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- 21261
Rydex ETF Trust
(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Carl G. Verboncoeur
Rydex ETF Trust
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5149
Date of fiscal year end: October 31, 2009
Date of reporting period: April 30, 2009
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. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
APRIL 30, 2009
RYDEX ETF TRUST
SEMI-ANNUAL REPORT
RYDEX S&P EQUAL WEIGHT ETF
RYDEX RUSSELL TOP 50 ETF
(RYDEX | SGI(SM) LOGO)
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 4
PREMIUM AND DISCOUNT INFORMATION......................................... 5
PORTFOLIO SUMMARY........................................................ 6
SCHEDULES OF INVESTMENTS................................................. 8
STATEMENTS OF ASSETS AND LIABILITIES..................................... 17
STATEMENTS OF OPERATIONS................................................. 18
STATEMENTS OF CHANGES IN NET ASSETS...................................... 19
FINANCIAL HIGHLIGHTS..................................................... 20
NOTES TO FINANCIAL STATEMENTS............................................ 22
SUPPLEMENTAL INFORMATION................................................. 26
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 27
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
Last year was a difficult one for many as unemployment increased, housing values
decreased and the impact of an economic slowdown reverberated in stock markets
around the world. As we enter a new market environment in which investors,
regulators and legislators have a dramatically reduced tolerance for risk and a
greater demand for transparency, investment professionals are increasingly
turning to exchange traded funds (ETFs). Due to their convenience, transparency
and ability to provide access to difficult-to-reach areas of the market, ETFs
can play an important role in investor portfolios. Needless to say, Rydex is a
proud participant in the ETF space with $4 billion in ETF assets and more than
40 exchange traded products.
Growing Industry Influence. More investment advisors are gravitating to ETFs
for their flexibility, transparency and lower expense ratios. In fact, nearly
all of the advisors (83%) who took part in the Rydex AdvisorBenchmarking(TM)
November 2008 Survey believe that ETFs will be their primary investment vehicle
in 2009. While ETF assets have fallen 12.9% over the past 12 months to $495B
from $569B, the number of ETF products in the market actually climbed
16% -- with greatest growth in global and international ETFs. According to the
Investment Company Institute, there are now more than 719 ETFs in this category
versus 614 a year ago -- a notable 41% increase. Some industry experts even see
ETFs' popularity encroaching on sacred mutual fund territory. In April, Lipper
reported that "Sales of new ETFs appear to be replacing sales of new mutual
funds over the past several years. ETF launches now exceed 30% of all new (fund)
products."
Unprecedented Market Conditions. The financial crisis that unfolded earlier
this year affected nearly every conceivable asset class, resulting in huge
declines in wealth -- regardless of how investors had structured their
portfolios. Other than treasury bills and the U.S. dollar, no investment class
was spared the widespread panic that washed over the world's financial markets.
In the U.S. alone, the major stock market averages lost more than 20% of their
value as the entire financial system seized up and choked as the engine of any
economy -- bank lending -- stalled out. The resulting crash in global stock
markets was as steep as anything we witnessed since the historic stock market
crash of 1929. Huge financial dominoes began to fall as Merrill Lynch, Morgan
Stanley, Goldman Sachs and Lehman Brothers collapsed, merged with or were reborn
as commercial banks. Among other things, the crisis showed us that the Wall
Street formula of highly leveraged balance sheets, coupled with the need to
access working capital on a daily basis, proved to be lethal when backed by
seemingly worthless assets. And as the willingness to lend disappeared, so did
Wall Street's daily lifeline.
Historic Government Intervention. September 2008 proved to be a historic month
for unprecedented government intervention in the equity markets. On September
18, the U.S. Treasury announced the establishment of a temporary guarantee
program for money market mutual funds after the Reserve Primary Fund "broke the
buck" -- causing a massive exodus from money market mutual funds. The next day,
on September 19, the Securities and Exchange Commission (SEC) issued a temporary
ban prohibiting the short sales of certain financial securities. We complied
with the SEC action by suspending trading of the Rydex Inverse 2x S&P Select
Sector Financial ETF until the ban was lifted on October 8, 2008. The month of
September also saw the takeover of Fannie Mae, Freddie Mac and AIG, the seizure
of IndyMac Bank and Washington Mutual, which pointed to a near takeover of the
global financial system by the government. In this history-making period,
government at all levels moved with unprecedented speed, scope and coordination
to save the financial system and with it the global economy. This culminated
with a $700 billion plan put forward by the U.S. Treasury to essentially buy up
all the bad mortgage assets clogging the financial system. Newly sworn-in
government officials committed $12 trillion to programs designed to offset
credit and sub-prime mortgage-related issues that were negatively impacting the
financial services industry. This historic government intervention kicked into
high gear during the fall when Congress established The Emergency Economic
Stabilization Act of 2008 (EESA) in an effort to help strengthen the U.S.
economy. Primarily, the act authorized the Troubled Assets Relief Program
(TARP), which was originally structured to purchase troubled assets from ailing
banks but quickly morphed into an effort to recapitalize the banking industry.
Signs of a Recovery. The question at the forefront of everyone's mind still
remains: Will it all work? While it looks like the Dow Jones Industrial Average
finally found its bottom of 6547.05 on March 9, investors still remain cautious.
The new administration has rightly made the economy its top priority and we are
starting to see some proverbial light at the end of the tunnel. All major U.S.
indices ended April in positive territory with the NASDAQ Composite posting a
12.35% gain, the S&P 500 jumping to 9.39% and the Dow Industrials closing out
the month with a respectable 7.35% gain. In fact, April proved to be a solid
month of recovery as the NASDAQ reported its best April percentage gain since
2001 (when it gained 14.99%), the S&P posted its best gain since 1938 (when it
gained 15.06%) and the Dow had its best monthly gain since last March, when it
rose 7.77%.
On the housing front, home-sales figures in recent weeks have shown a slower
pace of decline and the slide in property prices appears to have stabilized.
Former Federal Reserve Chairman Alan Greenspan even went on record in early May
stating that the U.S. housing
SEMI-ANNUAL REPORT 3
- --------------------------------------------------------------------------------
market may be on the verge of a recovery and that it's "very easy to see" the
financial markets continuing to improve. While there's still a long way to go to
repair the carnage we experienced over the past six months, I'm optimistic that
we can -- and will -- endure. We appreciate the trust that you have placed in
our firm's quality and integrity by investing with us. It is our goal to
continue to offer you a wide variety of ETFs to help you meet your financial
goals.
Sincerely,
- -s- David C. Reilly, CFA
Mike Byrum, CFA
President and Chief Investment Officer
Read the fund's prospectus carefully before investing. It contains the fund's
investment objectives, risks, charges, expenses and other information. Obtain a
prospectus at rydexinvestments.com or call 800.258.4332.
The opinions and forecasts expressed are those of Security Global Investors as
of June 1, 2009, and may not actually come to pass. This information is subject
to change at any time, based on market and other conditions and should not be
construed as a recommendation of any specific security or strategy.
AdvisorBenchmarking.com and the Rydex PracticeValue program are services of
Advisor Research Center, Inc., an affiliate of Rydex Investments. Advisor
Research Center, Inc., and its affiliates make no warranties, expressed or
implied, as to results to be obtained from the use of information provided by
the Rydex PracticeValue program and/or AdvisorBenchmarking.com, and Advisor
Research Center, Inc., expressly disclaims all warranties of merchantability or
fitness for a particular purpose of use with respect thereto. While Advisor
Research Center, Inc., believes the information to be reliable, Advisor Research
Center, Inc., and its affiliates shall not be liable for any claims or losses of
any nature in connection with the information contained in this publication.
4
FEES AND EXPENSES (Unaudited)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Rydex ETF Trust, you incur transaction costs such as
creation and redemption fees or brokerage charges, and ongoing costs including
advisory fees and, if applicable, distribution fees. All other Trust expenses
are paid by the advisor. This Example is intended to help you understand your
ongoing costs (in dollars) of investing in a Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The example in the table is based on an investment of $1,000 invested on October
31, 2008 and held for the six months ended April 30, 2009.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred 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 in the first
table under the heading entitled "Expenses Paid During the Six-Month Period" to
estimate the expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees, or brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT ACCOUNT DURING
EXPENSE VALUE VALUE SIX-MONTH PERIOD*
RATIO 10/31/08 4/30/09 10/31/08 TO 4/30/09
------- --------- --------- -------------------
ACTUAL
Rydex S&P Equal Weight ETF........................ 0.40% $1,000.00 $ 990.30 $1.97
Rydex Russell Top 50 ETF.......................... 0.20% 1,000.00 889.90 0.94
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES)
Rydex S&P Equal Weight ETF........................ 0.40% 1,000.00 1,022.81 2.01
Rydex Russell Top 50 ETF.......................... 0.20% 1,000.00 1,023.80 1.00
</Table>
- --------
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues
and redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of a Fund generally is determined
using the midpoint between the highest bid and the lowest offer on the Exchange
on which the Fund is listed for trading, as of the time the Fund's NAV is
calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of
a Fund will fluctuate with changes in the market value of its portfolio
holdings. The Market Price of a Fund will fluctuate in accordance with changes
in its NAV, as well as market supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the six
months ended April 30, 2009.
Each line in the table shows the number of trading days in which the Funds
traded within the premium/discount range indicated. The number of trading days
in each premium/discount range is also shown as a percentage of the total number
of trading days in the period covered by the table. All data presented here
represents past performance, which cannot be used to predict future results.
<Table>
<Caption>
NUMBER OF DAYS
-----------------------
RYDEX RYDEX
S&P EQUAL RUSSELL
WEIGHT TOP 50
PREMIUM/DISCOUNT RANGE ETF ETF
- ---------------------- --------- -------
Greater than 3%................................................ 0 0
Between 1.01% and 3%........................................... 2 3
Between .51% and 1%............................................ 6 7
Between .26% and .5%........................................... 22 21
Between .25% and 0%............................................ 613 519
Between -0.01% and -0.25%...................................... 581 424
Between -0.26% and -0.5%....................................... 25 23
Between -0.51% and -1%......................................... 7 7
Between -1.01% and -3%......................................... 2 1
Less than 3%................................................... 0 0
---- ----
Total.......................................................... 1258 1005
---- ----
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
------------------------
RYDEX RYDEX
S&P EQUAL RUSSELL
WEIGHT TOP 50
PREMIUM/DISCOUNT RANGE ETF ETF
- ---------------------- --------- -------
Greater than 3%................................................ 0.00% 0.00%
Between 1.01% and 3%........................................... 0.16% 0.30%
Between .51% and 1%............................................ 0.48% 0.70%
Between .26% and .5%........................................... 1.75% 2.09%
Between .25% and 0%............................................ 48.73% 51.64%
Between -0.01% and -0.25%...................................... 46.18% 42.19%
Between -0.26% and -0.5%....................................... 1.99% 2.29%
Between -0.51% and -1%......................................... 0.56% 0.70%
Between -1.01% and -3%......................................... 0.16% 0.10%
Less than 3%................................................... 0.00% 0.00%
------ ------
Total.......................................................... 100.00% 100.00%
------ ------
</Table>
6
RYDEX S&P EQUAL WEIGHT ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
CB RICHARD ELLIS GROUP, INC. -- CLASS A 0.47%
WYNDHAM WORLDWIDE CORP. 0.46%
FORD MOTOR CO. 0.39%
TENET HEALTHCARE CORP. 0.36%
PRINCIPAL FINANCIAL GROUP, INC. 0.35%
DOW CHEMICAL CO. 0.33%
XL CAPITAL, LTD. -- CLASS A 0.32%
AMERICAN EXPRESS CO. 0.32%
FIFTH THIRD BANCORP 0.32%
JABIL CIRCUIT, INC. 0.32%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 18.27
Financials 17.19
Information Technology 14.70
Industrials 11.94
Health Care 9.91
Consumer Staples 7.49
Energy 6.90
Materials 6.12
Utilities 5.91
Telecommunication Services 1.57
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 7
RYDEX RUSSELL TOP 50 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 8.69%
MICROSOFT CORP. 4.26%
AT&T, INC. 3.98%
PROCTER & GAMBLE CO. 3.90%
JOHNSON & JOHNSON, INC. 3.86%
INTERNATIONAL BUSINESS MACHINES CORP. 3.71%
CHEVRON CORP. 3.58%
GENERAL ELECTRIC CO. 3.48%
JPMORGAN CHASE & CO. 3.20%
CISCO SYSTEMS, INC. 2.99%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 25.60
Energy 16.71
Consumer Staples 14.65
Health Care 12.60
Financials 9.95
Industrials 7.54
Telecommunication Services 6.27
Consumer Discretionary 4.50
Materials 1.39
Utilities 0.79
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
8
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 2.4%
Boeing Co. .................. 44,415 $1,778,821
General Dynamics Corp. ...... 38,871 2,008,465
Goodrich Corp. .............. 38,662 1,711,953
Honeywell International,
Inc. ..................... 52,719 1,645,360
ITT Corp. ................... 37,918 1,555,017
L-3 Communications Holdings,
Inc. ..................... 23,109 1,759,750
Lockheed Martin Corp. ....... 21,574 1,694,206
Northrop Grumman Corp. ...... 37,954 1,835,076
Precision Castparts Corp. ... 25,033 1,873,971
Raytheon Co. ................ 40,716 1,841,585
Rockwell Collins, Inc. ...... 46,069 1,766,746
United Technologies Corp. ... 35,843 1,750,572
------------
TOTAL AEROSPACE & DEFENSE 21,221,522
------------
AIR FREIGHT & LOGISTICS 0.8%
C.H. Robinson Worldwide,
Inc. ..................... 32,547 1,730,198
Expeditors International of
Washington, Inc. ......... 51,843 1,799,471
FedEx Corp. ................. 32,952 1,843,994
United Parcel Service,
Inc. -- Class B........... 32,083 1,679,224
------------
TOTAL AIR FREIGHT & LOGISTICS 7,052,887
------------
AIRLINES 0.2%
Southwest Airlines Co. ...... 255,693 1,784,737
------------
TOTAL AIRLINES 1,784,737
------------
AUTO COMPONENTS 0.6%
Goodyear Tire & Rubber
Co.(The)*................. 240,047 2,638,116
Johnson Controls, Inc. ...... 129,766 2,466,852
------------
TOTAL AUTO COMPONENTS 5,104,968
------------
AUTOMOBILES 0.8%
Ford Motor Co.*.............. 578,755 3,460,955
General Motors Corp. ........ 505,293 970,163
Harley-Davidson, Inc. ....... 111,059 2,461,067
------------
TOTAL AUTOMOBILES 6,892,185
------------
BEVERAGES 1.6%
Brown-Forman Corp. -- Class
B......................... 37,654 1,750,911
Coca-Cola Co.(The)........... 34,829 1,499,388
Coca-Cola Enterprises,
Inc. ..................... 125,217 2,136,202
Constellation Brands,
Inc. -- Class A*.......... 112,663 1,305,764
Dr Pepper Snapple Group,
Inc.*..................... 99,869 2,068,287
Molson Coors Brewing
Co. -- Class B............ 44,567 1,704,688
Pepsi Bottling Group, Inc. .. 74,055 2,315,700
PepsiCo, Inc. ............... 29,918 1,488,720
------------
TOTAL BEVERAGES 14,269,660
------------
BIOTECHNOLOGY 1.0%
Amgen, Inc.*................. 30,138 1,460,789
Biogen Idec, Inc.*........... 29,061 1,404,809
Celgene Corp.*............... 32,182 1,374,815
Cephalon, Inc.*.............. 21,993 1,442,961
Genzyme Corp.*............... 26,808 1,429,670
Gilead Sciences, Inc.*....... 33,161 1,518,774
------------
TOTAL BIOTECHNOLOGY 8,631,818
------------
BUILDING PRODUCTS 0.2%
Masco Corp. ................. 225,199 1,995,263
------------
TOTAL BUILDING PRODUCTS 1,995,263
------------
CAPITAL MARKETS 3.0%
Ameriprise Financial, Inc. .. 76,136 2,006,184
Bank of New York Mellon
Corp. .................... 58,900 1,500,772
Charles Schwab Corp.(The).... 107,821 1,992,532
E*TRADE Financial Corp.*..... 1,255,514 1,795,385
Federated Investors,
Inc. -- Class B........... 71,610 1,638,437
Franklin Resources, Inc. .... 31,154 1,884,194
Goldman Sachs Group,
Inc.(The)................. 14,815 1,903,727
Invesco Ltd. ................ 122,415 1,801,949
Janus Capital Group, Inc. ... 259,370 2,601,481
Legg Mason, Inc. ............ 105,431 2,116,000
Morgan Stanley............... 70,221 1,660,024
Northern Trust Corp. ........ 25,931 1,409,609
State Street Corp. .......... 55,085 1,880,051
T. Rowe Price Group, Inc. ... 58,113 2,238,513
------------
TOTAL CAPITAL MARKETS 26,428,858
------------
CHEMICALS 2.3%
Air Products & Chemicals,
Inc. ..................... 25,981 1,712,148
CF Industries Holdings,
Inc. ..................... 21,245 1,530,702
Dow Chemical Co.(The)........ 182,231 2,915,696
Du Pont (E.I.) de Nemours &
Co. ...................... 68,711 1,917,037
Eastman Chemical Co. ........ 59,420 2,357,786
Ecolab, Inc. ................ 44,884 1,730,278
International Flavors &
Fragrances, Inc. ......... 50,489 1,575,257
Monsanto Co. ................ 17,954 1,524,115
PPG Industries, Inc. ........ 41,932 1,847,105
Praxair, Inc. ............... 22,832 1,703,495
Sigma-Aldrich Corp. ......... 40,586 1,779,290
------------
TOTAL CHEMICALS 20,592,909
------------
COMMERCIAL BANKS 2.9%
BB&T Corp. .................. 83,924 1,958,786
Comerica, Inc. .............. 78,847 1,654,210
Fifth Third Bancorp.......... 693,184 2,842,054
First Horizon National
Corp. .................... 139,009 1,599,994
Huntington Bancshares,
Inc. ..................... 818,937 2,284,834
KeyCorp...................... 181,922 1,118,820
M&T Bank Corp. .............. 36,638 1,921,663
Marshall & Ilsley Corp. ..... 282,016 1,630,052
PNC Financial Services Group,
Inc. ..................... 51,730 2,053,681
Regions Financial Corp. ..... 342,444 1,537,574
SunTrust Banks, Inc. ........ 116,888 1,687,863
U.S. Bancorp................. 103,948 1,893,933
Wells Fargo & Co. ........... 96,692 1,934,807
Zions Bancorp................ 141,440 1,545,939
------------
TOTAL COMMERCIAL BANKS 25,664,210
------------
COMMERCIAL SERVICES & SUPPLIES 2.5%
Avery Dennison Corp. ........ 68,212 1,960,413
Cintas Corp. ................ 63,516 1,629,820
Dun & Bradstreet Corp. ...... 19,959 1,624,663
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 9
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Equifax, Inc. ............... 65,221 $1,901,844
Iron Mountain, Inc.*......... 67,993 1,937,121
Monster Worldwide, Inc.*..... 191,727 2,645,833
Pitney Bowes, Inc. .......... 66,546 1,633,039
R.R. Donnelley & Sons Co. ... 197,334 2,298,941
Republic Services, Inc. ..... 84,124 1,766,604
Robert Half International,
Inc. ..................... 86,068 2,067,353
Stericycle, Inc.*............ 30,617 1,441,448
Waste Management, Inc. ...... 57,027 1,520,910
------------
TOTAL COMMERCIAL SERVICES &
SUPPLIES 22,427,989
------------
COMMUNICATIONS EQUIPMENT 1.9%
Ciena Corp.*................. 204,116 2,439,186
Cisco Systems, Inc.*......... 90,814 1,754,526
Corning, Inc. ............... 114,193 1,669,502
Harris Corp. ................ 45,564 1,393,347
JDS Uniphase Corp.*.......... 440,501 2,030,709
Juniper Networks, Inc.*...... 94,378 2,043,284
Motorola, Inc. .............. 362,394 2,004,039
QUALCOMM, Inc. .............. 39,140 1,656,405
Tellabs, Inc.*............... 344,746 1,806,469
------------
TOTAL COMMUNICATIONS EQUIPMENT 16,797,467
------------
COMPUTERS & PERIPHERALS 2.1%
Apple, Inc.*................. 14,446 1,817,740
Dell, Inc.*.................. 146,721 1,704,898
EMC Corp.*................... 128,342 1,608,125
Hewlett-Packard Co. ......... 50,576 1,819,725
International Business
Machines Corp. ........... 15,901 1,641,142
Lexmark International,
Inc. -- Class A*.......... 88,123 1,728,973
NetApp, Inc.*................ 94,567 1,730,576
QLogic Corp.*................ 130,631 1,852,348
SanDisk Corp.*............... 139,353 2,190,629
Sun Microsystems, Inc.*...... 171,846 1,574,110
Teradata Corp.*.............. 87,643 1,465,391
------------
TOTAL COMPUTERS & PERIPHERALS 19,133,657
------------
CONSTRUCTION & ENGINEERING 0.3%
Fluor Corp. ................. 38,208 1,446,937
Jacobs Engineering Group,
Inc.*..................... 36,868 1,402,459
------------
TOTAL CONSTRUCTION &
ENGINEERING 2,849,396
------------
CONSTRUCTION MATERIALS 0.2%
Vulcan Materials Co. ........ 37,077 1,763,011
------------
TOTAL CONSTRUCTION MATERIALS 1,763,011
------------
CONSUMER FINANCE 0.9%
American Express Co. ........ 113,475 2,861,840
Capital One Financial
Corp. .................... 120,941 2,024,552
Discover Financial Services.. 238,758 1,941,103
SLM Corp.*................... 341,975 1,651,739
------------
TOTAL CONSUMER FINANCE 8,479,234
------------
CONTAINERS & PACKAGING 1.2%
Ball Corp. .................. 35,402 1,335,363
Bemis Co., Inc. ............. 72,529 1,743,597
Owens-Illinois, Inc.*........ 114,750 2,798,753
Pactiv Corp.*................ 113,832 2,488,368
Sealed Air Corp. ............ 111,815 2,131,194
------------
TOTAL CONTAINERS & PACKAGING 10,497,275
------------
DISTRIBUTORS 0.2%
Genuine Parts Co. ........... 51,563 1,751,079
------------
TOTAL DISTRIBUTORS 1,751,079
------------
DIVERSIFIED CONSUMER SERVICES 0.3%
Apollo Group, Inc. -- Class
A*........................ 20,587 1,295,952
H&R Block, Inc. ............. 75,650 1,145,341
------------
TOTAL DIVERSIFIED CONSUMER
SERVICES 2,441,293
------------
DIVERSIFIED FINANCIAL SERVICES 2.0%
Bank of America Corp. ....... 200,306 1,788,733
CIT Group, Inc. ............. 604,515 1,342,023
Citigroup, Inc. ............. 565,029 1,723,338
CME Group, Inc. ............. 6,421 1,421,288
IntercontinentalExchange,
Inc.*..................... 19,960 1,748,496
JPMorgan Chase & Co. ........ 59,534 1,964,622
Leucadia National Corp.*..... 113,943 2,419,010
Moody's Corp. ............... 77,265 2,280,863
Nasdaq OMX Group (The)*...... 69,637 1,339,120
NYSE Euronext................ 79,498 1,841,969
------------
TOTAL DIVERSIFIED FINANCIAL
SERVICES 17,869,462
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.2%
AT&T, Inc. .................. 57,495 1,473,022
CenturyTel, Inc. ............ 55,540 1,507,911
Embarq Corp. ................ 41,337 1,511,281
Frontier Communications
Corp. .................... 225,159 1,600,880
Qwest Communications
International, Inc. ...... 417,247 1,623,091
Verizon Communications,
Inc. ..................... 48,732 1,478,529
Windstream Corp. ............ 184,001 1,527,208
------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 10,721,922
------------
ELECTRIC UTILITIES 2.3%
Allegheny Energy, Inc. ...... 62,071 1,608,880
American Electric Power Co.,
Inc. ..................... 52,590 1,387,324
Duke Energy Corp. ........... 103,727 1,432,470
Edison International......... 50,676 1,444,773
Entergy Corp. ............... 21,773 1,410,237
Exelon Corp. ................ 32,890 1,517,216
FirstEnergy Corp. ........... 37,963 1,552,687
FPL Group, Inc. ............. 29,500 1,586,805
Northeast Utilities.......... 67,892 1,427,090
Pepco Holdings, Inc. ........ 118,928 1,421,190
Pinnacle West Capital
Corp. .................... 55,862 1,529,501
PPL Corp. ................... 50,855 1,521,073
Progress Energy, Inc. ....... 41,702 1,422,872
Southern Co. ................ 48,460 1,399,525
------------
TOTAL ELECTRIC UTILITIES 20,661,643
------------
</Table>
See Notes to Financial Statements.
10
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT 0.6%
Cooper Industries,
Ltd. -- Class A........... 59,213 $1,941,594
Emerson Electric Co. ........ 53,478 1,820,391
Rockwell Automation, Inc. ... 62,745 1,982,115
------------
TOTAL ELECTRICAL EQUIPMENT 5,744,100
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.4%
Agilent Technologies, Inc.*.. 99,995 1,825,909
Amphenol Corp. -- Class A.... 52,002 1,759,748
FLIR Systems, Inc.*.......... 69,648 1,544,792
Jabil Circuit, Inc. ......... 348,538 2,823,158
Molex, Inc. ................. 113,216 1,887,311
Tyco Electronics, Ltd. ...... 139,676 2,435,949
------------
TOTAL ELECTRONIC EQUIPMENT &
INSTRUMENTS 12,276,867
------------
ENERGY EQUIPMENT & SERVICES 2.0%
Baker Hughes, Inc. .......... 44,614 1,587,366
BJ Services Co. ............. 138,086 1,918,015
Cameron International
Corp.*.................... 61,738 1,579,258
Diamond Offshore Drilling,
Inc. ..................... 21,273 1,540,378
ENSCO International, Inc. ... 51,384 1,453,140
Halliburton Co. ............. 83,189 1,682,082
Nabors Industries, Ltd.*..... 134,805 2,050,384
National-Oilwell Varco,
Inc.*..................... 47,126 1,426,975
Rowan Cos., Inc. ............ 103,802 1,620,349
Schlumberger, Ltd. .......... 33,484 1,640,381
Smith International, Inc. ... 58,737 1,518,351
------------
TOTAL ENERGY EQUIPMENT &
SERVICES 18,016,679
------------
FOOD & STAPLES RETAILING 1.7%
Costco Wholesale Corp. ...... 32,630 1,585,818
CVS Caremark Corp. .......... 55,182 1,753,684
Kroger Co.(The).............. 70,256 1,518,935
Safeway, Inc. ............... 74,862 1,478,524
SUPERVALU, Inc. ............. 98,626 1,612,535
Sysco Corp. ................. 64,195 1,497,669
Wal-Mart Stores, Inc. ....... 29,480 1,485,792
Walgreen Co. ................ 61,053 1,918,896
Whole Foods Market, Inc. .... 92,108 1,909,399
------------
TOTAL FOOD & STAPLES RETAILING 14,761,252
------------
FOOD PRODUCTS 2.4%
Archer-Daniels-Midland Co. .. 52,381 1,289,620
Campbell Soup Co. ........... 55,728 1,433,324
ConAgra Foods, Inc. ......... 100,462 1,778,177
Dean Foods Co.*.............. 74,718 1,546,663
General Mills, Inc. ......... 31,085 1,575,699
H.J. Heinz Co. .............. 44,089 1,517,543
Hershey Co.(The)............. 42,101 1,521,530
Hormel Foods Corp. .......... 47,684 1,492,032
J.M. Smucker Co.(The)........ 40,516 1,596,330
Kellogg Co. ................. 40,128 1,689,790
Kraft Foods, Inc. -- Class
A......................... 66,357 1,552,754
McCormick & Co., Inc. ....... 45,570 1,342,037
Sara Lee Corp. .............. 181,906 1,513,458
Tyson Foods, Inc. -- Class
A......................... 157,707 1,662,232
------------
TOTAL FOOD PRODUCTS 21,511,189
------------
GAS UTILITIES 0.5%
EQT Corp. ................... 42,913 1,443,164
Nicor, Inc. ................. 43,787 1,407,314
Questar Corp. ............... 46,090 1,369,795
------------
TOTAL GAS UTILITIES 4,220,273
------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.4%
Baxter International, Inc. .. 29,341 1,423,038
Becton, Dickinson & Co. ..... 23,010 1,391,645
Boston Scientific Corp.*..... 189,821 1,596,395
C.R. Bard, Inc. ............. 19,152 1,371,858
Covidien, Ltd. .............. 46,847 1,545,014
Dentsply International,
Inc. ..................... 59,359 1,698,855
Hospira, Inc.*............... 58,292 1,916,058
Intuitive Surgical, Inc.*.... 15,178 2,181,534
Medtronic, Inc. ............. 52,759 1,688,288
St Jude Medical, Inc.*....... 41,353 1,386,152
Stryker Corp. ............... 46,667 1,806,480
Varian Medical Systems,
Inc.*..................... 49,635 1,656,320
Zimmer Holdings, Inc.*....... 41,863 1,841,553
------------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES 21,503,190
------------
HEALTH CARE PROVIDERS & SERVICES 3.2%
Aetna, Inc. ................. 62,277 1,370,717
AmerisourceBergen Corp. ..... 48,211 1,621,818
Cardinal Health, Inc. ....... 46,837 1,582,622
CIGNA Corp. ................. 82,806 1,632,106
Coventry Health Care, Inc.*.. 125,357 1,994,430
DaVita, Inc.*................ 32,969 1,528,773
Express Scripts, Inc.*....... 31,643 2,024,203
Humana, Inc.*................ 58,002 1,669,298
Laboratory Corp. of America
Holdings*................. 25,961 1,665,398
McKesson Corp. .............. 41,059 1,519,183
Medco Health Solutions,
Inc.*..................... 37,924 1,651,590
Patterson Cos., Inc.*........ 81,628 1,670,109
Quest Diagnostics, Inc. ..... 33,122 1,700,152
Tenet Healthcare Corp.*...... 1,409,245 3,170,801
UnitedHealth Group, Inc. .... 69,305 1,630,054
WellPoint, Inc.*............. 40,786 1,744,009
------------
TOTAL HEALTH CARE PROVIDERS &
SERVICES 28,175,263
------------
HEALTH CARE TECHNOLOGY 0.2%
IMS Health, Inc. ............ 123,199 1,547,379
------------
TOTAL HEALTH CARE TECHNOLOGY 1,547,379
------------
HOTELS, RESTAURANTS & LEISURE
2.4%
Carnival Corp. .............. 66,091 1,776,526
Darden Restaurants, Inc. .... 42,244 1,561,761
International Game
Technology................ 153,261 1,892,773
Marriott International,
Inc. -- Class A........... 92,677 2,183,470
McDonald's Corp. ............ 26,972 1,437,338
Starbucks Corp.*............. 127,443 1,842,826
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 11
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Starwood Hotels & Resorts
Worldwide, Inc. .......... 115,394 $2,407,119
Wyndham Worldwide Corp. ..... 350,502 4,093,863
Wynn Resorts Ltd.*........... 70,834 2,778,818
Yum! Brands, Inc. ........... 54,335 1,812,072
------------
TOTAL HOTELS, RESTAURANTS &
LEISURE 21,786,566
------------
HOUSEHOLD DURABLES 3.0%
Black & Decker Corp. ........ 55,504 2,236,811
Centex Corp. ................ 189,457 2,072,660
D.R. Horton, Inc. ........... 167,069 2,180,250
Fortune Brands, Inc. ........ 62,273 2,447,952
Harman International
Industries, Inc. ......... 125,112 2,275,787
KB HOME...................... 124,029 2,241,204
Leggett & Platt, Inc. ....... 119,361 1,714,024
Lennar Corp. -- Class A...... 174,040 1,695,150
Newell Rubbermaid, Inc. ..... 219,613 2,294,956
Pulte Homes, Inc. ........... 143,337 1,649,809
Snap-on, Inc. ............... 56,241 1,907,695
Stanley Works(The)........... 51,505 1,958,735
Whirlpool Corp. ............. 53,877 2,433,085
------------
TOTAL HOUSEHOLD DURABLES 27,108,118
------------
HOUSEHOLD PRODUCTS 0.7%
Clorox Co. .................. 29,600 1,659,080
Colgate-Palmolive Co. ....... 25,632 1,512,288
Kimberly-Clark Corp. ........ 31,646 1,555,084
Procter & Gamble Co. ........ 31,813 1,572,835
------------
TOTAL HOUSEHOLD PRODUCTS 6,299,287
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6%
AES Corp.(The)*.............. 223,482 1,580,018
Constellation Energy Group,
Inc. ..................... 75,001 1,806,024
Dynegy, Inc. -- Class A*..... 949,257 1,689,677
------------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS 5,075,719
------------
INDUSTRIAL CONGLOMERATES 0.7%
3M Co. ...................... 31,110 1,791,936
General Electric Co. ........ 146,319 1,850,936
Textron, Inc. ............... 228,273 2,449,369
------------
TOTAL INDUSTRIAL CONGLOMERATES 6,092,241
------------
INSURANCE 4.5%
AFLAC, Inc. ................. 74,852 2,162,474
Allstate Corp. .............. 78,479 1,830,915
American International Group,
Inc. ..................... 945,397 1,304,648
Aon Corp. ................... 37,775 1,594,105
Assurant, Inc. .............. 67,804 1,657,130
Chubb Corp. ................. 35,422 1,379,687
Cincinnati Financial Corp. .. 68,960 1,651,592
Genworth Financial,
Inc. -- Class A........... 821,925 1,939,743
Hartford Financial Services
Group, Inc. .............. 184,761 2,119,209
Lincoln National Corp. ...... 185,412 2,084,031
Loews Corp. ................. 64,324 1,601,024
Marsh & McLennan Cos.,
Inc. ..................... 73,566 1,551,507
MBIA, Inc.*.................. 333,002 1,575,099
MetLife, Inc. ............... 66,364 1,974,329
Principal Financial Group,
Inc. ..................... 191,932 3,136,169
Progressive Corp.*........... 113,464 1,733,730
Prudential Financial, Inc. .. 79,752 2,303,238
Torchmark Corp. ............. 56,615 1,660,518
Travelers Cos., Inc.(The).... 37,456 1,540,940
Unum Group................... 122,575 2,002,875
XL Capital, Ltd. -- Class A.. 303,131 2,882,776
------------
TOTAL INSURANCE 39,685,739
------------
INTERNET & CATALOG RETAIL
0.5%
Amazon.com, Inc.*............ 20,986 1,689,793
Expedia, Inc.*............... 191,603 2,607,717
------------
TOTAL INTERNET & CATALOG RETAIL 4,297,510
------------
INTERNET SOFTWARE & SERVICES
0.9%
Akamai Technologies, Inc.*... 77,557 1,707,805
eBay, Inc.*.................. 120,306 1,981,440
Google, Inc. -- Class A*..... 4,446 1,760,483
VeriSign, Inc.*.............. 73,987 1,522,652
Yahoo!, Inc.*................ 107,133 1,530,931
------------
TOTAL INTERNET SOFTWARE &
SERVICES 8,503,311
------------
IT SERVICES 2.0%
Affiliated Computer Services,
Inc. -- Class A*.......... 31,445 1,521,309
Automatic Data Processing,
Inc. ..................... 40,078 1,410,746
Cognizant Technology
Solutions Corp. -- Class
A*........................ 68,536 1,699,007
Computer Sciences Corp.*..... 41,594 1,537,314
Convergys Corp.*............. 204,702 2,069,537
Fidelity National Information
Services, Inc. ........... 83,446 1,489,511
Fiserv, Inc.*................ 42,558 1,588,265
Mastercard, Inc. -- Class A.. 8,834 1,620,597
Paychex, Inc. ............... 63,566 1,716,918
Total System Services,
Inc. ..................... 111,641 1,392,163
Western Union Co. ........... 122,964 2,059,647
------------
TOTAL IT SERVICES 18,105,014
------------
LEISURE EQUIPMENT & PRODUCTS
0.5%
Eastman Kodak Co. ........... 391,970 1,195,508
Hasbro, Inc. ................ 62,182 1,657,772
Mattel, Inc. ................ 130,703 1,955,317
------------
TOTAL LEISURE EQUIPMENT &
PRODUCTS 4,808,597
------------
LIFE SCIENCES TOOLS &
SERVICES 1.0%
Life Technologies Corp.*..... 47,785 1,782,381
Millipore Corp.*............. 25,951 1,533,704
PerkinElmer, Inc. ........... 122,786 1,788,992
Thermo Fisher Scientific
Inc.*..................... 43,717 1,533,592
Waters Corp.*................ 45,451 2,007,571
------------
TOTAL LIFE SCIENCES TOOLS &
SERVICES 8,646,240
------------
MACHINERY 2.8%
Caterpillar, Inc. ........... 52,069 1,852,615
Cummins, Inc. ............... 60,871 2,069,614
Danaher Corp. ............... 26,918 1,573,088
Deere & Co. ................. 46,389 1,914,010
</Table>
See Notes to Financial Statements.
12
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Dover Corp. ................. 56,743 $1,746,550
Eaton Corp. ................. 41,781 1,830,008
Flowserve Corp. ............. 25,400 1,724,660
Illinois Tool Works, Inc. ... 51,346 1,684,149
Ingersoll-Rand Co.,
Ltd. -- Class A........... 100,285 2,183,204
Manitowoc Co., Inc. ......... 341,777 2,033,573
PACCAR, Inc. ................ 56,700 2,009,448
Pall Corp. .................. 73,395 1,938,362
Parker-Hannifin Corp. ....... 45,132 2,046,736
------------
TOTAL MACHINERY 24,606,017
------------
MEDIA 3.6%
CBS Corp. -- Class B......... 343,376 2,417,367
Comcast Corp. -- Class A..... 112,996 1,746,918
DIRECTV Group, Inc.(The)*.... 66,750 1,650,728
Gannett Co., Inc. ........... 657,776 2,571,904
Interpublic Group of Cos.,
Inc.*..................... 365,363 2,287,172
McGraw-Hill Cos., Inc. ...... 75,196 2,267,159
Meredith Corp. .............. 94,644 2,373,672
New York Times Co. -- Class
A......................... 327,409 1,761,460
News Corp. -- Class A........ 236,991 1,957,546
Omnicom Group, Inc. ......... 59,831 1,882,882
Scripps Networks
Interactive -- Class A.... 68,960 1,892,262
Time Warner Cable, Inc. ..... 63,474 2,045,767
Time Warner, Inc. ........... 82,342 1,797,526
Viacom, Inc. -- Class B*..... 90,217 1,735,775
Walt Disney Co.(The)......... 83,232 1,822,781
Washington Post Co. -- Class
B......................... 4,227 1,769,380
------------
TOTAL MEDIA 31,980,299
------------
METALS & MINING 1.7%
AK Steel Holding Corp. ...... 197,231 2,565,975
Alcoa, Inc. ................. 229,192 2,078,771
Allegheny Technologies,
Inc. ..................... 68,262 2,234,215
Freeport-McMoRan Copper &
Gold, Inc. ............... 36,848 1,571,567
Newmont Mining Corp. ........ 34,198 1,376,128
Nucor Corp. ................. 38,672 1,573,564
Titanium Metals Corp. ....... 265,549 1,803,078
United States Steel Corp. ... 70,787 1,879,395
------------
TOTAL METALS & MINING 15,082,693
------------
MULTI-UTILITIES 2.5%
Ameren Corp. ................ 66,889 1,539,785
CenterPoint Energy, Inc. .... 141,378 1,504,262
CMS Energy Corp. ............ 123,272 1,481,729
Consolidated Edison, Inc. ... 38,722 1,437,748
Dominion Resources, Inc. .... 47,138 1,421,682
DTE Energy Co. .............. 53,876 1,593,113
Integrys Energy Group,
Inc. ..................... 56,577 1,494,198
NiSource, Inc. .............. 151,693 1,667,106
PG&E Corp. .................. 38,273 1,420,694
Public Service Enterprise
Group, Inc. .............. 52,481 1,566,033
SCANA Corp. ................. 49,030 1,481,687
Sempra Energy................ 34,016 1,565,416
TECO Energy, Inc. ........... 129,725 1,373,788
Wisconsin Energy Corp. ...... 36,927 1,475,603
Xcel Energy, Inc. ........... 80,841 1,490,708
------------
TOTAL MULTI-UTILITIES 22,513,552
------------
MULTILINE RETAIL 1.8%
Big Lots, Inc.*.............. 71,833 1,985,464
Family Dollar Stores, Inc. .. 47,007 1,560,162
J.C. Penney Co., Inc. ....... 83,337 2,557,613
Kohl's Corp.*................ 35,773 1,622,306
Macy's, Inc. ................ 170,052 2,326,311
Nordstrom, Inc. ............. 97,138 2,198,233
Sears Holdings Corp.*........ 36,678 2,291,275
Target Corp. ................ 46,978 1,938,312
------------
TOTAL MULTILINE RETAIL 16,479,676
------------
OFFICE ELECTRONICS 0.2%
Xerox Corp. ................. 284,535 1,738,509
------------
TOTAL OFFICE ELECTRONICS 1,738,509
------------
OIL, GAS & CONSUMABLE FUELS
4.9%
Anadarko Petroleum Corp. .... 35,243 1,517,564
Apache Corp. ................ 21,972 1,600,880
Cabot Oil & Gas Corp. ....... 56,002 1,690,700
Chesapeake Energy Corp. ..... 81,980 1,615,826
Chevron Corp. ............... 22,029 1,456,117
ConocoPhillips............... 38,523 1,579,443
CONSOL Energy, Inc. ......... 48,635 1,521,303
Denbury Resources, Inc.*..... 93,694 1,525,338
Devon Energy Corp. .......... 30,168 1,564,211
El Paso Corp. ............... 212,295 1,464,835
EOG Resources, Inc. ......... 23,289 1,478,386
Exxon Mobil Corp. ........... 21,618 1,441,272
Hess Corp. .................. 22,797 1,249,048
Marathon Oil Corp. .......... 58,042 1,723,847
Massey Energy Co. ........... 122,535 1,949,532
Murphy Oil Corp. ............ 29,394 1,402,388
Noble Energy, Inc. .......... 27,561 1,564,087
Occidental Petroleum Corp. .. 25,072 1,411,303
Peabody Energy Corp. ........ 52,329 1,380,962
Pioneer Natural Resources
Co. ...................... 84,187 1,946,403
Range Resources Corp. ....... 34,780 1,390,157
Southwestern Energy Co.*..... 46,162 1,655,369
Spectra Energy Corp. ........ 104,355 1,513,147
Sunoco, Inc. ................ 51,829 1,373,987
Tesoro Corp. ................ 98,484 1,501,881
Valero Energy Corp. ......... 76,444 1,516,649
Williams Cos., Inc. ......... 121,858 1,718,198
XTO Energy, Inc. ............ 43,697 1,514,538
------------
TOTAL OIL, GAS & CONSUMABLE
FUELS 43,267,371
------------
PAPER & FOREST PRODUCTS 0.7%
International Paper Co. ..... 199,356 2,523,847
MeadWestvaco Corp. .......... 127,973 2,004,057
Weyerhaeuser Co. ............ 52,870 1,864,196
------------
TOTAL PAPER & FOREST PRODUCTS 6,392,100
------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 13
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
PERSONAL PRODUCTS 0.4%
Avon Products, Inc. ......... 80,036 $1,821,619
Estee Lauder Cos.,
Inc -- Class A............ 62,420 1,866,358
------------
TOTAL PERSONAL PRODUCTS 3,687,977
------------
PHARMACEUTICALS 2.2%
Abbott Laboratories.......... 30,946 1,295,090
Allergan, Inc. .............. 36,688 1,711,862
Bristol-Myers Squibb Co. .... 70,731 1,358,035
Eli Lilly & Co. ............. 46,099 1,517,579
Forest Laboratories, Inc.*... 69,557 1,508,691
Johnson & Johnson, Inc. ..... 29,280 1,533,101
King Pharmaceuticals, Inc.*.. 212,083 1,671,214
Merck & Co., Inc. ........... 56,316 1,365,100
Mylan Inc.*.................. 111,643 1,479,270
Pfizer, Inc. ................ 107,403 1,434,904
Schering-Plough Corp. ....... 63,694 1,466,236
Watson Pharmaceuticals,
Inc.*..................... 52,849 1,635,148
Wyeth........................ 34,783 1,474,799
------------
TOTAL PHARMACEUTICALS 19,451,029
------------
REAL ESTATE INVESTMENT TRUSTS
(REITS) 3.1%
Apartment Investment &
Management Co. -- Class
A......................... 272,172 1,986,856
AvalonBay Communities,
Inc. ..................... 30,509 1,733,216
Boston Properties, Inc. ..... 37,993 1,877,614
Equity Residential........... 77,967 1,784,665
HCP, Inc. ................... 79,919 1,754,222
Health Care REIT, Inc. ...... 47,165 1,606,912
Host Hotels & Resorts,
Inc. ..................... 343,952 2,644,991
Kimco Realty Corp. .......... 178,964 2,151,147
Plum Creek Timber Co.,
Inc. ..................... 53,743 1,855,208
ProLogis..................... 234,717 2,138,272
Public Storage, Inc. ........ 26,689 1,784,426
Simon Property Group, Inc. .. 43,018 2,219,729
Ventas, Inc. ................ 63,286 1,812,511
Vornado Realty Trust......... 40,594 1,984,641
------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS (REITS) 27,334,410
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT 0.5%
CB Richard Ellis Group,
Inc. -- Class A*.......... 555,691 4,167,682
------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 4,167,682
------------
ROAD & RAIL 0.9%
Burlington Northern Santa Fe
Corp. .................... 26,001 1,754,547
CSX Corp. ................... 58,770 1,739,004
Norfolk Southern Corp. ...... 46,942 1,674,891
Ryder System, Inc. .......... 54,710 1,514,920
Union Pacific Corp. ......... 37,326 1,834,200
------------
TOTAL ROAD & RAIL 8,517,562
------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
3.4%
Advanced Micro Devices,
Inc.*..................... 504,271 1,820,418
Altera Corp. ................ 84,401 1,376,580
Analog Devices, Inc. ........ 72,812 1,549,439
Applied Materials, Inc. ..... 138,264 1,688,204
Broadcom Corp. -- Class A*... 74,792 1,734,427
Intel Corp. ................. 97,446 1,537,698
KLA-Tencor Corp. ............ 71,849 1,993,091
Linear Technology Corp. ..... 63,756 1,388,606
LSI Corp.*................... 456,135 1,751,558
MEMC Electronic Materials,
Inc.*..................... 95,285 1,543,617
Microchip Technology, Inc. .. 70,830 1,629,090
Micron Technology, Inc.*..... 404,378 1,973,365
National Semiconductor
Corp. .................... 135,901 1,681,095
Novellus Systems, Inc.*...... 100,303 1,811,472
NVIDIA Corp.*................ 146,955 1,687,043
Teradyne, Inc.*.............. 333,652 1,981,893
Texas Instruments, Inc. ..... 89,162 1,610,266
Xilinx, Inc. ................ 74,111 1,514,829
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 30,272,691
------------
SOFTWARE 2.7%
Adobe Systems, Inc.*......... 69,559 1,902,439
Autodesk, Inc.*.............. 106,482 2,123,251
BMC Software, Inc.*.......... 46,579 1,614,894
CA, Inc. .................... 89,005 1,535,336
Citrix Systems, Inc.*........ 62,072 1,770,914
Compuware Corp.*............. 258,228 1,931,545
Electronic Arts, Inc.*....... 78,010 1,587,504
Intuit, Inc.*................ 55,431 1,282,119
McAfee, Inc.*................ 46,684 1,752,517
Microsoft Corp. ............. 85,848 1,739,281
Novell, Inc.*................ 340,457 1,280,118
Oracle Corp. ................ 84,782 1,639,684
Salesforce.com, Inc.*........ 41,464 1,775,074
Symantec Corp.*.............. 103,833 1,791,119
------------
TOTAL SOFTWARE 23,725,795
------------
SPECIALTY RETAIL 3.6%
Abercrombie & Fitch
Co. -- Class A............ 64,237 1,738,253
AutoNation, Inc.*............ 109,368 1,936,907
AutoZone, Inc.*.............. 9,162 1,524,465
Bed Bath & Beyond, Inc.*..... 62,321 1,895,805
Best Buy Co., Inc. .......... 43,972 1,687,645
GameStop Corp. -- Class A*... 57,973 1,748,466
Gap, Inc.(The)............... 118,428 1,840,371
Home Depot, Inc. ............ 65,630 1,727,382
Limited Brands, Inc. ........ 175,984 2,009,737
Lowe's Cos., Inc. ........... 83,827 1,802,280
O'Reilly Automotive, Inc.*... 42,121 1,636,401
Office Depot, Inc.*.......... 1,079,361 2,795,545
RadioShack Corp. ............ 171,429 2,413,720
Sherwin-Williams Co.(The).... 32,843 1,860,228
Staples, Inc. ............... 85,709 1,767,320
Tiffany & Co. ............... 71,004 2,054,856
TJX Cos., Inc. .............. 58,672 1,641,056
------------
TOTAL SPECIALTY RETAIL 32,080,437
------------
</Table>
See Notes to Financial Statements.
14
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONCLUDED)
TEXTILES, APPAREL & LUXURY
GOODS 0.8%
Coach, Inc.*................. 94,638 $2,318,631
NIKE, Inc. -- Class B........ 31,770 1,666,972
Polo Ralph Lauren Corp. ..... 37,467 2,017,223
V.F. Corp. .................. 25,773 1,527,566
------------
TOTAL TEXTILES, APPAREL &
LUXURY GOODS 7,530,392
------------
THRIFTS & MORTGAGE FINANCE
0.3%
Hudson City Bancorp, Inc. ... 131,224 1,648,174
People's United Financial,
Inc. ..................... 86,776 1,355,441
------------
TOTAL THRIFTS & MORTGAGE
FINANCE 3,003,615
------------
TOBACCO 0.7%
Altria Group, Inc. .......... 88,031 1,437,546
Lorillard, Inc. ............. 24,236 1,530,019
Philip Morris International,
Inc. ..................... 39,399 1,426,244
Reynolds American, Inc. ..... 40,640 1,543,507
------------
TOTAL TOBACCO 5,937,316
------------
TRADING COMPANIES &
DISTRIBUTORS 0.4%
Fastenal Co. ................ 50,017 1,918,652
W.W. Grainger, Inc. ......... 21,755 1,824,810
------------
TOTAL TRADING COMPANIES &
DISTRIBUTORS 3,743,462
------------
WIRELESS TELECOMMUNICATION
SERVICES 0.4%
American Tower Corp. -- Class
A*........................ 47,705 1,515,111
Sprint Nextel Corp.*......... 393,235 1,714,504
------------
TOTAL WIRELESS
TELECOMMUNICATION SERVICES 3,229,615
------------
TOTAL COMMON STOCKS
(Cost $1,261,984,195) 887,939,179
------------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund...................... 1,546,261 1,546,261
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,546,261) 1,546,261
------------
TOTAL INVESTMENTS 99.9%
(Cost $1,263,530,456) 889,485,440
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 595,386
------------
NET ASSETS--100.0% $890,080,826
- ---------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 2.0%
Boeing Co. .................. 60,466 $2,421,663
United Technologies Corp. ... 78,314 3,824,856
------------
TOTAL AEROSPACE & DEFENSE 6,246,519
------------
AIR FREIGHT & LOGISTICS 0.9%
United Parcel Service,
Inc. -- Class B........... 55,038 2,880,689
------------
TOTAL AIR FREIGHT & LOGISTICS 2,880,689
------------
BEVERAGES 4.7%
Coca-Cola Co.(The)........... 186,918 8,046,820
PepsiCo, Inc. ............... 127,638 6,351,267
------------
TOTAL BEVERAGES 14,398,087
------------
CAPITAL MARKETS 1.7%
Goldman Sachs Group,
Inc.(The)................. 40,364 5,186,774
------------
TOTAL CAPITAL MARKETS 5,186,774
------------
CHEMICALS 1.4%
Monsanto Co. ................ 44,162 3,748,912
Mosaic Co (The).............. 12,492 505,301
------------
TOTAL CHEMICALS 4,254,213
------------
COMMERCIAL BANKS 3.0%
U.S. Bancorp................. 140,068 2,552,039
Wells Fargo & Co. ........... 339,572 6,794,836
------------
TOTAL COMMERCIAL BANKS 9,346,875
------------
COMMUNICATIONS EQUIPMENT 4.8%
Cisco Systems, Inc.*......... 475,358 9,183,916
QUALCOMM, Inc. .............. 130,256 5,512,434
------------
TOTAL COMMUNICATIONS EQUIPMENT 14,696,350
------------
COMPUTERS & PERIPHERALS 8.9%
Apple, Inc.*................. 70,944 8,926,884
Hewlett-Packard Co. ......... 198,388 7,138,000
International Business
Machines Corp. ........... 110,526 11,407,388
------------
TOTAL COMPUTERS & PERIPHERALS 27,472,272
------------
DIVERSIFIED FINANCIAL
SERVICES 5.1%
Bank of America Corp. ....... 509,490 4,549,746
Citigroup, Inc. ............. 438,106 1,336,223
JPMorgan Chase & Co. ........ 298,068 9,836,244
------------
TOTAL DIVERSIFIED FINANCIAL
SERVICES 15,722,213
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES 6.3%
AT&T, Inc. .................. 478,086 12,248,563
Verizon Communications,
Inc. ..................... 229,394 6,959,814
------------
TOTAL DIVERSIFIED
TELECOMMUNICATION SERVICES 19,208,377
------------
ELECTRIC UTILITIES 0.8%
Exelon Corp. ................ 52,790 2,435,203
------------
TOTAL ELECTRIC UTILITIES 2,435,203
------------
ENERGY EQUIPMENT & SERVICES
1.5%
Schlumberger, Ltd. .......... 96,010 4,703,530
------------
TOTAL ENERGY EQUIPMENT &
SERVICES 4,703,530
------------
FOOD & STAPLES RETAILING 4.2%
CVS Caremark Corp. .......... 115,024 3,655,463
Wal-Mart Stores, Inc. ....... 180,550 9,099,720
------------
TOTAL FOOD & STAPLES RETAILING 12,755,183
------------
HEALTH CARE EQUIPMENT &
SUPPLIES 0.9%
Medtronic, Inc. ............. 90,378 2,892,096
------------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES 2,892,096
------------
HOTELS, RESTAURANTS & LEISURE
1.6%
McDonald's Corp. ............ 91,216 4,860,901
------------
TOTAL HOTELS, RESTAURANTS &
LEISURE 4,860,901
------------
HOUSEHOLD PRODUCTS 3.9%
Procter & Gamble Co. ........ 242,570 $11,992,661
------------
TOTAL HOUSEHOLD PRODUCTS 11,992,661
------------
INDUSTRIAL CONGLOMERATES 4.5%
3M Co. ...................... 56,674 3,264,422
General Electric Co. ........ 846,740 10,711,261
------------
TOTAL INDUSTRIAL CONGLOMERATES 13,975,683
------------
INSURANCE 0.1%
American International Group,
Inc. ..................... 186,950 257,991
------------
TOTAL INSURANCE 257,991
------------
INTERNET SOFTWARE & SERVICES
2.5%
Google, Inc. -- Class A*..... 19,054 7,544,812
------------
TOTAL INTERNET SOFTWARE &
SERVICES 7,544,812
------------
IT SERVICES 0.8%
Visa, Inc. -- Class A........ 36,024 2,340,119
------------
TOTAL IT SERVICES 2,340,119
------------
MEDIA 2.9%
Comcast Corp. -- Class A..... 225,642 3,488,425
Time Warner, Inc. ........... 95,990 2,095,462
Walt Disney Co.(The)......... 153,318 3,357,664
------------
TOTAL MEDIA 8,941,551
------------
OIL, GAS & CONSUMABLE FUELS
15.1%
Chevron Corp. ............... 166,444 11,001,948
ConocoPhillips............... 124,122 5,089,002
Exxon Mobil Corp. ........... 400,426 26,696,402
Occidental Petroleum Corp. .. 66,048 3,717,842
------------
TOTAL OIL, GAS & CONSUMABLE
FUELS 46,505,194
------------
PHARMACEUTICALS 11.6%
Abbott Laboratories.......... 124,194 5,197,519
Eli Lilly & Co. ............. 80,420 2,647,426
Johnson & Johnson, Inc. ..... 226,786 11,874,515
</Table>
See Notes to Financial Statements.
16
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Merck & Co., Inc. ........... 172,740 $4,187,218
Pfizer, Inc. ................ 544,410 7,273,318
Wyeth........................ 107,296 4,549,350
------------
TOTAL PHARMACEUTICALS 35,729,346
------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
2.4%
Intel Corp. ................. 460,944 7,273,696
------------
TOTAL SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT 7,273,696
------------
SOFTWARE 6.2%
Microsoft Corp. ............. 646,032 13,088,608
Oracle Corp. ................ 313,402 6,061,195
------------
TOTAL SOFTWARE 19,149,803
------------
TOBACCO 1.9%
Philip Morris International,
Inc. ..................... 159,264 5,765,357
------------
TOTAL TOBACCO 5,765,357
------------
TOTAL COMMON STOCKS
(Cost $490,685,903) 306,535,495
------------
SHORT TERM INVESTMENTS 0.5%
SSgA Government Money Market
Fund...................... 1,399,099 1,399,099
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,399,099) 1,399,099
------------
TOTAL INVESTMENTS 100.2%
(Cost $492,085,002) 307,934,594
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.2)% (559,957)
------------
NET ASSETS--100.0% $307,374,637
- ---------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
STATEMENT OF ASSETS AND LIABILITIES April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX RUSSELL
EQUAL TOP 50
WEIGHT ETF ETF
-------------- -------------
ASSETS
Investments at Market Value*............................. $ 889,485,440 $ 307,934,594
Receivables:
Investments Sold....................................... -- 6,919,347
Fund Shares Sold....................................... 17,020,328 6,681,333
Dividends.............................................. 840,028 523,426
-------------- -------------
TOTAL ASSETS........................................ 907,345,796 322,058,700
-------------- -------------
LIABILITIES
Payables:
Investments Purchased.................................. 17,003,009 8,055,438
Fund Shares Repurchased................................ -- 6,571,715
Accrued Management Fees................................ 261,961 56,910
-------------- -------------
TOTAL LIABILITIES................................... 17,264,970 14,684,063
-------------- -------------
NET ASSETS............................................... $ 890,080,826 $ 307,374,637
============== =============
NET ASSETS CONSIST OF:
Paid-in Capital.......................................... $1,546,463,331 $ 533,945,791
Undistributed Net Investment Income...................... 611,207 627,390
Accumulated Net Realized Loss on Investment Securities... (282,948,696) (43,048,136)
Net Unrealized Depreciation on Investment Securities..... (374,045,016) (184,150,408)
-------------- -------------
NET ASSETS............................................... $ 890,080,826 $ 307,374,637
============== =============
Shares Outstanding (Unlimited Shares Authorized), No Par
Value.................................................. 30,308,328 4,600,478
============== =============
Net Asset Value, Offering Price and Repurchase Price Per
Share.................................................. $ 29.37 $ 66.81
============== =============
*Total Cost of Investments............................... $1,263,530,456 $ 492,085,002
============== =============
</Table>
See Notes to Financial Statements.
18
STATEMENT OF OPERATIONS For the Six Months Ended
April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX RUSSELL
EQUAL TOP 50
WEIGHT ETF ETF
------------- -------------
INVESTMENT INCOME
Dividends............................................... $ 10,107,935 $ 6,784,508
------------- ------------
EXPENSES
Management Fee.......................................... 1,443,559 397,804
------------- ------------
Net Investment Income..................................... 8,664,376 6,386,704
------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss From:
Investments............................................. (158,872,454) (8,891,984)
In-kind Redemptions..................................... (49,717,436) (35,032,713)
------------- ------------
Net Realized Loss.................................... (208,589,890) (43,924,697)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities................................... 185,871,136 (27,647,941)
------------- ------------
Net Realized and Unrealized Loss on Investments........... (22,718,754) (71,572,638)
------------- ------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS......................................... $ (14,054,378) $(65,185,934)
============= ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 19
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF RYDEX RUSSELL TOP 50 ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income.......... $ 8,664,376 $ 22,366,704 $ 6,386,704 $ 13,478,166
Net Realized Loss.............. (208,589,890) (38,415,845) (43,924,697) (22,149,607)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments.............. 185,871,136 (632,923,455) (27,647,941) (210,678,370)
------------- --------------- ------------- -------------
Net Decrease in Net Assets
Resulting From Operations... (14,054,378) (648,972,596) (65,185,934) (219,349,811)
------------- --------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income.......... (8,053,169) (21,971,144) (6,598,281) (13,329,460)
------------- --------------- ------------- -------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares
Purchased................... 366,951,841 619,139,869 181,355,285 283,203,866
Value of Shares Purchased
through Dividend
Reinvestments............... 12,490 39,088 13,347 22,733
Value of Shares Redeemed....... (298,192,874) (1,282,510,869) (237,087,835) (297,024,052)
------------- --------------- ------------- -------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions................ 68,771,457 (663,331,912) (55,719,203) (13,797,453)
------------- --------------- ------------- -------------
Increase (Decrease) in Net
Assets.................... 46,663,910 (1,334,275,652) (127,503,418) (246,476,724)
NET ASSETS--BEGINNING OF PERIOD.. 843,416,916 2,177,692,568 434,878,055 681,354,779
------------- --------------- ------------- -------------
NET ASSETS--END OF PERIOD(1)..... $ 890,080,826 $ 843,416,916 $ 307,374,637 $ 434,878,055
============= =============== ============= =============
(1) Including Undistributed Net
Investment Income............ $ 611,207 $ -- $ 627,390 $ 838,967
============= =============== ============= =============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased............... 13,700,000 14,600,000 2,600,000 3,050,000
Shares Purchased through
Dividend Reinvestments...... 477 905 202 241
Shares Redeemed................ (11,500,000) (29,504,000) (3,700,000) (3,200,000)
Shares Outstanding, Beginning
of Period................... 28,107,851 43,010,946 5,700,276 5,850,035
------------- --------------- ------------- -------------
Shares Outstanding, End of
Period...................... 30,308,328 28,107,851 4,600,478 5,700,276
============= =============== ============= =============
</Table>
See Notes to Financial Statements.
20
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
----------------------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2009 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
(UNAUDITED) 2008 2007 2006(1)(2) 2005(1) 2004(1)
--------------- --------------- --------------- --------------- --------------- ---------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD.... $30.01 $50.63 $46.06 $39.68 $35.70 $31.61
-------- -------- ---------- ---------- ---------- --------
Net Investment Income*... 0.31 0.72 0.59 0.52 0.43 0.37
Net Realized and
Unrealized Gain (Loss)
on Investments......... (0.64) (20.64) 4.56 6.36 3.95 4.08
-------- -------- ---------- ---------- ---------- --------
TOTAL FROM INVESTMENT
OPERATIONS............. (0.33) (19.92) 5.15 6.88 4.38 4.45
-------- -------- ---------- ---------- ---------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.... (0.31) (0.70) (0.58) (0.50) (0.40) (0.36)
-------- -------- ---------- ---------- ---------- --------
NET ASSET VALUE AT END OF
PERIOD................. $29.37 $30.01 $50.63 $46.06 $39.68 $35.70
======== ======== ========== ========== ========== ========
TOTAL RETURN**........... (1.96)% (39.75)% 11.23% 17.42% 12.29% 14.11%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
Omitted)............... $890,081 $843,417 $2,177,693 $1,759,797 $1,071,410 $485,636
RATIO TO AVERAGE NET
ASSETS OF:
Expenses................. 0.40%*** 0.40% 0.40% 0.40% 0.40% 0.40%
Net Investment Income.... 2.37%*** 1.65% 1.22% 1.21% 1.11% 1.09%
Portfolio Turnover
Rate+.................. 21% 32% 25% 16% 22% 55%
</Table>
(1) All per share information representing data prior to April 26, 2006 has
been adjusted for the effect of a 4 for 1 stock split which occurred on
April 26, 2006.
(2) Beginning with the year ended October 31, 2006, the fund was audited by
Ernest & Young LLP. The previous periods were audited by another
independent registered public accounting firm.
* Based on average shares outstanding.
** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
*** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 21
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2009 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
(UNAUDITED) 2008 2007 2006(1) 2005*
--------------- --------------- --------------- --------------- ---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD......................... $76.29 $116.47 $104.15 $91.39 $91.51
-------- -------- -------- -------- --------
Net Investment Income**.......... 1.05 2.34 2.15 1.92 0.79
Net Realized and Unrealized Gain
(Loss) on Investments.......... (9.47) (40.20) 12.25 12.71 (0.46)
-------- -------- -------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS..................... (8.42) (37.86) 14.40 14.63 0.33
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income............ (1.06) (2.32) (2.08) (1.87) (0.45)
-------- -------- -------- -------- --------
NET ASSET VALUE AT END OF
PERIOD......................... $66.81 $76.29 $116.47 $104.15 $91.39
======== ======== ======== ======== ========
TOTAL RETURN***.................. (22.20)% (32.92)% 13.96% 16.18% 0.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)................ $307,375 $434,878 $681,355 $364,541 $137,085
RATIO TO AVERAGE NET ASSETS OF:
Expenses......................... 0.20%**** 0.20% 0.20% 0.20% 0.20%****
Net Investment Income............ 3.17%**** 2.37% 1.96% 1.98% 1.74%****
Portfolio Turnover Rate+......... 5% 10% 8% 7% 1%
</Table>
* The Fund commenced operations on May 4, 2005.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
(1) Beginning with the year ended October 31, 2006, the fund was audited by
Ernest & Young LLP. The previous periods were audited by another
independent registered public accounting firm.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
22
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended (the "1940
Act"). The Trust was organized as a Delaware statutory trust on November 22,
2002. As of April 30, 2009, the Trust offers thirty one portfolios, each of
which represents a separate series of beneficial interest in the Trust (each a
"Fund" and collectively the "Funds"). The financial statements herein relate to
the following two funds: Rydex S&P Equal Weight ETF and Rydex Russell Top 50
ETF. Rydex S&P Equal Weight ETF commenced operations on April 24, 2003 and the
Rydex Russell Top 50 ETF commenced operations on May 4, 2005.
The Funds' investment objective is to provide investment results that correspond
generally to the performance, before fees and expenses, of an index representing
publicly traded equity securities (the "Underlying Index"). Rydex S&P Equal
Weight ETF tracks the S&P 500 Equal Weight Total Return Index. Rydex Russell Top
50 ETF tracks the Russell Top 50(TM) Index. The Funds seek to achieve their
objective by investing in common stocks that comprise the Underlying Index. The
Funds use a "replication" strategy to track the Underlying Index. "Replication"
refers to investing in substantially all of the securities in the Underlying
Index in approximately the same proportions as in the Underlying Index.
The Funds operate as index funds and are not actively managed. Adverse
performance of a security in the Funds' portfolio will ordinarily not result in
the elimination of the security from the Funds' portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value,
only in aggregations of 50,000 shares called a "Creation Unit". Creation Units
are issued and redeemed principally in-kind for securities included in the
Underlying Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosures at the date of the financial statements and accompanying notes and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Management believes that the estimates utilized in
preparing the Funds' financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
A. SECURITY VALUATION
Securities listed on a domestic securities exchange are valued based on the last
sale price as of the close of regular trading hours on the New York Stock
Exchange or, in the absence of recorded sales, are valued at the most recent bid
price. Securities for which the primary market is the National Association of
Securities Dealers Automated Quotations National Market System ("NASDAQ") are
valued at the NASDAQ Official Closing Price. The Funds invest in money market
mutual funds, which are valued at their NAV.
Securities, for which market quotations are not readily available, including
investments that are subject to limitations as to their sale, are valued at fair
value as determined in good faith by Rydex Investments, which acts as the Funds'
investment advisor in accordance with procedures adopted by the Board of
Trustees. In determining fair value, consideration is given to market
conditions, relative benchmarks and other financial data.
B. SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are recorded on the trade date for financial reporting
purposes. Realized gains and losses from portfolio fund transactions are
calculated on the identified cost basis. Dividend income is recorded on the ex-
dividend date, net of foreign tax withholdings. Interest income is recorded on
the accrual basis.
C. REPURCHASE AGREEMENTS
The Funds may enter into repurchase agreements with financial institutions. In a
repurchase agreement, a Fund buys a security and the seller simultaneously
agrees to repurchase the security on a specified future date at an agreed-upon
price. The repurchase price reflects an agreed-upon interest rate during the
time the Fund's money is invested in the security. Because the security
constitutes collateral for the repurchase obligation, a repurchase agreement can
be considered a collateralized loan. The Funds follow certain procedures
designed to minimize the risks inherent in such agreements. These procedures
include effecting repurchase transactions only with large, well-capitalized and
well-established financial institutions whose condition will be continually
monitored by Rydex Investments. In addition, the value of the collateral
underlying the repurchase agreement will always be at least equal to the
repurchase price, including any accrued interest earned on the repurchase
agreement. In the event of a default or bankruptcy by a selling financial
institution, the Funds will seek to liquidate such collateral. However, the
exercising of the Funds' right to liquidate such collateral could
SEMI-ANNUAL REPORT 23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
involve certain costs or delays and, to the extent that proceeds from any sale
upon a default of the obligation to repurchase were less than the repurchase
price, the Funds could suffer a loss. It is the current policy of the Funds not
to invest in repurchase agreements that do not mature within seven days if any
such investment, together with any other illiquid assets held by the Funds,
amounts to more than 15% of the Funds' net assets. The investments of the Funds
in repurchase agreements, at times, may be substantial when, in the view of
Rydex Investments, liquidity or other considerations so warrant. For the six
months ended April 30, 2009, the Funds had not engaged in repurchase agreement
transactions.
D. FEDERAL INCOME TAXES
The Funds' policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of the
taxable income and capital gains, if any, to the shareholders within the
allowable time limits. Therefore, no provision for Federal income taxes is
required.
Tax positions taken or expected to be taken in the course of preparing the
Funds' tax returns are evaluated to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Management has
analyzed the Funds' tax positions taken on federal income tax returns for all
open tax years (fiscal years 2005 -- 2008), and has concluded that no provision
for income tax was required in the Funds' financial statements.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles. These differences are primarily due to differing treatments for in-
kind redemptions, income reclassifications from real estate investment trusts
("REITs") and losses deferred due to wash sales.
For the six months ended April 30, 2009, the Funds realized net capital gains
resulting from in-kind redemptions and other transactions. Because gains from
in-kind redemptions are not-taxable to the Funds, and are not distributed to
existing Fund shareholders, the gains are reclassified from accumulated net
realized gains to paid-in-capital at the end of the Funds' tax year. These
reclassifications have no effect on net assets or net asset value per share. The
in-kind net capital gains for the period ended April 30, 2009 are disclosed in
the Fund's Statement of Operations.
At April 30, 2009, the identified cost of investments in securities owned by
each Fund for federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS
IDENTIFIED UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION DEPRECIATION
-------------- ------------ ------------- --------------
Rydex S&P Equal Weight ETF.................... $1,263,530,456 $11,604,723 $(385,649,739) $(374,045,016)
Rydex Russell Top 50 ETF...................... 492,085,002 -- (184,150,408) (184,150,408)
</Table>
E. FAIR VALUE MEASUREMENT
Effective November 1, 2008, the Funds adopted Statement of 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 an
acceptable fair valuation methods and applications.
Various inputs may be used to determine the value of the fund's investments.
These inputs are summarized in three broad levels:
Level 1 -- quoted prices in active markets for identical securities.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 -- significant unobservable inputs (including the Funds' own
assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
24
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2009:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3 OTHER
INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL
FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS TOTAL
- ---- ------------- ------------- ------------- ------------- ------------- ------------- ------------
ASSETS
Rydex S&P Equal Weight
ETF.................... $889,485,440 $ -- $ -- $ -- $ -- $ -- $889,485,440
Rydex Russell Top 50
ETF.................... 307,934,594 -- -- -- -- -- 307,934,594
</Table>
F. DIVIDENDS AND DISTRIBUTIONS
Distributions of net investment income and net realized capital gains, if any,
are declared at least annually and recorded on the ex-dividend date and are
determined in accordance with income tax regulations which may differ from U.S.
generally accepted accounting principles.
