 1.11% 0.01% -- 232,493
December 31, 2002 -- 1.00 0.47% 1.23% 1.23% 0.44% -- 258,953
BANKING FUND
DECEMBER 31, 2006 2.75 32.44 11.25% 1.59% 1.59% 1.42% 259% 24,348
December 31, 2005 (6.60) 29.69 (2.77)% 1.58% 1.58% 1.34% 532% 14,580
December 31, 2004 3.79 36.29 14.74% 1.59% 1.59% 1.02% 884% 21,920
December 31, 2003 7.55 32.50 31.74% 1.65% 1.65% 1.24% 1,268% 17,115
December 31, 2002 (.26) 24.95 (0.78)% 1.67% 1.67% 1.10% 1,813% 5,008
BASIC MATERIALS FUND
DECEMBER 31, 2006 5.46 33.33 22.29% 1.60% 1.60% 1.02% 225% 58,622
December 31, 2005 (4.79) 27.87 4.04% 1.57% 1.57% 0.41% 364% 28,317
December 31, 2004 4.97 32.66 20.83% 1.59% 1.59% 0.30% 725% 46,162
December 31, 2003 6.62 27.69 31.46% 1.67% 1.67% 0.17% 1,175% 44,561
December 31, 2002 (3.14) 21.07 (12.75)% 1.75% 1.75% 0.38% 1,848% 901
BIOTECHNOLOGY FUND
DECEMBER 31, 2006 (.71) 20.66 (3.32)% 1.59% 1.59% (1.48)% 379% 10,754
December 31, 2005 2.06 21.37 10.67% 1.66% 1.66% (1.59)% 652% 36,086
December 31, 2004 .21 19.31 1.10% 1.59% 1.59% (1.51)% 1,169% 6,588
December 31, 2003 5.66 19.10 42.11% 1.64% 1.64% (1.61)% 1,475% 12,557
December 31, 2002 (11.23) 13.44 (45.35)% 1.79% 1.79% (1.76)% 3,483% 3,575
COMMODITIES FUND
DECEMBER 31, 2006 (3.95) 18.15 (17.87)% 1.50% 1.31% 2.34% 109% 20,269
December 31, 2005* (2.90) 22.10 (11.34)% 1.64%** 1.64%** 2.41%** -- 28,187
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 1, 2002 -- SECTOR ROTATION FUND;
SEPTEMBER 30, 2005 -- DYNAMIC WEAKENING DOLLAR FUND AND COMMODITIES FUND;
NOVEMBER 29, 2005 -- MULTI-CAP CORE EQUITY FUND.
** 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.
# LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00471.
## LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00011.
### LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00199.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 205
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 INCREASE
NET REALIZED (DECREASE) DISTRIBUTIONS
NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET
VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND
DECEMBER 31, 2006 $ 31.63 $ .48 $ 5.03 $ 5.51 $ (.27) $ (.32) $ (.59)
December 31, 2005 32.95 .14 (.26) (.12) (.17) (1.03) (1.20)
December 31, 2004 29.39 .11 3.78 3.89 (.01) (.32) (.33)
December 31, 2003 24.36 .01 5.29 5.30 (.02) (.25) (.27)
December 31, 2002 25.32 .04 (.95) (.91) (.01) (.04) (.05)
ELECTRONICS FUND
DECEMBER 31, 2006 13.68 (.15) .49 .34 -- -- --
December 31, 2005 13.17 (.16) .67 .51 -- -- --
December 31, 2004 16.88 (.20) (3.51) (3.71) -- -- --
December 31, 2003 9.94 (.21) 7.15 6.94 -- -- --
December 31, 2002 20.64 (.24) (9.67) (9.91) -- (.79) (.79)
ENERGY FUND
DECEMBER 31, 2006 39.20 (.13) 5.28 5.15 -- (11.21) (11.21)
December 31, 2005 29.68 -- 11.44 11.44 (.01) (1.91) (1.92)
December 31, 2004 22.45 .01 7.23 7.24 (--) # (.01) (.01)
December 31, 2003 18.25 .01 4.19 4.20 -- -- --
December 31, 2002 21.10 (.02) (2.83) (2.85) -- -- --
ENERGY SERVICES FUND
DECEMBER 31, 2006 30.92 (.37) 4.01 3.64 -- (4.77) (4.77)
December 31, 2005 20.85 (.30) 10.37 10.07 -- -- --
December 31, 2004 15.59 (.22) 5.48 5.26 -- -- --
December 31, 2003 14.38 (.16) 1.37 1.21 -- -- --
December 31, 2002 17.74 (.17) (2.08) (2.25) -- (1.11) (1.11)
FINANCIAL SERVICES FUND
DECEMBER 31, 2006 29.10 .26 4.59 4.85 (.39) (1.38) (1.77)
December 31, 2005 30.38 .28 .67 .95 (.25) (1.98) (2.23)
December 31, 2004 26.00 .23 4.21 4.44 (.06) -- (.06)
December 31, 2003 20.19 .14 5.70 5.84 (.03) -- (.03)
December 31, 2002 23.90 .09 (3.69) (3.60) -- (.11) (.11)
HEALTH CARE FUND
DECEMBER 31, 2006 28.17 (.15) 1.59 1.44 -- (1.20) (1.20)
December 31, 2005 25.46 (.16) 2.87 2.71 -- -- --
December 31, 2004 24.28 (.16) 1.65 1.49 -- (.31) (.31)
December 31, 2003 18.71 (.19) 5.76 5.57 -- -- --
December 31, 2002 23.82 (.09) (4.98) (5.07) -- (.04) (.04)
INTERNET FUND
DECEMBER 31, 2006 14.74 (.21) 1.64 1.43 -- -- --
December 31, 2005 17.01 (.21) (.13) (.34) -- (1.93) (1.93)
December 31, 2004 14.68 (.23) 2.56 2.33 -- -- --
December 31, 2003 8.93 (.20) 5.95 5.75 -- -- --
December 31, 2002 15.76 (.17) (6.66) (6.83) -- -- --
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
YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED)
- --------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS FUND
DECEMBER 31, 2006 $ 4.92 $ 36.55 17.42% 1.59% 1.41% 219% $ 43,007
December 31, 2005 (1.32) 31.63 (0.40)% 1.58% 0.42% 357% 22,177
December 31, 2004 3.56 32.95 13.30% 1.59% 0.36% 730% 24,433
December 31, 2003 5.03 29.39 21.86% 1.63% 0.12% 936% 8,818
December 31, 2002 (.96) 24.36 (3.61)% 1.72% 0.18% 985% 6,153
ELECTRONICS FUND
DECEMBER 31, 2006 .34 14.02 2.49% 1.59% (1.02)% 477% 3,856
December 31, 2005 .51 13.68 3.87% 1.62% (1.24)% 1,136% 8,306
December 31, 2004 (3.71) 13.17 (21.98)% 1.59% (1.34)% 1,325% 12,289
December 31, 2003 6.94 16.88 69.82% 1.65% (1.51)% 1,264% 27,918
December 31, 2002 (10.70) 9.94 (48.21)% 1.84% (1.63)% 2,685% 4,384
ENERGY FUND
DECEMBER 31, 2006 (6.06) 33.14 11.93% 1.59% (0.31)% 146% 70,190
December 31, 2005 9.52 39.20 38.54% 1.59% (0.01)% 351% 83,437
December 31, 2004 7.23 29.68 32.27% 1.58% 0.04% 542% 60,501
December 31, 2003 4.20 22.45 23.01% 1.66% 0.04% 1,225% 31,832
December 31, 2002 (2.85) 18.25 (13.51)% 1.72% (0.13)% 1,341% 5,834
ENERGY SERVICES FUND
DECEMBER 31, 2006 (1.13) 29.79 10.98% 1.59% (1.08)% 184% 43,910
December 31, 2005 10.07 30.92 48.30% 1.61% (1.17)% 317% 79,722
December 31, 2004 5.26 20.85 33.74% 1.58% (1.19)% 808% 29,316
December 31, 2003 1.21 15.59 8.41% 1.65% (1.13)% 2,691% 7,754
December 31, 2002 (3.36) 14.38 (12.07)% 1.71% (1.00)% 2,159% 4,427
FINANCIAL SERVICES FUND
DECEMBER 31, 2006 3.08 32.18 16.73% 1.59% 0.83% 330% 50,190
December 31, 2005 (1.28) 29.10 3.38% 1.59% 0.94% 549% 36,839
December 31, 2004 4.38 30.38 17.12% 1.59% 0.84% 762% 45,180
December 31, 2003 5.81 26.00 28.92% 1.64% 0.61% 2,039% 15,581
December 31, 2002 (3.71) 20.19 (15.10)% 1.85% 0.41% 1,727% 2,748
HEALTH CARE FUND
DECEMBER 31, 2006 .24 28.41 5.11% 1.59% (0.52)% 251% 40,825
December 31, 2005 2.71 28.17 10.64% 1.60% (0.62)% 330% 51,692
December 31, 2004 1.18 25.46 6.22% 1.59% (0.67)% 629% 30,435
December 31, 2003 5.57 24.28 29.77% 1.64% (0.88)% 1,222% 27,880
December 31, 2002 (5.11) 18.71 (21.31)% 1.70% (0.45)% 1,617% 5,164
INTERNET FUND
DECEMBER 31, 2006 1.43 16.17 9.70% 1.58% (1.33)% 420% 9,381
December 31, 2005 (2.27) 14.74 (1.38)% 1.61% (1.36)% 676% 20,959
December 31, 2004 2.33 17.01 15.87% 1.58% (1.49)% 693% 36,922
December 31, 2003 5.75 14.68 64.39% 1.65% (1.59)% 957% 25,101
December 31, 2002 (6.83) 8.93 (43.34)% 1.75% (1.69)% 3,041% 3,703
* 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.
# LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00170.
206 | THE RYDEX VARIABLE TRUST 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 INCREASE
NET REALIZED (DECREASE) DISTRIBUTIONS
NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET
VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
LEISURE FUND
DECEMBER 31, 2006 $ 21.96 $ (.02) $ 5.17 $ 5.15 $ -- $ (.92) $ (.92)
December 31, 2005 25.39 (.19) (1.03) (1.22) -- (2.21) (2.21)
December 31, 2004 20.80 (.17) 5.07 4.90 -- (.31) (.31)
December 31, 2003 15.42 (.08) 5.46 5.38 -- -- --
December 31, 2002 18.09 (.18) (2.49) (2.67) -- -- --
PRECIOUS METALS FUND
DECEMBER 31, 2006 10.36 (.03) 2.25 2.22 -- -- --
December 31, 2005 8.57 (.02) 1.81 1.79 -- -- --
December 31, 2004 9.99 (.05) (1.37) (1.42) -- -- --
December 31, 2003 7.09 (.03) 2.93 2.90 -- -- --
December 31, 2002 4.87 (.02) 2.24 2.22 -- -- --
REAL ESTATE FUND
DECEMBER 31, 2006 40.30 .72 11.68 12.40 (.83) (1.62) (2.45)
December 31, 2005 38.02 .71 2.01 2.72 (.44) -- (.44)
December 31, 2004 30.25 1.02 7.79 8.81 (.14) (.90) (1.04)
December 31, 2003 24.96 .94 6.62 7.56 (.85) (1.42) (2.27)
December 31, 2002 25.77 1.97 (2.26) (.29) (.48) (.04) (.52)
RETAILING FUND
DECEMBER 31, 2006 27.85 (.11) 2.92 2.81 -- (.88) (.88)
December 31, 2005 26.65 (.25) 1.70 1.45 -- (.25) (.25)
December 31, 2004 25.99 (.22) 2.62 2.40 -- (1.74) (1.74)
December 31, 2003 19.29 (.25) 7.05 6.80 -- (.10) (.10)
December 31, 2002 25.65 (.27) (5.30) (5.57) -- (.79) (.79)
TECHNOLOGY FUND
DECEMBER 31, 2006 13.92 (.16) .98 .82 -- -- --
December 31, 2005 13.50 (.16) .58 .42 -- -- --
December 31, 2004 14.88 (.05) .03 (.02) -- (1.36) (1.36)
December 31, 2003 9.92 (.18) 6.21 6.03 -- (1.07) (1.07)
December 31, 2002 18.61 (.18) (7.15) (7.33) -- (1.36) (1.36)
TELECOMMUNICATIONS FUND
DECEMBER 31, 2006 18.81 .15 3.52 3.67 (0.29) (0.28) (0.57)
December 31, 2005 20.53 .19 .06 .25 -- (1.97) (1.97)
December 31, 2004 18.22 (.02) 2.33 2.31 -- -- --
December 31, 2003 13.63 (.03) 4.62 4.59 -- (--)# (--)#
December 31, 2002 22.56 (.05) (8.88) (8.93) -- -- --
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
YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED)
- --------------------------------------------------------------------------------------------------------------------
LEISURE FUND
DECEMBER 31, 2006 $ 4.23 $ 26.19 23.47% 1.60% (0.07)% 221% $ 37,699
December 31, 2005 (3.43) 21.96 (4.87)% 1.56% (0.79)% 369% 13,961
December 31, 2004 4.59 25.39 23.86% 1.58% (0.74)% 663% 51,755
December 31, 2003 5.38 20.80 34.89% 1.65% (0.41)% 1,353% 30,016
December 31, 2002 (2.67) 15.42 (14.76)% 1.74% (0.98)% 1,976% 2,015
PRECIOUS METALS FUND
DECEMBER 31, 2006 2.22 12.58 21.43% 1.49% (0.26)% 228% 62,910
December 31, 2005 1.79 10.36 20.89% 1.57% (0.24)% 308% 68,241
December 31, 2004 (1.42) 8.57 (14.21)% 1.46% (0.54)% 519% 35,043
December 31, 2003 2.90 9.99 40.90% 1.54% (0.38)% 658% 44,606
December 31, 2002 2.22 7.09 45.59% 1.67% (0.29)% 1,001% 38,839
REAL ESTATE FUND
DECEMBER 31, 2006 9.95 50.25 30.72% 1.60% 1.54% 532% 83,181
December 31, 2005 2.28 40.30 7.15% 1.59% 1.84% 774% 29,074
December 31, 2004 7.77 38.02 29.54% 1.59% 3.06% 1,139% 26,915
December 31, 2003 5.29 30.25 30.31% 1.64% 3.26% 1,478% 12,183
December 31, 2002 (.81) 24.96 (1.12)% 1.68% 7.60% 1,927% 1,902
RETAILING FUND
DECEMBER 31, 2006 1.93 29.78 10.08% 1.59% (0.37)% 227% 28,306
December 31, 2005 1.20 27.85 5.48% 1.58% (0.90)% 421% 17,616
December 31, 2004 .66 26.65 10.06% 1.58% (0.83)% 609% 20,800
December 31, 2003 6.70 25.99 35.27% 1.64% (1.04)% 785% 15,149
December 31, 2002 (6.36) 19.29 (21.91)% 1.81% (1.23)% 1,668% 3,102
TECHNOLOGY FUND
DECEMBER 31, 2006 .82 14.74 5.89% 1.59% (1.09)% 403% 23,215
December 31, 2005 .42 13.92 3.11% 1.62% (1.21)% 541% 19,145
December 31, 2004 (1.38) 13.50 1.15% 1.58% (0.36)% 767% 19,919
December 31, 2003 4.96 14.88 61.32% 1.64% (1.39)% 1,302% 20,641
December 31, 2002 (8.69) 9.92 (39.11)% 1.71% (1.52)% 1,098% 5,021
TELECOMMUNICATIONS FUND
DECEMBER 31, 2006 3.10 21.91 19.51% 1.59% 0.72% 264% 33,337
December 31, 2005 (1.72) 18.81 1.16% 1.60% 0.98% 362% 16,898
December 31, 2004 2.31 20.53 12.68% 1.58% (0.08)% 809% 30,191
December 31, 2003 4.59 18.22 33.68% 1.64% (0.19)% 974% 14,543
December 31, 2002 (8.93) 13.63 (39.58)% 1.69% (0.39)% 855% 6,106
* 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.
# LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00020.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 207
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 INCREASE
NET REALIZED (DECREASE) DISTRIBUTIONS
NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET
VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED
BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION FUND
DECEMBER 31, 2006 $ 32.64 $ (.24) $ 2.65 $ 2.41 $ -- $ -- $ --
December 31, 2005 31.45 (.19) 2.64 2.45 -- (1.26) (1.26)
December 31, 2004 25.97 (.20) 6.09 5.89 -- (.41) (.41)
December 31, 2003 21.55 (.15) 4.57 4.42 -- -- --
December 31, 2002 24.40 (.14) (2.71) (2.85) -- -- --
UTILITIES FUND
DECEMBER 31, 2006 19.09 .36 3.64 4.00 (.49) (.22) (.71)
December 31, 2005 17.34 .34 1.50 1.84 (.09) -- (.09)
December 31, 2004 14.96 .33 2.24 2.57 (.19) -- (.19)
December 31, 2003 12.24 .31 2.77 3.08 (.36) -- (.36)
December 31, 2002 18.23 .33 (6.31) (5.98) (.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 TOTAL INCOME TURNOVER PERIOD (000'S
YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED)
- -----------------------------------------------------------------------------------------------------------------
TRANSPORTATION FUND
DECEMBER 31, 2006 $ 2.41 $ 35.05 7.38% 1.59% (0.68)% 249% $ 29,549
December 31, 2005 1.19 32.64 8.48% 1.58% (0.63)% 258% 31,378
December 31, 2004 5.48 31.45 22.99% 1.57% (0.71)% 473% 47,333
December 31, 2003 4.42 25.97 20.51% 1.64% (0.65)% 1,045% 8,032
December 31, 2002 (2.85) 21.55 (11.68)% 1.69% (0.63)% 1,435% 6,301
UTILITIES FUND
DECEMBER 31, 2006 3.29 22.38 20.96% 1.59% 1.73% 169% 71,719
December 31, 2005 1.75 19.09 10.56% 1.60% 1.80% 342% 39,943
December 31, 2004 2.38 17.34 17.31% 1.57% 2.06% 904% 21,902
December 31, 2003 2.72 14.96 25.40% 1.62% 2.29% 1,491% 13,430
December 31, 2002 (5.99) 12.24 (32.83)% 1.67% 2.54% 829% 23,846
* 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.
208 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Rydex Variable Trust (the "Trust"), a Delaware business 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 shares of the Funds to
insurance companies for their variable annuity and variable life insurance
contracts. At December 31, 2006, the Trust consisted of fifty-five operating
Funds: twenty-five Benchmark Funds, one Money Market Fund, one Absolute Return
Strategies Fund, one Hedged Equity Fund, nineteen Sector Funds, two Strategic
Funds, three Essential Portfolio Funds and three CLS Investment Firm AdvisorOne
Funds. This report covers the Benchmark, Money Market, Sector and Strategic
Funds (the "Funds"), while the Absolute Return Strategies Fund, the Hedged
Equity Fund, the Essential Portfolio Funds and the CLS AdvisorOne Funds are
contained in separate reports. Rydex Investments (the "Advisor") serves as
investment advisor to the Funds. Rydex Distributors, Inc. (the "Distributor")
acts as principal underwriter for the Trust.
SIGNIFICANT ACCOUNTING POLICIES
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 June 16, 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 Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Dynamic Dow
Fund, and the Inverse Dynamic Dow 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 December 31, 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 (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 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 their last bid price for the morning
cycle or 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 is accounted for
using the unrealized gain or loss on the contracts that is determined by marking
the contracts to their current realized settlement prices. Financial futures
contracts are valued as of the spot price at 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.
Debt securities with a maturity greater than 60 days, are valued at the last
traded fill price at the close of the Fund's pricing cycle, unless no trades
were executed, then at the reported bid price, at the close of the Fund's
pricing cycle, usually 4:00 p.m., Eastern Time.
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 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 agreement.
The value of foreign equity 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 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 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;
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 209
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
(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.
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 accrued daily. Dividends are reinvested in
additional shares unless shareholders request payment in cash. Distributions of
net investment income in the remaining Funds and distributions of net realized
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. 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.
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 Fund'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, equity 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 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
ceased investing in commodity index swaps after September 30, 2006.
I. 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 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.
J. 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.
210 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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.
K. 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.
L. The Funds may also purchase American Depository Receipts, U.S. Government
securities, enter into repurchase agreements, and engage in futures, options and
swap transactions.
M. The Funds may leave cash overnight in their cash account with the custodian,
U.S. Bank. 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.
N. 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.
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,
structured notes, 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 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
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 211
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
is creditworthy, a Fund does bear the risk of loss of the amount expected to be
received in the event of the default of 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 swap agreements 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. 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.
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, 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.
In addition to the inherent risks of derivative instruments discussed above, the
IRS issued a Revenue Ruling pertaining to commodity-linked swap agreements on
December 16, 2005. The Revenue Ruling may cause certain income derived from
commodity-linked swap agreements to not be considered qualifying income after
June 30, 2006, and would therefore limit the extent to which the Commodities
Fund may invest in such instruments to a maximum of 10 percent of its gross
income. On June 2, 2006, the IRS issued another Revenue Ruling which extended
the effective date of the original ruling to September 30, 2006.
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 0.50% 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 Nova Fund, the OTC 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 Commodities Fund and the Precious
Metals Fund; 0.85% of the average daily net assets of the Banking Fund, the
Basic Materials Fund, the Biotechnology Fund, the Consumer Products Fund, the
Electronics Fund, the Energy Fund, the Energy Services Fund, the Financial
Services Fund, the Health Care Fund, the Internet Fund, the Leisure Fund, the
Real Estate Fund, the Retailing Fund, the Technology Fund, the
Telecommunications Fund, the Transportation Fund, and the Utilities Fund; and
0.90% of the average daily net assets of the Inverse S&P 500 Fund, the Inverse
OTC Fund, the Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Mid-Cap Advantage
Fund, the Inverse Mid-Cap Fund, the Dynamic Russell 2000(R) Fund, the Russell
2000(R) Advantage Fund, the Inverse Russell 2000(R) Fund, the Inverse Government
Long Bond Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Dynamic
Dow Fund, the Inverse Dynamic Dow Fund, the Dynamic Strengthening Dollar Fund,
the Dynamic Weakening Dollar Fund, and the Sector Rotation Fund.
Also under the terms of the investment advisory contract, the Trustees voted to
implement a performance adjustment for the Multi-Cap Core Equity Fund, adding or
subtracting a performance rate up to 0.20%, allowing 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(R) 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. Based on the Fund's inception date, no
performance adjustment was made until after November 30, 2006. At December 31,
2006, the effective management fee was 0.50% of the Fund's average daily net
assets.
Effective May 1, 2006, the Advisor has contractually agreed to waive its
management fee to the extent necessary to limit the ordinary operating expenses
of the Fund (but excluding interest expenses, brokerage commissions and
extraordinary expenses) to not more than 1.29% per annum of the average monthly
net assets of the Fund (the "Contractual Fee Waiver"). The Contractual Fee
Waiver may not be modified or eliminated prior to May 1, 2007, except with the
approval of the Board of Trustees. There is no guarantee that the Contractual
Fee Waiver will continue beyond May 1, 2007. Certain officers and trustees of
the Trust are also officers of the Advisor.
212 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Rydex Investments, an affiliated entity, provides transfer agent and
administrative services to the Trust calculated at an annual percentage 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 Inverse S&P 500 Fund, the OTC Fund, the Inverse OTC
Fund, the Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Mid-Cap Advantage
Fund, the Inverse Mid-Cap Fund, the Dynamic Russell 2000(R) Fund, the Russell
2000(R) Advantage Fund, the Inverse Russell 2000(R) Fund, the Inverse Government
Long Bond Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Dynamic
Dow Fund, the Inverse Dynamic Dow 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 Multi-Cap Core Equity Fund, the Sector
Rotation Fund, the Banking Fund, the Basic Materials Fund, the Biotechnology
Fund, the Commodities Fund, the Consumer Products Fund, the Electronics Fund,
the Energy Fund, the Energy Services Fund, the Financial Services Fund, the
Health Care Fund, the Internet Fund, the Leisure Fund, the Precious Metals Fund,
the Real Estate Fund, the Retailing Fund, the Technology Fund, the
Telecommunications Fund, the Transportation Fund, and the Utilities 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 the Servicer.
Rydex Investments engages external service providers to perform other necessary
services for the Trust, such as audit related services, legal services, custody,
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.
Organizational and setup costs for new funds are paid by the Trust.
The Trust has adopted an Investor Services Plan for which the Distributor, an
affiliated entity, and other firms that provide shareholder services ("Service
Providers") may receive compensation. The Trust will pay fees to the Distributor
at an annual rate not to exceed 0.25% of average daily net assets. The
Distributor, in turn, will compensate Service Providers for providing such
services, while retaining a portion of such payments to compensate itself for
shareholder services it performs.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of Subchapter M of the Internal
Revenue Code and will distribute substantially 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 and capital loss
carryforward expired. 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.
The Fund's tax basis capital gains and losses are determined only at the end of
each fiscal year. Tax basis capital losses in excess of capital gains are
carried forward to offset future net capital gains. For the year ended December
31, 2006, the following Funds offset net realized capital gains with capital
losses from previous years:
FUND AMOUNT
- --------------------------------------------------------------------------------
Nova Fund $14,172,268
OTC Fund 313,632
Dynamic S&P 500 Fund 107,811
Dynamic OTC Fund 1,173,112
Russell 2000(R) Advantage Fund 3,123,551
Europe Advantage Fund 281,182
Banking Fund 341,785
Consumer Products Fund 182,926
Financial Services Fund 4,455
Internet Fund 1,194,531
Precious Metals Fund 1,796,934
Technology Fund 897,777
Utilities Fund 473,101
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 213
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
- -------------------------------------------------------------------------------------------
Nova Fund $1,341,115 $ -- $ -- $ 1,341,115
Inverse S&P 500 Fund 1,546,385 -- -- 1,546,385
OTC Fund -- -- -- --
Inverse OTC Fund 1,363,464 -- -- 1,363,464
Dynamic S&P 500 Fund 1,742,569 -- -- 1,742,569
Dynamic OTC Fund 27,820 -- -- 27,820
Mid-Cap Advantage Fund 6,443,388 1,406,371 -- 7,849,759
Inverse Mid-Cap Fund 122,428 -- -- 122,428
Dynamic Russell 2000(R) Fund 7,200 -- -- 7,200
Russell 2000(R) Advantage Fund 227,797 -- -- 227,797
Inverse Russell 2000(R) Fund 478,048 -- -- 478,048
Government Long Bond Advantage Fund 2,342,620 -- -- 2,342,620
Inverse Government Long Bond Fund 794,766 -- -- 794,766
Europe Advantage Fund 3,427,521 95,125 -- 3,522,646
Japan Advantage Fund 4,962,847 476,739 -- 5,439,586
Dynamic Dow Fund 3,421,440 711,086 -- 4,132,526
Inverse Dynamic Dow Fund 253,535 -- -- 253,535
Small-Cap Value Fund 796,173 863,878 -- 1,660,051
Mid-Cap Value Fund 212,382 -- -- 212,382
Large-Cap Value Fund 933,005 834,713 -- 1,767,718
Small-Cap Growth Fund 188,230 559,227 -- 747,457
Mid-Cap Growth Fund 708,980 362,610 -- 1,071,590
Large-Cap Growth Fund 300,944 62,603 -- 363,547
Dynamic Strengthening Dollar Fund 23,111 -- -- 23,111
Dynamic Weakening Dollar Fund 400,475 3,122 -- 403,597
Multi-Cap Core Equity Fund 10,163 -- -- 10,163
Sector Rotation Fund 422,244 3,857,789 -- 4,280,033
U.S. Government Money Market Fund 9,620,977 -- -- 9,620,977
Banking Fund 400,775 -- -- 400,775
Basic Materials Fund 650,459 479,742 -- 1,130,201
Biotechnology Fund -- -- -- --
Commodities Fund -- -- -- --
Consumer Products Fund 576,317 90,453 -- 666,770
Electronics Fund -- -- -- --
Energy Fund 8,102,643 9,987,236 -- 18,089,879
Energy Services Fund 352,839 6,216,435 -- 6,569,274
Financial Services Fund 2,321,852 194,488 -- 2,516,340
Health Care Fund 1,655,023 -- -- 1,655,023
Internet Fund -- -- -- --
Leisure Fund 803,877 440,187 -- 1,244,064
Precious Metals Fund -- -- -- --
Real Estate Fund 2,161,579 1,511,042 -- 3,672,621
Retailing Fund 200,751 586,650 -- 787,401
Technology Fund -- -- -- --
Telecommunications Fund 746,903 -- -- 746,903
Transportation Fund -- -- -- --
Utilities Fund 1,439,819 638,278 -- 2,078,097
214 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The tax character of distributions paid during 2005 was as follows:
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
- -------------------------------------------------------------------------------------------
Nova Fund $ 362,006 $ -- $ -- $ 362,006
Inverse S&P 500 Fund -- -- -- --
OTC Fund -- -- -- --
Inverse OTC Fund -- -- -- --
Dynamic S&P 500 Fund 1,127,573 1,043,681 -- 2,171,254
Dynamic OTC Fund -- -- -- --
Mid-Cap Advantage Fund -- 113,494 -- 113,494
Inverse Mid-Cap Fund 53,130 -- -- 53,130
Russell 2000(R) Advantage Fund 1,372,293 -- -- 1,372,293
Inverse Russell 2000(R) Fund 205,531 -- -- 205,531
Government Long Bond Advantage Fund 1,716,438 -- -- 1,716,438
Inverse Government Long Bond Fund -- -- -- --
Europe Advantage Fund 210,675 -- -- 210,675
Japan Advantage Fund -- -- -- --
Dynamic Dow Fund 455,304 227,465 -- 682,769
Inverse Dynamic Dow Fund 99,261 -- -- 99,261
Small-Cap Value Fund 1,700,056 269,455 -- 1,969,511
Mid-Cap Value Fund 4,448,848 585,595 15,280 5,049,723
Large-Cap Value Fund 629,610 52,333 -- 681,943
Small-Cap Growth Fund 1,571,693 52,519 -- 1,624,212
Mid-Cap Growth Fund -- -- -- --
Large-Cap Growth Fund 452,509 7,518 -- 460,027
Dynamic Strengthening Dollar Fund 8,367 -- -- 8,367
Dynamic Weakening Dollar Fund 7,332 -- -- 7,332
Multi-Cap Core Equity Fund -- -- -- --
Sector Rotation Fund -- -- -- --
U.S. Government Money Market Fund 4,700,836 -- -- 4,700,836
Banking Fund 2,276,609 73,581 -- 2,350,190
Basic Materials Fund 4,000,873 66,436 -- 4,067,309
Biotechnology Fund -- -- -- --
Commodities Fund -- -- 88,043 88,043
Consumer Products Fund 357,566 336,698 -- 694,264
Electronics Fund -- -- -- --
Energy Fund 4,642,282 151,920 -- 4,794,202
Energy Services Fund -- -- -- --
Financial Services Fund 1,758,219 304,631 -- 2,062,850
Health Care Fund -- -- -- --
Internet Fund 479,497 106,533 -- 586,030
Leisure Fund 1,799,873 302,370 -- 2,102,243
Precious Metals Fund -- -- -- --
Real Estate Fund 486,247 -- -- 486,247
Retailing Fund -- 373,393 -- 373,393
Technology Fund -- -- -- --
Telecommunications Fund 1,299,417 260,890 -- 1,560,307
Transportation Fund 645,383 -- -- 645,383
Utilities Fund 313,329 -- -- 313,329
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 215
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The tax character of distributable earnings/(accumulated losses) at December 31,
2006 was as follows:
UNDISTRIBUTED UNDISTRIBUTED NET UNREALIZED
ORDINARY LONG-TERM APPRECIATION/ CAPITAL LOSS
FUND INCOME CAPITAL GAINS DEPRECIATION CARRYFORWARD
- -------------------------------------------------------------------------------------------------------------
Nova Fund $ 304,133 $ -- $ 7,007,082 $ (85,082,515) 3
Inverse S&P 500 Fund 114,444 -- (158,971) (30,980,010) 3
OTC Fund -- -- (2,742,321) (364,337,763) 3
Inverse OTC Fund 159,000 -- 141,892 (12,147,623) 3
Dynamic S&P 500 Fund 2,074,727 -- 2,913,029 --
Dynamic OTC Fund 23,380 -- 2,808,615 (798,838) 2
Mid-Cap Advantage Fund 1,041,437 691,701 1,297,481 --
Inverse Mid-Cap Fund 31,013 -- 56,353 (1,451,315) 3
Dynamic Russell 2000(R) Fund 57,037 -- (21,125) --
Russell 2000(R) Advantage Fund 78,722 1,542,506 2,745,580 --
Inverse Russell 2000(R) Fund 80,213 -- 61,898 (7,428,463) 3
Government Long Bond Advantage Fund -- -- (1,846,366) (3,468,449) 3
Inverse Government Long Bond Fund 130,300 -- 303,654 (8,310,331) 3
Europe Advantage Fund 4,628,361 788 4,525,293 --
Japan Advantage Fund 444,829 -- 538,576 (429,142) 1
Dynamic Dow Fund 1,677,329 277,020 2,589,436 --
Inverse Dynamic Dow Fund 124,886 -- (267,949) (2,707,003) 3
Small-Cap Value Fund 1,261,226 857,854 540,677 --
Mid-Cap Value Fund 74,339 17,776 139,517 --
Large-Cap Value Fund 1,965,963 533,993 3,665,408 --
Small-Cap Growth Fund -- -- 363,626 (219,170) 1
Mid-Cap Growth Fund 332,131 333,186 (34,879) --
Large-Cap Growth Fund 407,443 44,402 88,095 --
Dynamic Strengthening Dollar Fund -- -- -- --
Dynamic Weakening Dollar Fund 187,696 -- -- --
Multi-Cap Core Equity Fund 142,599 30,517 601,090 --
Sector Rotation Fund 1,544,724 1,890,377 5,613,611 --
U.S. Government Money Market Fund 7,494 -- -- (1,546) 3
Banking Fund 63,706 -- 1,492,464 (515,297) 2
Basic Materials Fund 134,982 124,335 7,712,961 --
Biotechnology Fund -- -- (763,664) (4,277,767) 3
Commodities Fund 6,206 -- (932,959) (6,389,168) 3
Consumer Products Fund 543,690 -- 4,258,415 --
Electronics Fund -- -- (1,276,019) (8,375,601) 3
Energy Fund 218,328 64,862 20,731,292 --
Energy Services Fund -- 1,698,970 13,785,115 --
Financial Services Fund 1,052,747 472,030 3,548,286 --
Health Care Fund 669,150 35,189 2,845,899 --
Internet Fund -- -- 1,151,551 (694,970) 2
Leisure Fund 155,995 7,112 4,988,914 --
Precious Metals Fund -- -- 13,202,926 (4,583,137) 3
Real Estate Fund 611,061 378,884 13,742,443 --
Retailing Fund 295,104 -- 3,257,535 --
Technology Fund -- -- 850,436 --
Telecommunications Fund -- -- 3,939,426 (21,714) 1
Transportation Fund -- -- 5,217,589 (337,822) 3
Utilities Fund 231,235 33,153 10,649,191 --
Capital Loss Carryforward amounts may be limited due to Treasury Regulations.
1 EXPIRES IN 2014
2 EXPIRES IN 2013
3 NOVA FUND: $28,149,815 EXPIRES IN 2008, $40,390,472 EXPIRES IN 2009, AND
$16,542,228 EXPIRES IN 2010
INVERSE S&P 500 FUND: $2,209,540 EXPIRES IN 2007, $12,563,901 EXPIRES IN
2011, $10,777,389 EXPIRES IN 2012, $314,257 EXPIRES IN 2013,
AND $5,114,923 EXPIRES IN 2014
OTC FUND: $74,586,193 EXPIRES IN 2008, $180,736,125 EXPIRES IN 2009,
$98,591,246 EXPIRES IN 2010, $10,118,266 EXPIRES IN 2011,
AND $305,933 EXPIRES IN 2012
INVERSE OTC FUND: $1,648,984 EXPIRES IN 2009, $1,790,535 EXPIRES IN 2011,
$4,909,190 EXPIRES IN 2012, $2,303,943 EXPIRES IN 2013,
AND $1,494,971 EXPIRES IN 2014
INVERSE MID-CAP FUND: $392,757 EXPIRES IN 2012, $141,768 EXPIRES IN 2013,
AND $916,790 EXPIRES IN 2014
INVERSE RUSSELL 2000(R) FUND: $2,561,018 EXPIRES IN 2012, $955,067 EXPIRES
IN 2013, AND $3,912,378 EXPIRES IN 2014
GOVERNMENT LONG BOND ADVANTAGE FUND: $2,376,550 EXPIRES IN 2012 AND
$1,091,899 EXPIRES IN 2014
216 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG BOND FUND: $5,005,075 EXPIRES IN 2012, $2,319,251
EXPIRES IN 2013, AND $986,005 EXPIRES IN 2014
INVERSE DYNAMIC DOW FUND: $261,996 EXPIRES IN 2013 AND $2,445,007 EXPIRES
IN 2014
U.S. GOVERNMENT MONEY MARKET FUND: $1,127 EXPIRES IN 2008, $386 EXPIRES IN
2010, AND $33 EXPIRES IN 2011
BIOTECHNOLOGY FUND: $608,485 EXPIRES IN 2010, $1,880,980 EXPIRES IN 2012,
$739,559 EXPIRES IN 2013, AND $1,048,743 EXPIRES IN 2014
COMMODITIES FUND: $514,834 EXPIRES IN 2013 AND $5,874,334 EXPIRES IN 2014
ELECTRONICS FUND: $324,070 EXPIRES IN 2010, $549,313 EXPIRES IN 2012,
$1,309,130 EXPIRES IN 2013, AND $6,193,088 EXPIRES IN 2014
PRECIOUS METALS FUND: $600,578 EXPIRES IN 2012 AND $3,982,559 EXPIRES IN
2013
TRANSPORTATION FUND: $92,965 EXPIRES IN 2013 AND $244,857 EXPIRES IN 2014
At December 31, 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 (LOSS)
- ------------------------------------------------------------------------------------------------------
Nova Fund $ 142,472,740 $ 7,967,512 $ (771,595) $ 7,195,917
Inverse S&P 500 Fund 16,559,892 -- (175,332) (175,332)
OTC Fund 93,070,182 -- (2,732,760) (2,732,760)
Inverse OTC Fund 19,838,242 -- (453) (453)
Dynamic S&P 500 Fund 38,292,677 3,096,741 (43,209) 3,053,532
Dynamic OTC Fund 35,136,084 2,942,717 (95,613) 2,847,104
Mid-Cap Advantage Fund 43,917,043 1,694,530 (329,585) 1,364,945
Inverse Mid-Cap Fund 4,281,347 -- -- --
Dynamic Russell 2000(R) Fund 5,149,743 67,945 (53,341) 14,604
Russell 2000(R) Advantage Fund 86,196,154 4,184,791 (1,425,956) 2,758,835
Inverse Russell 2000(R) Fund 9,504,828 -- -- --
Government Long Bond Advantage Fund 51,445,484 -- (1,846,366) (1,846,366)
Inverse Government Long Bond Fund 29,610,380 303,654 (696) 302,958
Europe Advantage Fund 85,306,499 4,809,591 (9,447) 4,800,144
Japan Advantage Fund 29,745,319 -- -- --
Dynamic Dow Fund 46,687,650 2,319,653 (4,238) 2,315,415
Inverse Dynamic Dow Fund 16,786,620 -- -- --
Small-Cap Value Fund 38,602,770 894,948 (354,271) 540,677
Mid-Cap Value Fund 32,794,129 354,498 (214,982) 139,517
Large-Cap Value Fund 100,037,836 4,034,078 (368,670) 3,665,408
Small-Cap Growth Fund 29,188,211 534,891 (171,265) 363,626
Mid-Cap Growth Fund 19,697,440 167,246 (202,125) (34,879)
Large-Cap Growth Fund 28,366,507 356,331 (268,236) 88,095
Dynamic Strengthening Dollar Fund 3,074,820 -- -- --
Dynamic Weakening Dollar Fund 11,213,075 -- -- --
Multi-Cap Core Equity Fund 7,726,327 678,980 (77,890) 601,090
Sector Rotation Fund 105,460,270 6,545,385 (931,774) 5,613,611
U.S. Government Money Market Fund 203,448,503 -- -- --
Banking Fund 29,309,974 1,564,894 (72,430) 1,492,464
Basic Materials Fund 61,982,307 7,858,719 (145,758) 7,712,961
Biotechnology Fund 17,779,287 -- (763,664) (763,664)
Commodities Fund 19,323,329 97,535 (1,030,494) (932,959)
Consumer Products Fund 50,838,718 4,565,621 (307,206) 4,258,415
Electronics Fund 6,289,890 -- (1,276,019) (1,276,019)
Energy Fund 66,512,421 21,173,702 (442,410) 20,731,292
Energy Services Fund 41,981,704 13,946,253 (161,138) 13,785,115
Financial Services Fund 57,283,306 3,772,071 (223,785) 3,548,286
Health Care Fund 45,628,706 3,339,370 (493,471) 2,845,899
Internet Fund 11,974,220 1,155,309 (3,758) 1,151,551
Leisure Fund 42,943,750 5,053,952 (65,038) 4,988,914
Precious Metals Fund 74,525,365 13,202,926 -- 13,202,926
Real Estate Fund 95,503,477 13,824,927 (82,484) 13,742,443
Retailing Fund 32,354,774 3,391,670 (134,135) 3,257,535
Technology Fund 26,948,471 1,178,419 (327,983) 850,436
Telecommunications Fund 40,006,635 3,962,029 (22,603) 3,939,426
Transportation Fund 33,204,651 5,219,498 (1,909) 5,217,589
Utilities Fund 77,742,589 10,649,191 -- 10,649,191
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 217
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
POST-OCTOBER LOSSES DEFERRED
Pursuant to Federal income tax regulations applicable to investment companies,
the Funds have elected to treat net capital losses realized between November 1
and December 31 of each year as occurring on the first day of the following tax
year. For the year ended December 31, 2006, $168,187, $634,572, $1,466,752,
$37,209, $67,100, and $324,190 of realized capital losses reflected in the
accompanying financial statements will not be recognized for Federal income tax
purposes until 2007 for Inverse Mid-Cap Fund, Inverse Russell 2000(R) Fund,
Inverse Dynamic Dow Fund, Small-Cap Growth Fund, Dynamic Strengthening Dollar
Fund, and Commodities Fund, respectively.
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 102% of the delivery value of the repurchase agreements
at maturity. Each Fund holds a pro rata share of the collateral based on the
dollar amount of the repurchase agreement entered into by each Fund.
The repurchase agreements executed by the joint account and outstanding as of
December 31, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE REPURCHASE PRICE
- -------------------------------------------------------------------------------------------------
Lehman Brothers, Inc. 4.60% due 01/02/07 $95,418,751 $ 95,418,751 $ 95,467,520
UBS Financial Services, Inc. 4.79% due 01/02/07 89,000,000 89,000,000 89,047,368
Morgan Stanley 4.65% due 01/02/07 89,000,000 89,000,000 89,045,983
Mizuho Financial Group, Inc. 4.80% due 01/02/07 89,000,000 89,000,000 89,047,467
Credit Suisse First Boston 4.90% due 01/02/07 25,253,732 25,253,732 25,267,481
- -------------------------------------------------------------------------------------------------
$387,672,483 $ 387,875,819
=================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
SECURITY TYPE MATURITY DATES RANGE OF RATES PAR VALUE MARKET VALUE
- --------------------------------------------------------------------------------------------------
U.S. Treasury Bonds 11/15/16 - 05/15/17 7.500% - 8.750% $ 30,385,000 $ 37,544,892
TIP Bonds 04/15/29 3.875% 1,045,000 1,615,292
U.S. Treasury Notes 01/15/08 - 11/15/15 1.875% - 4.500% 251,823,244 248,683,722
TIP Notes 01/15/14 - 07/15/15 1.625% - 2.000% 16,495,000 16,806,078
U.S. Treasury Bills 03/08/07 - 06/07/07 0.000% 91,711,000 90,785,145
- --------------------------------------------------------------------------------------------------
$ 395,435,129
==================================================================================================
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.
218 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
6. SECURITIES TRANSACTIONS
During the year ended December 31, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
INVERSE DYNAMIC MID-CAP INVERSE
NOVA S&P 500 OTC INVERSE OTC S&P 500 DYNAMIC OTC ADVANTAGE MID-CAP
FUND FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $136,722,717 $ -- $105,042,560 $ -- $ 33,193,301 $ 65,622,807 $ 157,822,219 $ --
Sales $155,262,209 $ -- $136,676,782 $ -- $ 30,544,572 $ 78,695,085 $ 176,383,465 $ --
DYNAMIC RUSSELL INVERSE GOVERNMENT INVERSE
RUSSELL 2000(R) RUSSELL LONG BOND GOVERNMENT EUROPE JAPAN DYNAMIC
2000(R) ADVANTAGE 2000(R) ADVANTAGE LONG BOND ADVANTAGE ADVANTAGE DOW
FUND FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ 4,357,624 $193,946,371 $ -- $606,135,043 $130,581,563 $ 93,131,402 $ -- $ 53,574,586
Sales $ 1,584,051 $168,413,946 $ -- $608,774,199 $127,759,264 $ 65,595,712 $ -- $ 32,732,586
INVERSE SMALL-CAP MID-CAP LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP DYNAMIC
DYNAMIC VALUE VALUE VALUE GROWTH GROWTH GROWTH STRENGTHENING
DOW FUND FUND FUND FUND FUND FUND FUND DOLLAR FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ -- $133,968,546 $ 75,279,605 $237,213,414 $138,006,317 $ 98,259,318 $ 113,020,855 $ --
Sales $ -- $121,810,567 $ 63,330,198 $185,415,070 $139,276,712 $ 136,730,028 $ 113,223,000 $ --
U.S.
DYNAMIC MULTI-CAP SECTOR GOVERNMENT BASIC
WEAKENING CORE EQUITY ROTATION MONEY MARKET BANKING MATERIALS BIOTECHNOLOGY COMMODITIES
DOLLAR FUND FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ -- $ 11,851,559 $305,280,267 $ -- $ 52,063,678 $ 114,722,752 $ 96,779,531 $ 19,927,799
Sales $ -- $ 8,433,527 $282,893,636 $ -- $ 43,860,332 $ 90,140,269 $ 119,402,908 $ 9,685,982
CONSUMER ENERGY FINANCIAL HEALTH
PRODUCTS ELECTRONICS ENERGY SERVICES SERVICES CARE INTERNET LEISURE
FUND FUND FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases $ 91,415,375 $ 99,479,511 $116,243,779 $142,959,712 $126,895,607 $ 116,960,871 $ 45,844,925 $ 64,214,389
Sales $ 75,585,055 $ 98,636,812 $136,675,712 $181,603,175 $119,087,285 $ 129,526,894 $ 58,527,563 $ 45,170,242
PRECIOUS REAL TELECOM-
METALS ESTATE RETAILING TECHNOLOGY MUNICATIONS TRANSPORTATION UTILITIES
FUND FUND FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
Purchases $174,489,431 $343,534,309 $ 55,061,060 $ 87,601,166 $ 82,467,896 $ 98,029,169 $ 101,649,543
Sales $186,196,401 $302,242,639 $ 46,660,482 $ 84,610,006 $ 68,992,492 $ 99,633,496 $ 78,702,845
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 219
NOTES TO FINANCIALS STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
7. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of no par value
shares. Transactions in shares for the years presented were:
PURCHASED THROUGH
SHARES PURCHASED DIVIDEND REINVESTMENT
- -----------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- -----------------------------------------------------------------------------------------------
NOVA FUND 36,391,385 64,604,877 134,112 42,893
INVERSE S&P 500 FUND 63,491,035 56,462,594 352,252 --
OTC FUND 23,324,174 33,524,705 -- --
INVERSE OTC FUND 27,146,402 18,896,892 70,318 --
DYNAMIC S&P 500 FUND 8,927,290 10,753,404 80,824 120,025
DYNAMIC OTC FUND 32,871,270 17,391,189 1,149 --
MID-CAP ADVANTAGE FUND 10,365,935 13,570,582 318,062 3,878
INVERSE MID-CAP FUND 2,052,002 1,081,690 3,375 1,374
DYNAMIC RUSSELL 2000(R) FUND* 435,979 -- 281 --
RUSSELL 2000(R) ADVANTAGE FUND 14,057,946 14,696,937 5,472 39,915
INVERSE RUSSELL 2000(R) FUND 5,804,634 5,029,631 13,949 5,152
GOVERNMENT LONG BOND
ADVANTAGE FUND 52,456,584 44,613,634 205,208 138,550
INVERSE GOVERNMENT LONG
BOND FUND 7,623,241 13,272,906 37,828 --
EUROPE ADVANTAGE FUND 7,330,052 7,313,983 121,094 8,833
JAPAN ADVANTAGE FUND 5,931,337 6,613,935 205,422 --
DYNAMIC DOW FUND 8,202,609 5,501,356 157,071 29,625
INVERSE DYNAMIC DOW FUND 2,919,948 1,601,436 7,464 2,376
SMALL-CAP VALUE FUND 5,163,582 5,500,180 58,288 74,279
MID-CAP VALUE FUND 3,686,972 13,189,259 9,490 257,189
LARGE-CAP VALUE FUND 8,054,378 3,027,685 56,065 24,288
SMALL-CAP GROWTH FUND 4,900,217 5,097,826 24,612 55,354
MID-CAP GROWTH FUND 3,360,551 9,052,414 35,875 --
LARGE-CAP GROWTH FUND 4,582,138 5,395,902 13,495 17,627
DYNAMIC STRENGTHENING
DOLLAR FUND 975,434 237,181** 1,031 330**
DYNAMIC WEAKENING DOLLAR FUND 1,962,862 202,554** 14,602 299**
MULTI-CAP CORE EQUITY FUND 536,267 123,980** 357 --
SECTOR ROTATION FUND 7,047,157 5,090,045 317,039 --
U.S. GOVERNMENT MONEY
MARKET FUND 1,169,136,977 1,184,745,323 9,620,976 4,700,832
BANKING FUND 1,815,362 1,714,190 12,647 80,293
BASIC MATERIALS FUND 4,052,298 3,008,679 33,458 155,895
BIOTECHNOLOGY FUND 4,689,808 6,252,816 -- --
COMMODITIES FUND 4,551,504 1,967,776** -- 4,016**
CONSUMER PRODUCTS FUND 3,163,231 2,555,036 18,313 21,655
ELECTRONICS FUND 7,828,397 8,616,616 -- --
ENERGY FUND 3,541,676 6,811,395 522,678 122,208
NET SHARES
SHARES REDEEMED PURCHASED (REDEEMED)
- --------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- --------------------------------------------------------------------------------------------------
NOVA FUND (38,611,971) (64,999,976) (2,086,474) (352,206)
INVERSE S&P 500 FUND (65,818,559) (53,824,674) (1,975,272) 2,637,920
OTC FUND (25,634,991) (39,788,847) (2,310,817) (6,264,142)
INVERSE OTC FUND (26,920,756) (19,110,033) 295,964 (213,141)
DYNAMIC S&P 500 FUND (8,655,618) (10,956,161) 352,496 (82,732)
DYNAMIC OTC FUND (33,586,772) (17,906,423) (714,353) (515,234)
MID-CAP ADVANTAGE FUND (10,771,652) (13,165,084) (87,655) 409,376
INVERSE MID-CAP FUND (1,966,866) (1,040,311) 88,511 42,753
DYNAMIC RUSSELL 2000(R) FUND* (259,751) -- 176,509 --
RUSSELL 2000(R) ADVANTAGE FUND (13,416,501) (16,953,930) 646,917 (2,217,078)
INVERSE RUSSELL 2000(R) FUND (5,756,889) (4,844,305) 61,694 190,478
GOVERNMENT LONG BOND
ADVANTAGE FUND (53,159,906) (43,992,584) (498,114) 759,600
INVERSE GOVERNMENT LONG
BOND FUND (7,730,453) (13,718,351) (69,384) (445,445)
EUROPE ADVANTAGE FUND (5,516,268) (8,665,112) 1,934,878 (1,342,296)
JAPAN ADVANTAGE FUND (6,664,739) (5,473,812) (527,980) 1,140,123
DYNAMIC DOW FUND (7,232,030) (5,374,208) 1,127,650 156,773
INVERSE DYNAMIC DOW FUND (2,583,888) (1,509,507) 343,524 94,305
SMALL-CAP VALUE FUND (4,770,195) (6,472,270) 451,675 (897,811)
MID-CAP VALUE FUND (3,172,845) (13,427,165) 523,617 19,283
LARGE-CAP VALUE FUND (6,368,500) (2,574,743) 1,741,943 477,230
SMALL-CAP GROWTH FUND (4,994,748) (5,364,707) (69,919) (211,527)
MID-CAP GROWTH FUND (4,623,670) (8,061,905) (1,227,244) 990,509
LARGE-CAP GROWTH FUND (4,589,497) (5,313,354) 6,136 100,175
DYNAMIC STRENGTHENING
DOLLAR FUND (889,524) (188,731)** 86,941 48,780**
DYNAMIC WEAKENING DOLLAR FUND (1,693,518) (81,325)** 283,946 121,528**
MULTI-CAP CORE EQUITY FUND (358,656) (9,727)** 177,968 114,253**
SECTOR ROTATION FUND (5,730,038) (2,700,404) 1,634,158 2,389,641
U.S. GOVERNMENT MONEY
MARKET FUND (1,155,974,653) (1,171,759,619) 22,783,300 17,686,536
BANKING FUND (1,568,504) (1,907,482) 259,505 (112,999)
BASIC MATERIALS FUND (3,342,920) (3,562,294) 742,836 (397,720)
BIOTECHNOLOGY FUND (5,858,197) (4,905,156) (1,168,389) 1,347,660
COMMODITIES FUND (4,709,776) (696,501)** (158,272) 1,275,291**
CONSUMER PRODUCTS FUND (2,705,761) (2,617,145) 475,783 (40,454)
ELECTRONICS FUND (8,160,471) (8,942,833) (332,074) (326,217)
ENERGY FUND (4,074,714) (6,843,617) (10,360) 89,986
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
** SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005 -- DYNAMIC
STRENGTHENING DOLLAR FUND, DYNAMIC WEAKENING DOLLAR FUND, AND COMMODITIES
FUND; NOVEMBER 29, 2005 -- MULTI-CAP CORE EQUITY FUND.
220 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
7. SHARE TRANSACTIONS
PURCHASED THROUGH
SHARES PURCHASED DIVIDEND REINVESTMENT
- ------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ------------------------------------------------------------------------------------
ENERGY SERVICES FUND 5,147,643 8,970,738 209,346 --
FINANCIAL SERVICES FUND 2,765,913 2,613,714 79,205 73,463
HEALTH CARE FUND 3,512,906 4,894,897 58,255 --
INTERNET FUND 3,248,938 5,748,072 -- 42,009
LEISURE FUND 2,699,093 2,205,331 47,592 95,038
PRECIOUS METALS FUND 16,881,002 18,093,879 -- --
REAL ESTATE FUND 8,118,053 7,550,283 72,624 11,971
RETAILING FUND 2,119,692 2,915,142 26,194 13,677
TECHNOLOGY FUND 5,204,228 5,874,030 -- --
TELECOMMUNICATIONS FUND 4,358,934 2,934,645 34,356 82,512
TRANSPORTATION FUND 3,109,837 1,910,651 -- 23,240
UTILITIES FUND 6,017,977 8,794,132 92,980 15,527
NET SHARES
SHARES REDEEMED PURCHASED (REDEEMED)
- ------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ------------------------------------------------------------------------------------
ENERGY SERVICES FUND (6,461,195) (7,798,709) (1,104,206) 1,172,029
FINANCIAL SERVICES FUND (2,551,604) (2,908,326) 293,514 (221,149)
HEALTH CARE FUND (3,969,488) (4,255,344) (398,327) 639,553
INTERNET FUND (4,090,703) (6,539,341) (841,765) (749,260)
LEISURE FUND (1,942,702) (3,702,841) 803,983 (1,402,472)
PRECIOUS METALS FUND (18,466,236) (15,600,147) (1,585,234) 2,493,732
REAL ESTATE FUND (7,256,824) (7,548,697) 933,853 13,557
RETAILING FUND (1,827,722) (3,076,769) 318,164 (147,950)
TECHNOLOGY FUND (5,004,676) (5,973,475) 199,552 (99,445)
TELECOMMUNICATIONS FUND (3,770,580) (3,589,345) 622,710 (572,188)
TRANSPORTATION FUND (3,228,069) (2,477,689) (118,232) (543,798)
UTILITIES FUND (4,998,132) (7,980,979) 1,112,825 828,680
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 221
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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. Bank acts as the
agent, and other approved registered broker dealers act as the borrowers. The
Trust receives cash collateral, valued at 100%, or greater, of the value of the
securities on loan, which is initially held in a segregated account at U.S.
Bank. As agent, U.S. Bank 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. Bank. Under the terms of the Trust's
securities lending agreement with U.S. Bank, cash collateral may be invested by
U.S. Bank in certain high quality, liquid investments. At December 31, 2006, the
pooled cash collateral investments consisted of repurchase agreements (46.45%),
commercial paper (31.55%), corporate bonds (18.46%), and guaranteed investment
contracts (3.54%). 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 table represents a breakdown of the collateral, its rates and
maturities. Each Fund participating in the security lending program retains a
pro rata amount of the collateral proportionate to its amount of securities on
loan.
COST MARKET VALUE REPURCHASE DATE
- --------------------------------------------------------------------------------------------------------
REPO 46.45%
- --------------------------------------------------------------------------------------------------------
Rates
5.36% Greenwich Capital Markets, Inc. $300,000,000 $ 300,000,000 01/02/07
5.38 Morgan Stanley 296,000,000 296,000,000 01/02/07
5.41 Bear Stearns Companies, Inc. 50,000,000 50,000,000 01/02/07
5.32 Credit Suisse First Boston 10,000,000 10,000,000 01/02/07
---------------
TOTAL $ 656,000,000
===============
MATURITY
- --------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 31.55%
- --------------------------------------------------------------------------------------------------------
Rates
5.39% Fenway Funding, LLC $ 66,959,874 $ 67,000,000 01/02/07
5.37 KKR Atlantic Funding Trust 64,768,167 64,808,900 01/22/07
5.36 Rams Funding, LLC 57,699,447 57,923,440 01/11/07
5.42 Antalis Funding 53,920,718 54,010,000 01/02/07
5.40 Ocala Funding, LLC 49,858,028 49,890,000 01/17/07
5.33 Concord Minutemen Capital Company, LLC 40,000,000 40,000,000 01/08/07
5.35 Lakeside Funding, LLC 30,000,000 30,000,000 01/08/07
5.33 Concord Minutemen Capital Company, LLC 28,000,000 28,000,000 01/12/07
5.35 Thornburg Mortgage Capital Resources, LLC 19,820,389 19,917,800 01/30/07
5.38 Rams Funding, LLC 12,934,314 12,961,780 01/22/07
5.36 Thornburg Mortgage Capital Resources, LLC 10,949,418 10,974,150 01/18/07
5.34 Thornburg Mortgage Capital Resources, LLC 9,952,800 10,000,000 01/02/07
---------------
TOTAL $ 445,486,070
===============
FIXED INCOME 18.46%
- --------------------------------------------------------------------------------------------------------
Rates
5.36% PYXIS Master Trust $ 50,000,000 $ 50,000,000 11/20/09
5.35 Leafs, LLC 49,635,317 49,635,317 01/22/07
5.39 Allstate Life Global Funding 40,012,000 40,012,000 02/15/08
5.50 Premium Asset Trust 25,000,000 25,000,000 08/01/07
5.40 Bayerische Landsbank 20,008,800 20,008,800 02/22/08
5.40 HBOS Treasury Services, PLC 20,008,600 20,008,600 02/01/08
5.42 Northlake, CDO 20,000,000 20,000,000 03/06/33
5.44 Duke Funding, Ltd. 20,000,000 20,000,000 04/08/39
5.45 Metlife Global Funding 16,006,720 16,006,720 01/28/08
---------------
TOTAL $ 260,671,437
===============
GUARANTEED INVESTMENT CONTRACT 3.54%
- --------------------------------------------------------------------------------------------------------
Rates
5.45% ING USA $ 50,000,000 $ 50,000,000 02/26/07
---------------
TOTAL $ 50,000,000
===============
222 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
COST MARKET VALUE MATURITY
- --------------------------------------------------------------------------------------------------------
MUTUAL FUNDS/MONEY MARKETS 0.00%
- --------------------------------------------------------------------------------------------------------
Cash $ 66 N/A
SHARES
------------
AIM Short Term Liquid Asset Fund 21 $ 21 N/A
---------------
TOTAL $ 87
===============
100.00%
===============
GRAND TOTAL $ 1,412,157,594
========================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
RANGE OF RATES SECURITY TYPE PAR VALUE MARKET VALUE MATURITY
- ----------------------------------------------------------------------------------------------------------------
0.000% - 5.467% Collateralized Mortgage Obligations $3,469,660,953 $ 623,374,062 08/15/16 - 03/15/45
0.000% - 9.925% Residential Whole Loans 41,415,193 53,022,375 03/15/12 - 09/07/36
0.010% - 5.625% Subordinated Notes 44,971,310 3,788,769 06/13/16 - 02/18/27
1.001% Ginnie Mae 10,282,278 99,679 02/17/31
-------------
$ 680,284,885
=============
At December 31, 2006 the following Funds participated in securities lending and
received cash collateral:
VALUE OF
CASH SECURITIES
FUND COLLATERAL LOANED
- --------------------------------------------------------------------------------
Nova Fund $ 18,387,759 $ 17,740,921
OTC Fund 21,014,171 20,360,876
Dynamic S&P 500 Fund 4,400,651 4,243,790
Dynamic OTC Fund 7,320,487 7,091,730
Mid-Cap Advantage Fund 6,282,368 6,041,857
Russell 2000(R) Advantage Fund 16,042,381 15,276,968
Dynamic Dow Fund 4,136,460 3,996,299
Small-Cap Value Fund 4,879,062 4,603,409
Mid-Cap Value Fund 4,663,653 4,444,816
Large-Cap Value Fund 20,056,352 19,292,675
Small-Cap Growth Fund 6,228,573 5,942,062
Mid-Cap Growth Fund 4,196,579 4,042,033
Large-Cap Growth Fund 4,824,809 4,653,102
Sector Rotation Fund 22,672,786 21,863,246
Banking Fund 6,424,227 6,117,219
Basic Materials Fund 10,871,653 10,441,968
Biotechnology Fund 6,212,852 5,995,318
Consumer Products Fund 11,958,394 11,533,712
Electronics Fund 1,125,927 1,080,686
Energy Fund 17,273,359 16,622,224
Energy Services Fund 11,849,821 11,332,602
Financial Services Fund 10,531,379 10,144,018
Health Care Fund 7,484,164 7,236,707
Internet Fund 3,692,757 3,524,240
Leisure Fund 10,208,573 9,715,716
Precious Metals Fund 24,714,825 23,231,062
Real Estate Fund 26,298,248 25,547,897
Retailing Fund 7,275,886 6,988,608
Technology Fund 4,537,454 4,345,593
Telecommunications Fund 10,569,991 10,109,767
Transportation Fund 8,845,111 8,485,353
Utilities Fund 16,824,478 16,200,186
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 223
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
9. COMMODITIES FUND SUPPLEMENTAL INFORMATION
As discussed in Note 2 above, the IRS issued a Revenue Ruling (the "Ruling") on
December 16, 2005 that may cause certain income from commodity-linked swap
agreements in which the Commodities Fund currently invests to not be considered
qualifying income after June 30, 2006. The Ruling would limit the extent to
which the Commodities Fund may invest in such instruments and certain other
commodity-linked derivatives after June 30, 2006 to a maximum of 10 percent of
its gross income. On June 2, 2006, the IRS issued another Revenue Ruling which
clarified certain aspects of its prior ruling and extended the effective date of
the original ruling to September 30, 2006. In accordance, the Trust ceased
investing in commodity index swaps after September 30, 2006.
On April 10, 2006 the IRS issued a private letter ruling enabling the
Commodities Fund to use commodity-linked structured notes to gain exposure to
the commodities market and continue to offer access to the commodities sector.
Due to the change in investment vehicle, Rydex Investments may limit shareholder
trading after September 30, 2006 when the Ruling becomes effective.
10. NEW ACCOUNTING PRONOUNCEMENTS
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 on the financial statements
has not yet been determined.
On September 15, 2006, the FASB released Statement Financial Accounting Standard
No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for
using fair value to measure assets and liabilities. The standard requires
companies to provide expanded information about the assets and liabilities
measured at fair value and the potential effect of these fair valuations on an
entity's financial performance. The standard does not expand the use of fair
value in any new circumstances, but provides clarification on acceptable fair
valuation methods and applications. Adoption of FAS 157 is required for fiscal
years beginning after November 15, 2007. The standard is not expected to
materially impact the Funds' financial statements.
224 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position Nova Fund, Inverse S&P 500 Fund, OTC
Fund, Inverse OTC Fund, Dynamic S&P 500 Fund, Dynamic OTC Fund, Mid Cap
Advantage Fund, Inverse Mid-Cap Fund, Russell 2000(R) Advantage Fund, Inverse
Russell 2000(R) Fund, Government Long Bond Fund, Inverse Government Long Bond
Fund, Europe Advantage Fund, Japan Advantage Fund, Dynamic Dow Fund, Inverse
Dynamic Dow 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, Sector
Rotation Fund, U.S. Government Money Market Fund, Banking Fund, Basic Materials
Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund,
Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund,
Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology
Fund, Telecommunications Fund, Transportation Fund, Utilities Fund, Commodities
Fund, Multi-Cap Core Equity Fund, Dynamic Strengthening Dollar Fund, Dynamic
Weakening Dollar Fund, and Dynamic Russell 2000(R) Fund (forty seven of the
funds of the Rydex Variable Trust, hereafter referred to as the "Funds") at
December 31, 2006, and the results of each of their operations, the changes in
each of their net assets and the financial highlights for the periods presented,
in conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audits to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 2006 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 23, 2007
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 225
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
TAX INFORMATION
This information is being provided as required by the Internal Revenue Code.
Amounts shown may differ from those elsewhere in the report because of
difference in tax and financial reporting practice.
The Funds' distributions to shareholders included:
DYNAMIC MID-CAP EUROPE
S&P 500 ADVANTAGE ADVANTAGE
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $1,389,756 $6,333,783 $2,086,751
From long-term capital gains,
subject to the 15% rate gains category: $ -- $1,406,371 $ 95,125
JAPAN DYNAMIC SMALL-CAP
ADVANTAGE DOW VALUE
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $4,066,161 $3,230,231 $ 651,443
From long-term capital gains,
subject to the 15% rate gains category: $ 476,739 $ 711,086 $ 863,878
LARGE-CAP SMALL-CAP MID-CAP
VALUE GROWTH GROWTH
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $ 512,040 $ 188,230 $ 708,980
From long-term capital gains,
subject to the 15% rate gains category: $ 834,713 $ 559,227 $ 362,610
DYNAMIC
LARGE-CAP WEAKENING MULTI-CAP
GROWTH DOLLAR CORE EQUITY
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $ 300,944 $ 2,082 $ 6,750
From long-term capital gains,
subject to the 15% rate gains category: $ 62,603 $ 3,122 $ --
SECTOR BASIC CONSUMER
ROTATION MATERIALS PRODUCTS
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $ 422,244 $ 188,828 $ 272,157
From long-term capital gains,
subject to the 15% rate gains category: $3,857,789 $ 479,742 $ 90,453
ENERGY FINANCIAL
ENERGY SERVICES SERVICES
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $8,102,643 $ 352,839 $1,770,732
From long-term capital gains,
subject to the 15% rate gains category: $9,987,236 $6,216,435 $ 194,488
HEALTH REAL
CARE LEISURE ESTATE
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $1,655,023 $ 803,877 $ 913,834
From long-term capital gains,
subject to the 15% rate gains category: $ -- $ 440,187 $1,511,042
TELE-
RETAILING COMMUNICATIONS UTILITIES
FUND FUND FUND
- --------------------------------------------------------------------------------------
From short-term capital gains: $ 200,751 $ 369,517 $ --
From long-term capital gains,
subject to the 15% rate gains category: $ 586,650 $ -- $ 638,278
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.
226 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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 Variable Trust 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
Variable Trust (the "Trust") and PADCO Advisors II, 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 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 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.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 227
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
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 the
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.
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.
228 | THE RYDEX VARIABLE TRUST 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 146
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 Investments and Rydex Distributors, Inc. (2003 to present);
Executive Vice President of Rydex Investments (2000 to 2003)
-----------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 146
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); 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 Investments (2004 to present); Chief
Operating Officer of Rydex Investments 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 139
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 139
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner
and President of Schield Management Company, registered investment adviser (2005
to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
-----------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 139
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 139
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 VARIABLE TRUST ANNUAL REPORT | 229
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
- ------------------------------ ----------------------------------- ------------------------
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 139
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 139
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 139
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 Investments (2003 to present); Vice
President and Treasurer of Rydex Capital Partners
SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Investments (2000 to 2003)
JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series Funds,
Chief Compliance Officer and Secretary (1966) Rydex Variable Trust, and Rydex 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 Investments (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 Investments
(2004 to present); Director of Accounting of Rydex
Investments (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
Investments (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.
230 | THE RYDEX VARIABLE TRUST 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
RVA-2-1206x1207
DECEMBER 31, 2006
RYDEX VARIABLE TRUST ANNUAL REPORT
ABSOLUTE RETURN STRATEGIES FUND
HEDGED EQUITY 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
PERFORMANCE REPORTS AND FUND PROFILES ..................................... 5
SCHEDULES OF INVESTMENTS .................................................. 7
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 26
STATEMENTS OF OPERATIONS .................................................. 27
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 28
FINANCIAL HIGHLIGHTS ...................................................... 29
NOTES TO FINANCIAL STATEMENTS ............................................. 30
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 37
OTHER INFORMATION ......................................................... 38
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 41
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
In many ways, 2006 was a surprising year for investors. Equity markets turned in
an unexpectedly strong performance, based in large part on a powerful year-end
rally. For much of 2006, stock prices were kept in check by inflation and
interest rate concerns. One of the most noteworthy developments of the year was
that the Federal Reserve ("Fed") called a halt to its two-year interest rate
raising campaign in an effort to see if the 17 consecutive increases in
short-term rates enacted over the prior two years had been enough to slow
economic growth and cool inflationary pressures.
Throughout 2006, stock prices reacted to two major inputs--the price of oil and
the direction of future interest rate policy. The pause in interest rate hikes
by the Fed changed the debate from when would they stop to when will they ease.
Oil prices, which had been on a relentless climb going back to the days prior to
hurricane Katrina, finally broke after a first-half rally brought the price of
oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower
than where it began at $61/barrel.
Underlying this was the hope that the economy would achieve a soft
landing--slowing enough to give the Fed latitude to ease, but not enough to tip
the economy into recession. The major risk in 2006 was housing. As the housing
"bubble" burst, it had--and still has--the potential to pull the economy into
recession. Stock price behavior, particularly in the fourth quarter, indicates
that most observers believed the economy has dodged that bullet.
Stocks rallied modestly at the beginning of 2006 then pulled back in the
May-July period on concerns about inflationary pressures and additional rate
hikes by the Fed. With the economy slowing and inflationary pressures easing,
markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones
Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains,
respectively, on a total return basis for the year.
Although it was a bit of a seesaw battle, investors expressed a preference for
small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%,
beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value
battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46%
compared to 9.15% for the Russell 1000(R) Growth Index.
In this buoyant environment, all 10 S&P 500 sector indices turned in positive
performances. In fact, only two indices in this series--health care and
information technology--did not achieve double-digit returns. The standout
performer was telecommunications, which rose a stunning 36.74%. The S&P Energy
Index, riding the wave of record global economic growth, rose 24.21%, followed
by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly
inexhaustible propensity for consumers to spend.
Interest rates rose modestly in 2006 as the yield curve inverted, indicating
that fixed-income investors anticipate a significant economic slowdown going
forward.
Looking into 2007, we think it is likely that economic growth will be slower but
not recessionary. In that environment we expect stocks to cool off, if not
retreat a bit. That should give the Fed room to ease interest rates, which
should push stock prices up again. We do not, however, expect those conditions
to unfold until the second half of 2007.
Thank you for placing your trust in Rydex Investments.
Sincerely,
/s/David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX VARIABLE TRUST 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 June 30, 2006 and
ending December 31, 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.
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 the Fund. 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 up to 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 VARIABLE TRUST ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
Absolute Return Strategies Fund 1.72%** $1,000.00 $1,010.80 $8.72
Hedged Equity Fund 1.95%** 1,000.00 1,041.90 10.04
- ----------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
Absolute Return Strategies Fund 1.72%** 1,000.00 1,016.43 8.78
Hedged Equity Fund 1.95%** 1,000.00 1,015.25 9.95
* 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. EXPENSES
SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES.
** THIS RATIO REPRESENTS ANNUALIZED GROSS EXPENSES, WHICH INCLUDE DIVIDEND
EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT DIVIDENDS EXPENSE, THE
OPERATING EXPENSE RATIO WOULD BE 0.54% AND 0.78% LOWER FOR THE ABSOLUTE
RETURN STRATEGIES FUND AND THE HEDGED EQUITY FUND, RESPECTIVELY.
+ ANNUALIZED
4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND 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.
INCEPTION: November 29, 2005
Hedge funds performed well in 2006, driven mainly by specialized funds that
invest in distressed securities, event driven and convertible arbitrage
strategies. Despite a short pullback in the middle of the year, the Dow Jones
Hedge Fund Balanced Portfolio Index ended up 9.94% for all of 2006.
Rydex Absolute Return Strategies Fund was up 6.64% in 2006. The Fund benefited
from exposure to domestic equities, market neutral value, merger arbitrage
positions and short positions against the U.S. dollar. Long/short positions in
growth and momentum stocks hurt performance, as did commodities.
Relative to equities, the Fund had a daily correlation of 74% versus the S&P 500
Index, with less than half the standard deviation of that Index.