G. RISK AND UNCERTAINTIES
The Trust invests in various investments which are exposed to risk, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect
amounts reported in future financial statements. The Rydex Russell Top 50 ETF is
a non-diversified fund, subjecting it to a greater risk than a fund that is
diversified.
H. NEW ACCOUNTING PRONOUNCEMENTS
In March 2008, Statement of Financial Accounting Standards No. 161, "Disclosures
about Derivative Instruments and Hedging Activities" ("SFAS 161") was issued and
is effective for fiscal years and interim periods beginning after November 15,
2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging
activities. Management is currently evaluating the impact the adoption of SFAS
161 will have on the Funds' financial statement disclosures.
In April 2009, FASB issued FASB Staff Position FSP FAS 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FAS
157-4"), which provides additional guidance when the volume and level of
activity for the asset or liability measured at fair value have significantly
decreased. Additionally, FAS 157-4 amends FASB Statement No. 157, Fair Value
Measurements, expanding disclosure requirements by reporting entities
surrounding the major categories of assets and liabilities carried at fair
value. FAS 157-4 is effective for interim and annual periods ending after June
15, 2009. Management is currently evaluating the impact the adoption of FAS 157-
4 will have on the Funds' financial statement disclosures.
In May 2009, FASB issued FASB Staff Position FSP FAS 165, "Subsequent Events"
("FAS 165"), which provides additional guidance with respect to financial
reporting of subsequent events, specifically; the period covered by subsequent
events, the circumstance under which subsequent events will be recognized and
the disclosure an entity will make about events or transactions that occur after
balance sheet date. FAS 165 is effective for interim and annual periods ending
after June 15, 2009. Management is currently evaluating the impact the adoption
of FAS 165 will have on the Funds' financial statement disclosures.
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
Rydex Investments determines the composition of the portfolio of securities that
must be delivered in exchange for the issuance of Creation Units and
periodically adjusts the composition of the portfolio of the Funds to conform to
changes in the composition of the relevant index. For these services, Rydex
Investments receives an advisory fee at the annual rate shown below of the
average daily net assets of each Fund.
<Table>
<Caption>
ADVISORY FEE
------------
Rydex S&P Equal Weight ETF........................................... 0.40%
Rydex Russell Top 50 ETF............................................. 0.20%
</Table>
Rydex Investments pays all expenses of the Funds, including the cost of transfer
agency, custody, fund administration, legal, audit and other services, except:
interest, taxes, distribution fees or expenses and extraordinary expenses.
Under an Administration Agreement, State Street Bank and Trust Company (the
"Administrator") provides various administrative and accounting services for the
maintenance and operations of the Funds. Under a Custodian Agreement with the
Trust, the Administrator maintains cash, securities and other assets of the
Trust and the Funds in separate accounts for each fund, keeps all necessary
accounts and records, and provides other services. The Administrator is
required, upon the order of the Trust, to deliver securities held by the
SEMI-ANNUAL REPORT 25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
Custodian and to make payments for securities purchased by the Trust for the
Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the
Administrator acts as a transfer agent for the Trust's authorized and issued
shares of beneficial interest, and as dividend disbursing agent of the Trust.
Rydex Investments compensates the Administrator directly for the foregoing
services.
The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to
pay distribution fees to Rydex Distributors, Inc. (the "Distributor") and other
firms that provide distribution services ("Service Providers"). If a Service
Provider provides distribution services, the Funds will pay distribution fees to
the Distributor at an annual rate not to exceed 0.25% of average daily net
assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor will, in turn,
pay the Service Provider out of its fees. No such fee is currently charged to
the Funds.
4. CAPITAL
At April 30, 2009, there were an unlimited number of no par value shares of
beneficial interest authorized. There is a minimum transaction fee per
transaction to those persons purchasing or redeeming Creation Units. An
additional charge of up to three times the standard transaction fee may be
imposed for purchases and redemptions effected outside the National Securities
Clearing Corporation usual clearing process or for cash. Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
equate the transaction to the net asset value per unit of the Fund on the
transaction date. Transaction fees are not charged to or paid by the Fund. The
minimum transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex S&P Equal Weight ETF......................................... $2,000
Rydex Russell Top 50 ETF........................................... 500
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2009 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- ------------
Rydex S&P Equal Weight ETF.................................. $329,975,091 $261,008,759
Rydex Russell Top 50 ETF.................................... 176,882,839 232,624,971
</Table>
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
Rydex S&P Equal Weight ETF.................................. $162,132,794 $160,541,745
Rydex Russell Top 50 ETF.................................... 19,018,454 18,075,461
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2009.
26
SUPPLEMENTAL INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
Information regarding how the Funds voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended September 30, 2008 is
also available, without charge and upon request, by (i) calling 1-800-820-0888;
or accessing the Trust's Form N-PX 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 Trust's Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 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.
SEMI-ANNUAL REPORT 27
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
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ---------------------- ----------------
CARL G. VERBONCOEUR* Rydex Series 152
Trustee, President Funds - 2004
(1952) Rydex Variable
Trust - 2004
Rydex Dynamic
Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Treasurer of Rydex Specialized Products,
LLC (2005 to 2009); Chief Executive Officer of Rydex Specialized Products, LLC (2005 to
2008); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003
to 2009).
---------------------
MICHAEL P. BYRUM* Rydex Series 152
Trustee, Vice President Funds - 2005
and Secretary (1970) Rydex Variable
Trust - 2005
Rydex Dynamic
Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Investment Officer of Rydex
Investments (2003 to present); Secretary of Rydex Specialized Products, LLC (2005 to
2008); 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)
- ---------------------------------------------------------------------------------------
</Table>
INDEPENDENT TRUSTEES
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ---------------------- ----------------
JOHN O. DEMARET Rydex Series 152
Trustee, Chairman of Funds - 1997
the Board (1940) Rydex Variable
Trust - 1998
Rydex Dynamic
Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------
COREY A. COLEHOUR Rydex Series 152
Trustee (1945) Funds - 1993
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, registered investment advisor (2005 to 2006); Senior
Vice President of Marketing and Co-Owner of Schield Management Company, registered
investment advisor (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series 152
Trustee (1941) Funds - 1995
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 152
Trustee (1940) Funds - 2005
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 152
Trustee (1960) Funds - 2005
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 152
Trustee (1942) Funds - 1997
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 152
Trustee (1944) Funds - 1993
Rydex Variable
Trust - 1998
Rydex Dynamic
Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- ---------------------------------------------------------------------------------------
</Table>
28
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ----------------------------------------- -----------------------------------------
NICK BONOS* Chief Financial Officer of Rydex
Vice President and Treasurer (1963) Specialized Products, LLC (2005 to
present); Vice President and Treasurer of
Rydex Series Funds, Rydex Variable Trust,
Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President
of Rydex Investments (2003 to present);
Vice President and Treasurer of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series
Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex
(1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds
(2000 to present); Secretary of Rydex ETF
Trust (2002 to present); Vice President
of Compliance of Rydex Investments (2000
to present); Secretary of Rydex Capital
Partners SPhinX Fund (2003 to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds, Rydex ETF Trust (2006 to
present); Senior Vice President of Rydex
Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds,
Rydex ETF Trust (2006 to present);
Director of Fund Administration of Rydex
Investments (2001 to present)
</Table>
* Officers of the Funds are deemed to be "interested persons" of the Trust,
within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as this
person is affiliated with the Rydex Investments.
(RYDEX | SGI(SM) LOGO)
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF1-SEMI-0409X1009
APRIL 30, 2009
RYDEX ETF TRUST
SEMI-ANNUAL REPORT
RYDEX S&P 500 PURE VALUE ETF
RYDEX S&P 500 PURE GROWTH ETF
RYDEX S&P MIDCAP 400 PURE VALUE ETF
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
RYDEX S&P EQUAL WEIGHT ENERGY ETF
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
RYDEX S&P EQUAL WEIGHT INDUSTRIALS ETF
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
(RYDEX | SGI(SM) LOGO)
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 4
PREMIUM AND DISCOUNT INFORMATION......................................... 5
PORTFOLIO SUMMARY........................................................ 8
SCHEDULES OF INVESTMENTS................................................. 23
STATEMENTS OF ASSETS AND LIABILITIES..................................... 46
STATEMENTS OF OPERATIONS................................................. 50
STATEMENTS OF CHANGES IN NET ASSETS...................................... 54
FINANCIAL HIGHLIGHTS..................................................... 62
NOTES TO FINANCIAL STATEMENTS............................................ 77
SUPPLEMENTAL INFORMATION................................................. 83
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 84
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
Last year was a difficult one for many as unemployment increased, housing values
decreased and the impact of an economic slowdown reverberated in stock markets
around the world. As we enter a new market environment in which investors,
regulators and legislators have a dramatically reduced tolerance for risk and a
greater demand for transparency, investment professionals are increasingly
turning to exchange traded funds (ETFs). Due to their convenience, transparency
and ability to provide access to difficult-to-reach areas of the market, ETFs
can play an important role in investor portfolios. Needless to say, Rydex is a
proud participant in the ETF space with $4 billion in ETF assets and more than
40 exchange traded products.
Growing Industry Influence. More investment advisors are gravitating to ETFs
for their flexibility, transparency and lower expense ratios. In fact, nearly
all of the advisors (83%) who took part in the Rydex AdvisorBenchmarking(TM)
November 2008 Survey believe that ETFs will be their primary investment vehicle
in 2009. While ETF assets have fallen 12.9% over the past 12 months to $495B
from $569B, the number of ETF products in the market actually climbed
16% -- with greatest growth in global and international ETFs. According to the
Investment Company Institute, there are now more than 719 ETFs in this category
versus 614 a year ago -- a notable 41% increase. Some industry experts even see
ETFs' popularity encroaching on sacred mutual fund territory. In April, Lipper
reported that "Sales of new ETFs appear to be replacing sales of new mutual
funds over the past several years. ETF launches now exceed 30% of all new (fund)
products."
Unprecedented Market Conditions. The financial crisis that unfolded earlier
this year affected nearly every conceivable asset class, resulting in huge
declines in wealth -- regardless of how investors had structured their
portfolios. Other than treasury bills and the U.S. dollar, no investment class
was spared the widespread panic that washed over the world's financial markets.
In the U.S. alone, the major stock market averages lost more than 20% of their
value as the entire financial system seized up and choked as the engine of any
economy -- bank lending -- stalled out. The resulting crash in global stock
markets was as steep as anything we witnessed since the historic stock market
crash of 1929. Huge financial dominoes began to fall as Merrill Lynch, Morgan
Stanley, Goldman Sachs and Lehman Brothers collapsed, merged with or were reborn
as commercial banks. Among other things, the crisis showed us that the Wall
Street formula of highly leveraged balance sheets, coupled with the need to
access working capital on a daily basis, proved to be lethal when backed by
seemingly worthless assets. And as the willingness to lend disappeared, so did
Wall Street's daily lifeline.
Historic Government Intervention. September 2008 proved to be a historic month
for unprecedented government intervention in the equity markets. On September
18, the U.S. Treasury announced the establishment of a temporary guarantee
program for money market mutual funds after the Reserve Primary Fund "broke the
buck" -- causing a massive exodus from money market mutual funds. The next day,
on September 19, the Securities and Exchange Commission (SEC) issued a temporary
ban prohibiting the short sales of certain financial securities. We complied
with the SEC action by suspending trading of the Rydex Inverse 2x S&P Select
Sector Financial ETF until the ban was lifted on October 8, 2008. The month of
September also saw the takeover of Fannie Mae, Freddie Mac and AIG, the seizure
of IndyMac Bank and Washington Mutual, which pointed to a near takeover of the
global financial system by the government. In this history-making period,
government at all levels moved with unprecedented speed, scope and coordination
to save the financial system and with it the global economy. This culminated
with a $700 billion plan put forward by the U.S. Treasury to essentially buy up
all the bad mortgage assets clogging the financial system. Newly sworn-in
government officials committed $12 trillion to programs designed to offset
credit and sub-prime mortgage-related issues that were negatively impacting the
financial services industry. This historic government intervention kicked into
high gear during the fall when Congress established The Emergency Economic
Stabilization Act of 2008 (EESA) in an effort to help strengthen the U.S.
economy. Primarily, the act authorized the Troubled Assets Relief Program
(TARP), which was originally structured to purchase troubled assets from ailing
banks but quickly morphed into an effort to recapitalize the banking industry.
Signs of a Recovery. The question at the forefront of everyone's mind still
remains: Will it all work? While it looks like the Dow Jones Industrial Average
finally found its bottom of 6547.05 on March 9, investors still remain cautious.
The new administration has rightly made the economy its top priority and we are
starting to see some proverbial light at the end of the tunnel. All major U.S.
indices ended April in positive territory with the NASDAQ Composite posting a
12.35% gain, the S&P 500 jumping to 9.39% and the Dow Industrials closing out
the month with a respectable 7.35% gain. In fact, April proved to be a solid
month of recovery as the NASDAQ reported its best April percentage gain since
2001 (when it gained 14.99%), the S&P posted its best gain since 1938 (when it
gained 15.06%) and the Dow had its best monthly gain since last March, when it
rose 7.77%.
On the housing front, home-sales figures in recent weeks have shown a slower
pace of decline and the slide in property prices appears to have stabilized.
Former Federal Reserve Chairman Alan Greenspan even went on record in early May
stating that the U.S. housing market may be on the verge of a recovery and that
it's "very easy to see" the financial markets continuing to improve. While
there's still
SEMI-ANNUAL REPORT 3
- --------------------------------------------------------------------------------
a long way to go to repair the carnage we experienced over the past six months,
I'm optimistic that we can -- and will -- endure. We appreciate the trust that
you have placed in our firm's quality and integrity by investing with us. It is
our goal to continue to offer you a wide variety of ETFs to help you meet your
financial goals.
Sincerely,
- -s- MIKE BYRUM, CFA
Mike Byrum, CFA
President and Chief Investment Officer
Read the fund's prospectus carefully before investing. It contains the fund's
investment objectives, risks, charges, expenses and other information. Obtain a
prospectus at rydexinvestments.com or call 800.258.4332.
The opinions and forecasts expressed are those of Security Global Investors as
of June 1, 2009, and may not actually come to pass. This information is subject
to change at any time, based on market and other conditions and should not be
construed as a recommendation of any specific security or strategy.
AdvisorBenchmarking.com and the Rydex PracticeValue program are services of
Advisor Research Center, Inc., an affiliate of Rydex Investments. Advisor
Research Center, Inc., and its affiliates make no warranties, expressed or
implied, as to results to be obtained from the use of information provided by
the Rydex PracticeValue program and/or AdvisorBenchmarking.com, and Advisor
Research Center, Inc., expressly disclaims all warranties of merchantability or
fitness for a particular purpose of use with respect thereto. While Advisor
Research Center, Inc., believes the information to be reliable, Advisor Research
Center, Inc., and its affiliates shall not be liable for any claims or losses of
any nature in connection with the information contained in this publication.
4
FEES AND EXPENSES (Unaudited)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Rydex ETF Trust, you incur transaction costs such as
creation and redemption fees or brokerage charges, and ongoing costs including
advisory fees and, if applicable, distribution fees. All other Trust expenses
are paid by the advisor. This Example is intended to help you understand your
ongoing costs (in dollars) of investing in a Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The example in the table is based on an investment of $1,000 invested on October
31, 2008 and held for the six months ended April 30, 2009.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred 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 in the first
table under the heading entitled "Expenses Paid During the Six-Month Period" to
estimate the expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees, or brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT ACCOUNT DURING
EXPENSE VALUE VALUE SIX-MONTH PERIOD*
RATIO 10/31/08 4/30/09 10/31/08 TO 4/30/09
------- --------- --------- -------------------
ACTUAL
Rydex S&P 500 Pure Value ETF............... 0.34% $1,000.00 $ 875.60 $1.63
Rydex S&P 500 Pure Growth ETF.............. 0.35% 1,000.00 1,028.40 1.76
Rydex S&P MidCap 400 Pure Value ETF........ 0.35% 1,000.00 937.60 1.68
Rydex S&P MidCap 400 Pure Growth ETF....... 0.34% 1,000.00 1,084.50 1.81
Rydex S&P SmallCap 600 Pure Value ETF...... 0.35% 1,000.00 942.20 1.69
Rydex S&P SmallCap 600 Pure Growth ETF..... 0.35% 1,000.00 996.60 1.73
Rydex S&P Equal Weight Consumer
Discretionary ETF....................... 0.50% 1,000.00 1,092.00 2.59
Rydex S&P Equal Weight Consumer Staples
ETF..................................... 0.49% 1,000.00 983.10 2.46
Rydex S&P Equal Weight Energy ETF.......... 0.49% 1,000.00 936.70 2.40
Rydex S&P Equal Weight Financials ETF...... 0.50% 1,000.00 771.20 2.20
Rydex S&P Equal Weight Health Care ETF..... 0.50% 1,000.00 990.20 2.47
Rydex S&P Equal Weight Industrials ETF..... 0.49% 1,000.00 966.00 2.44
Rydex S&P Equal Weight Materials ETF....... 0.49% 1,000.00 1,102.30 2.61
Rydex S&P Equal Weight Technology ETF...... 0.49% 1,000.00 1,103.10 2.61
Rydex S&P Equal Weight Utilities ETF....... 0.50% 1,000.00 944.90 2.41
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex S&P 500 Pure Value ETF............... 0.34% 1,000.00 1,023.06 1.76
Rydex S&P 500 Pure Growth ETF.............. 0.35% 1,000.00 1,023.06 1.76
Rydex S&P MidCap 400 Pure Value ETF........ 0.35% 1,000.00 1,023.06 1.76
Rydex S&P MidCap 400 Pure Growth ETF....... 0.34% 1,000.00 1,023.06 1.76
Rydex S&P SmallCap 600 Pure Value ETF...... 0.35% 1,000.00 1,023.06 1.76
Rydex S&P SmallCap 600 Pure Growth ETF..... 0.35% 1,000.00 1,023.06 1.76
Rydex S&P Equal Weight Consumer
Discretionary ETF....................... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Consumer Staples
ETF..................................... 0.49% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Energy ETF.......... 0.49% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Financials ETF...... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Health Care ETF..... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Industrials ETF..... 0.49% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Materials ETF....... 0.49% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Technology ETF...... 0.49% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Utilities ETF**..... 0.50% 1,000.00 1,022.32 2.51
</Table>
- --------
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues
and redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of a Fund generally is determined
using the midpoint between the highest bid and the lowest offer on the Exchange
on which the Fund is listed for trading, as of the time the Fund's NAV is
calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of
a Fund will fluctuate with changes in the market value of its portfolio
holdings. The Market Price of a Fund will fluctuate in accordance with changes
in its NAV, as well as market supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the six
months ended April 30, 2009.
Each line in the table shows the number of trading days in which the Funds
traded within the premium/discount range indicated. The number of trading days
in each premium/discount range is also shown as a percentage of the total number
of trading days in the period covered by the table. All data presented here
represents past performance, which cannot be used to predict future results.
6
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
-------------------------------------------------------------
RYDEX
RYDEX RYDEX RYDEX RYDEX
RYDEX S&P S&P
S&P 500 S&P 500 S&P S&P SMALLCAP SMALLCAP
PURE PURE MIDCAP 400 MIDCAP 400 600 PURE 600 PURE
VALUE GROWTH PURE VALUE PURE GROWTH VALUE GROWTH
ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------- ------- ---------- ----------- -------- --------
Greater than 8%............................ 0 0 0 0 0 0
Between 3.01% and 8%....................... 2 2 5 0 4 4
Between 1.01% and 3%....................... 31 16 20 10 20 36
Between .51% and 1%........................ 36 24 29 22 38 34
Between .26% and .5%....................... 47 54 50 32 74 52
Between .25% and 0%........................ 308 292 241 274 251 210
Between -0.01% and -0.25%.................. 258 310 303 325 255 291
Between -0.26% and -0.5%................... 56 47 60 81 61 79
Between -0.51% and -1%..................... 33 24 31 34 51 51
Between -1.01% and -3%..................... 24 26 46 19 38 36
Between -3.01% and -8%..................... 3 3 13 1 6 5
Less than 8%............................... 0 0 0 0 0 0
Total...................................... 798 798 798 798 798 798
</Table>
<Table>
<Caption>
PERCENTAGE
OF TOTAL DAYS
-----------------------------------------------------------------
RYDEX
RYDEX RYDEX RYDEX RYDEX
RYDEX S&P S&P S&P S&P
S&P 500 S&P 500 MIDCAP 400 MIDCAP 400 SMALLCAP SMALLCAP
PURE PURE PURE PURE 600 PURE 600 PURE
VALUE GROWTH VALUE GROWTH VALUE GROWTH
ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------- ------- ---------- ---------- -------- --------
Greater than 8%............................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 3.01% and 8%........................ 0.25% 0.25% 0.63% 0.00% 0.50% 0.50%
Between 1.01% and 3%........................ 3.88% 2.01% 2.51% 1.25% 2.51% 4.51%
Between .51% and 1%......................... 4.51% 3.01% 3.63% 2.76% 4.76% 4.26%
Between .26% and .5%........................ 5.89% 6.77% 6.27% 4.01% 9.27% 6.52%
Between .25% and 0%......................... 38.60% 36.59% 30.20% 34.34% 31.45% 26.32%
Between -0.01% and -0.25%................... 32.33% 38.85% 37.97% 40.73% 31.95% 36.47%
Between -0.26% and -0.5%.................... 7.02% 5.89% 7.52% 10.15% 7.64% 9.90%
Between -0.51% and -1%...................... 4.14% 3.01% 3.88% 4.26% 6.39% 6.39%
Between -1.01% and -3%...................... 3.01% 3.26% 5.76% 2.38% 4.76% 4.51%
Between -3.01% and -8%...................... 0.38% 0.38% 1.63% 0.13% 0.75% 0.63%
Less than 8%................................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total....................................... 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 7
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
---------------------------------------------------------------------------------------------------
RYDEX RYDEX
S&P EQUAL S&P EQUAL RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX
WEIGHT WEIGHT S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY UTILITIES
ETF ETF ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------------- --------- --------- ---------- ----------- ----------- --------- ---------- ---------
Greater than 10%...... 0 0 0 1 0 0 0 0 0
Between 8.01% and
10%................. 1 0 0 0 0 0 0 0 0
Between 3.01% and 8%.. 7 0 7 12 0 5 3 6 2
Between 1.01% and 3%.. 16 16 24 46 6 36 35 23 23
Between .51% and 1%... 24 29 43 41 25 29 33 30 30
Between .26% and .5%.. 24 38 48 34 42 38 41 38 43
Between .25% and 0%... 192 211 153 149 244 190 177 198 183
Between -0.01% and
-0.25%.............. 257 237 193 195 216 226 200 195 225
Between -0.26% and
-0.5%............... 56 47 55 40 58 37 55 57 55
Between -0.51% and
-1%................. 32 36 53 47 30 40 39 46 44
Between -1.01% and
-3%................. 11 13 39 44 6 23 39 32 17
Between -3.01% and
-8%................. 6 0 12 16 0 3 5 2 5
Between 8.01% and
10%................. 1 0 0 1 0 0 0 0 0
Less than 10%......... 0 0 0 1 0 0 0 0 0
Total................. 627 627 627 627 627 627 627 627 627
</Table>
<Table>
<Caption>
PERCENTAGE
OF TOTAL DAYS
---------------------------------------------------------------------------------------------------
RYDEX RYDEX
S&P EQUAL S&P EQUAL RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX
WEIGHT WEIGHT S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY UTILITIES
ETF ETF ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------------- --------- --------- ---------- ----------- ----------- --------- ---------- ---------
Greater than 10%........ 0.00% 0.00% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10%... 0.16% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 3.01% and 8%.... 1.12% 0.00% 1.12% 1.91% 0.00% 0.80% 0.48% 0.96% 0.32%
Between 1.01% and 3%.... 2.55% 2.55% 3.83% 7.34% 0.96% 5.74% 5.58% 3.67% 3.67%
Between .51% and 1%..... 3.83% 4.63% 6.86% 6.54% 3.99% 4.63% 5.26% 4.78% 4.78%
Between .26% and .5%.... 3.83% 6.06% 7.66% 5.42% 6.70% 6.06% 6.54% 6.06% 6.86%
Between .25% and 0%..... 30.62% 33.65% 24.40% 23.76% 38.92% 30.30% 28.23% 31.58% 29.19%
Between -0.01% and
-0.25%................ 40.99% 37.80% 30.78% 31.10% 34.45% 36.04% 31.90% 31.10% 35.89%
Between -0.26% and
-0.5%................. 8.93% 7.50% 8.77% 6.38% 9.25% 5.90% 8.77% 9.09% 8.77%
Between -0.51% and -1%.. 5.10% 5.74% 8.45% 7.50% 4.78% 6.38% 6.22% 7.34% 7.02%
Between -1.01% and -3%.. 1.75% 2.07% 6.22% 7.02% 0.96% 3.67% 6.22% 5.10% 2.71%
Between -3.01% and -8%.. 0.96% 0.00% 1.91% 2.55% 0.00% 0.48% 0.80% 0.32% 0.80%
Between 8.01% and 10%... 0.16% 0.00% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00%
Less than 10%........... 0.00% 0.00% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00%
Total................... 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
8
RYDEX S&P 500 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
XL CAPITAL, LTD. -- CLASS A 5.95%
SUPERVALU, INC. 2.78%
TESORO CORP. 2.65%
PROLOGIS 2.47%
MACY'S, INC. 2.44%
WYNDHAM WORLDWIDE CORP. 2.26%
FORD MOTOR CO. 2.25%
AMERICAN INTERNATIONAL GROUP, INC. 1.88%
OFFICE DEPOT, INC. 1.88%
MORGAN STANLEY 1.84%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 32.42
Consumer Discretionary 23.70
Materials 8.55
Utilities 7.59
Consumer Staples 6.98
Information Technology 4.47
Energy 4.39
Industrials 4.31
Telecommunication Services 4.31
Health Care 3.28
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 9
RYDEX S&P 500 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
SEARS HOLDINGS CORP. 1.97%
FREEPORT-MCMORAN COPPER & GOLD, INC. 1.96%
INTUITIVE SURGICAL, INC. 1.54%
AKAMAI TECHNOLOGIES, INC. 1.48%
CB RICHARD ELLIS GROUP, INC. -- CLASS A 1.46%
COGNIZANT TECHNOLOGY SOLUTIONS CORP. -- CLASS A 1.40%
SANDISK CORP. 1.37%
AGILENT TECHNOLOGIES, INC. 1.36%
GOLDMAN SACHS GROUP, INC. 1.35%
SALESFORCE.COM, INC. 1.35%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 30.28
Energy 15.90
Consumer Discretionary 14.86
Health Care 12.23
Industrials 9.11
Financials 7.61
Materials 5.17
Consumer Staples 4.39
Utilities 0.45
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
10
RYDEX S&P MIDCAP 400 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
TEMPLE-INLAND, INC. 7.23%
ASHLAND, INC. 4.89%
LOUISIANA-PACIFIC CORP. 3.23%
WILLIAMS-SONOMA, INC. 3.08%
OSHKOSH CORP. 3.04%
FOOT LOCKER, INC. 2.66%
BARNES & NOBLE, INC. 2.54%
BRINKER INTERNATIONAL, INC. 2.35%
TECH DATA CORP. 2.31%
BOYD GAMING CORP. 1.96%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 26.64
Consumer Discretionary 21.07
Materials 19.46
Industrials 11.52
Information Technology 9.93
Utilities 5.24
Health Care 3.56
Consumer Staples 1.88
Energy 0.70
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 11
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
AEROPOSTALE, INC. 2.41%
COMMSCOPE, INC. 2.22%
J. CREW GROUP, INC. 2.13%
SEPRACOR, INC. 2.06%
SOTHEBY'S 2.05%
HANSEN NATURAL CORP. 1.89%
WESTERN DIGITAL CORP. 1.81%
LAM RESEARCH CORP. 1.67%
CHICO'S FAS, INC. 1.62%
UNITED THERAPEUTICS CORP. 1.56%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 27.08
Information Technology 18.40
Industrials 17.29
Health Care 11.35
Energy 11.08
Financials 6.42
Materials 4.78
Consumer Staples 3.60
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
12
Rydex S&P SmallCap 600 Pure Value ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
RUBY TUESDAY, INC. 6.43%
O'CHARLEYS, INC. 4.61%
STEIN MART, INC. 3.75%
NATIONAL FINANCIAL PARTNERS CORP. 3.03%
GEVITY HR, INC. 2.86%
BRUNSWICK CORP. 2.59%
GROUP 1 AUTOMOTIVE, INC. 2.40%
SYNNEX CORP. 2.40%
FLAGSTAR BANCORP, INC. 2.37%
SONIC AUTOMOTIVE, INC. -- CLASS A 2.16%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 50.46
Financials 22.40
Information Technology 13.70
Industrials 7.63
Materials 2.76
Consumer Staples 1.54
Utilities 1.05
Telecommunication Services 0.46
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 13
Rydex S&P SmallCap 600 Pure Growth ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
RUTH'S HOSPITALITY GROUP, INC. 2.36%
CROCS, INC. 1.76%
KULICKE & SOFFA INDUSTRIES, INC. 1.57%
WRIGHT EXPRESS CORP. 1.47%
LCA-VISION, INC. 1.45%
MANNATECH, INC. 1.45%
TRADESTATION GROUP, INC. 1.43%
INTEVAC, INC. 1.43%
TRUE RELIGION APPAREL, INC. 1.40%
PERICOM SEMICONDUCTOR CORP. 1.21%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 31.16
Consumer Discretionary 22.44
Health Care 12.28
Industrials 9.32
Energy 8.89
Financials 8.65
Consumer Staples 4.15
Materials 3.11
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
14
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
WYNDHAM WORLDWIDE CORP. 2.56%
FORD MOTOR CO. 1.94%
WYNN RESORTS, LTD. 1.70%
OFFICE DEPOT, INC. 1.67%
GOODYEAR TIRE & RUBBER CO. 1.66%
GANNETT CO., INC. 1.62%
J.C. PENNEY CO., INC. 1.58%
HARLEY-DAVIDSON, INC. 1.54%
EXPEDIA, INC. 1.53%
WHIRLPOOL CORP. 1.53%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Specialty Retail 19.74
Media 19.69
Household Durables 16.94
Hotels, Restaurants & Leisure 13.53
Multiline Retail 10.19
Textiles, Apparel & Luxury Goods 4.68
Automobiles 4.02
Auto Components 3.16
Leisure Equipment & Products 2.94
Internet & Catalog Retail 2.56
Diversified Consumer Services 1.47
Distributors 1.08
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 15
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
PEPSI BOTTLING GROUP, INC. 3.45%
COCA-COLA ENTERPRISES, INC. 3.21%
DR PEPPER SNAPPLE GROUP, INC. 3.14%
WALGREEN CO. 2.89%
WHOLE FOODS MARKET, INC. 2.82%
ESTEE LAUDER COS., INC. -- CLASS A 2.78%
AVON PRODUCTS, INC. 2.70%
CONAGRA FOODS, INC. 2.70%
CVS CAREMARK CORP. 2.63%
BROWN-FORMAN CORP. -- CLASS B 2.61%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Food Products 32.37
Food & Staples Retailing 22.14
Beverages 21.52
Household Products 9.46
Tobacco 9.00
Personal Products 5.51
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
16
RYDEX S&P EQUAL WEIGHT ENERGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
NABORS INDUSTRIES, LTD. 3.39%
MASSEY ENERGY CO. 3.22%
PIONEER NATURAL RESOURCES CO. 3.20%
BJ SERVICES CO. 3.12%
MARATHON OIL CORP. 2.82%
CABOT OIL & GAS CORP. 2.77%
HALLIBURTON CO. 2.77%
WILLIAMS COS., INC. 2.76%
SCHLUMBERGER, LTD. 2.71%
SOUTHWESTERN ENERGY CO. 2.67%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Oil, Gas & Consumable Fuels 70.33
Energy Equipment & Services 29.67
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 17
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
CB RICHARD ELLIS GROUP, INC. -- CLASS A 2.79%
PRINCIPAL FINANCIAL GROUP, INC. 2.07%
XL CAPITAL, LTD. -- CLASS A 1.94%
AMERICAN EXPRESS CO. 1.86%
FIFTH THIRD BANCORP 1.84%
HOST HOTELS & RESORTS, INC. 1.78%
JANUS CAPITAL GROUP, INC. 1.68%
LEUCADIA NATIONAL CORP. 1.57%
PRUDENTIAL FINANCIAL, INC. 1.53%
HUNTINGTON BANCSHARES, INC. 1.48%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Insurance 26.03
Real Estate Investment Trusts (REITs) 18.09
Capital Markets 17.15
Commercial Banks 16.71
Diversified Financial Services 11.72
Consumer Finance 5.56
Real Estate Management & Development 2.79
Thrifts & Mortgage Finance 1.95
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
18
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
TENET HEALTHCARE CORP. 3.59%
INTUITIVE SURGICAL, INC. 2.48%
EXPRESS SCRIPTS, INC. 2.30%
WATERS CORP. 2.28%
COVENTRY HEALTH CARE, INC. 2.27%
HOSPIRA, INC. 2.18%
ZIMMER HOLDINGS, INC. 2.09%
STRYKER CORP. 2.06%
PERKINELMER, INC. 2.03%
LIFE TECHNOLOGIES CORP. 2.03%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Health Care Providers & Services 32.01
Health Care Equipment & Supplies 24.46
Pharmaceuticals 22.12
Biotechnology 9.83
Life Sciences Tools & Services 9.82
Health Care Technology 1.76
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 19
RYDEX S&P EQUAL WEIGHT INDUSTRIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
MONSTER WORLDWIDE, INC. 2.51%
TEXTRON, INC. 2.43%
R.R. DONNELLEY & SONS CO. 2.21%
INGERSOLL-RAND CO.,LTD. -- CLASS A 2.10%
MANITOWOC CO., INC. 1.99%
CUMMINS, INC. 1.95%
PARKER-HANNIFIN CORP. 1.93%
ROBERT HALF INTERNATIONAL, INC. 1.93%
PACCAR, INC. 1.89%
ROCKWELL AUTOMATION, INC. 1.88%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Machinery 23.30
Commercial Services & Supplies 21.06
Aerospace & Defense 19.79
Road & Rail 8.07
Air Freight & Logistics 6.72
Industrial Conglomerates 5.91
Electrical Equipment 5.44
Trading Companies & Distributors 3.48
Construction & Engineering 2.75
Building Products 1.80
Airlines 1.68
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
20
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
DOW CHEMICAL CO. 5.47%
OWENS-ILLINOIS, INC. 5.25%
AK STEEL HOLDING CORP. 4.94%
INTERNATIONAL PAPER CO. 4.70%
PACTIV CORP. 4.64%
EASTMAN CHEMICAL CO. 4.31%
ALLEGHENY TECHNOLOGIES, INC. 4.18%
SEALED AIR CORP. 3.88%
ALCOA, INC. 3.67%
MEADWESTVACO CORP. 3.66%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Chemicals 37.74
Metals & Mining 27.83
Containers & Packaging 19.34
Paper & Forest Products 11.86
Construction Materials 3.23
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 21
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
JABIL CIRCUIT, INC. 2.15%
TYCO ELECTRONICS, LTD. 1.87%
CIENA CORP. 1.85%
SANDISK CORP. 1.67%
AUTODESK, INC. 1.62%
WESTERN UNION CO. 1.58%
CONVERGYS CORP. 1.58%
JDS UNIPHASE CORP. 1.56%
JUNIPER NETWORKS, INC. 1.56%
MOTOROLA, INC. 1.53%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Semiconductors & Semiconductor Equipment 23.14
Software 18.16
Computers & Peripherals 14.66
IT Services 13.98
Communications Equipment 12.85
Electronic Equipment & Instruments 9.40
Internet Software & Services 6.52
Office Electronics 1.29
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
22
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
SPRINT NEXTEL CORP. 2.76%
CONSTELLATION ENERGY GROUP, INC. 2.70%
NISOURCE, INC. 2.49%
QWEST COMMUNICATIONS INTERNATIONAL, INC. 2.49%
ALLEGHENY ENERGY, INC. 2.41%
DTE ENERGY CO. 2.38%
FPL GROUP, INC. 2.37%
AES CORP. 2.36%
FRONTIER COMMUNICATIONS CORP. 2.35%
SEMPRA ENERGY 2.34%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Multi-Utilities 33.96
Electric Utilities 31.08
Diversified Telecommunication Services 16.16
Independent Power Producers & Energy
Traders 7.34
Gas Utilities 6.40
Wireless Telecommunication Services 5.06
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 23
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.5%
AEROSPACE & DEFENSE 0.4%
Northrop Grumman Corp. ...... 1,150 $55,603
-----------
TOTAL AEROSPACE & DEFENSE 55,603
-----------
AUTO COMPONENTS 2.3%
Goodyear Tire & Rubber
Co.(The)*................. 23,150 254,419
Johnson Controls, Inc. ...... 3,610 68,626
-----------
TOTAL AUTO COMPONENTS 323,045
-----------
AUTOMOBILES 2.2%
Ford Motor Co.*.............. 52,140 311,797
-----------
TOTAL AUTOMOBILES 311,797
-----------
BEVERAGES 0.8%
Coca-Cola Enterprises,
Inc. ..................... 6,440 109,866
-----------
TOTAL BEVERAGES 109,866
-----------
BUILDING PRODUCTS 0.7%
Masco Corp. ................. 10,340 91,612
-----------
TOTAL BUILDING PRODUCTS 91,612
-----------
CAPITAL MARKETS 3.1%
Ameriprise Financial, Inc. .. 2,750 72,462
Legg Mason, Inc. ............ 4,900 98,343
Morgan Stanley............... 10,770 254,603
-----------
TOTAL CAPITAL MARKETS 425,408
-----------
CHEMICALS 2.5%
Air Products & Chemicals,
Inc. ..................... 1,160 76,444
Dow Chemical Co.(The)........ 6,230 99,680
Du Pont (E.I.) de Nemours &
Co. ...................... 2,780 77,562
Eastman Chemical Co. ........ 2,440 96,819
-----------
TOTAL CHEMICALS 350,505
-----------
COMMERCIAL BANKS 4.0%
BB&T Corp. .................. 2,210 51,581
Comerica, Inc. .............. 6,690 140,356
Fifth Third Bancorp.......... 15,520 63,632
Huntington Bancshares,
Inc. ..................... 14,270 39,813
KeyCorp...................... 7,850 48,278
Marshall & Ilsley Corp. ..... 8,630 49,881
Regions Financial Corp. ..... 11,320 50,827
SunTrust Banks, Inc. ........ 4,090 59,060
U.S. Bancorp................. 1,930 35,165
Zions Bancorp................ 1,780 19,455
-----------
TOTAL COMMERCIAL BANKS 558,048
-----------
COMMERCIAL SERVICES & SUPPLIES 1.2%
Avery Dennison Corp. ........ 1,680 48,283
R.R. Donnelley & Sons Co. ... 10,160 118,364
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 166,647
-----------
COMPUTERS & PERIPHERALS 0.9%
Sun Microsystems, Inc.*...... 13,610 124,668
-----------
TOTAL COMPUTERS & PERIPHERALS 124,668
-----------
CONSUMER FINANCE 0.3%
Capital One Financial
Corp. .................... 2,320 38,837
-----------
TOTAL CONSUMER FINANCE 38,837
-----------
DIVERSIFIED FINANCIAL SERVICES 2.7%
Bank of America Corp. ....... 9,570 85,460
CIT Group, Inc. ............. 74,860 166,189
Citigroup, Inc. ............. 23,530 71,767
JPMorgan Chase & Co. ........ 1,690 55,770
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 379,186
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 4.3%
AT&T, Inc. .................. 1,820 46,628
CenturyTel, Inc. ............ 4,270 115,931
Embarq Corp. ................ 2,730 99,809
Frontier Communications
Corp. .................... 9,430 67,047
Qwest Communications
International, Inc. ...... 35,860 139,495
Verizon Communications,
Inc. ..................... 1,600 48,544
Windstream Corp. ............ 9,260 76,858
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 594,312
-----------
ELECTRIC UTILITIES 2.3%
American Electric Power Co.,
Inc. ..................... 1,670 44,055
Duke Energy Corp. ........... 4,480 61,869
Pepco Holdings, Inc. ........ 5,370 64,171
Pinnacle West Capital
Corp. .................... 3,250 88,985
Progress Energy, Inc. ....... 1,690 57,663
-----------
TOTAL ELECTRIC UTILITIES 316,743
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.5%
Jabil Circuit, Inc. ......... 24,820 201,042
Molex, Inc. ................. 3,350 55,844
Tyco Electronics, Ltd. ...... 5,140 89,642
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 346,528
-----------
FOOD & STAPLES RETAILING 2.8%
SUPERVALU, Inc. ............. 23,570 385,370
-----------
TOTAL FOOD & STAPLES RETAILING 385,370
-----------
FOOD PRODUCTS 1.6%
ConAgra Foods, Inc. ......... 2,880 50,976
Tyson Foods, Inc. -- Class
A......................... 16,120 169,905
-----------
TOTAL FOOD PRODUCTS 220,881
-----------
HEALTH CARE PROVIDERS & SERVICES 2.9%
AmerisourceBergen Corp. ..... 4,300 144,652
McKesson Corp. .............. 1,350 49,950
Tenet Healthcare Corp.*...... 90,200 202,950
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 397,552
-----------
HOTELS, RESTAURANTS & LEISURE 4.7%
Carnival Corp. .............. 4,100 110,208
Darden Restaurants, Inc. .... 1,610 59,522
International Game
Technology................ 8,180 101,023
Starwood Hotels & Resorts
Worldwide, Inc. .......... 3,580 74,679
Wyndham Worldwide Corp. ..... 26,750 312,440
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 657,872
-----------
HOUSEHOLD DURABLES 2.4%
Fortune Brands, Inc. ........ 1,150 45,206
Leggett & Platt, Inc. ....... 5,460 78,406
Newell Rubbermaid, Inc. ..... 7,480 78,166
Whirlpool Corp. ............. 2,780 125,545
-----------
TOTAL HOUSEHOLD DURABLES 327,323
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.1%
Constellation Energy Group,
Inc. ..................... 6,150 148,092
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 148,092
-----------
</Table>
See Notes to Financial Statements.
24
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
INDUSTRIAL CONGLOMERATES 1.0%
General Electric Co. ........ 5,120 $64,768
Textron, Inc. ............... 7,000 75,110
-----------
TOTAL INDUSTRIAL CONGLOMERATES 139,878
-----------
INSURANCE 14.3%
Allstate Corp. .............. 3,840 89,587
American International Group,
Inc. ..................... 188,700 260,406
Assurant, Inc. .............. 1,830 44,725
Cincinnati Financial Corp. .. 2,050 49,098
Genworth Financial,
Inc. -- Class A........... 95,870 226,253
Hartford Financial Services
Group, Inc. .............. 20,300 232,841
Lincoln National Corp. ...... 10,630 119,481
Principal Financial Group,
Inc. ..................... 3,360 54,902
Prudential Financial, Inc. .. 3,010 86,929
XL Capital, Ltd. -- Class A.. 86,650 824,042
-----------
TOTAL INSURANCE 1,988,264
-----------
LEISURE EQUIPMENT & PRODUCTS 0.8%
Eastman Kodak Co. ........... 22,230 67,801
Mattel, Inc. ................ 2,960 44,282
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 112,083
-----------
MACHINERY 0.7%
Ingersoll-Rand Co.,
Ltd. -- Class A........... 4,680 101,884
-----------
TOTAL MACHINERY 101,884
-----------
MEDIA 3.7%
CBS Corp. -- Class B......... 30,370 213,805
Gannett Co., Inc. ........... 33,240 129,968
Meredith Corp. .............. 4,520 113,362
Time Warner, Inc. ........... 2,530 55,230
-----------
TOTAL MEDIA 512,365
-----------
METALS & MINING 2.6%
AK Steel Holding Corp. ...... 11,620 151,176
Alcoa, Inc. ................. 14,870 134,871
United States Steel Corp. ... 2,680 71,154
-----------
TOTAL METALS & MINING 357,201
-----------
MULTI-UTILITIES 4.2%
Ameren Corp. ................ 2,760 63,535
CenterPoint Energy, Inc. .... 5,360 57,030
Consolidated Edison, Inc. ... 1,550 57,552
DTE Energy Co. .............. 2,190 64,758
Integrys Energy Group,
Inc. ..................... 2,060 54,405
NiSource, Inc. .............. 11,800 129,682
SCANA Corp. ................. 1,370 41,401
TECO Energy, Inc. ........... 6,230 65,976
Xcel Energy, Inc. ........... 2,580 47,575
-----------
TOTAL MULTI-UTILITIES 581,914
-----------
MULTILINE RETAIL 3.5%
J.C. Penney Co., Inc. ....... 4,760 146,084
Macy's, Inc. ................ 24,730 338,307
-----------
TOTAL MULTILINE RETAIL 484,391
-----------
OIL, GAS & CONSUMABLE FUELS 4.4%
Spectra Energy Corp. ........ 7,120 103,240
Tesoro Corp. ................ 24,020 366,305
Valero Energy Corp. ......... 6,820 135,309
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 604,854
-----------
PAPER & FOREST PRODUCTS 3.4%
International Paper Co. ..... 13,420 169,897
MeadWestvaco Corp. .......... 13,730 215,012
Weyerhaeuser Co. ............ 2,440 86,034
-----------
TOTAL PAPER & FOREST PRODUCTS 470,943
-----------
PHARMACEUTICALS 0.4%
Pfizer, Inc. ................ 4,050 54,108
-----------
TOTAL PHARMACEUTICALS 54,108
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 7.8%
Apartment Investment &
Management Co. -- Class
A......................... 8,130 59,349
AvalonBay Communities,
Inc. ..................... 720 40,903
Boston Properties, Inc. ..... 1,380 68,200
Equity Residential........... 1,970 45,093
HCP, Inc. ................... 3,390 74,411
Health Care REIT, Inc. ...... 1,950 66,437
Host Hotels & Resorts,
Inc. ..................... 24,960 191,942
Kimco Realty Corp. .......... 4,860 58,417
ProLogis..................... 37,510 341,716
Simon Property Group, Inc. .. 1,260 65,016
Vornado Realty Trust......... 1,380 67,468
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,078,952
-----------
ROAD & RAIL 0.3%
Ryder System, Inc. .......... 1,380 38,212
-----------
TOTAL ROAD & RAIL 38,212
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.0%
Analog Devices, Inc. ........ 3,480 74,054
Microchip Technology, Inc. .. 3,080 70,840
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 144,894
-----------
SPECIALTY RETAIL 3.9%
AutoNation, Inc.*............ 8,680 153,723
Limited Brands, Inc. ........ 10,970 125,277
Office Depot, Inc.*.......... 100,260 259,674
-----------
TOTAL SPECIALTY RETAIL 538,674
-----------
TOBACCO 1.8%
Altria Group, Inc. .......... 6,060 98,960
Philip Morris International,
Inc. ..................... 2,170 78,554
Reynolds American, Inc. ..... 1,820 69,123
-----------
TOTAL TOBACCO 246,637
-----------
TOTAL COMMON STOCKS
(Cost $18,831,977) 13,785,149
-----------
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market
Fund...................... 51,503 51,503
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $51,503) 51,503
-----------
TOTAL INVESTMENTS 99.9%
(Cost $18,883,480) 13,836,652
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 10,081
-----------
NET ASSETS--100.0%............. $13,846,733
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.4%
Lockheed Martin Corp. ........ 2,270 $178,263
Rockwell Collins, Inc. ....... 6,470 248,125
-----------
TOTAL AEROSPACE & DEFENSE 426,388
-----------
AIR FREIGHT & LOGISTICS 1.4%
C.H. Robinson Worldwide,
Inc. ...................... 4,190 222,740
Expeditors International of
Washington, Inc. .......... 5,970 207,219
-----------
TOTAL AIR FREIGHT & LOGISTICS 429,959
-----------
BEVERAGES 0.6%
PepsiCo, Inc. ................ 3,520 175,155
-----------
TOTAL BEVERAGES 175,155
-----------
BIOTECHNOLOGY 2.1%
Amgen, Inc.*.................. 3,360 162,859
Biogen Idec, Inc.*............ 3,560 172,091
Celgene Corp.*................ 7,700 328,944
-----------
TOTAL BIOTECHNOLOGY 663,894
-----------
CAPITAL MARKETS 1.8%
Franklin Resources, Inc. ..... 2,480 149,990
Goldman Sachs Group,
Inc.(The).................. 3,280 421,480
-----------
TOTAL CAPITAL MARKETS 571,470
-----------
CHEMICALS 0.5%
Ecolab, Inc. ................. 3,930 151,502
-----------
TOTAL CHEMICALS 151,502
-----------
COMMERCIAL SERVICES & SUPPLIES 2.1%
Dun & Bradstreet Corp. ....... 2,590 210,826
Equifax, Inc. ................ 7,640 222,782
Robert Half International,
Inc. ...................... 8,730 209,695
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 643,303
-----------
COMMUNICATIONS EQUIPMENT 3.0%
Cisco Systems, Inc.*.......... 11,811 228,189
Harris Corp. ................. 4,480 136,998
Motorola, Inc. ............... 63,873 353,218
QUALCOMM, Inc. ............... 5,220 220,910
-----------
TOTAL COMMUNICATIONS EQUIPMENT 939,315
-----------
COMPUTERS & PERIPHERALS 4.6%
Apple, Inc.*.................. 2,890 363,649
Dell, Inc.*................... 22,341 259,602
Lexmark International,
Inc. -- Class A*........... 5,400 105,948
NetApp, Inc.*................. 14,751 269,943
SanDisk Corp.*................ 27,301 429,172
-----------
TOTAL COMPUTERS & PERIPHERALS 1,428,314
-----------
CONSUMER FINANCE 0.5%
SLM Corp.*.................... 35,292 170,460
-----------
TOTAL CONSUMER FINANCE 170,460
-----------
CONTAINERS & PACKAGING 0.6%
Ball Corp. ................... 5,330 201,048
-----------
TOTAL CONTAINERS & PACKAGING 201,048
-----------
DIVERSIFIED CONSUMER SERVICES 0.7%
Apollo Group, Inc. -- Class
A*......................... 3,670 231,027
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 231,027
-----------
DIVERSIFIED FINANCIAL SERVICES 3.1%
CME Group, Inc. .............. 1,040 230,204
IntercontinentalExchange,
Inc.*...................... 4,780 418,728
NYSE Euronext................. 13,371 309,806
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 958,738
-----------
ELECTRICAL EQUIPMENT 0.7%
Rockwell Automation, Inc. .... 6,700 211,653
-----------
TOTAL ELECTRICAL EQUIPMENT 211,653
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.1%
Agilent Technologies, Inc.*... 23,231 424,198
Amphenol Corp. -- Class A..... 10,890 368,518
FLIR Systems, Inc.*........... 7,260 161,027
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 953,743
-----------
ENERGY EQUIPMENT & SERVICES 5.5%
Baker Hughes, Inc. ........... 6,360 226,289
BJ Services Co. .............. 21,191 294,343
Cameron International Corp.*.. 7,390 189,036
ENSCO International, Inc. .... 5,720 161,762
Nabors Industries, Ltd.*...... 18,511 281,552
Schlumberger, Ltd. ........... 7,790 381,632
Smith International, Inc. .... 7,500 193,875
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,728,489
-----------
FOOD & STAPLES RETAILING 0.6%
Sysco Corp. .................. 7,960 185,707
-----------
TOTAL FOOD & STAPLES RETAILING 185,707
-----------
FOOD PRODUCTS 1.6%
Campbell Soup Co. ............ 5,920 152,262
Hershey Co.(The).............. 5,090 183,953
Kellogg Co. .................. 3,990 168,019
-----------
TOTAL FOOD PRODUCTS 504,234
-----------
GAS UTILITIES 0.5%
Questar Corp. ................ 4,760 141,467
-----------
TOTAL GAS UTILITIES 141,467
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 4.2%
Intuitive Surgical, Inc.*..... 3,350 481,495
Medtronic, Inc. .............. 4,940 158,080
St Jude Medical, Inc.*........ 4,800 160,896
Stryker Corp. ................ 3,600 139,356
Varian Medical Systems,
Inc.*...................... 6,410 213,902
Zimmer Holdings, Inc.*........ 3,410 150,006
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,303,735
-----------
HEALTH CARE PROVIDERS & SERVICES 3.4%
DaVita, Inc.*................. 6,530 302,796
Express Scripts, Inc.*........ 3,990 255,240
Laboratory Corp. of America
Holdings*.................. 2,170 139,206
Patterson Cos., Inc.*......... 6,580 134,627
UnitedHealth Group, Inc. ..... 9,550 224,616
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,056,485
-----------
HEALTH CARE TECHNOLOGY 0.7%
IMS Health, Inc. ............. 17,111 214,914
-----------
TOTAL HEALTH CARE TECHNOLOGY 214,914
-----------
</Table>
See Notes to Financial Statements.
26
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE 2.4%
Starbucks Corp.*.............. 22,441 $324,497
Wynn Resorts Ltd.*............ 5,420 212,627
Yum! Brands, Inc. ............ 6,090 203,101
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 740,225
-----------
HOUSEHOLD DURABLES 0.7%
Black & Decker Corp. ......... 5,140 207,142
-----------
TOTAL HOUSEHOLD DURABLES 207,142
-----------
HOUSEHOLD PRODUCTS 0.5%
Colgate-Palmolive Co. ........ 2,710 159,890
-----------
TOTAL HOUSEHOLD PRODUCTS 159,890
-----------
INDUSTRIAL CONGLOMERATES 0.6%
3M Co. ....................... 3,530 203,328
-----------
TOTAL INDUSTRIAL CONGLOMERATES 203,328
-----------
INSURANCE 0.7%
Progressive Corp.*............ 14,401 220,047
-----------
TOTAL INSURANCE 220,047
-----------
INTERNET & CATALOG RETAIL 1.2%
Amazon.com, Inc.*............. 4,800 386,496
-----------
TOTAL INTERNET & CATALOG RETAIL 386,496
-----------
INTERNET SOFTWARE & SERVICES 5.0%
Akamai Technologies, Inc.*.... 20,981 462,002
eBay, Inc.*................... 13,751 226,479
Google, Inc. -- Class A*...... 1,050 415,768
VeriSign, Inc.*............... 10,001 205,820
Yahoo!, Inc.*................. 17,061 243,802
-----------
TOTAL INTERNET SOFTWARE & SERVICES 1,553,871
-----------
IT SERVICES 5.2%
Cognizant Technology Solutions
Corp. -- Class A*.......... 17,571 435,585
Fiserv, Inc.*................. 4,110 153,385
Mastercard, Inc. -- Class A... 2,180 399,921
Paychex, Inc. ................ 8,400 226,884
Total System Services, Inc. .. 12,811 159,753
Western Union Co. ............ 15,641 261,987
-----------
TOTAL IT SERVICES 1,637,515
-----------
LIFE SCIENCES TOOLS & SERVICES 0.9%
Waters Corp.*................. 6,330 279,596
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 279,596
-----------
MACHINERY 2.3%
Caterpillar, Inc. ............ 6,620 235,540
Danaher Corp. ................ 2,710 158,372
PACCAR, Inc. ................. 9,520 337,389
-----------
TOTAL MACHINERY 731,301
-----------
MEDIA 1.3%
McGraw-Hill Cos., Inc. ....... 7,940 239,391
Viacom, Inc. -- Class B*...... 8,260 158,922
-----------
TOTAL MEDIA 398,313
-----------
METALS & MINING 4.0%
Freeport-McMoRan Copper &
Gold, Inc. ................ 14,341 611,643
Nucor Corp. .................. 7,920 322,265
Titanium Metals Corp. ........ 48,072 326,409
-----------
TOTAL METALS & MINING 1,260,317
-----------
MULTILINE RETAIL 2.0%
Sears Holdings Corp.*......... 9,841 614,767
-----------
TOTAL MULTILINE RETAIL 614,767
-----------
OIL, GAS & CONSUMABLE FUELS 10.3%
Anadarko Petroleum Corp. ..... 4,480 192,909
Apache Corp. ................. 2,920 212,751
Cabot Oil & Gas Corp. ........ 7,100 214,349
Chesapeake Energy Corp. ...... 15,101 297,641
Chevron Corp. ................ 3,070 202,927
CONSOL Energy, Inc. .......... 5,500 172,040
Denbury Resources, Inc.*...... 10,650 173,382
Devon Energy Corp. ........... 2,140 110,959
EOG Resources, Inc. .......... 3,780 239,954
Exxon Mobil Corp. ............ 3,430 228,678
Hess Corp. ................... 3,570 195,600
Murphy Oil Corp. ............. 5,850 279,104
Range Resources Corp. ........ 3,980 159,081
Sunoco, Inc. ................. 9,130 242,036
XTO Energy, Inc. ............. 8,950 310,207
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 3,231,618
-----------
PERSONAL PRODUCTS 1.1%
Avon Products, Inc. .......... 8,150 185,494
Estee Lauder Cos.,
Inc -- Class A............. 5,300 158,470
-----------
TOTAL PERSONAL PRODUCTS 343,964
-----------
PHARMACEUTICALS 0.9%
Forest Laboratories, Inc.*.... 6,810 147,709
Johnson & Johnson, Inc. ...... 2,820 147,655
-----------
TOTAL PHARMACEUTICALS 295,364
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 1.5%
CB Richard Ellis Group,
Inc. -- Class A*........... 60,633 454,748
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 454,748
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.8%
Altera Corp. ................. 10,681 174,207
MEMC Electronic Materials,
Inc.*...................... 10,081 163,312
National Semiconductor
Corp. ..................... 22,311 275,987
Texas Instruments, Inc. ...... 13,961 252,136
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 865,642
-----------
SOFTWARE 6.6%
Adobe Systems, Inc.*.......... 7,010 191,724
Autodesk, Inc.*............... 13,451 268,213
BMC Software, Inc.*........... 11,091 384,525
Compuware Corp.*.............. 19,831 148,336
Intuit, Inc.*................. 8,210 189,897
Microsoft Corp. .............. 12,071 244,558
Oracle Corp. ................. 11,291 218,368
Salesforce.com, Inc.*......... 9,821 420,437
-----------
TOTAL SOFTWARE 2,066,058
-----------
SPECIALTY RETAIL 4.9%
Abercrombie & Fitch
Co. -- Class A............. 12,661 342,607
AutoZone, Inc.*............... 1,600 266,224
Bed Bath & Beyond, Inc.*...... 7,050 214,461
GameStop Corp. -- Class A*.... 6,250 188,500
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 27
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Sherwin-Williams Co.(The)..... 3,520 $199,373
TJX Cos., Inc. ............... 11,051 309,096
-----------
TOTAL SPECIALTY RETAIL 1,520,261
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.7%
Coach, Inc.*.................. 16,101 394,474
NIKE, Inc. -- Class B......... 2,710 142,194
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 536,668
-----------
TRADING COMPANIES & DISTRIBUTORS 0.6%
Fastenal Co. ................. 5,110 196,020
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 196,020
-----------
TOTAL COMMON STOCKS
(Cost $37,440,384) 31,194,151
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 27,388 27,388
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $27,388) 27,388
-----------
TOTAL INVESTMENTS 100.0%
(Cost $37,467,772) 31,221,539
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(A) 1,304
-----------
NET ASSETS--100.0% $31,222,843
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
28
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.8%
CAPITAL MARKETS 0.7%
Apollo Investment Corp. ...... 11,461 $55,013
----------
TOTAL CAPITAL MARKETS 55,013
----------
CHEMICALS 7.1%
Ashland, Inc. ................ 18,639 409,312
Cabot Corp. .................. 3,970 57,962
Cytec Industries, Inc. ....... 2,380 47,267
RPM International, Inc. ...... 5,700 78,774
----------
TOTAL CHEMICALS 593,315
----------
COMMERCIAL BANKS 2.7%
Associated Banc-Corp. ........ 2,340 36,200
Colonial BancGroup, Inc. ..... 114,316 86,880
PacWest Bancorp............... 1,790 26,080
Webster Financial Corp. ...... 9,240 48,325
Wilmington Trust Corp. ....... 1,800 26,118
----------
TOTAL COMMERCIAL BANKS 223,603
----------
COMMERCIAL SERVICES & SUPPLIES 4.7%
Deluxe Corp. ................. 5,500 79,750
HNI Corp. .................... 6,430 99,665
Kelly Services, Inc. -- Class
A.......................... 12,660 143,818
Manpower, Inc. ............... 1,690 72,822
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 396,055
----------
COMPUTERS & PERIPHERALS 0.7%
Imation Corp. ................ 5,540 55,400
----------
TOTAL COMPUTERS & PERIPHERALS 55,400
----------
CONTAINERS & PACKAGING 8.3%
Packaging Corp. of America.... 5,550 88,079
Temple-Inland, Inc. .......... 50,678 605,095
----------
TOTAL CONTAINERS & PACKAGING 693,174
----------
DIVERSIFIED CONSUMER SERVICES 2.9%
Brink's Home Security
Holdings, Inc.*............ 5,220 138,747
Regis Corp. .................. 5,340 102,208
----------
TOTAL DIVERSIFIED CONSUMER SERVICES 240,955
----------
ELECTRIC UTILITIES 2.0%
Great Plains Energy, Inc. .... 4,750 68,732
NV Energy, Inc. .............. 4,930 50,533
Westar Energy, Inc. .......... 2,840 49,785
----------
TOTAL ELECTRIC UTILITIES 169,050
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 6.9%
Arrow Electronics, Inc.*...... 3,510 79,817
Avnet, Inc.*.................. 2,830 61,949
Ingram Micro, Inc. -- Class
A*......................... 8,890 129,083
Tech Data Corp.*.............. 6,710 193,181
Vishay Intertechnology,
Inc.*...................... 19,689 115,574
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 579,604
----------
FOOD PRODUCTS 1.2%
Smithfield Foods, Inc.*....... 11,160 96,422
----------
TOTAL FOOD PRODUCTS 96,422
----------
GAS UTILITIES 1.4%
AGL Resources, Inc. .......... 1,530 47,690
Oneok, Inc. .................. 2,550 66,734
----------
TOTAL GAS UTILITIES 114,424
----------
HEALTH CARE PROVIDERS & SERVICES 3.5%
Health Net, Inc.*............. 8,740 126,206
Kindred Healthcare, Inc.*..... 6,660 86,713
WellCare Health Plans, Inc.*.. 5,610 84,206
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 297,125
----------
HOTELS, RESTAURANTS & LEISURE 4.9%
Bob Evans Farms, Inc. ........ 2,130 51,652
Boyd Gaming Corp. ............ 17,819 163,757
Brinker International, Inc. .. 11,100 196,692
----------
TOTAL HOTELS, RESTAURANTS & LEISURE 412,101
----------
HOUSEHOLD DURABLES 2.3%
American Greetings
Corp. -- Class A........... 6,510 51,103
Blyth, Inc. .................. 3,150 138,852
----------
TOTAL HOUSEHOLD DURABLES 189,955
----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.5%
Black Hills Corp. ............ 1,930 38,368
----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 38,368
----------
INSURANCE 6.5%
Fidelity National Financial,
Inc. -- Class A............ 5,610 101,709
First American Corp. ......... 1,580 44,367
Horace Mann Educators Corp. .. 9,440 82,883
Old Republic International
Corp. ..................... 8,840 82,831
Protective Life Corp. ........ 13,430 115,095
Unitrin, Inc. ................ 6,960 118,320
----------
TOTAL INSURANCE 545,205
----------
MACHINERY 5.4%
Crane Co. .................... 3,330 76,890
Federal Signal Corp. ......... 5,270 40,948
Oshkosh Corp. ................ 26,519 254,582
Timken Co. ................... 4,850 77,988
----------
TOTAL MACHINERY 450,408
----------
MARINE 0.6%
Alexander & Baldwin, Inc. .... 1,900 50,616
----------
TOTAL MARINE 50,616
----------
MEDIA 1.1%
Harte-Hanks, Inc. ............ 11,290 93,255
----------
TOTAL MEDIA 93,255
----------
METALS & MINING 0.8%
Worthington Industries,
Inc. ...................... 4,530 67,497
----------
TOTAL METALS & MINING 67,497
----------
MULTI-UTILITIES 1.4%
OGE Energy Corp. ............. 1,830 47,049
PNM Resources, Inc. .......... 8,050 68,586
----------
TOTAL MULTI-UTILITIES 115,635
----------
OIL, GAS & CONSUMABLE FUELS 0.7%
Southern Union Co. ........... 3,650 58,072
----------
TOTAL OIL, GAS & CONSUMABLE FUELS 58,072
----------
PAPER & FOREST PRODUCTS 3.2%
Louisiana-Pacific Corp. ...... 66,338 269,996
----------
TOTAL PAPER & FOREST PRODUCTS 269,996
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 15.2%
Alexandria Real Estate
Equities, Inc. ............ 1,470 53,626
BRE Properties, Inc. ......... 2,180 53,563
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 29
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Camden Property Trust......... 2,490 $67,554
Cousins Properties, Inc. ..... 5,010 42,334
Duke Realty Corp. ............ 9,360 91,447
Equity One, Inc. ............. 4,110 61,157
Highwoods Properties, Inc. ... 2,760 66,212
Hospitality Properties Trust.. 8,050 98,532
Liberty Property Trust........ 3,770 91,762
Macerich Co.(The)............. 4,860 85,196
Mack-Cali Realty Corp. ....... 4,150 111,469
Nationwide Health Properties,
Inc. ...................... 2,590 63,947
Omega Healthcare Investors,
Inc. ...................... 4,080 64,138
Realty Income Corp. .......... 2,740 61,184
Regency Centers Corp. ........ 1,600 59,920
SL Green Realty Corp. ........ 5,870 103,664
UDR, Inc. .................... 3,140 31,620
Weingarten Realty Investors... 4,360 67,754
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,275,079
----------
ROAD & RAIL 0.8%
YRC Worldwide, Inc.*.......... 21,489 65,112
----------
TOTAL ROAD & RAIL 65,112
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.3%
Intersil Corp. -- Class A..... 7,350 85,260
RF Micro Devices, Inc.*....... 51,288 108,218
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 193,478
----------
SPECIALTY RETAIL 9.8%
AnnTaylor Stores Corp.*....... 17,589 129,982
Barnes & Noble, Inc. ......... 8,140 212,617
Foot Locker, Inc. ............ 18,719 222,569
Williams-Sonoma, Inc. ........ 18,419 257,866
----------
TOTAL SPECIALTY RETAIL 823,034
----------
THRIFTS & MORTGAGE FINANCE 1.5%
Astoria Financial Corp. ...... 2,350 19,411
New York Community Bancorp,
Inc. ...................... 5,480 61,979
Washington Federal, Inc. ..... 3,310 42,964
----------
TOTAL THRIFTS & MORTGAGE FINANCE 124,354
----------
TOBACCO 0.7%
Universal Corp. .............. 2,000 60,320
----------
TOTAL TOBACCO 60,320
----------
TOTAL COMMON STOCKS
(Cost $9,832,688) 8,346,625
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 9,923 9,923
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $9,923) 9,923
----------
TOTAL INVESTMENTS 99.9%
(Cost $9,842,611) 8,356,548
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 7,615
----------
NET ASSETS--100.0% $8,364,163
- ------------------------------------------------------
</Table>
*Non-Income Producing Security.
See Notes to Financial Statements.