CUMULATIVE FUND PERFORMANCE:
NOVEMBER 29, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
ABSOLUTE RETURN DOW JONES HEDGE FUND
DATE STRATEGIES FUND BALANCED PORTFOLIO INDEX
11/29/05 10,000 10,000
11/30/05 9,996 10,005
12/01/05 10,044 10,037
12/02/05 10,056 10,046
12/03/05 10,056 10,046
12/04/05 10,056 10,046
12/05/05 10,056 10,056
12/06/05 10,056 10,065
12/07/05 10,036 10,055
12/08/05 10,072 10,069
12/09/05 10,072 10,060
12/10/05 10,072 10,060
12/11/05 10,072 10,060
12/12/05 10,100 10,067
12/13/05 10,112 10,070
12/14/05 10,132 10,074
12/15/05 10,112 10,070
12/16/05 10,104 10,067
12/17/05 10,104 10,067
12/18/05 10,104 10,067
12/19/05 10,060 10,051
12/20/05 10,056 10,052
12/21/05 10,084 10,062
12/22/05 10,108 10,077
12/23/05 10,120 10,081
12/24/05 10,120 10,081
12/25/05 10,120 10,081
12/26/05 10,120 10,081
12/27/05 10,076 10,063
12/28/05 10,100 10,070
12/29/05 10,092 10,068
12/30/05 10,080 10,071
12/31/05 10,080 10,071
01/01/06 10,080 10,071
01/02/06 10,080 10,071
01/03/06 10,160 10,102
01/04/06 10,204 10,131
01/05/06 10,208 10,135
01/06/06 10,268 10,163
01/07/06 10,268 10,163
01/08/06 10,268 10,163
01/09/06 10,284 10,179
01/10/06 10,296 10,194
01/11/06 10,316 10,202
01/12/06 10,296 10,200
01/13/06 10,312 10,203
01/14/06 10,312 10,203
01/15/06 10,312 10,203
01/16/06 10,312 10,203
01/17/06 10,304 10,207
01/18/06 10,280 10,194
01/19/06 10,308 10,218
01/20/06 10,276 10,206
01/21/06 10,276 10,206
01/22/06 10,276 10,206
01/23/06 10,308 10,219
01/24/06 10,332 10,235
01/25/06 10,304 10,223
01/26/06 10,328 10,248
01/27/06 10,336 10,263
01/28/06 10,336 10,263
01/29/06 10,336 10,263
01/30/06 10,352 10,275
01/31/06 10,376 10,288
02/01/06 10,348 10,303
02/02/06 10,304 10,290
02/03/06 10,300 10,303
02/04/06 10,300 10,303
02/05/06 10,300 10,303
02/06/06 10,304 10,310
02/07/06 10,260 10,278
02/08/06 10,264 10,279
02/09/06 10,248 10,281
02/10/06 10,228 10,271
02/11/06 10,228 10,271
02/12/06 10,228 10,271
02/13/06 10,200 10,254
02/14/06 10,216 10,267
02/15/06 10,220 10,272
02/16/06 10,252 10,292
02/17/06 10,272 10,300
02/18/06 10,272 10,300
02/19/06 10,272 10,300
02/20/06 10,272 10,300
02/21/06 10,280 10,302
02/22/06 10,312 10,306
02/23/06 10,308 10,309
02/24/06 10,320 10,319
02/25/06 10,320 10,319
02/26/06 10,320 10,319
02/27/06 10,324 10,318
02/28/06 10,304 10,303
03/01/06 10,336 10,328
03/02/06 10,344 10,334
03/03/06 10,328 10,334
03/04/06 10,328 10,334
03/05/06 10,328 10,334
03/06/06 10,264 10,322
03/07/06 10,224 10,299
03/08/06 10,216 10,293
03/09/06 10,200 10,294
03/10/06 10,224 10,313
03/11/06 10,224 10,313
03/12/06 10,224 10,313
03/13/06 10,248 10,327
03/14/06 10,312 10,349
03/15/06 10,348 10,368
03/16/06 10,364 10,377
03/17/06 10,372 10,381
03/18/06 10,372 10,381
03/19/06 10,372 10,381
03/20/06 10,364 10,384
03/21/06 10,316 10,380
03/22/06 10,336 10,388
03/23/06 10,308 10,394
03/24/06 10,332 10,403
03/25/06 10,332 10,403
03/26/06 10,332 10,403
03/27/06 10,332 10,406
03/28/06 10,296 10,401
03/29/06 10,320 10,420
03/30/06 10,324 10,433
03/31/06 10,316 10,430
04/01/06 10,316 10,430
04/02/06 10,316 10,430
04/03/06 10,328 10,449
04/04/06 10,348 10,459
04/05/06 10,392 10,484
04/06/06 10,380 10,497
04/07/06 10,328 10,482
04/08/06 10,328 10,482
04/09/06 10,328 10,482
04/10/06 10,320 10,477
04/11/06 10,304 10,456
04/12/06 10,312 10,465
04/13/06 10,312 10,470
04/14/06 10,312 10,470
04/15/06 10,312 10,470
04/16/06 10,312 10,470
04/17/06 10,328 10,476
04/18/06 10,396 10,513
04/19/06 10,404 10,528
04/20/06 10,392 10,538
04/21/06 10,400 10,551
04/22/06 10,400 10,551
04/23/06 10,400 10,551
04/24/06 10,396 10,541
04/25/06 10,384 10,538
04/26/06 10,400 10,537
04/27/06 10,400 10,532
04/28/06 10,436 10,544
04/29/06 10,436 10,544
04/30/06 10,436 10,544
05/01/06 10,440 10,554
05/02/06 10,476 10,596
05/03/06 10,472 10,596
05/04/06 10,480 10,612
05/05/06 10,524 10,638
05/06/06 10,524 10,638
05/07/06 10,524 10,638
05/08/06 10,524 10,647
05/09/06 10,528 10,661
05/10/06 10,524 10,667
05/11/06 10,484 10,654
05/12/06 10,432 10,619
05/13/06 10,432 10,619
05/14/06 10,432 10,619
05/15/06 10,416 10,582
05/16/06 10,420 10,575
05/17/06 10,352 10,533
05/18/06 10,328 10,511
05/19/06 10,336 10,514
05/20/06 10,336 10,514
05/21/06 10,336 10,514
05/22/06 10,324 10,467
05/23/06 10,316 10,486
05/24/06 10,284 10,465
05/25/06 10,364 10,495
05/26/06 10,384 10,533
05/27/06 10,384 10,533
05/28/06 10,384 10,533
05/29/06 10,384 10,533
05/30/06 10,332 10,499
05/31/06 10,356 10,523
06/01/06 10,404 10,558
06/02/06 10,432 10,581
06/03/06 10,432 10,581
06/04/06 10,432 10,581
06/05/06 10,344 10,545
06/06/06 10,324 10,520
06/07/06 10,288 10,499
06/08/06 10,276 10,460
06/09/06 10,264 10,465
06/10/06 10,264 10,465
06/11/06 10,264 10,465
06/12/06 10,200 10,420
06/13/06 10,144 10,372
06/14/06 10,164 10,379
06/15/06 10,256 10,445
06/16/06 10,228 10,444
06/17/06 10,228 10,444
06/18/06 10,228 10,444
06/19/06 10,176 10,421
06/20/06 10,176 10,416
06/21/06 10,228 10,434
06/22/06 10,212 10,438
06/23/06 10,216 10,448
06/24/06 10,216 10,448
06/25/06 10,216 10,448
06/26/06 10,256 10,465
06/27/06 10,228 10,450
06/28/06 10,240 10,452
06/29/06 10,340 10,502
06/30/06 10,368 10,534
07/01/06 10,368 10,534
07/02/06 10,368 10,534
07/03/06 10,416 10,553
07/04/06 10,416 10,553
07/05/06 10,368 10,523
07/06/06 10,380 10,537
07/07/06 10,364 10,525
07/08/06 10,364 10,525
07/09/06 10,364 10,525
07/10/06 10,364 10,520
07/11/06 10,388 10,529
07/12/06 10,340 10,525
07/13/06 10,292 10,492
07/14/06 10,272 10,475
07/15/06 10,272 10,475
07/16/06 10,272 10,475
07/17/06 10,244 10,462
07/18/06 10,252 10,463
07/19/06 10,344 10,513
07/20/06 10,296 10,493
07/21/06 10,264 10,471
07/22/06 10,264 10,471
07/23/06 10,264 10,471
07/24/06 10,332 10,495
07/25/06 10,364 10,519
07/26/06 10,376 10,536
07/27/06 10,352 10,530
07/28/06 10,416 10,539
07/29/06 10,416 10,539
07/30/06 10,416 10,539
07/31/06 10,424 10,549
08/01/06 10,416 10,552
08/02/06 10,448 10,568
08/03/06 10,452 10,574
08/04/06 10,444 10,568
08/05/06 10,444 10,568
08/06/06 10,444 10,568
08/07/06 10,432 10,563
08/08/06 10,408 10,557
08/09/06 10,388 10,554
08/10/06 10,384 10,551
08/11/06 10,344 10,544
08/12/06 10,344 10,544
08/13/06 10,344 10,544
08/14/06 10,340 10,545
08/15/06 10,408 10,571
08/16/06 10,444 10,588
08/17/06 10,436 10,593
08/18/06 10,452 10,597
08/19/06 10,452 10,597
08/20/06 10,452 10,597
08/21/06 10,444 10,601
08/22/06 10,444 10,608
08/23/06 10,412 10,598
08/24/06 10,420 10,600
08/25/06 10,428 10,604
08/26/06 10,428 10,604
08/27/06 10,428 10,604
08/28/06 10,440 10,611
08/29/06 10,480 10,616
08/30/06 10,492 10,623
08/31/06 10,484 10,630
09/01/06 10,516 10,652
09/02/06 10,516 10,652
09/03/06 10,516 10,652
09/04/06 10,516 10,652
09/05/06 10,544 10,664
09/06/06 10,484 10,652
09/07/06 10,464 10,643
09/08/06 10,448 10,646
09/09/06 10,448 10,646
09/10/06 10,448 10,646
09/11/06 10,440 10,632
09/12/06 10,480 10,647
09/13/06 10,504 10,663
09/14/06 10,492 10,664
09/15/06 10,472 10,665
09/16/06 10,472 10,665
09/17/06 10,472 10,665
09/18/06 10,484 10,672
09/19/06 10,460 10,663
09/20/06 10,484 10,663
09/21/06 10,476 10,666
09/22/06 10,456 10,655
09/23/06 10,456 10,655
09/24/06 10,456 10,655
09/25/06 10,472 10,662
09/26/06 10,488 10,667
09/27/06 10,484 10,681
09/28/06 10,476 10,677
09/29/06 10,460 10,681
09/30/06 10,460 10,681
10/01/06 10,460 10,681
10/02/06 10,464 10,688
10/03/06 10,456 10,681
10/04/06 10,508 10,703
10/05/06 10,520 10,732
10/06/06 10,492 10,729
10/07/06 10,492 10,729
10/08/06 10,492 10,729
10/09/06 10,504 10,729
10/10/06 10,492 10,734
10/11/06 10,472 10,733
10/12/06 10,528 10,769
10/13/06 10,544 10,779
10/14/06 10,544 10,779
10/15/06 10,544 10,779
10/16/06 10,572 10,790
10/17/06 10,552 10,784
10/18/06 10,560 10,797
10/19/06 10,592 10,809
10/20/06 10,560 10,813
10/21/06 10,560 10,813
10/22/06 10,560 10,813
10/23/06 10,576 10,820
10/24/06 10,592 10,835
10/25/06 10,624 10,848
10/26/06 10,652 10,867
10/27/06 10,608 10,860
10/28/06 10,608 10,860
10/29/06 10,608 10,860
10/30/06 10,604 10,856
10/31/06 10,596 10,851
11/01/06 10,528 10,843
11/02/06 10,516 10,844
11/03/06 10,516 10,856
11/04/06 10,516 10,856
11/05/06 10,516 10,856
11/06/06 10,572 10,871
11/07/06 10,576 10,871
11/08/06 10,588 10,875
11/09/06 10,572 10,871
11/10/06 10,584 10,877
11/11/06 10,584 10,877
11/12/06 10,584 10,877
11/13/06 10,588 10,876
11/14/06 10,632 10,886
11/15/06 10,652 10,892
11/16/06 10,640 10,900
11/17/06 10,644 10,896
11/18/06 10,644 10,896
11/19/06 10,644 10,896
11/20/06 10,644 10,900
11/21/06 10,652 10,913
11/22/06 10,660 10,927
11/23/06 10,660 10,927
11/24/06 10,668 10,931
11/25/06 10,668 10,931
11/26/06 10,668 10,931
11/27/06 10,608 10,906
11/28/06 10,628 10,913
11/29/06 10,688 10,946
11/30/06 10,716 10,960
12/01/06 10,712 10,967
12/02/06 10,712 10,967
12/03/06 10,712 10,967
12/04/06 10,756 10,978
12/05/06 10,772 10,992
12/06/06 10,756 10,997
12/07/06 10,744 11,014
12/08/06 10,737 11,020
12/09/06 10,737 11,020
12/10/06 10,737 11,020
12/11/06 10,749 11,031
12/12/06 10,729 11,023
12/13/06 10,729 11,032
12/14/06 10,762 11,038
12/15/06 10,758 11,032
12/16/06 10,758 11,032
12/17/06 10,758 11,032
12/18/06 10,745 11,028
12/19/06 10,766 11,041
12/20/06 10,758 11,048
12/21/06 10,737 11,048
12/22/06 10,713 11,041
12/23/06 10,713 11,041
12/24/06 10,713 11,041
12/25/06 10,713 11,041
12/26/06 10,741 11,049
12/27/06 10,786 11,066
12/28/06 10,774 11,070
12/29/06 10,749 11,072
12/30/06 10,749 11,072
12/31/06 10,749 11,072
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (11/29/05)
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND 6.64% 6.87%
DOW JONES HEDGE FUND BALANCED PORTFOLIO INDEX 9.94% 9.81%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES HEDGE FUND BALANCED
PORTFOLIO INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
ABSOLUTE RETURN ABSOLUTED RETURN
STRATEGIES FUND STRATEGIES FUND
LONG HOLDINGS SHORT HOLDINGS
CONSUMER DISCRETIONARY 7.1% -2.6%
CONSUMER STAPLES 3.0% -2.9%
ENERGY 3.6% -2.9%
FINANCIALS 11.6% -7.5%
HEALTH CARE 4.8% -3.2%
INDUSTRIALS 6.6% -3.0%
INFORMATION TECHNOLOGY 6.2% -6.0%
MATERIALS 2.3% -1.3%
TELECOMMUNICATION SERVICES 3.0% -0.5%
UTILITIES 2.5% -1.3%
EXCHANGE TRADED FUND 3.9%
FUTURES CONTRACTS 34.8% -8.1%
CDXI SWAP AGREEMENTS 31.1%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
iShares GSCI Commodity Indexed Trust 3.9%
Verizon Communications, Inc. 0.6%
ConocoPhillips 0.6%
J.P. Morgan Chase & Co. 0.5%
BellSouth Corp. 0.5%
Tyco International, Ltd. 0.5%
WellPoint, Inc. 0.5%
MetLife, Inc. 0.4%
Washington Mutual, Inc. 0.4%
McKesson Corp. 0.4%
- --------------------------------------------------------------------------------
Top Ten Total 8.3%
- --------------------------------------------------------------------------------
"Ten Largest Long Holdings" exclude any temporary cash or derivative
instruments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
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.
INCEPTION: November 29, 2005
Long/short hedge funds were up 8.26% in 2006 as measured by the Dow Jones Hedge
Fund Equity Long/Short Index. Long/short funds had a sharp correction in May but
managed to regain their footing amid rising equity markets.
Rydex Hedged Equity Fund rose 8.20% and tracked the Dow Jones Hedge Fund Equity
Long/Short Index closely for most of the year. The Fund benefited from exposure
to domestic equities and long/short positions in favor of value stocks. Exposure
to momentum strategies and a tilt toward growth stocks detracted from
performance.
Relative to equities, the Fund had a daily correlation of 92% versus the S&P 500
Index. The standard deviation of the Fund's daily returns was about one-fifth
less than the S&P 500 Index.
CUMULATIVE FUND PERFORMANCE:
NOVEMBER 29, 2005 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DOW JONES HEDGE FUND
DATE HEDGED EQUITY FUND EQUITY LONG/SHORT INDEX
11/29/2005 10,000 10,000
11/30/2005 9,980 10,013
12/1/2005 10,092 10,099
12/2/2005 10,084 10,096
12/3/2005 10,084 10,096
12/4/2005 10,084 10,096
12/5/2005 10,080 10,096
12/6/2005 10,092 10,120
12/7/2005 10,064 10,096
12/8/2005 10,080 10,129
12/9/2005 10,092 10,127
12/10/2005 10,092 10,127
12/11/2005 10,092 10,127
12/12/2005 10,100 10,146
12/13/2005 10,112 10,151
12/14/2005 10,132 10,159
12/15/2005 10,124 10,139
12/16/2005 10,104 10,112
12/17/2005 10,104 10,112
12/18/2005 10,104 10,112
12/19/2005 10,044 10,061
12/20/2005 10,064 10,073
12/21/2005 10,120 10,122
12/22/2005 10,158 10,150
12/23/2005 10,174 10,156
12/24/2005 10,174 10,156
12/25/2005 10,174 10,156
12/26/2005 10,174 10,156
12/27/2005 10,106 10,077
12/28/2005 10,142 10,117
12/29/2005 10,122 10,111
12/30/2005 10,094 10,114
12/31/2005 10,094 10,114
1/1/2006 10,094 10,114
1/2/2006 10,094 10,114
1/3/2006 10,202 10,232
1/4/2006 10,262 10,284
1/5/2006 10,290 10,260
1/6/2006 10,378 10,339
1/7/2006 10,378 10,339
1/8/2006 10,378 10,339
1/9/2006 10,430 10,343
1/10/2006 10,450 10,376
1/11/2006 10,474 10,395
1/12/2006 10,446 10,357
1/13/2006 10,450 10,388
1/14/2006 10,450 10,388
1/15/2006 10,450 10,388
1/16/2006 10,450 10,388
1/17/2006 10,430 10,370
1/18/2006 10,398 10,329
1/19/2006 10,462 10,423
1/20/2006 10,378 10,361
1/21/2006 10,378 10,361
1/22/2006 10,378 10,361
1/23/2006 10,418 10,407
1/24/2006 10,482 10,460
1/25/2006 10,454 10,420
1/26/2006 10,510 10,478
1/27/2006 10,546 10,525
1/28/2006 10,546 10,525
1/29/2006 10,546 10,525
1/30/2006 10,578 10,576
1/31/2006 10,623 10,601
2/1/2006 10,578 10,590
2/2/2006 10,494 10,524
2/3/2006 10,490 10,526
2/4/2006 10,490 10,526
2/5/2006 10,490 10,526
2/6/2006 10,510 10,576
2/7/2006 10,422 10,458
2/8/2006 10,450 10,466
2/9/2006 10,418 10,458
2/10/2006 10,414 10,431
2/11/2006 10,414 10,431
2/12/2006 10,414 10,431
2/13/2006 10,358 10,368
2/14/2006 10,390 10,403
2/15/2006 10,406 10,401
2/16/2006 10,454 10,476
2/17/2006 10,462 10,467
2/18/2006 10,462 10,467
2/19/2006 10,462 10,467
2/20/2006 10,462 10,467
2/21/2006 10,470 10,484
2/22/2006 10,534 10,492
2/23/2006 10,526 10,495
2/24/2006 10,558 10,529
2/25/2006 10,558 10,529
2/26/2006 10,558 10,529
2/27/2006 10,554 10,505
2/28/2006 10,494 10,462
3/1/2006 10,562 10,523
3/2/2006 10,574 10,555
3/3/2006 10,558 10,534
3/4/2006 10,558 10,534
3/5/2006 10,558 10,534
3/6/2006 10,438 10,486
3/7/2006 10,358 10,409
3/8/2006 10,346 10,387
3/9/2006 10,318 10,391
3/10/2006 10,370 10,434
3/11/2006 10,370 10,434
3/12/2006 10,370 10,434
3/13/2006 10,414 10,470
3/14/2006 10,498 10,521
3/15/2006 10,570 10,564
3/16/2006 10,570 10,554
3/17/2006 10,582 10,568
3/18/2006 10,582 10,568
3/19/2006 10,582 10,568
3/20/2006 10,558 10,554
3/21/2006 10,486 10,524
3/22/2006 10,534 10,552
3/23/2006 10,514 10,564
3/24/2006 10,550 10,602
3/25/2006 10,550 10,602
3/26/2006 10,550 10,602
3/27/2006 10,546 10,602
3/28/2006 10,502 10,594
3/29/2006 10,566 10,667
3/30/2006 10,550 10,705
3/31/2006 10,550 10,687
4/1/2006 10,550 10,687
4/2/2006 10,550 10,687
4/3/2006 10,562 10,733
4/4/2006 10,578 10,752
4/5/2006 10,655 10,806
4/6/2006 10,643 10,850
4/7/2006 10,570 10,791
4/8/2006 10,570 10,791
4/9/2006 10,570 10,791
4/10/2006 10,546 10,784
4/11/2006 10,486 10,705
4/12/2006 10,518 10,709
4/13/2006 10,526 10,726
4/14/2006 10,526 10,726
4/15/2006 10,526 10,726
4/16/2006 10,526 10,726
4/17/2006 10,526 10,736
4/18/2006 10,643 10,855
4/19/2006 10,663 10,921
4/20/2006 10,651 10,916
4/21/2006 10,663 10,965
4/22/2006 10,663 10,965
4/23/2006 10,663 10,965
4/24/2006 10,639 10,929
4/25/2006 10,627 10,901
4/26/2006 10,659 10,905
4/27/2006 10,623 10,851
4/28/2006 10,675 10,877
4/29/2006 10,675 10,877
4/30/2006 10,675 10,877
5/1/2006 10,687 10,878
5/2/2006 10,755 10,966
5/3/2006 10,755 10,947
5/4/2006 10,759 10,983
5/5/2006 10,835 11,041
5/6/2006 10,835 11,041
5/7/2006 10,835 11,041
5/8/2006 10,831 11,066
5/9/2006 10,831 11,094
5/10/2006 10,819 11,091
5/11/2006 10,723 11,022
5/12/2006 10,611 10,886
5/13/2006 10,611 10,886
5/14/2006 10,611 10,886
5/15/2006 10,574 10,757
5/16/2006 10,566 10,713
5/17/2006 10,446 10,605
5/18/2006 10,374 10,517
5/19/2006 10,410 10,520
5/20/2006 10,410 10,520
5/21/2006 10,410 10,520
5/22/2006 10,362 10,369
5/23/2006 10,346 10,413
5/24/2006 10,318 10,332
5/25/2006 10,454 10,433
5/26/2006 10,506 10,538
5/27/2006 10,506 10,538
5/28/2006 10,506 10,538
5/29/2006 10,506 10,538
5/30/2006 10,358 10,419
5/31/2006 10,438 10,494
6/1/2006 10,538 10,540
6/2/2006 10,554 10,576
6/3/2006 10,554 10,576
6/4/2006 10,554 10,576
6/5/2006 10,382 10,452
6/6/2006 10,362 10,346
6/7/2006 10,294 10,245
6/8/2006 10,290 10,133
6/9/2006 10,266 10,159
6/10/2006 10,266 10,159
6/11/2006 10,266 10,159
6/12/2006 10,130 9,998
6/13/2006 10,050 9,829
6/14/2006 10,090 9,897
6/15/2006 10,290 10,139
6/16/2006 10,246 10,113
6/17/2006 10,246 10,113
6/18/2006 10,246 10,113
6/19/2006 10,154 10,021
6/20/2006 10,146 10,011
6/21/2006 10,238 10,099
6/22/2006 10,230 10,102
6/23/2006 10,254 10,143
6/24/2006 10,254 10,143
6/25/2006 10,254 10,143
6/26/2006 10,318 10,149
6/27/2006 10,258 10,083
6/28/2006 10,282 10,094
6/29/2006 10,458 10,251
6/30/2006 10,482 10,335
7/1/2006 10,482 10,335
7/2/2006 10,482 10,335
7/3/2006 10,562 10,379
7/4/2006 10,562 10,379
7/5/2006 10,486 10,304
7/6/2006 10,506 10,312
7/7/2006 10,454 10,256
7/8/2006 10,454 10,256
7/9/2006 10,454 10,256
7/10/2006 10,458 10,242
7/11/2006 10,478 10,264
7/12/2006 10,394 10,240
7/13/2006 10,286 10,126
7/14/2006 10,254 10,072
7/15/2006 10,254 10,072
7/16/2006 10,254 10,072
7/17/2006 10,218 9,989
7/18/2006 10,238 9,979
7/19/2006 10,382 10,113
7/20/2006 10,290 10,012
7/21/2006 10,230 9,901
7/22/2006 10,230 9,901
7/23/2006 10,230 9,901
7/24/2006 10,354 9,980
7/25/2006 10,418 10,044
7/26/2006 10,406 10,062
7/27/2006 10,358 10,043
7/28/2006 10,454 10,102
7/29/2006 10,454 10,102
7/30/2006 10,454 10,102
7/31/2006 10,462 10,138
8/1/2006 10,438 10,106
8/2/2006 10,478 10,152
8/3/2006 10,502 10,151
8/4/2006 10,474 10,141
8/5/2006 10,474 10,141
8/6/2006 10,474 10,141
8/7/2006 10,450 10,123
8/8/2006 10,418 10,108
8/9/2006 10,378 10,138
8/10/2006 10,390 10,158
8/11/2006 10,350 10,127
8/12/2006 10,350 10,127
8/13/2006 10,350 10,127
8/14/2006 10,342 10,111
8/15/2006 10,446 10,184
8/16/2006 10,514 10,246
8/17/2006 10,510 10,244
8/18/2006 10,542 10,262
8/19/2006 10,542 10,262
8/20/2006 10,542 10,262
8/21/2006 10,502 10,268
8/22/2006 10,510 10,288
8/23/2006 10,458 10,253
8/24/2006 10,462 10,241
8/25/2006 10,474 10,262
8/26/2006 10,474 10,262
8/27/2006 10,474 10,262
8/28/2006 10,498 10,258
8/29/2006 10,534 10,277
8/30/2006 10,542 10,297
8/31/2006 10,546 10,320
9/1/2006 10,595 10,375
9/2/2006 10,595 10,375
9/3/2006 10,595 10,375
9/4/2006 10,595 10,375
9/5/2006 10,647 10,423
9/6/2006 10,542 10,348
9/7/2006 10,518 10,312
9/8/2006 10,518 10,303
9/9/2006 10,518 10,303
9/10/2006 10,518 10,303
9/11/2006 10,510 10,257
9/12/2006 10,586 10,280
9/13/2006 10,631 10,330
9/14/2006 10,615 10,321
9/15/2006 10,607 10,321
9/16/2006 10,607 10,321
9/17/2006 10,607 10,321
9/18/2006 10,615 10,348
9/19/2006 10,566 10,315
9/20/2006 10,607 10,320
9/21/2006 10,562 10,315
9/22/2006 10,534 10,276
9/23/2006 10,534 10,276
9/24/2006 10,534 10,276
9/25/2006 10,566 10,265
9/26/2006 10,615 10,302
9/27/2006 10,607 10,332
9/28/2006 10,586 10,338
9/29/2006 10,574 10,343
9/30/2006 10,574 10,343
10/1/2006 10,574 10,343
10/2/2006 10,566 10,326
10/3/2006 10,558 10,285
10/4/2006 10,631 10,326
10/5/2006 10,655 10,413
10/6/2006 10,627 10,392
10/7/2006 10,627 10,392
10/8/2006 10,627 10,392
10/9/2006 10,627 10,391
10/10/2006 10,639 10,418
10/11/2006 10,615 10,392
10/12/2006 10,695 10,463
10/13/2006 10,719 10,497
10/14/2006 10,719 10,497
10/15/2006 10,719 10,497
10/16/2006 10,747 10,533
10/17/2006 10,707 10,494
10/18/2006 10,723 10,505
10/19/2006 10,759 10,570
10/20/2006 10,723 10,585
10/21/2006 10,723 10,585
10/22/2006 10,723 10,585
10/23/2006 10,771 10,603
10/24/2006 10,799 10,626
10/25/2006 10,839 10,663
10/26/2006 10,871 10,703
10/27/2006 10,791 10,674
10/28/2006 10,791 10,674
10/29/2006 10,791 10,674
10/30/2006 10,787 10,641
10/31/2006 10,775 10,647
11/1/2006 10,659 10,623
11/2/2006 10,639 10,622
11/3/2006 10,619 10,670
11/4/2006 10,619 10,670
11/5/2006 10,619 10,670
11/6/2006 10,703 10,726
11/7/2006 10,715 10,742
11/8/2006 10,731 10,747
11/9/2006 10,687 10,754
11/10/2006 10,719 10,732
11/11/2006 10,719 10,732
11/12/2006 10,719 10,732
11/13/2006 10,735 10,731
11/14/2006 10,807 10,755
11/15/2006 10,839 10,785
11/16/2006 10,831 10,764
11/17/2006 10,827 10,755
11/18/2006 10,827 10,755
11/19/2006 10,827 10,755
11/20/2006 10,835 10,762
11/21/2006 10,839 10,833
11/22/2006 10,855 10,864
11/23/2006 10,855 10,864
11/24/2006 10,843 10,864
11/25/2006 10,843 10,864
11/26/2006 10,843 10,864
11/27/2006 10,731 10,782
11/28/2006 10,755 10,789
11/29/2006 10,839 10,870
11/30/2006 10,863 10,893
12/1/2006 10,851 10,881
12/2/2006 10,851 10,881
12/3/2006 10,851 10,881
12/4/2006 10,927 10,935
12/5/2006 10,955 10,949
12/6/2006 10,939 10,949
12/7/2006 10,915 10,965
12/8/2006 10,922 10,980
12/9/2006 10,922 10,980
12/10/2006 10,922 10,980
12/11/2006 10,934 10,980
12/12/2006 10,897 10,950
12/13/2006 10,905 10,966
12/14/2006 10,951 10,990
12/15/2006 10,955 10,981
12/16/2006 10,955 10,981
12/17/2006 10,955 10,981
12/18/2006 10,918 10,936
12/19/2006 10,938 10,940
12/20/2006 10,922 10,937
12/21/2006 10,893 10,908
12/22/2006 10,855 10,888
12/23/2006 10,855 10,888
12/24/2006 10,855 10,888
12/25/2006 10,855 10,888
12/26/2006 10,913 10,899
12/27/2006 10,992 10,961
12/28/2006 10,967 10,962
12/29/2006 10,922 10,949
12/30/2006 10,922 10,949
12/31/2006 10,922 10,949
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (11/29/05)
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND 8.20% 8.44%
DOW JONES HEDGE FUND EQUITY LONG/SHORT INDEX 8.26% 8.69%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES HEDGE FUND EQUITY
LONG/SHORT INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO
MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS.
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS
AND CAPITAL GAINS.
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 5.2% -3.8%
CONSUMER DISCRETIONARY 7.3% -5.0%
CONSUMER STAPLES 4.9% -4.9%
ENERGY 4.6% -4.7%
FINANCIALS 11.0% -9.8%
HEALTH CARE 5.0% -5.1%
INDUSTRIALS 6.6% -5.2%
INFORMATION TECHNOLOGY 5.3% -8.0%
TELECOMMUNICATION SERVICES 3.5%
FUTURES CONTRACTS 55.4%
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
J.P. Morgan Chase & Co. 1.2%
Verizon Communications, Inc. 0.9%
Reynolds American Inc. 0.9%
ConocoPhillips 0.8%
BellSouth Corp. 0.7%
McKesson Corp. 0.7%
Tyco International, Ltd. 0.7%
WellPoint, Inc. 0.7%
Goldman Sachs Group, Inc. 0.6%
Boeing Co. 0.6%
- --------------------------------------------------------------------------------
Top Ten Total 7.8%
- --------------------------------------------------------------------------------
"Ten Largest Long Holdings" exclude any temporary cash or derivative
instruments.
6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 50.7%
FINANCIALS 11.6%
REAL ESTATE 3.4%
Equity Office Properties Trust 1,760 $ 84,779
Newkirk Realty Trust Co., Inc. 3,120 56,285
Columbia Equity Trust, Inc. 2,910 55,610
MortgageIT Holdings, Inc. 3,750 55,312
CentraCore Properties Trust 1,710 55,284
Trustreet Properties, Inc. 3,280 55,268
Longview Fibre Co. 2,510 55,094
Reckson Associates Realty Corp. 1,200 54,720
Government Properties Trust,
Inc. 5,150 54,590
Realogy Corp.* 1,800 54,576
Brookfield Asset Management,
Inc. -- Class A 500 24,090
KIMCO Realty Corp. 520 23,374
Liberty Property Trust 400 19,656
Brookfield Properties Corp. 460 18,092
Forest City Enterprises, Inc. --
Class A 250 14,600
Apartment Investment &
Management Co. -- Class A 230 12,885
The St. Joe Co. 200 10,714
Jones Lang LaSalle, Inc. 100 9,217
General Growth Properties, Inc. 120 6,268
Equity Residential 120 6,090
ProLogis 100 6,077
Host Hotels & Resorts, Inc. 240 5,892
Public Storage, Inc. 60 5,850
Archstone-Smith Trust 100 5,821
CB Richard Ellis Group, Inc. --
Class A* 170 5,644
AvalonBay Communities, Inc. 40 5,202
Developers Diversified Realty
Corp. 70 4,406
Macerich Co. 50 4,329
------------
TOTAL REAL ESTATE 769,725
------------
INSURANCE 2.7%
MetLife, Inc. 1,620 95,596
Hartford Financial Services
Group, Inc. 820 76,514
Chubb Corp. 1,280 67,725
Direct General Corp. 2,670 55,109
Universal American Financial Corp.* 2,950 54,988
UnumProvident Corp. 2,370 49,249
Cincinnati Financial Corp. 860 38,967
SAFECO Corp. 590 36,904
Genworth Financial, Inc. -- Class A 1,020 34,894
Old Republic International Corp. 1,410 32,825
Fidelity National Financial, Inc. --
Class A 1,210 28,895
Ohio Casualty Corp. 650 19,376
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
First American Corp. 430 $ 17,492
American Financial Group, Inc. 300 10,773
------------
TOTAL INSURANCE 619,307
------------
BANKS 2.0%
State National Bancshares, Inc. 1,440 55,425
TD Banknorth, Inc. 1,710 55,199
Interchange Financial Services
Corp. 2,400 55,176
Mid-State Bancshares 1,510 54,949
Mercantile Bankshares Corp. 1,170 54,744
Republic Bancorp, Inc. 4,000 53,840
Sky Financial Group, Inc. 1,850 52,799
National City Corp. 1,318 48,186
SVB Financial Group* 250 11,655
FirstMerit Corp. 220 5,311
------------
TOTAL BANKS 447,284
------------
DIVERSIFIED FINANCIALS 1.2%
J.P. Morgan Chase & Co. 2,370 114,471
CIT Group, Inc. 1,390 77,520
Cbot Holdings, Inc.* 350 53,015
Leucadia National Corp. 780 21,996
------------
TOTAL DIVERSIFIED FINANCIALS 267,002
------------
THRIFTS & MORTGAGE FINANCE 1.1%
Washington Mutual, Inc. 2,040 92,800
Pennfed Financial Services, 2,860 55,255
Sovereign Bancorp, Inc. 1,220 30,976
Radian Group, Inc. 550 29,651
IndyMac Bancorp, Inc. 370 16,709
First Niagara Financial Group, Inc. 770 11,442
------------
TOTAL THRIFTS & MORTGAGE FINANCE 236,833
------------
CAPITAL MARKETS 0.8%
Lehman Brothers Holdings, Inc. 740 57,809
Bank of New York Co., Inc. 1,390 54,724
Goldman Sachs Group, Inc. 240 47,844
A.G. Edwards, Inc. 190 12,025
Raymond James Financial, Inc. 340 10,306
------------
TOTAL CAPITAL MARKETS 182,708
------------
CONSUMER FINANCE 0.4%
Capital One Financial Corp. 580 44,556
AmeriCredit Corp.* 1,550 39,013
------------
TOTAL CONSUMER FINANCE 83,569
------------
TOTAL FINANCIALS 2,606,428
------------
CONSUMER DISCRETIONARY 7.1%
MEDIA 1.7%
Univision Communications, Inc. --
Class A* 1,560 55,255
Cablevision Sys Corp. -- Cl A 1,940 55,251
Advo, Inc. 1,690 55,094
Clear Channel Communications,
Inc. 1,550 55,087
Walt Disney Co. 1,260 43,180
Gannett Co., Inc. 700 42,322
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Reader's Digest Association, Inc. 1,980 $ 33,066
Comcast Corp. -- Class A* 590 24,975
Media General, Inc. 280 10,408
Westwood One, Inc. 870 6,142
------------
TOTAL MEDIA 380,780
------------
HOTELS, RESTAURANTS & LEISURE 1.4%
Aztar Corp.* 1,020 55,508
Four Seasons Hotels, Inc. 670 54,933
OSI Restaurant Partners, Inc. 1,400 54,880
Station Casinos, Inc. 670 54,719
Harrah's Entertainment, Inc. 410 33,915
Riviera Holdings Corp.* 405 9,785
McDonald's Corp. 220 9,753
Carnival Corp. 170 8,338
Las Vegas Sands Corp.* 80 7,158
MGM Mirage, Inc.* 90 5,162
Hilton Hotels Corp. 140 4,886
Yum! Brands, Inc. 80 4,704
Starwood Hotels & Resorts
Worldwide, Inc. 70 4,375
Royal Caribbean Cruises Ltd. 100 4,138
Wynn Resorts Ltd. 40 3,754
Wyndham Worldwide Corp.* 100 3,202
Tim Hortons, Inc. 110 3,186
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 322,396
------------
SPECIALTY RETAIL 0.8%
Eddie Bauer Holdings, Inc.* 6,100 55,266
The Gap, Inc. 2,200 42,900
AutoNation, Inc.* 1,120 23,879
Regis Corp. 550 21,747
GameStop Corp. -- Class A* 300 16,533
AnnTaylor Stores Corp.* 250 8,210
American Eagle Outfitters, Inc. 230 7,178
Rent-A-Center, Inc.* 130 3,836
------------
TOTAL SPECIALTY RETAIL 179,549
------------
HOUSEHOLD DURABLES 0.7%
Yankee Candle Co., Inc. 1,610 55,191
Lennar Corp. -- Class A 740 38,821
Whirlpool Corp. 360 29,887
American Greetings Corp. --
Class A 570 13,606
Toll Brothers, Inc.* 370 11,925
Furniture Brands International, Inc. 650 10,550
Pulte Homes, Inc. 170 5,630
KB HOME 80 4,102
Ryland Group, Inc. 50 2,731
------------
TOTAL HOUSEHOLD DURABLES 172,443
------------
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AUTO COMPONENTS 0.6%
Johnson Controls, Inc. 790 $ 67,877
Bandag, Inc. 960 48,413
Modine Manufacturing Co. 420 10,512
Goodyear Tire & Rubber Co.* 490 10,285
------------
TOTAL AUTO COMPONENTS 137,087
------------
MULTILINE RETAIL 0.6%
Federated Department Stores, Inc. 2,030 77,404
J.C. Penney Co., Inc. 420 32,491
Kohl's Corp.* 180 12,317
Dillard's, Inc. -- Class A 130 4,546
Big Lots, Inc.* 180 4,126
------------
TOTAL MULTILINE RETAIL 130,884
------------
TEXTILES & APPAREL 0.4%
Hanesbrands, Inc.* 750 17,715
Nike, Inc. -- Class B 140 13,864
VF Corp. 100 8,208
Polo Ralph Lauren Corp. 100 7,766
Liz Claiborne, Inc. 130 5,650
Jones Apparel Group, Inc. 150 5,014
Phillips-Van Heusen Corp. 90 4,515
Gildan Activewear, Inc.* 90 4,197
Under Armour, Inc.* 80 4,036
Columbia Sportswear Co. 70 3,899
Timberland Co. -- Class A* 120 3,790
Quiksilver, Inc.* 230 3,623
Wolverine World Wide, Inc. 120 3,422
Fossil, Inc.* 150 3,387
Carter's, Inc.* 110 2,805
------------
TOTAL TEXTILES & APPAREL 91,891
------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Brunswick Corp. 900 28,710
Eastman Kodak Co. 540 13,932
Hasbro, Inc. 410 11,173
Callaway Golf Co. 730 10,519
Polaris Industries, Inc. 160 7,493
Pool Corp. 190 7,442
Marvel Entertainment, Inc.* 270 7,266
RC2 Corp.* 120 5,280
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 91,815
------------
INTERNET & CATALOG RETAIL 0.3%
IAC/InterActiveCorp* 510 18,951
Expedia, Inc.* 730 15,315
Nutri/System, Inc.* 120 7,607
Priceline.com, Inc.* 150 6,541
VistaPrint Ltd.* 170 5,629
Netflix, Inc.* 210 5,431
Coldwater Creek, Inc.* 140 3,433
------------
TOTAL INTERNET & CATALOG RETAIL 62,907
------------
8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AUTOMOBILES 0.1%
Ford Motor Co. 2,480 $ 18,625
------------
TOTAL AUTOMOBILES 18,625
------------
COMMERCIAL SERVICES & SUPPLIES 0.1%
Career Education Corp.* 500 12,390
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 12,390
------------
TOTAL CONSUMER DISCRETIONARY 1,600,767
------------
INDUSTRIALS 6.6%
COMMERCIAL SERVICES & SUPPLIES 1.6%
Banta Corp. 1,870 68,068
ARAMARK Corp. -- Class B 1,650 55,192
Sitel Corp.* 13,030 54,987
Cornell Cos., Inc.* 2,970 54,440
John H. Harland Co. 1,050 52,710
Adesa, Inc. 1,880 52,170
Manpower, Inc. 130 9,741
Allied Waste Industries, Inc.* 690 8,480
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 355,788
------------
AEROSPACE & DEFENSE 1.1%
Northrop Grumman Corp. 970 65,669
Boeing Co. 680 60,411
Essex Corp.* 2,310 55,232
Raytheon Co. 670 35,376
Lockheed Martin Corp. 270 24,859
------------
TOTAL AEROSPACE & DEFENSE 241,547
------------
ROAD & RAIL 0.9%
Norfolk Southern Corp. 1,180 59,342
RailAmerica, Inc.* 3,430 55,155
Swift Transportation Co., Inc.* 1,990 52,277
YRC Worldwide, Inc.* 430 16,224
CSX Corp. 460 15,838
Avis Budget Group, Inc. 280 6,073
------------
TOTAL ROAD & RAIL 204,909
------------
ELECTRICAL EQUIPMENT 0.6%
American Power Conversion Corp. 2,060 63,015
ABB Ltd. -- SP ADR 1,110 19,958
Emerson Electric Co. 330 14,543
Rockwell Automation, Inc. 120 7,330
Cooper Industries Ltd. -- Class A 80 7,234
Roper Industries, Inc.* 110 5,526
AMETEK, Inc. 150 4,776
Thomas & Betts Corp.* 90 4,255
Acuity Brands, Inc. 80 4,163
Hubbell, Inc. -- Class B 90 4,069
General Cable Corp.* 90 3,934
Regal-Beloit Corp. 70 3,676
Energy Conversion Devices, Inc.* 70 2,379
A.O. Smith Corp. 60 2,254
------------
TOTAL ELECTRICAL EQUIPMENT 147,112
------------
AIRLINES 0.6%
Southwest Airlines Co. 1,770 27,116
Alaska Air Group, Inc.* 550 21,725
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Ryanair Holdings PLC* -- SP ADR* 170 $ 13,855
British Airways PLC -- SP ADR* 130 13,425
AMR Corp.* 340 10,278
UAL Corp.* 210 9,240
Continental Airlines, Inc. --
Class B* 200 8,250
US Airways Group, Inc.* 150 8,078
JetBlue Airways Corp.* 440 6,248
Gol Linhas Aereas Inteligentes
SA -- SP ADR 170 4,874
SkyWest, Inc. 170 4,337
AirTran Holdings, Inc.* 70 822
------------
TOTAL AIRLINES 128,248
------------
MACHINERY 0.6%
Timken Co. 1,210 35,308
Cummins, Inc. 280 33,090
Lincoln Electric Holdings, Inc. 300 18,126
Paccar, Inc. 250 16,225
Crane Co. 320 11,725
AGCO Corp.* 220 6,807
Trinity Industries, Inc. 190 6,688
------------
TOTAL MACHINERY 127,969
------------
BUILDING PRODUCTS 0.6%
Jacuzzi Brands, Inc.* 4,470 55,562
ElkCorp 1,340 55,061
Masco Corp. 490 14,636
------------
TOTAL BUILDING PRODUCTS 125,259
------------
INDUSTRIAL CONGLOMERATES 0.5%
Tyco International Ltd. 3,470 105,488
Sequa Corp. -- Class A* 120 13,807
------------
TOTAL INDUSTRIAL CONGLOMERATES 119,295
------------
TRADING COMPANIES & DISTRIBUTORS 0.1%
United Rentals, Inc.* 780 19,836
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 19,836
------------
CONSTRUCTION & ENGINEERING 0.0%
Granite Construction, Inc. 220 11,070
------------
TOTAL CONSTRUCTION & ENGINEERING 11,070
------------
TOTAL INDUSTRIALS 1,481,033
------------
INFORMATION TECHNOLOGY 6.2%
IT CONSULTING & SERVICES 1.7%
Indus International, Inc.* 14,660 55,561
Kanbay International, Inc.* 1,920 55,238
Sabre Holdings Corp. 1,720 54,851
TNS, Inc.* 2,700 51,975
First Data Corp. 1,850 47,212
Computer Sciences Corp.* 800 42,696
Affiliated Computer Services, Inc.
-- Class A* 710 34,676
BISYS Group, Inc.* 1,370 17,687
Alliance Data Systems Corp.* 210 13,119
Ceridian Corp.* 460 12,871
------------
TOTAL IT CONSULTING & SERVICES 385,886
------------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.0%
Portalplayer, Inc.* 4,100 $ 55,145
PowerDsine Ltd.* 4,980 54,631
Agere Systems, Inc.* 2,750 52,717
Micron Technology, Inc.* 1,660 23,174
Cree, Inc.* 770 13,336
Intersil Corp. -- Class A 510 12,199
Atmel Corp.* 1,470 8,894
------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 220,096
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.8%
Symbol Technologies, Inc. 3,690 55,129
Pemstar, Inc.* 14,170 54,554
Arrow Electronics, Inc.* 880 27,764
Vishay Intertechnology, Inc.* 1,650 22,341
Amphenol Corp. -- Class A 230 14,278
Sanmina-SCI Corp.* 2,660 9,177
Newport Corp.* 270 5,657
------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 188,900
------------
INTERNET SOFTWARE & SERVICES 0.8%
VitalStream Holdings, Inc.* 5,600 56,224
Digital Insight Corp.* 1,430 55,041
Netratings, Inc.* 3,110 54,456
Yahoo!, Inc.* 680 17,367
------------
TOTAL INTERNET SOFTWARE & SERVICES 183,088
------------
COMMUNICATIONS EQUIPMENT 0.8%
Alcatel-Lucent SA -- SP ADR 3,700 52,614
Motorola, Inc. 2,400 49,344
Corning, Inc.* 2,050 38,355
Plantronics, Inc. 490 10,388
Polycom, Inc.* 310 9,582
CommScope, Inc.* 260 7,925
ADC Telecommunications, Inc.* 260 3,778
------------
TOTAL COMMUNICATIONS EQUIPMENT 171,986
------------
SOFTWARE 0.6%
Open Solutions, Inc.* 1,470 55,331
Novell, Inc.* 4,180 25,916
Compuware Corp.* 2,890 24,074
BMC Software, Inc.* 470 15,134
Mentor Graphics Corp.* 400 7,212
Macrovision Corp.* 250 7,065
Wind River Systems, Inc.* 630 6,457
------------
TOTAL SOFTWARE 141,189
------------
COMPUTERS & PERIPHERALS 0.5%
McData Corp. -- Class A* 10,650 59,107
Sun Microsystems, Inc.* 5,350 28,997
Palm, Inc.* 1,840 25,926
------------
TOTAL COMPUTERS & PERIPHERALS 114,030
------------
TOTAL INFORMATION TECHNOLOGY 1,405,175
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HEALTH CARE 4.8%
HEALTH CARE PROVIDERS & SERVICES 2.8%
WellPoint, Inc.* 1,310 $ 103,084
McKesson Corp. 1,780 90,246
Aetna, Inc. 1,620 69,951
Caremark Rx, Inc. 980 55,968
Per-Se Technologies, Inc.* 1,990 55,282
Horizon Health Corp.* 2,740 53,622
AmerisourceBergen Corp. 990 44,510
Community Health Systems, Inc.* 1,170 42,728
Coventry Health Care, Inc.* 600 30,030
Triad Hospitals, Inc.* 710 29,699
LifePoint Hospitals, Inc.* 640 21,568
Health Net, Inc.* 410 19,951
Covance, Inc.* 160 9,426
Psychiatric Solutions, Inc.* 180 6,754
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 632,819
------------
BIOTECHNOLOGY 0.9%
Sirna Therapeutics, Inc.* 4,260 55,422
Tanox, Inc.* 2,780 55,322
ICOS Corp.* 1,630 55,078
Biogen Idec, Inc.* 740 36,401
------------
TOTAL BIOTECHNOLOGY 202,223
------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.9%
Biomet, Inc. 1,330 54,889
Conor Medsystems, Inc.* 1,750 54,827
Stryker Corp. 720 39,679
Bausch & Lomb, Inc. 330 17,180
Thermo Electron Corp. 270 12,228
Waters Corp.* 210 10,284
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 189,087
------------
PHARMACEUTICALS 0.2%
Watson Pharmaceuticals, Inc.* 940 24,468
King Pharmaceuticals, Inc.* 1,080 17,194
Valeant Pharmaceuticals
International 620 10,689
------------
TOTAL PHARMACEUTICALS 52,351
------------
TOTAL HEALTH CARE 1,076,480
------------
ENERGY 3.6%
OIL & GAS 2.4%
ConocoPhillips 1,820 130,949
Valero Energy Corp. 1,340 68,554
Anadarko Petroleum Corp. 1,380 60,058
Apache Corp. 890 59,194
Kinder Morgan, Inc. 520 54,990
Giant Industries, Inc.* 730 54,713
Peabody Energy Corp. 1,000 40,410
Marathon Oil Corp. 340 31,450
Pogo Producing Co. 440 21,314
Overseas Shipholding Group, Inc. 320 18,016
------------
TOTAL OIL & GAS 539,648
------------
10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 1.2%
Transocean, Inc.* 720 $ 58,241
Veritas DGC, Inc.* 660 56,516
Seitel, Inc.* 15,390 55,019
Superior Energy Services, Inc.* 786 25,686
Patterson-UTI Energy, Inc. 1,050 24,392
Rowan Cos., Inc. 700 23,240
Nabors Industries Ltd.* 590 17,570
Cameron International Corp.* 250 13,263
Hanover Compressor Co.* 410 7,745
------------
TOTAL ENERGY EQUIPMENT & SERVICES 281,672
------------
TOTAL ENERGY 821,320
------------
TELECOMMUNICATION SERVICES 3.0%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.0%
Verizon Communications, Inc. 3,900 145,236
BellSouth Corp. 2,380 112,122
Commonwealth Telephone
Enterprises, Inc. 1,330 55,674
Broadwing Corp.* 3,490 54,514
Windstream Corp. 2,620 37,256
CenturyTel, Inc. 730 31,872
Embarq Corp. 110 5,781
------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 442,455
------------
WIRELESS TELECOMMUNICATION SERVICES 1.0%
Sprint Nextel Corp. 4,550 85,949
Alltel Corp. 1,220 73,786
China Mobile Hong Kong Ltd. --
SP ADR 330 14,263
Vodafone Group, Inc. -- SP ADR 480 13,334
America Movil SA de CV -- SP ADR 220 9,948
Mobile Telesystems -- SP ADR 100 5,019
Rogers Communications, Inc. --
Class B* 80 4,768
Vimpel -- Communications -- SP ADR* 60 4,737
SK Telecom Co., Ltd. -- SP ADR 160 4,237
American Tower Corp. -- Class A* 110 4,101
Turkcell Iletisim Hizmet AS, Inc. --
SP ADR 250 3,345
NII Holdings, Inc. -- Class B* 50 3,222
Philippine Long Distance Telephone
Co. -- SP ADR 60 3,068
U.S. Cellular Corp.* 40 2,784
Crown Castle International Corp.* 80 2,584
------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 235,145
------------
TOTAL TELECOMMUNICATION SERVICES 677,600
------------
CONSUMER STAPLES 3.0%
FOOD PRODUCTS 0.9%
Premium Standard Farms, Inc. 2,980 55,339
Delta & Pine Land Co. 1,350 54,607
Tyson Foods, Inc. -- Class A 2,530 41,619
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 1,130 $ 36,115
Tootsie Roll Industries, Inc. 410 13,407
------------
TOTAL FOOD PRODUCTS 201,087
------------
FOOD & DRUG RETAILING 0.8%
Kroger Co. 3,910 90,204
CVS Corp. 1,671 51,650
Walgreen Co. 620 28,452
Ruddick Corp. 320 8,880
------------
TOTAL FOOD & DRUG RETAILING 179,186
------------
BEVERAGES 0.7%
Coca-Cola Enterprises, Inc. 3,600 73,512
Pepsi Bottling Group, Inc. 2,010 62,129
Constellation Brands, Inc. --
Class A* 910 26,408
------------
TOTAL BEVERAGES 162,049
------------
TOBACCO 0.5%
Reynolds American, Inc. 1,190 77,909
UST, Inc. 400 23,280
------------
TOTAL TOBACCO 101,189
------------
PERSONAL PRODUCTS 0.1%
Alberto-Culver Co. 1,100 23,595
------------
TOTAL PERSONAL PRODUCTS 23,595
------------
TOTAL CONSUMER STAPLES 667,106
------------
UTILITIES 2.5%
ELECTRIC UTILITIES 1.2%
Duquesne Light Holdings, Inc. 2,780 55,183
Edison International 880 40,022
Progress Energy, Inc. 640 31,411
Pepco Holdings, Inc. 970 25,230
TXU Corp. 350 18,973
Pinnacle West Capital Corp. 350 17,741
Great Plains Energy, Inc. 400 12,720
E.ON AG -- SP ADR 230 10,394
Endesa SA -- SP ADR 170 7,908
Korea Electric Power Corp. --
SP ADR* 260 5,905
Southern Co. 160 5,898
FPL Group, Inc. 100 5,442
Scottish Power, Inc. -- SP ADR 90 5,259
FirstEnergy Corp. 80 4,824
American Electric Power Co., Inc. 110 4,684
Entergy Corp. 50 4,616
PPL Corp. 120 4,301
Enersis SA/Chile -- SP ADR 230 3,680
------------
TOTAL ELECTRIC UTILITIES 264,191
------------
MULTI-UTILITIES 0.8%
NorthWestern Corp. 1,550 54,839
KeySpan Corp. 970 39,945
AES Corp.* 1,210 26,668
DTE Energy Co. 480 23,237
Energy East Corp. 870 21,576
MDU Resources Group, Inc. 310 7,948
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
OGE Energy Corp.* 150 $ 6,000
TECO Energy, Inc. 140 2,412
------------
TOTAL MULTI-UTILITIES 182,625
------------
GAS UTILITIES 0.5%
Peoples Energy Corp. 1,250 55,712
Cascade Natural Gas Corp. 2,130 55,210
Questar Corp. 110 9,136
Oneok, Inc. 160 6,899
------------
TOTAL GAS UTILITIES 126,957
------------
TOTAL UTILITIES 573,773
------------
MATERIALS 2.3%
METALS & MINING 1.1%
Phelps Dodge Corp. 480 57,465
Bema Gold Corp.* 10,620 55,755
Allegheny Technologies, Inc. 390 35,365
Worthington Industries, Inc. 910 16,125
Reliance Steel & Aluminum Co. 320 12,602
BHP Billiton Ltd. -- SP ADR 280 11,130
Companhia Vale do Rio Doce --
SP ADR 300 8,922
Rio Tinto PLC -- SP ADR 40 8,500
POSCO -- SP ADR 80 6,614
Steel Dynamics, Inc. 220 7,139
Mittal Steel Co.N.V. -- Class A 140 5,905
Nucor Corp. 90 4,919
Anglo American PLC -- ADR 200 4,882
Alcoa, Inc. 160 4,802
Alcan, Inc. 90 4,387
Barrick Gold Corp. 130 3,991
AngloGold Ashanti Ltd. -- SP ADR 70 3,296
------------
TOTAL METALS & MINING 251,799
------------
CHEMICALS 0.8%
MacDermid, Inc. 1,610 54,901
Lyondell Chemical Co. 1,390 35,542
Ashland, Inc. 440 30,439
Olin Corp. 1,420 23,458
Eastman Chemical Co. 280 16,607
Airgas, Inc. 330 13,372
------------
TOTAL CHEMICALS 174,319
------------
CONSTRUCTION MATERIALS 0.3%
Cemex SA de CV -- SP ADR* 640 21,683
Rinker Group Ltd. -- SP ADR 180 12,789
Vulcan Materials Co. 140 12,582
Martin Marietta Materials, Inc. 90 9,352
Eagle Materials, Inc. 140 6,052
Texas Industries, Inc. 80 5,138
Headwaters, Inc.* 180 4,313
Florida Rock Industries, Inc. 90 3,875
------------
TOTAL CONSTRUCTION MATERIALS 75,784
------------
PAPER & FOREST PRODUCTS 0.1%
Louisiana-Pacific Corp. 840 18,085
------------
TOTAL PAPER & FOREST PRODUCTS 18,085
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TOTAL MATERIALS $ 519,987
------------
TOTAL COMMON STOCKS
(Cost $11,032,347) 11,429,669
------------
EXCHANGE TRADED FUNDS 3.9%
iShares GSCI Commodity Indexed
Trust* 21,830 873,855
------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $903,843) 873,855
------------
FACE
AMOUNT
------------
REPURCHASE AGREEMENTS 44.4%
Repurchase Agreement (Note 6)
4.90% due 01/02/07+ $ 2,975,722 2,975,722
4.80% due 01/02/07 1,849,926 1,849,926
4.79% due 01/02/07 1,849,926 1,849,926
4.65% due 01/02/07 1,849,926 1,849,926
4.60% due 01/02/07 1,498,439 1,498,439
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $10,023,939) 10,023,939
------------
TOTAL LONG SECURITIES 99.0%
(Cost $21,960,129) 22,327,463
------------
SHARES
------------
COMMON STOCKS SOLD SHORT (31.1)%
TELECOMMUNICATION SERVICES (0.5)%
DIVERSIFIED TELECOMMUNICATION SERVICES (0.5)%
Citizens Communications Co. 1,090 (15,663)
Level 3 Communications, Inc.* 5,020 (28,112)
AT&T, Inc. 1,710 (61,133)
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES (104,908)
------------
TOTAL TELECOMMUNICATION SERVICES (104,908)
------------
MATERIALS (1.3)%
CONTAINERS & PACKAGING (0.1)%
Pactiv Corp.* 620 (22,128)
------------
TOTAL CONTAINERS & PACKAGING (22,128)
------------
PAPER & FOREST PRODUCTS (0.3)%
Bowater, Inc. 110 (2,475)
MeadWestvaco Corp. 680 (20,441)
Weyerhaeuser Co. 500 (35,325)
------------
TOTAL PAPER & FOREST PRODUCTS (58,241)
------------
METALS & MINING (0.3)%
Newmont Mining Corp. 120 (5,418)
Freeport-McMoRan Copper &
Gold, Inc. -- Class B 270 (15,047)
Kinross Gold Corp.* 4,850 (57,618)
------------
TOTAL METALS & MINING (78,083)
------------
12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CHEMICALS (0.6)%
Ferro Corp. 410 $ (8,483)
Dow Chemical Co. 350 (13,979)
Chemtura Corp. 1,790 (17,238)
Albemarle Corp. 270 (19,386)
Hercules, Inc.* 1,140 (22,013)
Ecolab, Inc. 1,090 (49,268)
------------
TOTAL CHEMICALS (130,367)
------------
TOTAL MATERIALS (288,819)
------------
UTILITIES (1.3)%
WATER UTILITIES (0.1)%
Aqua America, Inc. 970 (22,097)
------------
TOTAL WATER UTILITIES (22,097)
------------
GAS UTILITIES (0.2)%
Equitable Resources, Inc. 860 (35,905)
------------
TOTAL GAS UTILITIES (35,905)
------------
MULTI-UTILITIES (0.5)%
Ameren Corp. 160 (8,597)
Public Service Enterprise Group, Inc. 160 (10,621)
Dynegy, Inc. -- Class A* 1,630 (11,801)
CenterPoint Energy, Inc. 1,380 (22,880)
WPS Resources Corp. 1,130 (61,054)
------------
TOTAL MULTI-UTILITIES (114,953)
------------
ELECTRIC UTILITIES (0.5)%
Black Hills Corp. 80 (2,955)
Northeast Utilities 190 (5,350)
Allegheny Energy, Inc.* 300 (13,773)
Exelon Corp. 1,550 (95,930)
------------
TOTAL ELECTRIC UTILITIES (118,008)
------------
TOTAL UTILITIES (290,963)
------------
CONSUMER DISCRETIONARY (2.5)%
LEISURE EQUIPMENT & PRODUCTS 0.0%
Mattel, Inc. 180 (4,079)
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS (4,079)
------------
MULTILINE RETAIL (0.1)%
Saks, Inc. 650 (11,583)
------------
TOTAL MULTILINE RETAIL (11,583)
------------
AUTOMOBILES (0.1)%
General Motors Corp. 590 (18,125)
------------
TOTAL AUTOMOBILES (18,125)
------------
AUTO COMPONENTS (0.1)%
ArvinMeritor, Inc. 440 (8,021)
Lear Corp. 360 (10,631)
------------
TOTAL AUTO COMPONENTS (18,652)
------------
TEXTILES & APPAREL (0.1)%
Coach, Inc.* 760 (32,649)
------------
TOTAL TEXTILES & APPAREL (32,649)
------------
HOUSEHOLD DURABLES (0.1)%
Beazer Homes USA, Inc. 110 (5,171)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Hovnanian Enterprises, Inc. --
Class A* 160 $ (5,424)
Blyth, Inc. 350 (7,262)
Centex Corp. 170 (9,566)
D.R. Horton, Inc. 400 (10,596)
------------
TOTAL HOUSEHOLD DURABLES (38,019)
------------
INTERNET & CATALOG RETAIL (0.2)%
Amazon.com, Inc.* 1,000 (39,460)
------------
TOTAL INTERNET & CATALOG RETAIL (39,460)
------------
SPECIALTY RETAIL (0.2)%
Urban Outfitters, Inc.* 1 (23)
CarMax, Inc.* 120 (6,436)
Chico's FAS, Inc.* 340 (7,035)
OfficeMax, Inc. 160 (7,944)
Pier 1 Imports, Inc. 1,350 (8,032)
Dick's Sporting Goods, Inc.* 280 (13,717)
------------
TOTAL SPECIALTY RETAIL (43,187)
------------
COMMERCIAL SERVICES & SUPPLIES (0.2)%
Apollo Group, Inc. -- Class A* 250 (9,742)
Sotheby's Holdings, Inc. -- Class A 360 (11,167)
Strayer Education, Inc. 130 (13,787)
ITT Educational Services, Inc.* 280 (18,584)
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (53,280)
------------
HOTELS, RESTAURANTS & LEISURE (0.6)%
Wendy's International, Inc. 210 (6,949)
International Game Technology,
Inc. 830 (38,346)
Marriott International, Inc. --
Class A 900 (42,948)
Starbucks Corp.* 1,400 (49,588)
------------
TOTAL HOTELS, RESTAURANTS & LEISURE (137,831)
------------
MEDIA (0.8)%
Valassis Communications, Inc.* 210 (3,045)
DIRECTV Group, Inc.* 540 (13,468)
CBS Corp. 550 (17,149)
Dow Jones & Co., Inc. 510 (19,380)
Tribune Co. 630 (19,391)
Interpublic Group of Cos., Inc.* 3,560 (43,574)
Time Warner, Inc. 2,970 (64,687)
------------
TOTAL MEDIA (180,694)
------------
TOTAL CONSUMER DISCRETIONARY (577,559)
------------
CONSUMER STAPLES (2.9)%
TOBACCO (0.1)%
Universal Corp. 540 (26,465)
------------
TOTAL TOBACCO (26,465)
------------
BEVERAGES (0.4)%
PepsiAmericas, Inc. 470 (9,861)
Hansen Natural Corp.* 650 (21,892)
Molson Coors Brewing Co. --
Class B 780 (59,623)
------------
TOTAL BEVERAGES (91,376)
------------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS (0.6)%
Colgate-Palmolive Co. 2,180 $ (142,223)
------------
TOTAL HOUSEHOLD PRODUCTS (142,223)
------------
FOOD & DRUG RETAILING (0.9)%
CVS Corp. 21 (649)
Whole Foods Market, Inc. 330 (15,487)
Supervalu, Inc. 1,670 (59,703)
Sysco Corp. 3,170 (116,529)
------------
TOTAL FOOD & DRUG RETAILING (192,368)
------------
FOOD PRODUCTS (0.9)%
H.J. Heinz Co. 1 (45)
Smithfield Foods, Inc.* 480 (12,317)
Sara Lee Corp. 1,271 (21,645)
Hershey Co. 3,220 (160,356)
------------
TOTAL FOOD PRODUCTS (194,363)
------------
TOTAL CONSUMER STAPLES (646,795)
------------
ENERGY (2.9)%
OIL & GAS (1.1)%
Forest Oil Corp.* 290 (9,477)
Pioneer Natural Resources Co. 360 (14,288)
Sunoco, Inc. 290 (18,084)
EOG Resources, Inc. 420 (26,229)
Newfield Exploration Co.* 1,070 (49,167)
Southwestern Energy Co.* 1,740 (60,987)
El Paso Corp. 4,273 (65,292)
------------
TOTAL OIL & GAS (243,524)
------------
ENERGY EQUIPMENT & SERVICES (1.8)%
Smith International, Inc. 1 (41)
Baker Hughes, Inc. 1 (75)
BJ Services Co. 670 (19,644)
Grant Prideco, Inc.* 630 (25,055)
Superior Energy Services, Inc.* 786 (25,686)
Compagnie Generale de
Geophysique SA, Inc. -- SP ADR* 660 (28,743)
Weatherford International Ltd.* 1,710 (71,461)
FMC Technologies, Inc.* 1,430 (88,131)
Schlumberger Ltd. 2,530 (159,795)
------------
TOTAL ENERGY EQUIPMENT & SERVICES (418,631)
------------
TOTAL ENERGY (662,155)
------------
INDUSTRIALS (3.0)%
AIRLINES 0.0%
JetBlue Airways Corp.* 1 (14)
------------
TOTAL AIRLINES (14)
------------
BUILDING PRODUCTS 0.0%
Masco Corp. 1 (30)
------------
TOTAL BUILDING PRODUCTS (30)
------------
ROAD & RAIL 0.0%
Con-way, Inc. 100 (4,404)
------------
TOTAL ROAD & RAIL (4,404)
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE (0.2)%
Rockwell Collins, Inc. 1 $ (63)
Precision Castparts Corp. 460 (36,009)
------------
TOTAL AEROSPACE & DEFENSE (36,072)
------------
CONSTRUCTION & ENGINEERING (0.2)%
Quanta Services, Inc.* 540 (10,622)
Jacobs Engineering Group, Inc.* 420 (34,247)
------------
TOTAL CONSTRUCTION & ENGINEERING (44,869)
------------
TRADING COMPANIES & DISTRIBUTORS (0.2)%
GATX Corp. 250 (10,833)
Fastenal Co. 1,230 (44,132)
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS (54,965)
------------
MACHINERY (0.3)%
Terex Corp.* 1 (64)
Pentair, Inc. 170 (5,338)
Ingersoll-Rand Co. -- Class A 260 (10,174)
SPX Corp. 210 (12,844)
Joy Global, Inc. 370 (17,886)
Flowserve Corp. 390 (19,683)
------------
TOTAL MACHINERY (65,989)
------------
AIR FREIGHT & COURIERS (0.3)%
CH Robinson Worldwide, Inc. 530 (21,672)
Expeditors International
Washington, Inc. 1,190 (48,195)
------------
TOTAL AIR FREIGHT & COURIERS (69,867)
------------
INDUSTRIAL CONGLOMERATES (0.8)%
General Electric Co. 4,850 (180,468)
------------
TOTAL INDUSTRIAL CONGLOMERATES (180,468)
------------
COMMERCIAL SERVICES & SUPPLIES (1.0)%
ChoicePoint, Inc.* 130 (5,119)
Cintas Corp. 180 (7,148)
Deluxe Corp. 480 (12,096)
Avery Dennison Corp. 270 (18,341)
Monster Worldwide, Inc.* 400 (18,656)
RR Donnelley & Sons Co. 551 (19,582)
Robert Half International, Inc. 540 (20,045)
Pitney Bowes, Inc. 490 (22,633)
Stericycle, Inc.* 400 (30,200)
Corporate Executive Board Co. 350 (30,695)
Dun & Bradstreet Corp.* 430 (35,600)
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (220,115)
------------
TOTAL INDUSTRIALS (676,793)
------------
HEALTH CARE (3.2)%
HEALTH CARE PROVIDERS & SERVICES (0.4)%
Omnicare, Inc. 240 (9,271)
Express Scripts, Inc.* 240 (17,184)
CIGNA Corp. 270 (35,524)
UnitedHealth Group, Inc. 690 (37,074)
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES (99,053)
------------
14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PHARMACEUTICALS (0.7)%
Schering-Plough Corp. 3 $ (71)
Par Pharmaceutical Cos., Inc.* 170 (3,803)
Forest Laboratories, Inc.* 760 (38,456)
Merck & Co., Inc. 1,100 (47,960)
Sepracor, Inc.* 920 (56,653)
-----------
TOTAL PHARMACEUTICALS (146,943)
-----------
HEALTH CARE EQUIPMENT & SUPPLIES (0.9)%
Medtronic, Inc. 1 (54)
Hospira, Inc.* 290 (9,738)
Advanced Medical Optics, Inc.* 400 (14,080)
St. Jude Medical, Inc.* 440 (16,086)
Hillenbrand Industries, Inc. 320 (18,218)
DENTSPLY International, Inc. 730 (21,790)
Intuitive Surgical, Inc.* 240 (23,016)
Ventana Medical Systems, Inc.* 630 (27,109)
Boston Scientific Corp.* 4,322 (74,252)
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (204,343)
-----------
BIOTECHNOLOGY (1.2)%
Medimmune, Inc.* 1 (32)
Affymetrix, Inc.* 240 (5,535)
Martek Biosciences Corp.* 370 (8,636)
PDL BioPharma, Inc.* 1,700 (34,238)
Cephalon, Inc.* 510 (35,909)
Vertex Pharmaceuticals, Inc.* 1,050 (39,291)
Gilead Sciences, Inc.* 1,080 (70,124)
Celgene Corp.* 1,260 (72,488)
-----------
TOTAL BIOTECHNOLOGY (266,253)
-----------
TOTAL HEALTH CARE (716,592)
-----------
INFORMATION TECHNOLOGY (6.0)%
ELECTRONIC EQUIPMENT & INSTRUMENTS (0.2)%
Benchmark Electronics, Inc.* 2,350 (57,246)
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS (57,246)
-----------
OFFICE ELECTRONICS (0.3)%
Zebra Technologies Corp. --
Class A* 180 (6,262)
Xerox Corp.* 3,030 (51,359)
-----------
TOTAL OFFICE ELECTRONICS (57,621)
-----------
IT CONSULTING & SERVICES (0.3)%
Unisys Corp.* 2,770 (21,717)
Gartner, Inc. -- Class A* 1,110 (21,967)
Cognizant Technology Solutions
Corp. -- Class A* 370 (28,549)
-----------
TOTAL IT CONSULTING & SERVICES (72,233)
-----------
COMMUNICATIONS EQUIPMENT (0.8)%
Andrew Corp.* 1 (10)
Powerwave Technologies, Inc.* 530 (3,418)
ADTRAN, Inc. 230 (5,221)
Comverse Technology, Inc.* 380 (8,022)
Utstarcom, Inc.* 1,530 (13,388)
Ciena Corp.* 790 (21,891)
F5 Networks, Inc.* 340 (25,231)
JDS Uniphase Corp.* 1,710 (28,489)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Qualcomm, Inc. 810 $ (30,610)
Alcatel SA -- SP ADR 3,700 (52,614)
-----------
TOTAL COMMUNICATIONS EQUIPMENT (188,894)
-----------
INTERNET SOFTWARE & SERVICES (0.9)%
ValueClick, Inc.* 960 (22,685)
eBay, Inc.* 840 (25,259)
Internap Network Services Corp.* 3,080 (61,199)
Google, Inc. -- Class A* 200 (92,096)
-----------
TOTAL INTERNET SOFTWARE & SERVICES (201,239)
-----------
COMPUTERS & PERIPHERALS (1.1)%
Dell, Inc.* 1,221 (30,635)
Lexmark International, Inc.* 470 (34,404)
Network Appliance, Inc.* 1,410 (55,385)
Brocade Communications Systems,
Inc.* 7,750 (63,627)
Apple Computer, Inc.* 790 (67,024)
-----------
TOTAL COMPUTERS & PERIPHERALS (251,075)
-----------
SOFTWARE (1.2)%
Adobe Systems, Inc.* 1 (41)
Advent Software, Inc.* 220 (7,764)
Activision, Inc.* 1,921 (33,118)
CA, Inc. 2,450 (55,492)
Symantec Corp.* 2,730 (56,920)
Electronic Arts, Inc.* 2,210 (111,296)
-----------
TOTAL SOFTWARE (264,631)
-----------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1.2)%
PMC -- Sierra, Inc.* 1 (7)
Analog Devices, Inc. 1 (33)
Semtech Corp.* 310 (4,052)
Nvidia Corp.* 130 (4,811)
Triquint Semiconductor, Inc.* 2,400 (10,800)
Lattice Semiconductor Corp.* 1,770 (11,469)
Microsemi Corp.* 800 (15,720)
Fairchild Semiconductor
International, Inc.* 1,090 (18,323)
Teradyne, Inc.* 1,460 (21,842)
MEMC Electronic Materials, Inc.* 620 (24,267)
LSI Logic Corp.* 4,715 (42,435)
Cypress Semiconductor Corp.* 2,660 (44,874)
Applied Materials, Inc. 3,790 (69,925)
-----------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT (268,558)
-----------
TOTAL INFORMATION TECHNOLOGY (1,361,497)
-----------
FINANCIALS (7.5)%
CONSUMER FINANCE (0.3)%
SLM Corp. 1,490 (72,667)
-----------
TOTAL CONSUMER FINANCE (72,667)
-----------
DIVERSIFIED FINANCIALS (0.5)%
Moody's Corp. 610 (42,127)
Chicago Mercantile Exchange
Holdings, Inc. 140 (71,365)
-----------
TOTAL DIVERSIFIED FINANCIALS (113,492)
-----------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE (0.8)%
MGIC Investment Corp. 200 $ (12,508)
New York Community Bancorp,
Inc. 4,789 (77,103)
Freddie Mac 1,140 (77,406)
-----------
TOTAL THRIFTS & MORTGAGE FINANCE (167,017)
-----------
BANKS (1.1)%
Westamerica Bancorporation 140 (7,088)
PNC Financial Services Group, Inc. 530 (39,241)
Citizens Banking Corp. 1,880 (49,820)
Huntington Bancshares, Inc. 2,200 (52,250)
National City Corp. 2,778 (101,564)
-----------
TOTAL BANKS (249,963)
-----------
INSURANCE (1.5)%
Brown & Brown, Inc. 1 (28)
Stancorp Financial Group, Inc. 200 (9,010)
Arthur J. Gallagher & Co. 650 (19,208)
AFLAC, Inc. 580 (26,680)
XL Capital Ltd. 570 (41,051)
Everest Re Group Ltd. 440 (43,168)
ACE Ltd. 810 (49,062)
Progressive Corp. 2,891 (70,020)
Marsh & McLennan Cos., Inc. 2,651 (81,280)
-----------
TOTAL INSURANCE (339,507)
-----------
CAPITAL MARKETS (1.6)%
Legg Mason, Inc. 210 (19,961)
Federated Investors, Inc. --
Class B 631 (21,315)
Janus Capital Group, Inc. 1,080 (23,317)
Waddell & Reed Financial, Inc. --
Class A 1,050 (28,728)
SEI Investments Co. 540 (32,162)
Nuveen Investments, Inc. --
Class A 720 (37,354)
Eaton Vance Corp. 1,190 (39,282)
Mellon Financial Corp. 1,400 (59,010)
Charles Schwab Corp. 4,930 (95,346)
-----------
TOTAL CAPITAL MARKETS (356,475)
-----------
REAL ESTATE (1.7)%
Potlatch Corp. 170 (7,449)
Highwoods Properties, Inc. 210 (8,560)
Plum Creek Timber Co., Inc. (REIT) 260 (10,361)
SL Green Realty Corp. 130 (17,261)
United Dominion Realty Trust, Inc. 920 (29,247)
Weingarten Realty Investors 850 (39,193)
Vornado Realty Trust 330 (40,095)
Boston Properties, Inc. 390 (43,633)
Regency Centers Corp. 580 (45,339)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Lexington Corporate Properties
Trust 2,680 $ (60,086)
Simon Property Group, Inc. 840 (85,084)
-----------
TOTAL REAL ESTATE (386,308)
-----------
TOTAL FINANCIALS (1,685,429)
-----------
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $6,616,659) (7,011,510)
-----------
TOTAL INVESTMENTS 67.9%
(Cost $15,343,470) $15,315,953
===========
OTHER ASSETS IN EXCESS
OF LIABILITIES - 32.1% $ 7,241,360
===========
NET ASSETS - 100.0% $22,557,313
- --------------------------------------------------------------------------------
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P MidCap 400
Index Mini Futures Contracts
(Aggregate Market Value
of Contracts $1,943,040) 24 $ (41,077)
March 2007 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $1,903,200) 24 (16,686)
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $3,994,900) 56 (6,829)
-----------
(TOTAL AGGREGATE MARKET VALUE OF
CONTRACTS $7,841,140) $ (64,592)
===========
FUTURES CONTRACTS SOLD SHORT
March 2007 U.S. Dollar Index
Futures Contracts
(Aggregate Market Value of
Contracts $1,835,460) 22 $ (15,228)
===========
UNREALIZED
NOTIONAL GAIN
AMOUNT (NOTE 1)
-------- -----------
CREDIT DEFAULT SWAP AGREEMENT
Dow Jones CDX North American
Investment Grade Swap
Agreement, Series 7
Interest Rate 0.40%
Terminating 12/20/11 7,000,000 $ 1,234
===========
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL
AT DECEMBER 31, 2006.