30
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 100.0%
AEROSPACE & DEFENSE 0.7%
Alliant Techsystems, Inc.*.... 1,672 $133,175
-----------
TOTAL AEROSPACE & DEFENSE 133,175
-----------
AIRLINES 0.4%
Alaska Air Group, Inc.*....... 4,038 67,758
-----------
TOTAL AIRLINES 67,758
-----------
AUTOMOBILES 0.9%
Thor Industries, Inc. ........ 7,778 178,816
-----------
TOTAL AUTOMOBILES 178,816
-----------
BEVERAGES 1.9%
Hansen Natural Corp.*......... 8,832 359,992
-----------
TOTAL BEVERAGES 359,992
-----------
BIOTECHNOLOGY 1.6%
United Therapeutics Corp.*.... 4,732 297,217
-----------
TOTAL BIOTECHNOLOGY 297,217
-----------
CAPITAL MARKETS 3.3%
Affiliated Managers Group,
Inc.*...................... 4,346 247,070
Eaton Vance Corp. ............ 8,654 236,860
SEI Investments Co. .......... 10,286 144,313
-----------
TOTAL CAPITAL MARKETS 628,243
-----------
CHEMICALS 0.9%
FMC Corp. .................... 3,676 179,131
-----------
TOTAL CHEMICALS 179,131
-----------
COMMERCIAL BANKS 0.3%
SVB Financial Group*.......... 2,920 60,619
-----------
TOTAL COMMERCIAL BANKS 60,619
-----------
COMMERCIAL SERVICES & SUPPLIES 5.3%
Clean Harbors, Inc.*.......... 2,816 141,081
Copart, Inc.*................. 2,198 68,995
Corporate Executive Board
Co.(The)................... 9,964 172,178
FTI Consulting, Inc.*......... 1,544 84,735
Herman Miller, Inc. .......... 13,616 202,470
Korn/Ferry International*..... 8,666 91,773
Navigant Consulting, Inc.*.... 5,348 78,669
Rollins, Inc. ................ 6,080 109,440
Watson Wyatt Worldwide, Inc.-
Class A.................... 1,272 67,480
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,016,821
-----------
COMMUNICATIONS EQUIPMENT 3.6%
CommScope, Inc.*.............. 16,868 423,387
F5 Networks, Inc.*............ 5,516 150,421
Plantronics, Inc. ............ 8,190 104,341
-----------
TOTAL COMMUNICATIONS EQUIPMENT 678,149
-----------
COMPUTERS & PERIPHERALS 1.8%
Western Digital Corp.*........ 14,656 344,709
-----------
TOTAL COMPUTERS & PERIPHERALS 344,709
-----------
DIVERSIFIED CONSUMER SERVICES 4.4%
Career Education Corp.*....... 5,452 120,162
ITT Educational Services,
Inc.*...................... 1,928 194,285
Sotheby's..................... 33,635 390,502
Strayer Education, Inc. ...... 668 126,526
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 831,475
-----------
ELECTRICAL EQUIPMENT 1.9%
AMETEK, Inc. ................. 2,328 74,985
Roper Industries, Inc. ....... 1,516 69,114
Thomas & Betts Corp.*......... 6,738 209,687
-----------
TOTAL ELECTRICAL EQUIPMENT 353,786
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3%
Trimble Navigation, Ltd.*..... 2,830 60,675
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 60,675
-----------
ENERGY EQUIPMENT & SERVICES 7.6%
FMC Technologies, Inc.*....... 4,950 169,438
Helix Energy Solutions Group,
Inc.*...................... 31,102 282,717
Helmerich & Payne, Inc. ...... 7,766 239,348
Oceaneering International,
Inc.*...................... 3,126 142,452
Patterson-UTI Energy, Inc. ... 19,994 254,124
Superior Energy Services,
Inc.*...................... 7,276 139,772
Unit Corp.*................... 7,972 217,556
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,445,407
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 4.2%
Gen-Probe, Inc.*.............. 2,146 103,351
Hologic, Inc.*................ 9,386 139,476
Idexx Laboratories, Inc.*..... 3,020 118,686
Immucor, Inc.*................ 5,028 81,906
Kinetic Concepts, Inc.*....... 10,390 257,256
ResMed, Inc.*................. 2,468 94,895
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 795,570
-----------
HEALTH CARE PROVIDERS & SERVICES 1.5%
Lincare Holdings, Inc.*....... 4,114 99,271
VCA Antech, Inc.*............. 7,690 192,404
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 291,675
-----------
HEALTH CARE TECHNOLOGY 0.6%
Cerner Corp.*................. 2,030 109,214
-----------
TOTAL HEALTH CARE TECHNOLOGY 109,214
-----------
HOTELS, RESTAURANTS & LEISURE 1.8%
Chipotle Mexican Grill,
Inc. -- Class A*........... 2,300 186,507
Panera Bread Co. -- Class A*.. 2,792 156,380
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 342,887
-----------
HOUSEHOLD DURABLES 1.9%
NVR, Inc.*.................... 476 240,556
Toll Brothers, Inc.*.......... 6,082 123,221
-----------
TOTAL HOUSEHOLD DURABLES 363,777
-----------
HOUSEHOLD PRODUCTS 1.7%
Church & Dwight Co., Inc. .... 1,324 72,039
Energizer Holdings, Inc.*..... 4,422 253,380
-----------
TOTAL HOUSEHOLD PRODUCTS 325,419
-----------
INSURANCE 2.0%
Brown & Brown, Inc. .......... 5,182 100,842
Hanover Insurance Group,
Inc.(The).................. 1,940 58,161
HCC Insurance Holdings,
Inc. ...................... 4,886 116,873
W.R. Berkley Corp. ........... 4,204 100,518
-----------
TOTAL INSURANCE 376,394
-----------
INTERNET & CATALOG RETAIL 1.7%
NetFlix, Inc.*................ 4,990 226,097
Priceline.com, Inc.*.......... 1,066 103,498
-----------
TOTAL INTERNET & CATALOG RETAIL 329,595
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 31
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
INTERNET SOFTWARE & SERVICES 2.6%
Digital River, Inc.*.......... 7,058 $271,168
ValueClick, Inc.*............. 20,724 219,675
-----------
TOTAL INTERNET SOFTWARE & SERVICES 490,843
-----------
IT SERVICES 3.6%
Alliance Data Systems Corp.*.. 2,108 88,262
DST Systems, Inc.*............ 4,602 166,454
Gartner, Inc.*................ 3,666 49,528
Global Payments, Inc. ........ 2,482 79,573
Metavante Technologies,
Inc.*...................... 4,988 117,667
NeuStar, Inc. -- Class A*..... 9,514 180,861
-----------
TOTAL IT SERVICES 682,345
-----------
LIFE SCIENCES TOOLS & SERVICES 1.0%
Mettler Toledo International,
Inc.*...................... 668 41,169
Pharmaceutical Product
Development, Inc. ......... 3,278 64,282
Techne Corp. ................. 1,556 89,034
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 194,485
-----------
MACHINERY 5.7%
Bucyrus International,
Inc. -- Class A............ 6,956 151,015
Donaldson Co., Inc. .......... 3,062 101,015
Graco, Inc. .................. 6,954 164,045
Joy Global, Inc. ............. 10,480 267,240
Lincoln Electric Holdings,
Inc. ...................... 1,863 82,959
Terex Corp.*.................. 8,922 123,124
Trinity Industries, Inc. ..... 13,308 194,430
-----------
TOTAL MACHINERY 1,083,828
-----------
MEDIA 2.6%
DreamWorks Animation SKG,
Inc. -- Class A*........... 4,320 103,723
John Wiley & Sons,
Inc. -- Class A............ 2,766 93,768
Lamar Advertising Co. -- Class
A*......................... 9,810 165,789
Marvel Entertainment, Inc.*... 4,630 138,159
-----------
TOTAL MEDIA 501,439
-----------
METALS & MINING 3.8%
Cliffs Natural Resources,
Inc. ...................... 9,654 222,621
Reliance Steel & Aluminum
Co. ....................... 7,368 259,575
Steel Dynamics, Inc. ......... 19,930 248,128
-----------
TOTAL METALS & MINING 730,324
-----------
MULTILINE RETAIL 0.4%
Dollar Tree, Inc.*............ 1,864 78,922
-----------
TOTAL MULTILINE RETAIL 78,922
-----------
OIL, GAS & CONSUMABLE FUELS 3.5%
Comstock Resources, Inc.*..... 1,390 47,899
Encore Acquisition Co.*....... 6,468 188,801
Frontier Oil Corp. ........... 18,346 233,178
Quicksilver Resources, Inc.*.. 24,044 195,478
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 665,356
-----------
PHARMACEUTICALS 2.5%
Endo Pharmaceuticals Holdings,
Inc.*...................... 4,862 80,418
Sepracor, Inc.*............... 27,654 392,963
-----------
TOTAL PHARMACEUTICALS 473,381
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.8%
Jones Lang LaSalle, Inc. ..... 4,900 158,123
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 158,123
-----------
ROAD & RAIL 2.6%
Con-way, Inc. ................ 6,210 153,884
J.B. Hunt Transport Services,
Inc. ...................... 5,514 155,053
Landstar System, Inc. ........ 5,144 183,178
-----------
TOTAL ROAD & RAIL 492,115
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.3%
Cree, Inc.*................... 4,770 130,650
Lam Research Corp.*........... 11,390 317,553
Silicon Laboratories, Inc.*... 5,414 180,070
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 628,273
-----------
SOFTWARE 3.2%
ACI Worldwide, Inc.*.......... 4,500 77,715
Ansys, Inc.*.................. 2,894 79,932
Factset Research Systems,
Inc. ...................... 3,742 200,534
Parametric Technology Corp.*.. 9,014 100,506
Synopsys, Inc.*............... 7,316 159,343
-----------
TOTAL SOFTWARE 618,030
-----------
SPECIALTY RETAIL 10.9%
Advance Auto Parts, Inc. ..... 2,932 128,275
Aeropostale, Inc.*............ 13,526 459,478
Chico's FAS, Inc.*............ 40,318 308,029
Dick's Sporting Goods, Inc.*.. 6,812 129,428
Guess?, Inc. ................. 10,376 270,191
J. Crew Group, Inc.*.......... 23,580 405,812
Ross Stores, Inc. ............ 4,358 165,343
Urban Outfitters, Inc.*....... 10,388 202,462
-----------
TOTAL SPECIALTY RETAIL 2,069,018
-----------
TEXTILES, APPAREL & LUXURY GOODS 2.4%
Timberland Co. -- Class A*.... 7,548 122,579
Under Armour, Inc. -- Class
A*......................... 7,522 177,068
Warnaco Group, Inc.*.......... 5,618 162,023
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 461,670
-----------
TRADING COMPANIES & DISTRIBUTORS 0.8%
MSC Industrial Direct
Co. -- Class A............. 3,562 145,508
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 145,508
-----------
TOTAL COMMON STOCKS
(Cost $21,252,784) 19,044,164
-----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Government Money Market
Fund....................... 8,940 8,940
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $8,940) 8,940
-----------
TOTAL INVESTMENTS 100.0%
(Cost $21,261,724) 19,053,104
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(A) (4,604)
-----------
NET ASSETS--100.0% $19,048,500
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
32
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.7%
AUTO COMPONENTS 3.5%
Spartan Motors, Inc. ........ 30,665 $247,467
Standard Motor Products,
Inc. ..................... 109,353 437,412
Superior Industries
International, Inc. ...... 9,827 148,191
-----------
TOTAL AUTO COMPONENTS 833,070
-----------
BUILDING PRODUCTS 0.5%
Apogee Enterprises, Inc. .... 9,638 129,149
-----------
TOTAL BUILDING PRODUCTS 129,149
-----------
CHEMICALS 1.3%
A. Schulman, Inc. ........... 5,804 91,065
PolyOne Corp.*............... 33,776 92,546
Quaker Chemical Corp. ....... 10,697 125,155
-----------
TOTAL CHEMICALS 308,766
-----------
COMMERCIAL BANKS 3.5%
First Midwest Bancorp,
Inc. ..................... 4,117 36,477
Frontier Financial Corp. .... 60,187 85,466
Independent Bank Corp. ...... 61,360 110,448
Irwin Financial Corp.*....... 108,881 137,190
Provident Bankshares Corp. .. 9,041 79,470
South Financial Group,
Inc. ..................... 28,632 47,529
Sterling Financial Corp. .... 39,664 126,528
Susquehanna Bancshares,
Inc. ..................... 8,161 65,778
Umpqua Holdings Corp. ....... 7,061 67,715
Whitney Holding Corp. ....... 6,841 81,818
-----------
TOTAL COMMERCIAL BANKS 838,419
-----------
COMMERCIAL SERVICES & SUPPLIES 4.8%
Bowne & Co., Inc. ........... 44,420 226,986
CDI Corp. ................... 11,650 139,218
Consolidated Graphics,
Inc.*..................... 3,646 70,805
Spherion Corp.*.............. 121,170 435,000
Standard Register Co.(The)... 15,966 83,343
Volt Information Sciences,
Inc.*..................... 23,761 170,604
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,125,956
-----------
COMPUTERS & PERIPHERALS 0.2%
Hutchinson Technology,
Inc.*..................... 22,158 42,543
-----------
TOTAL COMPUTERS & PERIPHERALS 42,543
-----------
CONTAINERS & PACKAGING 0.5%
Myers Industries, Inc. ...... 12,456 124,934
-----------
TOTAL CONTAINERS & PACKAGING 124,934
-----------
DIVERSIFIED CONSUMER SERVICES 0.4%
Hillenbrand, Inc. ........... 4,840 87,991
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 87,991
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.5%
Fairpoint Communications,
Inc. ..................... 52,602 54,706
Iowa Telecommunications
Services, Inc. ........... 4,128 54,407
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 109,113
-----------
ELECTRIC UTILITIES 0.4%
Central Vermont Public
Service Corp. ............ 2,954 50,691
UIL Holdings Corp. .......... 2,347 54,192
-----------
TOTAL ELECTRIC UTILITIES 104,883
-----------
ELECTRICAL EQUIPMENT 0.6%
Baldor Electric Co. ......... 3,415 79,228
C&D Technologies, Inc.*...... 23,666 51,829
-----------
TOTAL ELECTRICAL EQUIPMENT 131,057
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 9.0%
Agilysys, Inc. .............. 38,491 232,101
Brightpoint, Inc.*........... 36,552 190,436
CTS Corp. ................... 8,088 49,094
Gerber Scientific, Inc.*..... 31,377 123,939
Insight Enterprises, Inc.*... 54,404 311,191
Keithley Instruments, Inc. .. 74,162 256,600
SYNNEX Corp.*................ 26,411 568,629
Technitrol, Inc. ............ 99,484 404,900
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,136,890
-----------
FOOD & STAPLES RETAILING 1.5%
Andersons, Inc.(The)......... 8,308 133,509
Great Atlantic & Pacific Tea
Co., Inc.*................ 31,346 230,080
-----------
TOTAL FOOD & STAPLES RETAILING 363,589
-----------
GAS UTILITIES 0.4%
Atmos Energy Corp. .......... 3,792 93,700
-----------
TOTAL GAS UTILITIES 93,700
-----------
HOTELS, RESTAURANTS & LEISURE 12.3%
DineEquity Inc. ............. 9,324 298,741
O'Charleys, Inc. ............ 156,665 1,091,955
Ruby Tuesday, Inc.*.......... 198,445 1,524,058
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 2,914,754
-----------
HOUSEHOLD DURABLES 2.5%
Ethan Allen Interiors,
Inc. ..................... 9,900 133,155
La-Z-Boy, Inc. .............. 54,216 144,214
National Presto Industries,
Inc. ..................... 1,037 73,897
Russ Berrie & Co., Inc.*..... 39,349 75,156
Standard Pacific Corp.*...... 91,302 170,735
-----------
TOTAL HOUSEHOLD DURABLES 597,157
-----------
INSURANCE 5.0%
Delphi Financial
Group -- Class A.......... 4,086 70,565
National Financial Partners
Corp. .................... 101,768 718,482
Presidential Life Corp. ..... 8,056 86,119
Stewart Information Services
Corp. .................... 13,158 297,502
-----------
TOTAL INSURANCE 1,172,668
-----------
IT SERVICES 3.4%
Gevity HR, Inc. ............. 171,384 678,681
Startek, Inc.*............... 33,252 136,998
-----------
TOTAL IT SERVICES 815,679
-----------
LEISURE EQUIPMENT & PRODUCTS 3.0%
Arctic Cat, Inc. ............ 24,263 97,052
Brunswick Corp. ............. 102,711 614,212
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 711,264
-----------
MACHINERY 1.8%
Barnes Group, Inc. .......... 4,599 65,122
Briggs & Stratton Corp. ..... 6,883 102,419
John Bean Technologies
Corp. .................... 18,743 206,548
Wabash National Corp. ....... 34,038 42,547
-----------
TOTAL MACHINERY 416,636
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
MEDIA 1.7%
EW Scripps Co. -- Class A.... 148,409 $292,366
Live Nation, Inc.*........... 30,728 120,146
-----------
TOTAL MEDIA 412,512
-----------
MULTI-UTILITIES 0.2%
CH Energy Group, Inc. ....... 1,100 48,884
-----------
TOTAL MULTI-UTILITIES 48,884
-----------
MULTILINE RETAIL 1.8%
Tuesday Morning Corp.*....... 126,409 431,055
-----------
TOTAL MULTILINE RETAIL 431,055
-----------
PAPER & FOREST PRODUCTS 0.9%
Buckeye Technologies, Inc.*.. 18,418 94,853
Neenah Paper, Inc. .......... 24,829 124,393
-----------
TOTAL PAPER & FOREST PRODUCTS 219,246
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 10.9%
Acadia Realty Trust.......... 3,594 52,113
BioMed Realty Trust, Inc. ... 13,672 155,997
Cedar Shopping Centers,
Inc. ..................... 26,484 95,078
Colonial Properties Trust.... 32,393 234,525
DiamondRock Hospitality
Co. ...................... 36,363 235,996
EastGroup Properties, Inc. .. 1,823 61,271
Entertainment Properties
Trust..................... 3,656 84,490
Extra Space Storage, Inc. ... 10,780 76,646
Franklin Street Properties
Corp. .................... 4,903 65,455
Home Properties, Inc. ....... 2,168 79,002
Inland Real Estate Corp. .... 6,810 59,792
Kilroy Realty Corp. ......... 2,871 61,841
Kite Realty Group Trust...... 35,505 124,267
Lexington Realty Trust....... 32,534 125,256
LTC Properties, Inc. ........ 4,903 88,303
Mid-America Apartment
Communities, Inc. ........ 1,749 64,695
National Retail Properties,
Inc. ..................... 7,616 135,108
Parkway Properties, Inc. .... 9,219 127,868
Pennsylvania Real Estate
Investment Trust.......... 40,104 310,806
Post Properties, Inc. ....... 7,700 98,252
Senior Housing Properties
Trust..................... 7,082 116,074
Sovran Self Storage, Inc. ... 3,048 68,702
Urstadt Biddle Properties,
Inc -- Class A............ 3,761 57,769
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 2,579,306
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.0%
Cypress Semiconductor
Corp.*.................... 17,475 138,577
Rudolph Technologies, Inc.*.. 20,167 105,473
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 244,050
-----------
SPECIALTY RETAIL 19.9%
Big 5 Sporting Goods Corp. .. 45,384 373,510
Brown Shoe Co., Inc. ........ 24,609 158,236
Christopher & Banks Corp. ... 39,339 218,725
Group 1 Automotive, Inc. .... 26,736 569,477
Lithia Motors, Inc. -- Class
A......................... 107,069 312,641
MarineMax, Inc.*............. 68,788 312,985
Men's Wearhouse, Inc.(The)... 5,134 95,698
OfficeMax, Inc. ............. 53,461 398,284
PEP Boys-Manny Moe & Jack.... 53,702 397,395
Sonic Automotive,
Inc. -- Class A........... 99,285 512,311
Stage Stores, Inc. .......... 21,927 268,606
Stein Mart, Inc.*............ 203,515 889,361
Tween Brands, Inc.*.......... 24,274 70,880
Zale Corp.*.................. 35,400 131,688
-----------
TOTAL SPECIALTY RETAIL 4,709,797
-----------
TEXTILES, APPAREL & LUXURY GOODS 5.2%
Liz Claiborne, Inc. ......... 101,988 483,423
Oxford Industries, Inc. ..... 40,093 390,506
Perry Ellis International,
Inc.*..................... 26,945 197,507
Quiksilver, Inc.*............ 95,943 158,306
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 1,229,742
-----------
THRIFTS & MORTGAGE FINANCE 3.0%
Brookline Bancorp, Inc. ..... 6,495 64,431
Flagstar Bancorp, Inc.*...... 388,267 562,987
Guaranty Financial Group,
Inc.*..................... 130,452 76,967
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 704,385
-----------
TOTAL COMMON STOCKS
(Cost $21,838,951) 23,637,195
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund...................... 56,811 56,811
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $56,811) 56,811
-----------
TOTAL INVESTMENTS 99.9%
(Cost $21,895,762) 23,694,006
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 12,055
-----------
NET ASSETS--100.0% $23,706,061
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
34
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 3.1%
AAR Corp.*.................... 920 $13,864
Aerovironment, Inc.*.......... 840 19,875
American Science &
Engineering, Inc. ......... 340 20,489
Axsys Technologies, Inc.*..... 330 13,830
Ceradyne, Inc.*............... 2,550 43,962
Curtiss-Wright Corp. ......... 560 17,903
Orbital Sciences Corp.*....... 1,020 15,769
Stanley, Inc.*................ 690 17,788
Teledyne Technologies, Inc.*.. 460 14,688
----------
TOTAL AEROSPACE & DEFENSE 178,168
----------
AIR FREIGHT & LOGISTICS 0.3%
Forward Air Corp. ............ 1,010 16,837
----------
TOTAL AIR FREIGHT & LOGISTICS 16,837
----------
AIRLINES 0.4%
SkyWest, Inc. ................ 1,730 20,829
----------
TOTAL AIRLINES 20,829
----------
AUTO COMPONENTS 0.5%
Drew Industries, Inc.*........ 1,930 27,561
----------
TOTAL AUTO COMPONENTS 27,561
----------
BEVERAGES 0.2%
Boston Beer Co., Inc. -- Class
A*......................... 530 14,098
----------
TOTAL BEVERAGES 14,098
----------
BIOTECHNOLOGY 1.2%
Cubist Pharmaceuticals,
Inc.*...................... 2,610 43,326
Martek Biosciences Corp. ..... 1,550 28,241
----------
TOTAL BIOTECHNOLOGY 71,567
----------
BUILDING PRODUCTS 0.3%
Simpson Manufacturing Co.,
Inc. ...................... 650 14,469
----------
TOTAL BUILDING PRODUCTS 14,469
----------
CAPITAL MARKETS 3.7%
Greenhill & Co., Inc. ........ 810 62,799
optionsXpress Holdings,
Inc. ...................... 3,440 56,623
Stifel Financial Corp.*....... 270 13,292
TradeStation Group, Inc.*..... 10,181 82,568
----------
TOTAL CAPITAL MARKETS 215,282
----------
CHEMICALS 0.3%
Balchem Corp. ................ 600 14,934
----------
TOTAL CHEMICALS 14,934
----------
COMMERCIAL BANKS 1.8%
Cascade Bancorp............... 3,681 6,110
East West Bancorp, Inc. ...... 1,770 12,089
Nara Bancorp, Inc. ........... 2,590 9,609
Pinnacle Financial Partners,
Inc.*...................... 1,250 22,300
PrivateBancorp, Inc. ......... 700 14,175
Signature Bank*............... 820 22,296
Wilshire Bancorp, Inc. ....... 4,841 19,558
----------
TOTAL COMMERCIAL BANKS 106,137
----------
COMMERCIAL SERVICES & SUPPLIES 1.4%
Geo Group, Inc.(The)*......... 1,470 24,446
SYKES Enterprises, Inc.*...... 970 19,070
Viad Corp. ................... 1,800 34,344
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 77,860
----------
COMMUNICATIONS EQUIPMENT 1.7%
Bel Fuse, Inc. -- Class B..... 1,090 17,636
Comtech Telecommunications
Corp.*..................... 590 19,747
NETGEAR, Inc.*................ 2,780 44,508
ViaSat, Inc.*................. 810 18,622
----------
TOTAL COMMUNICATIONS EQUIPMENT 100,513
----------
COMPUTERS & PERIPHERALS 2.2%
Intevac, Inc.*................ 11,971 82,480
Stratasys, Inc.*.............. 1,320 12,355
Synaptics, Inc.*.............. 900 29,232
----------
TOTAL COMPUTERS & PERIPHERALS 124,067
----------
CONSTRUCTION MATERIALS 1.1%
Eagle Materials, Inc. ........ 2,020 56,156
Headwaters, Inc.*............. 3,400 8,568
----------
TOTAL CONSTRUCTION MATERIALS 64,724
----------
CONSUMER FINANCE 0.9%
First Cash Financial Services,
Inc.*...................... 960 15,782
World Acceptance Corp.*....... 1,160 34,429
----------
TOTAL CONSUMER FINANCE 50,211
----------
DIVERSIFIED CONSUMER SERVICES 1.6%
Capella Education Co.*........ 350 17,983
Coinstar, Inc.*............... 750 26,693
Pre-Paid Legal Services,
Inc.*...................... 910 33,515
Universal Technical Institute,
Inc.*...................... 1,130 16,091
----------
TOTAL DIVERSIFIED CONSUMER SERVICES 94,282
----------
DIVERSIFIED FINANCIAL SERVICES 0.6%
Portfolio Recovery Associates,
Inc.*...................... 940 32,872
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 32,872
----------
ELECTRICAL EQUIPMENT 0.5%
II-VI, Inc.*.................. 1,120 26,846
----------
TOTAL ELECTRICAL EQUIPMENT 26,846
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.5%
Daktronics, Inc. ............. 2,700 24,408
Electro Scientific Industries,
Inc.*...................... 4,591 39,483
FARO Technologies, Inc.*...... 1,540 23,346
Park Electrochemical Corp. ... 1,610 33,166
Plexus Corp.*................. 2,010 44,522
TTM Technologies, Inc.*....... 4,841 35,920
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 200,845
----------
ENERGY EQUIPMENT & SERVICES 6.6%
Basic Energy Services, Inc.*.. 4,731 48,256
CARBO Ceramics, Inc. ......... 600 18,426
Dril-Quip, Inc.*.............. 1,020 35,068
Hornbeck Offshore Services,
Inc.*...................... 2,550 59,236
ION Geophysical Corp.*........ 8,361 20,902
Lufkin Industries, Inc. ...... 600 20,940
NATCO Group, Inc. -- Class
A*......................... 1,430 34,406
Oil States International,
Inc.*...................... 1,810 34,209
Pioneer Drilling Co.*......... 3,621 18,105
SEACOR Holdings, Inc.*........ 330 21,688
Superior Well Services,
Inc.*...................... 3,850 41,195
Tetra Technologies, Inc.*..... 5,421 31,008
----------
TOTAL ENERGY EQUIPMENT & SERVICES 383,439
----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING 0.3%
Spartan Stores, Inc. ......... 1,010 $16,433
----------
TOTAL FOOD & STAPLES RETAILING 16,433
----------
FOOD PRODUCTS 1.9%
Darling International, Inc.*.. 5,491 31,409
Diamond Foods, Inc. .......... 1,080 28,285
Green Mountain Coffee
Roasters, Inc.*............ 690 49,894
----------
TOTAL FOOD PRODUCTS 109,588
----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.8%
Abaxis, Inc.*................. 1,260 19,051
ICU Medical, Inc.*............ 460 17,296
Integra LifeSciences Holdings
Corp.*..................... 660 17,041
Meridian Bioscience, Inc. .... 1,180 20,509
Natus Medical, Inc.*.......... 1,570 13,785
Palomar Medical Technologies,
Inc.*...................... 6,021 51,841
SurModics, Inc.*.............. 360 7,812
Symmetry Medical, Inc.*....... 2,240 16,262
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 163,597
----------
HEALTH CARE PROVIDERS & SERVICES 6.6%
Air Methods Corp.*............ 1,020 27,081
Amedisys, Inc.*............... 440 14,758
Amsurg Corp.*................. 570 11,708
Catalyst Health Solutions,
Inc.*...................... 1,570 35,404
Chemed Corp. ................. 850 35,980
Healthways, Inc.*............. 3,120 32,542
inVentiv Health, Inc.*........ 4,161 46,145
LCA-Vision, Inc. ............. 14,602 83,961
LHC Group, Inc.*.............. 750 17,115
Magellan Health Services,
Inc.*...................... 1,140 33,698
MEDNAX, Inc..*................ 520 18,668
Molina Healthcare, Inc.*...... 1,060 22,949
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 380,009
----------
HOTELS, RESTAURANTS & LEISURE 6.2%
CEC Entertainment, Inc.*...... 770 23,454
Cracker Barrel Old Country
Store, Inc. ............... 1,630 53,154
Monarch Casino & Resort,
Inc.*...................... 1,610 16,454
P.F. Chang's China Bistro,
Inc.*...................... 720 21,730
Papa John's International,
Inc.*...................... 1,170 31,052
Ruth's Hospitality Group
Inc*....................... 37,674 136,380
Shuffle Master, Inc.*......... 11,141 42,447
WMS Industries, Inc.*......... 1,010 32,431
----------
TOTAL HOTELS, RESTAURANTS & LEISURE 357,102
----------
HOUSEHOLD DURABLES 0.7%
Meritage Homes Corp.*......... 2,030 42,244
----------
TOTAL HOUSEHOLD DURABLES 42,244
----------
INSURANCE 1.6%
American Physicians Capital,
Inc. ...................... 590 24,580
Amerisafe, Inc.*.............. 1,290 19,814
eHealth, Inc.*................ 2,610 50,086
----------
TOTAL INSURANCE 94,480
----------
INTERNET & CATALOG RETAIL 3.1%
HSN, Inc.*.................... 1,600 11,056
NutriSystem, Inc. ............ 4,451 61,157
PetMed Express, Inc.*......... 2,670 43,414
Stamps.com, Inc.*............. 6,601 61,785
----------
TOTAL INTERNET & CATALOG RETAIL 177,412
----------
INTERNET SOFTWARE & SERVICES 6.3%
Bankrate, Inc.*............... 980 24,500
DealerTrack Holdings, Inc.*... 3,731 56,637
InfoSpace, Inc.*.............. 6,571 43,566
j2 Global Communications,
Inc.*...................... 2,560 61,414
Knot, Inc.(The)*.............. 5,111 46,357
Perficient, Inc.*............. 8,911 62,110
United Online, Inc. .......... 6,841 36,257
Websense, Inc.*............... 1,880 33,520
----------
TOTAL INTERNET SOFTWARE & SERVICES 364,361
----------
IT SERVICES 3.1%
CACI International,
Inc. -- Class A*........... 350 13,842
Cybersource Corp.*............ 3,420 49,966
Heartland Payment Systems,
Inc. ...................... 2,940 23,638
Integral Systems, Inc.*....... 1,060 7,028
Wright Express Corp.*......... 3,720 85,114
----------
TOTAL IT SERVICES 179,588
----------
LEISURE EQUIPMENT & PRODUCTS 0.7%
Pool Corp. ................... 2,270 40,542
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 40,542
----------
LIFE SCIENCES TOOLS & SERVICES 0.8%
Dionex Corp.*................. 500 31,500
eResearchTechnology, Inc.*.... 3,241 16,432
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 47,932
----------
MACHINERY 2.4%
Actuant Corp. -- Class A...... 2,170 26,604
Astec Industries, Inc.*....... 1,150 35,443
Gardner Denver, Inc.*......... 980 26,088
Mueller Industries, Inc. ..... 1,130 24,826
Toro Co. ..................... 850 25,823
----------
TOTAL MACHINERY 138,784
----------
METALS & MINING 1.5%
AM Castle & Co. .............. 4,371 42,355
Brush Engineered Materials,
Inc.*...................... 2,760 46,699
----------
TOTAL METALS & MINING 89,054
----------
OIL, GAS & CONSUMABLE FUELS 2.2%
Penn Virginia Corp. .......... 1,280 18,010
Petroleum Development Corp.*.. 2,150 34,851
Petroquest Energy, Inc.*...... 4,111 12,374
St. Mary Land & Exploration
Co. ....................... 2,330 41,637
Swift Energy Co.*............. 2,100 22,722
----------
TOTAL OIL, GAS & CONSUMABLE FUELS 129,594
----------
PAPER & FOREST PRODUCTS 0.2%
Deltic Timber Corp. .......... 250 10,535
----------
TOTAL PAPER & FOREST PRODUCTS 10,535
----------
PERSONAL PRODUCTS 1.7%
Chattem, Inc.*................ 280 15,375
Mannatech, Inc. .............. 19,192 83,869
----------
TOTAL PERSONAL PRODUCTS 99,244
----------
PHARMACEUTICALS 0.8%
Salix Pharmaceuticals Ltd.*... 1,590 17,490
Viropharma, Inc.*............. 4,991 28,099
----------
TOTAL PHARMACEUTICALS 45,589
----------
</Table>
See Notes to Financial Statements.
36
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS (CONCLUDED)
ROAD & RAIL 1.1%
Heartland Express, Inc. ...... 1,220 $18,239
Knight Transportation, Inc. .. 1,530 27,050
Old Dominion Freight Line,
Inc.*...................... 670 18,861
----------
TOTAL ROAD & RAIL 64,150
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 7.9%
ATMI, Inc.*................... 2,130 33,633
Cymer, Inc.*.................. 570 16,194
Diodes, Inc.*................. 4,461 66,380
Hittite Microwave Corp.*...... 1,700 63,172
Kulicke & Soffa Industries,
Inc.*...................... 22,713 90,852
Micrel, Inc. ................. 4,971 37,282
MKS Instruments, Inc.*........ 2,560 40,064
Pericom Semiconductor Corp.*.. 7,831 69,774
Varian Semiconductor Equipment
Associates, Inc.*.......... 1,390 35,570
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 452,921
----------
SOFTWARE 6.5%
Blackbaud, Inc. .............. 2,270 34,549
Commvault Systems, Inc.*...... 4,771 59,399
Concur Technologies, Inc.*.... 830 22,468
Ebix, Inc.*................... 920 25,576
Epicor Software Corp.*........ 9,831 54,267
EPIQ Systems, Inc.*........... 1,570 24,288
MICROS Systems, Inc.*......... 980 20,560
Quality Systems, Inc. ........ 1,090 58,446
Smith Micro Software, Inc.*... 6,921 59,521
Tyler Technologies, Inc.*..... 1,010 16,665
----------
TOTAL SOFTWARE 375,739
----------
SPECIALTY RETAIL 4.0%
Children's Place Retail
Stores, Inc.(The)*......... 1,020 29,009
Dress Barn, Inc.*............. 2,240 33,914
Gymboree Corp.*............... 550 18,920
Hibbett Sports, Inc.*......... 1,620 33,777
Jos. A. Bank Clothiers,
Inc.*...................... 930 37,609
Tractor Supply Co.*........... 570 23,017
Zumiez, Inc.*................. 4,591 55,367
----------
TOTAL SPECIALTY RETAIL 231,613
----------
TEXTILES, APPAREL & LUXURY GOODS 5.6%
Carter's, Inc.*............... 540 11,545
Crocs, Inc.*.................. 45,095 101,464
Deckers Outdoor Corp.*........ 360 20,347
Fossil, Inc.*................. 1,070 21,571
K-Swiss, Inc. -- Class A...... 2,420 24,297
Maidenform Brands, Inc.*...... 2,030 25,882
True Religion Apparel, Inc.*.. 5,131 80,865
Volcom, Inc.*................. 2,800 37,773
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 323,744
----------
TOTAL COMMON STOCKS
(Cost $6,613,966) 5,769,796
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 3,266 3,266
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,266) 3,266
----------
TOTAL INVESTMENTS 100.0%
(Cost $6,617,232) 5,773,062
----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(a) (1,905)
----------
NET ASSETS--100.0% $5,771,157
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 37
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
AUTO COMPONENTS 3.1%
Goodyear Tire & Rubber
Co.(The)*.................. 8,102 $89,041
Johnson Controls, Inc. ....... 4,223 80,279
----------
TOTAL AUTO COMPONENTS 169,320
----------
AUTOMOBILES 4.0%
Ford Motor Co.*............... 17,350 103,753
General Motors Corp. ......... 15,011 28,821
Harley-Davidson, Inc. ........ 3,733 82,723
----------
TOTAL AUTOMOBILES 215,297
----------
DISTRIBUTORS 1.1%
Genuine Parts Co. ............ 1,709 58,038
----------
TOTAL DISTRIBUTORS 58,038
----------
DIVERSIFIED CONSUMER SERVICES 1.5%
Apollo Group, Inc. -- Class
A*......................... 653 41,106
H&R Block, Inc. .............. 2,482 37,578
----------
TOTAL DIVERSIFIED CONSUMER SERVICES 78,684
----------
HOTELS, RESTAURANTS & LEISURE 13.5%
Carnival Corp. ............... 2,226 59,835
Darden Restaurants, Inc. ..... 1,403 51,869
International Game
Technology................. 5,172 63,874
Marriott International,
Inc. -- Class A............ 3,034 71,481
McDonald's Corp. ............. 892 47,535
Starbucks Corp.*.............. 4,253 61,498
Starwood Hotels & Resorts
Worldwide, Inc. ........... 3,862 80,561
Wyndham Worldwide Corp. ...... 11,771 137,485
Wynn Resorts Ltd.*............ 2,316 90,857
Yum! Brands, Inc. ............ 1,784 59,497
----------
TOTAL HOTELS, RESTAURANTS & LEISURE 724,492
----------
HOUSEHOLD DURABLES 16.9%
Black & Decker Corp. ......... 1,834 73,910
Centex Corp. ................. 6,383 69,830
D.R. Horton, Inc. ............ 5,633 73,511
Fortune Brands, Inc. ......... 2,074 81,529
Harman International
Industries, Inc. .......... 4,163 75,725
KB HOME....................... 4,215 76,165
Leggett & Platt, Inc. ........ 3,973 57,052
Lennar Corp. -- Class A....... 5,850 56,979
Newell Rubbermaid, Inc. ...... 7,219 75,439
Pulte Homes, Inc. ............ 4,836 55,662
Snap-on, Inc. ................ 1,879 63,736
Stanley Works(The)............ 1,731 65,830
Whirlpool Corp. .............. 1,812 81,830
----------
TOTAL HOUSEHOLD DURABLES 907,198
----------
INTERNET & CATALOG RETAIL 2.6%
Amazon.com, Inc.*............. 682 54,914
Expedia, Inc.*................ 6,044 82,259
----------
TOTAL INTERNET & CATALOG RETAIL 137,173
----------
LEISURE EQUIPMENT & PRODUCTS 2.9%
Eastman Kodak Co. ............ 12,643 38,561
Hasbro, Inc. ................. 2,041 54,413
Mattel, Inc. ................. 4,315 64,553
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 157,527
----------
MEDIA 19.7%
CBS Corp. -- Class B.......... 11,575 81,488
Comcast Corp. -- Class A...... 3,734 57,728
DIRECTV Group, Inc.(The)*..... 2,181 53,936
Gannett Co., Inc. ............ 22,152 86,614
Interpublic Group of Cos.,
Inc.*...................... 11,936 74,719
McGraw-Hill Cos., Inc. ....... 2,509 75,646
Meredith Corp. ............... 3,040 76,243
New York Times Co. -- Class
A.......................... 10,749 57,830
News Corp. -- Class A......... 7,810 64,510
Omnicom Group, Inc. .......... 1,993 62,720
Scripps Networks
Interactive -- Class A..... 2,261 62,042
Time Warner Cable, Inc. ...... 2,116 68,199
Time Warner, Inc. ............ 2,726 59,508
Viacom, Inc. -- Class B*...... 2,886 55,527
Walt Disney Co.(The).......... 2,723 59,634
Washington Post Co. -- Class
B.......................... 140 58,603
----------
TOTAL MEDIA 1,054,947
----------
MULTILINE RETAIL 10.2%
Big Lots, Inc.*............... 2,413 66,695
Family Dollar Stores, Inc. ... 1,539 51,079
J.C. Penney Co., Inc. ........ 2,753 84,490
Kohl's Corp.*................. 1,173 53,196
Macy's, Inc. ................. 5,703 78,017
Nordstrom, Inc. .............. 3,273 74,068
Sears Holdings Corp.*......... 1,184 73,965
Target Corp. ................. 1,563 64,489
----------
TOTAL MULTILINE RETAIL 545,999
----------
SPECIALTY RETAIL 19.7%
Abercrombie & Fitch
Co. -- Class A............. 2,143 57,990
AutoNation, Inc.*............. 3,652 64,677
AutoZone, Inc.*............... 300 49,917
Bed Bath & Beyond, Inc.*...... 2,050 62,361
Best Buy Co., Inc. ........... 1,472 56,495
GameStop Corp. -- Class A*.... 1,910 57,606
Gap, Inc.(The)................ 3,961 61,554
Home Depot, Inc. ............. 2,146 56,483
Limited Brands, Inc. ......... 5,893 67,298
Lowe's Cos., Inc. ............ 2,787 59,920
O'Reilly Automotive, Inc.*.... 1,402 54,468
Office Depot, Inc.*........... 34,466 89,267
RadioShack Corp. ............. 5,696 80,200
Sherwin-Williams Co.(The)..... 1,054 59,698
Staples, Inc. ................ 2,794 57,612
Tiffany & Co. ................ 2,346 67,893
TJX Cos., Inc. ............... 1,925 53,842
----------
TOTAL SPECIALTY RETAIL 1,057,281
----------
TEXTILES, APPAREL & LUXURY GOODS 4.7%
Coach, Inc.*.................. 3,157 77,346
NIKE, Inc. -- Class B......... 1,053 55,251
Polo Ralph Lauren Corp. ...... 1,252 67,408
V.F. Corp. ................... 852 50,498
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 250,503
----------
TOTAL COMMON STOCKS
(Cost $6,421,252) 5,356,459
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 4,939 4,939
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,939) 4,939
----------
TOTAL INVESTMENTS 100.0%
(Cost $6,426,191) 5,361,398
----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(A) (1,216)
----------
NET ASSETS--100.0% $5,360,182
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
38
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.5%
BEVERAGES 21.4%
Brown-Forman Corp. -- Class
B.......................... 4,519 $210,133
Coca-Cola Co.(The)............ 4,222 181,757
Coca-Cola Enterprises, Inc. .. 15,176 258,903
Constellation Brands,
Inc. -- Class A*........... 13,450 155,886
Dr Pepper Snapple Group,
Inc.*...................... 12,203 252,724
Molson Coors Brewing
Co. -- Class B............. 5,390 206,167
Pepsi Bottling Group, Inc. ... 8,899 278,272
PepsiCo, Inc. ................ 3,644 181,325
----------
TOTAL BEVERAGES 1,725,167
----------
FOOD & STAPLES RETAILING 22.0%
Costco Wholesale Corp. ....... 3,931 191,047
CVS Caremark Corp. ........... 6,670 211,972
Kroger Co.(The)............... 8,451 182,711
Safeway, Inc. ................ 9,025 178,244
SUPERVALU, Inc. .............. 11,796 192,865
Sysco Corp. .................. 7,710 179,874
Wal-Mart Stores, Inc. ........ 3,547 178,769
Walgreen Co. ................. 7,406 232,770
Whole Foods Market, Inc. ..... 10,948 226,952
----------
TOTAL FOOD & STAPLES RETAILING 1,775,204
----------
FOOD PRODUCTS 32.2%
Archer-Daniels-Midland Co. ... 6,276 154,515
Campbell Soup Co. ............ 6,747 173,533
ConAgra Foods, Inc. .......... 12,281 217,374
Dean Foods Co.*............... 8,908 184,396
General Mills, Inc. .......... 3,752 190,189
H.J. Heinz Co. ............... 5,310 182,770
Hershey Co.(The).............. 5,082 183,663
Hormel Foods Corp. ........... 5,782 180,919
J.M. Smucker Co.(The)......... 4,899 193,021
Kellogg Co. .................. 4,834 203,560
Kraft Foods, Inc. -- Class A.. 8,019 187,645
McCormick & Co., Inc. ........ 5,516 162,446
Sara Lee Corp. ............... 21,914 182,324
Tyson Foods, Inc. -- Class A.. 18,882 199,016
----------
TOTAL FOOD PRODUCTS 2,595,371
----------
HOUSEHOLD PRODUCTS 9.4%
Clorox Co. ................... 3,565 199,818
Colgate-Palmolive Co. ........ 3,097 182,723
Kimberly-Clark Corp. ......... 3,807 187,076
Procter & Gamble Co. ......... 3,819 188,812
----------
TOTAL HOUSEHOLD PRODUCTS 758,429
----------
PERSONAL PRODUCTS 5.5%
Avon Products, Inc. .......... 9,561 217,608
Estee Lauder Cos.,
Inc -- Class A............. 7,491 223,981
----------
TOTAL PERSONAL PRODUCTS 441,589
----------
TOBACCO 9.0%
Altria Group, Inc. ........... 10,660 174,078
Lorillard, Inc. .............. 2,958 186,739
Philip Morris International,
Inc. ...................... 4,806 173,977
Reynolds American, Inc. ...... 4,932 187,317
----------
TOTAL TOBACCO 722,111
----------
TOTAL COMMON STOCKS
(Cost $9,600,869) 8,017,871
----------
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market
Fund....................... 32,399 32,399
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $32,399) 32,399
----------
TOTAL INVESTMENTS 99.9%
(Cost $9,633,268) 8,050,270
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 5,557
----------
NET ASSETS--100.0% $8,055,827
- -----------------------------------------------------
</Table>
*Non-Income Producing Security.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 39
RYDEX S&P EQUAL WEIGHT ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
ENERGY EQUIPMENT & SERVICES 29.6%
Baker Hughes, Inc. ........... 4,117 $146,483
BJ Services Co. .............. 12,484 173,403
Cameron International Corp.*.. 5,654 144,629
Diamond Offshore Drilling,
Inc. ...................... 1,926 139,462
ENSCO International, Inc. .... 4,545 128,533
Halliburton Co. .............. 7,589 153,449
Nabors Industries, Ltd.*...... 12,365 188,072
National-Oilwell Varco,
Inc.*...................... 4,221 127,812
Rowan Cos., Inc. ............. 9,486 148,076
Schlumberger, Ltd. ........... 3,074 150,595
Smith International, Inc. .... 5,534 143,054
----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,643,568
----------
OIL, GAS & CONSUMABLE FUELS 70.2%
Anadarko Petroleum Corp. ..... 3,143 135,338
Apache Corp. ................. 1,973 143,753
Cabot Oil & Gas Corp. ........ 5,085 153,516
Chesapeake Energy Corp. ...... 7,244 142,779
Chevron Corp. ................ 1,971 130,283
ConocoPhillips................ 3,383 138,703
CONSOL Energy, Inc. .......... 4,448 139,133
Denbury Resources, Inc.*...... 8,384 136,492
Devon Energy Corp. ........... 2,685 139,217
El Paso Corp. ................ 19,232 132,701
EOG Resources, Inc. .......... 2,062 130,896
Exxon Mobil Corp. ............ 1,935 129,006
Hess Corp. ................... 2,070 113,415
Marathon Oil Corp. ........... 5,265 156,370
Massey Energy Co. ............ 11,232 178,701
Murphy Oil Corp. ............. 2,669 127,338
Noble Energy, Inc. ........... 2,460 139,605
Occidental Petroleum Corp. ... 2,249 126,596
Peabody Energy Corp. ......... 4,760 125,616
Pioneer Natural Resources
Co. ....................... 7,671 177,354
Range Resources Corp. ........ 3,111 124,347
Southwestern Energy Co.*...... 4,139 148,425
Spectra Energy Corp. ......... 9,103 131,993
Sunoco, Inc. ................. 4,754 126,029
Tesoro Corp. ................. 9,155 139,614
Valero Energy Corp. .......... 7,086 140,586
Williams Cos., Inc. .......... 10,880 153,408
XTO Energy, Inc. ............. 3,892 134,897
----------
TOTAL OIL, GAS & CONSUMABLE FUELS 3,896,111
----------
TOTAL COMMON STOCKS
(Cost $8,029,253) 5,539,679
----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund....................... 9,322 9,322
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $9,322) 9,322
----------
TOTAL INVESTMENTS 100.0%
(Cost $8,038,575) 5,549,001
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(a) 12
----------
NET ASSETS--100.0% $5,549,013
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
40
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
CAPITAL MARKETS 17.1%
Ameriprise Financial, Inc. ... 4,376 $115,308
Bank of New York Mellon
Corp. ..................... 3,400 86,632
Charles Schwab Corp.(The)..... 6,211 114,779
E*TRADE Financial Corp.*...... 72,312 103,406
Federated Investors,
Inc. -- Class B............ 4,123 94,334
Franklin Resources, Inc. ..... 1,797 108,683
Goldman Sachs Group,
Inc.(The).................. 856 109,996
Invesco Ltd. ................. 7,050 103,776
Janus Capital Group, Inc. .... 14,918 149,628
Legg Mason, Inc. ............. 6,068 121,785
Morgan Stanley................ 4,036 95,411
Northern Trust Corp. ......... 1,498 81,431
State Street Corp. ........... 3,227 110,137
T. Rowe Price Group, Inc. .... 3,348 128,965
----------
TOTAL CAPITAL MARKETS 1,524,271
----------
COMMERCIAL BANKS 16.7%
BB&T Corp. ................... 4,827 112,662
Comerica, Inc. ............... 4,549 95,438
Fifth Third Bancorp........... 39,920 163,672
First Horizon National
Corp. ..................... 8,116 93,415
Huntington Bancshares, Inc. .. 47,132 131,498
KeyCorp....................... 10,657 65,541
M&T Bank Corp. ............... 2,104 110,355
Marshall & Ilsley Corp. ...... 16,281 94,104
PNC Financial Services Group,
Inc. ...................... 2,994 118,862
Regions Financial Corp. ...... 19,951 89,580
SunTrust Banks, Inc. ......... 6,739 97,311
U.S. Bancorp.................. 6,020 109,684
Wells Fargo & Co. ............ 5,679 113,637
Zions Bancorp................. 8,170 89,298
----------
TOTAL COMMERCIAL BANKS 1,485,057
----------
CONSUMER FINANCE 5.6%
American Express Co. ......... 6,577 165,872
Capital One Financial Corp. .. 7,059 118,168
Discover Financial Services... 14,196 115,413
SLM Corp.*.................... 19,677 95,040
----------
TOTAL CONSUMER FINANCE 494,493
----------
DIVERSIFIED FINANCIAL SERVICES 11.7%
Bank of America Corp. ........ 12,741 113,777
CIT Group, Inc. .............. 34,816 77,291
Citigroup, Inc. .............. 32,539 99,244
CME Group, Inc. .............. 372 82,342
IntercontinentalExchange,
Inc.*...................... 1,143 100,127
JPMorgan Chase & Co. ......... 3,468 114,444
Leucadia National Corp.*...... 6,599 140,097
Moody's Corp. ................ 4,445 131,216
Nasdaq OMX Group (The)*....... 4,011 77,132
NYSE Euronext................. 4,570 105,887
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 1,041,557
----------
INSURANCE 26.0%
AFLAC, Inc. .................. 4,360 125,960
Allstate Corp. ............... 4,519 105,428
American International Group,
Inc. ...................... 58,909 81,294
Aon Corp. .................... 2,170 91,574
Assurant, Inc. ............... 3,907 95,487
Chubb Corp. .................. 2,042 79,536
Cincinnati Financial Corp. ... 3,964 94,938
Genworth Financial,
Inc. -- Class A............ 47,325 111,687
Hartford Financial Services
Group, Inc. ............... 10,656 122,224
Lincoln National Corp. ....... 10,878 122,269
Loews Corp. .................. 3,707 92,267
Marsh & McLennan Cos., Inc. .. 4,235 89,316
MBIA, Inc.*................... 19,365 91,597
MetLife, Inc. ................ 3,865 114,984
Principal Financial Group,
Inc. ...................... 11,305 184,724
Progressive Corp.*............ 6,536 99,870
Prudential Financial, Inc. ... 4,717 136,227
Torchmark Corp. .............. 3,268 95,850
Travelers Cos., Inc.(The)..... 2,161 88,904
Unum Group.................... 7,093 115,900
XL Capital, Ltd. -- Class A... 18,218 173,253
----------
TOTAL INSURANCE 2,313,289
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 18.0%
Apartment Investment &
Management Co. -- Class A.. 15,779 115,187
AvalonBay Communities, Inc. .. 1,784 101,349
Boston Properties, Inc. ...... 2,249 111,146
Equity Residential............ 4,619 105,729
HCP, Inc. .................... 4,693 103,011
Health Care REIT, Inc. ....... 2,715 92,500
Host Hotels & Resorts, Inc. .. 20,566 158,152
Kimco Realty Corp. ........... 10,676 128,325
Plum Creek Timber Co., Inc. .. 3,089 106,632
ProLogis...................... 14,214 129,490
Public Storage, Inc. ......... 1,558 104,168
Simon Property Group, Inc. ... 2,481 128,020
Ventas, Inc. ................. 3,671 105,137
Vornado Realty Trust.......... 2,421 118,363
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,607,209
----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 2.8%
CB Richard Ellis Group,
Inc. -- Class A*........... 33,089 248,168
----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 248,168
----------
THRIFTS & MORTGAGE FINANCE 1.9%
Hudson City Bancorp, Inc. .... 7,548 94,803
People's United Financial,
Inc. ...................... 4,995 78,022
----------
TOTAL THRIFTS & MORTGAGE FINANCE 172,825
----------
TOTAL COMMON STOCKS
(Cost $11,930,827) 8,886,869
----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund....................... 21,283 21,283
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $21,283) 21,283
----------
TOTAL INVESTMENTS 100.0%
(Cost $11,952,110) 8,908,152
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(A) 1,644
----------
NET ASSETS--100.0% $8,909,796
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 41
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 100.0%
BIOTECHNOLOGY 9.8%
Amgen, Inc.*................. 12,840 $622,355
Biogen Idec, Inc.*........... 12,401 599,465
Celgene Corp.*............... 13,728 586,460
Cephalon, Inc.*.............. 9,371 614,831
Genzyme Corp.*............... 11,452 610,735
Gilead Sciences, Inc.*....... 14,159 648,482
-----------
TOTAL BIOTECHNOLOGY 3,682,328
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 24.5%
Baxter International, Inc. .. 12,506 606,541
Becton, Dickinson & Co. ..... 9,815 593,611
Boston Scientific Corp.*..... 80,856 679,999
C.R. Bard, Inc. ............. 8,173 585,432
Covidien, Ltd. .............. 20,008 659,864
Dentsply International,
Inc. ..................... 25,332 725,002
Hospira, Inc.*............... 24,875 817,641
Intuitive Surgical, Inc.*.... 6,468 929,646
Medtronic, Inc. ............. 22,513 720,416
St Jude Medical, Inc.*....... 17,673 592,399
Stryker Corp. ............... 19,915 770,910
Varian Medical Systems,
Inc.*..................... 21,149 705,742
Zimmer Holdings, Inc.*....... 17,847 785,089
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 9,172,292
-----------
HEALTH CARE PROVIDERS & SERVICES 32.0%
Aetna, Inc. ................. 26,491 583,067
AmerisourceBergen Corp. ..... 20,589 692,614
Cardinal Health, Inc. ....... 19,983 675,226
CIGNA Corp. ................. 35,270 695,172
Coventry Health Care, Inc.*.. 53,485 850,946
DaVita, Inc.*................ 13,995 648,948
Express Scripts, Inc.*....... 13,492 863,083
Humana, Inc.*................ 24,673 710,089
Laboratory Corp. of America
Holdings*................. 11,068 710,012
McKesson Corp. .............. 17,485 646,945
Medco Health Solutions,
Inc.*..................... 16,183 704,770
Patterson Cos., Inc.*........ 34,787 711,742
Quest Diagnostics, Inc. ..... 14,127 725,139
Tenet Healthcare Corp.*...... 599,095 1,347,964
UnitedHealth Group, Inc. .... 29,503 693,910
WellPoint, Inc.*............. 17,376 742,998
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 12,002,625
-----------
HEALTH CARE TECHNOLOGY 1.8%
IMS Health, Inc. ............ 52,533 659,815
-----------
TOTAL HEALTH CARE TECHNOLOGY 659,815
-----------
LIFE SCIENCES TOOLS & SERVICES 9.8%
Life Technologies Corp.*..... 20,367 759,689
Millipore Corp.*............. 11,068 654,119
PerkinElmer, Inc. ........... 52,330 762,448
Thermo Fisher Scientific
Inc.*..................... 18,646 654,102
Waters Corp.*................ 19,379 855,970
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 3,686,328
-----------
PHARMACEUTICALS 22.1%
Abbott Laboratories.......... 13,196 552,253
Allergan, Inc. .............. 15,633 729,436
Bristol-Myers Squibb Co. .... 30,145 578,784
Eli Lilly & Co. ............. 19,679 647,833
Forest Laboratories, Inc.*... 29,674 643,629
Johnson & Johnson, Inc. ..... 12,508 654,919
King Pharmaceuticals, Inc.*.. 90,376 712,163
Merck & Co., Inc. ........... 24,052 583,020
Mylan Inc.*.................. 47,560 630,170
Pfizer, Inc. ................ 45,801 611,901
Schering-Plough Corp. ....... 27,219 626,581
Watson Pharmaceuticals,
Inc.*..................... 22,531 697,109
Wyeth........................ 14,840 629,216
-----------
TOTAL PHARMACEUTICALS 8,297,014
-----------
TOTAL COMMON STOCKS
(Cost $48,914,270) 37,500,402
-----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Government Money Market
Fund...................... 11,076 11,076
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $11,076) 11,076
-----------
TOTAL INVESTMENTS 100.0%
(Cost $48,925,346) 37,511,478
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(A) (2,589)
-----------
NET ASSETS--100.0% $37,508,889
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
42
RYDEX S&P EQUAL WEIGHT INDUSTRIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 19.7%
Boeing Co. ................... 4,931 $197,487
General Dynamics Corp. ....... 4,252 219,701
Goodrich Corp. ............... 4,301 190,448
Honeywell International,
Inc. ...................... 5,926 184,950
ITT Corp. .................... 4,246 174,128
L-3 Communications Holdings,
Inc. ...................... 2,520 191,898
Lockheed Martin Corp. ........ 2,362 185,488
Northrop Grumman Corp. ....... 4,198 202,973
Precision Castparts Corp. .... 2,794 209,159
Raytheon Co. ................. 4,540 205,344
Rockwell Collins, Inc. ....... 5,116 196,199
United Technologies Corp. .... 3,970 193,895
-----------
TOTAL AEROSPACE & DEFENSE 2,351,670
-----------
AIR FREIGHT & LOGISTICS 6.7%
C.H. Robinson Worldwide,
Inc. ...................... 3,648 193,928
Expeditors International of
Washington, Inc. .......... 5,836 202,567
FedEx Corp. .................. 3,824 213,991
United Parcel Service,
Inc. -- Class B............ 3,584 187,587
-----------
TOTAL AIR FREIGHT & LOGISTICS 798,073
-----------
AIRLINES 1.7%
Southwest Airlines Co. ....... 28,607 199,677
-----------
TOTAL AIRLINES 199,677
-----------
BUILDING PRODUCTS 1.8%
Masco Corp. .................. 24,255 214,899
-----------
TOTAL BUILDING PRODUCTS 214,899
-----------
COMMERCIAL SERVICES & SUPPLIES 21.0%
Avery Dennison Corp. ......... 7,591 218,165
Cintas Corp. ................. 7,021 180,159
Dun & Bradstreet Corp. ....... 2,170 176,638
Equifax, Inc. ................ 7,204 210,069
Iron Mountain, Inc.*.......... 7,585 216,097
Monster Worldwide, Inc.*...... 21,651 298,784
Pitney Bowes, Inc. ........... 7,366 180,762
R.R. Donnelley & Sons Co. .... 22,613 263,441
Republic Services, Inc. ...... 9,434 198,114
Robert Half International,
Inc. ...................... 9,576 230,015
Stericycle, Inc.*............. 3,403 160,213
Waste Management, Inc. ....... 6,381 170,181
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 2,502,638
-----------
CONSTRUCTION & ENGINEERING 2.7%
Fluor Corp. .................. 4,334 164,129
Jacobs Engineering Group,
Inc.*...................... 4,289 163,153
-----------
TOTAL CONSTRUCTION & ENGINEERING 327,282
-----------
ELECTRICAL EQUIPMENT 5.4%
Cooper Industries,
Ltd. -- Class A............ 6,690 219,365
Emerson Electric Co. ......... 5,982 203,627
Rockwell Automation, Inc. .... 7,084 223,784
-----------
TOTAL ELECTRICAL EQUIPMENT 646,776
-----------
INDUSTRIAL CONGLOMERATES 5.9%
3M Co. ....................... 3,482 200,563
General Electric Co. ......... 16,784 212,318
Textron, Inc. ................ 26,949 289,163
-----------
TOTAL INDUSTRIAL CONGLOMERATES 702,044
-----------
MACHINERY 23.3%
Caterpillar, Inc. ............ 5,869 208,819
Cummins, Inc. ................ 6,818 231,812
Danaher Corp. ................ 2,991 174,794
Deere & Co. .................. 5,210 214,965
Dover Corp. .................. 6,379 196,346
Eaton Corp. .................. 4,692 205,510
Flowserve Corp. .............. 2,870 194,873
Illinois Tool Works, Inc. .... 5,760 188,928
Ingersoll-Rand Co.,
Ltd. -- Class A............ 11,507 250,507
Manitowoc Co., Inc. .......... 39,824 236,953
PACCAR, Inc. ................. 6,346 224,902
Pall Corp. ................... 8,000 211,280
Parker-Hannifin Corp. ........ 5,076 230,196
-----------
TOTAL MACHINERY 2,769,885
-----------
ROAD & RAIL 8.1%
Burlington Northern Santa Fe
Corp. ..................... 2,910 196,367
CSX Corp. .................... 6,596 195,175
Norfolk Southern Corp. ....... 5,254 187,463
Ryder System, Inc. ........... 6,352 175,887
Union Pacific Corp. .......... 4,149 203,882
-----------
TOTAL ROAD & RAIL 958,774
-----------
TRADING COMPANIES & DISTRIBUTORS 3.5%
Fastenal Co. ................. 5,520 211,747
W.W. Grainger, Inc. .......... 2,411 202,235
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 413,982
-----------
TOTAL COMMON STOCKS
(Cost $12,865,446) 11,885,700
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 11,662 11,662
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $11,662) 11,662
-----------
TOTAL INVESTMENTS 99.9%
(Cost $12,877,108) 11,897,362
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 14,608
-----------
NET ASSETS--100.0% $11,911,970
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 43
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
CHEMICALS 37.7%
Air Products & Chemicals,
Inc. ...................... 2,666 $175,689
CF Industries Holdings,
Inc. ...................... 2,177 156,853
Dow Chemical Co.(The)......... 19,150 306,400
Du Pont (E.I.) de Nemours &
Co. ....................... 7,126 198,815
Eastman Chemical Co. ......... 6,092 241,731
Ecolab, Inc. ................. 4,556 175,634
International Flavors &
Fragrances, Inc. .......... 5,142 160,430
Monsanto Co. ................. 1,834 155,688
PPG Industries, Inc. ......... 4,243 186,904
Praxair, Inc. ................ 2,328 173,692
Sigma-Aldrich Corp. .......... 4,103 179,876
----------
TOTAL CHEMICALS 2,111,712
----------
CONSTRUCTION MATERIALS 3.2%
Vulcan Materials Co. ......... 3,805 180,928
----------
TOTAL CONSTRUCTION MATERIALS 180,928
----------
CONTAINERS & PACKAGING 19.3%
Ball Corp. ................... 3,559 134,245
Bemis Co., Inc. .............. 7,332 176,261
Owens-Illinois, Inc.*......... 12,059 294,119
Pactiv Corp.*................. 11,893 259,981
Sealed Air Corp. ............. 11,408 217,437
----------
TOTAL CONTAINERS & PACKAGING 1,082,043
----------
METALS & MINING 27.8%
AK Steel Holding Corp. ....... 21,258 276,567
Alcoa, Inc. .................. 22,695 205,844
Allegheny Technologies,
Inc. ...................... 7,152 234,085
Freeport-McMoRan Copper &
Gold, Inc. ................ 3,775 161,004
Newmont Mining Corp. ......... 3,369 135,568
Nucor Corp. .................. 3,933 160,034
Titanium Metals Corp. ........ 27,414 186,141
United States Steel Corp. .... 7,459 198,036
----------
TOTAL METALS & MINING 1,557,279
----------
PAPER & FOREST PRODUCTS 11.9%
International Paper Co. ...... 20,785 263,138
MeadWestvaco Corp. ........... 13,092 205,021
Weyerhaeuser Co. ............. 5,546 195,552
----------
TOTAL PAPER & FOREST PRODUCTS 663,711
----------
TOTAL COMMON STOCKS
(Cost $6,315,102) 5,595,673
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 7,948 7,948
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $7,948) 7,948
----------
TOTAL INVESTMENTS 100.0%
(Cost $6,323,050) 5,603,621
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(A) 138
----------
NET ASSETS--100.0% $5,603,759
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
44
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
COMMUNICATIONS EQUIPMENT 12.8%
Ciena Corp.*.................. 12,790 $152,841
Cisco Systems, Inc.*.......... 5,740 110,897
Corning, Inc. ................ 7,200 105,264
Harris Corp. ................. 2,860 87,459
JDS Uniphase Corp.*........... 27,970 128,942
Juniper Networks, Inc.*....... 5,950 128,818
Motorola, Inc. ............... 22,880 126,526
QUALCOMM, Inc. ............... 2,470 104,530
Tellabs, Inc.*................ 21,710 113,760
----------
TOTAL COMMUNICATIONS EQUIPMENT 1,059,037
----------
COMPUTERS & PERIPHERALS 14.6%
Apple, Inc.*.................. 920 115,764
Dell, Inc.*................... 9,280 107,834
EMC Corp.*.................... 8,110 101,618
Hewlett-Packard Co. .......... 3,200 115,136
International Business
Machines Corp. ............ 1,000 103,210
Lexmark International,
Inc. -- Class A*........... 5,530 108,499
NetApp, Inc.*................. 5,950 108,885
QLogic Corp.*................. 8,270 117,268
SanDisk Corp.*................ 8,780 138,021
Sun Microsystems, Inc.*....... 10,790 98,836
Teradata Corp.*............... 5,540 92,629
----------
TOTAL COMPUTERS & PERIPHERALS 1,207,700
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 9.4%
Agilent Technologies, Inc.*... 6,320 115,403
Amphenol Corp. -- Class A..... 3,290 111,334
FLIR Systems, Inc.*........... 4,400 97,592
Jabil Circuit, Inc. .......... 21,860 177,066
Molex, Inc. .................. 7,150 119,191
Tyco Electronics, Ltd. ....... 8,830 153,995
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 774,581
----------
INTERNET SOFTWARE & SERVICES 6.5%
Akamai Technologies, Inc.*.... 4,880 107,458
eBay, Inc.*................... 7,610 125,337
Google, Inc. -- Class A*...... 280 110,872
VeriSign, Inc.*............... 4,680 96,314
Yahoo!, Inc.*................. 6,780 96,886
----------
TOTAL INTERNET SOFTWARE & SERVICES 536,867
----------
IT SERVICES 14.0%
Affiliated Computer Services,
Inc. -- Class A*........... 1,990 96,276
Automatic Data Processing,
Inc. ...................... 2,540 89,408
Cognizant Technology Solutions
Corp. -- Class A*.......... 4,310 106,845
Computer Sciences Corp.*...... 2,630 97,205
Convergys Corp.*.............. 12,900 130,419
Fidelity National Information
Services, Inc. ............ 5,280 94,248
Fiserv, Inc.*................. 2,690 100,391
Mastercard, Inc. -- Class A... 600 110,070
Paychex, Inc. ................ 4,020 108,580
Total System Services, Inc. .. 7,060 88,038
Western Union Co. ............ 7,790 130,483
----------
TOTAL IT SERVICES 1,151,963
----------
OFFICE ELECTRONICS 1.3%
Xerox Corp. .................. 17,440 106,558
----------
TOTAL OFFICE ELECTRONICS 106,558
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 23.1%
Advanced Micro Devices,
Inc.*...................... 31,460 113,571
Altera Corp. ................. 5,340 87,095
Analog Devices, Inc. ......... 4,590 97,675
Applied Materials, Inc. ...... 8,700 106,227
Broadcom Corp. -- Class A*.... 4,730 109,689
Intel Corp. .................. 6,150 97,047
KLA-Tencor Corp. ............. 4,520 125,385
Linear Technology Corp. ...... 4,030 87,773
LSI Corp.*.................... 28,740 110,362
MEMC Electronic Materials,
Inc.*...................... 6,000 97,200
Microchip Technology, Inc. ... 4,470 102,810
Micron Technology, Inc.*...... 25,380 123,854
National Semiconductor
Corp. ..................... 8,580 106,135
Novellus Systems, Inc.*....... 6,340 114,500
NVIDIA Corp.*................. 9,240 106,075
Teradyne, Inc.*............... 20,880 124,027
Texas Instruments, Inc. ...... 5,610 101,317
Xilinx, Inc. ................. 4,680 95,659
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 1,906,401
----------
SOFTWARE 18.2%
Adobe Systems, Inc.*.......... 4,380 119,793
Autodesk, Inc.*............... 6,710 133,797
BMC Software, Inc.*........... 2,940 101,930
CA, Inc. ..................... 5,610 96,773
Citrix Systems, Inc.*......... 3,900 111,267
Compuware Corp.*.............. 16,280 121,774
Electronic Arts, Inc.*........ 4,920 100,122
Intuit, Inc.*................. 3,490 80,724
McAfee, Inc.*................. 2,950 110,743
Microsoft Corp. .............. 5,430 110,012
Novell, Inc.*................. 21,410 80,502
Oracle Corp. ................. 5,360 103,662
Salesforce.com, Inc.*......... 2,620 112,162
Symantec Corp.*............... 6,570 113,332
----------
TOTAL SOFTWARE 1,496,593
----------
TOTAL COMMON STOCKS
(Cost $12,452,566) 8,239,700
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 8,257 8,257
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $8,257) 8,257
----------
TOTAL INVESTMENTS 100.0%
(Cost $12,460,823) 8,247,957
----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(A) (2,369)
----------
NET ASSETS--100.0% $8,245,588
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 45
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 16.1%
AT&T, Inc. ................... 4,900 $125,538
CenturyTel, Inc. ............. 4,740 128,691
Embarq Corp. ................. 3,520 128,691
Frontier Communications
Corp. ..................... 18,830 133,881
Qwest Communications
International, Inc. ....... 36,500 141,985
Verizon Communications,
Inc. ...................... 4,140 125,608
Windstream Corp. ............. 15,680 130,144
----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 914,538
----------
ELECTRIC UTILITIES 30.9%
Allegheny Energy, Inc. ....... 5,290 137,117
American Electric Power Co.,
Inc. ...................... 4,470 117,919
Duke Energy Corp. ............ 8,840 122,080
Edison International.......... 4,310 122,878
Entergy Corp. ................ 1,860 120,472
Exelon Corp. ................. 2,800 129,164
FirstEnergy Corp. ............ 3,140 128,426
FPL Group, Inc. .............. 2,510 135,013
Northeast Utilities........... 5,790 121,706
Pepco Holdings, Inc. ......... 10,310 123,205
Pinnacle West Capital Corp. .. 4,760 130,329
PPL Corp. .................... 4,330 129,510
Progress Energy, Inc. ........ 3,560 121,467
Southern Co. ................. 4,140 119,563
----------
TOTAL ELECTRIC UTILITIES 1,758,849
----------
GAS UTILITIES 6.3%
EQT Corp. .................... 3,740 125,776
Nicor, Inc. .................. 3,720 119,561
Questar Corp. ................ 3,920 116,502
----------
TOTAL GAS UTILITIES 361,839
----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 7.3%
AES Corp.(The)*............... 18,990 134,259
Constellation Energy Group,
Inc. ...................... 6,380 153,631
Dynegy, Inc. -- Class A*...... 71,530 127,323
----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 415,213
----------
MULTI-UTILITIES 33.7%
Ameren Corp. ................. 5,700 131,214
CenterPoint Energy, Inc. ..... 12,060 128,318
CMS Energy Corp. ............. 10,490 126,090
Consolidated Edison, Inc. .... 3,300 122,529
Dominion Resources, Inc. ..... 4,020 121,243
DTE Energy Co. ............... 4,590 135,726
Integrys Energy Group, Inc. .. 4,830 127,560
NiSource, Inc. ............... 12,920 141,991
PG&E Corp. ................... 3,270 121,382
Public Service Enterprise
Group, Inc. ............... 4,460 133,087
SCANA Corp. .................. 4,180 126,320
Sempra Energy................. 2,900 133,458
TECO Energy, Inc. ............ 11,320 119,879
Wisconsin Energy Corp. ....... 3,150 125,874
Xcel Energy, Inc. ............ 6,890 127,052
----------
TOTAL MULTI-UTILITIES 1,921,723
----------
WIRELESS TELECOMMUNICATION SERVICES 5.0%
American Tower Corp. -- Class
A*......................... 4,060 128,945
Sprint Nextel Corp.*.......... 36,080 157,309
----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 286,254
----------
TOTAL COMMON STOCKS
(Cost $7,211,574) 5,658,416
----------
SHORT TERM INVESTMENTS 0.5%
SSgA Government Money Market
Fund....................... 28,010 28,010
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $28,010) 28,010
----------
TOTAL INVESTMENTS 99.8%
(Cost $7,239,584) 5,686,426
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.2% 10,553
----------
NET ASSETS--100.0% $5,696,979
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
46
STATEMENTS OF ASSETS AND LIABILITIES April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX S&P RYDEX S&P S&P MIDCAP S&P MIDCAP
500 PURE 500 PURE 400 PURE 400 PURE
VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF
------------ ----------- ----------- -----------
ASSETS
Investments at Market Value*............... $ 13,836,652 $31,221,539 $ 8,356,548 $19,053,104
Receivables:
Fund Shares Sold......................... -- -- -- 2,096,010
Dividends................................ 16,473 16,335 11,548 2,220
------------ ----------- ----------- -----------
TOTAL ASSETS.......................... 13,853,125 31,237,874 8,368,096 21,151,334
------------ ----------- ----------- -----------
LIABILITIES
Payables:
Investments Purchased.................... -- -- -- 2,095,655
Accrued Management Fees.................. 6,392 15,031 3,933 7,179
------------ ----------- ----------- -----------
TOTAL LIABILITIES..................... 6,392 15,031 3,933 2,102,834
------------ ----------- ----------- -----------
NET ASSETS................................. $ 13,846,733 $31,222,843 $ 8,364,163 $19,048,500
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital............................ $ 31,192,933 $45,127,268 $17,283,861 $27,004,513
Undistributed Net Investment Income........ 3,654 11,451 19,769 3,228
Accumulated Net Realized Loss on Investment
Securities............................... (12,303,026) (7,669,643) (7,453,404) (5,750,621)
Net Unrealized Depreciation on Investment
Securities............................... (5,046,828) (6,246,233) (1,486,063) (2,208,620)
------------ ----------- ----------- -----------
NET ASSETS................................. $ 13,846,733 $31,222,843 $ 8,364,163 $19,048,500
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value................ 902,049 1,250,191 450,320 450,017
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share............... $ 15.35 $ 24.97 $ 18.57 $ 42.33
============ =========== =========== ===========
*Total Cost of Investments................. $ 18,883,480 $37,467,772 $ 9,842,611 $21,261,724
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
STATEMENTS OF ASSETS AND LIABILITIES (continued) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX S&P S&P EQUAL
S&P SMALLCAP SMALLCAP RYDEX S&P EQUAL WEIGHT
600 PURE 600 PURE WEIGHT CONSUMER CONSUMER
VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF
------------ ----------- ----------------- -----------
ASSETS
Investments at Market Value*............ $ 23,694,006 $ 5,773,062 $ 5,361,398 $ 8,050,270
Receivables:
Dividends............................. 21,322 950 2,325 13,144
------------ ----------- ----------- -----------
TOTAL ASSETS....................... 23,715,328 5,774,012 5,363,723 8,063,414
------------ ----------- ----------- -----------
LIABILITIES
Payables:
Accrued Management Fees............... 9,267 2,855 3,541 7,587
------------ ----------- ----------- -----------
TOTAL LIABILITIES.................. 9,267 2,855 3,541 7,587
------------ ----------- ----------- -----------
NET ASSETS.............................. $ 23,706,061 $ 5,771,157 $ 5,360,182 $ 8,055,827
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital......................... $ 39,454,600 $ 8,837,234 $ 9,111,515 $10,068,307
Undistributed Net Investment Income..... 54,707 1,107 1,158 21,594
Accumulated Net Realized Loss on
Investment Securities................. (17,601,490) (2,223,014) (2,687,698) (451,076)
Net Unrealized Appreciation
(Depreciation) on Investment
Securities............................ 1,798,244 (844,170) (1,064,793) (1,582,998)
------------ ----------- ----------- -----------
NET ASSETS.............................. $ 23,706,061 $ 5,771,157 $ 5,360,182 $ 8,055,827
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............. 1,100,040 200,004 200,000 200,000
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share............ $ 21.55 $ 28.86 $ 26.80 $ 40.28
============ =========== =========== ===========
*Total Cost of Investments.............. $ 21,895,762 $ 6,617,232 $ 6,426,191 $ 9,633,268
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
48
STATEMENTS OF ASSETS AND LIABILITIES (continued) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF HEALTH CARE ETF INDUSTRIALS ETF
------------ -------------- --------------- ---------------
ASSETS
Investments at Market Value*............. $ 5,549,001 $ 8,908,152 $ 37,511,478 $11,897,362
Receivables:
Investments Sold....................... 1,883,847 -- -- --
Dividends.............................. 6,533 7,367 25,502 21,361
----------- ----------- ------------ -----------
TOTAL ASSETS........................ 7,439,381 8,915,519 37,536,980 11,918,723
----------- ----------- ------------ -----------
LIABILITIES
Payables:
Fund Shares Repurchased................ 1,884,824 -- -- --
Accrued Management Fees................ 5,544 5,723 28,091 6,753
----------- ----------- ------------ -----------
TOTAL LIABILITIES................... 1,890,368 5,723 28,091 6,753
----------- ----------- ------------ -----------
NET ASSETS............................... $ 5,549,013 $ 8,909,796 $ 37,508,889 $11,911,970
=========== =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital.......................... $ 9,531,544 $16,670,449 $ 52,880,180 $13,780,169
Undistributed Net Investment Income...... 4,722 4,129 14,870 17,445
Accumulated Net Realized Loss on
Investment Securities.................. (1,497,679) (4,720,824) (3,972,293) (905,898)
Net Unrealized Depreciation on Investment
Securities............................. (2,489,574) (3,043,958) (11,413,868) (979,746)
----------- ----------- ------------ -----------
NET ASSETS............................... $ 5,549,013 $ 8,909,796 $ 37,508,889 $11,911,970
=========== =========== ============ ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value.............. 150,005 550,000 900,000 350,000
=========== =========== ============ ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share............. $ 36.99 $ 16.20 $ 41.68 $ 34.03
=========== =========== ============ ===========
*Total Cost of Investments............... $ 8,038,575 $11,952,110 $ 48,925,346 $12,877,108
=========== =========== ============ ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
STATEMENTS OF ASSETS AND LIABILITIES (concluded) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF
------------- -------------- -------------
ASSETS
Investments at Market Value*..................... $ 5,603,621 $ 8,247,957 $ 5,686,426
Receivables:
Dividends...................................... 3,895 3,634 15,132
----------- ----------- -----------
TOTAL ASSETS................................ 5,607,516 8,251,591 5,701,558
----------- ----------- -----------
LIABILITIES
Payables:
Accrued Management Fees........................ 3,757 6,003 4,579
----------- ----------- -----------
TOTAL LIABILITIES........................... 3,757 6,003 4,579
----------- ----------- -----------
NET ASSETS....................................... $ 5,603,759 $ 8,245,588 $ 5,696,979
=========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $ 7,573,651 $14,742,169 $ 7,886,106
Undistributed Net Investment Income.............. 4,301 1,105 20,166
Accumulated Net Realized Loss on Investment
Securities..................................... (1,254,764) (2,284,820) (656,135)
Net Unrealized Depreciation on Investment
Securities..................................... (719,429) (4,212,866) (1,553,158)
----------- ----------- -----------
NET ASSETS....................................... $ 5,603,759 $ 8,245,588 $ 5,696,979
=========== =========== ===========
Shares Outstanding (Unlimited Shares Authorized),
No Par Value................................... 150,000 250,000 150,000
=========== =========== ===========
Net Asset Value, Offering Price and Repurchase
Price Per Share................................ $ 37.36 $ 32.98 $ 37.98
=========== =========== ===========
*Total Cost of Investments....................... $ 6,323,050 $12,460,823 $ 7,239,584
=========== =========== ===========
</Table>
See Notes to Financial Statements.