* NON-INCOME PRODUCING SECURITY.
ADR--AMERICAN DEPOSITORY RECEIPT.
REIT--REAL ESTATE INVESTMENT TRUST
16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS 53.3%
FINANCIALS 10.9%
INSURANCE 3.1%
MetLife, Inc.+ 1,390 $ 82,024
Hartford Financial Services Group,
Inc. 700 65,317
Chubb Corp. 1,090 57,672
UnumProvident Corp. 2,040 42,391
Cincinnati Financial Corp. 740 33,529
SAFECO Corp. 510 31,900
Old Republic International Corp. 1,210 28,169
Fidelity National Financial, Inc. --
Class A 1,040 24,835
American Financial Group, Inc. 520 18,673
Ohio Casualty Corp. 560 16,694
Genworth Financial, Inc. -- Class A 372 12,726
First American Corp. 151 6,143
MBIA, Inc. 1 73
Protective Life Corp. 1 48
Horace Mann Educators Corp. 1 20
------------
TOTAL INSURANCE 420,214
------------
DIVERSIFIED FINANCIALS 2.2%
J.P. Morgan Chase & Co.+ 3,260 157,458
CIT Group, Inc.+ 1,470 81,982
Leucadia National Corp. 1,080 30,456
Chicago Mercantile Exchange
Holdings, Inc. 50 25,488
------------
TOTAL DIVERSIFIED FINANCIALS 295,384
------------
REAL ESTATE 2.1%
Equity Office Properties Trust 930 44,798
KIMCO Realty Corp. 790 35,510
CB Richard Ellis Group, Inc. --
Class A* 970 32,204
Liberty Property Trust 540 26,536
Brookfield Asset Management,
Inc. -- Class A 470 22,645
Apartment Investment &
Management Co. -- Class A 390 21,848
Brookfield Properties Corp. 430 16,912
Forest City Enterprises, Inc. --
Class A 230 13,432
The St. Joe Co. 190 10,178
Jones Lang LaSalle, Inc. 90 8,295
ProLogis 100 6,077
Public Storage, Inc. 60 5,850
General Growth Properties, Inc. 110 5,745
Host Hotels & Resorts, Inc. 230 5,646
Equity Residential 110 5,582
Archstone-Smith Trust 90 5,239
AvalonBay Communities, Inc. 40 5,202
Developers Diversified Realty Corp. 70 4,407
Macerich Co. 50 4,329
------------
TOTAL REAL ESTATE 280,435
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CAPITAL MARKETS 1.5%
Goldman Sachs Group, Inc. 420 $ 83,727
Lehman Brothers Holdings, Inc. 1,020 79,682
A.G. Edwards, Inc. 320 20,253
Raymond James Financial, Inc. 580 17,580
Franklin Resources, Inc. 1 110
E*Trade Financial Corp.* 3 67
Ameriprise Financial, Inc. 1 55
T. Rowe Price Group, Inc. 1 44
Jefferies Group, Inc. 1 27
------------
TOTAL CAPITAL MARKETS 201,545
------------
THRIFTS & MORTGAGE FINANCE 1.4%
Washington Mutual, Inc. 1,741 79,198
Sovereign Bancorp, Inc. 1,670 42,401
Radian Group, Inc. 470 25,338
IndyMac Bancorp, Inc. 500 22,580
First Niagara Financial Group, Inc. 1,050 15,603
PMI Group, Inc. 1 47
------------
TOTAL THRIFTS & MORTGAGE FINANCE 185,167
------------
CONSUMER FINANCE 0.4%
AmeriCredit Corp.* 1,630 41,027
Capital One Financial Corp. 211 16,209
------------
TOTAL CONSUMER FINANCE 57,236
------------
BANKS 0.2%
SVB Financial Group* 340 15,851
FirstMerit Corp. 200 4,828
------------
TOTAL BANKS 20,679
------------
TOTAL FINANCIALS 1,460,660
------------
CONSUMER DISCRETIONARY 7.3%
MEDIA 1.2%
Walt Disney Co. 1,720 58,944
Comcast Corp. -- Class A* 1,020 43,177
Gannett Co., Inc. 590 35,671
DIRECTV Group, Inc.* 640 15,962
Media General, Inc. 240 8,921
Westwood One, Inc. 420 2,965
Belo Corp. -- Class A 1 18
------------
TOTAL MEDIA 165,658
------------
MULTILINE RETAIL 1.2%
Federated Department Stores,
Inc.+ 2,081 79,349
J.C. Penney Holding Co., Inc. 630 48,737
Kohl's Corp.* 311 21,282
Dillard's, Inc. -- Class A 231 8,078
Big Lots, Inc.* 321 7,357
Target Corp. 2 114
Nordstrom, Inc. 1 49
------------
TOTAL MULTILINE RETAIL 164,966
------------
SPECIALTY RETAIL 1.1%
The Gap, Inc. 1,880 36,660
GameStop Corp. -- Class A* 450 24,800
Regis Corp. 560 22,142
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AutoNation, Inc.* 960 $ 20,467
American Eagle Outfitters, Inc. 391 12,203
AnnTaylor Stores Corp.* 350 11,494
CarMax, Inc.* 140 7,508
Rent-A-Center, Inc.* 230 6,787
Payless Shoesource, Inc.* 1 33
Aeropostale, Inc.* 1 31
Pacific Sunwear of California, Inc.* 1 20
Circuit City Stores, Inc. 1 19
------------
TOTAL SPECIALTY RETAIL 142,164
------------
HOUSEHOLD DURABLES 0.8%
Lennar Corp. -- Class A 620 32,525
Whirlpool Corp. 300 24,906
Toll Brothers, Inc.* 510 16,437
American Greetings Corp. --
Class A 490 11,696
Furniture Brands International, Inc. 560 9,089
Pulte Homes, Inc. 131 4,339
KB HOME 60 3,077
Ryland Group, Inc. 40 2,185
Mohawk Industries, Inc.* 1 75
------------
TOTAL HOUSEHOLD DURABLES 104,329
------------
AUTO COMPONENTS 0.7%
Johnson Controls, Inc. 810 69,595
Goodyear Tire & Rubber Co.* 670 14,063
Modine Manufacturing Co. 360 9,011
------------
TOTAL AUTO COMPONENTS 92,669
------------
LEISURE EQUIPMENT & PRODUCTS 0.7%
Brunswick Corp. 790 25,201
Eastman Kodak Co. 510 13,158
Callaway Golf Co. 850 12,248
Hasbro, Inc. 390 10,627
Pool Corp. 180 7,051
Polaris Industries, Inc. 150 7,025
Marvel Entertainment, Inc.* 250 6,728
RC2 Corp.* 110 4,840
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 86,878
------------
TEXTILES & APPAREL 0.6%
Hanesbrands, Inc.* 640 15,117
Nike, Inc. -- Class B 130 12,874
VF Corp. 90 7,387
Polo Ralph Lauren Corp. 90 6,989
Liz Claiborne, Inc. 120 5,215
Jones Apparel Group, Inc. 140 4,680
Phillips-Van Heusen Corp. 80 4,014
Gildan Activewear, Inc.* 80 3,730
Under Armour, Inc.* 70 3,532
Timberland Co. -- Class A* 110 3,474
Quiksilver, Inc.* 220 3,465
Columbia Sportswear Co. 60 3,342
Fossil, Inc.* 140 3,161
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Wolverine World Wide, Inc. 110 $ 3,137
Carter's, Inc.* 100 2,550
------------
TOTAL TEXTILES & APPAREL 82,667
------------
INTERNET & CATALOG RETAIL 0.5%
IAC/InterActiveCorp* 480 17,837
Expedia, Inc.* 690 14,476
Coldwater Creek, Inc.* 450 11,034
Nutri/System, Inc.* 110 6,973
Priceline.com, Inc.* 150 6,541
VistaPrint Ltd.* 160 5,298
Netflix, Inc.* 200 5,172
------------
TOTAL INTERNET & CATALOG RETAIL 67,331
------------
HOTELS, RESTAURANTS & LEISURE 0.4%
McDonald's Corp. 210 9,309
Carnival Corp. 160 7,848
Las Vegas Sands Corp.* 70 6,264
MGM Mirage, Inc.* 90 5,162
Yum! Brands, Inc. 80 4,704
Hilton Hotels Corp. 130 4,537
Starwood Hotels & Resorts
Worldwide, Inc. 70 4,375
Wynn Resorts Ltd. 40 3,754
Royal Caribbean Cruises Ltd. 90 3,724
Wyndham Worldwide Corp.* 100 3,202
Tim Hortons, Inc. 100 2,896
Darden Restaurants, Inc. 1 40
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 55,815
------------
COMMERCIAL SERVICES & SUPPLIES 0.1%
Career Education Corp.* 240 5,947
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 5,947
------------
AUTOMOBILES 0.0%
Ford Motor Co. 222 1,667
------------
TOTAL AUTOMOBILES 1,667
------------
TOTAL CONSUMER DISCRETIONARY 970,091
------------
INDUSTRIALS 6.6%
AEROSPACE & DEFENSE 1.7%
Boeing Co.+ 930 82,621
Northrop Grumman Corp. 830 56,191
Raytheon Co. 910 48,048
Lockheed Martin Corp. 471 43,365
------------
TOTAL AEROSPACE & DEFENSE 230,225
------------
MACHINERY 1.2%
Timken Co. 1,250 36,475
Cummins, Inc. 240 28,363
Paccar, Inc. 430 27,907
Lincoln Electric Holdings, Inc. 450 27,189
Crane Co. 431 15,792
AGCO Corp.* 371 11,479
Trinity Industries, Inc. 320 11,264
Flowserve Corp. 1 50
------------
TOTAL MACHINERY 158,519
------------
18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
AIRLINES 0.9%
Southwest Airlines Co. 1,912 $ 29,292
Alaska Air Group, Inc.* 480 18,960
Ryanair Holdings PLC -- SP ADR* 160 13,040
British Airways PLC -- SP ADR* 120 12,392
AMR Corp.* 330 9,976
UAL Corp.* 200 8,800
US Airways Group, Inc.* 150 8,077
Continental Airlines, Inc. --
Class B* 190 7,838
JetBlue Airways Corp.* 410 5,822
Gol Linhas Aereas Inteligentes
SA -- SP ADR 160 4,587
SkyWest, Inc. 160 4,082
-----------
TOTAL AIRLINES 122,866
-----------
INDUSTRIAL CONGLOMERATES 0.9%
Tyco International Ltd. 2,970 90,288
Sequa Corp. -- Class A* 180 20,711
-----------
TOTAL INDUSTRIAL CONGLOMERATES 110,999
-----------
ROAD & RAIL 0.7%
Norfolk Southern Corp. 1,010 50,793
CSX Corp. 800 27,544
YRC Worldwide, Inc.* 280 10,564
Ryder System, Inc. 1 51
-----------
TOTAL ROAD & RAIL 88,952
-----------
ELECTRICAL EQUIPMENT 0.7%
ABB Ltd. -- SP ADR 1,050 18,879
Emerson Electric Co. 310 13,662
American Power Conversion Corp. 250 7,647
Rockwell Automation, Inc. 120 7,329
Cooper Industries Ltd. -- Class A 80 7,234
Roper Industries, Inc.* 100 5,024
AMETEK, Inc. 140 4,458
Acuity Brands, Inc. 80 4,163
Hubbell, Inc. -- Class B 90 4,069
Thomas & Betts Corp.* 80 3,782
General Cable Corp.* 80 3,497
Regal-Beloit Corp. 60 3,151
Energy Conversion Devices, Inc.* 70 2,379
A.O. Smith Corp. 60 2,254
-----------
TOTAL ELECTRICAL EQUIPMENT 87,528
-----------
COMMERCIAL SERVICES & SUPPLIES 0.3%
Manpower, Inc. 230 17,234
Allied Waste Industries, Inc.* 1,190 14,625
Banta Corp. 300 10,920
Robert Half International, Inc. 1 37
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 42,816
-----------
TRADING COMPANIES & DISTRIBUTORS 0.1%
United Rentals, Inc.* 660 16,784
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 16,784
-----------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING 0.1%
Granite Construction, Inc. 311 $ 15,650
-----------
TOTAL CONSTRUCTION & ENGINEERING 15,650
-----------
TOTAL INDUSTRIALS 874,339
-----------
INFORMATION TECHNOLOGY 5.3%
COMMUNICATIONS EQUIPMENT 1.2%
Motorola, Inc. 3,290 67,643
Corning, Inc.* 2,820 52,762
Polycom, Inc.* 530 16,382
CommScope, Inc.* 440 13,411
Plantronics, Inc. 270 5,724
ADC Telecommunications, Inc.* 240 3,487
-----------
TOTAL COMMUNICATIONS EQUIPMENT 159,409
-----------
IT CONSULTING & SERVICES 1.1%
Computer Sciences Corp.* 680 36,292
Affiliated Computer Services, Inc.
-- Class A* 600 29,304
First Data Corp. 1,000 25,520
Alliance Data Systems Corp.* 370 23,114
Ceridian Corp.* 630 17,627
BISYS Group, Inc.* 1,170 15,105
MPS Group, Inc.* 1 14
-----------
TOTAL IT CONSULTING & SERVICES 146,976
-----------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.8%
Micron Technology, Inc.* 2,280 31,829
Nvidia Corp.* 702 25,981
LSI Logic Corp.* 2,010 18,090
Intersil Corp. -- Class A 700 16,744
Atmel Corp.* 2,532 15,318
Cree, Inc.* 421 7,292
Integrated Device Technology,
Inc.* 2 31
-----------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT 115,285
-----------
SOFTWARE 0.8%
BMC Software, Inc.* 810 26,082
Novell, Inc.* 3,630 22,506
Compuware Corp.* 2,470 20,575
Mentor Graphics Corp.* 690 12,441
Macrovision Corp.* 430 12,152
Wind River Systems, Inc.* 860 8,815
Microsoft Corp. 1 30
Oracle Corp.* 1 17
-----------
TOTAL SOFTWARE 102,618
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7%
Amphenol Corp. -- Class A 390 24,211
Arrow Electronics, Inc.* 750 23,663
Vishay Intertechnology, Inc.* 1,410 19,091
Sanmina-SCI Corp.* 3,640 12,558
Newport Corp.* 470 9,847
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 89,370
-----------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 0.6%
Sun Microsystems, Inc.* 7,332 $ 39,739
Palm, Inc.* 1,880 26,489
McData Corp. -- Class A* 1,750 9,713
EMC Corp.* 1 13
-----------
TOTAL COMPUTERS & PERIPHERALS 75,954
-----------
INTERNET SOFTWARE & SERVICES 0.1%
Yahoo!, Inc.* 630 16,090
-----------
TOTAL INTERNET SOFTWARE & SERVICES 16,090
-----------
TOTAL INFORMATION TECHNOLOGY 705,702
-----------
HEALTH CARE 5.0%
HEALTH CARE PROVIDERS & SERVICES 3.4%
McKesson Corp.+ 1,861 94,353
WellPoint, Inc.* 1,120 88,133
Aetna, Inc. 1,380 59,588
Community Health Systems, Inc.* 1,231 44,956
AmerisourceBergen Corp. 850 38,216
Health Net, Inc.* 570 27,736
Triad Hospitals, Inc.* 600 25,098
LifePoint Hospitals, Inc.* 550 18,535
Covance, Inc.* 270 15,906
Coventry Health Care, Inc.* 310 15,516
Express Scripts, Inc.* 200 14,320
Psychiatric Solutions, Inc.* 310 11,631
Humana, Inc.* 1 55
Health Management Associates,
Inc. -- Class A 2 42
Apria Healthcare Group, Inc.* 1 27
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 454,112
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.8%
Stryker Corp. 990 54,559
Thermo Electron Corp. 460 20,833
Waters Corp.* 370 18,119
Bausch & Lomb, Inc. 170 8,850
Becton, Dickinson & Co. 1 70
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 102,431
-----------
PHARMACEUTICALS 0.4%
King Pharmaceuticals, Inc.* 1,480 23,562
Watson Pharmaceuticals, Inc.* 800 20,824
Valeant Pharmaceuticals
International 850 14,654
Merck & Co., Inc. 4 174
Perrigo Co. 1 17
-----------
TOTAL PHARMACEUTICALS 59,231
-----------
BIOTECHNOLOGY 0.4%
Biogen Idec, Inc.* 1,010 49,682
Applera Corp. -- Applied
Biosystems Group 1 37
-----------
TOTAL BIOTECHNOLOGY 49,719
-----------
TOTAL HEALTH CARE 665,493
-----------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES 4.9%
FOOD & DRUG RETAILING 1.4%
Kroger Co. 3,350 $ 77,284
CVS Corp. 2,260 69,857
Walgreen Co. 570 26,157
Ruddick Corp. 540 14,985
Wal-Mart Stores, Inc. 4 185
-----------
TOTAL FOOD & DRUG RETAILING 188,468
-----------
TOBACCO 1.2%
Reynolds American, Inc. 1,810 118,501
UST, Inc. 680 39,576
-----------
TOTAL TOBACCO 158,077
-----------
BEVERAGES 1.1%
Coca-Cola Enterprises, Inc. 3,080 62,894
Pepsi Bottling Group, Inc. 1,720 53,165
Constellation Brands, Inc. --
Class A* 1,240 35,985
-----------
TOTAL BEVERAGES 152,044
-----------
FOOD PRODUCTS 1.1%
Archer-Daniels-Midland Co.+ 1,941 62,034
Smithfield Foods, Inc.* 1,340 34,385
Tyson Foods, Inc. -- Class A 1,460 24,017
Tootsie Roll Industries, Inc. 560 18,312
-----------
TOTAL FOOD PRODUCTS 138,748
-----------
PERSONAL PRODUCTS 0.1%
Alberto-Culver Co. -- SP ADR 630 13,513
-----------
TOTAL PERSONAL PRODUCTS 13,513
-----------
TOTAL CONSUMER STAPLES 650,850
-----------
ENERGY 4.6%
OIL & GAS 3.1%
ConocoPhillips+ 1,560 112,242
Valero Energy Corp. 1,150 58,834
Peabody Energy Corp. 1,370 55,362
Marathon Oil Corp. 590 54,575
Anadarko Petroleum Corp. 1,180 51,353
Apache Corp. 760 50,548
Pogo Producing Co. 380 18,407
Overseas Shipholding Group, Inc. 280 15,764
-----------
TOTAL OIL & GAS 417,085
-----------
ENERGY EQUIPMENT & SERVICES 1.5%
Transocean, Inc.* 992 80,243
Patterson-UTI Energy, Inc. 1,440 33,451
Rowan Cos., Inc. 960 31,872
Cameron International Corp.* 431 22,864
Nabors Industries Ltd.* 611 18,196
Hanover Compressor Co.* 710 13,412
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 200,038
-----------
TOTAL ENERGY 617,123
-----------
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES 3.5%
DIVERSIFIED TELECOMMUNICATION SERVICES 2.1%
Verizon Communications, Inc.+ 3,341 $ 124,419
BellSouth Corp. 2,021 95,209
Windstream Corp. 2,240 31,853
CenturyTel, Inc. 620 27,069
Qwest Communications
International, Inc.* 9 75
Embarq Corp. 1 53
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 278,678
-----------
WIRELESS TELECOMMUNICATION SERVICES 1.4%
Alltel Corp. 1,050 63,504
Sprint Nextel Corp. 2,650 50,058
China Mobile Hong Kong Ltd. --
SP ADR 320 13,830
Vodafone Group, Inc. -- SP ADR 450 12,501
America Movil SA de CV -- SP
ADR 200 9,044
Mobile Telesystems -- SP ADR 100 5,019
SK Telecom Co., Ltd. -- SP ADR 160 4,237
Rogers Communications, Inc. --
Class B* 70 4,172
Vimpel -- Communications -- SP
ADR* 50 3,948
American Tower Corp. -- Class A* 100 3,728
NII Holdings, Inc. -- Class B* 50 3,222
Turkcell Iletisim Hizmet AS, Inc. --
SP ADR 240 3,211
Philippine Long Distance Telephone
Co. -- SP ADR 60 3,068
U.S. Cellular Corp.* 40 2,784
Crown Castle International Corp.* 70 2,261
Telephone & Data Systems, Inc. 1 54
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 184,641
-----------
TOTAL TELECOMMUNICATION SERVICES 463,319
-----------
MATERIALS 2.7%
METALS & MINING 1.2%
Allegheny Technologies, Inc. 580 52,594
Reliance Steel & Aluminum Co. 440 17,327
Worthington Industries, Inc. 780 13,822
Steel Dynamics, Inc. 370 12,006
BHP Billiton Ltd. -- SP ADR 260 10,335
Rio Tinto PLC -- SP ADR 40 8,500
Companhia Vale do Rio Doce --
SP ADR 280 8,327
POSCO -- SP ADR 70 5,787
Mittal Steel Co.N.V. -- Class A 130 5,483
Anglo American PLC -- ADR 190 4,638
Alcoa, Inc. 150 4,502
Nucor Corp. 80 4,373
Alcan, Inc. 80 3,899
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Barrick Gold Corp. 120 $ 3,684
AngloGold Ashanti Ltd. -- SP ADR 70 3,296
Freeport-McMoRan Copper &
Gold, Inc. -- Class B 50 2,787
Phelps Dodge Corp. 20 2,394
United States Steel Corp. 1 73
Commercial Metals Co. 1 26
-----------
TOTAL METALS & MINING 163,853
-----------
CHEMICALS 0.9%
Lyondell Chemical Co. 1,190 30,428
Ashland, Inc. 370 25,597
Olin Corp. 1,460 24,119
Eastman Chemical Co. 380 22,538
Airgas, Inc. 450 18,234
-----------
TOTAL CHEMICALS 120,916
-----------
CONSTRUCTION MATERIALS 0.5%
Cemex SA de CV -- SP ADR* 610 20,667
Rinker Group Ltd. -- SP ADR 170 12,079
Vulcan Materials Co. 130 11,683
Martin Marietta Materials, Inc. 80 8,313
Eagle Materials, Inc. 130 5,620
Texas Industries, Inc. 80 5,138
Headwaters, Inc.* 170 4,073
Florida Rock Industries, Inc. 20 861
-----------
TOTAL CONSTRUCTION MATERIALS 68,434
-----------
PAPER & FOREST PRODUCTS 0.1%
Louisiana-Pacific Corp. 590 12,703
-----------
TOTAL PAPER & FOREST PRODUCTS 12,703
-----------
TOTAL MATERIALS 365,906
-----------
UTILITIES 2.5%
ELECTRIC UTILITIES 1.5%
Edison International 740 33,655
Progress Energy, Inc. 560 27,485
Pepco Holdings, Inc. 990 25,750
TXU Corp. 470 25,479
Pinnacle West Capital Corp. 300 15,207
Great Plains Energy, Inc. 340 10,812
E.ON AG -- SP ADR 220 9,942
Endesa SA -- SP ADR 160 7,443
Korea Electric Power Corp. --
SP ADR* 250 5,678
Southern Co. 150 5,529
FPL Group, Inc. 90 4,898
FirstEnergy Corp. 80 4,824
Scottish Power, Inc. -- SP ADR 80 4,674
Entergy Corp. 50 4,616
American Electric Power Co., Inc. 100 4,258
PPL Corp. 110 3,942
Enersis SA/Chile -- SP ADR 220 3,520
Westar Energy, Inc. 1 26
-----------
TOTAL ELECTRIC UTILITIES 197,738
-----------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MULTI-UTILITIES 0.8%
AES Corp.* 1,861 $ 41,016
Energy East Corp. 880 21,824
DTE Energy Co. 410 19,848
MDU Resources Group, Inc. 420 10,769
OGE Energy Corp.* 260 10,400
TECO Energy, Inc. 100 1,723
Alliant Energy Corp. 1 38
------------
TOTAL MULTI-UTILITIES 105,618
------------
GAS UTILITIES 0.2%
Questar Corp. 160 13,288
Oneok, Inc. 280 12,073
------------
TOTAL GAS UTILITIES 25,361
------------
TOTAL UTILITIES 328,717
------------
TOTAL COMMON STOCKS
(Cost $6,804,924) 7,102,200
------------
FACE
AMOUNT
------
REPURCHASE AGREEMENTS 46.5%
Repurchase Agreement (Note 6)
4.90% due 01/02/07+ $1,934,361 1,934,361
4.80% due 01/02/07 1,121,520 1,121,520
4.79% due 01/02/07 1,121,520 1,121,520
4.65% due 01/02/07 1,121,520 1,121,520
4.60% due 01/02/07 908,430 908,430
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,207,351) 6,207,351
------------
TOTAL LONG SECURITIES 99.8%
(Cost $13,012,275) 13,309,551
------------
SHARES
------
COMMON STOCKS SOLD SHORT (46.6)%
TELECOMMUNICATION SERVICES (0.1)%
DIVERSIFIED TELECOMMUNICATION SERVICES (0.1)%
Embarq Corp. 250 (13,140)
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES (13,140)
------------
TOTAL TELECOMMUNICATION SERVICES (13,140)
------------
MATERIALS (1.7)%
CONTAINERS & PACKAGING (0.1)%
Pactiv Corp.* 300 (10,707)
------------
TOTAL CONTAINERS & PACKAGING (10,707)
------------
METALS & MINING (0.1)%
Newmont Mining Corp. 270 (12,190)
------------
TOTAL METALS & MINING (12,190)
------------
PAPER & FOREST PRODUCTS (0.6)%
Bowater, Inc. 190 (4,275)
MeadWestvaco Corp. 890 (26,753)
Weyerhaeuser Co. 650 (45,923)
------------
TOTAL PAPER & FOREST PRODUCTS (76,951)
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CHEMICALS (0.9)%
Albemarle Corp. 130 $ (9,334)
Ferro Corp. 540 (11,173)
Hercules, Inc.* 930 (17,958)
Dow Chemical Co. 570 (22,766)
Chemtura Corp. 2,460 (23,690)
Ecolab, Inc. 890 (40,228)
------------
TOTAL CHEMICALS (125,149)
------------
TOTAL MATERIALS (224,997)
------------
UTILITIES (2.0)%
WATER UTILITIES (0.2)%
Aqua America, Inc. 950 (21,641)
------------
TOTAL WATER UTILITIES (21,641)
------------
GAS UTILITIES (0.3)%
Equitable Resources, Inc. 860 (35,905)
------------
TOTAL GAS UTILITIES (35,905)
------------
MULTI-UTILITIES (0.7)%
WPS Resources Corp. 120 (6,483)
Ameren Corp. 260 (13,970)
Dynegy, Inc. -- Class A* 2,130 (15,421)
Public Service Enterprise Group,
Inc. 250 (16,595)
CenterPoint Energy, Inc. 1,120 (18,570)
KeySpan Corp. 520 (21,414)
------------
TOTAL MULTI-UTILITIES (92,453)
------------
ELECTRIC UTILITIES (0.8)%
Allegheny Energy, Inc.* 80 (3,673)
Black Hills Corp. 120 (4,433)
Northeast Utilities 170 (4,787)
Exelon Corp. 1,560 (96,548)
------------
TOTAL ELECTRIC UTILITIES (109,441)
------------
TOTAL UTILITIES (259,440)
------------
ENERGY (4.7)%
OIL & GAS (2.3)%
Forest Oil Corp.* 480 (15,686)
Pioneer Natural Resources Co. 600 (23,814)
Sunoco, Inc. 480 (29,933)
EOG Resources, Inc. 680 (42,466)
Southwestern Energy Co.* 1,410 (49,420)
Newfield Exploration Co.* 1,390 (63,871)
El Paso Corp. 5,570 (85,110)
------------
TOTAL OIL & GAS (310,300)
------------
ENERGY EQUIPMENT & SERVICES (2.4)%
Grant Prideco, Inc.* 150 (5,965)
BJ Services Co. 1,090 (31,959)
Schlumberger Ltd. 1,380 (87,161)
FMC Technologies, Inc.* 1,490 (91,829)
Weatherford International Ltd.* 2,250 (94,027)
------------
TOTAL ENERGY EQUIPMENT & SERVICES (310,941)
------------
TOTAL ENERGY (621,241)
------------
22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER STAPLES (4.9)%
TOBACCO (0.2)%
Universal Corp. 700 $ (34,307)
------------
TOTAL TOBACCO (34,307)
------------
BEVERAGES (0.8)%
Hansen Natural Corp.* 270 (9,094)
PepsiAmericas, Inc. 780 (16,364)
Molson Coors Brewing Co. --
Class B 1,020 (77,969)
------------
TOTAL BEVERAGES (103,427)
------------
HOUSEHOLD PRODUCTS (0.9)%
Colgate-Palmolive Co. 1,770 (115,475)
------------
TOTAL HOUSEHOLD PRODUCTS (115,475)
------------
FOOD & DRUG RETAILING (1.5)%
Whole Foods Market, Inc. 540 (25,342)
Supervalu, Inc. 2,200 (78,650)
Sysco Corp. 2,580 (94,841)
------------
TOTAL FOOD & DRUG RETAILING (198,833)
------------
FOOD PRODUCTS (1.5)%
Sara Lee Corp. 2,080 (35,422)
Hershey Co. 3,420 (170,316)
------------
TOTAL FOOD PRODUCTS (205,738)
------------
TOTAL CONSUMER STAPLES (657,780)
------------
CONSUMER DISCRETIONARY (5.0)%
LEISURE EQUIPMENT & PRODUCTS (0.1)%
Mattel, Inc. 530 (12,010)
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS (12,010)
------------
MULTILINE RETAIL (0.1)%
Saks, Inc. 860 (15,325)
------------
TOTAL MULTILINE RETAIL (15,325)
------------
AUTOMOBILES (0.1)%
General Motors Corp. 640 (19,661)
------------
TOTAL AUTOMOBILES (19,661)
------------
TEXTILES & APPAREL (0.2)%
Coach, Inc.* 600 (25,776)
------------
TOTAL TEXTILES & APPAREL (25,776)
------------
AUTO COMPONENTS (0.3)%
Bandag, Inc. 170 (8,573)
ArvinMeritor, Inc. 580 (10,573)
Lear Corp. 470 (13,879)
------------
TOTAL AUTO COMPONENTS (33,025)
------------
SPECIALTY RETAIL (0.3)%
Dick's Sporting Goods, Inc.* 150 (7,348)
OfficeMax, Inc. 170 (8,440)
Pier 1 Imports, Inc. 1,910 (11,365)
Chico's FAS, Inc.* 550 (11,380)
------------
TOTAL SPECIALTY RETAIL (38,533)
------------
INTERNET & CATALOG RETAIL (0.3)%
Amazon.com, Inc.* 1,080 (42,617)
------------
TOTAL INTERNET & CATALOG RETAIL (42,617)
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES (0.4)%
Sotheby's Holdings, Inc. -- Class A 190 $ (5,894)
Strayer Education, Inc. 110 (11,665)
ITT Educational Services, Inc.* 230 (15,265)
Apollo Group, Inc. -- Class A* 400 (15,588)
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (48,412)
------------
HOUSEHOLD DURABLES (0.4)%
Beazer Homes USA, Inc. 170 (7,992)
Hovnanian Enterprises, Inc. --
Class A* 260 (8,814)
Blyth, Inc. 460 (9,545)
Centex Corp. 280 (15,756)
D.R. Horton, Inc. 650 (17,218)
------------
TOTAL HOUSEHOLD DURABLES (59,325)
------------
HOTELS, RESTAURANTS & LEISURE (1.1)%
Wendy's International, Inc. 350 (11,582)
International Game Technology, Inc. 660 (30,492)
Harrah's Entertainment, Inc. 380 (31,434)
Marriott International, Inc. --
Class A 720 (34,358)
Starbucks Corp.* 1,120 (39,670)
------------
TOTAL HOTELS, RESTAURANTS & LEISURE (147,536)
------------
MEDIA (1.7)%
Valassis Communications, Inc.* 340 (4,930)
Dow Jones & Co., Inc. 420 (15,960)
Reader's Digest Association, Inc. 1,400 (23,380)
Tribune Co. 830 (25,547)
CBS Corp. 900 (28,062)
Interpublic Group of Cos., Inc.* 3,580 (43,819)
Time Warner, Inc. 3,870 (84,289)
------------
TOTAL MEDIA (225,987)
------------
TOTAL CONSUMER DISCRETIONARY (668,207)
------------
HEALTH CARE (5.1)%
HEALTH CARE PROVIDERS & SERVICES (0.9)%
Omnicare, Inc. 400 (15,452)
CIGNA Corp. 350 (46,049)
UnitedHealth Group, Inc. 1,130 (60,715)
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES (122,216)
------------
PHARMACEUTICALS (1.1)%
Par Pharmaceutical Cos., Inc.* 280 (6,263)
Sepracor, Inc.* 750 (46,185)
Merck & Co., Inc. 1,060 (46,216)
Forest Laboratories, Inc.* 990 (50,094)
------------
TOTAL PHARMACEUTICALS (148,758)
------------
BIOTECHNOLOGY (1.2)%
Affymetrix, Inc.* 390 (8,994)
Martek Biosciences Corp.* 480 (11,203)
Cephalon, Inc.* 290 (20,419)
Vertex Pharmaceuticals, Inc.* 600 (22,452)
PDL BioPharma, Inc.* 1,380 (27,793)
Gilead Sciences, Inc.* 490 (31,816)
Celgene Corp.* 710 (40,846)
------------
TOTAL BIOTECHNOLOGY (163,523)
------------
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23
SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES (1.9)%
Intuitive Surgical, Inc.* 110 $ (10,549)
Hospira, Inc.* 480 (16,118)
Advanced Medical Optics, Inc.* 520 (18,304)
Ventana Medical Systems, Inc.* 510 (21,945)
Hillenbrand Industries, Inc. 420 (23,911)
St. Jude Medical, Inc.* 710 (25,958)
DENTSPLY International, Inc. 950 (28,358)
Boston Scientific Corp.* 6,080 (104,454)
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (249,597)
------------
TOTAL HEALTH CARE (684,094)
------------
INDUSTRIALS (5.3)%
AIRLINES 0.0%
AirTran Holdings, Inc.* 120 (1,409)
------------
TOTAL AIRLINES (1,409)
------------
BUILDING PRODUCTS (0.1)%
Masco Corp. 250 (7,467)
------------
TOTAL BUILDING PRODUCTS (7,467)
------------
ROAD & RAIL (0.1)%
Avis Budget Group, Inc. 141 (3,056)
Con-way, Inc. 160 (7,047)
------------
TOTAL ROAD & RAIL (10,103)
------------
AEROSPACE & DEFENSE (0.1)%
Precision Castparts Corp. 230 (18,004)
------------
TOTAL AEROSPACE & DEFENSE (18,004)
------------
CONSTRUCTION & ENGINEERING (0.3)%
Quanta Services, Inc.* 700 (13,769)
Jacobs Engineering Group, Inc.* 340 (27,724)
------------
TOTAL CONSTRUCTION & ENGINEERING (41,493)
------------
AIR FREIGHT & COURIERS (0.4)%
CH Robinson Worldwide, Inc. 170 (6,951)
Expeditors International
Washington, Inc. 970 (39,285)
------------
TOTAL AIR FREIGHT & COURIERS (46,236)
------------
TRADING COMPANIES & DISTRIBUTORS (0.4)%
GATX Corp. 320 (13,865)
Fastenal Co. 1,160 (41,621)
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS (55,486)
------------
MACHINERY (0.4)%
Joy Global, Inc. 110 (5,317)
Pentair, Inc. 280 (8,792)
Flowserve Corp. 200 (10,094)
Ingersoll-Rand Co. -- Class A 420 (16,435)
SPX Corp. 280 (17,125)
------------
TOTAL MACHINERY (57,763)
------------
COMMERCIAL SERVICES & SUPPLIES (1.6)%
Monster Worldwide, Inc.* 130 (6,063)
Robert Half International, Inc. 170 (6,310)
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ChoicePoint, Inc.* 210 $ (8,270)
Cintas Corp. 300 (11,913)
Deluxe Corp. 670 (16,884)
Avery Dennison Corp. 350 (23,775)
Corporate Executive Board Co. 280 (24,556)
Stericycle, Inc.* 330 (24,915)
RR Donnelley & Sons Co. 720 (25,589)
Dun & Bradstreet Corp.* 350 (28,977)
Pitney Bowes, Inc. 640 (29,562)
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES (206,814)
------------
INDUSTRIAL CONGLOMERATES (1.9)%
General Electric Co. 6,850 (254,889)
------------
TOTAL INDUSTRIAL CONGLOMERATES (254,889)
------------
TOTAL INDUSTRIALS (699,664)
------------
INFORMATION TECHNOLOGY (8.0)%
IT CONSULTING & SERVICES (0.4)%
Fidelity National Information
Services, Inc. 1 (36)
Cognizant Technology Solutions
Corp. -- Class A* 80 (6,173)
Gartner, Inc. -- Class A* 910 (18,009)
Unisys Corp.* 3,620 (28,381)
------------
TOTAL IT CONSULTING & SERVICES (52,599)
------------
OFFICE ELECTRONICS (0.6)%
Zebra Technologies Corp. --
Class A* 300 (10,437)
Xerox Corp.* 3,960 (67,122)
------------
TOTAL OFFICE ELECTRONICS (77,559)
------------
INTERNET SOFTWARE & SERVICES (0.7)%
ValueClick, Inc.* 780 (18,431)
Google, Inc. -- Class A* 70 (32,234)
eBay, Inc.* 1,380 (41,497)
------------
TOTAL INTERNET SOFTWARE & SERVICES (92,162)
------------
COMMUNICATIONS EQUIPMENT (1.2)%
Powerwave Technologies, Inc.* 860 (5,547)
ADTRAN, Inc. 380 (8,626)
Comverse Technology, Inc.* 620 (13,088)
Utstarcom, Inc.* 2,000 (17,500)
Ciena Corp.* 640 (17,734)
F5 Networks, Inc.* 280 (20,779)
JDS Uniphase Corp.* 1,390 (23,157)
Qualcomm, Inc. 1,330 (50,261)
------------
TOTAL COMMUNICATIONS EQUIPMENT (156,692)
------------
COMPUTERS & PERIPHERALS (1.2)%
Apple Computer, Inc.* 280 (23,756)
Lexmark International, Inc.* 610 (44,652)
Network Appliance, Inc.* 1,140 (44,779)
Dell, Inc.* 1,990 (49,929)
------------
TOTAL COMPUTERS & PERIPHERALS (163,116)
------------
24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006
- --------------------------------------------------------------------------------
HEDGED EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1.7)%
MEMC Electronic Materials, Inc.* 130 $ (5,088)
Semtech Corp.* 500 (6,535)
Triquint Semiconductor, Inc.* 3,130 (14,085)
Lattice Semiconductor Corp.* 2,310 (14,969)
Fairchild Semiconductor
International, Inc.* 1,430 (24,038)
Teradyne, Inc.* 1,910 (28,574)
Cypress Semiconductor Corp.* 2,770 (46,730)
Applied Materials, Inc. 4,940 (91,143)
------------
TOTAL SEMICONDUCTOR & SEMICONDUCTOR
EQUIPMENT (231,162)
------------
SOFTWARE (2.2)%
Advent Software, Inc.* 80 (2,823)
Activision, Inc.* 1,560 (26,894)
Symantec Corp.* 3,570 (74,435)
CA, Inc. 3,420 (77,463)
Electronic Arts, Inc.* 2,300 (115,828)
------------
TOTAL SOFTWARE (297,443)
------------
TOTAL INFORMATION TECHNOLOGY (1,070,733)
------------
FINANCIALS (9.8)%
DIVERSIFIED FINANCIALS (0.1)%
Moody's Corp. 190 (13,122)
------------
TOTAL DIVERSIFIED FINANCIALS (13,122)
------------
BANKS (0.6)%
Westamerica Bancorporation 230 (11,645)
National City Corp. 1,900 (69,464)
------------
TOTAL BANKS (81,109)
------------
CONSUMER FINANCE (0.8)%
SLM Corp. 2,100 (102,417)
------------
TOTAL CONSUMER FINANCE (102,417)
------------
THRIFTS & MORTGAGE FINANCE (1.1)%
MGIC Investment Corp. 330 (20,638)
New York Community Bancorp, Inc. 1,960 (31,556)
Freddie Mac 1,490 (101,171)
------------
TOTAL THRIFTS & MORTGAGE FINANCE (153,365)
------------
REAL ESTATE (2.0)%
Realogy Corp.* 1 (15)
Highwoods Properties, Inc. 210 (8,560)
Potlatch Corp. 270 (11,831)
United Dominion Realty Trust, Inc. 430 (13,670)
Boston Properties, Inc. 160 (17,901)
Plum Creek Timber Co., Inc. (REIT) 510 (20,323)
Weingarten Realty Investors 690 (31,816)
Regency Centers Corp. 470 (36,740)
Vornado Realty Trust 460 (55,890)
Simon Property Group, Inc. 680 (68,877)
------------
TOTAL REAL ESTATE (265,623)
------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CAPITAL MARKETS (2.0)%
SEI Investments Co. 250 $ (14,890)
Waddell & Reed Financial, Inc. --
Class A 850 (23,256)
Federated Investors, Inc. -- Class B 820 (27,699)
Janus Capital Group, Inc. 1,400 (30,226)
Nuveen Investments, Inc. --
Class A 590 (30,609)
Eaton Vance Corp. 970 (32,020)
Legg Mason, Inc. 340 (32,317)
Charles Schwab Corp. 4,020 (77,747)
------------
TOTAL CAPITAL MARKETS (268,764)
------------
INSURANCE (3.2)%
Stancorp Financial Group, Inc. 320 (14,416)
Arthur J. Gallagher & Co. 840 (24,822)
AFLAC, Inc. 940 (43,240)
XL Capital Ltd. 740 (53,295)
Everest Re Group Ltd. 620 (60,828)
ACE Ltd. 1,060 (64,204)
Marsh & McLennan Cos., Inc. 2,150 (65,919)
Progressive Corp. 4,090 (99,060)
------------
TOTAL INSURANCE (425,784)
------------
TOTAL FINANCIALS (1,310,184)
------------
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $5,932,147) (6,209,480)
------------
TOTAL INVESTMENTS 53.2%
(Cost $7,080,128) $ 7,100,071
============
OTHER ASSETS IN EXCESS
OF LIABILITIES - 46.8% $ 6,237,115
============
NET ASSETS - 100.0% $ 13,337,186
================================================================================
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
March 2007 S&P 500 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $3,780,887) 53 $ (7,195)
March 2007 Russell 2000(R) Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts $1,823,900) 23 (21,387)
March 2007 S&P MidCap 400
Index Mini Futures Contracts
(Aggregate Market Value
of Contracts $1,781,120) 22 (35,534)
------------
(TOTAL AGGREGATE MARKET VALUE OF
CONTRACTS $7,385,907) $ (64,116)
============
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT
DECEMBER 31, 2006.
ADR--AMERICAN DEPOSITORY RECEIPT
REIT--REAL ESTATE INVESTMENT TRUST
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25
STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED
STRATEGIES EQUITY
FUND FUND
- ----------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2 and 6) $ 22,327,463 $ 13,309,551
Segregated Cash with Broker 714,345 252,186
Receivable for Short Sale 6,616,659 5,932,147
Receivable for Credit Default Swap Settlement (Note 1) 1,234 --
Receivable for Securities Sold (Note 1) 257,898 149,860
Receivable for Fund Shares Sold 12,244 11,714
Investment Income Receivable (Note 1) 69,952 40,012
Other Assets 55,126 --
- ----------------------------------------------------------------------------------------------------------
TOTAL ASSETS 30,054,921 19,695,470
==========================================================================================================
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2) 7,011,510 6,209,480
Payable for Futures Contracts Settlement (Note 1) 54,844 52,923
Payable for Securities Purchased (Note 1) 393,445 74,940
Payable for Fund Shares Redeemed 5,795 246
Investment Advisory Fees Payable (Note 4) 22,685 13,537
Short Sales Dividends Payable 9,329 7,158
- ----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 7,497,608 6,358,284
==========================================================================================================
NET ASSETS $ 22,557,313 $ 13,337,186
==========================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 22,427,480 $ 13,268,473
Undistributed Net Investment Income 84,835 47,435
Accumulated Net Realized Gain on Investments, Credit Default Swaps, and
Futures Contracts 151,101 65,451
Net Unrealized Depreciation on Investments,
Credit Default Swaps, and Futures Contracts (106,103) (44,173)
==========================================================================================================
NET ASSETS $ 22,557,313 $ 13,337,186
==========================================================================================================
SHARES OUTSTANDING 861,112 506,430
NET ASSET VALUES $ 26.20 $ 26.34
* THE COST OF SECURITIES AT VALUE IS $21,960,129 AND $13,012,275,
RESPECTIVELY.
** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $6,616,659 AND $5,932,147,
RESPECTIVELY.
26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
STATEMENTS OF OPERATIONS Year Ended December 31, 2006
- --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED
STRATEGIES EQUITY
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 395,450 $ 278,818
Dividends, Net of Foreign Tax Withheld* (Note 1) 105,871 58,098
Other Income 5,390 202
- ----------------------------------------------------------------------------------------------------------
Total Income 506,711 337,118
- ----------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 4) 122,492 75,596
Short Sales Dividend Expense 57,434 50,870
Trustees' Fees** 327 231
Custody Fees 2,335 2,015
Miscellaneous (2,404) (2,135)
- ----------------------------------------------------------------------------------------------------------
Total Expenses 180,184 126,577
- ----------------------------------------------------------------------------------------------------------
Net Investment Income 326,527 210,541
==========================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities (346,058) 116,745
Futures Contracts 494,336 351,893
Securities Sold Short 307,001 (99,927)
- ----------------------------------------------------------------------------------------------------------
Total Net Realized Gain 455,279 368,711
- ----------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 371,617 280,840
Credit Default Swaps 1,234 --
Futures Contracts (69,334) (46,483)
Securities Sold Short (407,553) (282,740)
- ----------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (104,036) (48,383)
- ----------------------------------------------------------------------------------------------------------
Net Gain on Investments 351,243 320,328
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 677,770 $ 530,869
==========================================================================================================
* FOREIGN TAX WITHHELD OF $539 AND $266, 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 VARIABLE TRUST ANNUAL REPORT | 27
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED
STRATEGIES FUND EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005* 2006 2005*
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income $ 326,527 $ 5,902 $ 210,541 $ 4,198
Net Realized Gain on Investments 455,279 10,859 368,711 11,135
Net Change in Unrealized Appreciation (Depreciation)
on Investments (104,036) (2,067) (48,383) 4,210
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 677,770 14,694 530,869 19,543
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (247,851) -- (166,122) (3,305)
Realized Gain on Investment (315,037) -- (314,395) --
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (562,888) -- (480,517) (3,305)
=========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 29,498,924 4,216,390 25,389,088 4,399,783
VALUE OF SHARES PURCHASED THROUGH DIVIDEND
REINVESTMENT 562,888 -- 480,517 3,305
COST OF SHARES REDEEMED (10,942,535) (907,930) (15,958,684) (1,043,413)
=========================================================================================================================
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 19,119,277 3,308,460 9,910,921 3,359,675
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 19,234,159 3,323,154 9,961,273 3,375,913
NET ASSETS--BEGINNING OF PERIOD 3,323,154 -- 3,375,913 --
=========================================================================================================================
NET ASSETS--END OF PERIOD $ 22,557,313 $ 3,323,154 $ 13,337,186 $ 3,375,913
=========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 84,835 $ 5,902 $ 47,435 $ 893
=========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 2005.
28 | THE RYDEX VARIABLE TRUST 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
INCREASE IN
NET REALIZED NET ASSET DISTRIBUTIONS
NET ASSET AND VALUE DISTRIBUTIONS FROM NET
VALUE, NET UNREALIZED RESULTING FROM NET REALIZED
BEGINNING INVESTMENT GAINS ON FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD INCOME+ SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
DECEMBER 31, 2006 $25.20 $ .80 $ .87 $ 1.67 $ (.30) $ (.37) $ (.67)
December 31, 2005* 25.00 .05 .15 .20 -- -- --
HEDGED EQUITY FUND
DECEMBER 31, 2006 25.21 .84 1.23 2.07 (.33) (.61) (.94)
December 31, 2005* 25.00 .04 .20 .24 (.03) -- (.03)
RATIOS TO AVERAGE NET ASSETS:
-----------------------------
NET NET
INCREASE ASSET NET ASSETS,
IN NET VALUE, TOTAL NET PORTFOLIO END OF
ASSET END OF INVESTMENT TOTAL NET OPERATING INVESTMENT TURNOVER PERIOD (000'S
YEAR ENDED VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES++ INCOME RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND
DECEMBER 31, 2006 $ 1.00 $ 26.20 6.64% 1.70% 1.70% 1.16% 3.08% 309% $22,557
December 31, 2005* .20 25.20 0.80% 1.45%** 1.45%** 1.20%** 2.28%** 19% 3,323
HEDGED EQUITY FUND
DECEMBER 31, 2006 1.13 26.34 8.20% 1.93% 1.93% 1.15% 3.21% 360% 13,337
December 31, 2005* .21 25.21 0.94% 1.96%** 1.96%** 1.19%** 1.62%** 10% 3,376
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 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 YEAR.
++ OPERATING EXPENSES EXCLUDE SHORT DIVIDENDS EXPENSE.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 29
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Rydex Variable Trust (the "Trust"), a Delaware business trust, is registered
with the SEC under the Investment Company Act of 1940 (the "1940") as a
non-diversified, open-ended investment company and is authorized to issue an
unlimited number of no par value shares. At December 31, 2006, the Trust
consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money
Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund,
nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds and
three CLS AdvisorOne Funds. This report covers the Absolute Return Strategies
Fund and the Hedged Equity Fund (the "Funds"), while the Benchmark Funds, the
Money Market Fund, the Sector Funds, the Strategic Funds, the Essential
Portfolio Funds and the CLS AdvisorOne Funds are contained in separate reports.
Rydex Investments (the "Advisor") serves as investment advisor to the Funds.
Rydex Distributors, Inc. (the "Distributor") acts as principal underwriter for
the Trust.
SIGNIFICANT ACCOUNTING POLICIES
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.
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.
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, 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.
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith by 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 and are determined in accordance with income
tax regulations which may differ from accounting principles generally accepted
in the United States of America. Net investment income and loss, net realized
gains and losses, and net assets are not affected by these differences.
30 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
D. 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.
A segregated account of cash and/or securities is maintained 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.
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 Fund'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, credit default, 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, credit default 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 ceased investing in commodity index swaps after
September 30, 2006.
H. The Funds may also purchase American Depository Receipts, U.S. Government
securities, enter into repurchase agreements, and engage in futures, options and
swap transactions.
I. The Funds may leave cash overnight in their cash account with the custodian,
U.S. Bank. 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.
J. 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.
K. 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
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 31
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 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.
There are several risks associated with credit default swaps. Credit default
swaps involve the exchange of a fixed-rate premium for protection against the
loss in value of an underlying debt instrument in the event of a defined credit
event (such as payment default or bankruptcy). Under the terms of the swap, one
party acts as a "guarantor," receiving a periodic payment that is a fixed
percentage applied to a notional principal amount. In return, the party agrees
to purchase the notional amount of the underlying instrument, at par, if a
credit event occurs during the term of the swap. The Fund may enter into credit
default swaps in which the Fund or its counterparty act as guarantors. By
acting as the guarantor of a swap, the Fund assumes the market and credit risk
of the underlying instrument, including liquidity and loss of value. Interest
rate swap contracts involve the exchange of commitments to pay and receive
interest based on a notional principal amount. 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. 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.
32 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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. CALL OPTIONS WRITTEN
As of December 31, 2006, the Funds did not have any open written call option
positions.
Transactions in options written during the period ended December 31, 2006, were
as follows:
NUMBER OF PREMIUMS
HEDGED EQUITY FUND CONTRACTS RECEIVED
- -------------------------------------------------------------------------------
Options outstanding at December 31, 2005 1 $ 3,321
Options written -- --
Options closed 1 (3,321)
- -------------------------------------------------------------------------------
Options outstanding at December 31, 2006 -- $ --
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 1.15% of the average daily net assets of the Funds. The Advisor has
contractually agreed to pay all operating expenses of the Fund, excluding
interest expense and taxes (expected to be de minimis), brokerage commissions
and other expenses connected with the execution of portfolio transactions, short
dividend expenses, and extraordinary expenses. Organizational and setup costs
for new funds are paid by the Trust. Certain officers and trustees of the Trust
are also officers of the Advisor.
5. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of Subchapter M of the Internal
Revenue Code and will distribute substantially 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 may
include net operating losses not utilized during the current period and the
expiration of capital loss carryforward. 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.
The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------
Absolute Return Strategies Fund $418,938 $ 143,950 $ 562,888
Hedged Equity Fund 398,736 81,781 480,517
The tax character of distributions paid during 2005 was as follows:
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------
Absolute Return Strategies Fund $ -- $ -- $ --
Hedged Equity Fund 3,305 -- 3,305
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 33
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The tax character of distributable earnings/(accumulated losses) at December 31,
2006 was as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM NET UNREALIZED CAPITAL LOSS
FUND INCOME GAIN DEPRECIATION CARRYFORWARD
- ---------------------------------------------------------------------------------------------------
Absolute Return Strategies Fund $ 330,055 $ 112,818 $ (254,610) $ --
Hedged Equity Fund 164,258 91,680 (135,878) --
The Funds' tax basis capital gains and losses are determined only at the end of
each fiscal year. Tax basis capital losses in excess of capital gains are
carried forward to offset future net capital gains.
At December 31, 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 LOSS
- ----------------------------------------------------------------------------------------------------
Absolute Return Strategies Fund $ 15,571,797 $ 450,102 $ (705,946) $ (255,844)
Hedged Equity Fund 7,235,949 350,851 (486,729) (135,878)
6. 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 102% of the delivery value of the repurchase agreements
at maturity. Each Fund holds a pro rata share of the collateral based on the
dollar amount of the repurchase agreement entered into by each Fund.
The repurchase agreements executed by the joint account and outstanding as of
December 31, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE REPURCHASE PRICE
- --------------------------------------------------------------------------------------------------------
Lehman Brothers, Inc. 4.60% due 01/02/07 $95,418,751 $ 95,418,751 $ 95,467,520
UBS Financial Services, Inc. 4.79% due 01/02/07 89,000,000 89,000,000 89,047,368
Morgan Stanley 4.65% due 01/02/07 89,000,000 89,000,000 89,045,983
Mizuho Financial Group, Inc. 4.80% due 01/02/07 89,000,000 89,000,000 89,047,467
Credit Suisse First Boston 4.90% due 01/02/07 25,253,732 25,253,732 25,267,481
- --------------------------------------------------------------------------------------------------------
$387,672,483 $387,875,819
- --------------------------------------------------------------------------------------------------------
As of December 31, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
SECURITY TYPE MATURITY DATES RANGE OF RATES PAR VALUE MARKET VALUE
- --------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds 11/15/16 - 05/15/17 7.500% - 8.750% $ 30,385,000 $ 37,544,892
TIP Bonds 04/15/29 3.875% 1,045,000 1,615,292
U.S. Treasury Notes 01/15/08 - 11/15/15 1.875% - 4.500% 251,823,244 248,683,722
TIP Notes 01/15/14 - 07/15/15 1.625% - 2.000% 16,495,000 16,806,078
U.S. Treasury Bills 03/08/07 - 06/07/07 0.000% 91,711,000 90,785,145
- --------------------------------------------------------------------------------------------------------
$395,435,129
- --------------------------------------------------------------------------------------------------------
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 year ended December 31, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
ABSOLUTE RETURN STRATEGIES HEDGED EQUITY
FUND FUND
- --------------------------------------------------------------------------------
Purchases $29,287,523 $19,222,898
Sales $18,464,224 $14,938,896
34 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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 years presented were:
PURCHASED THROUGH
SHARES PURCHASED DIVIDEND REINVESTMENT
- ----------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005* 2006 2005*
- ----------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND 1,127,925 167,851 21,509 --
HEDGED EQUITY FUND 961,138 175,111 18,243 130
NET SHARES
SHARES REDEEMED PURCHASED
- ----------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005* 2006 2005*
- ----------------------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND (420,205) (35,968) 729,229 131,883
HEDGED EQUITY FUND (606,870) (41,322) 372,511 133,919
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 2005.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 35
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
9. NEW ACCOUNTING PRONOUNCEMENTS
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 on the financial statements
has not yet been determined.
On September 15, 2006, the FASB released Statement Financial Accounting Standard
No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for
using fair value to measure assets and liabilities. The standard requires
companies to provide expanded information about the assets and liabilities
measured at fair value and the potential effect of these fair valuations on an
entity's financial performance. The standard does not expand the use of fair
value in any new circumstances, but provides clarification on acceptable fair
valuation methods and applications. Adoption of FAS 157 is required for fiscal
years beginning after November 15, 2007. The standard is not expected to
materially impact the Funds' financial statements.
36 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Absolute Return Strategies Fund and
Hedged Equity Fund (two of the funds of the Rydex Variable Trust, hereafter
referred to as the "Funds") at December 31, 2006, the results of each of their
operations, the changes in each of their net assets and the financial highlights
for the periods presented, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 2006 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 23, 2007
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 37
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
TAX INFORMATION
This information is being provided as required by the Internal Revenue Code.
Amounts shown may differ from those elsewhere in the report because of
difference in tax and financial reporting practices.
The Funds' distributions to shareholders included:
ABSOLUTE RETURN HEDGED EQUITY
STRATEGIES FUND FUND
- --------------------------------------------------------------------------------
From short-term capital gains: $171,087 $232,614
From long-term capital gains, subject to the
15% rate gains category: $143,950 $ 81,781
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 Variable Trust 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
Variable Trust (the "Trust") and PADCO Advisors II, 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 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:
38 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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 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.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 39
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
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 the
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.
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.
40 | THE RYDEX VARIABLE TRUST 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 146
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 Investments and Rydex Distributors, Inc. (2003 to present);
Executive Vice President of Rydex Investments (2000 to 2003)
--------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 146
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); 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 Investments (2004 to present); Chief
Operating Officer of Rydex Investments 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 139
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 139
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner
and President of Schield Management Company, registered investment adviser (2005
to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
--------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 139
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 VARIABLE TRUST ANNUAL REPORT | 41
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 139
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 139
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 139
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 139
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 to
Vice President and 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 Investments
(2003 to present); Vice President and Treasurer of Rydex Capital
Partners SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Investments (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 Investments
(2000 to present); Secretary of Rydex Capital Partners SPhinX
Fund (2003 to 2006)
42 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------- ---------------------------
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 Investments (2004 to present); Director of Accounting of
Rydex Investments (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 Investments (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 VARIABLE TRUST ANNUAL REPORT | 43
- --------------------------------------------------------------------------------
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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
RVAOEHF-2-1206x1207
DECEMBER 31, 2006
RYDEX VARIABLE TRUST ANNUAL REPORT
ESSENTIAL PORTFOLIO FUNDS
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 ......................................... 4
PERFORMANCE REPORTS AND FUND PROFILES ..................................... 6
SCHEDULES OF INVESTMENTS .................................................. 9
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 12
STATEMENTS OF OPERATIONS .................................................. 13
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 14
FINANCIAL HIGHLIGHTS ...................................................... 15
NOTES TO FINANCIAL STATEMENTS ............................................. 16
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 23
OTHER INFORMATION ......................................................... 24
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 27
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
In many ways, 2006 was a surprising year for investors. Equity markets turned in
an unexpectedly strong performance, based in large part on a powerful year-end
rally. For much of 2006, stock prices were kept in check by inflation and
interest rate concerns. One of the most noteworthy developments of the year was
that the Federal Reserve ("Fed") called a halt to its two-year interest rate
raising campaign in an effort to see if the 17 consecutive increases in
short-term rates enacted over the prior two years had been enough to slow
economic growth and cool inflationary pressures.
Throughout 2006, stock prices reacted to two major inputs--the price of oil and
the direction of future interest rate policy. The pause in interest rate hikes
by the Fed changed the debate from when would they stop to when will they ease.
Oil prices, which had been on a relentless climb going back to the days prior to
hurricane Katrina, finally broke after a first-half rally brought the price of
oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower
than where it began at $61/barrel.
Underlying this was the hope that the economy would achieve a soft
landing--slowing enough to give the Fed latitude to ease, but not enough to tip
the economy into recession. The major risk in 2006 was housing. As the housing
"bubble" burst, it had--and still has--the potential to pull the economy into
recession. Stock price behavior, particularly in the fourth quarter, indicates
that most observers believed the economy had dodged that bullet.
Stocks rallied modestly at the beginning of 2006 then pulled back in the
May-July period on concerns about inflationary pressures and additional rate
hikes by the Fed. With the economy slowing and inflationary pressures easing,
markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones
Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains,
respectively, on a total return basis for the year.
Although it was a bit of a seesaw battle, investors expressed a preference for
small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%,
beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value
battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46%
compared to 9.15% for the Russell 1000(R) Growth Index.
All three Rydex Essential Portfolios enjoyed strong returns during the last two
months of 2006 as markets rallied significantly at the close of the year.
Investment returns ranged from +1.71% for the Conservative Portfolio to +3.02%
for the Aggressive Portfolio. Both the Moderate and Aggressive Portfolios
outperformed their benchmarks during the period, while the Conservative
Portfolio trailed slightly. Domestic and international equity markets in
particular, rallied strongly during the review period on the back of massive
global liquidity, expectations of easing by the Federal Reserve and
unprecedented levels of M&A, private equity and buyout activity. Real Estate was
also a positive contributor to performance during the quarter. Rydex Government
Long Bond Advantage and Commodities Fund allocations detracted slightly from
performance as interest rates rose modestly and commodity indexes pulled back
slightly.
Looking into 2007, we think it is likely that economic growth will be slower but
not recessionary. In that environment we expect stocks to cool off, if not
retreat a bit. That should give the Fed room to ease interest rates, which
should push stock prices up again. We do not, however, expect those conditions
to unfold until the second half of 2007.
Thank you for placing your trust in Rydex Investments.
Sincerely,
/s/David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3
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 June 30, 2006 and
ending December 31, 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.
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 the Fund. 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 up to 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 VARIABLE TRUST ANNUAL REPORT
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO JUNE 30, 2006 DECEMBER 31, 2006 PERIOD*
- -------------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN**
Essential Portfolio Conservative Fund -- $ 1,000.00 $ 1,017.10 $ --
Essential Portfolio Moderate Fund -- 1,000.00 1,029.80 --
Essential Portfolio Aggressive Fund -- 1,000.00 1,030.20 --
- -------------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN**
Essential Portfolio Conservative Fund -- 1,000.00 1,025.21 --
Essential Portfolio Moderate Fund -- 1,000.00 1,025.21 --
Essential Portfolio Aggressive Fund -- 1,000.00 1,025.21 --
* 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. EXPENSES
SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES.
** SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO
CONSERVATIVE FUND
OBJECTIVE: To primarily seek preservation of capital and, secondarily, to seek
long-term growth of capital.
INCEPTION: October 27, 2006
Rydex Essential Portfolio Conservative Fund rose 1.71% during the period,
lagging behind the blended benchmark return of 1.94%. The major contributor to
returns was the Portfolio's allocation of Rydex Europe Advantage Fund. Europe
Advantage Fund's performance was driven by strong economic growth in the
Eurozone economies on the back of solid investment, job spending and exports
growth. European share prices were also bolstered by lower P/E's and higher
expected earnings growth than in the U.S. With U.S. stock prices rallying in Q4,
the Portfolio's allocation to Rydex Multi-Cap Core Equity Fund was also a major
contributor. Allocations to the Small Cap Value, Large Cap Value and Sector
Rotation Funds all contributed meaningfully to Portfolio returns as well. Two
other allocations also aided performance during the quarter. The Portfolio's
exposure to Rydex Absolute Return Strategies Fund added to aggregate returns, as
did its allocation to Rydex Real Estate Fund. The strong showing by Rydex Real
Estate Fund added significantly to overall returns. The Conservative Portfolio's
large allocation to Rydex Government Long Bond Advantage Fund detracted slightly
from performance as interest rates rose modestly in the fourth quarter. Our
allocation to Rydex Commodities Fund was the only other source of negative
returns, reducing aggregate performance in a difficult environment for
commodities.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 27, 2006 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
DATE CONSERVATIVE FUND S&P 500 INDEX CONSERVATIVE BENCHMARK
10/27/2006 10,000 10,000 10,000
10/28/2006 10,000 10,000 10,000
10/29/2006 10,000 10,000 10,000
10/30/2006 10,000 10,005 10,005
10/31/2006 10,032 10,005 10,034
11/1/2006 10,016 9,932 10,015
11/2/2006 9,984 9,932 10,005
11/3/2006 9,936 9,910 9,968
11/4/2006 9,936 9,910 9,968
11/5/2006 9,936 9,910 9,968
11/6/2006 10,012 10,023 10,015
11/7/2006 10,020 10,046 10,043
11/8/2006 10,052 10,069 10,062
11/9/2006 10,028 10,017 10,043
11/10/2006 10,060 10,036 10,062
11/11/2006 10,060 10,036 10,062
11/12/2006 10,060 10,036 10,062
11/13/2006 10,052 10,064 10,062
11/14/2006 10,112 10,129 10,100
11/15/2006 10,116 10,156 10,100
11/16/2006 10,084 10,179 10,100
11/17/2006 10,100 10,190 10,128
11/18/2006 10,100 10,190 10,128
11/19/2006 10,100 10,190 10,128
11/20/2006 10,120 10,185 10,128
11/21/2006 10,164 10,202 10,137
11/22/2006 10,176 10,227 10,156
11/23/2006 10,176 10,227 10,156
11/24/2006 10,180 10,191 10,147
11/25/2006 10,180 10,191 10,147
11/26/2006 10,180 10,191 10,147
11/27/2006 10,120 10,052 10,090
11/28/2006 10,152 10,089 10,118
11/29/2006 10,200 10,187 10,156
11/30/2006 10,244 10,195 10,175
12/1/2006 10,236 10,166 10,175
12/2/2006 10,236 10,166 10,175
12/3/2006 10,236 10,166 10,175
12/4/2006 10,284 10,257 10,213
12/5/2006 10,292 10,298 10,232
12/6/2006 10,264 10,288 10,222
12/7/2006 10,248 10,247 10,203
12/8/2006 10,216 10,266 10,184
12/9/2006 10,216 10,266 10,184
12/10/2006 10,216 10,266 10,184
12/11/2006 10,256 10,289 10,203
12/12/2006 10,252 10,279 10,213
12/13/2006 10,228 10,293 10,194
12/14/2006 10,248 10,383 10,232
12/15/2006 10,236 10,394 10,232
12/16/2006 10,236 10,394 10,232
12/17/2006 10,236 10,394 10,232
12/18/2006 10,204 10,361 10,222
12/19/2006 10,216 10,384 10,232
12/20/2006 10,212 10,369 10,232
12/21/2006 10,208 10,334 10,232
12/22/2006 10,151 10,280 10,184
12/23/2006 10,151 10,280 10,184
12/24/2006 10,151 10,280 10,184
12/25/2006 10,151 10,280 10,184
12/26/2006 10,187 10,325 10,213
12/27/2006 10,215 10,400 10,232
12/28/2006 10,191 10,385 10,213
12/29/2006 10,171 10,338 10,194
12/30/2006 10,171 10,338 10,194
12/31/2006 10,171 10,338 10,194
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
INCEPTION
(10/27/06)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND 1.71%
S&P 500 INDEX 3.38%
SYNTHETIC ESSENTIAL PORTFOLIO CONSERVATIVE BENCHMARK* 1.94%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
* BENCHMARK REFLECTS A 40/60 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX
AND THE LEHMAN AGGREGATE BOND INDEX.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
- --------------------------------------------------------------------------------
U.S. EQUITY FUNDS 17.9%
U.S. FIXED-INCOME FUNDS AND MONEY MARKET FUND 39.5%
INTERNATIONAL EQUITY FUNDS 12.0%
ALTERNATIVE STRATEGIES FUNDS 29.6%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Rydex Variable Trust -- Government Long Bond Advantage Fund 21.4%
Rydex Variable Trust -- U.S. Government Money Market Fund 18.1%
Rydex Variable Trust -- Absolute Return Strategies Fund 14.6%
Rydex Variable Trust -- Europe Advantage Fund 12.0%
Rydex Variable Trust -- Multi-Cap Core Equity Fund 10.3%
Rydex Variable Trust -- Real Estate Fund 4.2%
Rydex Variable Trust -- Commodities Fund 3.5%
Rydex Variable Trust -- Small-Cap Value Fund 3.1%
Rydex Variable Trust -- Large-Cap Value Fund 2.8%
Rydex Variable Trust -- Sector Rotation Fund 2.6%
- --------------------------------------------------------------------------------
Top Ten Total 92.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative instruments.
6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO
MODERATE FUND
OBJECTIVE: To primarily seek growth of capital and, secondarily, to seek
preservation of capital.
INCEPTION: October 27, 2006
Rydex Essential Portfolio Moderate Fund returned 2.98% during the period,
beating its benchmark return of 2.46%. Many of the asset class exposures that
worked well for the Conservative Portfolio came into play for the Moderate
Portfolio. Again, the largest positive contributor to overall return was the
allocation to Rydex Europe Advantage Fund. Rydex Multi-Cap Core Equity, Nova and
OTC Funds were also significant sources of positive return, adding meaningfully
to overall results. Rydex Nova Fund's magnified exposure to the S&P 500 Index
enabled it to generate a strong return during the year-end stock market rally.
The other international allocation that aided results was the Moderate
Portfolio's holding of Rydex Japan Advantage Fund, which rose briskly as
Japanese stock prices recovered from their May-June swoon towards the end of the
year. The Portfolio's exposure to the Rydex style box series of funds helped
returns in a positive stock market environment, as did allocations to Rydex
Absolute Return Strategies, Real Estate, Sector Rotation and Russell 2000(R)
Advantage Funds. The Moderate Portfolio's smaller allocation to Rydex Government
Long Bond Advantage Fund, which declined modestly, resulted in less of a drag on
overall return. This, however, was more than offset by a larger allocation to
Rydex Commodities Fund, which detracted from performance during the period.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 27, 2006 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
DATE MODERATE FUND S&P 500 INDEX MODERATE BENCHMARK
10/27/2006 10,000 10,000 10,003
10/28/2006 10,000 10,000 10,003
10/29/2006 10,000 10,000 10,003
10/30/2006 9,996 10,005 10,003
10/31/2006 10,012 10,005 10,022
11/1/2006 9,964 9,932 9,984
11/2/2006 9,944 9,932 9,975
11/3/2006 9,908 9,910 9,947
11/4/2006 9,908 9,910 9,947
11/5/2006 9,908 9,910 9,947
11/6/2006 10,028 10,023 10,022
11/7/2006 10,044 10,046 10,041
11/8/2006 10,072 10,069 10,059
11/9/2006 10,028 10,017 10,031
11/10/2006 10,052 10,036 10,050
11/11/2006 10,052 10,036 10,050
11/12/2006 10,052 10,036 10,050
11/13/2006 10,044 10,064 10,059
11/14/2006 10,144 10,129 10,106
11/15/2006 10,160 10,156 10,115
11/16/2006 10,120 10,179 10,125
11/17/2006 10,120 10,190 10,143
11/18/2006 10,120 10,190 10,143
11/19/2006 10,120 10,190 10,143
11/20/2006 10,120 10,185 10,143
11/21/2006 10,176 10,202 10,162
11/22/2006 10,208 10,227 10,171
11/23/2006 10,208 10,227 10,171
11/24/2006 10,200 10,191 10,162
11/25/2006 10,200 10,191 10,162
11/26/2006 10,200 10,191 10,162
11/27/2006 10,084 10,052 10,078
11/28/2006 10,144 10,089 10,106
11/29/2006 10,252 10,187 10,162
11/30/2006 10,300 10,195 10,181
12/1/2006 10,268 10,166 10,171
12/2/2006 10,268 10,166 10,171
12/3/2006 10,268 10,166 10,171
12/4/2006 10,352 10,257 10,227
12/5/2006 10,372 10,298 10,255
12/6/2006 10,348 10,288 10,237
12/7/2006 10,324 10,247 10,218
12/8/2006 10,300 10,266 10,209
12/9/2006 10,300 10,266 10,209
12/10/2006 10,300 10,266 10,209
12/11/2006 10,336 10,289 10,237
12/12/2006 10,332 10,279 10,237
12/13/2006 10,328 10,293 10,227
12/14/2006 10,388 10,383 10,283
12/15/2006 10,376 10,394 10,283
12/16/2006 10,376 10,394 10,283
12/17/2006 10,376 10,394 10,283
12/18/2006 10,308 10,361 10,265
12/19/2006 10,324 10,384 10,283
12/20/2006 10,328 10,369 10,274
12/21/2006 10,304 10,334 10,265
12/22/2006 10,245 10,280 10,218
12/23/2006 10,245 10,280 10,218
12/24/2006 10,245 10,280 10,218
12/25/2006 10,245 10,280 10,218
12/26/2006 10,282 10,325 10,246
12/27/2006 10,352 10,400 10,283
12/28/2006 10,335 10,385 10,274
12/29/2006 10,298 10,338 10,246
12/30/2006 10,298 10,338 10,246
12/31/2006 10,298 10,338 10,246
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
INCEPTION
(10/27/06)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO MODERATE FUND 2.98%
S&P 500 INDEX 3.38%
SYNTHETIC ESSENTIAL PORTFOLIO MODERATE BENCHMARK* 2.46%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
* BENCHMARK REFLECTS A 60/40 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX
AND THE LEHMAN AGGREGATE BOND INDEX.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO MODERATE FUND
- -------------------------------------------------------------------------------
U.S. EQUITY FUNDS 37.3%
U.S. FIXED-INCOME FUNDS 10.8%
INTERNATIONAL EQUITY FUNDS 28.9%
ALTERNATIVE STRATEGIES FUNDS 21.9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Rydex Variable Trust -- Europe Advantage Fund 19.3%
Rydex Variable Trust -- Government Long Bond Advantage Fund 10.8%
Rydex Variable Trust -- Absolute Return Strategies Fund 10.6%
Rydex Variable Trust -- Japan Advantage Fund 9.5%
Rydex Variable Trust -- Multi-Cap Core Equity Fund 9.4%
Rydex Variable Trust -- OTC Fund 7.6%
Rydex Variable Trust -- Real Estate Fund 7.0%
Rydex Variable Trust -- Nova Fund 6.2%
Rydex Variable Trust -- Commodities Fund 5.6%
Rydex Variable Trust -- Russell 2000(R) Advantage Fund 2.6%
- --------------------------------------------------------------------------------
Top Ten Total 88.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative instruments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO
AGGRESSIVE FUND
OBJECTIVE: To primarily seek growth of capital.
INCEPTION: October 27, 2006
Rydex Essential Portfolio Aggressive Fund enjoyed the strongest performance
during the period, both in absolute terms and relative to the aggressive
benchmark, gaining 3.02% versus 2.86% for the benchmark. Performance patterns
were very similar to those seen in the Moderate and Conservative Portfolios,
only magnified a bit. Rydex Europe and Japan Funds were outstanding contributors
to positive Portfolio return. The Aggressive Portfolio's largest allocation was
to Rydex Japan Advantage Fund which contributed substantially to aggregate
return. Close behind was the allocation to Rydex Europe Advantage Fund, which
was also a major contributor to Portfolio return. Rydex Real Estate, Multi-Cap
Core Equity, Sector Rotation and Russell 2000(R) Advantage Funds were also major
contributors to Portfolio performance. The Aggressive Portfolio's larger
tolerance for risk permits a higher allocation to Rydex Sector Rotation Fund.
The price momentum strategy employed by the Fund generated robust returns at the
end of the year. Another key difference with the Aggressive Portfolio is the
wider application of leveraged equity funds. Rydex Dynamic S&P 500 and Dynamic
OTC Fund allocations added meaningfully to overall Portfolio results. The
smaller average allocation to Rydex Absolute Return Strategies Fund resulted in
a relatively modest contribution to return. Additionally, the Aggressive
Portfolio's higher risk target resulted in a lower allocation to Rydex
Government Long Bond Advantage Fund and a correspondingly lower return penalty.
This again was offset by the Portfolio's allocation to Rydex Commodities Fund,
whose decline detracted from Portfolio returns at year-end.