50
STATEMENTS OF OPERATIONS For the Six Months Ended April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX S&P RYDEX S&P S&P MIDCAP S&P MIDCAP
500 PURE 500 PURE 400 PURE 400 PURE
VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF
----------- ----------- ----------- -----------
INVESTMENT INCOME
Dividends................................. $ 308,869 $ 140,747 $ 203,115 $ 46,005
----------- ----------- ----------- -----------
EXPENSES
Management Fee............................ 21,020 40,007 13,457 22,305
----------- ----------- ----------- -----------
Net Investment Income....................... 287,849 100,740 189,658 23,700
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Loss From:
Investments............................... (9,334,141) (6,898,889) (6,234,150) (4,702,282)
In-kind Redemptions....................... (343,394) -- (250,630) (1,595,495)
----------- ----------- ----------- -----------
Net Realized Loss...................... (9,677,535) (6,898,889) (6,484,780) (6,297,777)
Net Change in Unrealized Appreciation on:
Investment Securities..................... 7,602,694 8,249,473 5,386,558 6,879,353
----------- ----------- ----------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments............................... (2,074,841) 1,350,584 (1,098,222) 581,576
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $(1,786,992) $ 1,451,324 $ (908,564) $ 605,276
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
STATEMENTS OF OPERATIONS (continued) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX S&P RYDEX S&P
S&P SMALLCAP S&P SMALLCAP EQUAL WEIGHT EQUAL WEIGHT
600 PURE 600 PURE CONSUMER CONSUMER
VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF
------------ ------------ ----------------- ------------
INVESTMENT INCOME
Dividends, Net of Foreign Tax
Withheld.......................... $ 319,005 $ 28,966 $ 117,269 $ 151,861
------------ ----------- ----------- ---------
EXPENSES
Management Fee....................... 29,240 10,011 20,516 23,282
Other Fees........................... 247 -- -- --
------------ ----------- ----------- ---------
Total Expenses.................... 29,487 10,011 20,516 23,282
------------ ----------- ----------- ---------
Net Investment Income.................. 289,518 18,955 96,753 128,579
------------ ----------- ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments.......................... (13,000,373) (1,941,703) (1,395,378) (219,248)
In-kind Redemptions.................. (13,212) (393,352) 224,856 26,986
------------ ----------- ----------- ---------
Net Realized Loss................. (13,013,585) (2,335,055) (1,170,522) (192,262)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................ 11,519,452 1,796,176 2,208,243 (174,891)
------------ ----------- ----------- ---------
Net Realized and Unrealized Gain (Loss)
on Investments....................... (1,494,133) (538,879) 1,037,721 (367,153)
------------ ----------- ----------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS...................... $ (1,204,615) $ (519,924) $ 1,134,474 $(238,574)
============ =========== =========== =========
Foreign Taxes Withheld............... 276 -- -- --
</Table>
See Notes to Financial Statements.
52
STATEMENTS OF OPERATIONS (continued) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF HEALTH CARE ETF INDUSTRIALS ETF
------------ -------------- --------------- ---------------
INVESTMENT INCOME
Dividends............................ $ 50,138 $ 164,845 $ 222,166 $ 106,713
----------- ----------- ----------- -----------
EXPENSES
Management Fee....................... 13,957 18,668 100,332 17,145
Other Fees........................... -- -- 461 --
----------- ----------- ----------- -----------
Total Expenses.................... 13,957 18,668 100,793 17,145
----------- ----------- ----------- -----------
Net Investment Income.................. 36,181 146,177 121,373 89,568
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments.......................... (1,451,545) (2,659,521) (2,956,673) (871,194)
In-kind Redemptions.................. 456,287 -- (214,318) (320,638)
----------- ----------- ----------- -----------
Net Realized Loss................. (995,258) (2,659,521) (3,170,991) (1,191,832)
Net Change in Unrealized Appreciation
on:
Investment Securities................ 1,040,907 18,898 2,618,901 1,767,757
----------- ----------- ----------- -----------
Net Realized and Unrealized Gain (Loss)
on Investments....................... 45,649 (2,640,623) (552,090) 575,925
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS...................... $ 81,830 $(2,494,446) $ (430,717) $ 665,493
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
STATEMENTS OF OPERATIONS (concluded) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF
------------- -------------- -------------
INVESTMENT INCOME
Dividends...................................... $ 74,628 $ 36,888 $ 128,028
---------- ----------- ---------
EXPENSES
Management Fee................................. 11,108 16,781 11,803
---------- ----------- ---------
Net Investment Income............................ 63,520 20,107 116,225
---------- ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Loss From:
Investments.................................... (994,176) (1,573,684) (580,731)
---------- ----------- ---------
Net Realized Loss........................... (994,176) (1,573,684) (580,731)
Net Change in Unrealized Appreciation on:
Investment Securities.......................... 1,443,959 2,323,054 75,768
---------- ----------- ---------
Net Realized and Unrealized Gain (Loss) on
Investments.................................... 449,783 749,370 (504,963)
---------- ----------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $ 513,303 $ 769,477 $(388,738)
========== =========== =========
</Table>
See Notes to Financial Statements.
54
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE ETF RYDEX S&P 500 PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 287,849 $ 979,921 $ 100,740 $ 263,229
Net Realized Gain (Loss)......... (9,677,535) (3,999,686) (6,898,889) 105,919
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 7,602,694 (12,417,041) 8,249,473 (19,825,715)
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... (1,786,992) (15,436,806) 1,451,324 (19,456,567)
----------- ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (297,917) (996,902) (108,170) (259,562)
----------- ------------ ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 446,539 9,326,454 5,479,789 15,193,116
Value of Shares Purchased through
Dividend Reinvestments........ 14,147 21,040 2,114 1,902
Value of Shares Redeemed......... (2,522,624) (14,555,071) -- (34,421,140)
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (2,061,938) (5,207,577) 5,481,903 (19,226,122)
----------- ------------ ----------- ------------
Increase (Decrease) in Net
Assets...................... (4,146,847) (21,641,285) 6,825,057 (38,942,251)
NET ASSETS--BEGINNING OF PERIOD.... 17,993,580 39,634,865 24,397,786 63,340,037
----------- ------------ ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $13,846,733 $ 17,993,580 $31,222,843 $ 24,397,786
=========== ============ =========== ============
(1) Including Undistributed Net
Investment Income................ $ 3,654 $ 13,722 $ 11,451 $ 18,881
=========== ============ =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 50,000 350,000 250,000 400,000
Shares Purchased through Dividend
Reinvestments................. 1,060 797 94 56
Shares Redeemed.................. (150,000) (500,000) -- (1,000,000)
Shares Outstanding, Beginning of
Period........................ 1,000,989 1,150,192 1,000,097 1,600,041
----------- ------------ ----------- ------------
Shares Outstanding, End of
Period........................ 902,049 1,000,989 1,250,191 1,000,097
=========== ============ =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP RYDEX S&P MIDCAP
400 PURE VALUE ETF 400 PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 189,658 $ 394,995 $ 23,700 $ 8,569
Net Realized Loss................ (6,484,780) (1,434,610) (6,297,777) (58,952)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 5,386,558 (6,410,678) 6,879,353 (10,136,135)
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... (908,564) (7,450,293) 605,276 (10,186,518)
----------- ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (169,889) (365,468) (20,565) (14,295)
Capital.......................... -- (3,840) -- --
----------- ------------ ----------- ------------
Decrease in Net Assets From
Distributions to
Shareholders.................. (169,889) (369,308) (20,565) (14,295)
----------- ------------ ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 701,057 2,929,138 5,878,310 31,994,754
Value of Shares Purchased through
Dividend Reinvestments........ 2,334 2,678 214 170
Value of Shares Redeemed......... (1,386,311) (6,444,307) (5,010,579) (25,112,473)
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (682,920) (3,512,491) 867,945 6,882,451
----------- ------------ ----------- ------------
Increase (Decrease) in Net
Assets...................... (1,761,373) (11,332,092) 1,452,656 (3,318,362)
NET ASSETS--BEGINNING OF PERIOD.... 10,125,536 21,457,628 17,595,844 20,914,206
----------- ------------ ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $ 8,364,163 $ 10,125,536 $19,048,500 $ 17,595,844
=========== ============ =========== ============
(1) Including Undistributed Net
Investment Income................ $ 19,769 $ -- $ 3,228 $ 93
=========== ============ =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 50,000 100,000 150,000 600,000
Shares Purchased through Dividend
Reinvestments................. 152 90 6 3
Shares Redeemed.................. (100,000) (200,000) (150,000) (500,000)
Shares Outstanding, Beginning of
Period........................ 500,168 600,078 450,011 350,008
----------- ------------ ----------- ------------
Shares Outstanding, End of
Period........................ 450,320 500,168 450,017 450,011
=========== ============ =========== ============
</Table>
See Notes to Financial Statements.
56
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP RYDEX S&P SMALLCAP
600 PURE VALUE ETF 600 PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 289,518 $ 639,744 $ 18,955 $ 27,966
Net Realized Gain (Loss)......... (13,013,585) (3,823,543) (2,335,055) 299,165
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 11,519,452 (7,000,618) 1,796,176 (3,549,666)
------------ ------------ ----------- -----------
Net Decrease in Net Assets
Resulting From Operations..... (1,204,615) (10,184,417) (519,924) (3,222,535)
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (246,992) (581,573) (18,040) (27,774)
------------ ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 5,539,948 18,998,419 -- 3,530,251
Value of Shares Purchased through
Dividend Reinvestments........ 14 577 -- 111
Value of Shares Redeemed......... (5,909,084) (5,132,560) (948,265) (4,251,773)
------------ ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (369,122) 13,866,436 (948,265) (721,411)
------------ ------------ ----------- -----------
Increase (Decrease) in Net
Assets...................... (1,820,729) 3,100,446 (1,486,229) (3,971,720)
NET ASSETS--BEGINNING OF PERIOD.... 25,526,790 22,426,344 7,257,386 11,229,106
------------ ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 23,706,061 $ 25,526,790 $ 5,771,157 $ 7,257,386
============ ============ =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 54,707 $ 12,181 $ 1,107 $ 192
============ ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 300,000 650,000 -- 100,000
Shares Purchased through Dividend
Reinvestments................. 1 18 -- 3
Shares Redeemed.................. (300,000) (150,000) (50,000) (100,000)
Shares Outstanding, Beginning of
Period........................ 1,100,039 600,021 250,004 250,001
------------ ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 1,100,040 1,100,039 200,004 250,004
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 57
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT RYDEX S&P EQUAL WEIGHT
CONSUMER DISCRETIONARY ETF CONSUMER STAPLES ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 96,753 $ 183,955 $ 128,579 $ 174,606
Net Realized Gain (Loss)......... (1,170,522) (3,645,142) (192,262) 41,473
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 2,208,243 (2,318,744) (174,891) (2,115,793)
----------- ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 1,134,474 (5,779,931) (238,574) (1,899,714)
----------- ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (98,060) (191,461) (118,666) (170,546)
----------- ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 7,915,932 77,181,099 -- 6,977,860
Value of Shares Redeemed......... (7,314,430) (96,415,372) (1,954,772) (2,441,867)
----------- ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. 601,502 (19,234,273) (1,954,772) 4,535,993
----------- ------------ ----------- -----------
Increase (Decrease) in Net
Assets...................... 1,637,916 (25,205,665) (2,312,012) 2,465,733
NET ASSETS--BEGINNING OF PERIOD.... 3,722,266 28,927,931 10,367,839 7,902,106
----------- ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 5,360,182 $ 3,722,266 $ 8,055,827 $10,367,839
=========== ============ =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 1,158 $ 2,465 $ 21,594 $ 11,681
=========== ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 450,000 2,050,000 -- 150,000
Shares Redeemed.................. (400,000) (2,550,000) (50,000) (50,000)
Shares Outstanding, Beginning of
Period........................ 150,000 650,000 250,000 150,000
----------- ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 200,000 150,000 200,000 250,000
=========== ============ =========== ===========
</Table>
See Notes to Financial Statements.
58
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT RYDEX S&P EQUAL WEIGHT FINANCIALS
ENERGY ETF ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 36,181 $ 64,476 $ 146,177 $ 188,717
Net Realized Gain (Loss)......... (995,258) 1,935,459 (2,659,521) (2,058,581)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 1,040,907 (6,142,032) 18,898 (2,732,751)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 81,830 (4,142,097) (2,494,446) (4,602,615)
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (32,396) (63,539) (142,048) (161,215)
Net Realized Gains............... -- (269,337) -- --
----------- ----------- ----------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (32,396) (332,876) (142,048) (161,215)
----------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 1,426,851 6,873,049 840,925 8,469,375
Value of Shares Purchased through
Dividend Reinvestments........ -- 343 -- --
Value of Shares Redeemed......... (1,884,823) (6,562,435) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (457,972) 310,957 840,925 8,469,375
----------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets...................... (408,538) (4,164,016) (1,795,569) 3,705,545
NET ASSETS--BEGINNING OF PERIOD.... 5,957,551 10,121,567 10,705,365 6,999,820
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 5,549,013 $ 5,957,551 $ 8,909,796 $10,705,365
=========== =========== =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 4,722 $ 937 $ 4,129 $ --
=========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 50,000 100,000 50,000 350,000
Shares Purchased through Dividend
Reinvestments................. -- 5 -- --
Shares Redeemed.................. (50,000) (100,000) -- --
Shares Outstanding, Beginning of
Period........................ 150,005 150,000 500,000 150,000
----------- ----------- ----------- -----------
Shares Outstanding, End of
Period........................ 150,005 150,005 550,000 500,000
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT RYDEX S&P EQUAL WEIGHT
HEALTH CARE ETF INDUSTRIALS ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 121,373 $ 103,107 $ 89,568 $ 108,811
Net Realized Gain (Loss)......... (3,170,991) 264,131 (1,191,832) 1,041,342
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 2,618,901 (13,885,432) 1,767,757 (4,023,914)
------------ ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... (430,717) (13,518,194) 665,493 (2,873,761)
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (117,466) (94,309) (73,628) (106,813)
Net Realized Gains............... -- -- -- (266,443)
------------ ------------ ----------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (117,466) (94,309) (73,628) (373,256)
------------ ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 6,134,208 61,205,232 6,985,719 7,034,803
Value of Shares Redeemed......... (16,613,738) (16,438,715) (2,811,423) (5,547,224)
------------ ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (10,479,530) 44,766,517 4,174,296 1,487,579
------------ ------------ ----------- -----------
Increase (Decrease) in Net
Assets...................... (11,027,713) 31,154,014 4,766,161 (1,759,438)
NET ASSETS--BEGINNING OF PERIOD.... 48,536,602 17,382,588 7,145,809 8,905,247
------------ ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 37,508,889 $ 48,536,602 $11,911,970 $ 7,145,809
============ ============ =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 14,870 $ 10,963 $ 17,445 $ 1,505
============ ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 150,000 1,150,000 250,000 150,000
Shares Redeemed.................. (400,000) (300,000) (100,000) (100,000)
Shares Outstanding, Beginning of
Period........................ 1,150,000 300,000 200,000 150,000
------------ ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 900,000 1,150,000 350,000 200,000
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
60
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT RYDEX S&P EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008 (UNAUDITED) OCTOBER 31, 2008
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 63,520 $ 156,833 $ 20,107 $ 26,296
Net Realized Gain (Loss)......... (994,176) 60,553 (1,573,684) (1,334,303)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 1,443,959 (2,701,829) 2,323,054 (7,030,476)
---------- ----------- ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 513,303 (2,484,443) 769,477 (8,338,483)
---------- ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (64,551) (159,896) (19,002) (27,611)
---------- ----------- ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 4,429,500 -- 15,426,927
Value of Shares Redeemed......... -- (5,543,627) -- (18,877,730)
---------- ----------- ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. -- (1,114,127) -- (3,450,803)
---------- ----------- ----------- ------------
Increase (Decrease) in Net
Assets...................... 448,752 (3,758,466) 750,475 (11,816,897)
NET ASSETS--BEGINNING OF PERIOD.... 5,155,007 8,913,473 7,495,113 19,312,010
---------- ----------- ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $5,603,759 $ 5,155,007 $ 8,245,588 $ 7,495,113
========== =========== =========== ============
(1) Including Undistributed Net
Investment Income................ $ 4,301 $ 5,332 $ 1,105 $ --
========== =========== =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 100,000 -- 350,000
Shares Redeemed.................. -- (100,000) -- (450,000)
Shares Outstanding, Beginning of
Period........................ 150,000 150,000 250,000 350,000
---------- ----------- ----------- ------------
Shares Outstanding, End of
Period........................ 150,000 150,000 250,000 250,000
========== =========== =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 61
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008
------------------ ----------------
OPERATIONS
Net Investment Income................................. $ 116,225 $ 186,347
Net Realized Loss..................................... (580,731) (426,683)
Net Change in Unrealized Appreciation (Depreciation)
on Investments..................................... 75,768 (2,110,863)
---------- -----------
Net Decrease in Net Assets Resulting From Operations.. (388,738) (2,351,199)
---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................. (113,580) (182,405)
---------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased........................ 2,081,546 2,499,606
Value of Shares Redeemed.............................. -- (2,076,737)
---------- -----------
Net Increase (Decrease) in Net Assets Resulting From
Share Transactions................................. 2,081,546 422,869
---------- -----------
Increase (Decrease) in Net Assets.................. 1,579,228 (2,110,735)
NET ASSETS--BEGINNING OF PERIOD......................... 4,117,751 6,228,486
---------- -----------
NET ASSETS--END OF PERIOD(1)............................ $5,696,979 $ 4,117,751
========== ===========
(1) Including Undistributed Net Investment Income....... $ 20,166 $ 17,521
========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased...................................... 50,000 50,000
Shares Redeemed....................................... -- (50,000)
Shares Outstanding, Beginning of Period............... 100,000 100,000
---------- -----------
Shares Outstanding, End of Period..................... 150,000 100,000
========== ===========
</Table>
See Notes to Financial Statements.
62
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 17.98 $ 34.46 $ 32.66 $ 29.87
------- ------- ------- -------
Net Investment Income**............. 0.32 1.00 0.75 0.49
Net Realized and Unrealized Gain
(Loss) on Investments............. (2.61) (16.44) 1.80 2.58
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... (2.29) (15.44) 2.55 3.07
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.34) (1.04) (0.75) (0.28)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 15.35 $ 17.98 $ 34.46 $ 32.66
======= ======= ======= =======
TOTAL RETURN***..................... (25.08)% (45.76)% 7.79% 10.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $13,847 $17,994 $39,635 $21,232
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.34%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 4.72%**** 3.63% 2.15% 2.37%****
Portfolio Turnover Rate+............ 56% 53% 26% 4%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 63
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE GROWTH ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 24.40 $ 39.59 $ 35.30 $ 34.42
------- ------- ------- -------
Net Investment Income**............. 0.10 0.20 0.25 0.11
Net Realized and Unrealized Gain
(Loss) on Investments............. 0.57 (15.19) 4.26 0.84
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 0.67 (14.99) 4.51 0.95
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.10) (0.20) (0.22) (0.07)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 24.97 $ 24.40 $ 39.59 $ 35.30
======= ======= ======= =======
TOTAL RETURN***..................... 5.73% (38.00)% 12.79% 2.77%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $31,223 $24,398 $63,340 $17,649
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.35%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 0.87%**** 0.57% 0.66% 0.48%****
Portfolio Turnover Rate+............ 28% 30% 24% 7%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
64
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE VALUE ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 20.24 $ 35.76 $ 33.27 $ 31.53
------- ------- ------- -------
Net Investment Income**............. 0.39 0.87 0.82 0.44
Net Realized and Unrealized Gain
(Loss) on Investments............. (1.72) (15.54) 2.48 1.60
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... (1.33) (14.67) 3.30 2.04
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.34) (0.84) (0.81) (0.30)
Capital............................. -- (0.01) -- --
------- ------- ------- -------
Total Distributions................. (0.34) (0.85) (0.81) (0.30)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 18.57 $ 20.24 $ 35.76 $ 33.27
======= ======= ======= =======
TOTAL RETURN***..................... (12.58)% (41.75)% 9.94% 6.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $ 8,364 $10,126 $21,458 $14,973
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.35%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 4.86%**** 2.87% 2.28% 2.07%****
Portfolio Turnover Rate+............ 77% 64% 46% 4%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 65
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 39.10 $ 59.75 $ 50.10 $ 52.62
------- ------- ------- -------
Net Investment Income**............. 0.06 0.02 0.33 0.02
Net Realized and Unrealized Gain
(Loss) on Investments............. 3.23 (20.63) 9.73 (2.53)
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 3.29 (20.61) 10.06 (2.51)
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.06) (0.04) (0.27) (0.01)
Net Realized Gains.................. -- -- (0.14) --
------- ------- ------- -------
Total Distributions................. (0.06) (0.04) (0.41) (0.01)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 42.33 $ 39.10 $ 59.75 $ 50.10
======= ======= ======= =======
TOTAL RETURN***..................... 17.04% (34.52)% 20.17% (4.76)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $19,049 $17,596 $20,914 $22,547
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.34%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 0.37%**** 0.04% 0.60% 0.07%****
Portfolio Turnover Rate+............ 44% 52% 53% 14%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
66
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 23.21 $ 37.38 $ 40.13 $38.45
------- ------- ------- ------
Net Investment Income**............. 0.28 0.79 0.74 0.37
Net Realized and Unrealized Gain
(Loss) on Investments............. (1.71) (14.26) (2.85) 1.62
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... (1.43) (13.47) (2.11) 1.99
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.23) (0.70) (0.62) (0.31)
Capital............................. -- -- (0.02) --
------- ------- ------- ------
Total Distributions................. (0.23) (0.70) (0.64) (0.31)
------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 21.55 $ 23.21 $ 37.38 $40.13
======= ======= ======= ======
TOTAL RETURN***..................... (11.67)% (36.48)% (5.38)% 5.19%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $23,706 $25,527 $22,426 $6,019
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.35%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 3.41%**** 2.57% 1.78% 1.46%****
Portfolio Turnover Rate+............ 105% 50% 37% 7%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 67
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $29.03 $ 44.92 $ 39.10 $39.31
------ ------- ------- ------
Net Investment Income (Loss)**...... 0.08 0.17 -- (0.01)
Net Realized and Unrealized Gain
(Loss) on Investments............. (0.18) (15.87) 5.84 (0.20)
------ ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... (0.10) (15.70) 5.84 (0.21)
------ ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.07) (0.19) (0.02) --
------ ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $28.86 $ 29.03 $ 44.92 $39.10
====== ======= ======= ======
TOTAL RETURN***..................... (0.68)% (35.05)% 14.93% (0.55)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $5,771 $ 7,257 $11,229 $7,820
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.35%**** 0.35% 0.35% 0.35%****
Net Investment Income............... 0.65%**** 0.44% 0.00% (0.04)%****
Portfolio Turnover Rate+............ 58% 63% 51% 14%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
68
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $24.82 $ 44.50 $ 44.98
------ ------- -------
Net Investment Income**....................... 0.25 0.53 0.32
Net Realized and Unrealized Gain (Loss) on
Investments................................. 1.97 (19.59) (0.49)
------ ------- -------
TOTAL FROM INVESTMENT OPERATIONS.............. 2.22 (19.06) (0.17)
------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.24) (0.62) (0.31)
------ ------- -------
NET ASSET VALUE AT END OF PERIOD.............. $26.80 $ 24.82 $ 44.50
====== ======= =======
TOTAL RETURN***............................... 18.56% (43.27)% (0.40)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $5,360 $ 3,722 $28,928
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.50%**** 0.50% 0.50%****
Net Investment Income......................... 2.35%**** 1.44% 0.67%****
Portfolio Turnover Rate+...................... 25% 29% 28%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 69
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $41.47 $ 52.68 $48.16
------ ------- ------
Net Investment Income**....................... 0.52 0.88 1.16
Net Realized and Unrealized Gain (Loss) on
Investments................................. (1.24) (11.22) 4.32
------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.............. (0.72) (10.34) 5.48
------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.47) (0.87) (0.96)
------ ------- ------
NET ASSET VALUE AT END OF PERIOD.............. $40.28 $ 41.47 $52.68
====== ======= ======
TOTAL RETURN***............................... (3.40)% (19.87)% 11.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $8,056 $10,368 $7,902
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 2.73%**** 1.78% 2.29%****
Portfolio Turnover Rate+...................... 17% 25% 19%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
70
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ENERGY ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 39.72 $ 67.48 $ 48.35
------- ------- -------
Net Investment Income**....................... 0.22 0.33 0.27
Net Realized and Unrealized Gain (Loss) on
Investments................................. (2.76) (25.94) 19.14
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.............. (2.54) (25.61) 19.41
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.19) (0.35) (0.28)
Net Realized Gains............................ -- (1.80) --
------- ------- -------
Total Distributions........................... (0.19) (2.15) (0.28)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD.............. $ 36.99 $ 39.72 $ 67.48
======= ======= =======
TOTAL RETURN***............................... (12.77)% (39.28)% 40.28%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $ 5,549 $ 5,958 $10,122
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 1.28%**** 0.50% 0.47%****
Portfolio Turnover Rate+...................... 26% 38% 34%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 71
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT FINANCIAL ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 21.41 $ 46.67 $48.57
------- ------- ------
Net Investment Income**....................... 0.29 1.02 0.92
Net Realized and Unrealized Gain (Loss) on
Investments................................. (5.22) (25.40) (1.95)
------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.............. (4.93) (24.38) (1.03)
------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.28) (0.88) (0.87)
------- ------- ------
NET ASSET VALUE AT END OF PERIOD.............. $ 16.20 $ 21.41 $46.67
======= ======= ======
TOTAL RETURN***............................... (46.14)% (52.88)% (2.23)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $ 8,910 $10,705 $7,000
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 3.86%**** 3.09% 1.84%****
Portfolio Turnover Rate+...................... 27% 51% 31%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
72
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 42.21 $ 57.94 $ 49.46
------- ------- -------
Net Investment Income**....................... 0.12 0.14 0.11
Net Realized and Unrealized Gain (Loss) on
Investments................................. (0.54) (15.74) 8.48
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.............. (0.42) (15.60) 8.59
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.11) (0.13) (0.11)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD.............. $ 41.68 $ 42.21 $ 57.94
======= ======= =======
TOTAL RETURN***............................... (1.97)% (26.98)% 17.37%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $37,509 $48,537 $17,383
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.50%**** 0.50% 0.50%****
Net Investment Income......................... 0.60%**** 0.26% 0.20%****
Portfolio Turnover Rate+...................... 24% 26% 55%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 73
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT INDUSTRIAL ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 35.73 $ 59.37 $49.15
------- ------- ------
Net Investment Income**....................... 0.40 0.61 0.56
Net Realized and Unrealized Gain (Loss) on
Investments................................. (1.67) (21.82) 10.21
------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.............. (1.27) (21.21) 10.77
------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.43) (0.65) (0.55)
Net Realized Gains............................ -- (1.78) --
------- ------- ------
Total Distributions........................... (0.43) (2.43) (0.55)
------- ------- ------
NET ASSET VALUE AT END OF PERIOD.............. $ 34.03 $ 35.73 $59.37
======= ======= ======
TOTAL RETURN***............................... (6.86)% (37.12)% 22.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $11,912 $ 7,146 $8,905
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 2.58%**** 1.17% 1.02%****
Portfolio Turnover Rate+...................... 16% 30% 36%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
74
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $34.37 $ 59.42 $48.43
------ ------- ------
Net Investment Income**....................... 0.42 1.40 0.85
Net Realized and Unrealized Gain (Loss) on
Investments................................. 3.00 (25.11) 10.74
------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.............. 3.42 (23.71) 11.59
------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.43) (1.34) (0.60)
------ ------- ------
NET ASSET VALUE AT END OF PERIOD.............. $37.36 $ 34.37 $59.42
====== ======= ======
TOTAL RETURN***............................... 20.63% (40.67)% 24.02%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $5,604 $ 5,155 $8,913
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 2.82%**** 2.69% 1.53%****
Portfolio Turnover Rate+...................... 37% 34% 31%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 75
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $29.98 $ 55.18 $ 47.80
------ ------- -------
Net Investment Income (Loss)**................ 0.08 0.06 (0.05)
Net Realized and Unrealized Gain (Loss) on
Investments................................. 3.00 (25.19) 7.43
------ ------- -------
TOTAL FROM INVESTMENT OPERATIONS.............. 3.08 (25.13) 7.38
------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.08) (0.07) --
------ ------- -------
NET ASSET VALUE AT END OF PERIOD.............. $32.98 $ 29.98 $ 55.18
====== ======= =======
TOTAL RETURN***............................... 20.80% (45.58)% 15.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $8,246 $ 7,495 $19,312
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.49%**** 0.50% 0.50%****
Net Investment Income......................... 0.59%**** 0.14% (0.10)%****
Portfolio Turnover Rate+...................... 16% 36% 60%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
76
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008 OCTOBER 31, 2007
---------------- ---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 41.18 $ 62.28 $54.91
------- ------- ------
Net Investment Income**....................... 0.93 1.81 1.55
Net Realized and Unrealized Gain (Loss) on
Investments................................. (3.18) (21.09) 7.38
------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.............. (2.25) (19.28) 8.93
------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income......................... (0.95) (1.82) (1.56)
------- ------- ------
NET ASSET VALUE AT END OF PERIOD.............. $ 37.98 $ 41.18 $62.28
======= ======= ======
TOTAL RETURN***............................... (11.12)% (31.63)% 16.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)... $ 5,697 $ 4,118 $6,228
RATIO TO AVERAGE NET ASSETS OF:
Expenses...................................... 0.50%**** 0.50% 0.50%****
Net Investment Income......................... 4.88%**** 3.30% 2.59%****
Portfolio Turnover Rate+...................... 16% 25% 20%
</Table>
* The Fund commenced operations on November 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 77
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended (the "1940
Act"). The Trust was organized as a Delaware statutory trust on November 22,
2002. As of April 30, 2009, the Trust offers thirty one portfolios, each of
which represents a separate series of beneficial interest in the Trust, (each a
"Fund" and collectively, the "Funds"). The financial statements herein relate to
the following Funds: Rydex S&P 500 Pure Value ETF, Rydex S&P 500 Pure Growth
ETF, Rydex S&P MidCap 400 Pure Value ETF, Rydex S&P MidCap 400 Pure Growth ETF,
Rydex S&P SmallCap 600 Pure Value ETF, Rydex S&P SmallCap 600 Pure Growth ETF,
Rydex S&P Equal Weight Consumer Discretionary ETF, Rydex S&P Equal Weight
Consumer Staples ETF, Rydex S&P Equal Weight Energy ETF, Rydex S&P Equal Weight
Financials ETF, Rydex S&P Equal Weight Health Care ETF, Rydex S&P Equal Weight
Industrials ETF, Rydex S&P Equal Weight Materials ETF, Rydex S&P Equal Weight
Technology ETF and Rydex S&P Equal Weight Utilities ETF. Rydex S&P 500 Pure
Value ETF, Rydex S&P 500 Pure Growth ETF, Rydex S&P MidCap 400 Pure Value ETF,
Rydex S&P MidCap 400 Pure Growth ETF, Rydex S&P SmallCap 600 Pure Value ETF and
Rydex S&P SmallCap 600 Pure Growth ETF commenced operations on March 1, 2006.
Rydex S&P Equal Weight Consumer Discretionary ETF, Rydex S&P Equal Weight
Consumer Staples ETF, Rydex S&P Equal Weight Energy ETF, Rydex S&P Equal Weight
Financials ETF, Rydex S&P Equal Weight Health Care ETF, Rydex S&P Equal Weight
Industrials ETF, Rydex S&P Equal Weight Materials ETF, Rydex S&P Equal Weight
Technology ETF and Rydex S&P Equal Weight Utilities ETF commenced operations on
November 1, 2006.
The Funds' investment objective is to provide investment results that correspond
generally to the performance, before fees and expenses, of an index representing
publicly traded equity securities (the "Underlying Index"). Rydex S&P 500 Pure
Value ETF tracks the S&P 500/Citigroup Pure Value Index, the Rydex S&P 500 Pure
Growth ETF tracks the S&P 500/Citigroup Pure Growth Index, the Rydex S&P MidCap
400 Pure Value ETF tracks the S&P MidCap 400/Citigroup Pure Value Index, the
Rydex S&P MidCap 400 Pure Growth ETF tracks the S&P MidCap 400/Citigroup Pure
Growth Index, the Rydex S&P SmallCap 600 Pure Value ETF tracks the S&P SmallCap
600/Citigroup Pure Value Index, the Rydex S&P SmallCap 600 Pure Growth ETF
tracks the S&P SmallCap 600/Citigroup Pure Growth Index, Rydex S&P Equal Weight
Consumer Discretionary ETF tracks the S&P Equal Weight Index Consumer
Discretionary, the Rydex S&P Equal Weight Consumer Staples ETF tracks the S&P
Equal Weight Index Consumer Staples, the Rydex S&P Equal Weight Energy ETF
tracks the S&P Equal Weight Index Energy, the Rydex S&P Equal Weight Financials
ETF tracks the S&P Equal Weight Index Financials, the Rydex S&P Equal Weight
Health Care ETF tracks the S&P Equal Weight Index Health Care, the Rydex S&P
Equal Weight Industrials ETF tracks the S&P Equal Weight Index Industrials, the
Rydex S&P Equal Weight Materials ETF tracks the S&P Equal Weight Index
Materials, the Rydex S&P Equal Weight Technology ETF tracks the S&P Equal Weight
Index Information Technology and the Rydex S&P Equal Weight Utilities ETF tracks
the S&P Equal Weight Index Telecommunication Services & Utilities. The Funds
seek to achieve their objective by investing in common stocks that comprise the
Underlying Index. The Funds use a "replication" strategy to track the Underlying
Index. "Replication" refers to investing in substantially all of the securities
in the Underlying Index in approximately the same proportions as in the
Underlying Index.
The Funds operate as index funds and are not actively managed. Adverse
performance of a security in the Funds' portfolio will ordinarily not result in
the elimination of the security from the Funds' portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value,
only in aggregations of 50,000 shares called a "Creation Unit". Creation Units
are issued and redeemed principally in-kind for securities included in the
Underlying Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosures at the date of the financial statements and accompanying notes and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Management believes that the estimates utilized in
preparing the Funds' financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
A. SECURITY VALUATION
Securities listed on a domestic securities exchange are valued based on the last
sale price as of the close of regular trading hours on the New York Stock
Exchange or, in the absence of recorded sales, are valued at the most recent bid
price. Securities for which the primary market is the National Association of
Securities Dealers Automated Quotations National Market System ("NASDAQ") are
valued at the NASDAQ Official Closing Price. The Funds invest in money market
mutual funds, which are valued at their NAV.
78
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
Securities, for which market quotations are not readily available, including
investments that are subject to limitations as to their sale, are valued at fair
value as determined in good faith by Rydex Investments, which acts as the Funds'
investment advisor, in accordance with procedures adopted by the Board of
Trustees. In determining fair value, consideration is given to market
conditions, relative benchmarks and other financial data.
B. SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are recorded on the trade date for financial reporting
purposes. Realized gains and losses from portfolio fund transactions are
calculated on the identified cost basis. Dividend income is recorded on the ex-
dividend date, net of foreign tax withholdings. Interest income is recorded on
the accrual basis.
C. REPURCHASE AGREEMENTS
The Funds may enter into repurchase agreements with financial institutions. In a
repurchase agreement, a Fund buys a security and the seller simultaneously
agrees to repurchase the security on a specified future date at an agreed-upon
price. The repurchase price reflects an agreed-upon interest rate during the
time the Fund's money is invested in the security. Because the security
constitutes collateral for the repurchase obligation, a repurchase agreement can
be considered a collateralized loan. The Funds follow certain procedures
designed to minimize the risks inherent in such agreements. These procedures
include effecting repurchase transactions only with large, well-capitalized and
well-established financial institutions whose condition will be continually
monitored by Rydex Investments. In addition, the value of the collateral
underlying the repurchase agreement will always be at least equal to the
repurchase price, including any accrued interest earned on the repurchase
agreement. In the event of a default or bankruptcy by a selling financial
institution, the Funds will seek to liquidate such collateral. However, the
exercising of the Funds' right to liquidate such collateral could involve
certain costs or delays and, to the extent that proceeds from any sale upon a
default of the obligation to repurchase were less than the repurchase price, the
Funds could suffer a loss. It is the current policy of the Funds not to invest
in repurchase agreements that do not mature within seven days if any such
investment, together with any other illiquid assets held by the Funds, amounts
to more than 15% of the Funds net assets. The investments of the Funds in
repurchase agreements, at times, may be substantial when, in the view of Rydex
Investments, liquidity or other considerations so warrant. For the six months
ended April 30, 2009, the Funds had not engaged in repurchase agreement
transactions.
D. FEDERAL INCOME TAXES
The Funds' policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of the
taxable income and capital gains, if any, to the shareholders within the
allowable time limits. Therefore, no provision for Federal income taxes is
required.
Tax positions taken or expected to be taken in the course of preparing the
Funds' tax returns are evaluated to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Management has
analyzed the Funds' tax positions taken on federal income tax returns for all
open tax years (fiscal years 2005 -- 2008), and has concluded that no provision
for income tax was required in the Funds' financial statements.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles. These differences are primarily due to differing treatments for tax
equalization, in-kind redemptions, income reclassifications from real estate
investment trusts ("REITs") and losses deferred due to wash sales.
For the six months ended April 30, 2009, the Funds realized net capital gains
resulting from in-kind redemptions which, because they are non-taxable to the
Funds, and therefore are not distributed to existing Fund shareholders, are
reclassified to paid-in-capital. The in-kind net capital gains for the period
ended April 30, 2009 are disclosed in the Fund's Statement of Operations.
SEMI-ANNUAL REPORT 79
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
At April 30, 2009 the identified cost of investments in securities owned by each
fund for federal income tax purposes and the gross unrealized appreciation and
depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
Rydex S&P 500 Pure Value ETF............. $18,883,480 $1,177,389 $ (6,224,217) $ (5,046,828)
Rydex S&P 500 Pure Growth ETF............ 37,467,772 1,077,505 (7,323,738) (6,246,233)
Rydex S&P MidCap 400 Pure Value ETF...... 9,842,611 1,239,031 (2,725,094) (1,486,063)
Rydex S&P MidCap 400 Pure Growth ETF..... 21,261,724 1,050,767 (3,259,387) (2,208,620)
Rydex S&P SmallCap 600 Pure Value ETF.... 21,895,762 5,556,091 (3,757,847) 1,798,244
Rydex S&P SmallCap 600 Pure Growth ETF... 6,617,232 618,998 (1,463,168) (844,170)
Rydex S&P Equal Weight Consumer
Discretionary ETF...................... 6,426,191 347,805 (1,412,598) (1,064,793)
Rydex S&P Equal Weight Consumer Staples
ETF.................................... 9,633,268 129,805 (1,712,803) (1,582,998)
Rydex S&P Equal Weight Energy ETF........ 8,038,575 26,800 (2,516,374) (2,489,574)
Rydex S&P Equal Weight Financials ETF.... 11,952,110 246,632 (3,290,590) (3,043,958)
Rydex S&P Equal Weight Health Care ETF... 48,925,346 727,801 (12,141,669) (11,413,868)
Rydex S&P Equal Weight Industrials ETF... 12,877,108 214,356 (1,194,102) (979,746)
Rydex S&P Equal Weight Materials ETF..... 6,323,050 290,342 (1,009,771) (719,429)
Rydex S&P Equal Weight Technology ETF.... 12,460,823 21,476 (4,234,342) (4,212,866)
Rydex S&P Equal Weight Utilities ETF..... 7,239,584 85,503 (1,638,661) (1,553,158)
</Table>
E. FAIR VALUE MEASUREMENT
Effective November 1, 2008, the Funds adopted Statement of 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 an
acceptable fair valuation methods and applications.
Various inputs may be used to determine the value of the fund's investments.
These inputs are summarized in three broad levels:
Level 1 -- quoted prices in active markets for identical securities.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 -- significant unobservable inputs (including the Funds' own
assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
80
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2009:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3 OTHER
INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL
FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS TOTAL
- ---- ------------- ----------- ------------- ----------- ------------- ----------- -----------
ASSETS
Rydex S&P 500 Pure Value ETF...... $13,836,652 $-- $-- $-- $-- $-- $13,836,652
Rydex S&P 500 Pure Growth ETF..... 31,221,539 -- -- -- -- -- 31,221,539
Rydex S&P MidCap 400 Pure Value
ETF............................. 8,356,548 -- -- -- -- -- 8,356,548
Rydex S&P MidCap 400 Pure Growth
ETF............................. 19,053,104 -- -- -- -- -- 19,053,104
Rydex S&P SmallCap 600 Pure Value
ETF............................. 23,694,006 -- -- -- -- -- 23,694,006
Rydex S&P SmallCap 600 Pure Growth
ETF............................. 5,773,062 -- -- -- -- -- 5,773,062
Rydex S&P Equal Weight Consumer
Discretionary ETF............... 5,361,398 -- -- -- -- -- 5,361,398
Rydex S&P Equal Weight Consumer
Staples ETF..................... 8,050,270 -- -- -- -- -- 8,050,270
Rydex S&P Equal Weight Energy
ETF............................. 5,549,001 -- -- -- -- -- 5,549,001
Rydex S&P Equal Weight Financials
ETF............................. 8,908,152 -- -- -- -- -- 8,908,152
Rydex S&P Equal Weight Health Care
ETF............................. 37,511,478 -- -- -- -- -- 37,511,478
Rydex S&P Equal Weight Industrials
ETF............................. 11,897,362 -- -- -- -- -- 11,897,362
Rydex S&P Equal Weight Materials
ETF............................. 5,603,621 -- -- -- -- -- 5,603,621
Rydex S&P Equal Weight Technology
ETF............................. 8,247,957 -- -- -- -- -- 8,247,957
Rydex S&P Equal Weight Utilities
ETF............................. 5,686,426 -- -- -- -- -- 5,686,426
</Table>
F. DIVIDENDS AND DISTRIBUTIONS
Distributions of net investment income and net realized capital gains, if any,
are declared at least annually and recorded on the ex-dividend date and are
determined in accordance with income tax regulations which may differ from U.S.
generally accepted accounting principles.
G. RISK AND UNCERTAINTIES
The Trust invests in various investments which are exposed to risk, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect
amounts reported in future financial statements. The Rydex S&P Equal Weight
Sector ETFs are non-diversified funds, subjecting them to a greater risk than
funds that are diversified.
H. NEW ACCOUNTING PRONOUNCEMENTS
In March 2008, the Financial Accounting Standards No. 161, "Disclosures about
Derivative Instruments and Hedging Activities" ("SFAS 161") was issued and is
effective for fiscal years and interim periods beginning after November 15,
2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging
activities. Management is currently evaluating the impact the adoption of SFAS
161 will have on the Funds' financial statement disclosures.
In April 2009, FASB issued FASB Staff Position FSP FAS 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FAS
157-4"), which provides additional guidance when the volume and level of
activity for the asset or liability measured at fair value have significantly
decreased. Additionally, FAS 157-4 amends FASB Statement No. 157, Fair Value
Measurements, expanding disclosure requirements by reporting entities
surrounding the major categories of assets and liabilities carried at fair
value. FAS 157-4 is effective for interim and annual periods ending after June
15, 2009. Management is currently evaluating the impact the adoption of FAS 157-
4 will have on the Funds' financial statement disclosures.
In May 2009, FASB issued FASB Staff Position FSP FAS 165, "Subsequent Events"
("FAS 165"), which provides additional guidance with respect to financial
reporting of subsequent events, specifically; the period covered by subsequent
events, the circumstance under which subsequent events will be recognized and
the disclosure an entity will make about events or transactions that occur after
balance sheet date. FAS 165 is effective for interim and annual periods ending
after June 15, 2009. Management is currently evaluating the impact the adoption
of FAS 165 will have on the Funds' financial statement disclosures.
SEMI-ANNUAL REPORT 81
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
Rydex Investments determines the composition of the portfolio of securities that
must be delivered in exchange for the issuance of Creation Units and
periodically adjusts the composition of the portfolio of each Fund's to conform
to changes in the composition of the relevant index. For these services, Rydex
Investments receives an advisory fee at the annual rate shown below of the
average daily net assets of the Funds.
<Table>
<Caption>
ADVISORY FEE
------------
Rydex S&P 500 Pure Value ETF........................................ 0.35%
Rydex S&P 500 Pure Growth ETF....................................... 0.35%
Rydex S&P MidCap 400 Pure Value ETF................................. 0.35%
Rydex S&P MidCap 400 Pure Growth ETF................................ 0.35%
Rydex S&P SmallCap 600 Pure Value ETF............................... 0.35%
Rydex S&P SmallCap 600 Pure Growth ETF.............................. 0.35%
Rydex S&P Equal Weight Consumer Discretionary ETF................... 0.50%
Rydex S&P Equal Weight Consumer Staples ETF......................... 0.50%
Rydex S&P Equal Weight Energy ETF................................... 0.50%
Rydex S&P Equal Weight Financials ETF............................... 0.50%
Rydex S&P Equal Weight Health Care ETF.............................. 0.50%
Rydex S&P Equal Weight Industrials ETF.............................. 0.50%
Rydex S&P Equal Weight Materials ETF................................ 0.50%
Rydex S&P Equal Weight Technology ETF............................... 0.50%
Rydex S&P Equal Weight Utilities ETF................................ 0.50%
</Table>
Rydex Investments pays all expenses of the Funds, including the cost of transfer
agency, custody, fund administration, legal, audit and other services, except:
interest, taxes, distribution fees or expenses and extraordinary expenses.
Under an Administration Agreement, State Street Bank and Trust Company (the
"Administrator") provides various administrative and accounting services for the
maintenance and operations of the Funds. Under a Custodian Agreement with the
Trust, the Administrator maintains cash, securities and other assets of the
Trust and the Funds in separate accounts for each fund, keeps all necessary
accounts and records, and provides other services. The Administrator is
required, upon the order of the Trust, to deliver securities held by the
Custodian and to make payments for securities purchased by the Trust for the
Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the
Administrator acts as a transfer agent for the Trust's authorized and issued
shares of beneficial interest, and as dividend disbursing agent of the Trust.
Rydex Investments compensates the Administrator directly for the foregoing
services.
The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to
pay distribution fees to Rydex Distributors, Inc. (the "Distributor") and other
firms that provide distribution services ("Service Providers"). If a Service
Provider provides distribution services, the Funds will pay distribution fees to
the Distributor at an annual rate not to exceed 0.25% of average daily net
assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor will, in turn,
pay the Service Provider out of its fees. No such fee is currently charged to
the Funds.
4. CAPITAL
At April 30, 2009, there were an unlimited number of no par value shares of
beneficial interest authorized. There is a minimum transaction fee per
transaction to those persons purchasing or redeeming Creation Units. An
additional charge of up to three times the standard transaction fee may be
imposed for purchases and redemptions effected outside the National Securities
Clearing Corporation usual clearing process or for cash. Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
82
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
equate the transaction to the net asset value per unit of the Fund on the
transaction date. Transaction fees are not charged to or paid by the Fund. The
minimum transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex S&P 500 Pure Value ETF...................................... $1,000
Rydex S&P 500 Pure Growth ETF..................................... 1,000
Rydex S&P MidCap 400 Pure Value ETF............................... 750
Rydex S&P MidCap 400 Pure Growth ETF.............................. 750
Rydex S&P SmallCap 600 Pure Value ETF............................. 1,000
Rydex S&P SmallCap 600 Pure Growth ETF............................ 1,000
Rydex S&P Equal Weight Consumer Discretionary ETF................. 750
Rydex S&P Equal Weight Consumer Staples ETF....................... 500
Rydex S&P Equal Weight Energy ETF................................. 500
Rydex S&P Equal Weight Financials ETF............................. 750
Rydex S&P Equal Weight Health Care ETF............................ 500
Rydex S&P Equal Weight Industrials ETF............................ 500
Rydex S&P Equal Weight Materials ETF.............................. 500
Rydex S&P Equal Weight Technology ETF............................. 750
Rydex S&P Equal Weight Utilities ETF.............................. 500
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2009 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex S&P 500 Pure Value ETF............................... $ 439,311 $ 2,500,546
Rydex S&P 500 Pure Growth ETF.............................. 5,473,040 --
Rydex S&P MidCap 400 Pure Value ETF........................ 700,342 1,386,985
Rydex S&P MidCap 400 Pure Growth ETF....................... 5,877,442 5,008,472
Rydex S&P SmallCap 600 Pure Value ETF...................... 5,500,563 5,882,770
Rydex S&P SmallCap 600 Pure Growth ETF..................... -- 948,073
Rydex S&P Equal Weight Consumer Discretionary ETF.......... 7,901,353 7,306,941
Rydex S&P Equal Weight Consumer Staples ETF................ -- 1,951,665
Rydex S&P Equal Weight Energy ETF.......................... 1,423,441 1,883,847
Rydex S&P Equal Weight Financials ETF...................... 839,686 --
Rydex S&P Equal Weight Health Care ETF..................... 6,130,872 16,609,732
Rydex S&P Equal Weight Industrials ETF..................... 1,396,566 2,800,601
Rydex S&P Equal Weight Materials ETF....................... -- --
Rydex S&P Equal Weight Technology ETF...................... -- --
Rydex S&P Equal Weight Utilities ETF....................... 2,078,437 --
</Table>
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
----------- -----------
Rydex S&P 500 Pure Value ETF................................ $ 8,514,130 $ 7,150,301
Rydex S&P 500 Pure Growth ETF............................... 6,848,163 8,108,933
Rydex S&P MidCap 400 Pure Value ETF......................... 6,421,030 6,192,115
Rydex S&P MidCap 400 Pure Growth ETF........................ 7,117,211 6,375,851
Rydex S&P SmallCap 600 Pure Value ETF....................... 19,397,330 19,268,872
Rydex S&P SmallCap 600 Pure Growth ETF...................... 3,657,817 3,490,670
Rydex S&P Equal Weight Consumer Discretionary ETF........... 1,926,806 1,916,850
Rydex S&P Equal Weight Consumer Staples ETF................. 1,561,402 1,887,381
Rydex S&P Equal Weight Energy ETF........................... 1,665,755 1,431,431
Rydex S&P Equal Weight Financials ETF....................... 2,463,780 2,160,440
Rydex S&P Equal Weight Health Care ETF...................... 9,538,536 10,184,105
Rydex S&P Equal Weight Industrials ETF...................... 6,811,692 1,221,400
Rydex S&P Equal Weight Materials ETF........................ 1,791,165 1,745,514
Rydex S&P Equal Weight Technology ETF....................... 1,163,897 1,115,652
Rydex S&P Equal Weight Utilities ETF........................ 792,884 916,351
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2009.
SEMI-ANNUAL REPORT 83
SUPPLEMENTAL INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
Information regarding how the Funds voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended June 30, 2008 is also
available, without charge and upon request, by (i) calling 1-800-820-0888; or
accessing the Trust's Form N-PX 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 Trust's Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 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.
84
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
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ---------------------- ----------------
CARL G. VERBONCOEUR* Rydex Series 152
Trustee, President Funds - 2004
(1952) Rydex Variable
Trust - 2004
Rydex Dynamic
Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Treasurer of Rydex
Specialized Products, LLC (2005 to 2009); Chief Executive Officer of
Rydex Specialized Products, LLC (2005 to 2008); Chief Executive
Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to
2009).
---------------------
MICHAEL P. BYRUM* Rydex Series 152
Trustee, Vice President Funds - 2005
and Rydex Variable
Secretary (1970) Trust - 2005
Rydex Dynamic
Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Investment
Officer of Rydex Investments (2003 to present); Secretary of Rydex
Specialized Products, LLC (2005 to 2008); 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)
- ---------------------------------------------------------------------
</Table>
INDEPENDENT TRUSTEES
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ---------------------- ----------------
JOHN O. DEMARET Rydex Series 152
Trustee, Chairman of Funds - 1997
the Board (1940) Rydex Variable
Trust - 1998
Rydex Dynamic
Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------
COREY A. COLEHOUR Rydex Series 152
Trustee (1945) Funds - 1993
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, registered
investment advisor (2005 to 2006); Senior Vice President of Marketing
and Co-Owner of Schield Management Company, registered investment
advisor (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series 152
Trustee (1941) Funds - 1995
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 152
Trustee (1940) Funds - 2005
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)
---------------------
</Table>
SEMI-ANNUAL REPORT 85
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (concluded)
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ---------------------- ----------------
THOMAS F. LYDON, JR. Rydex Series 152
Trustee (1960) Funds - 2005
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 152
Trustee (1942) Funds - 1997
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 152
Trustee (1944) Funds - 1993
Rydex Variable
Trust - 1998
Rydex Dynamic
Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- ---------------------------------------------------------------------
</Table>
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
NICK BONOS* Chief Financial Officer of Rydex
Vice President and Treasurer (1963) Specialized Products, LLC (2005 to
present); Vice President and Treasurer of
Rydex Series Funds, Rydex Variable Trust,
Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President
of Rydex Investments (2003 to present);
Vice President and Treasurer of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series
Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex
(1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds
(2000 to present); Secretary of Rydex ETF
Trust (2002 to present); Vice President
of Compliance of Rydex Investments (2000
to present); Secretary of Rydex Capital
Partners SPhinX Fund (2003 to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds, Rydex ETF Trust (2006 to
present); Senior Vice President of Rydex
Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds,
Rydex ETF Trust (2006 to present);
Director of Fund Administration of Rydex
Investments (2001 to present)
</Table>
* Officers of the Funds are deemed to be "interested persons" of the Trust,
within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as this
person is affiliated with the Rydex Investments.
(RYDEX | SGI(SM) LOGO)
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF2-SEMI-0409X1009
APRIL 30, 2009
RYDEX ETF TRUST
SEMI-ANNUAL REPORT
RYDEX 2x S&P 500 ETF
RYDEX INVERSE 2x S&P 500 ETF
RYDEX 2x S&P MIDCAP 400 ETF
RYDEX INVERSE 2x S&P MIDCAP 400 ETF
RYDEX 2x RUSSELL 2000(R) ETF
RYDEX INVERSE 2x RUSSELL 2000(R) ETF
RYDEX 2x S&P SELECT SECTOR ENERGY ETF
RYDEX INVERSE 2x S&P SELECT SECTOR ENERGY ETF
RYDEX 2x S&P SELECT SECTOR FINANCIAL ETF
RYDEX INVERSE 2x S&P SELECT SECTOR FINANCIAL ETF
RYDEX 2x S&P SELECT SECTOR HEALTH CARE ETF
RYDEX INVERSE 2x S&P SELECT SECTOR HEALTH CARE ETF
RYDEX 2x S&P SELECT SECTOR TECHNOLOGY ETF
RYDEX INVERSE 2x S&P SELECT SECTOR TECHNOLOGY ETF
[RYDEX SGI(SM) LOGO]
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS........................ 2
FEES & EXPENSES................................... 4
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS........ 5
PREMIUM AND DISCOUNT INFORMATION.................. 6
PORTFOLIO SUMMARY................................. 9
SCHEDULES OF INVESTMENTS.......................... 16
STATEMENTS OF ASSETS AND LIABILITIES.............. 59
STATEMENTS OF OPERATIONS.......................... 63
STATEMENTS OF CHANGES IN NET ASSETS............... 67
FINANCIAL HIGHLIGHTS.............................. 74
NOTES TO FINANCIAL STATEMENTS..................... 88
SUPPLEMENTAL INFORMATION.......................... 96
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS..... 97
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
Last year was a difficult one for many as unemployment increased, housing values
decreased and the impact of an economic slowdown reverberated in stock markets
around the world. As we enter a new market environment in which investors,
regulators and legislators have a dramatically reduced tolerance for risk and a
greater demand for transparency, investment professionals are increasingly
turning to exchange traded funds (ETFs). Due to their convenience, transparency
and ability to provide access to difficult-to-reach areas of the market, ETFs
can play an important role in investor portfolios. Needless to say, Rydex is a
proud participant in the ETF space with $4 billion in ETF assets and more than
40 exchange traded products.
Growing Industry Influence. More investment advisors are gravitating to ETFs
for their flexibility, transparency and lower expense ratios. In fact, nearly
all of the advisors (83%) who took part in the Rydex AdvisorBenchmarking(TM)
November 2008 Survey believe that ETFs will be their primary investment vehicle
in 2009. While ETF assets have fallen 12.9% over the past 12 months to $495B
from $569B, the number of ETF products in the market actually climbed
16% -- with greatest growth in global and international ETFs. According to the
Investment Company Institute, there are now more than 719 ETFs in this category
versus 614 a year ago -- a notable 41% increase. Some industry experts even see
ETFs' popularity encroaching on sacred mutual fund territory. In April, Lipper
reported that "Sales of new ETFs appear to be replacing sales of new mutual
funds over the past several years. ETF launches now exceed 30% of all new (fund)
products."
Unprecedented Market Conditions. The financial crisis that unfolded earlier
this year affected nearly every conceivable asset class, resulting in huge
declines in wealth -- regardless of how investors had structured their
portfolios. Other than treasury bills and the U.S. dollar, no investment class
was spared the widespread panic that washed over the world's financial markets.
In the U.S. alone, the major stock market averages lost more than 20% of their
value as the entire financial system seized up and choked as the engine of any
economy -- bank lending -- stalled out. The resulting crash in global stock
markets was as steep as anything we witnessed since the historic stock market
crash of 1929. Huge financial dominoes began to fall as Merrill Lynch, Morgan
Stanley, Goldman Sachs and Lehman Brothers collapsed, merged with or were reborn
as commercial banks. Among other things, the crisis showed us that the Wall
Street formula of highly leveraged balance sheets, coupled with the need to
access working capital on a daily basis, proved to be lethal when backed by
seemingly worthless assets. And as the willingness to lend disappeared, so did
Wall Street's daily lifeline.
Historic Government Intervention. September 2008 proved to be a historic month
for unprecedented government intervention in the equity markets. On September
18, the U.S. Treasury announced the establishment of a temporary guarantee
program for money market mutual funds after the Reserve Primary Fund "broke the
buck" -- causing a massive exodus from money market mutual funds. The next day,
on September 19, the Securities and Exchange Commission (SEC) issued a temporary
ban prohibiting the short sales of certain financial securities. We complied
with the SEC action by suspending trading of the Rydex Inverse 2x S&P Select
Sector Financial ETF until the ban was lifted on October 8, 2008. The month of
September also saw the takeover of Fannie Mae, Freddie Mac and AIG, the seizure
of IndyMac Bank and Washington Mutual, which pointed to a near takeover of the
global financial system by the government. In this history-making period,
government at all levels moved with unprecedented speed, scope and coordination
to save the financial system and with it the global economy. This culminated
with a $700 billion plan put forward by the U.S. Treasury to essentially buy up
all the bad mortgage assets clogging the financial system. Newly sworn-in
government officials committed $12 trillion to programs designed to offset
credit and sub-prime mortgage-related issues that were negatively impacting the
financial services industry. This historic government intervention kicked into
high gear during the fall when Congress established The Emergency Economic
Stabilization Act of 2008 (EESA) in an effort to help strengthen the U.S.
economy. Primarily, the act authorized the Troubled Assets Relief Program
(TARP), which was originally structured to purchase troubled assets from ailing
banks but quickly morphed into an effort to recapitalize the banking industry.
Signs of a Recovery. The question at the forefront of everyone's mind still
remains: Will it all work? While it looks like the Dow Jones Industrial Average
finally found its bottom of 6547.05 on March 9, investors still remain cautious.
The new administration has rightly made the economy its top priority and we are
starting to see some proverbial light at the end of the tunnel. All major U.S.
indices ended April in positive territory with the NASDAQ Composite posting a
12.35% gain, the S&P 500 jumping to 9.39% and the Dow Industrials closing out
the month with a respectable 7.35% gain. In fact, April proved to be a solid
month of recovery as the NASDAQ reported its best April percentage gain since
2001 (when it gained 14.99%), the S&P posted its best gain since 1938 (when it
gained 15.06%) and the Dow had its best monthly gain since last March, when it
rose 7.77%.
On the housing front, home-sales figures in recent weeks have shown a slower
pace of decline and the slide in property prices appears to have stabilized.
Former Federal Reserve Chairman Alan Greenspan even went on record in early May
stating that the U.S. housing market may be on the verge of a recovery and that
it's "very easy to see" the financial markets continuing to improve. While
there's still
SEMI-ANNUAL REPORT 3
LETTER TO OUR SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
a long way to go to repair the carnage we experienced over the past six months,
I'm optimistic that we can -- and will -- endure. We appreciate the trust that
you have placed in our firm's quality and integrity by investing with us. It is
our goal to continue to offer you a wide variety of ETFs to help you meet your
financial goals.
Sincerely,
- -s- David C. Reilly, CFA
Mike Byrum, CFA
President and Chief Investment Officer
Read the fund's prospectus carefully before investing. It contains the fund's
investment objectives, risks, charges, expenses and other information. Obtain a
prospectus at rydexinvestments.com or call 800.258.4332.
The opinions and forecasts expressed are those of Security Global Investors as
of June 1, 2009, and may not actually come to pass. This information is subject
to change at any time, based on market and other conditions and should not be
construed as a recommendation of any specific security or strategy.
AdvisorBenchmarking.com and the Rydex PracticeValue program are services of
Advisor Research Center, Inc., an affiliate of Rydex Investments. Advisor
Research Center, Inc., and its affiliates make no warranties, expressed or
implied, as to results to be obtained from the use of information provided by
the Rydex PracticeValue program and/or AdvisorBenchmarking.com, and Advisor
Research Center, Inc., expressly disclaims all warranties of merchantability or
fitness for a particular purpose of use with respect thereto. While Advisor
Research Center, Inc., believes the information to be reliable, Advisor Research
Center, Inc., and its affiliates shall not be liable for any claims or losses of
any nature in connection with the information contained in this publication.
4
FEES AND EXPENSES (Unaudited)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Rydex ETF Trust, you incur transaction costs such as
creation and redemption fees or brokerage charges, and ongoing costs including
advisory fees, trustee fees and, if applicable, distribution fees. All other
Trust expenses are paid by the advisor. This Example is intended to help you
understand your ongoing costs (in dollars) of investing in a Fund and to compare
these costs with the ongoing costs of investing in other mutual funds.
The example in the table is based on an investment of $1,000 invested on October
31, 2008 and held for the six months ended April 30, 2009.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred 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 in the first
table under the heading entitled "Expenses Paid During the Six-Month Period" to
estimate the expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees, or brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
EXPENSE VALUE VALUE SIX-MONTH PERIOD*
RATIO 10/31/08 4/30/09 10/31/08 TO 4/30/09
------- --------- --------- -------------------
ACTUAL
Rydex 2x S&P 500 ETF....................... 0.70% $1,000.00 $ 900.70 $3.30
Rydex Inverse 2x S&P 500 ETF............... 0.70% 1,000.00 737.90 3.02
Rydex 2x MidCap 400 ETF.................... 0.70% 1,000.00 849.10 3.21
Rydex Inverse 2x S&P MidCap 400 ETF........ 0.70% 1,000.00 686.90 2.93
Rydex 2x Russell 2000 ETF.................. 0.70% 1,000.00 707.20 2.96
Rydex Inverse 2x Russell 2000 ETF.......... 0.70% 1,000.00 744.40 3.03
Rydex 2x S&P Select Sector Energy ETF...... 0.70% 1,000.00 682.80 2.92
Rydex Inverse 2x S&P Select Sector Energy
ETF..................................... 0.70% 1,000.00 744.80 3.03
Rydex 2x S&P Select Sector Financial ETF... 0.71% 1,000.00 294.90 2.25
Rydex Inverse 2x S&P Select Sector
Financial ETF........................... 0.70% 1,000.00 410.20 2.45
Rydex 2x S&P Select Sector Health Care
ETF..................................... 0.71% 1,000.00 772.00 3.08
Rydex Inverse 2x S&P Select Sector Health
Care ETF................................ 0.70% 1,000.00 1,055.30 3.57
Rydex 2x S&P Select Sector Technology ETF.. 0.71% 1,000.00 997.80 3.47
Rydex Inverse 2x S&P Select Sector
Technology ETF.......................... 0.70% 1,000.00 662.40 2.89
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex 2x S&P 500 ETF....................... 0.70% 1,000.00 1,021.32 3.51
Rydex Inverse 2x S&P 500 ETF............... 0.70% 1,000.00 1,021.32 3.51
Rydex 2x MidCap 400 ETF.................... 0.70% 1,000.00 1,021.32 3.51
Rydex Inverse 2x S&P MidCap 400 ETF........ 0.70% 1,000.00 1,021.32 3.51
Rydex 2x Russell 2000 ETF.................. 0.70% 1,000.00 1,021.32 3.51
Rydex Inverse 2x Russell 2000 ETF.......... 0.70% 1,000.00 1,021.32 3.51
Rydex 2x S&P Select Sector Energy ETF...... 0.70% 1,000.00 1,021.32 3.51
Rydex Inverse 2x S&P Select Sector Energy
ETF..................................... 0.70% 1,000.00 1,021.32 3.51
Rydex 2x S&P Select Sector Financial ETF... 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P Select Sector
Financial ETF........................... 0.70% 1,000.00 1,021.32 3.51
Rydex 2x S&P Select Sector Health Care
ETF..................................... 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P Select Sector Health
Care ETF................................ 0.70% 1,000.00 1,021.32 3.51
Rydex 2x S&P Select Sector Technology ETF.. 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P Select Sector
Technology ETF.......................... 0.70% 1,000.00 1,021.32 3.51
</Table>
- --------
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
SEMI-ANNUAL REPORT 5
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS
- --------------------------------------------------------------------------------
The 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.
<Table>
<Caption>
INDEX INDEX FUND FUND FUND
LEVEL PERFORMANCE EXPECTATION NAV PERFORMANCE ASSESSMENT
- ---------------------------------------------------------------------------------------------------------
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)%
- ---------------------------------------------------------------------------------------------------------
</Table>
As illustrated by this simple example, the effect of leverage can make it
difficult to form expectations or judgments about fund performance given only
the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a
daily basis, mathematical compounding, especially with respect to those funds
that use leverage as part of their investment strategy, may prevent a fund from
correlating with the monthly, quarterly, annual or other period performance of
its benchmark. Due to the compounding of daily returns, leveraged and inverse
funds' returns over periods other than one day will likely differ in amount and
possibly direction from the benchmark return for the same period. Investors
should monitor their leveraged and inverse funds' holdings consistent with their
strategies, as frequently as daily. For those funds that consistently apply
leverage, the value of the fund's shares will tend to increase or decrease more
than the value of any increase or decrease in its benchmark index. For more on
correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that
seems to work against an investor. Were the index to move in the same direction
(either up or down) for two or more periods in a row, the compounding of those
returns would work in an investor's favor, causing the fund to seemingly beat
its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding
effect, while less leverage will generally produce results that are more in line
with expectations. In addition, periods of high volatility in an underlying
index will also cause the effects of compounding to be more pronounced, while
lower volatility will produce a more muted effect.
6
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. NAV is the price per share at which a Fund issues and redeems shares. It is
calculated in accordance with the standard formula for valuing mutual fund
shares. The "Market Price" of a Fund generally is determined using the midpoint
between the highest bid and the lowest offer on the Exchange on which the Fund
is listed for trading, as of the time the Fund's NAV is calculated. A Fund's
Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate
with changes in the market value of its portfolio holdings. The Market Price of
a Fund will fluctuate in accordance with changes in its NAV, as well as market
supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the six
months ended April 30, 2009.
Each line in the table shows the number of trading days in which the Funds
traded within the premium/discount range indicated. The number of trading days
in each premium/discount range is also shown as a percentage of the total number
of trading days in the period covered by the table. All data presented here
represents past performance, which cannot be used to predict future results.