CUMULATIVE FUND PERFORMANCE:
OCTOBER 27, 2006 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
DATE AGGRESSIVE FUND S&P 500 INDEX AGGRESSIVE BENCHMARK
10/27/2006 10,000 10,000 10,000
10/28/2006 10,000 10,000 10,000
10/29/2006 10,000 10,000 10,000
10/30/2006 10,008 10,005 9,999
10/31/2006 10,000 10,005 10,009
11/1/2006 9,908 9,932 9,953
11/2/2006 9,884 9,932 9,953
11/3/2006 9,848 9,910 9,925
11/4/2006 9,848 9,910 9,925
11/5/2006 9,848 9,910 9,925
11/6/2006 9,992 10,023 10,018
11/7/2006 9,992 10,046 10,036
11/8/2006 10,012 10,069 10,064
11/9/2006 9,940 10,017 10,018
11/10/2006 9,972 10,036 10,036
11/11/2006 9,972 10,036 10,036
11/12/2006 9,972 10,036 10,036
11/13/2006 9,976 10,064 10,064
11/14/2006 10,132 10,129 10,120
11/15/2006 10,152 10,156 10,129
11/16/2006 10,112 10,179 10,147
11/17/2006 10,100 10,190 10,166
11/18/2006 10,100 10,190 10,166
11/19/2006 10,100 10,190 10,166
11/20/2006 10,084 10,185 10,157
11/21/2006 10,136 10,202 10,175
11/22/2006 10,188 10,227 10,194
11/23/2006 10,188 10,227 10,194
11/24/2006 10,164 10,191 10,166
11/25/2006 10,164 10,191 10,166
11/26/2006 10,164 10,191 10,166
11/27/2006 10,004 10,052 10,064
11/28/2006 10,088 10,089 10,092
11/29/2006 10,228 10,187 10,175
11/30/2006 10,284 10,195 10,184
12/1/2006 10,244 10,166 10,166
12/2/2006 10,244 10,166 10,166
12/3/2006 10,244 10,166 10,166
12/4/2006 10,372 10,257 10,240
12/5/2006 10,396 10,298 10,268
12/6/2006 10,384 10,288 10,258
12/7/2006 10,332 10,247 10,231
12/8/2006 10,316 10,266 10,231
12/9/2006 10,316 10,266 10,231
12/10/2006 10,316 10,266 10,231
12/11/2006 10,352 10,289 10,258
12/12/2006 10,332 10,279 10,249
12/13/2006 10,324 10,293 10,258
12/14/2006 10,416 10,383 10,323
12/15/2006 10,408 10,394 10,332
12/16/2006 10,408 10,394 10,332
12/17/2006 10,408 10,394 10,332
12/18/2006 10,316 10,361 10,314
12/19/2006 10,316 10,384 10,332
12/20/2006 10,332 10,369 10,314
12/21/2006 10,296 10,334 10,295
12/22/2006 10,235 10,280 10,249
12/23/2006 10,235 10,280 10,249
12/24/2006 10,235 10,280 10,249
12/25/2006 10,235 10,280 10,249
12/26/2006 10,277 10,325 10,286
12/27/2006 10,361 10,400 10,342
12/28/2006 10,340 10,385 10,323
12/29/2006 10,298 10,338 10,286
12/30/2006 10,298 10,338 10,286
12/31/2006 10,298 10,338 10,286
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
INCEPTION
(10/27/06)
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO AGGRESSIVE FUND 3.02%
S&P 500 INDEX 3.38%
SYNTHETIC ESSENTIAL PORTFOLIO AGGRESSIVE BENCHMARK* 2.86%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
* BENCHMARK REFLECTS AN 80/20 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX
AND THE LEHMAN AGGREGATE BOND INDEX.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
- --------------------------------------------------------------------------------
U.S. EQUITY FUNDS 46.3%
U.S. FIXED-INCOME FUNDS 6.8%
INTERNATIONAL EQUITY FUNDS 29.2%
ALTERNATIVE STRATEGIES FUNDS 15.9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
Rydex Variable Trust -- Japan Advantage Fund 18.5%
Rydex Variable Trust -- Europe Advantage Fund 10.7%
Rydex Variable Trust -- Dynamic OTC Fund 10.1%
Rydex Variable Trust -- Dynamic S&P 500 Fund 9.6%
Rydex Variable Trust -- Real Estate Fund 8.1%
Rydex Variable Trust -- Government Long Bond Advantage Fund 6.8%
Rydex Variable Trust -- Absolute Return Strategies Fund 6.3%
Rydex Variable Trust -- Multi-Cap Core Equity Fund 6.0%
Rydex Variable Trust -- Russell 2000(R) Advantage Fund 5.7%
Rydex Variable Trust -- Commodities Fund 4.8%
- --------------------------------------------------------------------------------
Top Ten Total 86.6%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative instruments.
8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 98.9%
Rydex Variable Trust -
Government Long Bond
Advantage Fund+ 7,997 $ 92,440
Rydex Variable Trust - U.S.
Government Money
Market Fund+ 78,039 78,039
Rydex Variable Trust - Absolute
Return Strategies Fund+ 2,401 62,914
Rydex Variable Trust - Europe
Advantage Fund+ 1,747 51,708
Rydex Variable Trust - Multi-Cap
Core Equity Fund+ 1,550 44,338
Rydex Variable Trust - Real Estate
Fund+ 360 18,090
Rydex Variable Trust -
Commodities Fund*+ 842 15,275
Rydex Variable Trust - Small-Cap
Value Fund+ 462 13,208
Rydex Variable Trust - Large-Cap
Value Fund+ 377 11,967
Rydex Variable Trust - Sector
Rotation Fund+ 827 11,145
Rydex Variable Trust - Hedged
Equity Fund+ 357 9,404
Rydex Variable Trust - Large-Cap
Growth Fund+ 352 9,386
Rydex Variable Trust - Mid-Cap
Growth Fund+ 319 9,365
------------
TOTAL MUTUAL FUNDS
(Cost $430,362) 427,279
------------
TOTAL INVESTMENTS 98.9%
(Cost $430,362) $ 427,279
============
OTHER ASSETS IN
EXCESS OF LIABILITIES - 1.1% $ 4,709
============
NET ASSETS - 100.0% $ 431,988
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO MODERATE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 98.9%
Rydex Variable Trust - Europe
Advantage Fund+ 22,919 $ 678,409
Rydex Variable Trust -
Government Long Bond
Advantage Fund+ 32,829 379,499
Rydex Variable Trust - Absolute
Return Strategies Fund+ 14,180 371,522
Rydex Variable Trust - Japan
Advantage Fund+ 12,296 333,603
Rydex Variable Trust - Multi-Cap
Core Equity Fund+ 11,475 328,185
Rydex Variable Trust -
OTC Fund*+ 17,390 267,625
Rydex Variable Trust - Real
Estate Fund+ 4,856 244,010
Rydex Variable Trust -
Nova Fund+ 21,579 217,728
Rydex Variable Trust -
Commodities Fund*+ 10,805 196,102
Rydex Variable Trust - Russell
2000(R) Advantage Fund+ 2,250 92,583
Rydex Variable Trust -
Large-Cap Value Fund+ 2,508 79,690
Rydex Variable Trust -
Small-Cap Value Fund+ 2,532 72,421
Rydex Variable Trust - Sector
Rotation Fund+ 5,156 69,448
Rydex Variable Trust - Mid-Cap
Growth Fund+ 2,354 69,034
Rydex Variable Trust - Mid-Cap
Value Fund+ 3,081 68,953
------------
TOTAL MUTUAL FUNDS
(Cost $3,541,355) 3,468,812
------------
TOTAL INVESTMENTS 98.9%
(Cost $3,541,355) $ 3,468,812
============
OTHER ASSETS IN
EXCESS OF LIABILITIES - 1.1% $ 38,876
============
NET ASSETS - 100.0% $ 3,507,688
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MUTUAL FUNDS 98.2%
Rydex Variable Trust - Japan
Advantage Fund+ 3,700 $ 100,382
Rydex Variable Trust - Europe
Advantage Fund+ 1,965 58,172
Rydex Variable Trust - Dynamic
OTC Fund+ 2,332 54,711
Rydex Variable Trust - Dynamic
S&P 500 Fund+ 2,396 52,027
Rydex Variable Trust - Real
Estate Fund+ 877 44,057
Rydex Variable Trust - Government
Long Bond Advantage Fund+ 3,186 36,825
Rydex Variable Trust - Absolute
Return Strategies Fund+ 1,307 34,236
Rydex Variable Trust - Multi-Cap
Core Equity Fund+ 1,136 32,497
Rydex Variable Trust - Russell
2000(R) Advantage Fund+ 747 30,718
Rydex Variable Trust -
Commodities Fund*+ 1,435 26,052
Rydex Variable Trust - Sector
Rotation Fund+ 1,430 19,267
Rydex Variable Trust - Small-Cap
Value Fund+ 410 11,726
Rydex Variable Trust - Large-Cap
Growth Fund+ 400 10,684
Rydex Variable Trust - Mid-Cap
Growth Fund+ 363 10,639
Rydex Variable Trust - Small-Cap
Growth Fund+ 355 10,630
------------
TOTAL MUTUAL FUNDS
(Cost $550,671) 532,623
------------
TOTAL INVESTMENTS 98.2%
(Cost $550,671) $ 532,623
============
OTHER ASSETS IN
EXCESS OF LIABILITIES - 1.8% $ 9,814
============
NET ASSETS - 100.0% $ 542,437
* NON-INCOME PRODUCING SECURITY.
+ AFFILIATED FUND
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11
STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1 and 2) $ 427,279 $ 3,468,812 $ 532,623
Cash 662 -- --
Receivable for Securities Sold (Note 1) 4,000 40,000 10,000
Investment Income Receivable (Note 1) 70 -- --
- ---------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 432,011 3,508,812 542,623
===============================================================================================================
LIABILITIES
Payable for Fund Shares Redeemed 23 121 16
Cash Due to Custodian Bank -- 1,003 170
- ---------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 23 1,124 186
===============================================================================================================
NET ASSETS $ 431,988 $ 3,507,688 $ 542,437
===============================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 433,469 $ 3,567,094 $ 557,616
Undistributed Net Investment Income 108 -- --
Accumulated Net Realized Gain on Investments 1,494 13,137 2,869
Net Unrealized Depreciation on Investments (3,083) (72,543) (18,048)
===============================================================================================================
NET ASSETS $ 431,988 $ 3,507,688 $ 542,437
===============================================================================================================
SHARES OUTSTANDING 17,216 140,231 22,159
NET ASSET VALUES $ 25.09 $ 25.01 $ 24.48
* THE COST OF SECURITIES AT VALUE IS $430,362, $3,541,355 AND $550,671,
RESPECTIVELY.
12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
STATEMENTS OF OPERATIONS Year Ended December 31, 2006
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND* FUND* FUND*
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends from Affiliates (Note 1) $ 5,449 $ 93,522 $ 26,166
- -----------------------------------------------------------------------------------------------------------------------------
Total Income 5,449 93,522 26,166
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES
Custody Fees -- 16 --
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses -- 16 --
- -----------------------------------------------------------------------------------------------------------------------------
Net Investment Income 5,449 93,506 26,166
=============================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain on:
Affiliated Investment Securities 1,713 14,227 3,402
- -----------------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain 1,713 14,227 3,402
- -----------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Affiliated Investment Securities (3,083) (72,543) (18,048)
- -----------------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) (3,083) (72,543) (18,048)
- -----------------------------------------------------------------------------------------------------------------------------
Net Loss on Investments (1,370) (58,316) (14,646)
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,079 $ 35,190 $ 11,520
- -----------------------------------------------------------------------------------------------------------------------------
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006* 2006* 2006*
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income $ 5,449 $ 93,506 $ 26,166
Net Realized Gain on Investments 1,713 14,227 3,402
Net Change in Unrealized Appreciation (Depreciation)
on Investments (3,083) (72,543) (18,048)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,079 35,190 11,520
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1)
Net Investment Income (5,341) (93,392) (26,105)
Realized Gain on Investment (219) (1,204) (594)
- -------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (5,560) (94,596) (26,699)
=========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 428,198 3,481,200 592,929
VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 5,560 94,596 26,699
COST OF SHARES REDEEMED (289) (8,702) (62,012)
=========================================================================================================================
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 433,469 3,567,094 557,616
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 431,988 3,507,688 542,437
NET ASSETS--BEGINNING OF PERIOD -- -- --
=========================================================================================================================
NET ASSETS--END OF PERIOD $ 431,988 $ 3,507,688 $ 542,437
=========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 108 $ -- $ --
=========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
14 | THE RYDEX VARIABLE TRUST 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
INCREASE
IN
NET REALIZED NET ASSET DISTRIBUTIONS
NET ASSET AND VALUE DISTRIBUTIONS FROM NET
VALUE, NET UNREALIZED RESULTING FROM NET REALIZED
BEGINNING INVESTMENT LOSSES ON FROM INVESTMENT CAPITAL TOTAL
YEAR ENDED OF PERIOD INCOME+ SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
DECEMBER 31, 2006* $25.00 $ .45 $ (.02) $.43 $ (.33) $ (.01) $ (.34)
ESSENTIAL PORTFOLIO MODERATE FUND
DECEMBER 31, 2006* 25.00 1.35 (.61) .74 (.72) (.01) (.73)
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
DECEMBER 31, 2006* 25.00 1.85 (1.10) .75 (1.24) (.03) (1.27)
RATIOS TO
AVERAGE NET ASSETS:
-------------------
NET
INCREASE NET
(DECREASE) ASSET NET ASSETS,
IN NET VALUE, TOTAL NET PORTFOLIO END OF
ASSET END OF INVESTMENT TOTAL INVESTMENT TURNOVER PERIOD (000'S
YEAR ENDED VALUE PERIOD RETURN EXPENSES++ INCOME** RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND
DECEMBER 31, 2006* $ .09 $25.09 1.71% -- 9.77% 18% $ 432
ESSENTIAL PORTFOLIO MODERATE FUND
DECEMBER 31, 2006* .01 25.01 2.98% -- 28.35% 20% 3,508
ESSENTIAL PORTFOLIO AGGRESSIVE FUND
DECEMBER 31, 2006* (.52) 24.48 3.02% -- 39.87% 34% 542
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
** INCOME RATIOS FOR THE YEAR ENDED DECEMBER 31, 2006 WERE CALCULATED FOR AN
ABBREVIATED TIME FRAME AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE,
AND ARE 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.
++ 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 1.44%, 1.53%, AND 1.58%, RESPECTIVELY.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Rydex Variable Trust (the "Trust "), a Delaware business 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. At December 31, 2006, the
Trust consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one
Money Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund,
nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds, and
three CLS AdvisorOne Funds. This report covers the Essential Portfolio Funds
(the "Funds"), while the Benchmark Funds, the Absolute Return Strategies Fund,
the Hedged Equity Fund, the Money Market Fund, Sector Funds, the Strategic Funds
and the CLS AdvisorOne Funds are contained in separate reports. Rydex
Investments (the "Advisor") serves as the investment advisor to the Funds and is
responsible for the Funds' overall administration. Rydex Distributors, Inc. (the
"Distributor ") acts as principal underwriter for the Trust.
SIGNIFICANT ACCOUNTING POLICIES
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.
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 underlying 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 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 and currency index swap agreements entered
into by an underlying 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 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 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
16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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. 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.
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 underlying fund'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 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, equity index, or credit default 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 credit default. 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 Commodities Fund ceased investing 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
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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. Bank. 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.
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
18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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.
There are several risks associated with credit default swaps. Credit default
swaps involve the exchange of a fixed-rate premium for protection against the
loss in value of an underlying debt instrument in the event of a defined credit
event (such as payment default or bankruptcy). Under the terms of the swap, one
party acts as a "guarantor," receiving a periodic payment that is a fixed
percentage applied to a notional principal amount. In return, the party agrees
to purchase the notional amount of the underlying instrument, at par, if a
credit event occurs during the term of the swap. The underlying fund may enter
into credit default swaps in which the underlying fund or its counterparty act
as guarantors. By acting as the guarantor of a swap, the underlying fund assumes
the market and credit risk of the underlying instrument, including liquidity and
loss of value. Interest rate swap contracts involve the exchange of commitments
to pay and receive interest based on a notional principal amount. 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. 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.
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.
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 RYDEX VARIABLE TRUST ANNUAL REPORT | 19
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of Subchapter M of the Internal
Revenue Code and will distribute substantially 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 may
include net operating losses not utilized during the current period and the
expiration of capital loss carryforward. 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.
The Fund's tax basis capital gains and losses are determined only at the end of
each fiscal year. Tax basis capital losses in excess of capital gains are
carried forward to offset future net capital gains.
The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------
Essential Portfolio Conservative Fund $ 5,560 $ -- $ 5,560
Essential Portfolio Moderate Fund 93,506 1,090 94,596
Essential Portfolio Aggressive Fund 26,166 533 26,699
The tax character of distributable earnings/(accumulated losses) at December 31,
2006, was a follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM NET UNREALIZED CAPITAL LOSS
FUND INCOME CAPITAL GAIN DEPRECIATION CARRYFORWARD
- ----------------------------------------------------------------------------------------------------
Essential Portfolio Conservative Fund $ 15 $ 2,009 $ (3,505) $ --
Essential Portfolio Moderate Fund -- 17,155 (76,561) --
Essential Portfolio Aggressive Fund -- 4,440 (19,619) --
At December 31, 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 LOSS
- ----------------------------------------------------------------------------------------------------
Essential Portfolio Conservative Fund $ 430,784 $ 1,224 $ (4,729) $ (3,505)
Essential Portfolio Moderate Fund 3,545,373 7,691 (84,252) (76,561)
Essential Portfolio Aggressive Fund 522,242 1,358 (20,977) (19,619)
5. SECURITIES TRANSACTIONS
During the year ended December 31, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
ESSENTIAL ESSENTIAL ESSENTIAL
PORTFOLIO PORTFOLIO PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------
Purchases $ 486,335 $ 3,947,338 $ 680,165
Sales $ 55,770 $ 403,075 $ 128,421
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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 year presented were:
PURCHASED THROUGH NET SHARES
SHARES PURCHASED DIVIDEND REINVESTMENT SHARES REDEEMED PURCHASED
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2006 2006 2006
- ----------------------------------------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO CONSERVATIVE FUND* 17,005 222 (11) 17,216
ESSENTIAL PORTFOLIO MODERATE FUND* 136,774 3,802 (345) 140,231
ESSENTIAL PORTFOLIO AGGRESSIVE FUND* 23,487 1,098 (2,426) 22,159
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
7. NEW ACCOUNTING PRONOUNCEMENTS
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 on the financial statements
has not yet been determined.
On September 15, 2006, the FASB released Statement Financial Accounting Standard
No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for
using fair value to measure assets and liabilities. The standard requires
companies to provide expanded information about the assets and liabilities
measured at fair value and the potential effect of these fair valuations on an
entity's financial performance. The standard does not expand the use of fair
value in any new circumstances, but provides clarification on acceptable fair
valuation methods and applications. Adoption of FAS 157 is required for fiscal
years beginning after November 15, 2007. The standard is not expected to
materially impact the Funds' financial statements.
22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Essential Portfolio Conservative
Fund, Essential Portfolio Moderate Fund, and Essential Portfolio Aggressive Fund
(three of the funds of the Rydex Variable Trust, hereafter referred to as the
"Funds") at December 31, 2006, and the results of each of their operations, the
changes in each of their net assets and the financial highlights for the periods
presented, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 2006 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 23, 2007
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
TAX INFORMATION
This information is being provided as required by the Internal Revenue Code.
Amounts shown may differ from those elsewhere in the report because of
differences in tax and financial reporting practices.
The Funds' distributions to shareholders included:
ESSENTIAL ESSENTIAL ESSENTIAL
PORTFOLIO PORTFOLIO PORTFOLIO
CONSERVATIVE MODERATE AGGRESSIVE
FUND FUND FUND
- -------------------------------------------------------------------------------------------------
From short-term capital gains: $ 219 $ 1,204 $ 594
From long-term capital gains,
subject to the 15% rate gains category: -- 1,090 533
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 Variable Trust 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
Variable Trust (the "Trust") and PADCO Advisors II, 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 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:
24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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 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.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25
OTHER INFORMATION (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
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 the
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.
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.
26 | THE RYDEX VARIABLE TRUST 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 146
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 Investments and Rydex Distributors, Inc. (2003 to present);
Executive Vice President of Rydex Investments (2000 to 2003)
--------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 146
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); 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 Investments (2004 to present); Chief
Operating Officer of Rydex Investments 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 139
Trustee, Chairman of the Board Rydex Variable Trust - 1998
(1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
--------------------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 139
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner
and President of Schield Management Company, registered investment adviser (2005
to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
--------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 139
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 VARIABLE TRUST ANNUAL REPORT | 27
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 139
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 139
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 139
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 139
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 Investments
(2003 to present); Vice President and Treasurer of Rydex Capital
Partners SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Investments (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 Investments
(2000 to present); Secretary of Rydex Capital Partners SPhinX
Fund (2003 to 2006)
* 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.
28 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------- ---------------------------
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 Investments (2004 to present); Director of Accounting of
Rydex Investments (2003 to 2004); Vice President of Mutual
Funds, State Street Bank & Trust (2000 to 2003)
PAULA BILLOS* Controller of the Rydex Series Funds, Rydex Variable Trust, Rydex
Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund
Administration of Rydex Investments (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 VARIABLE TRUST ANNUAL REPORT | 29
[LOGO] RYDEXINVESTMENTS
ESSENTIAL FOR MODERN MARKETS(TM)
9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800.820.0888
RVAEP-2-1206x1207
DECEMBER 31, 2006
RYDEX VARIABLE TRUST
CLS ADVISORONE FUNDS ANNUAL REPORT
AMERIGO FUND
CLERMONT FUND
BEROLINA 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
PERFORMANCE REPORTS AND FUND PROFILES ..................................... 5
SCHEDULES OF INVESTMENTS .................................................. 8
STATEMENTS OF ASSETS AND LIABILITIES ...................................... 11
STATEMENTS OF OPERATIONS .................................................. 12
STATEMENTS OF CHANGES IN NET ASSETS ....................................... 13
FINANCIAL HIGHLIGHTS ...................................................... 14
NOTES TO FINANCIAL STATEMENTS ............................................. 15
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 22
OTHER INFORMATION ......................................................... 23
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 25
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
In many ways, 2006 was a surprising year for investors. Equity markets turned in
an unexpectedly strong performance, based in large part on a powerful year-end
rally. For much of 2006, stock prices were kept in check by inflation and
interest rate concerns. One of the most noteworthy developments of the year was
that the Federal Reserve ("Fed") called a halt to its two-year interest rate
raising campaign in an effort to see if the 17 consecutive increases in
short-term rates enacted over the prior two years had been enough to slow
economic growth and cool inflationary pressures.
Throughout 2006, stock prices reacted to two major inputs--the price of oil and
the direction of future interest rate policy. The pause in interest rate hikes
by the Fed changed the debate from when would they stop to when will they ease.
Oil prices, which had been on a relentless climb going back to the days prior to
hurricane Katrina, finally broke after a first-half rally brought the price of
oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower
than where it began at $61/barrel.
Underlying this was the hope that the economy would achieve a soft
landing--slowing enough to give the Fed latitude to ease, but not enough to tip
the economy into recession. The major risk in 2006 was housing. As the housing
"bubble" burst, it had--and still has--the potential to pull the economy into
recession. Stock price behavior, particularly in the fourth quarter, indicates
that most observers believed the economy has dodged that bullet.
Stocks rallied modestly at the beginning of 2006 then pulled back in the
May-July period on concerns about inflationary pressures and additional rate
hikes by the Fed. With the economy slowing and inflationary pressures easing,
markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones
Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains,
respectively, on a total return basis for the year.
Although it was a bit of a seesaw battle, investors expressed a preference for
small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%,
beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value
battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46%
compared to 9.15% for the Russell 1000(R) Growth Index.
In this buoyant environment, all 10 S&P 500 sector indices turned in positive
performances. In fact, only two indices in this series--health care and
information technology--did not achieve double-digit returns. The standout
performer was telecommunications, which rose a stunning 36.74%. The S&P Energy
Index, riding the wave of record global economic growth, rose 24.21%, followed
by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly
inexhaustible propensity for consumers to spend.
Interest rates rose modestly in 2006 as the yield curve inverted, indicating
that fixed-income investors anticipate a significant economic slowdown going
forward.
Looking into 2007, we think it is likely that economic growth will be slower but
not recessionary. In that environment we expect stocks to cool off, if not
retreat a bit. That should give the Fed room to ease interest rates, which
should push stock prices up again. We do not, however, expect those conditions
to unfold until the second half of 2007.
Thank you for placing your trust in Rydex Investments.
Sincerely,
/s/David C. Reilly
David C. Reilly, CFA
Director of Investment Strategy
2 | THE RYDEX VARIABLE TRUST 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 June 30, 2006 and
ending December 31, 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.
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 the Fund. 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 up to 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 VARIABLE TRUST ANNUAL REPORT | 3
ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED)
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING
RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD*
- ----------------------------------------------------------------------------------------------------------
TABLE 1. BASED ON ACTUAL FUND RETURN
Amerigo Fund 1.63% $ 1,000.00 $ 1,123.00 $ 8.72
Clermont Fund 1.63% 1,000.00 1,083.40 8.56
Berolina Fund** 1.63% 1,000.00 1,029.60 2.27
- ----------------------------------------------------------------------------------------------------------
TABLE 2. BASED ON HYPOTHETICAL 5% RETURN
Amerigo Fund 1.63% 1,000.00 1,016.88 8.32
Clermont Fund 1.63% 1,000.00 1,016.88 8.32
Berolina Fund** 1.63% 1,000.00 1,016.88 8.32
* 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. EXPENSES
SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES.
** SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006.
+ ANNUALIZED
4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)
- --------------------------------------------------------------------------------
AMERIGO FUND
OBJECTIVE: Amerigo seeks capital appreciation and long-term growth of capital
without regard to current income. The fund pursues its investment objective by
investing primarily in exchange traded funds ("ETFs"), closed-end investment
companies and individual securities.
INCEPTION: July 1, 2003
Over the past year, Amerigo returned +12.30%. Over this same period, Amerigo's
performance benchmark, the S&P 500 Index, had a total return of +15.79%.
Underperformance during the third quarter was not entirely offset by the fund's
outperformance during the fourth quarter of 2006. The key characteristic of this
one year period was the dramatic change in investor behavior from that of risk
aversion back to risk seeking with the markets reaching their low point during
July and their highs during December.
As risk once again began to be rewarded, the asset classes that showed
outperformance also began to change. As a result, several portfolio changes were
made during the year. Specifically, cash was reduced from approximately 16% of
the portfolio to less than 3%. Exposure to the technology sector, which was
previously underweighted relative to the S&P 500 Index, was changed to
overweight. Additionally, the overall market capitalization of the portfolio was
reduced, with additional investment being made to domestic small and mid-cap
securities. Over this same period of time, positions in consumer staples and
energy sectors were reduced. Positions in the large-cap value and large-cap
blend asset classes were also reduced.
CUMULATIVE FUND PERFORMANCE:
JULY 1, 2003 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE AMERIGO FUND S&P 500 INDEX
7/1/2003 10,000 10,000
7/31/2003 10,040 10,094
8/31/2003 10,368 10,290
9/30/2003 10,316 10,181
10/31/2003 10,952 10,757
11/30/2003 11,084 10,852
12/31/2003 11,596 11,421
1/31/2004 11,812 11,631
2/29/2004 12,012 11,792
3/31/2004 12,016 11,614
4/30/2004 11,476 11,432
5/31/2004 11,536 11,589
6/30/2004 11,764 11,814
7/31/2004 11,324 11,423
8/31/2004 11,424 11,469
9/30/2004 11,617 11,594
10/31/2004 11,845 11,771
11/30/2004 12,433 12,247
12/31/2004 12,882 12,664
1/31/2005 12,586 12,355
2/28/2005 13,014 12,615
3/31/2005 12,662 12,392
4/30/2005 12,381 12,157
5/31/2005 12,714 12,543
6/30/2005 12,786 12,561
7/31/2005 13,362 13,028
8/31/2005 13,318 12,910
9/30/2005 13,652 13,014
10/31/2005 13,247 12,797
11/30/2005 13,806 13,281
12/31/2005 14,082 13,286
1/31/2006 14,742 13,638
2/28/2006 14,661 13,675
3/31/2006 14,843 13,845
4/30/2006 15,045 14,031
5/31/2006 14,430 13,627
6/30/2006 14,337 13,645
7/31/2006 14,248 13,729
8/31/2006 14,547 14,056
9/30/2006 14,770 14,418
10/31/2006 15,252 14,888
11/30/2006 15,669 15,171
12/31/2006 15,819 15,384
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (07/01/03)
- --------------------------------------------------------------------------------
AMERIGO FUND 12.30% 13.99%
S&P 500 INDEX 15.79% 13.09%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INDUSTRIES AMERIGO FUND
- -------------------------------------------------------------
Common Stock 1.3%
Exchange Traded Funds 96.2%
Money Market Mutual Funds 2.3%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------------------------------
Nasdaq-100 Index Tracking Stock 14.8%
iShares Russell 1000 Growth Index Fund 13.5%
iShares MSCI EAFE Index Fund 8.8%
Vanguard Mid-Cap 8.0%
SPDR Trust Series 1 7.3%
iShares MSCI Emerging Markets Index Fund 5.8%
Vanguard Value 4.6%
iShares Russell Midcap Growth Index Fund 4.4%
iShares Russell 1000 Value Index Fund 4.2%
iShares Russell 2000 Index Fund 4.0%
- --------------------------------------------------------------------------------
Top Ten Total 75.4%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED)
- --------------------------------------------------------------------------------
CLERMONT FUND
OBJECTIVE: The investment objective of Clermont is a combination of current
income and growth of capital. Clermont invests primarily in equity ETFs,
closed-end investment companies, individual common stock and fixed-income
securities. Typically, Clermont invests approximately 45% of its portfolio in
equities and 55% in fixed-income securities. By prospectus, at least 20% of
total assets must be invested in fixed-income securities.
INCEPTION: July 1, 2003
Clermont, a conservative balanced fund, for the year ending December 31, 2006,
rose +8.34% as compared to the fund's benchmark, which had a total return of
+9.42%. The blended index used for this comparison was comprised of 45% of the
total return of the S&P 500 Index and 55% of the return of the Lehman Brothers
1-5 Year Government Credit Index. Underperformance during the third quarter was
not entirely offset by the fund's outperformance during the fourth quarter of
2006.
As the summer progressed, investor behavior became less risk averse and stocks
began to outperform fixed-income securities. During this period of time,
Clermont's equity exposure was increased in an effort to "overweight" equities
and "underweight" fixed-income securities to take advantage of this trend
change. Positions in large-cap value and large-cap blend were reduced with
modest increases in technology and international equities.
CUMULATIVE FUND PERFORMANCE:
JULY 1, 2003 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE CLERMONT FUND S&P 500 INDEX
7/1/2003 10,000 10,000
7/31/2003 9,748 10,094
8/31/2003 9,880 10,290
9/30/2003 10,056 10,181
10/31/2003 10,288 10,757
11/30/2003 10,424 10,852
12/31/2003 10,820 11,421
1/31/2004 10,940 11,631
2/29/2004 11,096 11,792
3/31/2004 11,176 11,614
4/30/2004 10,732 11,432
5/31/2004 10,788 11,589
6/30/2004 10,884 11,814
7/31/2004 10,740 11,423
8/31/2004 10,840 11,469
9/30/2004 10,904 11,594
10/31/2004 11,016 11,771
11/30/2004 11,245 12,247
12/31/2004 11,457 12,664
1/31/2005 11,305 12,355
2/28/2005 11,469 12,615
3/31/2005 11,289 12,392
4/30/2005 11,201 12,157
5/31/2005 11,329 12,543
6/30/2005 11,373 12,561
7/31/2005 11,610 13,028
8/31/2005 11,590 12,910
9/30/2005 11,720 13,014
10/31/2005 11,489 12,797
11/30/2005 11,732 13,281
12/31/2005 11,902 13,286
1/31/2006 12,246 13,638
2/28/2006 12,210 13,675
3/31/2006 12,331 13,845
4/30/2006 12,432 14,031
5/31/2006 12,149 13,627
6/30/2006 12,064 13,645
7/31/2006 12,076 13,729
8/31/2006 12,234 14,056
9/30/2006 12,364 14,418
10/31/2006 12,602 14,888
11/30/2006 12,805 15,171
12/31/2006 12,899 15,384
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
ONE INCEPTION
YEAR (07/01/03)
- --------------------------------------------------------------------------------
CLERMONT FUND 8.34% 7.54%
S&P 500 INDEX 15.79% 13.09%
SYNTHETIC BALANCED BENCHMARK* 9.42% 28.02%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
* BENCHMARK REFLECTS A 45/55 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX
AND THE LEHMAN BROTHERS 1-5 YEAR GOVERNMENT CREDIT INDEX.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
INDUSTRIES CLERMONT FUND
- -------------------------------------------------------------
Common Stock 1.3%
Exchange Traded Funds 74.2%
Money Market Mutual Fund 22.3%
Mutual Funds 2.1%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------------------------------
First American Prime Obligations Fund 22.3%
iShares Russell 1000 Value Index Fund 11.5%
iShares Lehman Aggregate Bond Fund 10.4%
SPDR Trust Series 1 9.9%
iShares MSCI EAFE Index Fund 8.4%
Vanguard Mid-Cap 7.8%
iShares Lehman 7-10 Year Treasury Bond Fund 5.2%
iShares Russell 1000 Growth Index Fund 4.5%
iShares Morningstar Mid Core Index Fund 3.0%
Vanguard Consumer Staples 2.7%
- --------------------------------------------------------------------------------
Top Ten Total 85.7%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONCLUDED)
- --------------------------------------------------------------------------------
BEROLINA FUND
OBJECTIVE: The investment objective of Berolina is a combination of growth of
capital and total return. Berolina invests primarily in equity ETFs, closed-end
investment companies, individual common stock and fixed-income securities.
Typically, Berolina invests approximately 75% of its portfolio in equities and
25% in fixed-income securities.
INCEPTION: November 10, 2006
Since its inception, Berolina gained +2.96%. Over this same period, Berolina's
performance benchmark generated a total return of +2.37%. The blended index used
for this comparison was comprised of 75% of the total return of the S&P 500
Index and 25% of the return of the Lehman Brothers 1-5 Year Government Credit
Index.
The key drivers of Berolina's performance over this brief period of time were an
overweighting of equities and underweighting of fixed-income securities as well
as the Fund's significant position in international securities, particularly
Latin American. The overall market cap of Berolina's portfolio is less than that
of its equity benchmark, the S&P 500 Index.
CUMULATIVE FUND PERFORMANCE:
NOVEMBER 10, 2006 - DECEMBER 31, 2006
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.]
DATE BEROLINA FUND S&P 500 INDEX
11/10/2006 10,000 10,000
11/11/2006 10,000 10,000
11/12/2006 10,000 10,000
11/13/2006 10,000 10,028
11/14/2006 10,028 10,093
11/15/2006 10,096 10,119
11/16/2006 10,092 10,143
11/17/2006 10,068 10,153
11/18/2006 10,068 10,153
11/19/2006 10,068 10,153
11/20/2006 10,088 10,148
11/21/2006 10,124 10,166
11/22/2006 10,164 10,190
11/23/2006 10,164 10,190
11/24/2006 10,140 10,154
11/25/2006 10,140 10,154
11/26/2006 10,140 10,154
11/27/2006 9,976 10,016
11/28/2006 10,008 10,053
11/29/2006 10,108 10,150
11/30/2006 10,168 10,158
12/1/2006 10,116 10,130
12/2/2006 10,116 10,130
12/3/2006 10,116 10,130
12/4/2006 10,228 10,220
12/5/2006 10,276 10,261
12/6/2006 10,248 10,251
12/7/2006 10,228 10,210
12/8/2006 10,212 10,229
12/9/2006 10,212 10,229
12/10/2006 10,212 10,229
12/11/2006 10,232 10,252
12/12/2006 10,204 10,242
12/13/2006 10,220 10,256
12/14/2006 10,300 10,346
12/15/2006 10,304 10,357
12/16/2006 10,304 10,357
12/17/2006 10,304 10,357
12/18/2006 10,252 10,324
12/19/2006 10,248 10,347
12/20/2006 10,252 10,332
12/21/2006 10,224 10,297
12/22/2006 10,187 10,243
12/23/2006 10,187 10,243
12/24/2006 10,187 10,243
12/25/2006 10,187 10,243
12/26/2006 10,244 10,288
12/27/2006 10,336 10,362
12/28/2006 10,320 10,347
12/29/2006 10,296 10,301
12/30/2006 10,296 10,301
12/31/2006 10,296 10,301
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06
- --------------------------------------------------------------------------------
SINCE
INCEPTION
(11/10/06)
- --------------------------------------------------------------------------------
BEROLINA FUND 2.96%
S&P 500 INDEX 3.01%
SYNTHETIC BALANCED BENCHMARK* 2.37%
- --------------------------------------------------------------------------------
THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED
STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING
EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE
CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS.
* BENCHMARK REFLECTS A 75/25 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX
AND THE LEHMAN BROTHERS 1-5 YEAR GOVERNMENT CREDIT INDEX.
INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS)
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
SOI HOLDINGS
DIVERSIFICATION
(MARKET EXPOSURE
AS % OF NET
INDUSTRIES ASSETS)
- ------------------------------------------------------------- [QUERY]
Exchange Traded Funds 96.1%
Money Market Mutual Funds 3.9%
"Industry Diversification (Market Exposure as % of Net Assets)" excludes any
temporary cash investments.
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
iShares MSCI Emerging Markets Index Fund 8.6%
iShares S&P Latin America 40 Index Fund 8.5%
iShares Russell 2000 Index Fund 7.8%
SPDR Trust Series 1 6.1%
Nasdaq-100 Index Tracking Stock 5.8%
Consumer Staples Select Sector SPDR Fund 5.1%
iShares Russell Midcap Index Fund 5.0%
iShares MSCI EAFE Index Fund 4.4%
DIAMONDS Trust Series I 4.4%
iShares Russell 1000 Growth Index Fund 4.1%
- --------------------------------------------------------------------------------
Top Ten Total 59.8%
- --------------------------------------------------------------------------------
"Ten Largest Holdings" exclude any temporary cash or derivative investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
AMERIGO FUND
- -------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 1.3%
Berkshire Hathaway, Inc. --
Class A*+ 32 $ 3,519,680
---------------
TOTAL COMMON STOCKS
(Cost $2,885,808) 3,519,680
---------------
EXCHANGE TRADED FUNDS 96.2%
Nasdaq-100 Index Tracking Stock+ 957,000 41,304,120
iShares Russell 1000 Growth
Index Fund+ 684,000 37,620,000
iShares MSCI EAFE Index Fund+ 335,000 24,542,100
Vanguard Mid-Cap 310,000 22,471,900
SPDR Trust Series 1+ 143,000 20,263,100
iShares MSCI Emerging Markets
Index Fund+ 143,000 16,326,310
Vanguard Value+ 190,000 12,948,500
iShares Russell Midcap Growth
Index Fund 120,000 12,378,000
iShares Russell 1000 Value Index
Fund+ 143,000 11,807,510
iShares Russell 2000 Index Fund+ 142,000 11,087,360
Financial Select Sector SPDR
Fund+ 271,000 9,956,540
iShares Russell Midcap Index
Fund+ 73,000 7,301,460
Materials Select Sector SPDR
Fund+ 191,000 6,662,080
Vanguard Pacific ETF+ 66,000 4,387,020
Industrial Select Sector SPDR
Fund+ 107,000 3,746,070
iShares MSCI Singapore Index
Fund 270,000 3,040,200
DIAMONDS Trust Series I 23,000 2,865,110
iShares MSCI Taiwan Index Fund,
Inc.+ 190,000 2,756,900
iShares MSCI Netherlands Index
Fund+ 100,000 2,626,000
Utilities Select Sector SPDR Fund+ 71,000 2,607,120
iShares MSCI Spain Index+ 48,000 2,569,920
iShares MSCI Germany Index
Fund+ 95,000 2,559,300
iShares MSCI Mexico Index Fund+ 48,000 2,446,560
iShares Dow Jones U.S. Healthcare
Sector Index Fund+ 34,000 2,257,940
Consumer Staples Select Sector
SPDR Fund+ 80,000 2,088,800
iShares S&P Global Healthcare
Sector Index Fund 5,000 285,900
---------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $236,400,430) 268,905,820
---------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
MUTUAL FUNDS 2.3%
First American Prime Obligations
Fund 6,475,169 $ 6,475,169
---------------
TOTAL MUTUAL FUNDS
(Cost $6,475,167) 6,475,169
---------------
FACE
AMOUNT
-------------
SECURITIES LENDING COLLATERAL 43.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 7) $ 121,267,270 121,267,270
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $121,267,270) 121,267,270
---------------
TOTAL INVESTMENTS 143.2%
(Cost $367,028,675) $ 400,167,939
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (43.2)% $ (120,757,932)
===============
NET ASSETS - 100.0% $ 279,410,007
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 - SEE
NOTE 7.
8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
CLERMONT FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 1.3%
Berkshire Hathaway, Inc. --
Class A*+ 12 $ 1,319,880
---------------
TOTAL COMMON STOCKS
(Cost $1,037,837) 1,319,880
---------------
EXCHANGE TRADED FUNDS 74.3%
iShares Russell 1000 Value Index
Fund+ 139,000 11,477,230
iShares Lehman Aggregate Bond
Fund+ 104,000 10,368,800
SPDR Trust Series 1+ 70,000 9,919,000
iShares MSCI EAFE Index Fund+ 114,000 8,351,640
Vanguard Mid-Cap+ 107,000 7,756,430
iShares Lehman 7-10 Year Treasury
Bond Fund+ 63,000 5,194,980
iShares Russell 1000 Growth
Index Fund+ 81,000 4,455,000
iShares Morningstar Mid Core
Index Fund+ 36,000 2,963,880
Vanguard Consumer Staples
VIPERs+ 43,000 2,743,400
Vanguard Health Care+ 44,000 2,507,120
iShares Morningstar Large Core
Index Fund+ 30,000 2,268,000
Nasdaq-100 Index Tracking Stock+ 46,000 1,985,360
iShares Russell 2000 Index Fund+ 18,000 1,405,440
Vanguard Small-Cap ETF 18,000 1,227,960
Vanguard Emerging Markets+ 10,000 773,900
Utilities Select Sector SPDR Fund+ 19,000 697,680
---------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $64,051,655) 74,095,820
---------------
MUTUAL FUNDS 24.4%
First American Prime Obligations
Fund 22,246,175 22,246,175
Van Kampen Senior Income Trust+ 235,000 2,070,350
---------------
TOTAL MUTUAL FUNDS
(Cost $24,213,351) 24,316,525
---------------
MARKET
FACE VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------
SECURITIES LENDING COLLATERAL 38.7%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 7) $ 38,663,265 $ 38,663,265
---------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $38,663,265) 38,663,265
---------------
TOTAL INVESTMENTS 138.7%
(Cost $127,966,108) $ 138,395,490
===============
LIABILITIES IN EXCESS OF
OTHER ASSETS - (38.7)% $ (38,586,626)
===============
NET ASSETS - 100.0% $ 99,808,864
* NON-INCOME PRODUCING SECURITY.
+ ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 - SEE
NOTE 7.
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9
SCHEDULE OF INVESTMENTS December 31, 2006
- --------------------------------------------------------------------------------
BEROLINA FUND
- --------------------------------------------------------------------------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS 96.1%
iShares MSCI Emerging Markets
Index Fund 15,000 $ 1,712,550
iShares S&P Latin America 40
Index Fund 10,000 1,699,000
iShares Russell 2000 Index Fund 20,000 1,561,600
SPDR Trust Series 1 8,600 1,218,620
Nasdaq-100 Index Tracking Stock 27,000 1,165,320
Consumer Staples Select Sector
SPDR Fund 39,000 1,018,290
iShares Russell Midcap Index Fund 10,000 1,000,200
iShares MSCI EAFE Index Fund 12,000 879,120
DIAMONDS Trust Series I 7,000 871,990
iShares Russell 1000 Growth
Index Fund 15,000 825,000
iShares MSCI Mexico Index
Fund 13,000 662,610
Vanguard Large-Cap ETF 10,000 629,500
Utilities Select Sector SPDR Fund 15,000 550,800
Vanguard Pacific ETF 8,000 531,760
iShares Russell 1000 Value Index
Fund 6,000 495,420
Vanguard Emerging Markets
VIPERs 6,000 464,340
Vanguard Mid-Cap 6,000 434,940
Industrial Select Sector SPDR Fund 11,000 385,110
iShares Lehman 20+ Year Treasury
Bond Fund 4,000 353,680
Materials Select Sector SPDR Fund 10,000 348,800
iShares Lehman 7-10 Year Treasury
Bond Fund 4,000 329,840
Technology Select Sector SPDR
Fund 14,000 325,920
streetTracks Gold Trust* 5,000 316,100
Energy Select Sector SPDR Fund 4,000 234,520
Vanguard Growth ETF 4,000 231,840
Vanguard Materials ETF 3,200 226,304
iShares MSCI Spain Index 4,000 214,160
iShares Lehman Aggregate Bond
Fund 2,000 199,400
Financial Select Sector SPDR Fund 3,700 135,938
Health Care Select Sector SPDR
Fund 4,000 133,960
iShares MSCI United Kingdom
Index Fund 2,000 46,800
---------------
TOTAL EXCHANGE TRADED FUNDS
(Cost $19,175,351) 19,203,432
---------------
MARKET
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
MUTUAL FUNDS 3.9%
First American Prime Obligations
Fund 785,537 $ 785,537
---------------
TOTAL MUTUAL FUNDS
(Cost $785,537) 785,537
---------------
TOTAL INVESTMENTS 100.0%
(Cost $19,960,888) $ 19,988,969
===============
OTHER ASSETS IN
EXCESS OF LIABILITIES - 0.0% $ 105
===============
NET ASSETS - 100.0% $ 19,989,074
* NON-INCOME PRODUCING SECURITY.
10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006
- --------------------------------------------------------------------------------
AMERIGO CLERMONT BEROLINA
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
ASSETS
Securities at Value* (Notes 1, 2 and 7) $ 400,167,939 $ 138,395,490 $ 19,988,969
Receivable for Fund Shares Sold 129,910 55,571 --
Investment Income Receivable (Note 1) 992,595 247,607 22,667
- -------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 401,290,444 138,698,668 20,011,636
===================================================================================================================
LIABILITIES
Payable upon Return of Securities Loaned (Note 7) 121,267,270 38,663,265 --
Payable for Fund Shares Redeemed 63,285 1,540 894
Investment Advisory Fees Payable (Note 3) 220,250 81,637 11,969
Transfer Agent and Administrative Fees Payable (Note 3) 61,181 22,677 3,325
Distribution and Service Fees Payable (Note 3) 61,181 22,677 3,325
Portfolio Accounting Fees Payable (Note 3) 23,834 9,071 1,330
Custody Fees Payable 6,363 2,358 346
Other Liabilities 177,073 86,579 1,373
- -------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 121,880,437 38,889,804 22,562
===================================================================================================================
NET ASSETS $ 279,410,007 $ 99,808,864 $ 19,989,074
===================================================================================================================
NET ASSETS CONSIST OF
Paid-In Capital $ 243,674,440 $ 87,978,592 $ 19,961,091
Undistributed Net Investment Income 1,327,583 724,615 --
Accumulated Net Realized Gain (Loss) on Investments 1,268,720 676,275 (98)
Net Unrealized Appreciation on Investments 33,139,264 10,429,382 28,081
===================================================================================================================
NET ASSETS $ 279,410,007 $ 99,808,864 $ 19,989,074
===================================================================================================================
SHARES OUTSTANDING 7,798,940 3,338,593 782,236
NET ASSET VALUES $ 35.83 $ 29.90 $ 25.55
* THE COST OF SECURITIES AT VALUE IS $367,028,675, $127,966,108 AND
$19,960,888, RESPECTIVELY.
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11
STATEMENTS OF OPERATIONS Year Ended December 31, 2006
- --------------------------------------------------------------------------------
AMERIGO CLERMONT BEROLINA
FUND FUND FUND*
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest (Note 1) $ 14 $ 76,033 $ --
Income from Securities Lending, net (Note 7) 371,921 145,263 --
Dividends (Note 1) 4,788,826 3,395,128 166,908
- -------------------------------------------------------------------------------------------------------------------
Total Income 5,160,761 3,616,424 166,908
- -------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees (Note 3) 2,106,722 1,032,384 12,234
Transfer Agent and Administrative Fees (Note 3) 585,201 286,773 3,398
Portfolio Accounting Fees (Note 3) 232,834 114,709 1,360
Trustees' Fees** 13,890 7,640 --
Service Fees (Note 3) 585,201 286,773 3,398
Custody Fees 55,581 27,128 346
Miscellaneous 254,307 123,649 1,380
- -------------------------------------------------------------------------------------------------------------------
Total Expenses 3,833,736 1,879,056 22,116
- -------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,327,025 1,737,368 144,792
===================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities 18,537,047 3,172,515 (98)
- -------------------------------------------------------------------------------------------------------------------
Total Net Realized Gain (Loss) 18,537,047 3,172,515 (98)
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities 8,752,483 4,410,733 28,081
- -------------------------------------------------------------------------------------------------------------------
Net Change in Unrealized Appreciation (Depreciation) 8,752,483 4,410,733 28,081
- -------------------------------------------------------------------------------------------------------------------
Net Gain on Investments 27,289,530 7,583,248 27,983
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 28,616,555 $ 9,320,616 $ 172,775
===================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006.
** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF
SECTION 2(a)(19) OF THE 1940 ACT.
12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
AMERIGO FUND CLERMONT FUND BEROLINA FUND
- ------------------------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005 2006*
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net Investment Income $ 1,327,025 $ 246,208 $ 1,737,368 $ 1,123,446 $ 144,792
Net Realized Gain (Loss) on
Investments 18,537,047 5,956,278 3,172,515 1,978,414 (98)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments 8,752,483 10,054,641 4,410,733 1,010,027 28,081
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 28,616,555 16,257,127 9,320,616 4,111,887 172,775
- ------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM: (NOTE 1)
Net Investment Income (246,208) (233,712) (2,136,199) (615,717) (146,400)
Realized Gain on Investment (22,917,409) (1,851,840) (4,371,169) (349,246) --
- ------------------------------------------------------------------------------------------------------------------------
Total Distributions to
Shareholders (23,163,617) (2,085,552) (6,507,368) (964,963) (146,400)
========================================================================================================================
SHARE TRANSACTIONS
PROCEEDS FROM SHARES PURCHASED 81,902,262 67,179,144 26,167,078 32,167,204 20,302,822
VALUE OF SHARES PURCHASED
THROUGH DIVIDEND REINVESTMENT 23,163,617 2,085,552 6,507,368 964,963 146,400
COST OF SHARES REDEEMED (27,601,568) (14,002,795) (44,346,226) (18,703,573) (486,523)
========================================================================================================================
NET INCREASE (DECREASE) IN NET
ASSETS FROM SHARE TRANSACTIONS 77,464,311 55,261,901 (11,671,780) 14,428,594 19,962,699
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS 82,917,249 69,433,476 (8,858,532) 17,575,518 19,989,074
NET ASSETS--BEGINNING OF PERIOD 196,492,758 127,059,282 108,667,396 91,091,878 --
========================================================================================================================
NET ASSETS--END OF PERIOD $ 279,410,007 $ 196,492,758 $ 99,808,864 $ 108,667,396 $ 19,989,074
========================================================================================================================
UNDISTRIBUTED NET INVESTMENT
INCOME--END OF PERIOD $ 1,327,583 $ 246,766 $ 724,615 $ 1,123,446 $ --
========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006.
See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13
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 DISTRIBUTIONS
NET ASSET AND NET INCREASE DISTRIBUTIONS FROM NET
VALUE, NET UNREALIZED IN NET ASSET FROM NET REALIZED
BEGINNING INVESTMENT GAINS VALUE RESULTING INVESTMENT CAPITAL
YEAR ENDED OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME GAINS
- -----------------------------------------------------------------------------------------------------------
AMERIGO FUND
DECEMBER 31, 2006 $34.78 $ .21 $ 4.06 $ 4.27 $ (.03) $ (3.19)
December 31, 2005 32.18 .05 2.94 2.99 (.04) (.35)
December 31, 2004 28.99 .08 3.13 3.21 (.02) --
December 31, 2003* 25.00 .07 3.92 3.99 -- --
CLERMONT FUND
DECEMBER 31, 2006 29.41 .46 1.98 2.44 (.64) (1.31)
December 31, 2005 28.57 .33 .78 1.11 (.17) (.10)
December 31, 2004 27.05 .32 1.27 1.59 (.07) --
December 31, 2003* 25.00 .29 1.76 2.05 -- --
BEROLINA FUND
DECEMBER 31, 2006* 25.00 .40 .34 .74 (.19) --
RATIOS TO
AVERAGE
NET ASSETS:
-----------
NET NET ASSET NET ASSETS,
INCREASE IN VALUE, TOTAL NET PORTFOLIO END OF
TOTAL NET ASSET END OF INVESTMENT TOTAL INVESTMENT TURNOVER PERIOD (000'S
YEAR ENDED DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES INCOME RATE*** OMITTED)
- ------------------------------------------------------------------------------------------------------------------------------
AMERIGO FUND
DECEMBER 31, 2006 $ (3.22) $ 1.05 $35.83 12.30% 1.64% 0.57% 299% $ 279,410
December 31, 2005 (.39) 2.60 34.78 9.35% 1.64% 0.15% 82% 196,493
December 31, 2004 (.02) 3.19 32.18 11.09% 1.63% 0.27% 149% 127,059
December 31, 2003* -- 3.99 28.99 15.96% 1.71%** 0.53%** 63% 45,839
CLERMONT FUND
DECEMBER 31, 2006 (1.95) .49 29.90 8.34% 1.63% 1.51% 197% 99,809
December 31, 2005 (.27) .84 29.41 3.92% 1.64% 1.15% 129% 108,667
December 31, 2004 (.07) 1.52 28.57 5.89% 1.63% 1.17% 124% 91,092
December 31, 2003* -- 2.05 27.05 8.20% 1.71%** 2.29%** 113% 22,277
BEROLINA FUND
DECEMBER 31, 2006* (.19) .55 25.55 2.96% 1.63%** 10.65%**++ 13% 19,989
* SINCE THE COMMENCEMENT OF OPERATIONS: JULY 1, 2003 -- AMERIGO FUND AND
CLERMONT FUND; NOVEMBER 10, 2006 -- BEROLINA FUND.
** 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.
++ INCOME RATIO FOR THE YEAR ENDED DECEMBER 31, 2006 WAS CALCULATED FOR AN
ABBREVIATED TIME FRAME AND IS NOT INDICATIVE OF FUTURE CLASS PERFORMANCE.
14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Rydex Variable Trust (the "Trust"), a Delaware business 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. At December 31, 2006, the Trust
consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money
Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund,
nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds, and
three CLS AdvisorOne Funds. This report covers the CLS AdvisorOne Funds (the
"Funds"), while the Benchmark Funds, the Absolute Return Strategies Fund, the
Hedged Equity Fund, the Money Market Fund, the Sector Funds, the Strategic Funds
and the Essential Portfolio Funds are contained in separate reports. Rydex
Investments (the "Advisor") serves as the investment advisor to the Funds and is
responsible for the Funds' overall administration. Clarke Lanzen Skalla
Investment Firm, LLC serves as investment sub-advisor to the Funds and is
responsible for the day-to-day management of each Fund's portfolio. Rydex
Distributors, Inc. (the "Distributor") acts as principal underwriter for the
Trust. The Trust offers shares of the Funds to insurance companies for their
variable annuity and variable life insurance contracts.
SIGNIFICANT ACCOUNTING POLICIES
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 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. 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 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.
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith by 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 and are determined in accordance with income
tax regulations which may differ from accounting principles generally accepted
in the United States of America. Net investment income and loss, net realized
gains and losses, and net assets are not affected by these differences.
D. 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.
A segregated account of cash and/or securities is maintained 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.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 Fund'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, 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, 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.
H. The Funds may also purchase American Depository Receipts, U.S. Government
securities, enter into repurchase agreements, and engage in futures, options and
swap transactions.
I. The Funds may leave cash overnight in their cash account with the custodian,
U.S. Bank. 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.
J. 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.
K. 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
16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 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, 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 the 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. 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.
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.
Each Fund operates primarily as a "fund of funds." In other words, each Fund
pursues its investment goal by investing primarily in ETFs, mutual funds, and
closed-end funds. In this report, the ETFs, mutual funds, and closed-end funds
in which the Funds invest are referred to as "underlying funds." In addition to
investing in underlying funds, each Fund may invest a portion of its assets
directly in individual securities or in derivatives, such as options and
futures.
The Funds invest in underlying funds that invest primarily in common stock or
securities convertible into or exchangeable for common stock, such as
convertible preferred stock, convertible debentures, warrants, options, and
bonds. Because the Funds invest primarily in underlying funds, the value of your
investment will fluctuate in response to the performance of the underlying
funds. In addition, investing through the Funds in a portfolio of underlying
funds involves certain additional expenses that would not arise if you invested
directly in the underlying funds. By investing indirectly in underlying funds
through a Fund, you will bear not only your proportionate share of a Fund's
expenses (including operating costs, investment advisory fees, and
administrative fees), but also, indirectly, similar expenses and charges of the
underlying funds. In addition, to the extent these underlying funds trade their
portfolios actively, they will incur higher brokerage commissions, as well as
increased realization of taxable gains.
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 annual
percentage rate of 0.90% of the average daily net assets of the Amerigo Fund,
the Clermont Fund and the Berolina Fund. Certain officers and trustees of the
Trust are also officers of the Advisor.
The Advisor pays the Sub-Advisor out of the advisory fees it receives. In
addition, the Advisor bears all of its own costs associated with providing these
services and the expenses of the Trustees that are affiliated with the Advisor.
The Advisor may make payments from its own resources to broker-dealers and other
financial institutions in connection with the sale of Fund shares.
Rydex Investments, an affiliated entity, provides transfer agent and
administrative services to the Trust calculated at an annual percentage rate of
0.25% of the average daily net assets of the Amerigo Fund, the Clermont Fund and
the Berolina 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 engages external service providers to perform other necessary
services for the Trust, such as 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 an Investor Services Plan for which the Distributor, an
affiliated entity, and other firms that provide shareholder services ("Service
Providers") may receive compensation. The Trust will pay fees to the Distributor
at an annual rate not to exceed 0.25% of average daily net assets. The
Distributor in turn, will compensate Service Providers for providing such
services, while retaining a portion of such payments to compensate itself for
shareholder services it performs.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
In addition, at an Organization Meeting on February 14, 2003, the Board approved
the use of a Distribution Plan for which the Distributor and other 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. Although approved, at December
31, 2006, this plan was not being utilized.
4. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of Subchapter M of the Internal
Revenue Code and will distribute substantially all net investment income and
capital gains to its 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 may
include net operating losses not utilized during the current year and the
expiration of capital loss carryforward. 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.
The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM RETURN OF TOTAL
FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Amerigo Fund $ 3,695,821 $ 19,467,796 $ -- $ 23,163,617
Clermont Fund 3,425,542 3,081,826 -- 6,507,368
Berolina Fund 144,792 -- 1,608 146,400
The tax character of distributions paid during 2005 was as follows:
ORDINARY LONG-TERM TOTAL
FUND INCOME CAPITAL GAIN DISTRIBUTIONS
- --------------------------------------------------------------------------------
Amerigo Fund $ 1,308,198 $ 777,354 $ 2,085,552
Clermont Fund 906,036 58,927 964,963
Berolina Fund -- -- --
The tax character of distributable earnings/(accumulated losses) at December 31,
2006 was as follows:
UNDISTRIBUTED
ORDINARY UNDISTRIBUTED NET UNREALIZED CAPITAL LOSS
FUND INCOME REALIZED GAIN APPRECIATION CARRYFORWARD
- -------------------------------------------------------------------------------
Amerigo Fund $ 3,791,361 $ 407,700 $ 31,536,506 $ --
Clermont Fund 1,526,326 366,908 9,937,038 --
Berolina Fund -- -- 28,081 (98)1
1 EXPIRES IN 2014
The Funds' tax basis capital gains and losses are determined only at the end of
each fiscal year. Tax basis capital losses in excess of capital gains are
carried forward to offset future net capital gains.
At December 31, 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:
NET
TAX TAX TAX UNREALIZED
FUND COST UNREALIZED GAIN UNREALIZED LOSS GAIN
- --------------------------------------------------------------------------------
Amerigo Fund $ 368,631,433 $ 31,568,079 $ (31,573) $ 31,536,506
Clermont Fund 128,458,452 9,952,315 (15,277) 9,937,038
Berolina Fund 19,960,888 132,288 (104,207) 28,081
5. SECURITIES TRANSACTIONS
During the year ended December 31, 2006, cost of purchases and proceeds from
sales of investment securities, excluding short-term and temporary cash
investments, were:
AMERIGO CLERMONT BEROLINA
FUND FUND FUND
- -------------------------------------------------------------------------
Purchases $ 763,235,674 $224,692,620 $ 21,383,991
Sales $ 702,869,142 $236,474,171 $ 1,422,549
18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
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 years presented were:
PURCHASED THROUGH
SHARES PURCHASED DIVIDEND REINVESTMENT
- ------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ------------------------------------------------------------------------------
AMERIGO FUND 2,261,660 2,067,850 648,478 62,479
CLERMONT FUND 870,074 1,128,567 218,368 33,413
BEROLINA FUND* 795,434 -- 5,791 --
NET SHARES
SHARES REDEEMED PURCHASED (REDEEMED)
- ------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2006 2005 2006 2005
- ------------------------------------------------------------------------------
AMERIGO FUND (761,470) (428,242) 2,148,668 1,702,087
CLERMONT FUND (1,445,292) (655,344) (356,850) 506,636
BEROLINA FUND* (18,989) -- 782,236 --
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- ------------------------------------------------------------------------------
7. 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. Bank 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. Bank. As agent,
U.S. Bank 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. Bank. Under the terms of the Trust's securities lending
agreement with U.S. Bank, cash collateral may be invested by U.S. Bank in
certain high quality, liquid investments. At December 31, 2006, the pooled cash
collateral investments consisted of repurchase agreements (46.45%), commercial
paper (31.55%), corporate bonds (18.46%), and guaranteed investment contracts
(3.54%). 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 table represents a breakdown of the collateral, its rates and
maturities. Each fund participating in the security lending program retains a
pro rata amount of the collateral proportionate to its amount of securities on
loan.
SECURITY LENDING CASH COLLATERAL
COST MARKET VALUE REPURCHASE DATE
- -----------------------------------------------------------------------------------------------------
REPO 46.45%
- -----------------------------------------------------------------------------------------------------
Rates
5.36% Greenwich Capital Markets, Inc. $ 300,000,000 $ 300,000,000 01/02/07
5.38 Morgan Stanley 296,000,000 296,000,000 01/02/07
5.41 Bear Stearns Companies, Inc. 50,000,000 50,000,000 01/02/07
5.32 Credit Suisse First Boston 10,000,000 10,000,000 01/02/07
--------------
TOTAL $ 656,000,000
==============
MATURITY
--------
COMMERCIAL PAPER 31.55%
- -----------------------------------------------------------------------------------------------------
Rates
5.39% Fenway Funding, LLC $ 66,959,874 $ 67,000,000 01/02/07
5.37 KKR Atlantic Funding Trust 64,768,167 64,808,900 01/22/07
5.36 Rams Funding, LLC 57,699,447 57,923,440 01/11/07
5.42 Antalis Funding 53,920,718 54,010,000 01/02/07
5.40 Ocala Funding, LLC 49,858,028 49,890,000 01/17/07
5.33 Concord Minutemen Capital Company, LLC 40,000,000 40,000,000 01/08/07
5.35 Lakeside Funding, LLC 30,000,000 30,000,000 01/08/07
5.33 Concord Minutemen Capital Company, LLC 28,000,000 28,000,000 01/12/07
5.35 Thornburg Mortgage Capital Resources, LLC 19,820,389 19,917,800 01/30/07
5.38 Rams Funding, LLC 12,934,314 12,961,780 01/22/07
5.36 Thornburg Mortgage Capital Resources, LLC 10,949,418 10,974,150 01/18/07
5.34 Thornburg Mortgage Capital Resources, LLC 9,952,800 10,000,000 01/02/07
--------------
TOTAL $ 445,486,070
==============
FIXED INCOME 18.46%
- -----------------------------------------------------------------------------------------------------
Rates
5.36% PYXIS Master Trust $ 50,000,000 $ 50,000,000 11/20/09
5.35 Leafs, LLC 49,635,317 49,635,317 01/22/07
5.39 Allstate Life Global Funding 40,012,000 40,012,000 02/15/08
5.50 Premium Asset Trust 25,000,000 25,000,000 08/01/07
5.40 Bayerische Landsbank 20,008,800 20,008,800 02/22/08
5.40 HBOS Treasury Services, PLC 20,008,600 20,008,600 02/01/08
5.42 Northlake, CDO 20,000,000 20,000,000 03/06/33
5.44 Duke Funding, Ltd. 20,000,000 20,000,000 04/08/39
5.45 Metlife Global Funding 16,006,720 16,006,720 01/28/08
--------------
TOTAL $ 260,671,437
==============
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
COST MARKET VALUE MATURITY
- -------------------------------------------------------------------------------------------------------------
GUARANTEED INVESTMENT CONTRACT 3.54%
- -------------------------------------------------------------------------------------------------------------
Rates
5.45% ING USA $ 50,000,000 $ 50,000,000 02/26/07
----------------
TOTAL $ 50,000,000
================
MUTUAL FUNDS/MONEY MARKETS 0.00%
- -------------------------------------------------------------------------------------------------------------
Cash $ 66 N/A
SHARES
- -------------------------------------------------------------------------------------------------------------
AIM Short Term Liquid Asset Fund 21 $ 21 N/A
----------------
TOTAL $ 87
================
100.000%
================
GRAND TOTAL $ 1,412,157,594
=============================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the
joint account was as follows:
RANGE OF RATES SECURITY TYPE PAR VALUE MARKET VALUE MATURITY
- ------------------------------------------------------------------------------------------------------------
0.000% - 5.467% Collateralized Mortgage Obligations $ 3,469,660,953 $ 623,374,062 08/15/16 - 03/15/45
0.000% - 9.925% Residential Whole Loans 41,415,193 53,022,375 03/15/12 - 09/07/36
0.010% - 5.625% Subordinated Notes 44,971,310 3,788,769 06/13/16 - 02/18/27
1.001% Ginnie Mae 10,282,278 99,679 02/17/31
-------------
$ 680,284,885
=============
At December 31, 2006 the following Funds participated in securities lending and
received cash collateral:
VALUE OF
FUND CASH COLLATERAL SECURITIES LOANED
- --------------------------------------------------------------------------------
Amerigo Fund $ 121,267,270 $ 118,091,297
Clermont Fund 38,663,265 37,581,771
8. NEW ACCOUNTING PRONOUNCEMENTS
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.
On September 15, 2006, the FASB released Statement Financial Accounting Standard
No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for
using fair value to measure assets and liabilities. The standard requires
companies to provide expanded information about the assets and liabilities
measured at fair value and the potential effect of these fair valuations on an
entity's financial performance. The standard does not expand the use of fair
value in any new circumstances, but provides clarification on acceptable fair
valuation methods and applications. Adoption of FAS 157 is required for fiscal
years beginning after November 15, 2007. The standard is not expected to
materially impact the Funds' financial statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Amerigo Fund, Berolina Fund and
Clermont Fund (three of the funds of the Rydex Variable Trust, hereafter
referred to as the "Funds") at December 31, 2006, and the results of each of
their operations, the changes in each of their net assets and the financial
highlights for the periods presented, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 2006 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 23, 2007
22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
TAX INFORMATION
This information is being provided as required by the Internal Revenue Code.
Amounts shown may differ from those elsewhere in the report because of
differences in tax and financial reporting practices.
The Funds' distributions to shareholders included:
AMERIGO CLERMONT BEROLINA
FUND FUND FUND
- --------------------------------------------------------------------------------
From short-term capital gains: $ 3,449,613 $ 1,289,343 $ --
From long-term capital gains,
subject to the 15% rate gains category: 19,467,796 3,081,826 --
From return of capital: -- -- 1,608
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 Variable Trust 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
Variable Trust (the "Trust") and PADCO Advisors II, 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 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
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23
OTHER INFORMATION (UNAUDITED)(CONCLUDED)
- --------------------------------------------------------------------------------
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 the
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.
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 VARIABLE TRUST 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 146
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 Investments and Rydex Distributors, Inc. (2003 to present);
Executive Vice President of Rydex Investments (2000 to 2003)
--------------------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 146
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); 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 Investments (2004 to present); Chief
Operating Officer of Rydex Investments 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 139
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 139
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner
and President of Schield Management Company, registered investment adviser (2005
to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
--------------------------------
J. KENNETH DALTON Rydex Series Funds - 1995 139
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 VARIABLE TRUST ANNUAL REPORT | 25
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 139
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 139
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 139
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 139
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 to
Vice President and 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 Investments
(2003 to present); Vice President and Treasurer of Rydex Capital
Partners SPhinX Fund (2003 to 2006); Vice President of Accounting
of Rydex Investments (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 Investments
(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 Investments (2004 to present); Director of Accounting of
Rydex Investments (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 Investments (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.
26 | THE RYDEX VARIABLE TRUST 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
RVAAO-2-1206 x1207
ITEM 2. CODE OF ETHICS.
The Board of Trustees of the Trust has adopted a Combined Code of Ethics (the
"Code") pursuant to Rule 17j-1 under the 1940 Act. The Advisor and Distributor
are also covered by the Code. The Code applies to the personal investing
activities of trustees, directors, officers, and certain employees ("access
persons"). Rule 17j-1 and the Code are designed to prevent unlawful practices in
connection with the purchase or sale of securities by access persons. Under the
Code, access persons are permitted to engage in personal securities
transactions, but are required to report their personal securities transactions
for monitoring purposes. In addition, certain access persons are required to
obtain approval before investing in initial public offerings or private
placements. No substantive amendments were approved or waivers were granted to
the Code during the period covered by this report. The Code is filed as an
exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
While the members of the audit committee have many years of experience in
business and finance, including working with fund financial statements and
auditors, they do not feel that the background and experience of any single
member would meet the qualifications necessary to be a "financial expert" as
that term is defined by the Securities and Exchange Commission. Nonetheless, the
committee has determined that, together, its collective financial experience and
expertise makes an individual financial expert unnecessary at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)-(d) The aggregate Audit Fees billed by PricewaterhouseCoopers LLP ("PwC"),
the Trust's principal accountant, for the audit of the annual financial
statements in connection with statutory and regulatory filings for the fiscal
years ended December 31, 2006 and December 31, 2005 were $896,832 and $557,100,
respectively. The aggregate Tax Fees billed by PwC for professional services
rendered for tax compliance, tax advice, and tax planning, including preparation
of tax returns and distribution assistance, for the fiscal years ended December
31, 2006 and December 31, 2005 were $1,500 and $347,900, respectively.
(e) The audit committee has adopted a policy whereby audit and non-audit
services performed by the registrant's principal accountant for the registrant,
its investment advisor, and any entity controlling, controlled by, or under
common control with the investment advisor that provides ongoing services to the
registrant require pre-approval in advance at regularly scheduled audit
committee meetings. If such service is required between regularly scheduled
audit committee meetings, the chairman of the audit committee, J. Kenneth
Dalton, is authorized to pre-approve the service with full committee approval at
the next scheduled meeting. There
shall be no waivers of the pre-approval process. No services described in
(b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for the
most recent fiscal year and the preceding fiscal year for services rendered to
the registrant, the investment advisor, and any entity controlling, controlled
by, or under common control with the advisor that provides ongoing services to
the registrant were $30,000 and $40,000, respectively. These aggregate fees were
less than the aggregate fees billed for the same periods by the registrant's
principal accountant for audit services rendered to the registrant, the
investment advisor, and any entity controlling, controlled by, or under common
control with the advisor that provides ongoing services to the registrant.
(h) All non-audit services rendered in (g) above were pre-approved by the
registrant's audit committee. As such, the audit committee has considered these
services in maintaining the principal accountant's independence.
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 March 9, 2007, the President (principal
executive officer) and the Treasurer (principal financial officer) of the Rydex
Variable Trust (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 RI on behalf of the Trust, to record, process, summarize, and
report the subject matter contained in this Report.
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)(1) The registrant's code of ethics pursuant to Item 2 of Form N-CSR is
attached.
(a)(2) Separate certifications by the President (principal executive officer)
and Treasurer (principal financial officer) of the registrant as required by
Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant's President (principal executive officer)
and Treasurer (principal financial officer) as required by Rule 30a-2 (b) under
the Act (17 CFR 270.30a-2(b)) is attached.
EX.-12(a)(2)(i)
CERTIFICATION
I, Carl G. Verboncoeur, certify that:
1. I have reviewed this report on Form N-CSR of Rydex Variable Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations, changes in net assets, and cash
flows (if the financial statements are required to include a statement of cash
flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused
such disclosure controls and procedures to be designed under
our supervision, to ensure that material information relating
to the registrant, including its consolidated subsidiaries, is
made known to us by others within those entities, particularly
during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or
caused such internal control over financial reporting to be
designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure
controls and procedures and presented in this report our
conclusions about the effectiveness of the disclosure controls
and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's
internal control over financial reporting 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; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
trustees:
(a) All significant deficiencies and material weaknesses in the
design or operation of internal control over financial
reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize, and report
financial information; and
(b) Any fraud, whether or not material, that involves management
or other employees who have a significant role in the
registrant's internal control over financial reporting.
By: /s/ Carl G. Verboncoeur
-----------------------
Carl G. Verboncoeur,
President
Date: March 9, 2007
EX.-12(a)(2)(ii)
CERTIFICATION
I, Nick Bonos, certify that:
1. I have reviewed this report on Form N-CSR of Rydex Variable Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations, changes in net assets, and cash
flows (if the financial statements are required to include a statement of cash
flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused
such disclosure controls and procedures to be designed under
our supervision, to ensure that material information relating
to the registrant, including its consolidated subsidiaries, is
made known to us by others within those entities, particularly
during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or
caused such internal control over financial reporting to be
designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure
controls and procedures and presented in this report our
conclusions about the effectiveness of the disclosure controls
and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's
internal control over financial reporting 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; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
trustees:
(a) All significant deficiencies and material weaknesses in the
design or operation of internal control over financial
reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize, and report
financial information; and
(b) Any fraud, whether or not material, that involves management
or other employees who have a significant role in the
registrant's internal control over financial reporting.
By: /s/ Nick Bonos
----------------------------
Nick Bonos,
Vice President and Treasurer
Date: March 9, 2007
EX. 12(b)(i)
CERTIFICATION
I, Carl G. Verboncoeur, President of Rydex Variable Trust (the "Trust"),
certify that:
1. The Form N-CSR of the Trust (the "Report") fully complies with
the requirements of Section 13(a) or 15(d) of the Securities
Exchange Act of 1934; and
2. The information contained in the Report fairly presents, in all
material respects, the financial condition and results of
operations of the Trust.
A signed original of this written statement required by Section 906 has been
provided to the Trust and will be retained by the Trust and furnished to the
Securities and Exchange Commission or its staff upon request.
By: /s/ Carl G. Verboncoeur
-----------------------
Carl G. Verboncoeur,
President
Date: March 9, 2007
EX. 12(b)(ii)
CERTIFICATION
I, Nick Bonos, Vice President and Treasurer of Rydex Variable Trust (the
"Trust"), certify that:
1. The Form N-CSR of the Trust (the "Report") fully complies with
the requirements of Section 13(a) or 15(d) of the Securities
Exchange Act of 1934; and
2. The information contained in the Report fairly presents, in all
material respects, the financial condition and results of
operations of the Trust.
A signed original of this written statement required by Section 906 has been
provided to the Trust and will be retained by the Trust and furnished to the
Securities and Exchange Commission or its staff upon request.
By: /s/ Nick Bonos
----------------------------
Nick Bonos,
Vice President and Treasurer
Date: March 9, 2007
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 Variable Trust
---------------------------------------------------------------------
By (Signature and Title)* /s/ Carl G. Verboncoeur
---------------------------------------------------------
Carl G. Verboncoeur, President
Date: March 9, 2007
----------------------------------------------------------------------------
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: March 9, 2007
---------------------------------------------------------------------------
By (Signature and Title)* /s/ Nick Bonos
-------------------------------------------------------
Nick Bonos, Vice President and Treasurer
Date: March 9, 2007
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.