SEMI-ANNUAL REPORT 7
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
-----------------------------------------------------------------------
RYDEX
RYDEX RYDEX INVERSE RYDEX RYDEX
RYDEX INVERSE 2X S&P 2X S&P RYDEX INVERSE 2X 2X S&P
2X S&P 2X S&P MIDCAP MIDCAP 2X RUSSELL RUSSELL SELECT SECTOR
500 500 400 400 2000 2000 ENERGY
ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------ ------- ------ ------- ---------- ---------- -------------
Greater than 10%..................... 0 0 1 0 0 0 0
Between 8.01% and 10%................ 0 0 0 1 0 0 0
Between 3.01% and 8%................. 7 1 8 11 6 10 16
Between 1.01% and 3%................. 16 11 36 36 27 19 25
Between .51% and 1%.................. 36 35 28 34 36 35 27
Between .26% and .5%................. 36 34 33 37 30 51 20
Between .25% and 0%.................. 93 123 68 76 74 73 27
Between -0.01% and -0.25%............ 103 101 58 68 61 79 22
Between -0.26% and -0.5%............. 45 34 38 36 45 38 21
Between -0.51% and -1%............... 22 17 45 33 43 33 25
Between -1.01% and -3%............... 16 14 52 32 41 30 33
Between -3.01% and -8%............... 0 4 7 10 11 6 8
Less than -8%........................ 0 0 0 0 0 0 1
Total................................ 374 374 374 374 374 374 225
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
--------------------------------------------------------------------------
RYDEX
RYDEX RYDEX INVERSE 2X RYDEX RYDEX
RYDEX INVERSE 2X S&P S&P RYDEX INVERSE 2X 2X $&P
2X S&P 2X S&P MIDCAP MIDCAP 2X RUSSELL RUSSELL SELECT
500 500 400 400 2000 2000 SECTOR ENERGY
ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ------ ------- ------ ---------- ---------- ---------- -------------
Greater than 10%.................... 0.00% 0.00% 0.27% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10%............... 0.00% 0.00% 0.00% 0.27% 0.00% 0.00% 0.00%
Between 3.01% and 8%................ 1.87% 0.27% 2.14% 2.94% 1.60% 2.67% 7.11%
Between 1.01% and 3%................ 4.28% 2.94% 9.63% 9.63% 7.22% 5.08% 11.11%
Between .51% and 1%................. 9.63% 9.36% 7.49% 9.09% 9.63% 9.36% 12.00%
Between .26% and .5%................ 9.63% 9.09% 8.82% 9.89% 8.02% 13.64% 8.89%
Between .25% and 0%................. 24.87% 32.89% 18.18% 20.32% 19.79% 19.52% 12.00%
Between -0.01% and -0.25%........... 27.54% 27.01% 15.51% 18.18% 16.31% 21.12% 9.78%
Between -0.26% and -0.5%............ 12.03% 9.09% 10.16% 9.63% 12.03% 10.16% 9.33%
Between -0.51% and -1%.............. 5.88% 4.55% 12.03% 8.82% 11.50% 8.82% 11.11%
Between -1.01% and -3%.............. 4.28% 3.74% 13.90% 8.56% 10.96% 8.02% 14.67%
Between -3.01% and -8%.............. 0.00% 1.07% 1.87% 2.67% 2.94% 1.60% 3.56%
Less than -8%....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.44%
Total............................... 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
8
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
--------------------------------------------------------------------------------------------
RYDEX RYDEX RYDEX RYDEX
INVERSE 2X RYDEX INVERSE 2X RYDEX INVERSE 2X RYDEX INVERSE 2X
S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT
SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR
ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY
ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ---------- ------------- ---------- ------------- ----------- ------------- ----------
Greater than 10%................. 1 1 0 1 5 3 0
Between 8.01% and 10%............ 1 1 0 1 3 1 1
Between 3.01% and 8%............. 9 14 10 10 10 8 11
Between 1.01% and 3%............. 31 46 34 32 34 30 27
Between .51% and 1%.............. 28 29 23 14 19 22 18
Between .26% and .5%............. 16 24 16 10 11 9 7
Between .25% and 0%.............. 24 15 29 38 18 23 21
Between -0.01% and -0.25%........ 20 12 20 25 35 24 27
Between -0.26% and -0.5%......... 19 20 16 10 18 13 13
Between -0.51% and -1%........... 23 14 29 18 28 15 30
Between -1.01% and -3%........... 38 35 35 47 24 33 42
Between -3.01% and -8%........... 14 13 13 17 18 40 28
Between -8.01% and -10%.......... 0 0 0 1 2 1 0
Less than -10%................... 1 1 0 1 0 3 0
Total............................ 225 225 225 225 225 225 225
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
--------------------------------------------------------------------------------------------
RYDEX RYDEX RYDEX RYDEX
INVERSE 2X RYDEX INVERSE 2X RYDEX INVERSE 2X RYDEX INVERSE 2X
S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT
SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR
ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY
ETF ETF ETF ETF ETF ETF ETF
PREMIUM/DISCOUNT RANGE ---------- ------------- ---------- ------------- ----------- ------------- ----------
Greater than 10%................. 0.44% 0.44% 0.00% 0.44% 2.22% 1.33% 0.00%
Between 8.01% and 10%............ 0.44% 0.44% 0.00% 0.44% 1.33% 0.44% 0.44%
Between 3.01% and 8%............. 4.00% 6.22% 4.44% 4.44% 4.44% 3.56% 4.89%
Between 1.01% and 3%............. 13.78% 20.44% 15.11% 14.22% 15.11% 13.33% 12.00%
Between .51% and 1%.............. 12.44% 12.89% 10.22% 6.22% 8.44% 9.78% 8.00%
Between .26% and .5%............. 7.11% 10.67% 7.11% 4.44% 4.89% 4.00% 3.11%
Between .25% and 0%.............. 10.67% 6.67% 12.89% 16.89% 8.00% 10.22% 9.33%
Between -0.01% and -0.25%........ 8.89% 5.33% 8.89% 11.11% 15.56% 10.67% 12.00%
Between -0.26% and -0.5%......... 8.44% 8.89% 7.11% 4.44% 8.00% 5.78% 5.78%
Between -0.51% and -1%........... 10.22% 6.22% 12.89% 8.00% 12.44% 6.67% 13.33%
Between -1.01% and -3%........... 16.89% 15.56% 15.56% 20.89% 10.67% 14.67% 18.67%
Between -3.01% and -8%........... 6.22% 5.78% 5.78% 7.56% 8.00% 17.78% 12.44%
Between -8.01% and -10%.......... 0.00% 0.00% 0.00% 0.44% 0.89% 0.44% 0.00%
Less than -10%................... 0.44% 0.44% 0.00% 0.44% 0.00% 1.33% 0.00%
Total............................ 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 9
RYDEX 2X S&P 500 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 3.53%
MICROSOFT CORP. 1.66%
AT&T, INC. 1.62%
PROCTER & GAMBLE CO. 1.55%
JOHNSON & JOHNSON, INC. 1.55%
INTERNATIONAL BUSINESS MACHINES CORP. 1.49%
GENERAL ELECTRIC CO. 1.43%
CHEVRON CORP. 1.42%
JPMORGAN CHASE & CO. 1.33%
CISCO SYSTEMS, INC. 1.21%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 18.40
Health Care 13.83
Energy 12.51
Financials 12.19
Consumer Staples 12.04
Industrials 10.44
Consumer Discretionary 9.52
Utilities 3.98
Telecommunication Services 3.72
Materials 3.37
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
10
RYDEX 2X S&P MIDCAP 400 ETF
PORTFOLIO SUMMARY (Unaudited) As April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
VERTEX PHARMACEUTICALS, INC. 0.64%
WESTERN DIGITAL CORP. 0.63%
ROSS STORES, INC. 0.59%
EVEREST RE GROUP, LTD. 0.55%
QUANTA SERVICES, INC. 0.53%
FMC TECHNOLOGIES, INC. 0.52%
FIDELITY NATIONAL FINANCIAL, INC. -- CLASS A 0.50%
NEWFIELD EXPLORATION CO. 0.50%
ADVANCE AUTO PARTS, INC. 0.50%
ROPER INDUSTRIES, INC. 0.49%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 18.15
Consumer Discretionary 15.65
Industrials 15.18
Information Technology 14.28
Health Care 12.05
Materials 7.19
Energy 6.57
Utilities 6.34
Consumer Staples 3.99
Telecommunication Services 0.60
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 11
RYDEX 2X RUSSELL 2000 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
MYRIAD GENETICS, INC. 0.39%
RALCORP HOLDINGS, INC. 0.36%
ALEXION PHARMACEUTICALS, INC. 0.31%
SYBASE, INC. 0.30%
AEROPOSTALE, INC. 0.26%
REALTY INCOME CORP. 0.25%
WATSON WYATT WORLDWIDE, INC. -- CLASS A 0.25%
ITC HOLDINGS CORP. 0.24%
DENDREON CORP. 0.23%
WASTE CONNECTIONS, INC. 0.23%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 20.19
Information Technology 18.67
Industrials 16.06
Health Care 14.11
Consumer Discretionary 13.60
Energy 4.39
Utilities 3.97
Consumer Staples 3.93
Materials 3.83
Telecommunication Services 1.25
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
12
RYDEX 2X S&P SELECT SECTOR ENERGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 17.71%
CHEVRON CORP. 11.66%
CONOCOPHILLIPS 5.51%
SCHLUMBERGER, LTD. 4.19%
OCCIDENTAL PETROLEUM CORP. 3.61%
APACHE CORP. 2.47%
DEVON ENERGY CORP. 2.36%
MARATHON OIL CORP. 2.18%
XTO ENERGY, INC. 2.09%
ANADARKO PETROLEUM CORP. 2.06%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Oil, Gas & Consumable Fuels 81.98
Energy Equipment & Services 17.15
Gas Utilities 0.87
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 13
RYDEX S&P SELECT SECTOR FINANCIAL ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
JPMORGAN CHASE & CO. 11.01%
WELLS FARGO & CO. 7.53%
GOLDMAN SACHS GROUP, INC. 5.73%
BANK OF AMERICA CORP. 5.07%
U.S. BANCORP 2.84%
AMERICAN EXPRESS CO. 2.62%
BANK OF NEW YORK MELLON CORP. 2.60%
MORGAN STANLEY 2.25%
METLIFE, INC. 2.16%
TRAVELERS COS., INC. 2.14%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Diversified Financial Services 25.74
Capital Markets 21.85
Insurance 19.08
Commercial Banks 18.82
Real Estate Investment Trusts (REITs) 8.46
Consumer Finance 4.57
Thrifts & Mortgage Finance 1.30
Real Estate Management & Development 0.18
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
14
RYDEX 2X S&P SELECT SECTOR HEALTH CARE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
JOHNSON & JOHNSON, INC. 11.58%
PFIZER, INC. 7.21%
WYETH 4.53%
ABBOTT LABORATORIES 4.38%
MERCK & CO., INC. 4.09%
AMGEN, INC. 4.01%
GILEAD SCIENCES, INC. 3.34%
BRISTOL-MYERS SQUIBB CO. 3.06%
SCHERING-PLOUGH CORP. 3.03%
MEDTRONIC, INC. 2.88%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Pharmaceuticals 51.30
Health Care Equipment & Supplies 16.07
Health Care Providers & Services 15.61
Biotechnology 13.87
Life Sciences Tools & Services 2.92
Health Care Technology 0.23
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 15
RYDEX 2X S&P SELECT SECTOR TECHNOLOGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2009
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
MICROSOFT CORP. 7.70%
AT&T, INC. 7.51%
INTERNATIONAL BUSINESS MACHINES CORP. 6.89%
CISCO SYSTEMS, INC. 5.61%
APPLE, INC. 5.58%
VERIZON COMMUNICATIONS, INC. 4.29%
GOOGLE, INC. -- CLASS A 3.99%
HEWLETT-PACKARD CO. 3.80%
ORACLE CORP. 3.71%
INTEL CORP. 3.60%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Computers & Peripherals 23.84
Software 18.80
Diversified Telecommunication Services 15.47
Communications Equipment 14.46
Semiconductors & Semiconductor Equipment 11.00
Internet Software & Services 7.63
IT Services 5.26
Electronic Equipment & Instruments 1.63
Wireless Telecommunication Services 1.56
Office Electronics 0.35
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's equity
investments market value. These percentages may change over time.
16
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS 81.4%
AEROSPACE & DEFENSE 2.3%
Boeing Co. ................ 11,433 $457,892
General Dynamics Corp. .... 6,080 314,154
Goodrich Corp. ............ 1,952 86,434
Honeywell International,
Inc. ................... 11,577 361,318
ITT Corp. ................. 2,866 117,535
L-3 Communications
Holdings, Inc. ......... 1,868 142,248
Lockheed Martin Corp. ..... 5,230 410,712
Northrop Grumman Corp. .... 5,156 249,293
Precision Castparts
Corp. .................. 2,200 164,692
Raytheon Co. .............. 6,298 284,858
Rockwell Collins, Inc. .... 2,488 95,415
United Technologies
Corp. .................. 14,835 724,541
------------
TOTAL AEROSPACE & DEFENSE 3,409,092
------------
AIR FREIGHT & LOGISTICS 0.9%
C.H. Robinson Worldwide,
Inc. ................... 2,682 142,575
Expeditors International of
Washington, Inc. ....... 3,338 115,862
FedEx Corp. ............... 4,902 274,316
United Parcel Service,
Inc. -- Class B......... 15,675 820,430
------------
TOTAL AIR FREIGHT & LOGISTICS 1,353,183
------------
AIRLINES 0.1%
Southwest Airlines Co. .... 11,657 81,366
------------
TOTAL AIRLINES 81,366
------------
AUTO COMPONENTS 0.1%
Goodyear Tire & Rubber
Co.(The)*............... 3,800 41,762
Johnson Controls, Inc. .... 9,358 177,896
------------
TOTAL AUTO COMPONENTS 219,658
------------
AUTOMOBILES 0.2%
Ford Motor Co.*............ 45,084 269,602
General Motors Corp. ...... 9,606 18,444
Harley-Davidson, Inc. ..... 3,676 81,460
------------
TOTAL AUTOMOBILES 369,506
------------
BEVERAGES 2.0%
Brown-Forman Corp. -- Class
B....................... 1,550 72,075
Coca-Cola Co.(The)......... 31,341 1,349,230
Coca-Cola Enterprises,
Inc. ................... 4,992 85,164
Constellation Brands,
Inc. -- Class A*........ 3,070 35,581
Dr Pepper Snapple Group,
Inc.*................... 3,988 82,591
Molson Coors Brewing
Co. -- Class B.......... 2,354 90,040
Pepsi Bottling Group,
Inc. ................... 2,136 66,793
PepsiCo, Inc. ............. 24,501 1,219,170
------------
TOTAL BEVERAGES 3,000,644
------------
BIOTECHNOLOGY 1.6%
Amgen, Inc.*............... 16,281 789,140
Biogen Idec, Inc.*......... 4,684 226,424
Celgene Corp.*............. 7,232 308,951
Cephalon, Inc.*............ 1,088 71,384
Genzyme Corp.*............. 4,272 227,826
Gilead Sciences, Inc.*..... 14,339 656,726
------------
TOTAL BIOTECHNOLOGY 2,280,451
------------
BUILDING PRODUCTS 0.0%(A)
Masco Corp. ............... 5,662 50,165
------------
TOTAL BUILDING PRODUCTS 50,165
------------
CAPITAL MARKETS 2.2%
Ameriprise Financial,
Inc. ................... 3,442 90,697
Bank of New York Mellon
Corp. .................. 18,089 460,908
Charles Schwab Corp.(The).. 14,761 272,783
E*TRADE Financial Corp.*... 9,000 12,870
Federated Investors,
Inc. -- Class B......... 1,406 32,169
Franklin Resources, Inc. .. 2,384 144,184
Goldman Sachs Group,
Inc.(The)............... 7,912 1,016,692
Invesco Ltd. .............. 5,950 87,584
Janus Capital Group,
Inc. ................... 2,488 24,955
Legg Mason, Inc. .......... 2,250 45,157
Morgan Stanley............. 16,917 399,918
Northern Trust Corp. ...... 3,750 203,850
State Street Corp. ........ 6,800 232,084
T. Rowe Price Group,
Inc. ................... 4,028 155,159
------------
TOTAL CAPITAL MARKETS 3,179,010
------------
CHEMICALS 1.6%
Air Products & Chemicals,
Inc. ................... 3,298 217,338
CF Industries Holdings,
Inc. ................... 760 54,758
Dow Chemical Co.(The)...... 14,547 232,752
Du Pont (E.I.) de Nemours &
Co. .................... 14,205 396,320
Eastman Chemical Co. ...... 1,142 45,315
Ecolab, Inc. .............. 2,642 101,849
International Flavors &
Fragrances, Inc. ....... 1,242 38,750
Monsanto Co. .............. 8,628 732,431
PPG Industries, Inc. ...... 2,588 114,001
Praxair, Inc. ............. 4,838 360,963
Sigma-Aldrich Corp. ....... 1,922 84,261
------------
TOTAL CHEMICALS 2,378,738
------------
COMMERCIAL BANKS 1.9%
BB&T Corp. ................ 8,812 205,672
Comerica, Inc. ............ 2,384 50,016
Fifth Third Bancorp........ 9,090 37,269
First Horizon National
Corp. .................. 3,318 38,190
Huntington Bancshares,
Inc. ................... 5,762 16,076
KeyCorp.................... 7,788 47,896
M&T Bank Corp. ............ 1,222 64,094
Marshall & Ilsley Corp. ... 4,172 24,114
PNC Financial Services
Group, Inc. ............ 6,740 267,578
Regions Financial Corp. ... 10,931 49,080
SunTrust Banks, Inc. ...... 5,618 81,124
U.S. Bancorp............... 27,625 503,328
Wells Fargo & Co. ......... 66,709 1,334,847
Zions Bancorp.............. 1,818 19,871
------------
TOTAL COMMERCIAL BANKS 2,739,155
------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Avery Dennison Corp. ...... 1,778 51,100
Cintas Corp. .............. 2,066 53,013
Dun & Bradstreet Corp. .... 834 67,887
Equifax, Inc. ............. 1,992 58,087
Iron Mountain, Inc.*....... 2,826 80,513
Monster Worldwide, Inc.*... 2,012 27,766
Pitney Bowes, Inc. ........ 3,248 79,706
R.R. Donnelley & Sons
Co. .................... 3,234 37,676
Republic Services, Inc. ... 5,066 106,386
Robert Half International,
Inc. ................... 2,384 57,264
Stericycle, Inc.*.......... 1,346 63,370
Waste Management, Inc. .... 7,744 206,532
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 889,300
------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT 2.5%
Ciena Corp.*............... 1,426 $17,041
Cisco Systems, Inc.*....... 91,886 1,775,238
Corning, Inc. ............. 24,481 357,912
Harris Corp. .............. 2,106 64,401
JDS Uniphase Corp.*........ 3,388 15,619
Juniper Networks, Inc.*.... 8,220 177,963
Motorola, Inc. ............ 35,840 198,195
QUALCOMM, Inc. ............ 25,967 1,098,923
Tellabs, Inc.*............. 6,234 32,666
------------
TOTAL COMMUNICATIONS EQUIPMENT 3,737,958
------------
COMPUTERS & PERIPHERALS 4.3%
Apple, Inc.*............... 14,021 1,764,262
Dell, Inc.*................ 27,243 316,564
EMC Corp.*................. 31,679 396,938
Hewlett-Packard Co. ....... 37,722 1,357,238
International Business
Machines Corp. ......... 21,119 2,179,692
Lexmark International,
Inc. -- Class A*........ 1,222 23,976
NetApp, Inc.*.............. 5,200 95,160
QLogic Corp.*.............. 1,902 26,970
SanDisk Corp.*............. 3,556 55,900
Sun Microsystems, Inc.*.... 11,721 107,364
Teradata Corp.*............ 2,722 45,512
------------
TOTAL COMPUTERS & PERIPHERALS 6,369,576
------------
CONSTRUCTION & ENGINEERING 0.1%
Fluor Corp. ............... 2,856 108,157
Jacobs Engineering Group,
Inc.*................... 1,932 73,493
------------
TOTAL CONSTRUCTION & ENGINEERING 181,650
------------
CONSTRUCTION MATERIALS 0.1%
Vulcan Materials Co. ...... 1,738 82,642
------------
TOTAL CONSTRUCTION MATERIALS 82,642
------------
CONSUMER FINANCE 0.5%
American Express Co. ...... 18,437 464,981
Capital One Financial
Corp. .................. 6,164 103,185
Discover Financial
Services................ 7,580 61,625
SLM Corp.*................. 7,356 35,530
------------
TOTAL CONSUMER FINANCE 665,321
------------
CONTAINERS & PACKAGING 0.2%
Ball Corp. ................ 1,480 55,825
Bemis Co., Inc. ........... 1,570 37,743
Owens-Illinois, Inc.*...... 2,638 64,341
Pactiv Corp.*.............. 2,066 45,163
Sealed Air Corp. .......... 2,478 47,231
------------
TOTAL CONTAINERS & PACKAGING 250,303
------------
DISTRIBUTORS 0.1%
Genuine Parts Co. ......... 2,508 85,172
------------
TOTAL DISTRIBUTORS 85,172
------------
DIVERSIFIED CONSUMER SERVICES 0.1%
Apollo Group, Inc. -- Class
A*...................... 1,684 106,008
H&R Block, Inc. ........... 5,344 80,908
------------
TOTAL DIVERSIFIED CONSUMER SERVICES 186,916
------------
DIVERSIFIED FINANCIAL SERVICES 2.5%
Bank of America Corp. ..... 100,772 899,894
CIT Group, Inc. ........... 6,114 13,573
Citigroup, Inc. ........... 86,208 262,935
CME Group, Inc. ........... 1,048 231,975
IntercontinentalExchange,
Inc.*................... 1,142 100,039
JPMorgan Chase & Co. ...... 59,159 1,952,247
Leucadia National Corp.*... 2,856 60,633
Moody's Corp. ............. 3,000 88,560
Nasdaq OMX Group (The)*.... 2,166 41,652
NYSE Euronext.............. 4,078 94,487
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 3,745,995
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 2.8%
AT&T, Inc. ................ 92,780 2,377,024
CenturyTel, Inc. .......... 1,580 42,897
Embarq Corp. .............. 2,240 81,894
Frontier Communications
Corp. .................. 4,902 34,853
Qwest Communications
International, Inc. .... 23,135 89,995
Verizon Communications,
Inc. ................... 44,716 1,356,684
Windstream Corp. .......... 6,944 57,635
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 4,040,982
------------
ELECTRIC UTILITIES 1.9%
Allegheny Energy, Inc. .... 2,662 68,999
American Electric Power
Co., Inc. .............. 7,336 193,524
Duke Energy Corp. ......... 20,165 278,479
Edison International....... 5,126 146,142
Entergy Corp. ............. 2,980 193,015
Exelon Corp. .............. 10,366 478,184
FirstEnergy Corp. ......... 4,798 196,238
FPL Group, Inc. ........... 6,432 345,977
Northeast Utilities........ 2,712 57,006
Pepco Holdings, Inc. ...... 3,452 41,251
Pinnacle West Capital
Corp. .................. 1,584 43,370
PPL Corp. ................. 5,906 176,648
Progress Energy, Inc. ..... 4,336 147,944
Southern Co. .............. 12,243 353,578
------------
TOTAL ELECTRIC UTILITIES 2,720,355
------------
ELECTRICAL EQUIPMENT 0.4%
Cooper Industries,
Ltd. -- Class A......... 2,638 86,500
Emerson Electric Co. ...... 11,885 404,565
Rockwell Automation,
Inc. ................... 2,230 70,446
------------
TOTAL ELECTRICAL EQUIPMENT 561,511
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3%
Agilent Technologies,
Inc.*................... 5,538 101,124
Amphenol Corp. -- Class A.. 2,692 91,097
FLIR Systems, Inc.*........ 2,374 52,655
Jabil Circuit, Inc. ....... 3,368 27,281
Molex, Inc. ............... 2,186 36,441
Tyco Electronics, Ltd. .... 7,212 125,777
------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 434,375
------------
ENERGY EQUIPMENT & SERVICES 1.4%
Baker Hughes, Inc. ........ 4,868 173,203
BJ Services Co. ........... 4,594 63,811
Cameron International
Corp.*.................. 3,412 87,279
Diamond Offshore Drilling,
Inc. ................... 1,098 79,506
ENSCO International,
Inc. ................... 2,230 63,064
Halliburton Co. ........... 14,125 285,608
Nabors Industries, Ltd.*... 4,450 67,685
National-Oilwell Varco,
Inc.*................... 6,566 198,818
Rowan Cos., Inc. .......... 1,778 27,755
Schlumberger, Ltd. ........ 18,829 922,433
Smith International,
Inc. ................... 3,452 89,234
------------
TOTAL ENERGY EQUIPMENT & SERVICES 2,058,396
------------
</Table>
See Notes to Financial Statements.
18
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING 2.7%
Costco Wholesale Corp. .... 6,820 $331,452
CVS Caremark Corp. ........ 22,917 728,302
Kroger Co.(The)............ 10,272 222,081
Safeway, Inc. ............. 6,750 133,313
SUPERVALU, Inc. ........... 3,338 54,576
Sysco Corp. ............... 9,278 216,456
Wal-Mart Stores, Inc. ..... 35,194 1,773,778
Walgreen Co. .............. 15,531 488,139
Whole Foods Market, Inc. .. 2,210 45,813
------------
TOTAL FOOD & STAPLES RETAILING 3,993,910
------------
FOOD PRODUCTS 1.4%
Archer-Daniels-Midland
Co. .................... 10,108 248,859
Campbell Soup Co. ......... 3,224 82,921
ConAgra Foods, Inc. ....... 7,038 124,573
Dean Foods Co.*............ 2,434 50,384
General Mills, Inc. ....... 5,166 261,865
H.J. Heinz Co. ............ 4,952 170,448
Hershey Co.(The)........... 2,608 94,253
Hormel Foods Corp. ........ 1,098 34,356
J.M. Smucker Co.(The)...... 1,868 73,599
Kellogg Co. ............... 3,974 167,345
Kraft Foods, Inc. -- Class
A....................... 23,125 541,125
McCormick & Co., Inc. ..... 2,046 60,255
Sara Lee Corp. ............ 10,951 91,112
Tyson Foods, Inc. -- Class
A....................... 4,758 50,149
------------
TOTAL FOOD PRODUCTS 2,051,244
------------
GAS UTILITIES 0.1%
EQT Corp. ................. 2,056 69,143
Nicor, Inc. ............... 710 22,820
Questar Corp. ............. 2,732 81,195
------------
TOTAL GAS UTILITIES 173,158
------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.8%
Baxter International,
Inc. ................... 9,666 468,801
Becton, Dickinson & Co. ... 3,770 228,010
Boston Scientific Corp.*... 23,647 198,871
C.R. Bard, Inc. ........... 1,570 112,459
Covidien, Ltd. ............ 7,932 261,597
Dentsply International,
Inc. ................... 2,334 66,799
Hospira, Inc.*............. 2,508 82,438
Intuitive Surgical, Inc.*.. 616 88,538
Medtronic, Inc. ........... 17,607 563,424
St Jude Medical, Inc.*..... 5,454 182,818
Stryker Corp. ............. 3,740 144,775
Varian Medical Systems,
Inc.*................... 1,962 65,472
Zimmer Holdings, Inc.*..... 3,512 154,493
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,618,495
------------
HEALTH CARE PROVIDERS & SERVICES 1.7%
Aetna, Inc. ............... 7,138 157,107
AmerisourceBergen Corp. ... 2,394 80,534
Cardinal Health, Inc. ..... 5,672 191,657
CIGNA Corp. ............... 4,272 84,201
Coventry Health Care,
Inc.*................... 2,334 37,134
DaVita, Inc.*.............. 1,634 75,769
Express Scripts, Inc.*..... 3,894 249,099
Humana, Inc.*.............. 2,652 76,325
Laboratory Corp. of America
Holdings*............... 1,704 109,312
McKesson Corp. ............ 4,306 159,322
Medco Health Solutions,
Inc.*................... 7,734 336,816
Patterson Cos., Inc.*...... 1,440 29,462
Quest Diagnostics, Inc. ... 2,434 124,937
Tenet Healthcare Corp.*.... 6,542 14,720
UnitedHealth Group, Inc. .. 19,137 450,102
WellPoint, Inc.*........... 7,848 335,580
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,512,077
------------
HEALTH CARE TECHNOLOGY 0.0%(A)
IMS Health, Inc. .......... 2,856 35,871
------------
TOTAL HEALTH CARE TECHNOLOGY 35,871
------------
HOTELS, RESTAURANTS & LEISURE 1.3%
Carnival Corp. ............ 6,894 185,311
Darden Restaurants, Inc. .. 2,156 79,707
International Game
Technology.............. 4,654 57,477
Marriott International,
Inc. -- Class A......... 4,624 108,941
McDonald's Corp. .......... 17,533 934,334
Starbucks Corp.*........... 11,567 167,259
Starwood Hotels & Resorts
Worldwide, Inc. ........ 2,876 59,993
Wyndham Worldwide Corp. ... 2,796 32,657
Wynn Resorts Ltd.*......... 1,048 41,113
Yum! Brands, Inc. ......... 7,242 241,521
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,908,313
------------
HOUSEHOLD DURABLES 0.4%
Black & Decker Corp. ...... 944 38,043
Centex Corp. .............. 1,962 21,464
D.R. Horton, Inc. ......... 4,336 56,585
Fortune Brands, Inc. ...... 2,364 92,929
Harman International
Industries, Inc. ....... 924 16,807
KB HOME.................... 1,182 21,359
Leggett & Platt, Inc. ..... 2,474 35,527
Lennar Corp. -- Class A.... 2,220 21,623
Newell Rubbermaid, Inc. ... 4,366 45,625
Pulte Homes, Inc. ......... 3,378 38,881
Snap-on, Inc. ............. 904 30,664
Stanley Works(The)......... 1,242 47,233
Whirlpool Corp. ........... 1,152 52,024
------------
TOTAL HOUSEHOLD DURABLES 518,764
------------
HOUSEHOLD PRODUCTS 2.2%
Clorox Co. ................ 2,190 122,750
Colgate-Palmolive Co. ..... 7,898 465,982
Kimberly-Clark Corp. ...... 6,512 320,000
Procter & Gamble Co. ...... 46,142 2,281,260
------------
TOTAL HOUSEHOLD PRODUCTS 3,189,992
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1%
AES Corp.(The)*............ 10,490 74,164
Constellation Energy Group,
Inc. ................... 3,134 75,467
Dynegy, Inc. -- Class A*... 7,972 14,190
------------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 163,821
------------
INDUSTRIAL CONGLOMERATES 1.9%
3M Co. .................... 10,921 629,050
General Electric Co. ...... 166,249 2,103,050
Textron, Inc. ............. 4,150 44,529
------------
TOTAL INDUSTRIAL CONGLOMERATES 2,776,629
------------
INSURANCE 1.9%
AFLAC, Inc. ............... 7,356 212,515
Allstate Corp. ............ 8,444 196,998
American International
Group, Inc. ............ 42,362 58,460
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 19
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS (CONTINUED)
Aon Corp. ................. 4,306 $181,713
Assurant, Inc. ............ 1,858 45,409
Chubb Corp. ............... 5,548 216,095
Cincinnati Financial
Corp. .................. 2,558 61,264
Genworth Financial,
Inc. -- Class A......... 6,820 16,095
Hartford Financial Services
Group, Inc. ............ 5,116 58,680
Lincoln National Corp. .... 4,028 45,275
Loews Corp. ............... 5,682 141,425
Marsh & McLennan Cos.,
Inc. ................... 8,106 170,956
MBIA, Inc.*................ 2,692 12,733
MetLife, Inc. ............. 12,873 382,972
Principal Financial Group,
Inc. ................... 4,088 66,798
Progressive Corp.*......... 10,654 162,793
Prudential Financial,
Inc. ................... 6,676 192,803
Torchmark Corp. ........... 1,326 38,892
Travelers Cos., Inc.(The).. 9,204 378,653
Unum Group................. 5,210 85,131
XL Capital, Ltd. -- Class
A....................... 5,384 51,202
------------
TOTAL INSURANCE 2,776,862
------------
INTERNET & CATALOG RETAIL 0.3%
Amazon.com, Inc.*.......... 5,056 407,109
Expedia, Inc.*............. 3,298 44,886
------------
TOTAL INTERNET & CATALOG RETAIL 451,995
------------
INTERNET SOFTWARE & SERVICES 1.5%
Akamai Technologies,
Inc.*................... 2,682 59,058
eBay, Inc.*................ 16,961 279,348
Google, Inc. -- Class A*... 3,770 1,492,807
VeriSign, Inc.*............ 3,030 62,357
Yahoo!, Inc.*.............. 21,943 313,565
------------
TOTAL INTERNET SOFTWARE & SERVICES 2,207,135
------------
IT SERVICES 0.9%
Affiliated Computer
Services, Inc. -- Class
A*...................... 1,540 74,505
Automatic Data Processing,
Inc. ................... 7,952 279,910
Cognizant Technology
Solutions Corp. -- Class
A*...................... 4,594 113,885
Computer Sciences Corp.*... 2,384 88,113
Convergys Corp.*........... 1,922 19,431
Fidelity National
Information Services,
Inc. ................... 3,010 53,729
Fiserv, Inc.*.............. 2,454 91,583
Mastercard, Inc. -- Class
A....................... 1,142 209,500
Paychex, Inc. ............. 5,056 136,563
Total System Services,
Inc. ................... 3,104 38,707
Western Union Co. ......... 11,176 187,198
------------
TOTAL IT SERVICES 1,293,124
------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Eastman Kodak Co. ......... 4,222 12,877
Hasbro, Inc. .............. 1,952 52,040
Mattel, Inc. .............. 5,648 84,494
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 149,411
------------
LIFE SCIENCES TOOLS & SERVICES 0.3%
Life Technologies Corp.*... 2,742 102,277
Millipore Corp.*........... 874 51,653
PerkinElmer, Inc. ......... 1,828 26,634
Thermo Fisher Scientific
Inc.*................... 6,586 231,037
Waters Corp.*.............. 1,530 67,580
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 479,181
------------
MACHINERY 1.3%
Caterpillar, Inc. ......... 9,472 337,014
Cummins, Inc. ............. 3,174 107,916
Danaher Corp. ............. 4,008 234,227
Deere & Co. ............... 6,656 274,626
Dover Corp. ............... 2,936 90,370
Eaton Corp. ............... 2,598 113,792
Flowserve Corp. ........... 884 60,024
Illinois Tool Works,
Inc. ................... 6,050 198,440
Ingersoll-Rand Co.,
Ltd. -- Class A......... 5,022 109,329
Manitowoc Co., Inc. ....... 2,046 12,174
PACCAR, Inc. .............. 5,712 202,433
Pall Corp. ................ 1,858 49,070
Parker-Hannifin Corp. ..... 2,528 114,645
------------
TOTAL MACHINERY 1,904,060
------------
MEDIA 2.2%
CBS Corp. -- Class B....... 10,694 75,286
Comcast Corp. -- Class A... 45,352 701,142
DIRECTV Group, Inc.(The)*.. 8,330 206,001
Gannett Co., Inc. ......... 3,596 14,060
Interpublic Group of Cos.,
Inc.*................... 7,500 46,950
McGraw-Hill Cos., Inc. .... 4,952 149,303
Meredith Corp. ............ 566 14,195
New York Times Co. -- Class
A....................... 1,838 9,888
News Corp. -- Class A...... 36,202 299,029
Omnicom Group, Inc. ....... 4,892 153,951
Scripps Networks
Interactive -- Class A.. 1,426 39,129
Time Warner Cable, Inc. ... 5,548 178,812
Time Warner, Inc. ......... 18,829 411,037
Viacom, Inc. -- Class B*... 9,552 183,781
Walt Disney Co.(The)....... 29,225 640,028
Washington Post
Co. -- Class B.......... 94 39,347
------------
TOTAL MEDIA 3,161,939
------------
METALS & MINING 0.7%
AK Steel Holding Corp. .... 1,748 22,742
Alcoa, Inc. ............... 14,965 135,733
Allegheny Technologies,
Inc. ................... 1,540 50,404
Freeport-McMoRan Copper &
Gold, Inc. ............. 6,482 276,457
Newmont Mining Corp. ...... 7,704 310,009
Nucor Corp. ............... 4,942 201,090
Titanium Metals Corp. ..... 1,336 9,071
United States Steel
Corp. .................. 2,218 58,888
------------
TOTAL METALS & MINING 1,064,394
------------
MULTI-UTILITIES 1.2%
Ameren Corp. .............. 3,348 77,071
CenterPoint Energy, Inc. .. 5,474 58,243
CMS Energy Corp. .......... 3,566 42,863
Consolidated Edison,
Inc. ................... 4,306 159,882
Dominion Resources, Inc. .. 9,184 276,989
DTE Energy Co. ............ 2,568 75,936
Integrys Energy Group,
Inc. ................... 1,202 31,745
NiSource, Inc. ............ 4,316 47,433
PG&E Corp. ................ 5,762 213,885
Public Service Enterprise
Group, Inc. ............ 7,962 237,586
SCANA Corp. ............... 1,902 57,478
Sempra Energy.............. 3,830 176,257
TECO Energy, Inc. ......... 3,358 35,561
Wisconsin Energy Corp. .... 1,838 73,447
Xcel Energy, Inc. ......... 7,158 131,994
------------
TOTAL MULTI-UTILITIES 1,696,370
------------
</Table>
See Notes to Financial Statements.
20
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL 0.8%
Big Lots, Inc.*............ 1,286 $35,545
Family Dollar Stores,
Inc. ................... 2,200 73,018
J.C. Penney Co., Inc. ..... 3,502 107,476
Kohl's Corp.*.............. 4,798 217,589
Macy's, Inc. .............. 6,616 90,507
Nordstrom, Inc. ........... 2,508 56,756
Sears Holdings Corp.*...... 864 53,974
Target Corp. .............. 11,845 488,725
------------
TOTAL MULTILINE RETAIL 1,123,590
------------
OFFICE ELECTRONICS 0.1%
Xerox Corp. ............... 13,619 83,212
------------
TOTAL OFFICE ELECTRONICS 83,212
------------
OIL, GAS & CONSUMABLE FUELS 8.8%
Anadarko Petroleum Corp. .. 7,242 311,841
Apache Corp. .............. 5,270 383,972
Cabot Oil & Gas Corp. ..... 1,624 49,029
Chesapeake Energy Corp. ... 8,846 174,355
Chevron Corp. ............. 31,559 2,086,050
ConocoPhillips............. 23,299 955,259
CONSOL Energy, Inc. ....... 2,846 89,023
Denbury Resources, Inc.*... 3,914 63,720
Devon Energy Corp. ........ 6,994 362,639
El Paso Corp. ............. 11,001 75,907
EOG Resources, Inc. ....... 3,934 249,730
Exxon Mobil Corp. ......... 77,795 5,186,593
Hess Corp. ................ 4,460 244,363
Marathon Oil Corp. ........ 11,136 330,739
Massey Energy Co. ......... 1,346 21,415
Murphy Oil Corp. .......... 3,000 143,130
Noble Energy, Inc. ........ 2,722 154,473
Occidental Petroleum
Corp. .................. 12,749 717,641
Peabody Energy Corp. ...... 4,212 111,155
Pioneer Natural Resources
Co. .................... 1,818 42,032
Range Resources Corp. ..... 2,464 98,486
Southwestern Energy Co.*... 5,414 194,146
Spectra Energy Corp. ...... 10,128 146,856
Sunoco, Inc. .............. 1,838 48,725
Tesoro Corp. .............. 2,186 33,336
Valero Energy Corp. ....... 8,126 161,220
Williams Cos., Inc. ....... 9,114 128,507
XTO Energy, Inc. .......... 9,124 316,238
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 12,880,580
------------
PAPER & FOREST PRODUCTS 0.2%
International Paper Co. ... 6,730 85,202
MeadWestvaco Corp. ........ 2,692 42,157
Weyerhaeuser Co. .......... 3,328 117,345
------------
TOTAL PAPER & FOREST PRODUCTS 244,704
------------
PERSONAL PRODUCTS 0.1%
Avon Products, Inc. ....... 6,710 152,720
Estee Lauder Cos.,
Inc -- Class A.......... 1,828 54,657
------------
TOTAL PERSONAL PRODUCTS 207,377
------------
PHARMACEUTICALS 5.9%
Abbott Laboratories........ 24,327 1,018,085
Allergan, Inc. ............ 4,838 225,741
Bristol-Myers Squibb Co. .. 31,167 598,406
Eli Lilly & Co. ........... 15,913 523,856
Forest Laboratories,
Inc.*................... 4,748 102,984
Johnson & Johnson, Inc. ... 43,544 2,279,964
King Pharmaceuticals,
Inc.*................... 3,884 30,606
Merck & Co., Inc. ......... 33,179 804,259
Mylan Inc.*................ 4,798 63,574
Pfizer, Inc. .............. 106,185 1,418,632
Schering-Plough Corp. ..... 25,599 589,289
Watson Pharmaceuticals,
Inc.*................... 1,644 50,865
Wyeth...................... 20,965 888,916
------------
TOTAL PHARMACEUTICALS 8,595,177
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.8%
Apartment Investment &
Management Co. -- Class
A....................... 1,848 13,490
AvalonBay Communities,
Inc. ................... 1,262 71,694
Boston Properties, Inc. ... 1,912 94,491
Equity Residential......... 4,296 98,336
HCP, Inc. ................. 3,998 87,756
Health Care REIT, Inc. .... 1,738 59,214
Host Hotels & Resorts,
Inc. ................... 9,308 71,579
Kimco Realty Corp. ........ 4,902 58,922
Plum Creek Timber Co.,
Inc. ................... 2,598 89,683
ProLogis................... 6,606 60,181
Public Storage, Inc. ...... 1,972 131,848
Simon Property Group,
Inc. ................... 3,964 204,542
Ventas, Inc. .............. 2,464 70,569
Vornado Realty Trust....... 2,424 118,509
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,230,814
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.0%(A)
CB Richard Ellis Group,
Inc. -- Class A*........ 3,536 26,520
------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 26,520
------------
ROAD & RAIL 0.7%
Burlington Northern Santa
Fe Corp. ............... 4,386 295,967
CSX Corp. ................. 6,288 186,062
Norfolk Southern Corp. .... 5,772 205,945
Ryder System, Inc. ........ 874 24,201
Union Pacific Corp. ....... 7,922 389,287
------------
TOTAL ROAD & RAIL 1,101,462
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.0%
Advanced Micro Devices,
Inc.*................... 8,806 31,790
Altera Corp. .............. 4,614 75,254
Analog Devices, Inc. ...... 4,590 97,675
Applied Materials, Inc. ... 20,925 255,494
Broadcom Corp. -- Class
A*...................... 6,696 155,280
Intel Corp. ............... 87,554 1,381,602
KLA-Tencor Corp. .......... 2,672 74,121
Linear Technology Corp. ... 3,492 76,056
LSI Corp.*................. 10,202 39,176
MEMC Electronic Materials,
Inc.*................... 3,522 57,057
Microchip Technology,
Inc. ................... 2,866 65,918
Micron Technology, Inc.*... 12,973 63,308
National Semiconductor
Corp. .................. 3,070 37,976
Novellus Systems, Inc.*.... 1,530 27,632
NVIDIA Corp.*.............. 8,454 97,052
Teradyne, Inc.*............ 2,722 16,169
Texas Instruments, Inc. ... 20,101 363,024
Xilinx, Inc. .............. 4,316 88,219
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 3,002,803
------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 21
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE 3.3%
Adobe Systems, Inc.*....... 8,250 $225,637
Autodesk, Inc.*............ 3,556 70,907
BMC Software, Inc.*........ 2,906 100,751
CA, Inc. .................. 6,214 107,192
Citrix Systems, Inc.*...... 2,836 80,911
Compuware Corp.*........... 3,884 29,052
Electronic Arts, Inc.*..... 5,066 103,093
Intuit, Inc.*.............. 5,056 116,945
McAfee, Inc.*.............. 2,424 90,997
Microsoft Corp. ........... 120,365 2,438,595
Novell, Inc.*.............. 5,424 20,394
Oracle Corp. .............. 60,371 1,167,575
Salesforce.com, Inc.*...... 1,664 71,236
Symantec Corp.*............ 12,923 222,922
------------
TOTAL SOFTWARE 4,846,207
------------
SPECIALTY RETAIL 1.8%
Abercrombie & Fitch
Co. -- Class A.......... 1,376 37,235
AutoNation, Inc.*.......... 1,704 30,178
AutoZone, Inc.*............ 596 99,168
Bed Bath & Beyond, Inc.*... 4,088 124,357
Best Buy Co., Inc. ........ 5,340 204,949
GameStop Corp. -- Class
A*...................... 2,578 77,753
Gap, Inc.(The)............. 7,336 114,001
Home Depot, Inc. .......... 26,697 702,665
Limited Brands, Inc. ...... 4,262 48,672
Lowe's Cos., Inc. ......... 23,071 496,027
O'Reilly Automotive,
Inc.*................... 2,126 82,595
Office Depot, Inc.*........ 4,326 11,204
RadioShack Corp. .......... 1,972 27,766
Sherwin-Williams Co.(The).. 1,550 87,792
Staples, Inc. ............. 11,229 231,542
Tiffany & Co. ............. 1,942 56,201
TJX Cos., Inc. ............ 6,556 183,371
------------
TOTAL SPECIALTY RETAIL 2,615,476
------------
TEXTILES, APPAREL & LUXURY GOODS 0.4%
Coach, Inc.*............... 5,056 123,872
NIKE, Inc. -- Class B...... 6,100 320,067
Polo Ralph Lauren Corp. ... 884 47,595
V.F. Corp. ................ 1,386 82,148
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 573,682
------------
THRIFTS & MORTGAGE FINANCE 0.1%
Hudson City Bancorp,
Inc. ................... 8,220 103,243
People's United Financial,
Inc. ................... 5,484 85,660
------------
TOTAL THRIFTS & MORTGAGE FINANCE 188,903
------------
TOBACCO 1.3%
Altria Group, Inc. ........ 32,523 531,101
Lorillard, Inc. ........... 2,642 166,789
Philip Morris
International, Inc. .... 31,549 1,142,074
Reynolds American, Inc. ... 2,662 101,103
------------
TOTAL TOBACCO 1,941,067
------------
TRADING COMPANIES & DISTRIBUTORS 0.1%
Fastenal Co. .............. 2,036 78,101
W.W. Grainger, Inc. ....... 998 83,712
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 161,813
------------
WIRELESS TELECOMMUNICATION SERVICES 0.3%
American Tower
Corp. -- Class A*....... 6,248 198,437
Sprint Nextel Corp.*....... 45,098 196,627
------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 395,064
------------
TOTAL COMMON STOCKS
(Cost $118,825,878) 119,416,616
------------
<Caption>
FACE
AMOUNT
- --------------------------------------------------------
REPURCHASE AGREEMENTS 6.0%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at
$8,806,022 on 05/01/09
collateralized by
$8,640,000 FNMA at
4.750% due 03/12/10 with
a value of $8,984,736... $8,806,000 8,806,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $8,806,000) 8,806,000
------------
TOTAL INVESTMENTS 87.4%
(Cost $127,631,878) 128,222,616
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--12.6% 18,555,829
------------
NET ASSETS--100.0% $146,778,445
- --------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
- --------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2009 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$127,977,000)........... 2,942 $18,519,551
------------
<Caption>
UNITS
- --------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Goldman Sachs International
May 2009
S&P 500 Index Swap,
Terminating 05/07/09
(Notional Market Value
$45,877,407)**.......... 52,563 $1,907,462
- --------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P 500 Index +/- financing at a variable rate.
(a) Amount represents less than 0.05% of net assets.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
22
RYDEX INVERSE 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ---------------------------------------------------------
REPURCHASE AGREEMENTS 73.0%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at
$71,173,178 on 05/01/09
collateralized by
$69,815,000 FNMA at
4.750% due 03/12/10 with
a value of $72,600,619.. $71,173,000 $71,173,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $71,173,000) 71,173,000
------------
TOTAL INVESTMENTS 73.0%
(Cost $71,173,000) 71,173,000
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--27.0% 26,380,695
------------
NET ASSETS--100.0% $97,553,695
- ---------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
- ---------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2009 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$36,279,000)............ 834 $(3,459,275)
------------
<Caption>
UNITS
- ---------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Goldman Sachs International
May 2009
S&P 500 Index Swap,
Terminating 05/07/09
(Notional Market
Value $158,256,024)*.... 181,318 $(7,472,482)
- ---------------------------------------------------------
</Table>
* Price return based on S&P 500 Index +/- financing at a variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 23
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 83.9%
AEROSPACE & DEFENSE 0.4%
Alliant Techsystems, Inc.*.. 410 $32,657
BE Aerospace, Inc.*......... 1,270 13,703
-----------
TOTAL AEROSPACE & DEFENSE 46,360
-----------
AIRLINES 0.3%
Airtran Holdings, Inc.*..... 1,500 10,425
Alaska Air Group, Inc.*..... 460 7,719
JetBlue Airways Corp.*...... 2,310 11,388
-----------
TOTAL AIRLINES 29,532
-----------
AUTO COMPONENTS 0.6%
BorgWarner, Inc. ........... 1,450 41,978
Gentex Corp. ............... 1,730 23,130
-----------
TOTAL AUTO COMPONENTS 65,108
-----------
AUTOMOBILES 0.1%
Thor Industries, Inc. ...... 450 10,346
-----------
TOTAL AUTOMOBILES 10,346
-----------
BEVERAGES 0.5%
Hansen Natural Corp.*....... 910 37,092
PepsiAmericas, Inc. ........ 720 17,690
-----------
TOTAL BEVERAGES 54,782
-----------
BIOTECHNOLOGY 1.1%
OSI Pharmaceuticals, Inc.*.. 730 24,506
United Therapeutics Corp.*.. 290 18,215
Vertex Pharmaceuticals,
Inc.*.................... 2,170 66,879
-----------
TOTAL BIOTECHNOLOGY 109,600
-----------
BUILDING PRODUCTS 0.2%
Lennox International,
Inc. .................... 590 18,815
-----------
TOTAL BUILDING PRODUCTS 18,815
-----------
CAPITAL MARKETS 1.7%
Affiliated Managers Group,
Inc.*.................... 520 29,562
Apollo Investment Corp. .... 1,790 8,592
Eaton Vance Corp. .......... 1,470 40,234
Jefferies Group, Inc. ...... 1,540 30,138
Raymond James Financial,
Inc. .................... 1,230 19,299
SEI Investments Co. ........ 1,680 23,570
Waddell & Reed Financial,
Inc. -- Class A.......... 1,070 23,978
-----------
TOTAL CAPITAL MARKETS 175,373
-----------
CHEMICALS 3.2%
Airgas, Inc. ............... 1,020 43,982
Albemarle Corp. ............ 1,150 30,843
Ashland, Inc. .............. 830 18,227
Cabot Corp. ................ 820 11,972
Cytec Industries, Inc. ..... 590 11,717
FMC Corp. .................. 910 44,344
Lubrizol Corp. ............. 850 36,737
Minerals Technologies,
Inc. .................... 230 8,554
Olin Corp. ................. 970 12,222
RPM International, Inc. .... 1,610 22,250
Scotts Miracle-Gro
Co.(The) -- Class A...... 550 18,574
Sensient Technologies
Corp. ................... 610 14,262
Terra Industries, Inc. ..... 1,250 33,125
Valspar Corp. .............. 1,260 30,240
-----------
TOTAL CHEMICALS 337,049
-----------
COMMERCIAL BANKS 3.1%
Associated Banc-Corp. ...... 1,610 24,907
Bancorpsouth, Inc. ......... 910 21,158
Bank of Hawaii Corp. ....... 600 21,084
Cathay General Bancorp...... 620 6,956
City National Corp. ........ 510 18,666
Colonial BancGroup, Inc. ... 2,540 1,930
Commerce Bancshares
Inc/Kansas City MO....... 830 27,473
Cullen/Frost Bankers,
Inc. .................... 750 35,317
FirstMerit Corp. ........... 1,020 19,798
Fulton Financial Corp. ..... 2,200 14,542
International Bancshares
Corp. ................... 640 8,646
PacWest Bancorp............. 310 4,517
SVB Financial Group*........ 410 8,512
Synovus Financial Corp. .... 3,530 11,402
TCF Financial Corp. ........ 1,410 19,613
Trustmark Corp. ............ 610 13,261
Valley National Bancorp..... 1,700 24,599
Webster Financial Corp. .... 660 3,452
Westamerica Bancorp......... 360 19,307
Wilmington Trust Corp. ..... 870 12,624
-----------
TOTAL COMMERCIAL BANKS 317,764
-----------
COMMERCIAL SERVICES & SUPPLIES 2.7%
Brink's Co.(The)............ 510 14,459
Clean Harbors, Inc.*........ 250 12,525
Copart, Inc.*............... 790 24,798
Corporate Executive Board
Co.(The)................. 430 7,430
Corrections Corp. of
America*................. 1,510 21,336
Deluxe Corp. ............... 640 9,280
FTI Consulting, Inc.*....... 640 35,123
Herman Miller, Inc. ........ 670 9,963
HNI Corp. .................. 560 8,680
Kelly Services,
Inc. -- Class A.......... 340 3,862
Korn/Ferry International*... 560 5,930
Manpower, Inc. ............. 980 42,228
Mine Safety Appliances
Co. ..................... 370 9,121
MPS Group, Inc.*............ 1,140 9,166
Navigant Consulting, Inc.*.. 590 8,679
Rollins, Inc. .............. 520 9,360
Waste Connections, Inc.*.... 1,000 25,780
Watson Wyatt Worldwide,
Inc. -- Class A.......... 530 28,117
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 285,837
-----------
COMMUNICATIONS EQUIPMENT 1.4%
3Com Corp.*................. 4,860 19,683
ADC Telecommunications,
Inc.*.................... 1,210 8,906
Adtran, Inc. ............... 690 14,593
Avocent Corp.*.............. 570 8,231
CommScope, Inc.*............ 910 22,841
F5 Networks, Inc.*.......... 1,000 27,270
Palm, Inc.*................. 1,680 17,623
Plantronics, Inc. .......... 610 7,771
Polycom, Inc.*.............. 1,050 19,572
-----------
TOTAL COMMUNICATIONS EQUIPMENT 146,490
-----------
COMPUTERS & PERIPHERALS 1.1%
Diebold, Inc. .............. 830 21,937
Imation Corp. .............. 380 3,800
NCR Corp.*.................. 1,990 20,198
Western Digital Corp.*...... 2,790 65,621
-----------
TOTAL COMPUTERS & PERIPHERALS 111,556
-----------
</Table>
See Notes to Financial Statements.
24
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING 2.1%
Aecom Technology Corp.*..... 1,140 $29,332
Dycom Industries, Inc.*..... 500 4,210
Granite Construction,
Inc. .................... 410 16,175
KBR, Inc. .................. 2,030 31,709
Quanta Services, Inc.*...... 2,450 55,688
Shaw Group, Inc.(The)*...... 1,050 35,206
URS Corp.*.................. 1,070 47,144
-----------
TOTAL CONSTRUCTION & ENGINEERING 219,464
-----------
CONSTRUCTION MATERIALS 0.4%
Martin Marietta Materials,
Inc. .................... 520 43,696
-----------
TOTAL CONSTRUCTION MATERIALS 43,696
-----------
CONSUMER FINANCE 0.2%
AmeriCredit Corp.*.......... 1,650 16,781
-----------
TOTAL CONSUMER FINANCE 16,781
-----------
CONTAINERS & PACKAGING 1.1%
AptarGroup, Inc. ........... 850 26,376
Greif, Inc. -- Class A...... 430 19,466
Packaging Corp. of America.. 1,290 20,472
Sonoco Products Co. ........ 1,250 30,512
Temple-Inland, Inc. ........ 1,340 16,000
-----------
TOTAL CONTAINERS & PACKAGING 112,826
-----------
DISTRIBUTORS 0.3%
LKQ Corp.*.................. 1,760 29,885
-----------
TOTAL DISTRIBUTORS 29,885
-----------
DIVERSIFIED CONSUMER SERVICES 2.0%
Brink's Home Security
Holdings, Inc.*.......... 510 13,556
Career Education Corp.*..... 920 20,277
Corinthian Colleges, Inc.*.. 1,080 16,632
DeVry, Inc. ................ 770 32,771
ITT Educational Services,
Inc.*.................... 390 39,300
Matthews International
Corp. -- Class A......... 390 12,215
Regis Corp. ................ 540 10,336
Service Corp.
International............ 3,210 14,541
Sotheby's................... 840 9,752
Strayer Education, Inc. .... 180 34,094
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 203,474
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.1%
Cincinnati Bell, Inc.*...... 2,860 7,979
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 7,979
-----------
ELECTRIC UTILITIES 1.5%
Cleco Corp. ................ 760 16,028
DPL, Inc. .................. 1,460 32,748
Great Plains Energy, Inc. .. 1,500 21,705
Hawaiian Electric
Industries, Inc. ........ 1,140 17,716
IDACORP, Inc. .............. 590 14,142
NV Energy, Inc. ............ 2,940 30,135
Westar Energy, Inc. ........ 1,360 23,841
-----------
TOTAL ELECTRIC UTILITIES 156,315
-----------
ELECTRICAL EQUIPMENT 1.5%
AMETEK, Inc. ............... 1,340 43,162
Hubbell, Inc. -- Class B.... 710 23,572
Roper Industries, Inc. ..... 1,130 51,517
Thomas & Betts Corp.*....... 670 20,850
Woodward Governor Co. ...... 690 13,772
-----------
TOTAL ELECTRICAL EQUIPMENT 152,873
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.0%
Arrow Electronics, Inc.*.... 1,500 34,110
Avnet, Inc.*................ 1,880 41,153
Ingram Micro, Inc. -- Class
A*....................... 2,030 29,475
Itron, Inc.*................ 460 21,160
National Instruments
Corp. ................... 700 15,428
Tech Data Corp.*............ 630 18,138
Trimble Navigation, Ltd.*... 1,500 32,160
Vishay Intertechnology,
Inc.*.................... 2,340 13,736
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 205,360
-----------
ENERGY EQUIPMENT & SERVICES 2.8%
Exterran Holdings, Inc.*.... 770 15,901
FMC Technologies, Inc.*..... 1,580 54,083
Helix Energy Solutions
Group, Inc.*............. 1,240 11,272
Helmerich & Payne, Inc. .... 1,320 40,682
Oceaneering International,
Inc.*.................... 690 31,443
Patterson-UTI Energy,
Inc. .................... 1,920 24,403
Pride International, Inc.*.. 2,180 49,486
Superior Energy Services,
Inc.*.................... 980 18,826
Tidewater, Inc. ............ 650 28,113
Unit Corp.*................. 590 16,101
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 290,310
-----------
FOOD & STAPLES RETAILING 0.3%
BJ's Wholesale Club, Inc.*.. 690 23,005
Ruddick Corp. .............. 490 12,573
-----------
TOTAL FOOD & STAPLES RETAILING 35,578
-----------
FOOD PRODUCTS 1.1%
Corn Products International,
Inc. .................... 940 22,466
Flowers Foods, Inc. ........ 990 22,869
Lancaster Colony Corp. ..... 250 10,950
Ralcorp Holdings, Inc.*..... 710 40,584
Smithfield Foods, Inc.*..... 1,490 12,874
Tootsie Roll Industries,
Inc. .................... 330 8,035
-----------
TOTAL FOOD PRODUCTS 117,778
-----------
GAS UTILITIES 1.7%
AGL Resources, Inc. ........ 970 30,235
Energen Corp. .............. 900 32,508
National Fuel Gas Co. ...... 1,000 32,710
Oneok, Inc. ................ 1,320 34,545
UGI Corp. .................. 1,360 31,198
WGL Holdings, Inc. ......... 630 19,618
-----------
TOTAL GAS UTILITIES 180,814
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 3.4%
Beckman Coulter, Inc. ...... 790 41,522
Edwards Lifesciences
Corp.*................... 700 44,366
Gen-Probe, Inc.*............ 660 31,786
Hill-Rom Holdings, Inc. .... 790 10,254
Hologic, Inc.*.............. 3,220 47,849
Idexx Laboratories, Inc.*... 740 29,082
Immucor, Inc.*.............. 880 14,335
Kinetic Concepts, Inc.*..... 690 17,084
Masimo Corp.*............... 610 17,629
ResMed, Inc.*............... 950 36,528
STERIS Corp. ............... 730 17,593
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Teleflex, Inc. ............. 500 $21,490
Thoratec Corp.*............. 710 20,633
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 350,151
-----------
HEALTH CARE PROVIDERS & SERVICES 2.7%
Community Health Systems,
Inc.*.................... 1,150 26,266
Health Management
Associates, Inc. -- Class
A*....................... 3,100 14,477
Health Net, Inc.*........... 1,300 18,772
Henry Schein, Inc.*......... 1,120 45,965
Kindred Healthcare, Inc.*... 380 4,948
LifePoint Hospitals, Inc.*.. 650 16,802
Lincare Holdings, Inc.*..... 930 22,441
Omnicare, Inc. ............. 1,310 33,680
Owens & Minor, Inc. ........ 520 18,034
Psychiatric Solutions,
Inc.*.................... 700 13,573
Universal Health Services,
Inc. -- Class B.......... 620 31,248
VCA Antech, Inc.*........... 1,060 26,521
WellCare Health Plans,
Inc.*.................... 530 7,955
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 280,682
-----------
HEALTH CARE TECHNOLOGY 0.4%
Cerner Corp.*............... 850 45,730
-----------
TOTAL HEALTH CARE TECHNOLOGY 45,730
-----------
HOTELS, RESTAURANTS & LEISURE 1.6%
Bob Evans Farms, Inc. ...... 390 9,457
Boyd Gaming Corp. .......... 710 6,525
Brinker International,
Inc. .................... 1,280 22,682
Cheesecake Factory,
Inc.(The)*............... 750 13,027
Chipotle Mexican Grill,
Inc. -- Class A*......... 410 33,247
International Speedway
Corp. -- Class A......... 350 8,288
Life Time Fitness, Inc.*.... 440 8,254
Panera Bread Co. -- Class
A*....................... 390 21,844
Scientific Games
Corp. -- Class A*........ 820 14,342
Wendy's/Arby's Group, Inc.-
Class A.................. 5,250 26,250
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 163,916
-----------
HOUSEHOLD DURABLES 1.5%
American Greetings
Corp. -- Class A......... 570 4,474
Blyth, Inc. ................ 80 3,526
MDC Holdings, Inc. ......... 460 15,723
Mohawk Industries, Inc.*.... 700 33,117
NVR, Inc.*.................. 70 35,376
Ryland Group, Inc. ......... 540 11,183
Toll Brothers, Inc.*........ 1,630 33,024
Tupperware Brands Corp. .... 790 19,774
-----------
TOTAL HOUSEHOLD DURABLES 156,197
-----------
HOUSEHOLD PRODUCTS 0.9%
Church & Dwight Co., Inc. .. 880 47,881
Energizer Holdings, Inc.*... 730 41,829
-----------
TOTAL HOUSEHOLD PRODUCTS 89,710
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1%
Black Hills Corp. .......... 490 9,741
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 9,741
-----------
INDUSTRIAL CONGLOMERATES 0.2%
Carlisle Cos., Inc. ........ 770 17,517
-----------
TOTAL INDUSTRIAL CONGLOMERATES 17,517
-----------
INSURANCE 4.0%
American Financial Group,
Inc. .................... 940 16,525
Arthur J. Gallagher & Co. .. 1,210 27,201
Brown & Brown, Inc. ........ 1,460 28,412
Everest Re Group, Ltd. ..... 770 57,473
Fidelity National Financial,
Inc. -- Class A.......... 2,900 52,577
First American Corp. ....... 1,170 32,854
Hanover Insurance Group,
Inc.(The)................ 640 19,187
HCC Insurance Holdings,
Inc. .................... 1,430 34,206
Horace Mann Educators
Corp. ................... 490 4,302
Mercury General Corp. ...... 450 15,201
Old Republic International
Corp. ................... 2,950 27,641
Protective Life Corp. ...... 880 7,542
Reinsurance Group of
America, Inc. ........... 910 28,929
StanCorp Financial Group,
Inc. .................... 610 16,732
Unitrin, Inc. .............. 620 10,540
W.R. Berkley Corp. ......... 1,740 41,603
-----------
TOTAL INSURANCE 420,925
-----------
INTERNET & CATALOG RETAIL 0.7%
NetFlix, Inc.*.............. 520 23,561
Priceline.com, Inc.*........ 510 49,516
-----------
TOTAL INTERNET & CATALOG RETAIL 73,077
-----------
INTERNET SOFTWARE & SERVICES 0.3%
Digital River, Inc.*........ 460 17,673
ValueClick, Inc.*........... 1,090 11,554
-----------
TOTAL INTERNET SOFTWARE & SERVICES 29,227
-----------
IT SERVICES 2.9%
Acxiom Corp. ............... 860 8,299
Alliance Data Systems
Corp.*................... 750 31,402
Broadridge Financial
Solutions, Inc. ......... 1,760 34,056
DST Systems, Inc.*.......... 510 18,447
Gartner, Inc.*.............. 740 9,997
Global Payments, Inc. ...... 1,010 32,381
Hewitt Associates, Inc.-
Class A*................. 1,050 32,928
Lender Processing Services,
Inc. .................... 1,050 30,093
Mantech International
Corp. -- Class A*........ 260 9,409
Metavante Technologies,
Inc.*.................... 1,130 26,657
NeuStar, Inc. -- Class A*... 930 17,679
SAIC, Inc.*................. 2,550 46,155
SRA International,
Inc. -- Class A*......... 530 8,157
-----------
TOTAL IT SERVICES 305,660
-----------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Callaway Golf Co. .......... 810 6,116
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 6,116
-----------
LIFE SCIENCES TOOLS & SERVICES 1.6%
Affymetrix, Inc.*........... 890 4,174
Bio-Rad Laboratories,
Inc. -- Class A*......... 240 16,726
Charles River Laboratories
International, Inc.*..... 840 23,226
Covance, Inc.*.............. 800 31,424
Mettler Toledo
International, Inc.*..... 420 25,885
Pharmaceutical Product
Development, Inc. ....... 1,480 29,023
Techne Corp. ............... 470 26,893
Varian, Inc.*............... 360 11,887
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 169,238
-----------
MACHINERY 3.9%
AGCO Corp.*................. 1,150 27,945
Bucyrus International,
Inc. -- Class A.......... 940 20,407
</Table>
See Notes to Financial Statements.
26
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Crane Co. .................. 590 $13,623
Donaldson Co., Inc. ........ 970 32,000
Federal Signal Corp. ....... 590 4,584
Graco, Inc. ................ 750 17,693
Harsco Corp. ............... 1,010 27,825
IDEX Corp. ................. 1,010 25,503
Joy Global, Inc. ........... 1,280 32,640
Kennametal, Inc. ........... 920 18,814
Lincoln Electric Holdings,
Inc. .................... 530 23,601
Nordson Corp. .............. 420 15,238
Oshkosh Corp. .............. 930 8,928
Pentair, Inc. .............. 1,230 32,767
SPX Corp. .................. 620 28,625
Terex Corp.*................ 1,190 16,422
Timken Co. ................. 1,070 17,206
Trinity Industries, Inc. ... 1,000 14,610
Wabtec Corp. ............... 600 22,884
-----------
TOTAL MACHINERY 401,315
-----------
MARINE 0.1%
Alexander & Baldwin, Inc. .. 520 13,853
-----------
TOTAL MARINE 13,853
-----------
MEDIA 0.8%
DreamWorks Animation SKG,
Inc. -- Class A*......... 960 23,050
Harte-Hanks, Inc. .......... 480 3,965
John Wiley & Sons,
Inc. -- Class A.......... 530 17,967
Lamar Advertising
Co. -- Class A*.......... 950 16,055
Marvel Entertainment,
Inc.*.................... 610 18,202
Scholastic Corp. ........... 330 6,511
-----------
TOTAL MEDIA 85,750
-----------
METALS & MINING 1.2%
Carpenter Technology
Corp. ................... 550 11,369
Cliffs Natural Resources,
Inc. .................... 1,430 32,976
Commercial Metals Co. ...... 1,410 20,981
Reliance Steel & Aluminum
Co. ..................... 800 28,184
Steel Dynamics, Inc. ....... 2,030 25,273
Worthington Industries,
Inc. .................... 750 11,175
-----------
TOTAL METALS & MINING 129,958
-----------
MULTI-UTILITIES 1.7%
Alliant Energy Corp. ....... 1,390 31,080
MDU Resources Group, Inc. .. 2,310 40,587
NSTAR....................... 1,340 42,090
OGE Energy Corp. ........... 1,190 30,595
PNM Resources, Inc. ........ 1,090 9,287
Vectren Corp. .............. 1,020 22,613
-----------
TOTAL MULTI-UTILITIES 176,252
-----------
MULTILINE RETAIL 0.6%
99 Cents Only Stores*....... 590 6,337
Dollar Tree, Inc.*.......... 1,140 48,267
Saks, Inc.*................. 1,780 9,274
-----------
TOTAL MULTILINE RETAIL 63,878
-----------
OFFICE ELECTRONICS 0.2%
Zebra Technologies
Corp. -- Class A*........ 760 16,150
-----------
TOTAL OFFICE ELECTRONICS 16,150
-----------
OIL, GAS & CONSUMABLE FUELS 2.7%
Arch Coal, Inc. ............ 1,790 25,006
Bill Barrett Corp.*......... 460 11,951
Cimarex Energy Co. ......... 1,050 28,245
Comstock Resources, Inc.*... 580 19,987
Encore Acquisition Co.*..... 650 18,973
Forest Oil Corp.*........... 1,220 19,520
Frontier Oil Corp. ......... 1,300 16,523
Mariner Energy, Inc.*....... 1,130 12,859
Newfield Exploration Co.*... 1,670 52,071
Overseas Shipholding Group,
Inc. .................... 300 8,613
Patriot Coal Corp.*......... 800 5,040
Plains Exploration &
Production Co.*.......... 1,500 28,305
Quicksilver Resources,
Inc.*.................... 1,420 11,545
Southern Union Co. ......... 1,560 24,820
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 283,458
-----------
PAPER & FOREST PRODUCTS 0.0%(A)
Louisiana-Pacific Corp. .... 1,150 4,681
-----------
TOTAL PAPER & FOREST PRODUCTS 4,681
-----------
PERSONAL PRODUCTS 0.4%
Alberto-Culver Co. ......... 1,070 23,850
NBTY, Inc.*................. 690 17,878
-----------
TOTAL PERSONAL PRODUCTS 41,728
-----------
PHARMACEUTICALS 0.9%
Endo Pharmaceuticals
Holdings, Inc.*.......... 1,470 24,314
Medicis Pharmaceutical
Corp. -- Class A......... 710 11,410
Perrigo Co. ................ 970 25,142
Sepracor, Inc.*............. 1,370 19,467
Valeant Pharmaceuticals
International*........... 1,030 17,263
-----------
TOTAL PHARMACEUTICALS 97,596
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 5.1%
Alexandria Real Estate
Equities, Inc. .......... 490 17,875
AMB Property Corp. ......... 1,750 33,407
BRE Properties, Inc. ....... 640 15,725
Camden Property Trust....... 670 18,177
Corporate Office Properties
Trust.................... 650 19,864
Cousins Properties, Inc. ... 550 4,648
Duke Realty Corp. .......... 2,690 26,281
Equity One, Inc. ........... 450 6,696
Essex Property Trust,
Inc. .................... 340 21,587
Federal Realty Investment
Trust.................... 740 40,848
Highwoods Properties,
Inc. .................... 800 19,192
Hospitality Properties
Trust.................... 1,180 14,443
Liberty Property Trust...... 1,270 30,912
Macerich Co.(The)........... 970 17,004
Mack-Cali Realty Corp. ..... 830 22,294
Nationwide Health
Properties, Inc. ........ 1,290 31,850
Omega Healthcare Investors,
Inc. .................... 1,030 16,192
Potlatch Corp. ............. 500 14,705
Rayonier, Inc. ............. 990 38,234
Realty Income Corp. ........ 1,310 29,252
Regency Centers Corp. ...... 990 37,075
SL Green Realty Corp. ...... 720 12,715
UDR, Inc. .................. 1,870 18,831
Weingarten Realty
Investors................ 1,290 20,047
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 527,854
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
Jones Lang LaSalle, Inc. ... 430 13,876
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 13,876
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 27
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL 0.9%
Con-way, Inc. .............. 580 $14,372
J.B. Hunt Transport
Services, Inc. .......... 1,030 28,964
Kansas City Southern*....... 1,150 17,538
Landstar System, Inc. ...... 650 23,146
Werner Enterprises, Inc. ... 540 8,829
YRC Worldwide, Inc.*........ 740 2,242
-----------
TOTAL ROAD & RAIL 95,091
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.8%
Atmel Corp.*................ 5,640 21,658
Cree, Inc.*................. 1,110 30,403
Fairchild Semiconductor
International, Inc.*..... 1,550 9,548
Integrated Device
Technology, Inc.*........ 2,070 11,240
International Rectifier
Corp.*................... 910 15,361
Intersil Corp. -- Class A... 1,530 17,748
Lam Research Corp.*......... 1,580 44,050
RF Micro Devices, Inc.*..... 3,310 6,984
Semtech Corp.*.............. 760 10,959
Silicon Laboratories,
Inc.*.................... 560 18,626
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 186,577
-----------
SOFTWARE 2.4%
ACI Worldwide, Inc.*........ 440 7,599
Advent Software, Inc.*...... 200 6,648
Ansys, Inc.*................ 1,120 30,934
Cadence Design Systems,
Inc.*.................... 3,320 18,526
Factset Research Systems,
Inc. .................... 530 28,403
Fair Isaac Corp. ........... 610 10,260
Jack Henry & Associates,
Inc. .................... 1,050 18,921
Macrovision Solutions
Corp.*................... 1,030 20,827
Mentor Graphics Corp.*...... 1,160 7,795
Parametric Technology
Corp.*................... 1,450 16,167
Sybase, Inc.*............... 1,030 34,979
Synopsys, Inc.*............. 1,800 39,204
Wind River Systems, Inc.*... 850 6,230
-----------
TOTAL SOFTWARE 246,493
-----------
SPECIALTY RETAIL 4.2%
Advance Auto Parts, Inc. ... 1,190 52,062
Aeropostale, Inc.*.......... 840 28,535
American Eagle Outfitters,
Inc. .................... 2,590 38,384
AnnTaylor Stores Corp.*..... 720 5,321
Barnes & Noble, Inc. ....... 470 12,276
CarMax, Inc.*............... 2,770 35,345
Chico's FAS, Inc.*.......... 2,230 17,037
Coldwater Creek, Inc.*...... 600 2,070
Collective Brands, Inc.*.... 800 11,616
Dick's Sporting Goods,
Inc.*.................... 1,070 20,330
Foot Locker, Inc. .......... 1,950 23,185
Guess?, Inc. ............... 760 19,790
J. Crew Group, Inc.*........ 650 11,187
PetSmart, Inc. ............. 1,600 36,608
Rent-A-Center, Inc.*........ 830 15,978
Ross Stores, Inc. .......... 1,620 61,463
Urban Outfitters, Inc.*..... 1,430 27,871
Williams-Sonoma, Inc. ...... 1,090 15,260
-----------
TOTAL SPECIALTY RETAIL 434,318
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.7%
Hanesbrands, Inc.*.......... 1,170 19,258
Phillips-Van Heusen Corp. .. 650 18,870
Timberland Co. -- Class A*.. 580 9,419
Under Armour, Inc. -- Class
A*....................... 460 10,828
Warnaco Group, Inc.*........ 590 17,016
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 75,391
-----------
THRIFTS & MORTGAGE FINANCE 1.1%
Astoria Financial Corp. .... 1,020 8,425
First Niagara Financial
Group, Inc. ............. 1,830 24,778
New York Community Bancorp,
Inc. .................... 4,330 48,972
NewAlliance Bancshares,
Inc. .................... 1,340 17,300
Washington Federal, Inc. ... 1,110 14,408
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 113,883
-----------
TOBACCO 0.1%
Universal Corp. ............ 310 9,350
-----------
TOTAL TOBACCO 9,350
-----------
TRADING COMPANIES & DISTRIBUTORS 0.4%
GATX Corp. ................. 610 18,367
MSC Industrial Direct
Co. -- Class A........... 560 22,876
United Rentals, Inc.*....... 750 4,545
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 45,788
-----------
WATER UTILITIES 0.3%
Aqua America, Inc. ......... 1,700 31,195
-----------
TOTAL WATER UTILITIES 31,195
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Syniverse Holdings, Inc.*... 650 8,190
Telephone & Data Systems,
Inc. .................... 1,270 36,411
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 44,601
-----------
TOTAL COMMON STOCKS
(Cost $7,263,696) 8,738,668
-----------
<Caption>
FACE
AMOUNT
- -------------------------------------------------------
REPURCHASE AGREEMENTS 4.3%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at $453,001
on 05/01/09
collateralized by
$445,000 FNMA at 4.750%
due 03/12/10 with a value
of $462,756.............. $453,000 453,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $453,000) 453,000
-----------
TOTAL INVESTMENTS 88.2%
(Cost $7,716,696) 9,191,668
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 11.8% 1,229,916
-----------
NET ASSETS--100.0% $10,421,584
- -------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
- -------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2009 S&P MidCap 400
Index E-Mini Futures
Contracts (Aggregate
Market Value of Contracts
$4,704,000).............. 84 $729,509
-----------
</Table>
See Notes to Financial Statements.
28
RYDEX 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
UNITS GAIN
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009 S&P MidCap 400
Index Swap, Terminating
06/26/09 (Notional Market
Value $5,137,304)**...... 9,155 $544,377
Goldman Sachs International
May 2009 S&P MidCap 400
Index Swap, Terminating
05/07/09 (Notional Market
Value $2,291,791)**...... 4,084 116,887
-----------
(TOTAL NOTIONAL MARKET VALUE $7,429,095) $661,264
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P MidCap 400 Index +/- financing at a variable
rate.
(a) Amount represents less than 0.05% of net assets.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 29
RYDEX INVERSE 2X S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -------------------------------------------------------
REPURCHASE AGREEMENTS 78.7%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at
$6,893,017 on 05/01/09
collateralized by
$6,895,000 FHLMC at
2.875% due 04/30/10 with
a value of $7,032,900... $6,893,000 $6,893,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,893,000) 6,893,000
-----------
TOTAL INVESTMENTS 78.7%
(Cost $6,893,000) 6,893,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--21.3% 1,860,831
-----------
NET ASSETS--100.0% $8,753,831
- -------------------------------------------------------
UNREALIZED
CONTRACTS LOSS
- -------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2009 S&P MidCap 400
Index E-Mini Futures
Contracts (Aggregate
Market Value of
Contracts $2,464,000)... 44 $(93,549)
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 S&P MidCap 400
Index Swap, Terminating
06/26/09 (Notional
Market Value
$2,716,310)*............ 4,841 (1,056,682)
Goldman Sachs International
May 2009 S&P MidCap 400
Index Swap, Terminating
05/07/09 (Notional
Market Value
$12,311,659)*........... 21,940 (1,181,107)
-----------
(TOTAL NOTIONAL MARKET VALUE $15,027,969) $(2,237,789)
- -------------------------------------------------------
</Table>
* Price return based on S&P MidCap 400 Index +/- financing at a variable
rate.
FHLMC--Federal Home Loan Mortgage Corporation. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
30
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS 81.9%
AEROSPACE & DEFENSE 1.5%
AAR Corp.*.................. 920 $13,864
Aerovironment, Inc.*........ 260 6,152
American Science &
Engineering, Inc. ....... 210 12,655
Applied Signal Technology,
Inc. .................... 300 5,928
Argon ST, Inc.*............. 310 6,321
Ascent Solar Technologies,
Inc.*.................... 180 814
Axsys Technologies, Inc.*... 220 9,220
Ceradyne, Inc.*............. 620 10,689
Cubic Corp. ................ 370 10,623
Curtiss-Wright Corp. ....... 1,060 33,888
Ducommun, Inc. ............. 250 4,330
DynCorp International,
Inc. -- Class A*......... 590 8,997
Esterline Technologies
Corp.*................... 700 18,445
GenCorp, Inc.*.............. 1,350 3,240
HEICO Corp. ................ 520 14,929
Herley Industries, Inc.*.... 320 3,309
Hexcel Corp.*............... 2,270 21,769
Ladish Co., Inc.*........... 380 2,877
LMI Aerospace, Inc.*........ 210 1,384
Moog, Inc. -- Class A*...... 1,010 27,048
Orbital Sciences Corp.*..... 1,390 21,489
Stanley, Inc.*.............. 210 5,414
Taser International, Inc.*.. 1,480 7,104
Teledyne Technologies,
Inc.*.................... 840 26,821
TransDigm Group, Inc.*...... 790 27,760
Triumph Group, Inc. ........ 390 16,119
-----------
TOTAL AEROSPACE & DEFENSE 321,189
-----------
AIR FREIGHT & LOGISTICS 0.2%
Atlas Air Worldwide
Holdings, Inc.*.......... 310 8,230
Dynamex, Inc.*.............. 210 3,089
Forward Air Corp. .......... 680 11,336
HUB Group, Inc. -- Class
A*....................... 870 20,010
Pacer International, Inc. .. 820 3,477
Park-Ohio Holdings Corp.*... 190 884
-----------
TOTAL AIR FREIGHT & LOGISTICS 47,026
-----------
AIRLINES 0.6%
Airtran Holdings, Inc.*..... 2,769 19,245
Alaska Air Group, Inc.*..... 850 14,263
Allegiant Travel Co.*....... 320 16,653
Hawaiian Holdings, Inc.*.... 1,020 5,090
JetBlue Airways Corp.*...... 4,099 20,208
Republic Airways Holdings,
Inc.*.................... 830 5,943
SkyWest, Inc. .............. 1,380 16,615
UAL Corp.*.................. 3,409 16,772
US Airways Group, Inc.*..... 2,699 10,229
-----------
TOTAL AIRLINES 125,018
-----------
AUTO COMPONENTS 0.4%
American Axle &
Manufacturing Holdings,
Inc. .................... 1,090 1,090
Amerigon, Inc.*............. 520 2,938
ArvinMeritor, Inc. ......... 1,740 2,158
Cooper Tire & Rubber Co. ... 1,390 11,495
Dana Holding Corp.*......... 2,340 1,849
Dorman Products, Inc.*...... 260 2,782
Drew Industries, Inc.*...... 470 6,712
Exide Technologies*......... 1,780 9,665
Fuel Systems Solutions,
Inc.*.................... 290 4,428
Hayes Lemmerz International,
Inc.*.................... 2,390 404
Lear Corp.*................. 1,520 1,216
Modine Manufacturing Co. ... 760 2,903
Quantum Fuel Systems
Technologies Worldwide,
Inc.*.................... 2,060 1,483
Raser Technologies, Inc.*... 1,220 4,770
Spartan Motors, Inc. ....... 770 6,214
Stoneridge, Inc.*........... 350 809
Superior Industries
International, Inc. ..... 550 8,294
Tenneco, Inc.*.............. 1,100 3,366
Wonder Auto Technolgy,
Inc.*.................... 350 2,355
-----------
TOTAL AUTO COMPONENTS 74,931
-----------
AUTOMOBILES 0.0%(A)
Winnebago Industries,
Inc. .................... 690 6,079
-----------
TOTAL AUTOMOBILES 6,079
-----------
BEVERAGES 0.1%
Boston Beer Co.,
Inc. -- Class A*......... 200 5,320
Coca-Cola Bottling Co.
Consolidated............. 100 5,212
National Beverage Corp.*.... 250 2,633
-----------
TOTAL BEVERAGES 13,165
-----------
BIOTECHNOLOGY 3.8%
Acadia Pharmaceuticals,
Inc.*.................... 780 772
Acorda Therapeutics, Inc.*.. 880 17,450
Affymax, Inc.*.............. 310 5,499
Alexion Pharmaceuticals,
Inc.*.................... 1,930 64,501
Alkermes, Inc.*............. 2,260 17,289
Allos Therapeutics, Inc.*... 1,250 7,662
Alnylam Pharmaceuticals,
Inc.*.................... 840 15,431
Amicus Therapeutics, Inc.*.. 120 1,074
Arena Pharmaceuticals,
Inc.*.................... 1,750 4,918
Ariad Pharmaceuticals,
Inc.*.................... 2,040 3,060
ArQule, Inc.*............... 960 4,272
Array BioPharma, Inc.*...... 1,120 3,282
Celera Corp.*............... 1,890 15,290
Cell Genesys, Inc.*......... 2,030 1,137
Celldex Therapeutics Inc*... 350 3,031
Cepheid, Inc.*.............. 1,350 13,095
Cougar Biotechnology,
Inc.*.................... 350 12,222
Cubist Pharmaceuticals,
Inc.*.................... 1,330 22,078
Cytokinetics, Inc.*......... 890 1,655
Cytori Therapeutics, Inc.*.. 590 1,056
Dendreon Corp.*............. 2,320 49,184
Dyax Corp.*................. 1,320 2,587
Emergent Biosolutions,
Inc.*.................... 320 3,427
Enzon Pharmaceuticals,
Inc.*.................... 1,060 6,095
Facet Biotech Corp.*........ 560 5,236
Genomic Health, Inc.*....... 330 7,425
Geron Corp.*................ 2,040 10,486
GTx, Inc.*.................. 440 4,325
Halozyme Therapeutics,
Inc.*.................... 1,440 9,101
Human Genome Sciences,
Inc.*.................... 3,209 7,028
Idenix Pharmaceuticals,
Inc.*.................... 590 2,183
Idera Pharmaceuticals,
Inc.*.................... 490 2,945
Immunogen, Inc.*............ 1,200 8,340
Immunomedics, Inc.*......... 1,550 1,798
Incyte Corp.*............... 1,800 4,248
InterMune, Inc.*............ 830 11,238
Isis Pharmaceuticals,
Inc.*.................... 2,140 33,555
Lexicon Pharmaceuticals,
Inc.*.................... 1,900 2,090
Ligand Pharmaceuticals,
Inc. -- Class B*......... 2,420 7,236
MannKind Corp.*............. 1,220 4,990
Marshall Edwards, Inc.*..... 490 270
Martek Biosciences Corp. ... 780 14,212
Maxygen, Inc.*.............. 600 3,510
Medarex, Inc.*.............. 3,019 17,872
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 31
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Medivation, Inc.*........... 600 $11,598
Metabolix, Inc.*............ 450 3,555
Molecular Insight
Pharmaceuticals, Inc.*... 420 1,562
Momenta Pharmaceuticals,
Inc.*.................... 630 7,056
Myriad Genetics, Inc.*...... 2,110 81,847
Nabi Biopharmaceuticals*.... 1,230 4,231
Nanosphere, Inc.*........... 310 1,085
Neurocrine Biosciences,
Inc.*.................... 910 3,003
Novavax, Inc.*.............. 1,370 3,343
NPS Pharmaceuticals, Inc.*.. 1,120 3,875
Onyx Pharmaceuticals,
Inc.*.................... 1,320 34,188
Opko Health, Inc.*.......... 1,140 1,345
Orexigen Therapeutics,
Inc.*.................... 470 1,335
OSI Pharmaceuticals, Inc.*.. 1,350 45,319
Osiris Therapeutics, Inc.*.. 350 4,435
PDL BioPharma, Inc. ........ 2,819 20,156
Pharmasset, Inc.*........... 480 4,320
Progenics Pharmaceuticals,
Inc.*.................... 630 3,452
Protalix BioTherapeutics,
Inc.*.................... 260 759
Regeneron Pharmaceuticals,
Inc.*.................... 1,470 19,492
Repligen Corp.*............. 730 3,103
Rexahn Pharmaceuticals,
Inc.*.................... 690 449
Rigel Pharmaceuticals,
Inc.*.................... 860 5,710
Sangamo Biosciences, Inc.*.. 870 3,698
Savient Pharmaceuticals,
Inc.*.................... 1,280 6,758
Seattle Genetics, Inc.*..... 1,550 14,306
Synta Pharmaceuticals
Corp.*................... 400 1,300
Targacept, Inc.*............ 430 1,544
Theravance, Inc.*........... 1,220 17,483
United Therapeutics Corp.*.. 630 39,570
XOMA, Ltd.*................. 3,129 1,690
Zymogenetics, Inc.*......... 880 3,080
-----------
TOTAL BIOTECHNOLOGY 788,802
-----------
BUILDING PRODUCTS 0.5%
AAON, Inc. ................. 320 6,234
American Woodmark Corp. .... 250 5,175
Ameron International
Corp. ................... 220 13,017
Apogee Enterprises, Inc. ... 680 9,112
Builders FirstSource,
Inc.*.................... 380 1,258
China Architectural
Engineering, Inc.*....... 440 682
Gibraltar Industries,
Inc. .................... 640 4,288
Griffon Corp.*.............. 1,270 11,011
Insteel Industries, Inc. ... 410 3,054
NCI Building Systems,
Inc.*.................... 470 1,857
Quanex Building Products
Corp. ................... 880 9,020
Simpson Manufacturing Co.,
Inc. .................... 880 19,589
Trex Co., Inc.*............. 360 3,942
Universal Forest Products,
Inc. .................... 390 13,088
-----------
TOTAL BUILDING PRODUCTS 101,327
-----------
CAPITAL MARKETS 1.6%
Apollo Investment Corp. .... 3,369 16,171
Ares Capital Corp. ......... 2,301 13,505
BGC Partners, Inc. -- Class
A........................ 790 2,046
BlackRock Kelso Capital
Corp. ................... 310 1,810
Broadpoint Securities Group,
Inc.*.................... 600 2,586
Calamos Asset Management,
Inc. -- Class A.......... 480 5,477
Capital Southwest Corp. .... 70 5,443
Cohen & Steers, Inc. ....... 400 5,888
Diamond Hill Investment
Group, Inc.*............. 50 2,003
Epoch Holding Corp. ........ 260 1,916
Evercore Partners,
Inc. -- Class A.......... 230 4,342
FBR Capital Markets Corp.*.. 610 2,532
FCStone Group, Inc.*........ 540 1,669
GAMCO Investors,
Inc. -- Class A.......... 180 9,027
GFI Group, Inc. ............ 1,560 6,365
Gladstone Capital Corp. .... 500 3,355
Gladstone Invt Corp. ....... 520 1,893
Greenhill & Co., Inc. ...... 430 33,338
Harris & Harris Group,
Inc.*.................... 610 2,952
Hercules Technology Growth
Capital, Inc. ........... 780 4,688
International Assets Holding
Corp.*................... 110 1,329
Kayne Anderson Energy
Development Co. ......... 240 2,618
KBW, Inc.*.................. 650 15,723
Knight Capital Group,
Inc. -- Class A*......... 2,220 34,388
Kohlberg Capital Corp. ..... 410 1,460
LaBranche & Co., Inc.*...... 1,140 4,765
Ladenburg Thalmann Financial
Services, Inc.*.......... 2,540 1,829
MCG Capital Corp. .......... 1,790 3,150
MVC Capital, Inc. .......... 580 4,965
NGP Capital Resources Co. .. 511 3,584
optionsXpress Holdings,
Inc. .................... 1,000 16,460
Patriot Capital Funding,
Inc. .................... 490 1,107
PennantPark Investment
Corp. ................... 500 2,748
Penson Worldwide, Inc.*..... 400 4,056
Piper Jaffray Cos., Inc.*... 470 16,295
Prospect Capital Corp. ..... 701 6,357
Pzena Investment Management,
Inc. -- Class A.......... 150 713
Riskmetrics Group, Inc.*.... 510 8,869
Sanders Morris Harris Group,
Inc. .................... 460 2,079
Stifel Financial Corp.*..... 640 31,507
SWS Group, Inc. ............ 580 7,418
thinkorswim Group, Inc.*.... 1,230 11,685
Thomas Weisel Partners
Group, Inc.*............. 460 2,079
TradeStation Group, Inc.*... 760 6,164
U.S. Global Investors,
Inc. -- Class A.......... 300 1,656
Virtus Investment Partners,
Inc.*.................... 140 1,589
Westwood Holdings Group,
Inc. .................... 130 5,131
-----------
TOTAL CAPITAL MARKETS 326,730
-----------
CHEMICALS 1.4%
A. Schulman, Inc. .......... 640 10,042
American Vanguard Corp. .... 450 5,755
Arch Chemicals, Inc. ....... 590 14,266
Balchem Corp. .............. 430 10,703
Calgon Carbon Corp.*........ 1,280 21,734
Ferro Corp. ................ 1,030 2,853
Flotek Industries, Inc.*.... 540 1,118
GenTek, Inc.*............... 210 4,009
H.B. Fuller Co. ............ 1,150 20,309
ICO, Inc.*.................. 660 1,630
Innophos Holdings, Inc. .... 250 3,708
Innospec, Inc. ............. 550 4,323
Koppers Holdings, Inc. ..... 490 9,290
Landec Corp.*............... 550 3,718
LSB Industries, Inc.*....... 410 4,912
Minerals Technologies,
Inc. .................... 450 16,735
NewMarket Corp. ............ 320 20,160
NL Industries, Inc. ........ 160 1,938
Olin Corp. ................. 1,770 22,302
OM Group, Inc.*............. 720 20,059
Penford Corp. .............. 270 1,207
PolyOne Corp.*.............. 2,210 6,055
Quaker Chemical Corp. ...... 260 3,042
</Table>
See Notes to Financial Statements.
32
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Rockwood Holdings, Inc.*.... 990 $12,177
Sensient Technologies
Corp. ................... 1,140 26,653
ShengdaTech, Inc.*.......... 710 2,570
Solutia, Inc.*.............. 2,230 8,385
Spartech Corp. ............. 720 2,830
Stepan Co. ................. 150 5,935
Westlake Chemical Corp. .... 450 8,415
WR Grace & Co.*............. 1,710 15,099
Zep, Inc. .................. 490 6,630
Zoltek Cos., Inc.*.......... 650 5,116
-----------
TOTAL CHEMICALS 303,678
-----------
COMMERCIAL BANKS 5.1%
1st Source Corp. ........... 350 6,874
AMCORE Financial, Inc. ..... 470 691
Ameris Bancorp.............. 320 2,096
Ames Natl Corp. ............ 150 3,252
Arrow Financial Corp. ...... 220 5,826
Bancfirst Corp. ............ 170 7,259
Banco Latinoamericano de
Exportaciones,
S.A. -- Class E.......... 650 7,995
BancTrust Financial Group,
Inc. .................... 410 2,698
Bank of the Ozarks, Inc. ... 290 7,201
Banner Corp. ............... 350 1,624
Boston Private Financial
Holdings, Inc. .......... 1,290 5,947
Bryn Mawr Bank Corp. ....... 160 3,141
Camden National Corp. ...... 180 5,220
Capital City Bank Group,
Inc. .................... 280 4,211
Capitol Bancorp, Ltd. ...... 340 1,244
Cardinal Financial Corp. ... 570 4,474
Cascade Bancorp............. 530 880
Cathay General Bancorp...... 1,170 13,127
Centerstate Banks of
Florida, Inc. ........... 220 2,642
Central Pacific Financial
Corp. ................... 680 3,985
Chemical Financial Corp. ... 560 11,956
Citizens + Northn Corp. .... 210 4,164
Citizens Republic Bancorp,
Inc.*.................... 2,979 5,005
City Bank................... 320 1,002
City Holding Co. ........... 380 11,206
CoBiz Financial, Inc. ...... 450 2,642
Colonial BancGroup, Inc. ... 4,779 3,632
Columbia Banking System,
Inc. .................... 430 4,257
Community Bank System,
Inc. .................... 770 12,666
Community Trust Bancorp,
Inc. .................... 350 10,591
CVB Financial Corp. ........ 1,570 9,436
East West Bancorp, Inc. .... 1,500 10,245
Encore Bancshares, Inc.*.... 150 1,371
Enterprise Financial
Services Corp. .......... 260 2,561
F.N.B. Corp. ............... 2,040 15,341
Farmers Capital Bank
Corp. ................... 150 3,183
Financial Institutions,
Inc. .................... 260 3,861
First Bancorp Inc/ME........ 200 3,490
First BanCorp. ............. 1,680 9,257
First Bancorp. ............. 340 4,138
First Busey Corp. .......... 600 4,698
First Commonwealth Financial
Corp. ................... 2,010 17,427
First Community Bancshares,
Inc. .................... 230 3,323
First Financial Bancorp..... 890 9,603
First Financial Bankshares,
Inc. .................... 490 24,147
First Financial Corp. ...... 270 10,017
First Merchants Corp. ...... 520 6,323
First Midwest Bancorp,
Inc. .................... 1,150 10,189
First South Bancorp, Inc. .. 190 2,196
FirstMerit Corp. ........... 1,910 37,073
Frontier Financial Corp. ... 1,110 1,576
Glacier Bancorp, Inc. ...... 1,440 22,061
Greene Bankshares, Inc. .... 310 2,635
Guaranty Bancorp*........... 1,250 2,775
Hancock Holding Co. ........ 610 23,101
Hanmi Financial Corp. ...... 880 1,364
Harleysville National
Corp. ................... 1,010 8,858
Heartland Financial USA,
Inc. .................... 310 4,582
Heritage Commerce Corp. .... 250 2,020
Home Bancshares, Inc. ...... 310 6,835
IBERIABANK Corp. ........... 380 17,358
Independent Bank Corp. ..... 390 7,784
Integra Bank Corp. ......... 490 1,058
International Bancshares
Corp. ................... 1,210 16,347
Investors Bancorp, Inc.*.... 1,040 9,526
Lakeland Bancorp, Inc. ..... 480 4,085
Lakeland Financial Corp. ... 290 5,443
MainSource Financial Group,
Inc. .................... 480 4,157
MB Financial, Inc. ......... 820 11,177
Midwest Banc Holdings,
Inc. .................... 530 859
Nara Bancorp, Inc. ......... 540 2,003
National Penn Bancshares,
Inc. .................... 1,880 15,209
NBT Bancorp, Inc. .......... 760 17,997
Northfield Bancorp, Inc. ... 470 5,311
Old National Bancorp........ 1,570 21,399
Old Second Bancorp, Inc. ... 330 1,782
Oriental Financial Group.... 570 5,295
Pacific Capital Bancorp..... 1,090 7,565
Pacific Continental Corp. .. 270 3,100
PacWest Bancorp............. 660 9,616
Park National Corp. ........ 260 17,407
Peapack Gladstone Financial
Corp. ................... 200 3,792
Pennsylvania Commerce
Bancorp, Inc.*........... 120 2,652
Peoples Bancorp, Inc. ...... 240 3,977
Pinnacle Financial Partners,
Inc.*.................... 560 9,990
Premierwest Bancorp......... 480 1,829
PrivateBancorp, Inc. ....... 510 10,327
Prosperity Bancshares,
Inc. .................... 930 25,826
Provident Bankshares
Corp. ................... 780 6,856
Renasant Corp. ............. 500 7,050
Republic Bancorp,
Inc. -- Class A.......... 220 4,893
S&T Bancorp, Inc. .......... 560 10,007
S.Y. Bancorp, Inc. ......... 320 8,070
Sandy Spring Bancorp,
Inc. .................... 390 6,337
Santander BanCorp........... 100 670
SCBT Financial Corp. ....... 270 6,229
Seacoast Banking Corp. of
Florida.................. 350 1,477
Shore Bancshares, Inc. ..... 200 3,878
Sierra Bancorp.............. 180 2,162
Signature Bank*............. 830 22,568
Simmons First National
Corp. -- Class A......... 330 8,557
Smithtown Bancorp, Inc. .... 230 3,082
South Financial Group,
Inc. .................... 2,010 3,337
Southside Bancshares,
Inc. .................... 301 6,401
Southwest Bancorp, Inc. .... 340 2,329
State Bancorp Inc/NY........ 340 2,802
StellarOne Corp. ........... 530 6,821
Sterling Bancorp............ 430 4,919
Sterling Bancshares, Inc. .. 1,730 11,504
Sterling Financial Corp. ... 1,230 3,924
Suffolk Bancorp............. 230 5,888
Sun Bancorp, Inc.*.......... 361 2,372
Susquehanna Bancshares,
Inc. .................... 2,030 16,362
SVB Financial Group*........ 710 14,740
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Texas Capital Bancshares,
Inc.*.................... 650 $9,100
Tompkins Financial Corp. ... 140 5,901
TowneBank/Portsmouth VA..... 490 8,443
Trico Bancshares............ 330 5,280
Trustmark Corp. ............ 1,170 25,436
UCBH Holdings, Inc. ........ 2,779 3,557
UMB Financial Corp. ........ 740 33,870
Umpqua Holdings Corp. ...... 1,420 13,618
Union Bankshares Corp. ..... 320 5,469
United Bankshares, Inc. .... 900 23,346
United Community Banks,
Inc. .................... 970 6,256
United Security Bancshares
Co. ..................... 200 1,448
Univest Corp. of
Pennsylvania............. 300 6,261
W Holding Co, Inc. ......... 50 1,159
Washington Trust Bancorp,
Inc. .................... 320 5,840
WesBanco, Inc. ............. 630 12,531
West Bancorporation, Inc. .. 410 3,608
West Coast Bancorp.......... 370 1,043
Westamerica Bancorp......... 690 37,005
Western Alliance Bancorp*... 510 3,320
Wilshire Bancorp, Inc. ..... 460 1,858
Wintrust Financial Corp. ... 560 9,520
Yadkin Valley Financial
Corp. ................... 380 3,116
-----------
TOTAL COMMERCIAL BANKS 1,064,285
-----------
COMMERCIAL SERVICES & SUPPLIES 3.6%
ABM Industries, Inc. ....... 1,030 18,046
ACCO Brands Corp.*.......... 1,280 2,675
Administaff, Inc. .......... 510 13,597
Advisory Board Co.(The)*.... 380 7,083
American Ecology Corp. ..... 390 6,443
American Reprographics
Co.*..................... 860 5,547
AMREP Corp.*................ 40 744
ATC Technology Corp.*....... 470 7,468
Bowne & Co., Inc. .......... 640 3,270
Casella Waste Systems,
Inc. -- Class A*......... 530 1,092
CBIZ, Inc.*................. 1,060 8,332
CDI Corp. .................. 290 3,466
Cenveo, Inc.*............... 1,140 5,381
Clean Harbors, Inc.*........ 470 23,547
Comfort Systems USA, Inc. .. 950 10,250
COMSYS IT Partners, Inc.*... 340 1,795
Consolidated Graphics,
Inc.*.................... 240 4,661
Cornell Cos., Inc.*......... 260 4,727
CoStar Group, Inc.*......... 460 17,043
Courier Corp. .............. 250 3,920
CRA International, Inc.*.... 260 6,068
Deluxe Corp. ............... 1,220 17,690
Duff & Phelps Corp. -- Class
A*....................... 250 4,715
EnergySolutions, Inc. ...... 790 7,663
EnerNOC, Inc.*.............. 230 4,018
Ennis, Inc. ................ 610 5,490
Exponent, Inc.*............. 320 8,928
First Advantage
Corp. -- Class A*........ 240 3,442
Fuel Tech, Inc.*............ 450 5,900
G&K Services, Inc. -- Class
A........................ 440 10,987
Geo Group, Inc.(The)*....... 1,210 20,122
GeoEye, Inc.*............... 430 10,703
Healthcare Services Group,
Inc. .................... 940 16,807
Heidrick & Struggles
International, Inc. ..... 410 6,929
Herman Miller, Inc. ........ 1,330 19,777
Hill International, Inc.*... 550 2,222
HNI Corp. .................. 1,050 16,275
Hudson Highland Group,
Inc.*.................... 590 968
Huron Consulting Group,
Inc.*.................... 490 23,495
ICF International, Inc.*.... 160 4,402
ICT Group, Inc.*............ 210 1,487
Innerworkings, Inc.*........ 700 3,535
Interface, Inc. -- Class A.. 1,260 7,295
Kelly Services,
Inc. -- Class A.......... 620 7,043
Kforce, Inc.*............... 730 7,964
Kimball International,
Inc. -- Class B.......... 760 4,172
Knoll, Inc. ................ 1,150 8,142
Korn/Ferry International*... 1,100 11,649
LECG Corp.*................. 600 1,746
M&F Worldwide Corp.*........ 270 4,307
McGrath RentCorp............ 560 11,838
Metalico, Inc.*............. 570 1,311
Mine Safety Appliances
Co. ..................... 730 17,994
Mobile Mini, Inc.*.......... 820 11,234
MPS Group, Inc.*............ 2,230 17,929
Multi-Color Corp. .......... 250 2,968
Navigant Consulting, Inc.*.. 1,140 16,769
Odyssey Marine Exploration,
Inc.*.................... 1,240 4,315
On Assignment, Inc.*........ 840 2,957
PRG-Schultz International,
Inc.*.................... 350 1,036
Protection One, Inc.*....... 150 461
Resources Connection,
Inc.*.................... 1,080 21,114
Rollins, Inc. .............. 980 17,640
Schawk, Inc. ............... 360 2,588
School Specialty, Inc.*..... 440 8,259
Spherion Corp.*............. 1,220 4,380
Standard Parking Corp.*..... 170 2,591
Standard Register Co.(The).. 350 1,827
SYKES Enterprises, Inc.*.... 780 15,335
Team, Inc.*................. 440 6,323
Tetra Tech, Inc.*........... 1,390 34,138
TrueBlue, Inc.*............. 1,050 10,196
United Stationers, Inc.*.... 550 18,001
Viad Corp. ................. 490 9,349
Volt Information Sciences,
Inc.*.................... 280 2,010
VSE Corp. .................. 90 2,690
Waste Connections, Inc.*.... 1,890 48,724
Waste Services, Inc.*....... 560 3,024
Watson Wyatt Worldwide,
Inc. -- Class A.......... 1,010 53,580
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 753,609
-----------
COMMUNICATIONS EQUIPMENT 2.6%
3Com Corp.*................. 9,538 38,629
Acme Packet, Inc.*.......... 590 4,549
Adtran, Inc. ............... 1,330 28,129
Airvana, Inc.*.............. 570 3,243
Anaren, Inc.*............... 350 4,553
Arris Group, Inc.*.......... 2,899 30,932
Aruba Networks, Inc.*....... 1,240 5,816
Avocent Corp.*.............. 1,060 15,306
Bel Fuse, Inc. -- Class B... 280 4,530
BigBand Networks, Inc.*..... 780 4,571
Black Box Corp. ............ 410 11,222
Blue Coat Systems, Inc.*.... 780 10,343
Cogo Group, Inc.*........... 560 4,581
Comtech Telecommunications
Corp.*................... 670 22,425
DG FastChannel, Inc.*....... 420 9,799
Digi International, Inc.*... 610 4,435
EMS Technologies, Inc.*..... 370 7,048
Emulex Corp.*............... 2,000 20,940
Extreme Networks*........... 2,090 3,678
</Table>
See Notes to Financial Statements.
34
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Finisar Corp.*.............. 9,338 $6,163
Globecomm Systems, Inc.*.... 480 3,264
Harmonic, Inc.*............. 2,230 16,346
Harris Stratex Networks,
Inc. -- Class A*......... 600 2,412
Hughes Communications,
Inc.*.................... 170 3,259
Infinera Corp.*............. 2,200 18,568
InterDigital, Inc.*......... 1,070 28,162
Ixia*....................... 1,010 5,818
Loral Space &
Communications, Ltd.*.... 280 6,538
MRV Communications, Inc.*... 3,719 1,711
NETGEAR, Inc.*.............. 840 13,448
Nextwave Wireless, Inc.*.... 1,150 218
Oclaro, Inc.*............... 4,109 4,068
Oplink Communications,
Inc.*.................... 490 5,410
Opnext, Inc.*............... 640 1,619
Orbcomm, Inc.*.............. 750 960
Palm, Inc.*................. 2,540 26,645
Parkervision, Inc.*......... 670 1,876
PC-Tel, Inc. ............... 430 2,094
Plantronics, Inc. .......... 1,160 14,778
Polycom, Inc.*.............. 2,070 38,585
Powerwave Technologies,
Inc.*.................... 3,109 2,643
Riverbed Technology, Inc.*.. 1,330 24,366
SeaChange International,
Inc.*.................... 730 4,577
ShoreTel, Inc.*............. 1,020 5,090
Sonus Networks, Inc.*....... 4,829 8,354
Starent Networks Corp.*..... 700 13,811
Sycamore Networks, Inc.*.... 4,529 13,361
Symmetricom, Inc.*.......... 1,090 5,428
Tekelec*.................... 1,540 23,870
Utstarcom, Inc.*............ 2,610 3,054
ViaSat, Inc.*............... 600 13,794
-----------
TOTAL COMMUNICATIONS EQUIPMENT 555,019
-----------
COMPUTERS & PERIPHERALS 0.7%
3PAR, Inc.*................. 640 4,902
Adaptec, Inc.*.............. 2,859 8,177
Avid Technology, Inc.*...... 710 7,860
Compellent Technologies,
Inc.*.................... 330 3,683
Cray, Inc.*................. 780 3,276
Data Domain, Inc.*.......... 820 13,596
Electronics for Imaging,
Inc.*.................... 1,260 12,373
Hutchinson Technology,
Inc.*.................... 560 1,075
Hypercom Corp.*............. 1,260 1,361
Imation Corp. .............. 710 7,100
Immersion Corp.*............ 660 2,752
Intermec, Inc.*............. 1,460 17,637
Intevac, Inc.*.............. 510 3,514
Isilon Systems, Inc.*....... 580 1,491
Netezza Corp.*.............. 930 7,524
Novatel Wireless, Inc.*..... 750 5,137
Presstek, Inc.*............. 650 1,254
Quantum Corp.*.............. 4,859 5,102
Rackable Systems, Inc.*..... 700 3,192
Rimage Corp.*............... 230 3,386
STEC, Inc.*................. 730 7,008
Stratasys, Inc.*............ 490 4,586
Super Micro Computer,
Inc.*.................... 560 2,923
Synaptics, Inc.*............ 800 25,984
-----------
TOTAL COMPUTERS & PERIPHERALS 154,893
-----------
CONSTRUCTION & ENGINEERING 0.8%
Dycom Industries, Inc.*..... 950 7,999
EMCOR Group, Inc.*.......... 1,610 33,472
Furmanite Corp.*............ 860 3,406
Granite Construction,
Inc. .................... 780 30,771
Great Lakes Dredge & Dock
Corp. ................... 940 3,722
Insituform Technologies,
Inc. -- Class A*......... 880 13,490
Integrated Electrical
Services, Inc.*.......... 180 1,730
Layne Christensen Co.*...... 450 9,747
MasTec, Inc.*............... 1,140 14,261
Michael Baker Corp.*........ 170 5,712
Northwest Pipe Co.*......... 220 8,345
Orion Marine Group, Inc.*... 510 7,640
Perini Corp.*............... 1,190 20,587
Pike Electric Corp.*........ 400 4,152
Sterling Construction Co,
Inc.*.................... 270 5,068
-----------
TOTAL CONSTRUCTION & ENGINEERING 170,102
-----------
CONSTRUCTION MATERIALS 0.1%
Headwaters, Inc.*........... 990 2,495
Texas Industries, Inc. ..... 550 17,589
U.S. Concrete, Inc.*........ 870 1,722
United States Lime &
Minerals, Inc.*.......... 40 1,550
-----------
TOTAL CONSTRUCTION MATERIALS 23,356
-----------
CONSUMER FINANCE 0.3%
Advance America Cash Advance
Centers, Inc. ........... 990 3,960
Advanta Corp. -- Class B.... 910 1,065
Cardtronics, Inc.*.......... 300 735
Cash America International,
Inc. .................... 690 15,428
CompuCredit Corp.*.......... 380 1,216
Credit Acceptance Corp.*.... 140 3,219
Dollar Financial Corp.*..... 570 5,757
Ezcorp, Inc. -- Class A*.... 1,060 13,133
First Cash Financial
Services, Inc.*.......... 470 7,727
First Marblehead Corp
(The)*................... 1,640 3,149
Nelnet, Inc. -- Class A*.... 410 2,472
World Acceptance Corp.*..... 390 11,575
-----------
TOTAL CONSUMER FINANCE 69,436
-----------
CONTAINERS & PACKAGING 0.4%
AEP Industries, Inc.*....... 130 2,643
Boise, Inc.*................ 840 722
Bway Holding Co.*........... 180 1,678
Graphic Packaging Holding
Co.*..................... 3,419 5,881
Myers Industries, Inc. ..... 670 6,720
Rock-Tenn Co. -- Class A.... 900 33,984
Silgan Holdings, Inc. ...... 600 27,894
-----------
TOTAL CONTAINERS & PACKAGING 79,522
-----------
DISTRIBUTORS 0.0%(A)
Aristotle Corp (The)*....... 30 101
Audiovox Corp. -- Class A*.. 410 2,280
Core-Mark Holding Co.,
Inc.*.................... 220 4,217
-----------
TOTAL DISTRIBUTORS 6,598
-----------
DIVERSIFIED CONSUMER SERVICES 0.9%
American Public Education,
Inc.*.................... 260 9,360
Capella Education Co.*...... 340 17,469
Coinstar, Inc.*............. 660 23,489
Corinthian Colleges, Inc.*.. 2,020 31,108
Grand Canyon Education,
Inc.*.................... 250 4,088
Jackson Hewitt Tax Service,
Inc. .................... 670 3,276
K12, Inc.*.................. 150 2,637
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Learning Tree International,
Inc.*.................... 210 $1,726
Lincoln Educational Services
Corp.*................... 100 1,659
Matthews International
Corp. -- Class A......... 740 23,177
Pre-Paid Legal Services,
Inc.*.................... 170 6,261
Princeton Review, Inc.*..... 320 1,389
Regis Corp. ................ 1,020 19,523
Sotheby's................... 1,590 18,460
Steiner Leisure, Ltd.*...... 340 10,758
Stewart Enterprises,
Inc. -- Class A.......... 1,980 6,910
Universal Technical
Institute, Inc.*......... 510 7,262
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 188,552
-----------
DIVERSIFIED FINANCIAL SERVICES 0.5%
Ampal-American Israel
Corp -- Class A*......... 470 1,100
Asset Acceptance Capital
Corp.*................... 350 2,901
Compass Diversified
Holdings................. 560 5,006
Encore Capital Group,
Inc.*.................... 320 2,797
Fifth Street Finance
Corp. ................... 240 1,800
Financial Federal Corp. .... 600 14,766
Interactive Brokers Group,
Inc. -- Class A*......... 960 14,160
Life Partners Holdings,
Inc. .................... 180 3,370
MarketAxess Holdings,
Inc.*.................... 730 7,001
Medallion Financial Corp. .. 350 2,580
NewStar Financial, Inc.*.... 570 1,294
PHH Corp.*.................. 1,280 21,478
Pico Holdings, Inc.*........ 380 11,400
Portfolio Recovery
Associates, Inc.*........ 360 12,589
Primus Guaranty, Ltd.*...... 500 1,020
Resource America,
Inc. -- Class A.......... 230 1,141
Teton Advisors, Inc. ....... 1 --
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 104,403
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.8%
Alaska Communications
Systems Group, Inc. ..... 1,020 6,151
Atlantic Tele-Network,
Inc. .................... 220 4,858
Cbeyond, Inc.*.............. 570 11,617
Cincinnati Bell, Inc.*...... 5,449 15,203
Cogent Communications Group,
Inc.*.................... 1,060 8,946
Consolidated Communications
Holdings, Inc. .......... 550 6,187
Fairpoint Communications,
Inc. .................... 2,110 2,194
General Communication,
Inc. -- Class A*......... 1,070 8,196
Global Crossing Ltd.*....... 620 4,501
Globalstar, Inc.*........... 1,220 793
Ibasis, Inc.*............... 710 745
IDT Corp.- Class B*......... 430 585
Iowa Telecommunications
Services, Inc. .......... 760 10,017
Neutral Tandem, Inc.*....... 390 11,154
NTELOS Holdings Corp. ...... 710 11,346
PAETEC Holding Corp.*....... 2,919 8,961
Premiere Global Services,
Inc.*.................... 1,460 15,388
Shenandoah Telecom Co. ..... 560 10,993
TW Telecom Inc*............. 3,479 31,972
Vonage Holdings Corp.*...... 1,220 464
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 170,271
-----------
ELECTRIC UTILITIES 1.4%
Allete, Inc. ............... 660 17,186
Central Vermont Public
Service Corp. ........... 270 4,633
Cleco Corp. ................ 1,420 29,948
El Paso Electric Co.*....... 1,060 14,628
Empire District Electric
Co.(The)................. 800 11,976
IDACORP, Inc. .............. 1,070 25,648
ITC Holdings Corp. ......... 1,170 50,930
MGE Energy, Inc. ........... 520 15,954
NorthWestern Corp. ......... 850 17,782
Portland General Electric
Co. ..................... 1,780 32,521
UIL Holdings Corp. ......... 600 13,854
Unisource Energy Corp. ..... 810 21,319
Westar Energy, Inc. ........ 2,480 43,474
-----------
TOTAL ELECTRIC UTILITIES 299,853
-----------
ELECTRICAL EQUIPMENT 1.8%
Acuity Brands, Inc. ........ 960 27,590
Advanced Battery
Technologies, Inc.*...... 1,040 2,860
Akeena Solar, Inc.*......... 490 544
American Superconductor
Corp.*................... 990 25,443
AO Smith Corp. ............. 470 14,612
AZZ, Inc.*.................. 290 8,970
Baldor Electric Co. ........ 1,090 25,288
Beacon Power Corp.*......... 2,590 2,202
Belden, Inc. ............... 1,100 17,732
Brady Corp. -- Class A...... 1,190 25,073
Capstone Turbine Corp.*..... 4,109 3,287
China BAK Battery, Inc.*.... 780 1,661
Coleman Cable, Inc.*........ 190 473
Encore Wire Corp. .......... 430 9,391
Ener1, Inc.*................ 960 5,654
Energy Conversion Devices,
Inc.*.................... 1,070 19,667
EnerSys*.................... 650 11,083
Evergreen Solar, Inc.*...... 3,389 8,235
Franklin Electric Co.,
Inc. .................... 540 12,793
FuelCell Energy, Inc.*...... 1,620 5,152
Fushi Copperweld, Inc.*..... 340 1,727
GrafTech International,
Ltd.*.................... 2,829 24,867
GT Solar International,
Inc.*.................... 720 5,105
Harbin Electric, Inc.*...... 180 1,436
II-VI, Inc.*................ 580 13,903
LaBarge, Inc.*.............. 290 2,393
LSI Industries, Inc. ....... 440 2,468
Medis Technologies, Ltd.*... 740 266
Microvision, Inc.*.......... 1,610 2,995
Orion Energy Systems,
Inc.*.................... 180 765
Plug Power, Inc.*........... 2,749 2,722
Polypore International,
Inc.*.................... 380 2,865
Powell Industries, Inc.*.... 180 6,478
Power-One, Inc.*............ 1,770 2,142
PowerSecure International,
Inc.*.................... 400 1,656
Preformed Line Products
Co. ..................... 60 2,226
Regal-Beloit Corp. ......... 760 30,879
Ultralife Corp.*............ 300 2,145
Valence Technology, Inc.*... 1,270 2,845
Vicor Corp. ................ 460 2,470
Woodward Governor Co. ...... 1,390 27,744
-----------
TOTAL ELECTRICAL EQUIPMENT 367,807
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.7%
Agilysys, Inc. ............. 540 3,256
Anixter International,
Inc.*.................... 710 28,244
Benchmark Electronics,
Inc.*.................... 1,600 19,408
Brightpoint, Inc.*.......... 1,180 6,148
Checkpoint Systems, Inc.*... 940 11,421
China Security &
Surveillance Technology,
Inc.*.................... 740 5,017
Cogent, Inc.*............... 970 11,000
Cognex Corp. ............... 940 13,226
</Table>
See Notes to Financial Statements.
36
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Coherent, Inc.*............. 560 $10,640
Comverge, Inc.*............. 520 3,988
CPI International, Inc.*.... 230 2,519
CTS Corp. .................. 800 4,856
Daktronics, Inc. ........... 780 7,051
DTS, Inc.*.................. 420 11,193
Echelon Corp.*.............. 700 5,572
Electro Rent Corp. ......... 480 4,594
Electro Scientific
Industries, Inc.*........ 640 5,504
Elixir Gaming Technologies,
Inc.*.................... 1,600 176
FARO Technologies, Inc.*.... 390 5,912
Gerber Scientific, Inc.*.... 560 2,212
ICx Technologies, Inc.*..... 320 1,197
Insight Enterprises, Inc.*.. 1,110 6,349
IPG Photonics Corp.*........ 450 5,027
L-1 Identity Solutions,
Inc.*.................... 1,710 12,517
Littelfuse, Inc.*........... 510 8,359
Maxwell Technologies,
Inc.*.................... 470 4,813
Measurement Specialties,
Inc.*.................... 340 2,309
Mercury Computer Systems,
Inc.*.................... 540 4,385
Methode Electronics, Inc. .. 900 5,418
MTS Systems Corp. .......... 420 8,875
Multi-Fineline Electronix,
Inc.*.................... 210 4,215
Newport Corp.*.............. 850 4,242
OSI Systems, Inc.*.......... 370 6,937
Park Electrochemical
Corp. ................... 480 9,888
PC Connection, Inc.*........ 220 1,089
PC Mall, Inc.*.............. 260 1,664
Plexus Corp.*............... 940 20,821
Radisys Corp.*.............. 530 3,800
Rofin-Sinar Technologies,
Inc.*.................... 700 14,917
Rogers Corp.*............... 370 9,416
Sanmina-SCI Corp.*.......... 12,558 7,032
Scansource, Inc.*........... 620 15,320
Smart Modular Technologies
WWH, Inc.*............... 1,050 2,583
SYNNEX Corp.*............... 410 8,827
Technitrol, Inc. ........... 970 3,948
TTM Technologies, Inc.*..... 1,010 7,494
Universal Display Corp.*.... 680 7,677
Zygo Corp.*................. 360 1,807
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 352,863
-----------
ENERGY EQUIPMENT & SERVICES 1.0%
Allis-Chalmers Energy,
Inc.*.................... 660 1,274
Basic Energy Services,
Inc.*.................... 980 9,996
Bolt Technology Corp.*...... 200 2,034
Bristow Group, Inc.*........ 570 12,973
Bronco Drilling Co., Inc.*.. 620 3,404
Cal Dive International,
Inc.*.................... 1,050 8,316
CARBO Ceramics, Inc. ....... 490 15,048
Complete Production
Services, Inc.*.......... 1,140 7,615
Dawson Geophysical Co.*..... 180 3,539
Dril-Quip, Inc.*............ 730 25,097
ENGlobal Corp.*............. 640 3,693
Geokinetics, Inc.*.......... 110 518
Gulf Island Fabrication,
Inc. .................... 290 3,753
Gulfmark Offshore, Inc.*.... 530 14,246
Hornbeck Offshore Services,
Inc.*.................... 550 12,777
ION Geophysical Corp.*...... 2,120 5,300
Lufkin Industries, Inc. .... 350 12,215
Matrix Service Co.*......... 620 5,940
Mitcham Industries, Inc.*... 230 1,035
NATCO Group, Inc. -- Class
A*....................... 470 11,308
Natural Gas Services Group,
Inc.*.................... 290 2,894
Newpark Resources, Inc.*.... 2,130 5,964
OYO Geospace Corp.*......... 100 1,590
Parker Drilling Co.*........ 2,670 7,369
PHI, Inc.*.................. 320 3,622
Pioneer Drilling Co.*....... 1,180 5,900
RPC, Inc. .................. 690 7,383
Sulphco, Inc.*.............. 1,370 1,233
Superior Well Services,
Inc.*.................... 390 4,173
T-3 Energy Services, Inc.*.. 300 4,029
Trico Marine Services,
Inc.*.................... 300 1,164
Union Drilling, Inc.*....... 300 1,797
Willbros Group, Inc.*....... 920 10,543
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 217,742
-----------
FOOD & STAPLES RETAILING 0.8%
Andersons, Inc.(The)........ 430 6,910
Arden Group, Inc. -- Class
A........................ 30 3,510
Casey's General Stores,
Inc. .................... 1,200 31,932
Great Atlantic & Pacific Tea
Co., Inc.*............... 830 6,092
Ingles Markets,
Inc. -- Class A.......... 300 4,683
Nash Finch Co. ............. 300 8,787
Pantry, Inc.(The)*.......... 530 12,519
Pricesmart, Inc. ........... 340 6,069
Ruddick Corp. .............. 1,000 25,660
Spartan Stores, Inc. ....... 520 8,460
Susser Holdings Corp.*...... 180 2,601
United Natural Foods,
Inc.*.................... 1,010 23,008
Village Super
Market -- Class A........ 150 4,647
Weis Markets, Inc. ......... 260 9,617
Winn-Dixie Stores, Inc.*.... 1,280 14,669
-----------
TOTAL FOOD & STAPLES RETAILING 169,164
-----------
FOOD PRODUCTS 1.7%
AgFeed Industries, Inc.*.... 550 2,013
Alico, Inc. ................ 80 2,122
American Dairy, Inc.*....... 170 2,688
B&G Foods, Inc. -- Class A.. 440 2,693
Cal-Maine Foods, Inc. ...... 310 8,206
Calavo Growers, Inc. ....... 250 3,553
Chiquita Brands
International, Inc.*..... 1,020 7,721
Darling International,
Inc.*.................... 1,930 11,040
Diamond Foods, Inc. ........ 380 9,952
Farmer Brothers Co. ........ 160 3,160
Flowers Foods, Inc. ........ 1,830 42,273
Fresh Del Monte Produce,
Inc.*.................... 990 14,375
Green Mountain Coffee
Roasters, Inc.*.......... 410 29,647
Griffin Land & Nurseries,
Inc. .................... 80 2,490
Hain Celestial Group,
Inc.*.................... 960 16,022
HQ Sustainable Maritime
Industries, Inc.*........ 160 1,493
Imperial Sugar Co. ......... 280 1,834
J&J Snack Foods Corp. ...... 340 13,178
Lancaster Colony Corp. ..... 480 21,024
Lance, Inc. ................ 640 14,822
Lifeway Foods, Inc.*........ 110 992
Omega Protein Corp.*........ 430 1,372
Ralcorp Holdings, Inc.*..... 1,330 76,023
Reddy Ice Holdings, Inc. ... 420 945
Sanderson Farms, Inc. ...... 480 19,152
Smart Balance, Inc.*........ 1,480 10,404
Synutra International,
Inc.*.................... 250 2,110
Tootsie Roll Industries,
Inc. .................... 580 14,123
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 37
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
TreeHouse Foods, Inc.*...... 740 $19,677
Zhongpin, Inc.*............. 440 3,850
-----------
TOTAL FOOD PRODUCTS 358,954
-----------
GAS UTILITIES 1.1%
Chesapeake Utilities
Corp. ................... 160 4,686
Laclede Group, Inc. ........ 520 18,033
New Jersey Resources
Corp. ................... 990 32,591
Nicor, Inc. ................ 1,070 34,390
Northwest Natural Gas Co. .. 630 25,767
Piedmont Natural Gas Co.,
Inc. .................... 1,740 42,491
South Jersey Industries,
Inc. .................... 700 24,297
Southwest Gas Corp. ........ 1,020 20,614
WGL Holdings, Inc. ......... 1,170 36,434
-----------
TOTAL GAS UTILITIES 239,303
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.8%
Abaxis, Inc.*............... 510 7,711
Abiomed, Inc.*.............. 800 5,336
Accuray, Inc.*.............. 850 5,143
Align Technology, Inc.*..... 1,390 17,250
Alphatec Holdings, Inc.*.... 590 1,210
American Medical Systems
Holdings, Inc.*.......... 1,720 21,276
Analogic Corp. ............. 320 11,648
Angiodynamics, Inc.*........ 570 7,222
Atrion Corp. ............... 40 3,582
Cantel Medical Corp.*....... 300 4,239
Cardiac Science Corp.*...... 460 1,357
Conceptus, Inc.*............ 710 9,613
CONMED Corp.*............... 680 9,058
CryoLife, Inc.*............. 660 3,584
Cyberonics, Inc.*........... 560 7,414
Cynosure, Inc. -- Class A*.. 230 1,408
DexCom, Inc.*............... 960 4,301
ev3, Inc.*.................. 1,660 13,878
Exactech, Inc.*............. 180 2,385
Greatbatch, Inc.*........... 540 11,362
Haemonetics Corp.*.......... 610 31,494
Hansen Medical, Inc.*....... 400 2,148
I-Flow Corp.*............... 510 2,550
ICU Medical, Inc.*.......... 280 10,528
Immucor, Inc.*.............. 1,660 27,041
Insulet Corp.*.............. 430 2,473
Integra LifeSciences
Holdings Corp.*.......... 420 10,844
Invacare Corp. ............. 760 11,696
IRIS International, Inc.*... 440 4,915
Kensey Nash Corp.*.......... 170 3,560
Masimo Corp.*............... 1,090 31,501
Medical Action Industries,
Inc.*.................... 330 3,201
Meridian Bioscience, Inc. .. 950 16,511
Merit Medical Systems,
Inc.*.................... 650 10,081
Micrus Endovascular Corp.*.. 370 2,560
Natus Medical, Inc.*........ 650 5,707
Neogen Corp.*............... 340 7,708
NuVasive, Inc.*............. 840 31,836
NxStage Medical, Inc.*...... 610 1,366
OraSure Technologies,
Inc.*.................... 1,110 4,018
Orthofix International NV*.. 400 6,820
Orthovita, Inc.*............ 1,570 4,616
Palomar Medical
Technologies, Inc.*...... 430 3,702
Quidel Corp.*............... 670 7,799
RTI Biologics, Inc.*........ 1,270 4,496
Sirona Dental Systems,
Inc.*.................... 400 6,544
Somanetics Corp.*........... 280 4,539
SonoSite, Inc.*............. 400 7,216
Spectranetics Corp.*........ 750 2,925
Stereotaxis, Inc.*.......... 730 2,438
STERIS Corp. ............... 1,390 33,499
SurModics, Inc.*............ 360 7,812
Symmetry Medical, Inc.*..... 840 6,098
Synovis Life Technologies,
Inc.*.................... 270 4,099
Thoratec Corp.*............. 1,290 37,487
TomoTherapy, Inc.*.......... 970 2,503
TranS1, Inc.*............... 290 2,111
Vision Sciences, Inc.*...... 400 476
Vnus Medical Technologies,
Inc.*.................... 310 6,867
Volcano Corp.*.............. 1,120 14,773
West Pharmaceutical
Services, Inc. .......... 770 25,140
Wright Medical Group,
Inc.*.................... 880 12,100
Zoll Medical Corp.*......... 490 7,879
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 582,654
-----------
HEALTH CARE PROVIDERS & SERVICES 2.5%
Air Methods Corp.*.......... 250 6,637
Alliance Imaging, Inc.*..... 600 4,722
Almost Family, Inc.*........ 150 3,705
Amedisys, Inc.*............. 630 21,130
AMERIGROUP Corp.*........... 1,270 37,935
AMN Healthcare Services,
Inc.*.................... 800 5,512
Amsurg Corp.*............... 740 15,200
Assisted Living Concepts,
Inc. -- Class A*......... 260 5,156
Bio-Reference Labs, Inc.*... 270 6,931
BMP Sunstone Corp.*......... 550 2,145
Capital Senior Living
Corp.*................... 530 2,094
CardioNet, Inc.*............ 110 2,283
Catalyst Health Solutions,
Inc.*.................... 780 17,589
Centene Corp.*.............. 1,030 18,921
Chemed Corp. ............... 530 22,435
Chindex International,
Inc.*.................... 260 2,129
Corvel Corp.*............... 180 4,050
Cross Country Healthcare,
Inc.*.................... 730 6,431
Emergency Medical Services
Corp. -- Class A*........ 220 7,665
Emeritus Corp.*............. 470 4,249
Ensign Group, Inc. ......... 200 3,100
Five Star Quality Care,
Inc.*.................... 750 1,268
Genoptix, Inc.*............. 200 5,816
Gentiva Health Services,
Inc.*.................... 600 9,558
Hanger Orthopedic Group,
Inc.*.................... 730 10,154
Healthsouth Corp.*.......... 2,080 19,490
Healthspring, Inc.*......... 1,170 10,799
Healthways, Inc.*........... 830 8,657
HMS Holdings Corp.*......... 590 17,688
inVentiv Health, Inc.*...... 780 8,650
IPC The Hospitalist Co,
Inc.*.................... 140 2,566
Kindred Healthcare, Inc.*... 660 8,593
Landauer, Inc. ............. 220 11,656
LHC Group, Inc.*............ 350 7,987
Magellan Health Services,
Inc.*.................... 870 25,717
MedCath Corp.*.............. 380 3,846
Molina Healthcare, Inc.*.... 320 6,928
MWI Veterinary Supply,
Inc.*.................... 240 7,459
National Healthcare Corp. .. 200 7,940
National Research Corp. .... 40 1,008
Nighthawk Radiology
Holdings, Inc.*.......... 510 1,821
Odyssey HealthCare, Inc.*... 770 7,977
Owens & Minor, Inc. ........ 970 33,640
</Table>
See Notes to Financial Statements.
38
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
PharMerica Corp.*........... 720 $13,140
Providence Service Corp.*... 290 2,848
PSS World Medical, Inc.*.... 1,470 21,344
Psychiatric Solutions,
Inc.*.................... 1,310 25,401
RadNet, Inc.*............... 500 770
RehabCare Group, Inc.*...... 430 7,181
Res-Care, Inc.*............. 590 9,452
Skilled Healthcare Group,
Inc. -- Class A*......... 410 3,579
Sun Healthcare Group,
Inc.*.................... 1,020 8,639
Sunrise Senior Living,
Inc.*.................... 1,060 2,703
Triple-S Mgmt Corp. -- Class
B*....................... 310 3,974
Universal American Corp.*... 930 9,607
US Physical Therapy, Inc.*.. 280 3,270
Virtual Radiologic Corp.*... 160 1,466
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 532,611
-----------
HEALTH CARE TECHNOLOGY 0.5%
Allscripts-Misys Healthcare
Solutions, Inc. ......... 3,449 42,837
athenahealth, Inc.*......... 490 15,582
Computer Programs & Systems,
Inc. .................... 220 7,698
Eclipsys Corp.*............. 1,290 17,028
MedAssets, Inc.*............ 430 7,413
Omnicell, Inc.*............. 740 6,512
Phase Forward, Inc.*........ 1,010 14,403
Vital Images, Inc.*......... 350 3,545
-----------
TOTAL HEALTH CARE TECHNOLOGY 115,018
-----------
HOTELS, RESTAURANTS & LEISURE 2.5%
AFC Enterprises, Inc.*...... 600 3,726
Ambassadors Group, Inc. .... 450 5,490
Ameristar Casinos, Inc. .... 600 12,312
Bally Technologies, Inc.*... 1,290 33,772
BJ's Restaurants, Inc.*..... 410 6,761
Bluegreen Corp.*............ 300 573
Bob Evans Farms, Inc. ...... 730 17,702
Buffalo Wild Wings, Inc.*... 420 16,397
California Pizza Kitchen,
Inc.*.................... 470 7,384
CEC Entertainment, Inc.*.... 480 14,621
Cheesecake Factory,
Inc.(The)*............... 1,410 24,492
Churchill Downs, Inc. ...... 230 8,006
CKE Restaurants, Inc. ...... 1,240 11,867
Cracker Barrel Old Country
Store, Inc. ............. 520 16,957
Denny's Corp.*.............. 2,250 6,030
DineEquity Inc. ............ 410 13,136
Domino's Pizza, Inc.*....... 930 8,779
Dover Downs Gaming &
Entertainment, Inc. ..... 330 1,409
Dover Motorsports, Inc. .... 360 572
Einstein Noah Restaurant
Group, Inc.*............. 100 1,079
Gaylord Entertainment Co.*.. 970 13,522
Great Wolf Resorts, Inc.*... 640 2,362
Isle of Capri Casinos,
Inc.*.................... 370 3,974
Jack in the Box, Inc.*...... 1,390 34,180
Krispy Kreme Doughnuts,
Inc.*.................... 1,330 5,240
Landry's Restaurants,
Inc.*.................... 280 2,559
Life Time Fitness, Inc.*.... 820 15,383
Lodgian, Inc.*.............. 380 977
Luby's, Inc.*............... 510 2,734
Marcus Corp. ............... 480 6,096
Monarch Casino & Resort,
Inc.*.................... 270 2,759
Morgans Hotel Group Co.*.... 580 2,488
O'Charleys, Inc. ........... 430 2,997
P.F. Chang's China Bistro,
Inc.*.................... 570 17,203
Papa John's International,
Inc.*.................... 520 13,801
Peet's Coffee & Tea, Inc.*.. 310 8,457
Pinnacle Entertainment,
Inc.*.................... 1,420 17,722
Red Robin Gourmet Burgers,
Inc.*.................... 370 9,083
Rick's Cabaret
International, Inc.*..... 160 954
Riviera Holdings Corp.*..... 240 362
Ruby Tuesday, Inc.*......... 1,220 9,370
Ruth's Hospitality Group
Inc*..................... 480 1,738
Shuffle Master, Inc.*....... 1,250 4,762
Sonic Corp.*................ 1,420 15,506
Speedway Motorsports,
Inc. .................... 320 4,800
Steak n Shake Co.(The)*..... 680 7,861
Texas Roadhouse,
Inc. -- Class A*......... 1,170 13,315
Town Sports International
Holdings, Inc.*.......... 350 1,207
Vail Resorts, Inc.*......... 700 20,440
Wendy's/Arby's Group,
Inc. -- Class A.......... 9,378 46,890
WMS Industries, Inc.*....... 1,040 33,394
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 533,201
-----------
HOUSEHOLD DURABLES 0.9%
American Greetings
Corp. -- Class A......... 1,070 8,400
Beazer Homes USA, Inc.*..... 930 2,344
Blyth, Inc. ................ 140 6,171
Brookfield Homes Corp. ..... 220 1,155
Cavco Industries, Inc.*..... 150 3,516
Champion Enterprises,
Inc.*.................... 1,840 1,067
CSS Industries, Inc. ....... 170 3,376
Ethan Allen Interiors,
Inc. .................... 580 7,801
Furniture Brands
International, Inc. ..... 980 3,097
Helen of Troy, Ltd.*........ 710 11,325
Hooker Furniture Corp. ..... 220 2,578
Hovnanian Enterprises,
Inc. -- Class A*......... 1,100 3,047
iRobot Corp.*............... 420 4,817
La-Z-Boy, Inc. ............. 1,220 3,245
M/I Homes, Inc. ............ 330 5,039
Meritage Homes Corp.*....... 730 15,191
National Presto Industries,
Inc. .................... 110 7,839
Palm Harbor Homes, Inc.*.... 230 699
Russ Berrie & Co., Inc.*.... 400 764
Ryland Group, Inc. ......... 1,000 20,710
Sealy Corp.*................ 1,050 3,717
Skyline Corp. .............. 160 3,317
Standard Pacific Corp.*..... 2,380 4,451
Tempur-Pedic International,
Inc. .................... 1,770 22,762
Tupperware Brands Corp. .... 1,470 36,794
Universal Electronics,
Inc.*.................... 330 6,184
-----------
TOTAL HOUSEHOLD DURABLES 189,406
-----------
HOUSEHOLD PRODUCTS 0.1%
Central Garden & Pet
Co. -- Class A*.......... 1,520 13,787
WD-40 Co. .................. 390 10,553
-----------
TOTAL HOUSEHOLD PRODUCTS 24,340
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.2%
Black Hills Corp. .......... 910 18,091
Ormat Technologies, Inc. ... 420 14,784
Synthesis Energy Systems,
Inc.*.................... 600 444
U S Geothermal, Inc.*....... 1,470 1,279
-----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS 34,598
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 39
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDUSTRIAL CONGLOMERATES 0.2%
Otter Tail Corp. ........... 840 $18,631
Raven Industries, Inc. ..... 380 9,082
Seaboard Corp. ............. 10 9,350
Standex International
Corp. ................... 300 4,161
Tredegar Corp. ............. 570 10,021
United Capital Corp.*....... 50 898
-----------
TOTAL INDUSTRIAL CONGLOMERATES 52,143
-----------
INSURANCE 3.1%
Ambac Financial Group,
Inc. .................... 6,789 6,178
American Equity Investment
Life Holding Co. ........ 1,290 7,263
American Physicians Capital,
Inc. .................... 180 7,499
American Safety Insurance
Holdings Ltd.*........... 250 2,845
Amerisafe, Inc.*............ 450 6,912
Amtrust Financial Services,
Inc. .................... 370 3,378
Argo Group International
Holdings, Ltd.*.......... 730 20,433
Aspen Insurance Holdings,
Ltd. .................... 2,020 47,632
Assured Guaranty, Ltd. ..... 1,320 12,751
Baldwin & Lyons,
Inc. -- Class B.......... 200 4,010
Citizens, Inc.*............. 940 6,777
CNA Surety Corp.*........... 400 7,700
Crawford & Co. -- Class B*.. 570 3,391
Delphi Financial
Group -- Class A......... 980 16,925
Donegal Group, Inc. -- Class
A........................ 280 4,099
eHealth, Inc.*.............. 590 11,322
EMC Insurance Group, Inc. .. 140 3,172
Employers Holdings, Inc. ... 1,170 9,758
Enstar Group, Ltd.*......... 130 9,274
FBL Financial Group,
Inc. -- Class A.......... 300 1,725
First Acceptance Corp.*..... 410 1,046
First Mercury Financial
Corp.*................... 340 4,495
Flagstone Reinsurance
Holdings, Ltd. .......... 710 6,575
Fpic Insurance Group,
Inc.*.................... 180 5,497
Greenlight Capital Re,
Ltd.*.................... 680 10,526
Hallmark Financial
Services*................ 140 941
Harleysville Group, Inc. ... 310 8,965
Hilltop Holdings, Inc.*..... 1,070 12,123
Horace Mann Educators
Corp. ................... 960 8,429
Independence Holding Co. ... 150 776
Infinity Property & Casualty
Corp. ................... 340 11,982
IPC Holdings, Ltd. ......... 1,320 34,373
Kansas City Life Insurance
Co. ..................... 110 2,423
Maiden Holdings Ltd. ....... 1,160 5,232
Max Capital Group, Ltd. .... 1,340 22,177
Meadowbrook Insurance Group,
Inc. .................... 1,310 7,794
Montpelier Re Holdings,
Ltd. .................... 2,210 27,537
National Financial Partners
Corp. ................... 930 6,566
National Interstate Corp. .. 150 2,423
National Western Life
Insurance Co. -- Class
A........................ 50 5,694
Navigators Group, Inc.*..... 310 14,068
NYMAGIC, Inc. .............. 110 1,297
Odyssey Re Holdings Corp. .. 520 19,911
Phoenix Cos., Inc. ......... 2,709 4,226
Platinum Underwriters
Holdings, Ltd. .......... 1,260 36,250
PMA Capital Corp. -- Class
A*....................... 750 2,812
Presidential Life Corp. .... 510 5,452
ProAssurance Corp.*......... 760 33,394
RLI Corp. .................. 440 21,133
Safety Insurance Group,
Inc. .................... 380 12,559
SeaBright Insurance
Holdings, Inc.*.......... 500 4,640
Selective Insurance Group,
Inc. .................... 1,260 18,598
State Auto Financial
Corp. ................... 340 5,518
Stewart Information Services
Corp. ................... 400 9,044
Tower Group, Inc. .......... 850 23,111
United America Indemnity,
Ltd. -- Class A*......... 830 4,208
United Fire & Casualty
Co. ..................... 540 10,082
Validus Holdings, Ltd. ..... 1,520 34,048
Zenith National Insurance
Corp. ................... 880 20,055
-----------
TOTAL INSURANCE 659,024
-----------
INTERNET & CATALOG RETAIL 0.5%
1-800-FLOWERS.COM,
Inc. -- Class A*......... 620 1,810
Bidz.com, Inc.*............. 140 577
Blue Nile, Inc.*............ 320 13,619
Drugstore.Com*.............. 1,980 3,069
Gaiam, Inc. -- Class A*..... 430 2,503
NetFlix, Inc.*.............. 950 43,044
NutriSystem, Inc. .......... 720 9,893
Orbitz Worldwide, Inc.*..... 870 1,653
Overstock.com, Inc.*........ 360 4,853
PetMed Express, Inc.*....... 560 9,105
Shutterfly, Inc.*........... 470 6,021
Stamps.com, Inc.*........... 300 2,808
-----------
TOTAL INTERNET & CATALOG RETAIL 98,955
-----------
INTERNET SOFTWARE & SERVICES 1.9%
Art Technology Group,
Inc.*.................... 3,049 9,574
AsiaInfo Holdings, Inc.*.... 820 13,735
Bankrate, Inc.*............. 300 7,500
Chordiant Software, Inc.*... 710 2,272
comScore, Inc.*............. 430 5,487
Constant Contact, Inc.*..... 480 7,646
DealerTrack Holdings,
Inc.*.................... 940 14,269
Dice Holdings, Inc.*........ 370 1,458
Digital River, Inc.*........ 880 33,810
DivX, Inc.*................. 640 3,283
EarthLink, Inc.*............ 2,600 19,708
GSI Commerce, Inc.*......... 560 7,958
HSW International, Inc.*.... 660 152
InfoSpace, Inc.*............ 810 5,370
Internap Network Services
Corp.*................... 1,190 3,308
Internet Brands,
Inc. -- Class A*......... 520 3,188
Internet Capital Group,
Inc.*.................... 870 4,724
j2 Global Communications,
Inc.*.................... 1,050 25,189
Keynote Systems, Inc.*...... 330 2,544
Knot, Inc.(The)*............ 700 6,349
Limelight Networks, Inc.*... 680 3,332
Liquidity Services, Inc.*... 350 2,636
LoopNet, Inc.*.............. 690 5,927
Marchex, Inc. -- Class B.... 500 2,260
MercadoLibre, Inc.*......... 600 16,398
ModusLink Global Solutions,
Inc.*.................... 1,090 4,033
Move, Inc.*................. 3,039 6,230
NIC, Inc. .................. 940 5,076
Omniture, Inc.*............. 1,560 19,219
Perficient, Inc.*........... 760 5,297
Rackspace Hosting, Inc.*.... 410 3,768
RealNetworks, Inc.*......... 2,030 4,994
S1 Corp.*................... 1,110 6,882
SAVVIS, Inc.*............... 890 10,128
SonicWALL, Inc.*............ 1,260 6,842
SupportSoft, Inc.*.......... 1,100 2,475
Switch & Data Facilities
Co., Inc.*............... 490 5,669
TechTarget, Inc.*........... 330 1,323
</Table>
See Notes to Financial Statements.
40
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Terremark Worldwide, Inc.*.. 1,250 $4,863
TheStreet.com, Inc. ........ 430 916
United Online, Inc. ........ 1,820 9,646
ValueClick, Inc.*........... 2,050 21,730
Vignette Corp.*............. 580 4,791
VistaPrint, Ltd.*........... 1,040 35,724
Vocus, Inc.*................ 380 6,460
Web.com Group, Inc.*........ 650 2,704
Websense, Inc.*............. 1,070 19,078
-----------
TOTAL INTERNET SOFTWARE & SERVICES 395,925
-----------
IT SERVICES 1.6%
Acxiom Corp. ............... 1,450 13,992
CACI International,
Inc. -- Class A*......... 710 28,080
Cass Information Systems,
Inc. .................... 160 5,397
China Information Security
Technology, Inc*......... 540 1,642
Ciber, Inc.*................ 1,440 4,651
CSG Systems International,
Inc.*.................... 830 12,035
Cybersource Corp.*.......... 1,630 23,814
Euronet Worldwide, Inc.*.... 1,120 18,122
ExlService Holdings, Inc.*.. 340 3,165
Forrester Research, Inc.*... 370 9,402
Gartner, Inc.*.............. 1,400 18,914
Gevity HR, Inc. ............ 580 2,297
Global Cash Access Holdings,
Inc.*.................... 950 5,766
Hackett Group Inc (The)*.... 970 2,183
Heartland Payment Systems,
Inc. .................... 580 4,663
iGate Corp. ................ 520 1,971
infoGROUP, Inc.*............ 780 3,159
Integral Systems, Inc.*..... 400 2,652
Mantech International
Corp. -- Class A*........ 490 17,733
MAXIMUS, Inc. .............. 420 16,939
NCI, Inc. -- Class A*....... 150 3,654
Ness Technologies, Inc.*.... 930 3,432
Online Resources Corp.*..... 680 2,917
Perot Systems Corp. -- Class
A*....................... 2,050 28,823
RightNow Technologies,
Inc.*.................... 620 4,681
Safeguard Scientifics,
Inc.*.................... 2,879 2,620
Sapient Corp.*.............. 2,080 10,670
SRA International,
Inc. -- Class A*......... 1,010 15,544
Syntel, Inc. ............... 310 8,593
TeleTech Holdings, Inc.*.... 860 11,412
TNS, Inc.*.................. 580 9,773
VeriFone Holdings, Inc.*.... 1,620 12,166
Virtusa Corp.*.............. 210 1,342
Wright Express Corp.*....... 920 21,050
-----------
TOTAL IT SERVICES 333,254
-----------
LEISURE EQUIPMENT & PRODUCTS 0.5%
Brunswick Corp. ............ 2,070 12,379
Callaway Golf Co. .......... 1,570 11,853
JAKKS Pacific, Inc.*........ 650 8,223
Leapfrog Enterprises,
Inc.*.................... 780 1,396
Marine Products Corp. ...... 240 1,116
Nautilus, Inc.*............. 540 540
Polaris Industries, Inc. ... 780 26,091
Pool Corp. ................. 1,130 20,182
RC2 Corp.*.................. 410 4,637
Smith & Wesson Holding
Corp.*................... 890 6,381
Steinway Musical
Instruments*............. 160 2,149
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 94,947
-----------
LIFE SCIENCES TOOLS & SERVICES 1.0%
Accelrys, Inc.*............. 630 2,835
Affymetrix, Inc.*........... 1,640 7,692
Albany Molecular Research,
Inc.*.................... 550 5,368
AMAG Pharmaceuticals,
Inc.*.................... 400 17,940
Bio-Rad Laboratories,
Inc. -- Class A*......... 450 31,360
Bruker Corp.*............... 1,190 7,830
Caliper Life Sciences,
Inc.*.................... 1,130 1,627
Cambrex Corp.*.............. 690 1,608
Clinical Data, Inc.*........ 270 3,459
Dionex Corp.*............... 430 27,090
Enzo Biochem, Inc.*......... 760 3,116
eResearchTechnology, Inc.*.. 1,020 5,171
Exelixis, Inc.*............. 2,490 12,276
Kendle International,
Inc.*.................... 310 2,759
Life Sciences Research,
Inc.*.................... 220 1,487
Luminex Corp.*.............. 980 16,082
Nektar Therapeutics*........ 2,190 12,264
Parexel International
Corp.*................... 1,340 13,279
Sequenom, Inc.*............. 1,440 5,213
Varian, Inc.*............... 700 23,114
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 201,570
-----------
MACHINERY 2.5%
3D Systems Corp.*........... 420 2,944
Actuant Corp. -- Class A.... 1,320 16,183
Alamo Group, Inc. .......... 150 1,689
Albany International
Corp. -- Class A......... 700 6,496
Altra Holdings, Inc.*....... 620 3,391
American Railcar Industries,
Inc. .................... 220 2,006
Ampco-Pittsburgh Corp. ..... 200 4,872
Astec Industries, Inc.*..... 430 13,253
Badger Meter, Inc. ......... 350 13,636
Barnes Group, Inc. ......... 1,130 16,001
Blount International,
Inc.*.................... 900 5,760
Briggs & Stratton Corp. .... 1,170 17,410
Cascade Corp. .............. 210 5,076
Chart Industries, Inc.*..... 670 9,266
China Fire & Security Group,
Inc.*.................... 330 3,633
CIRCOR International,
Inc. .................... 400 10,292
CLARCOR, Inc. .............. 1,190 36,985
Colfax Corp.*............... 510 4,401
Columbus McKinnon Corp.*.... 450 5,832
Commercial Vehicle Group,
Inc.*.................... 510 490
Dynamic Materials Corp. .... 300 4,812
Energy Recovery, Inc.*...... 350 2,758
EnPro Industries, Inc.*..... 480 7,661
ESCO Technologies, Inc.*.... 610 25,364
Federal Signal Corp. ....... 1,140 8,858
Flanders Corp.*............. 380 2,018
Flow International Corp.*... 890 1,620
Force Protection, Inc.*..... 1,620 12,344
FreightCar America, Inc. ... 280 5,384
Gorman-Rupp Co. ............ 340 7,242
Graham Corp. ............... 230 2,875
Greenbrier Cos., Inc. ...... 390 3,319
Hurco Cos., Inc.*........... 150 2,300
K-Tron International,
Inc.*.................... 60 4,825
Kadant, Inc.*............... 310 3,825
Kaydon Corp. ............... 810 25,888
Key Technology, Inc.*....... 120 1,265
LB Foster Co. -- Class A*... 240 7,860
Lindsay Corp. .............. 280 10,895
Lydall, Inc.*............... 390 1,673
Met-Pro Corp. .............. 360 3,668
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 41
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Middleby Corp.*............. 430 $18,821
Mueller Industries, Inc. ... 880 19,334
Mueller Water Products,
Inc. -- Class A.......... 2,720 11,397
NACCO Industries,
Inc. -- Class A.......... 140 5,355
NN, Inc. ................... 380 498
Nordson Corp. .............. 800 29,024
Omega Flex, Inc. ........... 70 1,082
PMFG, Inc.*................. 310 1,866
RBC Bearings, Inc.*......... 520 9,620
Robbins & Myers, Inc. ...... 660 12,507
Sauer-Danfoss, Inc. ........ 260 1,079
Sun Hydraulics Corp. ....... 280 5,068
Tecumseh Products
Co. -- Class A*.......... 390 3,982
Tennant Co. ................ 390 5,799
Thermadyne Holdings Corp.*.. 320 1,024
Titan International, Inc. .. 810 4,900
Trimas Corp.*............... 350 875
Twin Disc, Inc. ............ 210 1,432
Wabash National Corp. ...... 730 913
Wabtec Corp. ............... 1,150 43,861
Watts Water Technologies,
Inc. -- Class A.......... 690 15,359
Xerium Technologies, Inc.*.. 490 407
-----------
TOTAL MACHINERY 520,273
-----------
MARINE 0.2%
American Commercial Lines,
Inc.*.................... 850 4,233
Eagle Bulk Shipping, Inc. .. 1,110 7,237
Genco Shipping & Trading,
Ltd. .................... 570 10,887
Horizon Lines, Inc. -- Class
A........................ 710 3,777
International Shipholding
Corp. ................... 130 2,730
TBS International, Ltd.*.... 250 1,983
Ultrapetrol Bahamas, Ltd.*.. 550 2,046
-----------
TOTAL MARINE 32,893
-----------
MEDIA 0.9%
AH Belo Corp. -- Class A.... 480 912
Arbitron, Inc. ............. 650 13,533
Belo Corp. -- Class A....... 2,110 3,587
Cinemark Holdings, Inc. .... 710 6,319
CKX, Inc.*.................. 1,250 6,737
Cox Radio, Inc. -- Class
A*....................... 560 2,688
Crown Media Holdings,
Inc. -- Class A*......... 260 803
Cumulus Media, Inc. -- Class
A*....................... 590 726
Dolan Media Co.*............ 600 7,146
Entercom Communications
Corp. -- Class A......... 610 1,013
Entravision Communications
Corp. -- Class A*........ 1,330 678
Fisher Communications,
Inc. .................... 160 1,930
Global Sources, Ltd.*....... 380 1,691
Global Traffic Network,
Inc.*.................... 280 1,344
Gray Television, Inc. ...... 1,010 687
Harte-Hanks, Inc. .......... 870 7,186
Interactive Data Corp. ..... 870 19,558
Journal Communications,
Inc. -- Class A.......... 1,000 1,550
Knology, Inc.*.............. 670 4,757
Lee Enterprises, Inc. ...... 1,060 403
LIN TV Corp. -- Class A*.... 630 1,008
Live Nation, Inc.*.......... 1,790 6,999
Martha Stewart Living
Omnimedia, Inc. -- Class
A*....................... 600 2,172
Marvel Entertainment,
Inc.*.................... 1,160 34,614
McClatchy Co. -- Class A.... 1,350 715
Media General, Inc. -- Class
A........................ 540 1,404
Mediacom Communications
Corp. -- Class A*........ 930 5,292
National CineMedia, Inc. ... 1,000 14,530
Outdoor Channel Holdings,
Inc.*.................... 350 2,618
Playboy Enterprises,
Inc. -- Class B*......... 500 1,505
Primedia, Inc. ............. 600 2,340
RCN Corp.*.................. 890 3,649
RHI Entertainment, Inc.*.... 320 1,034
Scholastic Corp. ........... 570 11,246
Sinclair Broadcast Group,
Inc. -- Class A.......... 1,150 1,276
Valassis Communications,
Inc.*.................... 1,140 5,894
Value Line, Inc. ........... 30 841
World Wrestling
Entertainment,
Inc. -- Class A.......... 500 5,350
-----------
TOTAL MEDIA 185,735
-----------
METALS & MINING 0.9%
Allied Nevada Gold Corp.*... 1,070 5,778
AM Castle & Co. ............ 390 3,779
AMCOL International Corp. .. 650 12,597
Brush Engineered Materials,
Inc.*.................... 480 8,122
China Direct, Inc.*......... 160 192
China Precision Stl, Inc.*.. 410 640
Coeur d'Alene Mines Corp.*.. 14,447 19,937
Compass Minerals
International, Inc. ..... 770 37,130
General Moly, Inc.*......... 1,480 2,250
General Stl Hldgs, Inc.*.... 250 1,455
Haynes International,
Inc.*.................... 280 6,322
Hecla Mining Co.*........... 5,139 12,693
Horsehead Holding Corp.*.... 830 5,926
Kaiser Aluminum Corp. ...... 370 10,930
Olympic Steel, Inc. ........ 210 3,851
Royal Gold, Inc. ........... 690 24,950
RTI International Metals,
Inc.*.................... 540 7,025
Stillwater Mining Co.*...... 940 4,239
Sutor Technology Group
Ltd.*.................... 180 405
Universal Stainless &
Alloy*................... 160 2,144
Worthington Industries,
Inc. .................... 1,520 22,648
-----------
TOTAL METALS & MINING 193,013
-----------
MULTI-UTILITIES 0.3%
Avista Corp. ............... 1,260 18,963
CH Energy Group, Inc. ...... 370 16,443
PNM Resources, Inc. ........ 2,040 17,381
-----------
TOTAL MULTI-UTILITIES....... 52,787
-----------
MULTILINE RETAIL 0.2%
99 Cents Only Stores*....... 1,110 11,921
Dillard's, Inc. -- Class A.. 1,350 10,409
Fred's, Inc. -- Class A..... 940 12,841
Retail Ventures, Inc.*...... 680 1,768
Tuesday Morning Corp.*...... 720 2,455
-----------
TOTAL MULTILINE RETAIL 39,394
-----------
OIL, GAS & CONSUMABLE FUELS 2.6%
Abraxas Petroleum Corp.*.... 990 871
Alon USA Energy, Inc. ...... 260 3,302
American Oil & Gas, Inc.*... 870 583
APCO Argentina, Inc. ....... 90 1,716
Approach Resources, Inc.*... 210 1,491
Arena Resources, Inc.*...... 900 25,803
Atlas America, Inc. ........ 820 12,759
ATP Oil & Gas Corp.*........ 660 4,726
</Table>
See Notes to Financial Statements.
42
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Berry Petroleum Co. -- Class
A........................ 1,010 $16,645
Bill Barrett Corp.*......... 870 22,603
BMB Munai, Inc.*............ 950 760
BPZ Resources, Inc.*........ 1,690 9,210
Brigham Exploration Co.*.... 1,090 2,551
Callon Petroleum Co.*....... 500 880
Cano Petroleum, Inc.*....... 1,120 717
Carrizo Oil & Gas, Inc.*.... 650 8,014
Cheniere Energy, Inc.*...... 1,240 4,886
Clayton Williams Energy,
Inc.*.................... 130 3,904
Clean Energy Fuels Corp.*... 580 4,907
Comstock Resources, Inc.*... 1,080 37,217
Concho Resources, Inc.*..... 1,310 35,920
Contango Oil & Gas Co.*..... 310 11,746
Crosstex Energy, Inc. ...... 950 1,872
CVR Energy, Inc.*........... 540 3,974
Delek US Holdings, Inc. .... 310 3,184
Delta Petroleum Corp.*...... 1,470 4,322
Dht Maritime, Inc. ......... 930 3,915
Double Eagle Petroleum
Co.*..................... 190 866
Endeavour International
Corp.*................... 2,690 4,277
Energy XXI Bermuda
Limtited................. 2,839 1,476
Evergreen Energy, Inc.*..... 2,919 3,214
EXCO Resources, Inc.*....... 3,529 41,572
FX Energy, Inc.*............ 1,000 3,760
Gasco Energy, Inc.*......... 2,220 1,110
General Maritime Corp. ..... 1,150 11,419
GeoGlobal Resources, Inc.*.. 900 1,269
GeoMet, Inc.*............... 440 414
Georesources, Inc.*......... 140 994
GMX Resources, Inc.*........ 400 4,376
Golar LNG, Ltd. ............ 840 4,528
Goodrich Petroleum Corp.*... 530 12,153
Gran Tierra Energy, Inc.*... 5,229 12,968
GreenHunter Energy, Inc.*... 110 165
Gulfport Energy Corp.*...... 620 1,841
Harvest Natural Resources,
Inc.*.................... 780 3,978
Houston American Energy
Corp. ................... 350 721
International Coal Group,
Inc.*.................... 3,009 5,988
James River Coal Co.*....... 650 9,256
Knightsbridge Tankers,
Ltd. .................... 400 5,292
McMoRan Exploration Co.*.... 1,420 7,796
Meridian Resource Corp.*.... 1,840 497
National Coal Corp.*........ 650 800
Nordic American Tanker
Shipping, Ltd. .......... 900 29,223
Northern Oil And Gas,
Inc.*.................... 500 2,855
Oilsands Quest, Inc.*....... 4,399 3,299
Pacific Ethanol, Inc.*...... 1,050 389
Panhandle Oil and Gas,
Inc. -- Class A.......... 170 2,915
Parallel Petroleum Corp.*... 980 1,303
Penn Virginia Corp. ........ 980 13,789
Petroleum Development
Corp.*................... 350 5,673
Petroquest Energy, Inc.*.... 1,030 3,100
PrimeEnergy Corp.*.......... 20 850
Quest Resource Corp.*....... 650 286
RAM Energy Resources,
Inc.*.................... 1,100 825
Rentech, Inc.*.............. 3,919 2,312
Rex Energy Corp.*........... 400 1,524
Rosetta Resources, Inc.*.... 1,220 8,601
Ship Finance International,
Ltd. .................... 1,000 8,630
Stone Energy Corp.*......... 750 3,232
Swift Energy Co.*........... 720 7,790
Teekay Tankers Ltd. ........ 320 3,859
Toreador Resources Corp. ... 400 1,480
Tri-Valley Corp.*........... 530 663
TXCO Resources, Inc.*....... 920 432
Uranium Resources, Inc.*.... 1,160 1,705
USEC, Inc.*................. 2,630 16,280
Vaalco Energy, Inc.*........ 1,400 6,678
Venoco, Inc.*............... 480 2,098
Warren Resources, Inc.*..... 1,380 2,208
Western Refining, Inc.*..... 710 8,939
Westmoreland Coal Co.*...... 220 1,870
World Fuel Services Corp. .. 680 25,928
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 537,944
-----------
PAPER & FOREST PRODUCTS 0.3%
Buckeye Technologies,
Inc.*.................... 930 4,789
Clearwater Paper Corp.*..... 270 4,109
Deltic Timber Corp. ........ 250 10,535
Glatfelter.................. 1,070 9,502
Kapstone Paper and Packaging
Corp.*................... 420 1,197
Louisiana-Pacific Corp. .... 2,440 9,931
Mercer International,
Inc.*.................... 710 405
Neenah Paper, Inc. ......... 350 1,753
Schweitzer-Mauduit
International, Inc. ..... 370 8,499
Verso Paper Corp. .......... 330 347
Wausau Paper Corp. ......... 1,040 9,079
-----------
TOTAL PAPER & FOREST PRODUCTS 60,146
-----------
PERSONAL PRODUCTS 0.3%
American Oriental
Bioengineering, Inc.*.... 1,460 6,190
Chattem, Inc.*.............. 410 22,513
China Sky One Med, Inc.*.... 190 2,681
Elizabeth Arden, Inc.*...... 580 5,023
Inter Parfums, Inc. ........ 330 2,561
Mannatech, Inc. ............ 370 1,617
Nu Skin Enterprises,
Inc. -- Class A.......... 1,170 14,999
Prestige Brands Holdings,
Inc.*.................... 800 5,168
Schiff Nutrition
International, Inc.*..... 220 1,056
USANA Health Sciences,
Inc.*.................... 160 3,826
-----------
TOTAL PERSONAL PRODUCTS 65,634
-----------
PHARMACEUTICALS 1.0%
Acura Pharmaceuticals,
Inc.*.................... 190 1,319
Adolor Corp.*............... 1,090 2,452
Akorn, Inc.*................ 1,350 1,134
Alexza Pharmaceuticals,
Inc.*.................... 560 930
Ardea Biosciences, Inc.*.... 340 4,196
Auxilium Pharmaceuticals,
Inc.*.................... 970 22,213
Biodel, Inc.*............... 250 1,200
BioForm Medical, Inc.*...... 520 582
BioMimetic Therapeutics,
Inc.*.................... 310 2,669
Cadence Pharmaceuticals,
Inc.*.................... 630 6,376
Caraco Pharmaceutical
Laboratories, Ltd.*...... 280 1,254
Columbia Laboratories,
Inc.*.................... 1,110 1,543
Cypress Bioscience, Inc.*... 890 6,408
Depomed, Inc.*.............. 1,210 2,517
Discovery Laboratories,
Inc.*.................... 2,430 2,114
Durect Corp.*............... 1,940 4,734
Inspire Pharmaceuticals,
Inc.*.................... 1,000 4,490
Javelin Pharmaceuticals,
Inc.*.................... 1,160 1,554
Jazz Pharmaceuticals,
Inc.*.................... 180 99
KV Pharmaceutical
Co. -- Class A*.......... 780 1,092
MAP Pharmaceuticals, Inc.*.. 180 508
Medicines Co.(The)*......... 1,230 12,275
Medicis Pharmaceutical
Corp. -- Class A......... 1,340 21,534
MiddleBrook Pharmaceuticals,
Inc.*.................... 850 1,198
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 43
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Noven Pharmaceuticals,
Inc.*.................... 590 $6,089
Obagi Medical Products,
Inc.*.................... 420 2,524
Optimer Pharmaceuticals,
Inc.*.................... 680 9,500
Pain Therapeutics, Inc.*.... 810 3,839
Par Pharmaceutical Cos.,
Inc.*.................... 820 8,799
Pozen, Inc.*................ 620 4,749
Questcor Pharmaceuticals,
Inc.*.................... 1,200 5,400
Salix Pharmaceuticals
Ltd.*.................... 1,130 12,430
Sucampo Pharmaceuticals,
Inc. -- Class A*......... 220 1,430
Valeant Pharmaceuticals
International*........... 1,510 25,307
Viropharma, Inc.*........... 1,860 10,472
Vivus, Inc.*................ 1,630 6,536
XenoPort, Inc.*............. 640 8,749
-----------
TOTAL PHARMACEUTICALS 210,215
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 4.6%
Acadia Realty Trust......... 800 11,600
Agree Realty Corp. ......... 180 2,873
Alexander's, Inc. .......... 50 10,904
American Campus Communities,
Inc. .................... 1,000 21,680
American Capital Agency
Corp. ................... 240 4,500
Anthracite Capital, Inc. ... 1,390 556
Anworth Mortgage Asset
Corp. ................... 2,350 15,110
Arbor Realty Trust, Inc. ... 340 955
Ashford Hospitality Trust,
Inc. .................... 1,880 5,678
Associated Estates Realty
Corp. ................... 340 1,887
BioMed Realty Trust, Inc. .. 1,900 21,679
Capital Trust, Inc. -- Class
A........................ 390 663
CapLease, Inc. ............. 1,060 3,148
Capstead Mortgage Corp. .... 1,490 16,971
Care Investment Trust,
Inc. .................... 310 1,581
Cedar Shopping Centers,
Inc. .................... 910 3,267
Chimera Investment Corp. ... 3,219 11,363
Cogdell Spencer, Inc. ...... 280 1,736
Colonial Properties Trust... 1,120 8,109
Corporate Office Properties
Trust.................... 990 30,254
Cousins Properties, Inc. ... 1,030 8,704
DCT Industrial Trust,
Inc. .................... 4,059 17,941
DiamondRock Hospitality
Co. ..................... 2,240 14,538
DuPont Fabros Technology,
Inc. .................... 310 2,632
EastGroup Properties,
Inc. .................... 590 19,830
Education Realty Trust,
Inc. .................... 670 3,142
Entertainment Properties
Trust.................... 820 18,950
Equity Lifestyle Properties,
Inc. .................... 480 19,042
Equity One, Inc. ........... 760 11,309
Extra Space Storage, Inc. .. 2,020 14,362
FelCor Lodging Trust,
Inc. .................... 1,490 2,950
First Industrial Realty
Trust, Inc. ............. 1,050 3,959
First Potomac Realty Trust.. 650 6,364
Franklin Street Properties
Corp. ................... 1,400 18,690
Friedman, Billings, Ramsey
Group, Inc. -- Class A*.. 3,499 945
Getty Realty Corp. ......... 410 8,044
Glimcher Realty Trust....... 890 2,181
Gramercy Capital Corp. ..... 990 2,138
Hatteras Financial Corp. ... 370 8,906
Healthcare Realty Trust,
Inc. .................... 1,390 23,338
Hersha Hospitality Trust.... 1,140 4,161
Highwoods Properties,
Inc. .................... 1,500 35,985
Home Properties, Inc. ...... 750 27,330
Inland Real Estate Corp. ... 1,360 11,941
Investors Real Estate
Trust.................... 1,360 12,580
Kite Realty Group Trust..... 560 1,960
LaSalle Hotel Properties.... 950 11,362
Lexington Realty Trust...... 2,000 7,700
LTC Properties, Inc. ....... 550 9,905
Maguire Properties, Inc.*... 900 981
Medical Properties Trust,
Inc. .................... 1,890 10,093
MFA Mortgage Investments,
Inc. .................... 5,269 31,034
Mid-America Apartment
Communities, Inc. ....... 670 24,783
Mission West Properties..... 470 3,201
Monmouth Real Estate
Investment Corp. -- Class
A........................ 470 2,876
National Health Investors,
Inc. .................... 530 14,215
National Retail Properties,
Inc. .................... 1,850 32,819
Newcastle Investment
Corp. ................... 1,250 775
NorthStar Realty Finance
Corp. ................... 1,320 4,184
Omega Healthcare Investors,
Inc. .................... 1,940 30,497
One Liberty Properties,
Inc. .................... 200 817
Parkway Properties, Inc. ... 360 4,993
Pennsylvania Real Estate
Investment Trust......... 830 6,433
Post Properties, Inc. ...... 1,040 13,270
Potlatch Corp. ............. 930 27,351
PS Business Parks, Inc. .... 360 15,750
RAIT Financial Trust........ 1,470 2,176
Ramco-Gershenson
Properties............... 370 4,070
Realty Income Corp. ........ 2,400 53,592
Redwood Trust, Inc. ........ 1,420 23,103
Resource Capital Corp. ..... 500 1,575
Saul Centers, Inc. ......... 220 7,005
Senior Housing Properties
Trust.................... 2,849 46,695
Sovran Self Storage, Inc. .. 520 11,721
Strategic Hotels & Resorts,
Inc. .................... 1,760 1,478
Sun Communities, Inc. ...... 390 5,714
Sunstone Hotel Investors,
Inc. .................... 1,280 6,771
Tanger Factory Outlet
Centers.................. 750 24,990
U-Store-It Trust............ 1,170 4,013
Universal Health Realty
Income Trust............. 280 8,966
Urstadt Biddle Properties,
Inc -- Class A........... 490 7,526
Washington Real Estate
Investment Trust......... 1,240 26,449
Winthrop Realty Trust....... 260 2,288
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 967,607
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
Avatar Holdings, Inc.*...... 140 2,601
Consolidated-Tomoka Land
Co. ..................... 130 4,523
Forestar Real Estate Group,
Inc.*.................... 840 10,802
FX Real Estate and
Entertainment, Inc.*..... 240 29
Grubb & Ellis Co. .......... 820 763
Maui Land & Pineapple Co.,
Inc.*.................... 110 698
Stratus Properties, Inc.*... 150 1,354
Tejon Ranch Co.*............ 260 6,032
Thomas Properties Group,
Inc. .................... 560 1,126
-----------
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 27,928
-----------
ROAD & RAIL 0.7%
Amerco, Inc.*............... 220 7,139
Arkansas Best Corp. ........ 540 12,463
Celadon Group, Inc.*........ 520 3,557
Dollar Thrifty Automotive
Group*................... 510 1,918
Genesee & Wyoming,
Inc. -- Class A*......... 730 21,900
Greenhunter Energy, Inc. ... 3 --
Heartland Express, Inc. .... 1,250 18,687
Knight Transportation,
Inc. .................... 1,350 23,868
Marten Transport, Ltd.*..... 360 7,466
Old Dominion Freight Line,
Inc.*.................... 650 18,297
</Table>
See Notes to Financial Statements.
44
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Patriot Transportation
Holding, Inc.*........... 40 $2,762
Saia, Inc.*................. 320 4,179
Universal Truckload
Services, Inc. .......... 140 1,725
Werner Enterprises, Inc. ... 1,010 16,514
YRC Worldwide, Inc.*........ 1,350 4,091
-----------
TOTAL ROAD & RAIL 144,566
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.8%
Actel Corp.*................ 600 7,422
Advanced Analogic
Technologies, Inc.*...... 1,020 4,896
Advanced Energy Industries,
Inc.*.................... 780 6,575
Amkor Technology, Inc.*..... 2,580 11,120
Anadigics, Inc.*............ 1,480 4,470
Applied Micro Circuits
Corp.*................... 1,530 8,338
Atheros Communications,
Inc.*.................... 1,400 24,108
ATMI, Inc.*................. 760 12,000
AuthenTec, Inc.*............ 590 1,097
Axcelis Technologies,
Inc.*.................... 2,420 1,137
Brooks Automation, Inc.*.... 1,500 9,330
Cabot Microelectronics
Corp.*................... 560 16,134
Cavium Networks, Inc.*...... 720 9,058
Ceva, Inc.*................. 480 3,960
Cirrus Logic, Inc.*......... 1,540 7,161
Cohu, Inc. ................. 550 5,368
Cymer, Inc.*................ 720 20,455
Diodes, Inc.*............... 680 10,118
DSP Group, Inc.*............ 550 3,459
Emcore Corp.*............... 1,740 2,158
Entegris, Inc.*............. 2,700 3,996
Entropic Communications,
Inc.*.................... 220 403
Exar Corp.*................. 880 5,412
FEI Co.*.................... 860 14,775
Formfactor, Inc.*........... 1,160 20,219
Hittite Microwave Corp.*.... 460 17,094
IXYS Corp. ................. 570 5,438
Kopin Corp.*................ 1,630 4,482
Kulicke & Soffa Industries,
Inc.*.................... 1,440 5,760
Lattice Semiconductor
Corp.*................... 2,729 4,748
LTX -- Credence Corp.*...... 2,959 1,450
Mattson Technology, Inc.*... 1,170 1,346
Micrel, Inc. ............... 1,080 8,100
Microsemi Corp.*............ 1,960 26,303
Microtune, Inc.*............ 1,280 2,675
MIPS Technologies, Inc.*.... 1,050 3,486
MKS Instruments, Inc.*...... 1,180 18,467
Monolithic Power Systems,
Inc.*.................... 620 11,470
Netlogic Microsystems,
Inc.*.................... 400 13,036
NVE Corp.*.................. 110 4,184
OmniVision Technologies,
Inc.*.................... 1,210 11,507
Pericom Semiconductor
Corp.*................... 520 4,633
Photronics, Inc.*........... 990 1,653
PLX Technology, Inc.*....... 800 2,712
PMC -- Sierra, Inc.*........ 5,179 41,018
Power Integrations, Inc. ... 650 13,845
RF Micro Devices, Inc.*..... 6,229 13,143
Rubicon Technology, Inc.*... 310 2,629
Rudolph Technologies,
Inc.*.................... 720 3,766
Semitool, Inc.*............. 530 2,518
Semtech Corp.*.............. 1,460 21,053
Sigma Designs, Inc.*........ 630 8,140
Silicon Image, Inc.*........ 1,730 4,706
Silicon Storage Technology,
Inc.*.................... 1,850 3,422
Sirf Technology Holdings,
Inc.*.................... 1,440 4,003
Skyworks Solutions, Inc.*... 3,859 34,114
Spansion, Inc. -- Class A*.. 3,019 483
Standard Microsystems
Corp.*................... 530 8,406
Supertex, Inc.*............. 260 6,687
Techwell, Inc.*............. 360 2,653
Tessera Technologies,
Inc.*.................... 1,140 16,006
Trident Microsystems,
Inc.*.................... 1,440 1,973
TriQuint Semiconductor,
Inc.*.................... 3,389 12,980
Ultra Clean Holdings*....... 460 837
Ultratech, Inc.*............ 550 7,436
Veeco Instruments, Inc.*.... 750 5,430
Volterra Semiconductor
Corp.*................... 540 6,205
Zoran Corp.*................ 1,230 10,996
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 594,162
-----------
SOFTWARE 3.9%
ACI Worldwide, Inc.*........ 810 13,989
Actuate Corp.*.............. 1,060 3,922
Advent Software, Inc.*...... 370 12,299
American Software,
Inc. -- Class A.......... 530 2,942
ArcSight, Inc.*............. 160 2,416
Ariba, Inc.*................ 2,020 19,412
Blackbaud, Inc. ............ 1,060 16,133
Blackboard, Inc.*........... 730 24,842
Bottomline Technologies,
Inc.*.................... 520 4,082
Callidus Software, Inc.*.... 710 2,293
Commvault Systems, Inc.*.... 1,010 12,574
Concur Technologies, Inc.*.. 1,020 27,611
Deltek, Inc.*............... 300 1,236
DemandTec, Inc.*............ 490 3,538
Digimarc Corp.*............. 160 1,594
Double-Take Software,
Inc.*.................... 410 3,329
Ebix, Inc.*................. 150 4,170
Entrust, Inc.*.............. 1,450 2,828
Epicor Software Corp.*...... 1,400 7,728
EPIQ Systems, Inc.*......... 840 12,995
Fair Isaac Corp. ........... 1,150 19,343
FalconStor Software, Inc.*.. 840 3,108
Guidance Software, Inc.*.... 220 810
i2 Technologies, Inc.*...... 370 3,300
Informatica Corp.*.......... 2,090 33,231
Interactive Intelligence,
Inc.*.................... 310 3,410
Jack Henry & Associates,
Inc. .................... 1,770 31,895
JDA Software Group, Inc.*... 610 8,607
Kenexa Corp.*............... 530 3,477
Lawson Software, Inc.*...... 2,789 15,033
Macrovision Solutions
Corp.*................... 1,950 39,429
Magma Design Automation,
Inc.*.................... 1,110 1,976
Manhattan Associates,
Inc.*.................... 580 9,640
Mentor Graphics Corp.*...... 2,150 14,448
MICROS Systems, Inc.*....... 1,930 40,491
MicroStrategy, Inc. -- Class
A*....................... 210 8,171
Monotype Imaging Holdings,
Inc.*.................... 360 1,336
MSC.Software Corp.*......... 1,060 6,508
Net 1 UEPS Technologies,
Inc.*.................... 1,180 19,470
Netscout Systems, Inc.*..... 700 6,293
NetSuite, Inc.*............. 170 2,378
OpenTV Corp. -- Class A*.... 2,060 3,028
Opnet Technologies, Inc.*... 310 2,666
Parametric Technology
Corp.*................... 2,729 30,428
Pegasystems, Inc. .......... 340 5,940
Phoenix Technologies Ltd.*.. 690 1,967
Progress Software Corp.*.... 980 20,766
PROS Holdings, Inc.*........ 300 1,938
QAD, Inc. .................. 290 771
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 45
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
Quality Systems, Inc. ...... 410 $21,984
Quest Software, Inc.*....... 1,560 22,667
Radiant Systems, Inc.*...... 650 4,791
Renaissance Learning,
Inc. .................... 230 2,208
Smith Micro Software,
Inc.*.................... 720 6,192
Solera Holdings, Inc.*...... 1,310 29,894
Sonic Solutions, Inc.*...... 520 1,144
Sourcefire, Inc.*........... 470 5,090
SPSS, Inc.*................. 420 12,978
SuccessFactors, Inc.*....... 580 5,052
Sybase, Inc.*............... 1,880 63,845
Symyx Technologies*......... 800 3,872
Synchronoss Technologies,
Inc.*.................... 490 6,507
Take-Two Interactive
Software, Inc. .......... 1,820 16,526
Taleo Corp. Class A*........ 620 7,446
TeleCommunication Systems,
Inc. -- Class A*......... 850 8,338
THQ, Inc.*.................. 1,580 5,404
TIBCO Software, Inc.*....... 4,139 26,158
Tivo, Inc.*................. 2,410 18,075
Tyler Technologies, Inc.*... 840 13,860
Ultimate Software Group,
Inc.*.................... 580 10,863
Unica Corp.*................ 330 1,581
Vasco Data Security
International, Inc.*..... 640 4,429
Wind River Systems, Inc.*... 1,610 11,801
-----------
TOTAL SOFTWARE 830,496
-----------
SPECIALTY RETAIL 3.0%
Aaron Rents, Inc. .......... 1,070 35,909
Aeropostale, Inc.*.......... 1,580 53,673
America's Car-Mart, Inc.*... 240 3,893
Asbury Automotive Group,
Inc. .................... 760 7,349
Bebe Stores, Inc. .......... 910 8,372
Big 5 Sporting Goods
Corp. ................... 520 4,280
Blockbuster, Inc. -- Class
A*....................... 4,189 3,351
Borders Group, Inc.*........ 1,430 3,904
Brown Shoe Co., Inc. ....... 1,000 6,430
Buckle, Inc.(The)........... 550 20,553
Build-A-Bear Workshop,
Inc.*.................... 390 2,129
Cabela's, Inc.*............. 930 11,913
Cache, Inc.*................ 270 1,229
Casual Male Retail Group,
Inc.*.................... 880 1,118
Cato Corp. -- Class A....... 650 12,493
Charlotte Russe Holding,
Inc.*.................... 490 6,149
Charming Shoppes, Inc.*..... 2,680 9,353
Chico's FAS, Inc.*.......... 4,179 31,928
Children's Place Retail
Stores, Inc.(The)*....... 550 15,642
Christopher & Banks Corp. .. 830 4,615
Citi Trends, Inc.*.......... 340 8,350
Coldwater Creek, Inc.*...... 1,350 4,658
Collective Brands, Inc.*.... 1,510 21,925
Conn's, Inc.*............... 230 3,781
Dress Barn, Inc.*........... 1,060 16,048
DSW, Inc. -- Class A*....... 320 3,478
Finish Line, Inc. -- Class
A........................ 1,010 8,585
Genesco, Inc.*.............. 450 10,251
Group 1 Automotive, Inc. ... 550 11,715
Gymboree Corp.*............. 670 23,048
Haverty Furniture Cos.,
Inc. .................... 420 4,557
hhgregg, Inc.*.............. 300 4,980
Hibbett Sports, Inc.*....... 670 13,969
Hot Topic, Inc.*............ 1,030 12,607
J. Crew Group, Inc.*........ 1,000 17,210
Jo-Ann Stores, Inc.*........ 600 10,992
Jos. A. Bank Clothiers,
Inc.*.................... 430 17,389
Lumber Liquidators, Inc.*... 220 3,291
MarineMax, Inc.*............ 390 1,775
Men's Wearhouse, Inc.(The).. 1,220 22,741
Midas, Inc.*................ 330 3,300
Monro Muffler, Inc. ........ 390 9,738
New York & Co, Inc.*........ 550 3,190
Pacific Sunwear of
California, Inc.*........ 1,560 6,318
PEP Boys-Manny Moe & Jack... 1,000 7,400
Pier 1 Imports, Inc.*....... 2,110 3,946
Rent-A-Center, Inc.*........ 1,580 30,415
Rex Stores Corp.*........... 190 2,261
Sally Beauty Holdings,
Inc.*.................... 2,230 16,502
Shoe Carnival, Inc.*........ 210 2,449
Sonic Automotive,
Inc. -- Class A.......... 620 3,199
Stage Stores, Inc. ......... 910 11,147
Stein Mart, Inc.*........... 600 2,622
Syms Corp.*................. 160 906
Systemax, Inc.*............. 260 4,384
Talbots, Inc. .............. 580 1,369
Tractor Supply Co.*......... 790 31,900
Tween Brands, Inc.*......... 590 1,723
Ulta Salon Cosmetics &
Fragrance, Inc.*......... 480 4,200
Wet Seal, Inc.(The) -- Class
A*....................... 2,180 8,306
Zale Corp.*................. 760 2,827
Zumiez, Inc.*............... 460 5,548
-----------
TOTAL SPECIALTY RETAIL 629,283
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.4%
American Apparel, Inc.*..... 800 5,400
Carter's, Inc.*............. 1,340 28,649
Cherokee, Inc. ............. 180 3,289
Columbia Sportswear Co. .... 290 8,909
Crocs, Inc.*................ 1,970 4,433
Deckers Outdoor Corp.*...... 310 17,521
FGX International Holdings,
Ltd.*.................... 330 3,802
Fossil, Inc.*............... 1,070 21,571
Fuqi Intl, Inc.*............ 230 1,444
G-III Apparel Group, Ltd.*.. 310 2,486
Iconix Brand Group, Inc.*... 1,360 19,394
K-Swiss, Inc. -- Class A.... 610 6,124
Kenneth Cole Productions,
Inc. -- Class A.......... 210 1,453
Lululemon Athletica, Inc.*.. 460 6,417
Maidenform Brands, Inc.*.... 530 6,757
Movado Group, Inc. ......... 380 3,485
Oxford Industries, Inc. .... 340 3,312
Perry Ellis International,
Inc.*.................... 290 2,126
Quiksilver, Inc.*........... 2,979 4,915
Skechers U.S.A.,
Inc. -- Class A*......... 780 9,126
Steven Madden, Ltd.*........ 420 12,356
Timberland Co. -- Class A*.. 1,130 18,351
True Religion Apparel,
Inc.*.................... 400 6,304
Under Armour, Inc. -- Class
A*....................... 780 18,361
Unifi, Inc.*................ 1,070 963
Unifirst Corp. ............. 340 12,679
Volcom, Inc.*............... 430 5,801
Warnaco Group, Inc.*........ 1,080 31,147
Weyco Group, Inc. .......... 170 4,667
Wolverine World Wide,
Inc. .................... 1,180 24,579
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 295,821
-----------
</Table>
See Notes to Financial Statements.
46
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE 1.2%
Abington Bancorp, Inc. ..... 530 $4,659
Anchor BanCorp Wisconsin,
Inc. .................... 450 734
Bank Mutual Corp. .......... 1,140 11,708
BankFinancial Corp. ........ 470 5,029
Beneficial Mutual Bancorp,
Inc.*.................... 770 7,746
Berkshire Hills Bancorp,
Inc. .................... 280 6,317
Brookline Bancorp, Inc. .... 1,380 13,690
Brooklyn Fed Bancorp,
Inc. .................... 80 994
Clifton Savings Bancorp,
Inc. .................... 250 2,745
Corus Bankshares, Inc.*..... 890 187
Danvers Bancorp, Inc. ...... 420 6,094
Dime Community Bancshares... 560 4,670
Doral Financial Corp.*...... 130 618
ESSA Bancorp, Inc. ......... 370 5,047
Federal Agricultural
Mortgage Corp. -- Class
C........................ 220 695
First Financial Holdings,
Inc. .................... 280 2,520
First Financial Northwest... 490 3,954
First Niagara Financial
Group, Inc. ............. 2,799 37,898
First Place Financial
Corp. ................... 400 2,272
Flagstar Bancorp, Inc.*..... 1,980 2,871
Flushing Financial Corp. ... 510 4,697
Fox Chase Bancorp, Inc.*.... 150 1,422
Guaranty Financial Group,
Inc.*.................... 2,150 1,268
Home Federal Bancorp
Inc/ID................... 160 1,614
Kearny Financial Corp. ..... 420 4,683
Meridian Interstate Bancorp,
Inc.*.................... 250 1,995
NASB Financial, Inc. ....... 80 1,765
NewAlliance Bancshares,
Inc. .................... 2,570 33,179
Northwest Bancorp, Inc. .... 400 7,032
OceanFirst Financial
Corp. ................... 210 2,551
Ocwen Financial Corp.*...... 840 9,341
Oritani Financial Corp.*.... 290 4,115
PMI Group, Inc.(The)........ 1,920 1,210
Provident Financial
Services, Inc. .......... 1,410 15,045
Provident New York Bancorp.. 950 8,046
Radian Group, Inc. ......... 1,900 3,287
Rockville Financial, Inc. .. 210 1,976
Roma Financial Corp. ....... 210 2,732
TrustCo Bank Corp. ......... 1,790 10,740
United Community Financial
Corp. ................... 640 1,325
United Financial Bancorp,
Inc. .................... 400 5,308
ViewPoint Financial Group... 260 4,046
Waterstone Financial Inc.*.. 160 456
Westfield Financial, Inc. .. 750 7,005
WSFS Financial Corp. ....... 150 4,066
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 259,352
-----------
TOBACCO 0.2%
Alliance One International,
Inc.*.................... 2,100 7,875
Star Scientific, Inc.*...... 1,740 8,561
Universal Corp. ............ 600 18,096
Vector Group, Ltd. ......... 780 10,514
-----------
TOTAL TOBACCO 45,046
-----------
TRADING COMPANIES & DISTRIBUTORS 0.6%
Aceto Corp. ................ 580 4,147
Aircastle Ltd. ............. 1,100 7,260
Applied Industrial
Technologies, Inc. ...... 1,000 22,500
Beacon Roofing Supply,
Inc.*.................... 1,050 16,695
DXP Enterprises, Inc.*...... 170 2,258
H&E Equipment Services,
Inc.*.................... 390 2,937
Houston Wire & Cable Co. ... 420 4,049
Interline Brands, Inc.*..... 770 9,979
Kaman Corp. -- Class A...... 600 10,146
Lawson Products, Inc. ...... 100 1,148
RSC Holdings, Inc.*......... 1,130 8,079
Rush Enterprises,
Inc. -- Class A*......... 800 10,528
TAL International Group,
Inc. .................... 340 3,257
Textainer Group Holdings,
Ltd. .................... 230 2,038
Titan Machinery, Inc.*...... 170 1,722
Watsco, Inc. ............... 550 23,622
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 130,365
-----------
TRANSPORTATION INFRASTRUCTURE 0.0%(A)
CAI International, Inc.*.... 170 622
-----------
TOTAL TRANSPORTATION INFRASTRUCTURE 622
-----------
WATER UTILITIES 0.3%
American States Water Co. .. 410 14,157
Cadiz, Inc.*................ 280 1,694
California Water Service
Group.................... 460 17,954
Connecticut Water Service,
Inc. .................... 200 4,148
Consolidated Water Co.,
Ltd. .................... 340 4,560
Middlesex Water Co. ........ 310 4,371
SJW Corp. .................. 310 7,812
Southwest Water Co. ........ 580 3,329
-----------
TOTAL WATER UTILITIES 58,025
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
Centennial Communications
Corp.*................... 1,590 13,149
FiberTower Corp.*........... 2,849 1,111
ICO Global Communications
Holdings, Ltd.*.......... 2,450 1,348
iPCS, Inc.*................. 410 5,953
Syniverse Holdings, Inc.*... 1,210 15,246
TerreStar Corp.*............ 1,380 704
USA Mobility, Inc. ......... 460 5,115
Virgin Mobile USA,
Inc. -- Class A*......... 870 1,783
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 44,409
-----------
TOTAL COMMON STOCKS
(Cost $15,537,006) 17,227,039
-----------
RIGHTS & WARRANTS 0.0%(A)
Deltek Inc., expires
6/30/09*................. 280 0
-----------
TOTAL RIGHTS & WARRANTS
(Cost $0) 0
-----------
<Caption>
FACE
AMOUNT
- ---------------------------------------------------------
REPURCHASE AGREEMENTS 5.2%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at $1,106,003
on 05/01/09
collateralized by
$1,110,000 FHLMC at
2.875% due 04/30/10 with
a value of $1,132,200.... $1,106,000 1,106,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,106,000) 1,106,000
-----------
TOTAL INVESTMENTS 87.1%
(Cost $16,643,006) 18,333,039
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--12.9% 2,705,534
-----------
NET ASSETS--100.0% $21,038,573
- ---------------------------------------------------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
RYDEX 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
CONTRACTS GAIN
- ---------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2009 Russell 2000 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$7,105,820).............. 146 $724,147
-----------
<Caption>
UNITS
- ---------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009 Russell 2000
Index Swap, Terminating
06/26/09 (Notional Market
Value $14,585,318)**..... 29,915 $1,842,909
Goldman Sachs International
May 2009 Russell 2000
Index Swap, Terminating
05/07/09 (Notional Market
Value $3,179,140)**...... 6,521 963
-----------
(TOTAL NOTIONAL MARKET VALUE $17,764,458) $1,843,872
- ---------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Russell 2000 Index +/- financing at a variable
rate.
(a) Amount represents less than 0.05% of net assets.
FHLMC--Federal Home Loan Mortgage Corporation. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
48
RYDEX INVERSE 2X RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- --------------------------------------------------------
REPURCHASE AGREEMENTS 80.2%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at
$11,315,028 on 05/01/09
collateralized by
$11,315,000 FHLMC at
2.875% due 04/30/10 with
a value of $11,541,300.. $11,315,000 $11,315,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $11,315,000) 11,315,000
-----------
TOTAL INVESTMENTS 80.2%
(Cost $11,315,000) 11,315,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--19.8% 2,793,216
-----------
NET ASSETS--100.0% $14,108,216
- --------------------------------------------------------
</Table>
<Table>
<Caption>
UNREALIZED
CONTRACTS LOSS
- -----------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2009 Russell 2000 Index
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$4,234,290).............. 87 $(327,184)
- -----------------------------------------------------
</Table>
<Table>
<Caption>
UNREALIZED
UNITS LOSS
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 Russell 2000
Index Swap, Terminating
06/26/09 (Notional Market
Value $11,822,638)*........ 24,249 $(1,979,924)
Goldman Sachs International
May 2009 Russell 2000 Index
Swap, Terminating 05/07/09
(Notional Market Value
$12,180,970)*.............. 24,983 (1,734,735)
-----------
(TOTAL NOTIONAL MARKET VALUE
$24,003,608) $(3,714,659)
- ------------------------------------------------------
</Table>
* Price return based on S&P Russell 2000 Index +/- financing at a variable
rate.
FHLMC--Federal Home Loan Mortgage Corporation. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
RYDEX 2X S&P SELECT SECTOR ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 83.5%
ENERGY EQUIPMENT & SERVICES 14.3%
Baker Hughes, Inc. ............ 2,820 $100,336
BJ Services Co. ............... 4,400 61,116
Cameron International Corp.*... 2,510 64,206
Diamond Offshore Drilling,
Inc. ....................... 840 60,824
ENSCO International, Inc. ..... 1,820 51,470
Halliburton Co. ............... 7,360 148,819
Nabors Industries, Ltd.*....... 4,240 64,490
National-Oilwell Varco, Inc.*.. 3,530 106,888
Rowan Cos., Inc. .............. 2,680 41,835
Schlumberger, Ltd. ............ 6,450 315,985
Smith International, Inc. ..... 2,510 64,884
---------
TOTAL ENERGY EQUIPMENT & SERVICES 1,080,853
---------
GAS UTILITIES 0.7%
EQT Corp. ..................... 1,630 54,817
---------
TOTAL GAS UTILITIES 54,817
---------
OIL, GAS & CONSUMABLE FUELS 68.5%
Anadarko Petroleum Corp. ...... 3,610 155,447
Apache Corp. .................. 2,560 186,522
Cabot Oil & Gas Corp. ......... 1,690 51,021
Chesapeake Energy Corp. ....... 5,050 99,535
Chevron Corp. ................. 13,310 879,791
ConocoPhillips................. 10,140 415,740
CONSOL Energy, Inc. ........... 2,080 65,062
Denbury Resources, Inc.*....... 1,610 26,211
Devon Energy Corp. ............ 3,440 178,364
El Paso Corp. ................. 8,410 58,029
EOG Resources, Inc. ........... 2,050 130,134
Exxon Mobil Corp. ............. 20,050 1,336,733
Hess Corp. .................... 2,280 124,921
Marathon Oil Corp. ............ 5,530 164,241
Massey Energy Co. ............. 2,800 44,548
Murphy Oil Corp. .............. 1,780 84,924
Noble Energy, Inc. ............ 1,600 90,800
Occidental Petroleum Corp. .... 4,840 272,444
Peabody Energy Corp. .......... 2,710 71,517
Pioneer Natural Resources
Co. ........................ 2,170 50,170
Range Resources Corp. ......... 1,620 64,751
Southwestern Energy Co.*....... 3,030 108,656
Spectra Energy Corp. .......... 5,940 86,130
Sunoco, Inc. .................. 1,700 45,067
Tesoro Corp. .................. 2,650 40,413
Valero Energy Corp. ........... 4,700 93,248
Williams Cos., Inc. ........... 5,980 84,318
XTO Energy, Inc. .............. 4,560 158,050
---------
TOTAL OIL, GAS & CONSUMABLE FUELS 5,166,787
---------
TOTAL COMMON STOCKS
(Cost $6,108,906) 6,302,457
- -----------------------------------------------------
</Table>
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ------------------------------------------------------
REPURCHASE AGREEMENTS 10.7%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at $804,002 on
05/01/09 collateralized by
$850,000 FNMA at 5.500%
due 07/14/28 with a value
of $824,500............... $804,000 $804,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $804,000) 804,000
----------
TOTAL INVESTMENTS 94.2%
(Cost $6,912,906) 7,106,457
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--5.8% 440,505
----------
NET ASSETS--100.0% $7,546,962
- ------------------------------------------------------
</Table>
<Table>
<Caption>
UNREALIZED
UNITS LOSS
- ----------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009
S&P Select Sector Energy
Index Swap, Terminating
06/26/09 (Notional
Market Value
$8,870,094)**.............. 19,354 $(51,285)
- ----------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Energy Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
50
RYDEX INVERSE 2X S&P SELECT SECTOR ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -------------------------------------------------------
REPURCHASE AGREEMENTS 89.1%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at $1,361,003
on 05/01/09
collateralized by
$1,435,000 FNMA at 5.500%
due 07/14/28 with a value
of $1,391,950............ $1,361,000 $1,361,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,361,000) 1,361,000
----------
TOTAL INVESTMENTS 89.1%
(Cost $1,361,000) 1,361,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--10.9% 167,011
----------
NET ASSETS--100.0% $1,528,011
- -------------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 S&P Select
Sector Energy Index Swap,
Terminating 06/26/09
(Notional Market Value
$2,993,089)*............. 6,531 $(77,101)
- -------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Energy Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
RYDEX 2X S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 82.1%
CAPITAL MARKETS 17.9%
Ameriprise Financial,
Inc. .................... 3,220 $84,847
Bank of New York Mellon
Corp. ................... 16,920 431,121
Charles Schwab Corp.(The)... 13,800 255,024
E*TRADE Financial Corp.*.... 8,420 12,041
Federated Investors,
Inc. -- Class B.......... 1,310 29,973
Franklin Resources, Inc. ... 2,230 134,870
Goldman Sachs Group,
Inc.(The)................ 7,400 950,900
Invesco Ltd. ............... 5,570 81,990
Janus Capital Group, Inc. .. 2,330 23,370
Legg Mason, Inc. ........... 2,100 42,147
Morgan Stanley.............. 15,820 373,985
Northern Trust Corp. ....... 3,510 190,804
State Street Corp. ......... 6,360 217,067
T. Rowe Price Group, Inc. .. 3,770 145,220
-----------
TOTAL CAPITAL MARKETS 2,973,359
-----------
COMMERCIAL BANKS 15.4%
BB&T Corp. ................. 8,230 192,088
Comerica, Inc. ............. 2,230 46,785
Fifth Third Bancorp......... 8,500 34,850
First Horizon National
Corp. ................... 3,110 35,796
Huntington Bancshares,
Inc. .................... 5,390 15,038
KeyCorp..................... 7,280 44,772
M&T Bank Corp. ............. 1,140 59,793
Marshall & Ilsley Corp. .... 3,910 22,600
PNC Financial Services
Group, Inc. ............. 6,300 250,110
Regions Financial Corp. .... 10,230 45,933
SunTrust Banks, Inc. ....... 5,250 75,810
U.S. Bancorp................ 25,840 470,805
Wells Fargo & Co. .......... 62,390 1,248,424
Zions Bancorp............... 1,700 18,581
-----------
TOTAL COMMERCIAL BANKS 2,561,385
-----------
CONSUMER FINANCE 3.8%
American Express Co. ....... 17,240 434,793
Capital One Financial
Corp. ................... 5,770 96,590
Discover Financial
Services................. 7,090 57,642
SLM Corp.*.................. 6,880 33,230
-----------
TOTAL CONSUMER FINANCE 622,255
-----------
DIVERSIFIED FINANCIAL SERVICES 21.1%
Bank of America Corp. ...... 94,250 841,652
CIT Group, Inc. ............ 5,720 12,698
Citigroup, Inc. ............ 80,620 245,891
CME Group, Inc. ............ 980 216,923
IntercontinentalExchange,
Inc.*.................... 1,070 93,732
JPMorgan Chase & Co. ....... 55,330 1,825,890
Leucadia National Corp.*.... 2,670 56,684
Moody's Corp. .............. 2,800 82,656
Nasdaq OMX Group (The)*..... 2,020 38,845
NYSE Euronext............... 3,810 88,278
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 3,503,249
-----------
INSURANCE 15.7%
AFLAC, Inc. ................ 6,880 198,763
Allstate Corp. ............. 7,890 184,074
American International
Group, Inc. ............. 39,610 54,662
Aon Corp. .................. 4,030 170,066
Assurant, Inc. ............. 1,730 42,281
Chubb Corp. ................ 5,190 202,151
Cincinnati Financial
Corp. ................... 2,390 57,241
Genworth Financial,
Inc. -- Class A.......... 6,380 15,057
Hartford Financial Services
Group, Inc. ............. 4,790 54,941
Lincoln National Corp. ..... 3,770 42,375
Loews Corp. ................ 5,320 132,415
Marsh & McLennan Cos.,
Inc. .................... 7,580 159,862
MBIA, Inc.*................. 2,520 11,920
MetLife, Inc. .............. 12,040 358,190
Principal Financial Group,
Inc. .................... 3,820 62,419
Progressive Corp.*.......... 9,960 152,189
Prudential Financial,
Inc. .................... 6,240 180,211
Torchmark Corp. ............ 1,240 36,369
Travelers Cos., Inc.(The)... 8,610 354,215
Unum Group.................. 4,880 79,739
XL Capital, Ltd. -- Class
A........................ 5,040 47,930
-----------
TOTAL INSURANCE 2,597,070
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 6.9%
Apartment Investment &
Management Co. -- Class
A........................ 1,730 12,629
AvalonBay Communities,
Inc. .................... 1,170 66,468
Boston Properties, Inc. .... 1,790 88,462
Equity Residential.......... 4,020 92,018
HCP, Inc. .................. 3,740 82,093
Health Care REIT, Inc. ..... 1,630 55,534
Host Hotels & Resorts,
Inc. .................... 8,700 66,903
Kimco Realty Corp. ......... 4,590 55,172
Plum Creek Timber Co.,
Inc. .................... 2,430 83,883
ProLogis.................... 6,180 56,300
Public Storage, Inc. ....... 1,850 123,691
Simon Property Group,
Inc. .................... 3,710 191,436
Ventas, Inc. ............... 2,300 65,872
Vornado Realty Trust........ 2,270 110,980
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,151,441
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2%
CB Richard Ellis Group,
Inc. -- Class A*......... 3,310 24,825
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 24,825
-----------
THRIFTS & MORTGAGE FINANCE 1.1%
Hudson City Bancorp, Inc. .. 7,690 96,586
People's United Financial,
Inc. .................... 5,130 80,131
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 176,717
-----------
TOTAL COMMON STOCKS
(Cost $10,736,976) 13,610,301
-----------
<Caption>
FACE
AMOUNT
- -------------------------------------------------------
REPURCHASE AGREEMENTS 0.9%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at $158,000
on 05/01/09
collateralized by
$170,000 FNMA at 5.500%
due 07/14/28 with a value
of $164,900.............. $158,000 158,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $158,000) 158,000
-----------
TOTAL INVESTMENTS 83.0%
(Cost $10,894,976) 13,768,301
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--17.0% 2,818,816
-----------
NET ASSETS--100.0% $16,587,117
- -------------------------------------------------------
</Table>
See Notes to Financial Statements.
52
RYDEX 2X S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
UNITS GAIN
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009 S&P Select
Sector Financial Index
Swap, Terminating
06/26/09 (Notional
Market Value
$19,948,505)**........... 185,103 $1,557,065
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Financial Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
RYDEX INVERSE 2X S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- --------------------------------------------------------
REPURCHASE AGREEMENTS 85.2%
State Street Bank & Trust
Co., 0.090%, dated
04/30/09, to be
repurchased at
$8,730,022 on 05/01/09
collateralized by
$9,180,000 FNMA at
5.500% due 07/14/28 with
a value of $8,904,600... $8,730,000 $8,730,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $8,730,000) 8,730,000
------------
TOTAL INVESTMENTS 85.2%
(Cost $8,730,000) 8,730,000
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--14.8% 1,513,027
------------
NET ASSETS--100.0% $10,243,027
- --------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
- --------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2009 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts $652,500).. 15 $(26)
------------
<Caption>
UNITS
- --------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 S&P Select
Sector Financial Index
Swap, Terminating
06/26/09 (Notional
Market Value
$19,749,781)*........... 183,259 $(3,957,547)
- --------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Financial Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
54
RYDEX 2X S&P SELECT SECTOR HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 83.9%
BIOTECHNOLOGY 11.6%
Amgen, Inc.*................. 3,350 $162,375
Biogen Idec, Inc.*........... 980 47,373
Celgene Corp.*............... 1,490 63,653
Cephalon, Inc.*.............. 220 14,434
Genzyme Corp.*............... 900 47,997
Gilead Sciences, Inc.*....... 2,950 135,110
----------
TOTAL BIOTECHNOLOGY 470,942
----------
HEALTH CARE EQUIPMENT & SUPPLIES 13.5%
Baxter International, Inc. .. 2,020 97,970
Becton, Dickinson & Co. ..... 800 48,384
Boston Scientific Corp.*..... 4,910 41,293
C.R. Bard, Inc. ............. 340 24,354
Covidien, Ltd. .............. 1,630 53,757
Dentsply International,
Inc. ..................... 480 13,738
Hospira, Inc.*............... 520 17,092
Intuitive Surgical, Inc.*.... 130 18,685
Medtronic, Inc. ............. 3,640 116,480
St Jude Medical, Inc.*....... 1,150 38,548
Stryker Corp. ............... 780 30,194
Varian Medical Systems,
Inc.*..................... 400 13,348
Zimmer Holdings, Inc.*....... 730 32,113
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 545,956
----------
HEALTH CARE PROVIDERS & SERVICES 13.1%
Aetna, Inc. ................. 1,510 33,235
AmerisourceBergen Corp. ..... 510 17,156
Cardinal Health, Inc. ....... 1,180 39,872
CIGNA Corp. ................. 910 17,936
Coventry Health Care, Inc.*.. 480 7,637
DaVita, Inc.*................ 340 15,766
Express Scripts, Inc.*....... 840 53,735
Humana, Inc.*................ 590 16,980
Laboratory Corp. of America
Holdings*................. 350 22,453
McKesson Corp. .............. 910 33,670
Medco Health Solutions,
Inc.*..................... 1,640 71,422
Patterson Cos., Inc.*........ 300 6,138
Quest Diagnostics, Inc. ..... 520 26,692
Tenet Healthcare Corp.*...... 1,400 3,150
UnitedHealth Group, Inc. .... 3,970 93,374
WellPoint, Inc.*............. 1,660 70,982
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 530,198
----------
HEALTH CARE TECHNOLOGY 0.2%
IMS Health, Inc. ............ 620 7,787
----------
TOTAL HEALTH CARE TECHNOLOGY 7,787
----------
LIFE SCIENCES TOOLS & SERVICES 2.5%
Life Technologies Corp.*..... 560 20,888
Millipore Corp.*............. 200 11,820
PerkinElmer, Inc. ........... 380 5,536
Thermo Fisher Scientific
Inc.*..................... 1,350 47,358
Waters Corp.*................ 310 13,693
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 99,295
----------
PHARMACEUTICALS 43.0%
Abbott Laboratories.......... 4,240 177,444
Allergan, Inc. .............. 1,020 47,593
Bristol-Myers Squibb Co. .... 6,450 123,840
Eli Lilly & Co. ............. 3,280 107,978
Forest Laboratories, Inc.*... 990 21,473
Johnson & Johnson, Inc. ..... 8,960 469,146
King Pharmaceuticals, Inc.*.. 860 6,777
Merck & Co., Inc. ........... 6,830 165,559
Mylan Inc.*.................. 990 13,117
Pfizer, Inc. ................ 21,850 291,916
Schering-Plough Corp. ....... 5,330 122,697
Watson Pharmaceuticals,
Inc.*..................... 360 11,138
Wyeth........................ 4,330 183,592
----------
TOTAL PHARMACEUTICALS 1,742,270
----------
TOTAL COMMON STOCKS
(Cost $3,909,712) 3,396,448
----------
<Caption>
FACE
AMOUNT
- -------------------------------------------------------
REPURCHASE AGREEMENTS 8.3%
State Street Bank & Trust
Co., 0.090%,
dated 04/30/09, to be
repurchased at $337,001 on
05/01/09 collateralized by
$345,000 FHLMC at 4.750%
due
04/09/24 with a value of
$345,431.................. $337,000 337,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $337,000) 337,000
----------
TOTAL INVESTMENTS 92.2%
(Cost $4,246,712) 3,733,448
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--7.8% 316,271
----------
NET ASSETS--100.0% $4,049,719
- -------------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009 S&P
Select Sector Health Care
Index Swap, Terminating
06/26/09 (Notional Market
Value $4,733,698)**....... 19,504 $(38,770)
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Health Care Index +/- financing at
a variable rate.
FHLMC--Federal Home Loan Mortgage Corporation. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
RYDEX INVERSE 2X S&P SELECT SECTOR HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- --------------------------------------------------------
REPURCHASE AGREEMENTS 84.3%
State Street Bank & Trust
Co., 0.090%,
dated 04/30/09, to be
repurchased at $5,051,013
on 05/01/09
collateralized
by $5,150,000 FHLMC at
4.750% due 04/09/24 with
a value of $5,156,438.... $5,051,000 $5,051,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $5,051,000) 5,051,000
----------
TOTAL INVESTMENTS 84.3%
(Cost $5,051,000) 5,051,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--15.7% 940,603
----------
NET ASSETS--100.0% $5,991,603
- --------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- --------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 S&P Select
Sector Health Care Index
Swap, Terminating
06/26/09 (Notional Market
Value $11,892,431)*...... 49,001 $26,362
- --------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Health Care Index +/- financing at
a variable rate.
FHLMC--Federal Home Loan Mortgage Corporation. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
56
RYDEX 2X S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 83.4%
COMMUNICATIONS EQUIPMENT 12.0%
Ciena Corp.*................. 349 $4,171
Cisco Systems, Inc.*......... 13,448 259,815
Corning, Inc. ............... 3,673 53,699
Harris Corp. ................ 349 10,672
JDS Uniphase Corp.*.......... 787 3,628
Juniper Networks, Inc.*...... 1,271 27,517
Motorola, Inc. .............. 5,511 30,476
QUALCOMM, Inc. .............. 3,834 162,255
Tellabs, Inc.*............... 1,152 6,037
----------
TOTAL COMMUNICATIONS EQUIPMENT 558,270
----------
COMPUTERS & PERIPHERALS 19.9%
Apple, Inc.*................. 2,055 258,581
Dell, Inc.*.................. 4,100 47,642
EMC Corp.*................... 4,738 59,367
Hewlett-Packard Co. ......... 4,898 176,230
International Business
Machines Corp. ........... 3,092 319,125
Lexmark International,
Inc. -- Class A*.......... 247 4,846
NetApp, Inc.*................ 833 15,244
QLogic Corp.*................ 378 5,360
SanDisk Corp.*............... 611 9,605
Sun Microsystems, Inc.*...... 1,865 17,084
Teradata Corp.*.............. 467 7,808
----------
TOTAL COMPUTERS & PERIPHERALS 920,892
----------
DIVERSIFIED TELECOMMUNICATION SERVICES 12.9%
AT&T, Inc. .................. 13,578 347,868
CenturyTel, Inc. ............ 275 7,466
Embarq Corp. ................ 363 13,271
Frontier Communications
Corp. .................... 877 6,236
Qwest Communications
International, Inc. ...... 3,687 14,343
Verizon Communications,
Inc. ..................... 6,547 198,636
Windstream Corp. ............ 1,154 9,578
----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 597,398
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.4%
Agilent Technologies, Inc.*.. 877 16,014
Amphenol Corp. -- Class A.... 436 14,754
Jabil Circuit, Inc. ......... 698 5,654
Molex, Inc. ................. 396 6,601
Tyco Electronics, Ltd. ...... 1,152 20,091
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 63,114
----------
INTERNET SOFTWARE & SERVICES 6.3%
Akamai Technologies, Inc.*... 451 9,931
eBay, Inc.*.................. 2,569 42,311
Google, Inc. -- Class A*..... 467 184,918
VeriSign, Inc.*.............. 498 10,249
Yahoo!, Inc.*................ 3,297 47,114
----------
TOTAL INTERNET SOFTWARE & SERVICES 294,523
----------
IT SERVICES 4.4%
Affiliated Computer Services,
Inc. -- Class A*.......... 248 11,998
Automatic Data Processing,
Inc. ..................... 1,196 42,099
Cognizant Technology
Solutions Corp. -- Class
A*........................ 729 18,072
Computer Sciences Corp.*..... 380 14,045
Convergys Corp.*............. 422 4,266
Fidelity National Information
Services, Inc. ........... 508 9,068
Fiserv, Inc.*................ 393 14,667
Mastercard, Inc. -- Class A.. 175 32,104
Paychex, Inc. ............... 787 21,257
Total System Services,
Inc. ..................... 539 6,721
Western Union Co. ........... 1,723 28,860
----------
TOTAL IT SERVICES 203,157
----------
OFFICE ELECTRONICS 0.3%
Xerox Corp. ................. 2,217 13,546
----------
TOTAL OFFICE ELECTRONICS 13,546
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 9.2%
Advanced Micro Devices,
Inc.*..................... 1,632 5,891
Altera Corp. ................ 742 12,102
Analog Devices, Inc. ........ 729 15,513
Applied Materials, Inc. ..... 3,165 38,645
Broadcom Corp. -- Class A*... 1,036 24,025
Intel Corp. ................. 10,573 166,842
KLA-Tencor Corp. ............ 440 12,206
Linear Technology Corp. ..... 556 12,110
LSI Corp.*................... 1,839 7,062
MEMC Electronic Materials,
Inc.*..................... 581 9,412
Microchip Technology, Inc. .. 468 10,764
Micron Technology, Inc.*..... 2,200 10,736
National Semiconductor
Corp. .................... 555 6,865
Novellus Systems, Inc.*...... 291 5,255
NVIDIA Corp.*................ 1,343 15,418
Teradyne, Inc.*.............. 641 3,808
Texas Instruments, Inc. ..... 3,006 54,288
Xilinx, Inc. ................ 687 14,042
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 424,984
----------
SOFTWARE 15.7%
Adobe Systems, Inc.*......... 1,256 34,352
Autodesk, Inc.*.............. 596 11,884
BMC Software, Inc.*.......... 464 16,087
CA, Inc. .................... 976 16,836
Citrix Systems, Inc.*........ 466 13,295
Compuware Corp.*............. 731 5,468
Electronic Arts, Inc.*....... 802 16,321
Intuit, Inc.*................ 786 18,180
McAfee, Inc.*................ 392 14,716
Microsoft Corp. ............. 17,618 356,941
Novell, Inc.*................ 1,051 3,952
Oracle Corp. ................ 8,898 172,087
Salesforce.com, Inc.*........ 277 11,858
Symantec Corp.*.............. 1,969 33,965
----------
TOTAL SOFTWARE 725,942
----------
WIRELESS TELECOMMUNICATION SERVICES 1.3%
American Tower Corp. -- Class
A*........................ 949 30,140
Sprint Nextel Corp.*......... 6,896 30,067
----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 60,207
----------
TOTAL COMMON STOCKS
(Cost $3,845,426) 3,862,033
- -------------------------------------------------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 57
RYDEX 2X S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -------------------------------------------------------
REPURCHASE AGREEMENTS 2.5%
State Street Bank & Trust
Co., 0.090%,
dated 04/30/09, to be
repurchased at $117,000 on
05/01/09 collateralized by
$125,000 FNMA at 5.500%
due
07/14/28 with a value of
$121,250.................. $117,000 $117,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $117,000) 117,000
----------
TOTAL INVESTMENTS 85.9%
(Cost $3,962,426) 3,979,033
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--14.1% 655,600
----------
NET ASSETS--100.0% $4,634,633
- -------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
June 2009
S&P Select Sector
Technology Index Swap,
Terminating 06/26/09
(Notional Market
Value $5,474,396)**....... 31,637 $305,632
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on Select Sector Technology Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
58
RYDEX INVERSE 2X S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- --------------------------------------------------------
REPURCHASE AGREEMENTS 101.1%
State Street Bank & Trust
Co., 0.090%,
dated 04/30/09, to be
repurchased at $1,753,004
on 05/01/09
collateralized
by $1,845,000 FNMA at
5.500% due 07/14/28 with
a value of $1,789,650.... $1,753,000 $1,753,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,753,000) 1,753,000
----------
TOTAL INVESTMENTS 101.1%
(Cost $1,753,000) 1,753,000
----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--(1.1)% (19,691)
----------
NET ASSETS--100.0% $1,733,309
- --------------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- --------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
June 2009 S&P Select
Sector Technology Index
Swap, Terminating
06/26/09 (Notional Market
Value $3,423,143)*....... 19,782 $(438,009)
- --------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Technology Index +/- financing at a
variable rate.
FNMA--Federal National Mortgage Association. On September 7, 2008, the issuer
was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As
conservatorship, the FHFA has full powers to control the assets and operations
of the firm.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
STATEMENTS OF ASSETS AND LIABILITIES April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX 2X INVERSE 2X
RYDEX 2X INVERSE 2X S&P MIDCAP S&P MIDCAP
S&P 500 ETF S&P 500 ETF 400 ETF 400 ETF
------------ ------------ ----------- -----------
ASSETS
Investments at Market Value*.............. $119,416,616 $ -- $ 8,738,668 $ --
Repurchase Agreements..................... 8,806,000 71,173,000 453,000 6,893,000
------------ ------------ ----------- -----------
Total investments......................... 128,222,616 71,173,000 9,191,668 6,893,000
------------ ------------ ----------- -----------
Cash...................................... 1,007 868 867 229
Segregated Cash for Swaps................. 6,595,420 30,385,410 567,297 3,885,545
Margin Deposit for Future Contracts....... 13,239,000 3,753,000 510,000 240,000
Unrealized Appreciation on Swap
Agreements.............................. 1,907,462 -- 661,264 --
Receivables:
Investments Sold........................ 4,766,309 -- -- --
Dividends............................... 185,556 -- 4,808 --
Variation Margin on Futures Contracts... 58,840 -- -- 8,169
Equity Index Swap Settlement............ 56,913 -- 7,331 --
------------ ------------ ----------- -----------
TOTAL ASSETS......................... 155,033,123 105,312,278 10,943,235 11,026,943
------------ ------------ ----------- -----------
LIABILITIES
Unrealized Depreciation on Swap
Agreements.............................. -- 7,472,482 -- 2,237,789
Payables:
Investments Purchased................... 2,013,055 -- 496,480 --
Equity Index Swap Settlement............ -- 154,404 -- 22,977
Fund Shares Repurchased................. 6,078,319 -- -- --
Variation Margin on Futures Contracts... -- 16,680 15,058 --
Accrued Management Fees................. 163,304 115,017 10,113 12,346
------------ ------------ ----------- -----------
TOTAL LIABILITIES.................... 8,254,678 7,758,583 521,651 2,273,112
------------ ------------ ----------- -----------
NET ASSETS................................ $146,778,445 $ 97,553,695 $10,421,584 $ 8,753,831
============ ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................... $220,517,020 $107,014,112 $16,589,983 $16,203,215
Undistributed (Distributions in Excess) of
Net Investment Income................... 146,033 (288,897) 4,481 (22,019)
Accumulated Net Realized Gain (Loss) on
Investment Securities, Futures, Options
and Swaps............................... (94,828,809) 1,739,387 (9,019,305) (5,106,147)
Net Unrealized Appreciation (Depreciation)
on Investment Securities, Futures and
Swaps................................... 20,944,201 (10,910,907) 2,846,425 (2,321,218)
------------ ------------ ----------- -----------
NET ASSETS................................ $146,778,445 $ 97,553,695 $10,421,584 $ 8,753,831
============ ============ =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............... 7,250,000 950,000 450,000 150,000
============ ============ =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share.............. $ 20.25 $ 102.69 $ 23.16 $ 58.36
============ ============ =========== ===========
*Total Cost of Investments................ $127,631,878 $ 71,173,000 $ 7,716,696 $ 6,893,000
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
60
STATEMENTS OF ASSETS AND LIABILITIES (continued) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX 2X S&P INVERSE 2X S&P
RYDEX 2X INVERSE 2X SELECT SECTOR SELECT SECTOR
RUSSELL 2000 ETF RUSSELL 2000 ETF ENERGY ETF ENERGY ETF
---------------- ---------------- ------------- --------------
ASSETS
Investments at Market Value*......... $ 17,227,039 $ -- $ 6,302,457 $ --
Repurchase Agreements................ 1,106,000 11,315,000 804,000 1,361,000
------------ ----------- ----------- -----------
Total investments.................... 18,333,039 11,315,000 7,106,457 1,361,000
------------ ----------- ----------- -----------
Cash................................. 318 387 707 212
Segregated Cash for Swaps............ 1,361,750 6,227,730 593,800 247,630
Margin Deposit for Future Contracts.. 524,000 308,000 -- --
Unrealized Appreciation on Swap
Agreements......................... 1,843,872
Receivables:
Investments Sold................... 30,625 -- -- --
Dividends.......................... 12,195 -- 2,621 --
Variation Margin on Futures
Contracts....................... -- 38,629 -- --
Equity Index Swap Settlement....... 23,138 -- 1,545 --
------------ ----------- ----------- -----------
TOTAL ASSETS.................... 22,128,937 17,889,746 7,705,130 1,608,842
------------ ----------- ----------- -----------
LIABILITIES
Unrealized Depreciation on Swap
Agreements......................... -- 3,714,659 51,285 77,101
Payables:
Investments Purchased.............. 1,003,742 -- 98,763 --
Equity Index Swap Settlement....... -- 42,991 -- 1,627
Variation Margin on Futures
Contracts....................... 67,589 -- -- --
Accrued Management Fees............ 19,033 23,880 8,120 2,103
------------ ----------- ----------- -----------
TOTAL LIABILITIES............... 1,090,364 3,781,530 158,168 80,831
------------ ----------- ----------- -----------
NET ASSETS........................... $ 21,038,573 $14,108,216 $ 7,546,962 $ 1,528,011
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital...................... $ 30,971,274 $22,521,892 $13,673,653 $ 5,461,876
Undistributed (Distributions in
Excess) of Net Investment Income... 13,567 (56,475) (1,334) (7,887)
Accumulated Net Realized Loss on
Investment Securities, Futures,
Options and Swaps.................. (14,164,900) (4,338,848) (6,267,624) (3,848,877)
Net Unrealized Appreciation
(Depreciation) on Investment
Securities, Futures and Swaps...... 4,218,632 (4,018,353) 142,267 (77,101)
------------ ----------- ----------- -----------
NET ASSETS........................... $ 21,038,573 $14,108,216 $ 7,546,962 $ 1,528,011
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value.......... 1,000,000 200,000 550,004 150,000
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share......... $ 21.04 $ 70.54 $ 13.72 $ 10.19
============ =========== =========== ===========
*Total Cost of Investments........... $ 16,643,006 $11,315,000 $ 6,912,906 $ 1,361,000
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 61
STATEMENTS OF ASSETS AND LIABILITIES (continued) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX 2X S&P INVERSE 2X S&P RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
FINANCIAL ETF FINANCIAL ETF HEALTH CARE ETF HEALTH CARE ETF
------------- -------------- --------------- ---------------
ASSETS
Investments at Market Value*......... $ 13,610,301 $ -- $ 3,396,448 $ --
Repurchase Agreements................ 158,000 8,730,000 337,000 5,051,000
------------ ----------- ----------- -----------
Total investments.................... 13,768,301 8,730,000 3,733,448 5,051,000
------------ ----------- ----------- -----------
Cash................................. 981 561 253 166
Segregated Cash for Swaps............ 1,250,660 5,504,900 349,850 937,900
Margin Deposit for Future Contracts.. -- -- -- --
Unrealized Appreciation on Swap
Agreements......................... 1,557,065 -- -- 26,362
Receivables:
Dividends.......................... 12,841 -- 4,454 --
Variation Margin on Futures
Contracts....................... -- 349 -- --
Equity Index Swap Settlement....... 22,506 -- 5,073 --
------------ ----------- ----------- -----------
TOTAL ASSETS.................... 16,612,354 14,235,810 4,093,078 6,015,428
------------ ----------- ----------- -----------
LIABILITIES
Unrealized Depreciation on Swap
Agreements......................... -- 3,957,547 38,770 --
Payables:
Investments Purchased.............. 11,700 -- -- --
Equity Index Swap Settlement....... -- 27,799 -- 16,406
Accrued Management Fees............ 13,537 7,437 4,589 7,419
------------ ----------- ----------- -----------
TOTAL LIABILITIES............... 25,237 3,992,783 43,359 23,825
------------ ----------- ----------- -----------
NET ASSETS........................... $ 16,587,117 $10,243,027 $ 4,049,719 $ 5,991,603
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital...................... $ 38,583,149 $12,670,833 $ 7,500,275 $ 7,500,000
Undistributed (Distributions in
Excess) of Net Investment Income... 14,326 (16,471) 2,294 (20,355)
Accumulated Net Realized Gain (Loss)
on Investment Securities, Futures,
Options and Swaps.................. (26,440,748) 1,545,862 (2,900,817) (1,514,404)
Net Unrealized Appreciation
(Depreciation) on Investment
Securities, Futures and Swaps...... 4,430,390 (3,957,197) (552,033) 26,362
------------ ----------- ----------- -----------
NET ASSETS........................... $ 16,587,117 $10,243,027 $ 4,049,719 $ 5,991,603
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value.......... 2,150,205 700,100 100,006 100,000
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share......... $ 7.71 $ 14.63 $ 40.49 $ 59.92
============ =========== =========== ===========
*Total Cost of Investments........... $ 10,894,976 $ 8,730,000 $ 4,246,712 $ 5,051,000
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
62
STATEMENTS OF ASSETS AND LIABILITIES (concluded) April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR
TECHNOLOGY ETF TECHNOLOGY ETF
-------------- --------------
ASSETS
Investments at Market Value*............................. $ 3,862,033 $ --
Repurchase Agreements.................................... 117,000 1,753,000
----------- -----------
Total investments........................................ 3,979,033 1,753,000
----------- -----------
Cash..................................................... 463 583
Segregated Cash for Swaps................................ 211,712 430,600
Unrealized Appreciation on Swap Agreements............... 305,632 --
Receivables:
Fund Shares Sold....................................... 1,535,941 --
Dividends.............................................. 6,215 --
Equity Index Swap Settlement........................... 7,757 --
----------- -----------
TOTAL ASSETS........................................ 6,046,753 2,184,183
----------- -----------
LIABILITIES
Unrealized Depreciation on Swap Agreements............... -- 438,009
Payables:
Investments Purchased.................................. 1,409,105 --
Equity Index Swap Settlement........................... -- 10,248
Accrued Management Fees................................ 3,015 2,617
----------- -----------
TOTAL LIABILITIES................................... 1,412,120 450,874
----------- -----------
NET ASSETS............................................... $ 4,634,633 $ 1,733,309
=========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.......................................... $ 9,036,043 $ 4,540,184
Undistributed (Distributions in Excess) of Net Investment
Income................................................. 4,377 (10,761)
Accumulated Net Realized Loss on Investment Securities,
Futures, Options and Swaps............................. (4,728,026) (2,358,105)
Net Unrealized Appreciation (Depreciation) on Investment
Securities, Futures and Swaps.......................... 322,239 (438,009)
----------- -----------
NET ASSETS............................................... $ 4,634,633 $ 1,733,309
=========== ===========
Shares Outstanding (Unlimited Shares Authorized), No Par
Value.................................................. 150,004 50,000
=========== ===========
Net Asset Value, Offering Price and Repurchase Price Per
Share.................................................. $ 30.90 $ 34.67
=========== ===========
*Total Cost of Investments............................... $ 3,962,426 $ 1,753,000
=========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 63
STATEMENTS OF OPERATIONS For the Six Months Ended April 30, 2009 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX 2X INVERSE 2X
RYDEX 2X INVERSE 2X S&P MIDCAP S&P MIDCAP
S&P 500 ETF* S&P 500 ETF* 400 ETF* 400 ETF*
------------ ------------ ----------- -----------
INVESTMENT INCOME
Dividends............................... $ 1,534,329 $ -- $ 55,138 $ --
Interest................................ 4,917 40,127 125 3,045
------------ ------------ ----------- -----------
Total Income......................... 1,539,246 40,127 55,263 3,045
------------ ------------ ----------- -----------
EXPENSES
Management Fee.......................... 430,275 325,687 21,011 24,742
Trustee Fees............................ 4,656 3,337 211 322
------------ ------------ ----------- -----------
Total Expenses....................... 434,931 329,024 21,222 25,064
------------ ------------ ----------- -----------
Net Investment Income (Loss).............. 1,104,315 (288,897) 34,041 (22,019)
------------ ------------ ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments............................. (23,475,126) -- (2,013,207) --
Futures Contracts....................... (34,983,729) 6,000,655 (602,264) (611,236)
Swap Contracts.......................... (2,041,710) (14,734,031) 15,556 (4,961,477)
------------ ------------ ----------- -----------
Net Realized Loss.................... (60,500,565) (8,733,376) (2,599,915) (5,572,713)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................... 14,697,683 -- 2,249,061 --
Futures Contracts....................... 21,191,633 7,034,338 561,189 383,137
Swap Contracts.......................... 1,907,462 (7,472,482) 424,662 (831,841)
------------ ------------ ----------- -----------
Net Change in Unrealized Appreciation
(Depreciation) on Investments........... 37,796,778 (438,144) 3,234,912 (448,704)
------------ ------------ ----------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments, Futures, Options and Swap
Contracts............................... (22,703,787) (9,171,520) 634,997 (6,021,417)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... $(21,599,472) $ (9,460,417) $ 669,038 $(6,043,436)
============ ============ =========== ===========
</Table>
* The fund commenced operations on November 5, 2007.
See Notes to Financial Statements.
64
STATEMENTS OF OPERATIONS (continued) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX 2X S&P INVERSE 2X S&P
RYDEX 2X INVERSE 2X SELECT SECTOR SELECT SECTOR
RUSSELL 2000 ETF* RUSSELL 2000 ETF* ENERGY ETF** ENERGY ETF**
----------------- ----------------- ------------- --------------
INVESTMENT INCOME
Dividends, Net of Foreign Tax
Withheld....................... $ 113,737 $ -- $ 50,718 $ --
Interest.......................... 644 8,707 156 1,206
----------- ----------- ----------- -----------
Total Income................... 114,381 8,707 50,874 1,206
----------- ----------- ----------- -----------
EXPENSES
Management Fee.................... 46,564 64,289 19,272 8,914
Trustee Fees...................... 523 893 129 179
Other Fees........................ 89 -- -- --
----------- ----------- ----------- -----------
Total Expenses................. 47,176 65,182 19,401 9,093
----------- ----------- ----------- -----------
Net Investment Income (Loss)........ 67,205 (56,475) 31,473 (7,887)
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net Realized Loss From:
Investments....................... (3,685,965) -- (899,086) --
Futures Contracts................. (4,752,060) (577,665) (48,249) (37,659)
Swap Contracts.................... (410,407) (5,988,643) (504,990) (3,811,218)
----------- ----------- ----------- -----------
Net Realized Loss.............. (8,848,432) (6,566,308) (1,452,325) (3,848,877)
Net Change in Unrealized
Appreciation (Depreciation) on:
Investment Securities............. 2,700,824 -- 100,533 --
Futures Contracts................. 2,109,392 1,923,766 -- --
Swap Contracts.................... 1,843,872 (1,958,820) (703,404) 2,897,666
----------- ----------- ----------- -----------
Net Change in Unrealized
Appreciation (Depreciation) on
Investments....................... 6,654,088 (35,054) (602,871) 2,897,666
----------- ----------- ----------- -----------
Net Realized and Unrealized Loss on
Investments, Futures, Options and
Swap Contracts.................... (2,194,344) (6,601,362) (2,055,196) (951,211)
----------- ----------- ----------- -----------
NET DECREASE IN NET ASSETS
RESULTING FROM OPERATIONS.... $(2,127,139) $(6,657,837) $(2,023,723) $ (959,098)
=========== =========== =========== ===========
Foreign Tax Withheld........... 40 -- -- --
</Table>
* The fund commenced operations on November 5, 2007.
** The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 65
STATEMENTS OF OPERATIONS (continued) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX 2X S&P INVERSE 2X S&P RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
FINANCIAL ETF* FINANCIAL ETF* HEALTH CARE ETF* HEALTH CARE ETF*
-------------- -------------- ---------------- ----------------
INVESTMENT INCOME
Dividends......................... $ 135,178 $ -- $ 49,639 $ --
Interest.......................... 248 2,307 116 2,759
----------- --------- ----------- -----------
Total Income................... 135,426 2,307 49,755 2,759
----------- --------- ----------- -----------
EXPENSES
Management Fee.................... 30,251 18,586 15,375 22,812
Trustee Fees...................... 695 192 284 302
Other Fees........................ -- -- 51 --
----------- --------- ----------- -----------
Total Expenses................. 30,946 18,778 15,710 23,114
----------- --------- ----------- -----------
Net Investment Income (Loss)........ 104,480 (16,471) 34,045 (20,355)
----------- --------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments....................... (5,407,568) -- (524,083) --
Futures Contracts................. (48,379) (129,200) -- (33,318)
Swap Contracts.................... (2,750,492) 354,500 (222,923) (1,481,086)
----------- --------- ----------- -----------
Net Realized Gain (Loss)....... (8,206,439) 225,300 (747,006) (1,514,404)
Net Change in Unrealized
Appreciation (Depreciation) on:
Investment Securities............. 3,196,506 -- 11,886 --
Futures Contracts................. -- (1,038) -- --
Swap Contracts.................... (1,009,496) (637,456) (500,282) 1,755,309
----------- --------- ----------- -----------
Net Change in Unrealized
Appreciation (Depreciation) on
Investments....................... 2,187,010 (638,494) (488,396) 1,755,309
----------- --------- ----------- -----------
Net Realized and Unrealized Gain
(Loss) on Investments, Futures,
Options and Swap Contracts........ (6,019,429) (413,194) (1,235,402) 240,905
----------- --------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... $(5,914,949) $(429,665) $(1,201,357) $ 220,550
=========== ========= =========== ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
66
STATEMENTS OF OPERATIONS (concluded) For the Six Months Ended April 30, 2009
(Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR
TECHNOLOGY ETF* TECHNOLOGY ETF*
--------------- ---------------
INVESTMENT INCOME
Dividends............................................ $ 23,999 $ --
Interest............................................. 75 1,627
--------- -----------
Total Income...................................... 24,074 1,627
--------- -----------
EXPENSES
Management Fee....................................... 8,626 12,061
Trustee Fees......................................... 172 327
Other Fees........................................... 13 --
--------- -----------
Total Expenses.................................... 8,811 12,388
--------- -----------
Net Investment Income (Loss)........................... 15,263 (10,761)
--------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments.......................................... (842,229) --
Futures Contracts.................................... -- (73,647)
Swap Contracts....................................... 17,673 (2,284,458)
--------- -----------
Net Realized Loss................................. (824,556) (2,358,105)
Net Change in Unrealized Appreciation (Depreciation)
on:
Investment Securities................................ 846,053 --
Swap Contracts....................................... (37,937) 1,441,557
--------- -----------
Net Change in Unrealized Appreciation (Depreciation) on
Investments.......................................... 808,116 1,441,557
--------- -----------
Net Realized and Unrealized Loss on Investments,
Futures, Options and Swap Contracts.................. (16,440) (916,548)
--------- -----------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ (1,177) $ (927,309)
========= ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 67
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P 500 ETF RYDEX INVERSE 2X S&P 500 ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 1,104,315 $ 451,990 $ (288,897) $ 532,036
Net Realized Gain (Loss)........ (60,500,565) (34,335,074) (8,733,376) 39,280,084
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... 37,796,778 (16,852,577) (438,144) (10,472,763)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... (21,599,472) (50,735,661) (9,460,417) 29,339,357
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (1,039,503) (363,939) -- (552,721)
Net Realized Gains.............. -- -- (12,634,948) --
------------ ------------ ------------ ------------
Decrease in Net Assets From
Distributions to
Shareholders................. (1,039,503) (363,939) (12,634,948) (552,721)
------------ ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 88,152,391 168,610,953 105,589,023 112,256,284
Value of Shares Redeemed........ (32,098,864) (4,147,460) (52,045,520) (74,937,363)
------------ ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Share
Transactions................. 56,053,527 164,463,493 53,543,503 37,318,921
------------ ------------ ------------ ------------
Increase in Net Assets....... 33,414,552 113,363,893 31,448,138 66,105,557
NET ASSETS--BEGINNING OF PERIOD... 113,363,893 -- 66,105,557 --
------------ ------------ ------------ ------------
NET ASSETS--END OF PERIOD(1)...... $146,778,445 $113,363,893 $ 97,553,695 $ 66,105,557
============ ============ ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 146,033 $ 81,221 $ (288,897) $ --
============ ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 4,750,000 4,250,000 800,000 1,150,000
Shares Redeemed................. (1,600,000) (150,000) (350,000) (650,000)
Shares Outstanding, Beginning of
Period....................... 4,100,000 -- 500,000 --
------------ ------------ ------------ ------------
Shares Outstanding, End of
Period....................... 7,250,000 4,100,000 950,000 500,000
============ ============ ============ ============
</Table>
* The Fund commenced operations on November 5, 2007.
See Notes to Financial Statements.
68
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P
RYDEX 2X S&P MIDCAP 400 ETF MIDCAP 400 ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 34,041 $ 55,729 $ (22,019) $ 176,138
Net Realized Gain (Loss)........ (2,599,915) (6,424,515) (5,572,713) 10,761,388
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... 3,234,912 (388,487) (448,704) (1,872,514)
Contribution from Advisor....... -- -- -- 148,040
----------- ----------- ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... 669,038 (6,757,273) (6,043,436) 9,213,052
----------- ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (29,560) (50,604) -- (178,257)
Net Realized Gains.............. -- -- (2,190,847) --
Capital......................... -- (2,868) -- --
----------- ----------- ----------- ------------
Decrease in Net Assets From
Distributions to
Shareholders................. (29,560) (53,472) (2,190,847) (178,257)
----------- ----------- ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 6,026,265 20,963,143 10,392,003 26,670,531
Value of Shares Redeemed........ (1,724,185) (8,672,372) -- (29,109,215)
----------- ----------- ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions................. 4,302,080 12,290,771 10,392,003 (2,438,684)
----------- ----------- ----------- ------------
Increase in Net Assets....... 4,941,558 5,480,026 2,157,720 6,596,111
NET ASSETS--BEGINNING OF PERIOD... 5,480,026 -- 6,596,111 --
----------- ----------- ----------- ------------
NET ASSETS--END OF PERIOD(1)...... $10,421,584 $ 5,480,026 $ 8,753,831 $ 6,596,111
=========== =========== =========== ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 4,481 $ -- $ (22,019) $ --
=========== =========== =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 350,000 350,000 100,000 350,000
Shares Redeemed................. (100,000) (150,000) -- (300,000)
Shares Outstanding, Beginning of
Period....................... 200,000 -- 50,000 --
----------- ----------- ----------- ------------
Shares Outstanding, End of
Period....................... 450,000 200,000 150,000 50,000
=========== =========== =========== ============
</Table>
* The Fund commenced operations on November 5, 2007.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 69
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X RUSSELL 2000 ETF RYDEX INVERSE 2X RUSSELL 2000 ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 67,205 $ 78,359 $ (56,475) $ 294,102
Net Realized Gain (Loss)........ (8,848,432) (5,325,917) (6,566,308) 12,757,827
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... 6,654,088 (2,435,456) (35,054) (3,983,299)
Contribution from Advisor....... -- -- -- 315,120
----------- ----------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... (2,127,139) (7,683,014) (6,657,837) 9,383,750
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (55,997) (66,551) -- (298,197)
Net Realized Gains.............. -- -- (2,169,111) --
----------- ----------- ------------ ------------
Decrease in Net Assets From
Distributions to
Shareholders................. (55,997) (66,551) (2,169,111) (298,197)
----------- ----------- ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 9,780,206 30,146,525 24,663,726 67,341,919
Value of Shares Redeemed........ -- (8,955,457) (18,246,709) (59,909,325)
----------- ----------- ------------ ------------
Net Increase in Net Assets
Resulting From Share
Transactions................. 9,780,206 21,191,068 6,417,017 7,432,594
----------- ----------- ------------ ------------
Increase (Decrease) in Net
Assets..................... 7,597,070 13,441,503 (2,409,931) 16,518,147
NET ASSETS--BEGINNING OF PERIOD... 13,441,503 -- 16,518,147 --
----------- ----------- ------------ ------------
NET ASSETS--END OF PERIOD(1)...... $21,038,573 $13,441,503 $ 14,108,216 $ 16,518,147
=========== =========== ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 13,567 $ 2,359 $ (56,475) $ --
=========== =========== ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 550,000 600,000 200,000 850,000
Shares Redeemed................. -- (150,000) (150,000) (700,000)
Shares Outstanding, Beginning of
Period....................... 450,000 -- 150,000 --
----------- ----------- ------------ ------------
Shares Outstanding, End of
Period....................... 1,000,000 450,000 200,000 150,000
=========== =========== ============ ============
</Table>
* The Fund commenced operations on November 5, 2007.
See Notes to Financial Statements.
70
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P RYDEX INVERSE 2X S&P
SELECT SECTOR ENERGY ETF SELECT SECTOR ENERGY ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 31,473 $ 8,291 $ (7,887) $ 18,425
Net Realized Gain (Loss)........ (1,452,325) (4,815,299) (3,848,877) 6,661,068
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... (602,871) 745,138 2,897,666 (2,974,767)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... (2,023,723) (4,061,870) (959,098) 3,704,726
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (33,790) (7,308) -- (19,874)
Net Realized Gains.............. -- -- (4,324,132) --
----------- ----------- ----------- -----------
Decrease in Net Assets From
Distributions to
Shareholders................. (33,790) (7,308) (4,324,132) (19,874)
----------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 6,146,803 10,214,317 1,215,702 7,500,000
Value of Shares Purchased
through Dividend
Reinvestments................ 48 -- -- --
Value of Shares Redeemed........ (586,171) (2,101,344) -- (5,589,313)
----------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions................. 5,560,680 8,112,973 1,215,702 1,910,687
----------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets..................... 3,503,167 4,043,795 (4,067,528) 5,595,539
NET ASSETS--BEGINNING OF PERIOD... 4,043,795 -- 5,595,539 --
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)...... $ 7,546,962 $ 4,043,795 $ 1,528,011 $ 5,595,539
=========== =========== =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ (1,334) $ 983 $ (7,887) $ --
=========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 400,000 250,000 100,000 100,000
Shares Purchased through
Dividend Reinvestments....... 4 -- -- --
Shares Redeemed................. (50,000) (50,000) -- (50,000)
Shares Outstanding, Beginning of
Period....................... 200,000 -- 50,000 --
----------- ----------- ----------- -----------
Shares Outstanding, End of
Period....................... 550,004 200,000 150,000 50,000
=========== =========== =========== ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 71
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P RYDEX INVERSE 2X S&P
SELECT SECTOR FINANCIAL ETF SELECT SECTOR FINANCIAL ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 104,480 $ 116,930 $ (16,471) $ 16,113
Net Realized Gain (Loss)........ (8,206,439) (18,241,119) 225,300 2,984,583
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... 2,187,010 2,243,380 (638,494) (3,318,703)
----------- ------------ ------------ -----------
Net Decrease in Net Assets
Resulting From Operations.... (5,914,949) (15,880,809) (429,665) (318,007)
----------- ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (134,966) (65,308) -- (18,187)
Net Realized Gains.............. -- -- (1,661,947) --
----------- ------------ ------------ -----------
Decrease in Net Assets From
Distributions to
Shareholders................. (134,966) (65,308) (1,661,947) (18,187)
----------- ------------ ------------ -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 12,300,266 35,235,683 22,014,741 7,500,000
Value of Shares Purchased
through Dividend
Reinvestments................ 1,741 -- 3,296 --
Value of Shares Redeemed........ (275,245) (8,679,296) (16,847,204) --
----------- ------------ ------------ -----------
Net Increase in Net Assets
Resulting From Share
Transactions................. 12,026,762 26,556,387 5,170,833 7,500,000
----------- ------------ ------------ -----------
Increase in Net Assets....... 5,976,847 10,610,270 3,079,221 7,163,806
NET ASSETS--BEGINNING OF PERIOD... 10,610,270 -- 7,163,806 --
----------- ------------ ------------ -----------
NET ASSETS--END OF PERIOD(1)...... $16,587,117 $ 10,610,270 $ 10,243,027 $ 7,163,806
=========== ============ ============ ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 14,326 $ 44,812 $ (16,471) $ --
=========== ============ ============ ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 1,800,000 750,000 800,000 100,000
Shares Purchased through
Dividend Reinvestments....... 205 -- 100 --
Shares Redeemed................. (50,000) (350,000) (200,000) --
Shares Outstanding, Beginning of
Period....................... 400,000 -- 100,000 --
----------- ------------ ------------ -----------
Shares Outstanding, End of
Period....................... 2,150,205 400,000 700,100 100,000
=========== ============ ============ ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
72
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P RYDEX INVERSE 2X S&P
SELECT SECTOR HEALTH CARE ETF SELECT SECTOR HEALTH CARE ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 34,045 $ 23,180 $ (20,355) $ 16,166
Net Realized Gain (Loss)........ (747,006) (2,153,811) (1,514,404) 2,612,958
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... (488,396) (63,637) 1,755,309 (1,728,947)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... (1,201,357) (2,194,268) 220,550 900,177
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (32,762) (22,169) -- (18,758)
Net Realized Gains.............. -- -- (2,610,366) --
----------- ----------- ----------- -----------
Decrease in Net Assets From
Distributions to
Shareholders................. (32,762) (22,169) (2,610,366) (18,758)
----------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. -- 7,500,000 -- 7,500,000
Value of Shares Purchased
through Dividend
Reinvestments................ 275 -- -- --
----------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions................. 275 7,500,000 -- 7,500,000
----------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets..................... (1,233,844) 5,283,563 (2,389,816) 8,381,419
NET ASSETS--BEGINNING OF PERIOD... 5,283,563 -- 8,381,419 --
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)...... $ 4,049,719 $ 5,283,563 $ 5,991,603 $ 8,381,419
=========== =========== =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 2,294 $ 1,011 $ (20,355) $ --
=========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ -- 100,000 -- 100,000
Shares Purchased through
Dividend Reinvestments....... 6 -- -- --
Shares Outstanding, Beginning of
Period....................... 100,000 -- 100,000 --
----------- ----------- ----------- -----------
Shares Outstanding, End of
Period....................... 100,006 100,000 100,000 100,000
=========== =========== =========== ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 73
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P RYDEX INVERSE 2X S&P
SELECT SECTOR TECHNOLOGY ETF SELECT SECTOR TECHNOLOGY ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED APRIL 30, 2009 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2008* (UNAUDITED) OCTOBER 31, 2008*
---------------- ----------------- ---------------- -----------------
OPERATIONS
Net Investment Income (Loss).... $ 15,263 $ 15,972 $ (10,761) $ 15,900
Net Realized Gain (Loss)........ (824,556) (3,903,470) (2,358,105) 6,294,225
Net Change in Unrealized
Appreciation (Depreciation)
on Investments............... 808,116 (485,877) 1,441,557 (1,879,566)
---------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations................... (1,177) (4,373,375) (927,309) 4,430,559
---------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........... (15,531) (11,327) -- (18,238)
Net Realized Gains.............. -- -- (3,807,845) --
---------- ----------- ----------- -----------
Decrease in Net Assets From
Distributions to
Shareholders................. (15,531) (11,327) (3,807,845) (18,238)
---------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.. 1,535,941 7,500,000 -- 7,500,000
Value of Shares Purchased
through Dividend
Reinvestments................ 102 -- -- --
Value of Shares Redeemed........ -- -- -- (5,443,858)
---------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions................. 1,536,043 7,500,000 -- 2,056,142
---------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets..................... 1,519,335 3,115,298 (4,735,154) 6,468,463
NET ASSETS--BEGINNING OF PERIOD... 3,115,298 -- 6,468,463 --
---------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)...... $4,634,633 $ 3,115,298 $ 1,733,309 $ 6,468,463
========== =========== =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income............... $ 4,377 $ 4,645 $ (10,761) $ --
========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................ 50,000 100,000 -- 100,000
Shares Purchased through
Dividend Reinvestments....... 4 -- -- --
Shares Redeemed................. -- -- -- (50,000)
Shares Outstanding, Beginning of
Period....................... 100,000 -- 50,000 --
---------- ----------- ----------- -----------
Shares Outstanding, End of
Period....................... 150,004 100,000 50,000 50,000
========== =========== =========== ===========
</Table>
* The Fund commenced operations on June 10, 2008.
See Notes to Financial Statements.
74
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P 500 ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 27.65 $ 75.00
-------- --------
Net Investment Income**................................. 0.17 0.61
Net Realized and Unrealized Loss on Investments......... (7.42) (47.27)
-------- --------
TOTAL FROM INVESTMENT OPERATIONS........................ (7.25) (46.66)
-------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.15) (0.69)
-------- --------
NET ASSET VALUE AT END OF PERIOD........................ $ 20.25 $ 27.65
======== ========
TOTAL RETURN***......................................... (52.86)% (62.68)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $146,778 $113,364
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.70%****
Net Investment Income................................... 1.78%**** 1.35%****
Portfolio Turnover Rate+................................ 53% 44%
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 75
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P 500 ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $132.21 $ 75.00
------- -------
Net Investment Income (Loss)**.......................... (0.40) 1.04
Net Realized and Unrealized Gain (Loss) on Investments.. (11.07) 57.20
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (11.47) 58.24
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (1.03)
Net Realized Gains...................................... (18.05) --
------- -------
Total Distributions..................................... (18.05) (1.03)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $102.69 $132.21
======= =======
TOTAL RETURN***......................................... (20.03)% 78.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $97,554 $66,106
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.62)%**** 1.09%****
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
See Notes to Financial Statements.
76
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P MIDCAP 400 ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 27.40 $ 75.00
------- -------
Net Investment Income**................................. 0.11 0.56
Net Realized and Unrealized Loss on Investments......... (4.26) (47.62)
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (4.15) (47.06)
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.09) (0.53)
Capital................................................. -- (0.01)
------- -------
Total Distributions..................................... (0.09) (0.54)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 23.16 $ 27.40
======= =======
TOTAL RETURN***......................................... (30.43)% (63.12)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $10,422 $ 5,480
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... 1.13%**** 0.94%****
Portfolio Turnover Rate+................................ 102% 234%
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 77
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P MIDCAP 400 ETF
------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $131.92 $ 75.00
------- -------
Net Investment Income (Loss)**.......................... (0.28) 1.40
Contribution from Advisor............................... -- 1.17
Net Realized and Unrealized Gain (Loss) on Investments.. (29.46) 55.83
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (29.74) 58.40
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (1.48)
Net Realized Gains...................................... (43.82) --
------- -------
Total Distributions..................................... (43.82) (1.48)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 58.36 $131.92
======= =======
TOTAL RETURN***......................................... (63.14)% 78.90%(a)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 8,754 $ 6,596
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.62)%**** 1.65%****
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
(a) For the period ending October 31, 2008, 1.77% of the Fund's total return
consisted of a voluntary reimbursement by the advisor for a realized
investment loss. Excluding this item, total return would have been
77.33%.
See Notes to Financial Statements.
78
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X RUSSELL 2000 ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 29.87 $ 75.00
------- -------
Net Investment Income**................................. 0.09 0.51
Net Realized and Unrealized Loss on Investments......... (8.84) (45.09)
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (8.75) (44.58)
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.08) (0.55)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 21.04 $ 29.87
======= =======
TOTAL RETURN***......................................... (59.04)% (59.79)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $21,039 $13,442
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... 1.00%**** 0.93%****
Portfolio Turnover Rate+................................ 67% 192%
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 79
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X RUSSELL 2000 ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $110.12 $ 75.00
------- -------
Net Investment Income (Loss)**.......................... (0.33) 1.21
Contribution from Advisor............................... -- 1.29
Net Realized and Unrealized Gain (Loss) on Investments.. (24.79) 33.76
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (25.12) 36.26
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (1.14)
Net Realized Gains...................................... (14.46) --
------- -------
Total Distributions..................................... (14.46) (1.14)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 70.54 $110.12
======= =======
TOTAL RETURN***......................................... (51.55)% 48.79%(a)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $14,108 $16,518
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.61)%**** 1.41%****
</Table>
* The Fund commenced operations on November 5, 2007.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
(a) For the period ending October 31, 2008, 1.19% of the Fund's total return
consisted of a voluntary reimbursement by the advisor for a realized
investment loss. Excluding this item, total return would have been
47.60%.
See Notes to Financial Statements.
80
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P
SELECT SECTOR ENERGY ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 20.22 $ 75.00
------- -------
Net Investment Income**................................. 0.08 0.09
Net Realized and Unrealized Loss on Investments......... (6.50) (54.72)
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (6.42) (54.63)
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.08) (0.15)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 13.72 $ 20.22
======= =======
TOTAL RETURN***......................................... (63.97)% (72.94)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 7,547 $ 4,044
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... 1.13%**** 0.44%****
Portfolio Turnover Rate+................................ 98% 105%
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 81
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P
SELECT SECTOR ENERGY ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $111.91 $ 75.00
------- -------
Net Investment Income (Loss)**.......................... (0.06) 0.22
Net Realized and Unrealized Gain (Loss) on Investments.. (15.18) 37.09
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (15.24) 37.31
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (0.40)
Net Realized Gains...................................... (86.48) --
------- -------
Total Distributions..................................... (86.48) (0.40)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 10.19 $111.91
======= =======
TOTAL RETURN***......................................... (51.46)% 49.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 1,528 $ 5,596
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.60)%**** 0.55%****
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
See Notes to Financial Statements.
82
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P
SELECT SECTOR FINANCIAL ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 26.53 $ 75.00
-------- -------
Net Investment Income**................................. 0.10 0.45
Net Realized and Unrealized Loss on Investments......... (18.76) (48.76)
-------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (18.66) (48.31)
-------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.16) (0.16)
-------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 7.71 $ 26.53
======== =======
TOTAL RETURN***......................................... (142.18)% (64.51)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 16,587 $10,610
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.71%**** 0.71%****
Net Investment Income................................... 2.39%**** 2.60%****
Portfolio Turnover Rate+................................ 126% 177%
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 83
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P
SELECT SECTOR FINANCIAL ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 71.64 $75.00
-------- ------
Net Investment Income (Loss)**.......................... (0.12) 0.16
Net Realized and Unrealized Loss on Investments......... (23.65) (3.34)
-------- ------
TOTAL FROM INVESTMENT OPERATIONS........................ (23.77) (3.18)
-------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (0.18)
Net Realized Gains...................................... (33.24) --
-------- ------
Total Distributions..................................... (33.24) (0.18)
-------- ------
NET ASSET VALUE AT END OF PERIOD........................ $ 14.63 $71.64
======== ======
TOTAL RETURN***......................................... (118.95)% (4.19)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 10,243 $7,164
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.61)%**** 0.52%****
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
See Notes to Financial Statements.
84
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT
SECTOR HEALTH CARE ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 52.84 $ 75.00
------- -------
Net Investment Income**................................. 0.34 0.23
Net Realized and Unrealized Loss on Investments......... (12.36) (22.17)
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (12.02) (21.94)
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.33) (0.22)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 40.49 $ 52.84
======= =======
TOTAL RETURN***......................................... (45.98)% (29.33)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 4,050 $ 5,284
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.71%**** 0.71%****
Net Investment Income................................... 1.53%**** 0.81%****
Portfolio Turnover Rate+................................ 34% 35%
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 85
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P
SELECT SECTOR HEALTH CARE ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $ 83.81 $75.00
------- ------
Net Investment Income (Loss)**.......................... (0.20) 0.16
Net Realized and Unrealized Gain on Investments......... 2.41 8.84
------- ------
TOTAL FROM INVESTMENT OPERATIONS........................ 2.21 9.00
------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (0.19)
Net Realized Gains...................................... (26.10) --
------- ------
Total Distributions..................................... (26.10) (0.19)
------- ------
NET ASSET VALUE AT END OF PERIOD........................ $ 59.92 $83.81
======= ======
TOTAL RETURN***......................................... 11.15% 12.04%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 5,992 $8,381
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.62)%**** 0.54%****
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
See Notes to Financial Statements.
86
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P
SELECT SECTOR TECHNOLOGY ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $31.15 $ 75.00
------ -------
Net Investment Income**................................. 0.15 0.16
Net Realized and Unrealized Loss on Investments......... (0.24) (43.90)
------ -------
TOTAL FROM INVESTMENT OPERATIONS........................ (0.09) (43.74)
------ -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... (0.16) (0.11)
------ -------
NET ASSET VALUE AT END OF PERIOD........................ $30.90 $ 31.15
====== =======
TOTAL RETURN***......................................... (0.44)% (58.36)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $4,635 $ 3,115
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.71%**** 0.71%****
Net Investment Income................................... 1.22%**** 0.72%****
Portfolio Turnover Rate+................................ 52% 65%
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Portfolio turnover rate is calculated without regard to instruments
having a maturity of less than one year from acquisition or derivative
instruments (including swap agreements and futures contracts). The
portfolio turnover rate can be high and volatile due to the sales and
purchases of fund shares during the period.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 87
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P
SELECT SECTOR TECHNOLOGY ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2009 YEAR ENDED*
(UNAUDITED) OCTOBER 31, 2008
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD.................. $129.37 $ 75.00
------- -------
Net Investment Income (Loss)**.......................... (0.22) 0.18
Net Realized and Unrealized Gain (Loss) on Investments.. (18.32) 54.37
------- -------
TOTAL FROM INVESTMENT OPERATIONS........................ (18.54) 54.55
------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................... -- (0.18)
Net Realized Gains...................................... (76.16) --
------- -------
Total Distributions..................................... (76.16) (0.18)
------- -------
NET ASSET VALUE AT END OF PERIOD........................ $ 34.67 $129.37
======= =======
TOTAL RETURN***......................................... (68.07)% 72.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)............. $ 1,733 $ 6,468
RATIO TO AVERAGE NET ASSETS OF:
Expenses................................................ 0.70%**** 0.71%****
Net Investment Income................................... (0.61)%**** 0.48%****
</Table>
* The Fund commenced operations on June 11, 2008.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
See Notes to Financial Statements.
88
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2009
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended (the "1940
Act"). The Trust was organized as a Delaware statutory trust on November 22,
2002. As of April 30, 2009, the Trust offers thirty one portfolios, each of
which represents a separate series of beneficial interest in the Trust (each a
"Fund," and collectively the "Funds"). The financial statements herein relate to
the following Funds: Rydex 2x S&P 500 ETF, Rydex Inverse 2x S&P 500 ETF, Rydex
2x S&P MidCap 400 ETF, Rydex Inverse 2x S&P MidCap 400 ETF, Rydex 2x Russell
2000(R) ETF, Rydex Inverse 2x Russell 2000(R) ETF, Rydex 2x S&P Select Sector
Energy ETF, Rydex Inverse 2x S&P Select Sector Energy ETF, Rydex 2x S&P Select
Sector Financial ETF, Rydex Inverse 2x S&P Select Sector Financial ETF, Rydex 2x
S&P Select Sector Health Care ETF, Rydex Inverse 2x S&P Select Sector Health
Care ETF, Rydex 2x S&P Select Sector Technology ETF, and Rydex Inverse 2x S&P
Select Sector Technology ETF. Rydex 2x S&P 500 ETF, Rydex Inverse 2x S&P 500
ETF, Rydex 2x S&P MidCap 400 ETF, Rydex Inverse 2x S&P MidCap 400 ETF, Rydex 2x
Russell 2000(R) ETF, and Rydex Inverse 2x Russell 2000(R) ETF commenced
operations on November 5, 2007. Rydex 2x S&P Select Sector Energy ETF, Rydex
Inverse 2x S&P Select Sector Energy ETF, Rydex 2x S&P Select Sector Financial
ETF, Rydex Inverse 2x S&P Select Sector Financial ETF, Rydex 2x S&P Select
Sector Health Care ETF, Rydex Inverse 2x S&P Select Sector Health Care ETF,
Rydex 2x S&P Select Sector Technology ETF, and Rydex Inverse 2x S&P Select
Sector Technology ETF commenced operations on June 10, 2008.
The Funds' investment objective is to provide investment results that match the
performance of a specific benchmark, before fees and expenses, on a daily basis.
For Rydex 2x S&P 500 ETF, Rydex 2x S&P MidCap 400 ETF, Rydex 2x Russell 2000(R)
ETF, Rydex 2x S&P Select Sector Energy ETF, Rydex 2x S&P Select Sector Financial
ETF, Rydex 2x S&P Select Sector Health Care ETF, and Rydex 2x S&P Select Sector
Technology ETF (each a "Leveraged Fund," and collectively the "Leveraged
Funds"), each Fund's benchmark is 200% of the performance of an index
representing publicly traded securities (the "Underlying Index"). For Rydex
Inverse 2x S&P 500 ETF, Rydex Inverse 2x S&P MidCap 400 ETF, Rydex Inverse 2x
Russell 2000(R) ETF, Rydex Inverse 2x S&P Select Sector Energy ETF, Rydex
Inverse 2x S&P Select Sector Financial ETF, Rydex Inverse 2x S&P Select Sector
Health Care ETF, and Rydex Inverse 2x S&P Select Sector Technology ETF (each a
"Leveraged Inverse Fund," and collectively the "Leveraged Inverse Funds"), each
Fund's benchmark is 200% of the inverse (opposite) performance of its Underlying
Index. The Underlying Index for Rydex 2x S&P 500 ETF and Rydex Inverse 2x S&P
500 ETF is the S&P 500 Index. The Underlying Index for Rydex 2x S&P MidCap 400
ETF and Rydex Inverse 2x S&P MidCap 400 ETF is the S&P MidCap 400 Index. The
Underlying Index for Rydex 2x Russell 2000(R) ETF and Rydex Inverse 2x Russell
2000(R) ETF is the Russell 2000(R) Index. The Underlying Index for Rydex 2x S&P
Select Sector Energy ETF and Rydex Inverse 2x S&P Select Sector Energy ETF is
the Energy Select Sector Index. The Underlying Index for Rydex 2x S&P Select
Sector Financial ETF and Rydex Inverse 2x S&P Select Sector Financial ETF is the
Financial Select Sector Index. The Underlying Index for Rydex 2x S&P Select
Sector Health Care ETF and Rydex Inverse 2x S&P Select Sector Health Care ETF is
the Health Care Select Sector Index. The Underlying Index for Rydex 2x S&P
Select Sector Technology ETF and Rydex Inverse 2x S&P Select Sector Technology
ETF is the Technology Select Sector Index.
The Leveraged Funds seek to achieve their objective by investing in equity
securities contained in the Underlying Index, and leveraged derivative
instruments, such as equity index swaps, futures contracts, and options on
securities, futures contracts, and stock indices. The Leveraged Inverse Funds
seek to achieve their objective by engaging in short sales of securities and
investing in leveraged derivative instruments, such as equity swaps, futures
contracts, and options on securities, futures contracts, and stock indices.
The Funds operate as index funds and are not actively managed. Adverse
performance of a security in the Funds' portfolio will ordinarily not result in
the elimination of the security from the Funds' portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value,
only in aggregations of 50,000 shares called a "Creation Unit". Creation Units
are issued and redeemed principally in-kind for securities included in the
Underlying Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosures at the date of the financial statements and accompanying notes and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Management believes that the estimates utilized in
preparing the Funds' financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
SEMI-ANNUAL REPORT 89
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
A. SECURITY VALUATION
Securities listed on a domestic securities exchange are valued based on the last
sale price as of the close of regular trading hours on the New York Stock
Exchange ("NYSE") or, in the absence of recorded sales, are valued at the most
recent bid price. Securities for which the primary market is the National
Association of Securities Dealers Automated Quotations National Market System
("NASDAQ") are valued at the NASDAQ Official Closing Price. The Funds invest in
money market mutual funds, which are valued at their NAV.
Investments for which market quotations are not readily are fair valued as
determine in good faith by Rydex Investments under the 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 instruments, 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
contacts and other derivative investments trade in the cash market, and (iii)
other information and considerations, including current values in related-
markets.
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 at the last quoted sales price on the valuation date. In
the event that the exchange for a specific futures contract closes earlier than
4:00 p.m., the futures contract is valued at the Official Settlement Price of
the exchange. However, the underlying securities from which the futures contract
value is derived are monitored until 4:00 p.m. to determine if fair valuation
would provide a more accurate valuation.
The value of domestic equity index swap agreements entered into by a Fund is
accounted for using the unrealized gain or loss on the agreements that is
determined by marking the agreements to the last quoted value of the index that
the swap pertains to at the close of the NYSE. The swap's market value is then
adjusted to include dividends accrued, financing charges and/or interest
associated with the swap agreements.
Debt securities with a maturity greater than 60 days are valued at the last
traded fill price at the close of business, unless no trades were executed. If
there are no trades, a security is valued at the reported bid price, at the
close of business. Short-term debt securities, with a maturity of 60 days or
less are valued at amortized cost, which approximates market value.
Certain U.S. Government and Agency Obligations are traded on a discount basis;
the interest rates shown on the Schedules of Investments reflect the effective
rates paid at the time of purchase by the Funds. Other securities bear interest
at the rates shown, payable at fixed dates through maturity. The Funds may also
purchase American Depository Receipts, U.S. Government securities, and enter
into repurchase agreements.
B. SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are recorded on the trade date for financial reporting
purposes. Realized gains and losses from portfolio fund transactions are
calculated on the identified cost basis. Dividend income is recorded on the ex-
dividend date, net of foreign tax withholdings. Interest income is recorded on
the accrual basis.
C. REPURCHASE AGREEMENTS
The Funds may enter into repurchase agreements with financial institutions. In a
repurchase agreement, a Fund buys a security and the seller simultaneously
agrees to repurchase the security on a specified future date at an agreed-upon
price. The repurchase price reflects an agreed-upon interest rate during the
time the Fund's money is invested in the security. Because the security
constitutes collateral for the repurchase obligation, a repurchase agreement can
be considered a collateralized loan. The Funds follows certain procedures
designed to minimize the risks inherent in such agreements. These procedures
include effecting repurchase transactions only with large, well-capitalized and
well-established financial institutions whose condition will be continually
monitored by Rydex Investments, which acts as the Funds' investment advisor. In
addition, the value of the collateral underlying the repurchase agreement will
always be at least equal to the repurchase price, including any accrued interest
earned on the repurchase agreement. In the event of a default or bankruptcy by a
selling financial institution, the Funds will seek to liquidate such collateral.
However, the exercising of the Funds right to liquidate such collateral could
involve certain costs or delays and, to the extent that proceeds from any sale
upon a default of the obligation to repurchase were less than the repurchase
price, the Funds could suffer a loss. It is the current policy of the Funds not
to invest in repurchase agreements that do not mature within seven days if any
such investment, together with any other illiquid assets held by the Funds,
amounts to more than 15% of the Funds net assets. The investments of the Funds
in repurchase agreements, at times, may be substantial when, in the view of
Rydex Investments, liquidity or other considerations so warrant.
90
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
D. FUTURES CONTRACTS
The Funds may enter into stock index futures contracts and options on such
futures contracts. Futures contracts are contracts for delayed delivery of
securities at a specified futures 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. There are
several risks in connection with the use of futures contracts. 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.
E. SWAP AGREEMENTS
The Funds may enter into domestic equity index 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 index, in return for
periodic payment based on a fixed or variable interest rate. Swap agreements are
used to obtain exposure to an equity or market without owning or taking physical
custody of securities. The swap agreements are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gain or loss. Payments received or made as a result of an agreement or
termination of the agreement are recognized as realized gains or losses. There
are several risks associated with the use of swap agreements that are different
from those associated with ordinary portfolio securities transactions, due to
the fact they could be considered illiquid. Although the Trust will not enter
into any swap agreement unless Rydex Investments 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.
F. COLLATERAL
In conjunction with the use of short sales, futures and swap agreements, the
Funds are required to maintain collateral in various forms. The Funds use, where
appropriate, depending on the financial instrument utilized and the broker
involved, margin deposits at the broker, cash and/or securities segregated at
the custodian bank, discount notes, or repurchase agreements allocated to each
Fund.
G. FEDERAL INCOME TAXES
The Funds policy is to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of the
taxable income and capital gains, if any to the shareholders within the
allowable time limits. Therefore, no provision for Federal income taxes is
required.
Tax positions taken or expected to be taken in the course of preparing the
Funds' tax returns are evaluated to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Management has
analyzed the Funds' tax positions taken on federal income tax returns for all
open tax years (fiscal years 2005 - 2008), and has concluded that no provision
for income tax was required in the Funds' financial statements.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles. These differences are primarily due to differing treatments for tax
equalization, in-kind redemptions, income reclassifications from real estate
investment trusts ("REITs") and losses deferred due to wash sales.
For the six months ended April 30, 2009, the Funds realized net capital gains
resulting from in-kind redemptions which, because they are non-taxable to the
Funds, and therefore are not distributed to existing Fund shareholders, are
reclassified to paid-in-capital. The in-kind net capital gains for the period
ended April 30, 2009 are disclosed in the Fund's Statement of Operations.
SEMI-ANNUAL REPORT 91
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
At April 30, 2009, the identified cost of investments in securities owned by
each fund for federal income tax purposes and the gross unrealized appreciation
and depreciation was as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
Rydex 2x S&P 500 ETF..................... $127,631,878 $7,035,552 $(6,444,814) $ (590,738)
Rydex Inverse 2x S&P 500 ETF............. 71,173,000 -- -- --
Rydex 2x S&P MidCap 400 ETF.............. 7,716,696 1,523,553 (48,581) 1,474,972
Rydex Inverse 2x S&P MidCap 400 ETF...... 6,893,000 -- -- --
Rydex 2x Russell 2000(R) ETF............. 16,643,006 2,335,474 (645,441) 1,690,033
Rydex Inverse 2x Russell 2000(R) ETF..... 11,315,000 -- -- --
Rydex 2x S&P Select Sector Energy ETF.... 6,912,906 428,401 (234,850) 193,551
Rydex Inverse 2x S&P Select Sector Energy
ETF.................................... 1,361,000 -- -- --
Rydex 2x S&P Select Sector Financial
ETF.................................... 10,894,976 2,914,809 (41,484) 2,873,325
Rydex Inverse 2x S&P Select Sector
Financial ETF.......................... 8,730,000 -- -- --
Rydex 2x S&P Select Sector Health Care
ETF.................................... 4,246,712 70,157 (583,421) (513,264)
Rydex Inverse 2x S&P Select Sector Health
Care ETF............................... 5,051,000 -- -- --
Rydex 2x S&P Select Sector Technology
ETF.................................... 3,962,426 112,742 (96,135) 16,607
Rydex Inverse 2x S&P Select Sector
Technology ETF......................... 1,753,000 -- -- --
</Table>
H. FAIR VALUE MEASUREMENT
Effective November 1, 2008, the Funds adopted Statement of 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 an
acceptable fair valuation methods and applications.
Various inputs may be used to determine the value of the fund's investments.
These inputs are summarized in three broad levels:
Level 1 -- quoted prices in active markets for identical securities.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 -- significant unobservable inputs (including the Funds' own
assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
92
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2009:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3 OTHER
INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL
FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS TOTAL
- ---- ------------- ----------- ------------- ----------- ------------- ----------- ------------
ASSETS
Rydex 2x S&P 500 ETF............ $128,222,616 $18,519,551 $-- $1,907,462 $-- $-- $148,649,629
Rydex Inverse 2x S&P 500 ETF.... 71,173,000 -- -- -- -- -- 71,173,000
Rydex 2x S&P MidCap 400 ETF..... 9,191,668 729,509 -- 661,264 -- -- 10,582,441
Rydex Inverse 2x S&P MidCap 400
ETF........................... 6,893,000 -- -- -- -- -- 6,893,000
Rydex 2x Russell 2000 ETF....... 18,333,039 724,147 -- 1,843,872 -- -- 20,901,058
Rydex Inverse 2x Russell 2000
ETF........................... 11,315,000 -- -- -- -- -- 11,315,000
Rydex 2x S&P Select Sector
Energy ETF.................... 7,106,457 -- -- -- -- -- 7,106,457
Rydex Inverse 2x S&P Select
Sector Energy ETF............. 1,361,000 -- -- -- -- -- 1,361,000
Rydex 2x S&P Select Sector
Financial ETF................. 13,768,301 -- -- 1,557,065 -- -- 15,325,366
Rydex Inverse 2x S&P Select
Sector Financial ETF.......... 8,730,000 -- -- -- -- -- 8,730,000
Rydex 2x S&P Select Sector
Health Care ETF............... 3,733,448 -- -- -- -- -- 3,733,448
Rydex Inverse 2x S&P Select
Sector Health Care ETF........ 5,051,000 -- -- 26,362 -- -- 5,077,362
Rydex 2x S&P Select Sector
Technology ETF................ 3,979,033 -- -- 305,632 -- -- 4,284,272
Rydex Inverse 2x S&P Select
Sector Technology ETF......... 1,753,000 -- -- -- -- -- 1,753,000
LIABILITIES
Rydex 2x S&P 500 ETF............ -- -- -- -- -- -- --
Rydex Inverse 2x S&P 500 ETF.... -- 3,459,275 -- 7,472,482 -- -- 10,931,757
Rydex 2x S&P MidCap 400 ETF..... -- -- -- -- -- -- --
Rydex Inverse 2x S&P MidCap 400
ETF........................... -- 93,549 -- 2,237,789 -- -- 2,331,338
Rydex 2x Russell 2000 ETF....... -- -- -- -- -- -- --
Rydex Inverse 2x Russell 2000
ETF........................... -- 327,184 -- 3,714,659 -- -- 4,041,843
Rydex 2x S&P Select Sector
Energy ETF.................... -- -- -- 51,285 -- -- 51,285
Rydex Inverse 2x S&P Select
Sector Energy ETF............. -- -- -- 77,101 -- -- 77,101
Rydex 2x S&P Select Sector
Financial ETF................. -- -- -- -- -- -- --
Rydex Inverse 2x S&P Select
Sector Financial ETF.......... -- 26 -- 3,957,547 -- -- 3,957,573
Rydex 2x S&P Select Sector
Health Care ETF............... -- -- -- 38,770 -- -- 38,770
Rydex Inverse 2x S&P Select
Sector Health Care ETF........ -- -- -- -- -- -- --
Rydex 2x S&P Select Sector
Technology ETF................ -- -- -- -- -- -- --
Rydex Inverse 2x S&P Select
Sector Technology ETF......... -- -- -- 438,009 -- -- 438,009
</Table>
I. DIVIDENDS AND DISTRIBUTIONS
Distributions of net investment income and net realized capital gains, if any,
are declared at least annually and recorded on the ex-dividend date and are
determined in accordance with income tax regulations which may differ from U.S.
generally accepted accounting principles.
J. RISK AND UNCERTAINTIES
The Trust invests in various investments which are exposed to risk, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect
amounts reported in the financial statements. The risk inherent in the use of
futures and options contracts, and swap agreements, include i) adverse changes
in the value of such instruments; ii) imperfect correlation between the price of
the instruments and movements in the price of the underlying securities,
indices, or futures contracts; iii) the possible absence of a liquid secondary
market for any particular instrument at any time; and iv) the potential of
counterparty default. The Funds have established strict counterparty credit
guidelines and enter into transactions only with financial institutions of
investment grade or better. The Trust monitors the counterparty credit risk.
SEMI-ANNUAL REPORT 93
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
K. NEW ACCOUNTING PRONOUNCEMENTS
In March, 2008, Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161")
was issued and is effective for fiscal years and interim periods beginning after
November 15, 2008. SFAS 161 requires enhanced disclosures about Funds'
derivative and hedging activities. Management is currently evaluating the
impact, if any, the adoption of SFAS 161 will have on the Funds' financial
statement disclosures.
In April 2009, FASB issued FASB Staff Position FSP FAS 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FAS
157-4"), which provides additional guidance when the volume and level of
activity for the asset or liability measured at fair value have significantly
decreased. Additionally, FAS 157-4 amends FASB Statement No. 157, Fair Value
Measurements, expanding disclosure requirements by reporting entities
surrounding the major categories of assets and liabilities carried at fair
value. FAS 157-4 is effective for interim and annual periods ending after June
15, 2009. Management is currently evaluating the impact the adoption of FAS 157-
4 will have on the Funds' financial statement disclosures.
In May 2009, FASB issued FASB Staff Position FSP FAS 165, "Subsequent Events"
("FAS 165"), which provides additional guidance with respect to financial
reporting of subsequent events, specifically; the period covered by subsequent
events, the circumstance under which subsequent events will be recognized and
the disclosure an entity will make about events or transactions that occur after
balance sheet date. FAS 165 is effective for interim and annual periods ending
after June 15, 2009. Management is currently evaluating the impact the adoption
of FAS 165 will have on the Funds' financial statement disclosures.
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
Rydex Investments determines the composition of the portfolio of securities that
must be delivered in exchange for the issuance of Creation Units and
periodically adjusts the composition of the portfolio of the Funds to conform to
changes in the composition of the relevant index. For these services, the
Advisor receives an advisory fee at the annual rate shown below of the average
daily net assets of the Funds.
<Table>
<Caption>
ADVISORY FEE
------------
Rydex 2x S&P 500 ETF................................................ 0.70%
Rydex Inverse 2x S&P 500 ETF........................................ 0.70%
Rydex 2x S&P MidCap 400 ETF......................................... 0.70%
Rydex Inverse 2x S&P MidCap 400 ETF................................. 0.70%
Rydex 2x Russell 2000(R) ETF........................................ 0.70%
Rydex Inverse 2x Russell 2000(R) ETF................................ 0.70%
Rydex 2x S&P Select Sector Energy ETF............................... 0.70%
Rydex Inverse 2x S&P Select Sector Energy ETF....................... 0.70%
Rydex 2x S&P Select Sector Financial ETF............................ 0.70%
Rydex Inverse 2x S&P Select Sector Financial ETF.................... 0.70%
Rydex 2x S&P Select Sector Health Care ETF.......................... 0.70%
Rydex Inverse 2x S&P Select Sector Health Care ETF.................. 0.70%
Rydex 2x S&P Select Sector Technology ETF........................... 0.70%
Rydex Inverse 2x S&P Select Sector Technology ETF................... 0.70%
</Table>
Rydex Investments pays all expenses of the Funds, including the cost of transfer
agency, custody, fund administration, legal, audit and other services, except:
interest, taxes, distribution and trustee fees or expenses and extraordinary
expenses.
Under an Administration Agreement, State Street Bank and Trust Company (the
"Administrator") provides various administrative and accounting services for the
maintenance and operations of the Funds. Under a Custodian Agreement with the
Trust, the Administrator maintains cash, securities and other assets of the
Trust and the Funds in separate accounts for each Fund, keeps all necessary
accounts and records, and provides other services. The Administrator is
required, upon the order of the Trust, to deliver securities held by the
Custodian and to make payments for securities purchased by the Trust for the
Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the
Administrator acts as a transfer agent for the Trust's authorized and issued
shares of beneficial interest, and as dividend disbursing agent of the Trust.
The Advisor compensates the Administrator directly for the foregoing services.
The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to
pay distribution fees to Rydex Distributors, Inc. (the "Distributor") and other
firms that provide distribution services ("Service Providers"). If a Service
Provider provides distribution services, the Funds will pay distribution fees to
the Distributor at an annual rate not to exceed 0.25% of average daily net
assets,
94
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
pursuant to Rule 12b-1 of the 1940 Act. The Distributor will, in turn, pay the
Service Provider out of its fees. No such fee is currently charged to the Funds.
4. CAPITAL
At April 30, 2009, there were an unlimited number of no par value shares of
beneficial interest authorized. There is a minimum transaction fee per
transaction to those persons purchasing or redeeming Creation Units. An
additional charge of up to three times the standard transaction fee may be
imposed for purchases and redemptions effected outside the National Securities
Clearing Corporation usual clearing process or for cash. Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
equate the transaction to the net asset value per unit of the Fund on the
transaction date. The minimum transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex 2x S&P 500 ETF.............................................. $2,000
Rydex Inverse 2x S&P 500 ETF...................................... 50
Rydex 2x S&P MidCap 400 ETF....................................... 2,000
Rydex Inverse 2x S&P MidCap 400 ETF............................... 50
Rydex 2x Russell 2000(R) ETF...................................... 3,000
Rydex Inverse 2x Russell 2000(R) ETF.............................. 50
Rydex 2x S&P Select Sector Energy ETF............................. 500
Rydex Inverse 2x S&P Select Sector Energy ETF..................... 50
Rydex 2x S&P Select Sector Financial ETF.......................... 750
Rydex Inverse 2x S&P Select Sector Financial ETF.................. 50
Rydex 2x S&P Select Sector Health Care ETF........................ 500
Rydex Inverse 2x S&P Select Sector Health Care ETF................ 50
Rydex 2x S&P Select Sector Technology ETF......................... 750
Rydex Inverse 2x S&P Select Sector Technology ETF................. 50
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2009 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex 2x S&P 500 ETF....................................... $42,920,602 $23,333,008
Rydex Inverse 2x S&P 500 ETF............................... -- --
Rydex 2x S&P MidCap 400 ETF................................ 1,715,170 --
Rydex Inverse 2x S&P MidCap 400 ETF........................ -- --
Rydex 2x Russell 2000(R) ETF............................... 3,734,118 --
Rydex Inverse 2x Russell 2000(R) ETF....................... -- --
Rydex 2x S&P Select Sector Energy ETF...................... 1,738,495 --
Rydex Inverse 2x S&P Select Sector Energy ETF.............. -- --
Rydex 2x S&P Select Sector Financial ETF................... 3,872,922 --
Rydex Inverse 2x S&P Select Sector Financial ETF........... -- --
Rydex 2x S&P Select Sector Health Care ETF................. -- --
Rydex Inverse 2x S&P Select Sector Health Care ETF......... -- --
Rydex 2x S&P Select Sector Technology ETF.................. 1,210,079 --
Rydex Inverse 2x S&P Select Sector Technology ETF.......... -- --
</Table>
SEMI-ANNUAL REPORT 95
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
----------- -----------
Rydex 2x S&P 500 ETF........................................ $69,734,489 $55,087,261
Rydex Inverse 2x S&P 500 ETF................................ -- --
Rydex 2x S&P MidCap 400 ETF................................. 8,333,914 5,572,135
Rydex Inverse 2x S&P MidCap 400 ETF......................... -- --
Rydex 2x Russell 2000(R) ETF................................ 11,747,479 8,042,159
Rydex Inverse 2x Russell 2000(R) ETF........................ -- --
Rydex 2x S&P Select Sector Energy ETF....................... 6,751,254 4,731,556
Rydex Inverse 2x S&P Select Sector Energy ETF............... -- --
Rydex 2x S&P Select Sector Financial ETF.................... 13,583,357 10,274,285
Rydex Inverse 2x S&P Select Sector Financial ETF............ -- --
Rydex 2x S&P Select Sector Health Care ETF.................. 1,281,079 1,731,311
Rydex Inverse 2x S&P Select Sector Health Care ETF.......... -- --
Rydex 2x S&P Select Sector Technology ETF................... 1,302,233 1,244,148
Rydex Inverse 2x S&P Select Sector Technology ETF........... -- --
</Table>
96
SUPPLEMENTAL INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
Information regarding how the Funds voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended June 30, 2008 is also
available, without charge and upon request, by (i) calling 1-800-820-0888; or
accessing the Trust's Form N-PX 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 Trust's Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 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.
SEMI-ANNUAL REPORT 97
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
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ------------------ ----------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 152
Trustee, President Rydex Variable Trust - 2004
(1952) Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Treasurer of Rydex Specialized
Products, LLC (2005 to 2009); Chief Executive Officer of Rydex Specialized Products,
LLC (2005 to 2008); Chief Executive Officer of Rydex Investments and Rydex
Distributors, Inc. (2003 to 2009).
---------------------
MICHAEL P. BYRUM* Rydex Series Funds - 2005 152
Trustee, Vice President Rydex Variable Trust - 2005
and Rydex Dynamic Funds - 2005
Secretary (1970) Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Investment Officer of Rydex
Investments (2003 to present); Secretary of Rydex Specialized Products, LLC (2005 to
2008); 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)
- ------------------------------------------------------------------------------------
</Table>
INDEPENDENT TRUSTEES
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ------------------ ----------------
JOHN O. DEMARET Rydex Series Funds - 1997 152
Trustee, Chairman of Rydex Variable Trust - 1998
the Rydex Dynamic Funds - 1999
Board (1940) Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 152
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, registered investment advisor (2005 to 2006);
Senior Vice President of Marketing and Co-Owner of Schield Management Company,
registered investment advisor (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series Funds - 1995 152
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
---------------------
</Table>
98
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (concluded)
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ----------------------- ----------------- ----------------
WERNER E. KELLER Rydex Series Funds - 2005 152
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 152
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments
---------------------
</Table>
<Table>
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 152
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 152
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- ------------------------------------------------------------------------------------
</Table>
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
NICK BONOS* Chief Financial Officer of Rydex
Vice President and Treasurer (1963) Specialized Products, LLC (2005 to
present); Vice President and Treasurer of
Rydex Series Funds, Rydex Variable Trust,
Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President
of Rydex Investments (2003 to present);
Vice President and Treasurer of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series
Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex
(1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, and Rydex Dynamic Funds
(2000 to present); Secretary of Rydex ETF
Trust (2002 to present); Vice President
of Compliance of Rydex Investments (2000
to present); Secretary of Rydex Capital
Partners SPhinX Fund (2003 to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds, Rydex ETF Trust (2006 to
present); Senior Vice President of Rydex
Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds,
Rydex ETF Trust (2006 to present);
Director of Fund Administration of Rydex
Investments (2001 to present)
</Table>
* Officers of the Funds are deemed to be "interested persons" of the Trust,
within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as this
person is affiliated with the Rydex Investments.
[RYDEX SGI(SM) LOGO]
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF3-SEMI-0409X1009
ITEM 2. CODE OF ETHICS.
Not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation on July 7, 2009, the President (principal
executive officer) and the Treasurer (principal financial officer) of the Rydex
ETF 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, and State
Street Bank and Trust Company (the "Administrator"), the administrator 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, the Administrator 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, the Administrator, 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 and RI's internal controls
over financial reporting, including disclosure controls and procedures (as
defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred
during the second fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(2) Separate certifications by the President (principal executive officer)
and Treasurer (principal financial officer) of the registrant as required by
Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant's President (principal executive officer)
and Treasurer (principal financial officer) as required by Rule 30a-2(b) under
the Act (17 CFR 270.30a-2(b)) is attached.